<Page>
OMB APPROVAL
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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-07843
---------------------------------------------
J.P. Morgan Mutual Fund Select Group
- --------------------------------------------------------------------------------
(Exact name of registrant as specified in charter)
522 Fifth Avenue, New York, NY 10036
- --------------------------------------------------------------------------------
(Address of principal executive offices) (Zip code)
BISYS Fund Services, 3435 Stelzer Road, Columbus, OH 43219
- --------------------------------------------------------------------------------
(Name and address of agent for service)
Registrant's telephone number, including area code: 1-800-348-4782
----------------------------
Date of fiscal year end: October 31, 2003
--------------------------------------------------------
Date of reporting period: November 1, 2002 through October 31, 2003
------------------------------------------------------
Form N-CSR is to be used by management investment companies to file reports
with the Commission not later than 10 days after the transmission to
stockholders of any report that is required to be transmitted to stockholders
under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1).
The Commission may use the information provided on Form N-CSR in its regulatory,
disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form
N-CSR, and the Commission will make this information public. A registrant is not
required to respond to the collection of information contained in Form N-CSR
unless the Form displays a currently valid Office of Management and Budget
("OMB") control number. Please direct comments concerning the accuracy of the
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burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW,
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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>
JPMORGAN FUNDS
ANNUAL REPORT OCTOBER 31 2003
INTERNATIONAL EQUITY FUNDS
FLEMING EUROPEAN FUND
FLEMING JAPAN FUND
FLEMING INTERNATIONAL GROWTH FUND
FLEMING INTERNATIONAL VALUE FUND
FLEMING INTERNATIONAL OPPORTUNITIES FUND
FLEMING EMERGING MARKETS EQUITY FUND
FLEMING ASIA EQUITY FUND
FLEMING INTERNATIONAL EQUITY 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. This experience
provides us with a keen understanding of the unique needs of the affluent
investor's portfolio. The legacy of our experience coupled with our GLOBAL
INTELLECTUAL CAPITAL is the foundation from which our investment products have
been built. We have investment professionals 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
Fleming European Fund 3
Fleming Japan Fund 6
Fleming International Growth Fund 9
Fleming International Value
Fund 12
Fleming International
Opportunities Fund 15
Fleming Emerging Markets
Equity Fund 18
Fleming Asia Equity Fund 21
Fleming International Equity Fund 24
Portfolio of Investments 27
Financial Statements 52
Notes to Financial Statements 64
Financial Highlights 92
</Table>
HIGHLIGHTS
- - "Baghdad bounce" revives U.S. and international markets
- - Economies strengthen in U.S. and Asia
- - Bond markets weaken
- - Foreign equities likely to outperform
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 International Equity Funds
PRESIDENT'S LETTER NOVEMBER 24, 2003
[PHOTO OF GEORGE C. W. GATCH]
DEAR SHAREHOLDER:
We are pleased to present this annual report for the JPMorgan International
Equity Funds. Inside, you'll find information detailing the performance of the
Funds for the year ended October 31, 2003, along with a report from the
Portfolio Manager.
"BAGHDAD BOUNCE" TRIGGERS A LIQUIDITY-DRIVEN RALLY
Despite the uncertainty of the first few months of 2003, global equity markets
found direction once it became clear that Coalition Forces 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 war, led to a relief rally -- the "Baghdad
Bounce."
Momentum occurred due to remarks by the U.S. Federal Reserve Board confirming
its determination to avoid deflation and to nurture growth (leading ultimately
to a 1/4-point rate cut in late June), Congress's approval of a $350 billion
package of tax cuts by the Bush administration in an attempt to boost consumer
demand, and the easy monetary stance adopted by the Bank of England and European
Central Bank. By October, there was a clear trend of recovering global growth.
Indeed, economic data was improving across the developed world. By October 31,
the S&P 500 Index of blue-chip U.S. stocks had risen 20.8% over the previous 12
months, and the MSCI EAFE Index of international stocks was up 27.0%.
Fixed income markets suffered, with bond yields rising as fears that the United
States and Europe were headed for Japan-style deflation subsided. Earlier in
2003, there had been a significant rally in bond prices, both as the likelihood
of deflation had seemed to increase, and as some of the liquidity unleashed by
the swift end to the official war made its way to the bond markets.
[SIDENOTE]
"Despite the uncertainty of the first few months of 2003, global equity
markets found direction..."
<Page>
OUTLOOK
While risks remain to the continued improvement of the global economic picture,
we are cautiously optimistic about the profit picture in the U.S. and Asia. If
economic activity continues to improve, we would expect stocks to rise at a
modest pace, and to maintain a performance edge over bonds. While non-U.S.
equities continue to be more attractive than U.S. shares on a valuation basis,
we continue to anticipate that foreign shares will outperform. We particularly
favor shares in emerging markets, which we view as most strongly positioned to
the improving global economy.
The portfolio management team and all of us here at JPMorgan Fleming Asset
Management thank you for your continued business and anticipate serving your
investment needs for many years to come. Should you have any questions, please
feel free to contact your financial advisor or the JPMorgan Funds Service Center
at 1-800-348-4782.
Sincerely,
/s/ George C. W. Gatch
George C. W. Gatch
President
JPMorgan Funds
2
<Page>
JPMorgan Fleming European Fund
AS OF OCTOBER 31, 2003 (Unaudited)
<Table>
FUND FACTS
Fund Inception 11/02/1995
Fiscal Year End OCTOBER 31
Net Assets as of 10/31/2003
(In Millions) $ 69.1
Primary Benchmark MSCI EUROPE INDEX
</Table>
Q: HOW DID THE FUND PERFORM?
A: JPMorgan Fleming European Fund comfortably outperformed its benchmark with
a total return of 28.9% (Class A Shares, without sales charges) for the
year ended October 31, 2003. This compares to a total return of 24.7% for
the MSCI Europe Index.
Q: WHY DID THE FUND PERFORM THIS WAY?
A: While the review period ended with many European stock markets close to
highs for the year, earlier in 2003 things had been very different, with
markets touching multi-year lows in March on the eve of war in Iraq. The
Fund, however, performed well through both the difficult market conditions
early, and the strong market rally that has characterized the last six
months.
Early in the review period, the Fund benefited from its concentration on
cheap stocks with high dividend yields. In particular, stock selection in
the oil and gas sector boosted performance as strong oil prices began to
filter through into earnings upgrades.
The markets began to pick up in late March and experienced a strong rally
through the rest of the review period. The Fund fully participated in this
rally, thanks to its focus on attractively valued stocks demonstrating
strong earnings potential. We were able to identify opportunities across
almost all sectors, styles and market cap ranges, so that relative
performance gained from a broad range of holdings.
At the beginning of the second quarter, for example, we raised our exposure
to telecom operators, which were receiving strong earnings upgrades as they
reduced debt and focused more on their core businesses. We also increased
exposure to financials as concerns over bad debt subsided, reducing the
risk of holding banking stocks, while rising stock markets relieved the
pressure on insurance company solvency ratios.
Among the market's best performers were economically sensitive stocks,
which we took full advantage of through our exposure to the building
materials, chemicals and transport sectors in particular.
Finally, the Fund's performance was boosted by currency returns, with the
euro appreciating against the U.S. dollar during the period.
Q: HOW WAS THE FUND MANAGED?
A: The Fund's performance during the review period was driven by our bottom-up
investment approach, which focuses on stocks with the best value and growth
(momentum) characteristics. During the review period, the fund benefited
from its exposure to both styles, which helped the fund to maintain high
levels of performance despite volatile market conditions.
3
<Page>
[CHART]
PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS
<Table>
United Kingdom 23.1%
The Netherlands 12.2%
France 10.0%
Norway 9.3%
Germany 9.0%
Switzerland 9.0%
Belgium 5.3%
Sweden 4.5%
Italy 4.3%
Spain 3.0%
Finland 2.8%
Austria 2.6%
Denmark 2.6%
Greece 1.4%
Ireland 0.3%
Luxembourg 0.3%
Liechtenstein 0.3%
</Table>
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO
<Table>
1.ENI-Ente Nazionale
Idrocarburi SPA (Italy) 2.8%
2.Aker Kvaerner ASA
(Norway) 2.8%
3.Veolia Environnement
(France) 2.7%
4.United Utilities PLC
(United Kingdom) 2.5%
5.Deutsche Post AG
(Germany) 1.9%
6.Repsol YPF SA (Spain) 1.9%
7.Total SA (France) 1.9%
8.Fortum OYJ (Finland) 1.9%
9.HMV Group PLC
(United Kingdom) 1.8%
10.Royal Nedlloyd NV
(The Netherlands) 1.7%
</Table>
Top 10 equity holdings comprised 21.9% of the Portfolio's market value of
investments ($15,574,107). As of October 31, 2003, the Fund held 131 equity
holdings. Portfolio holdings are subject to change at any time.
4
<Page>
AVERAGE ANNUAL TOTAL RETURNS
<Table>
<Caption>
SINCE
INCEPTION
1 YEAR 3 YEARS 5 YEARS (11/2/95)
-----------------------------------------------
CLASS A SHARES
Without Sales Charge 28.94% 1.95% 6.17% 12.02%
With Sales Charge* 21.50% (0.04%) 4.92% 11.20%
-----------------------------------------------
CLASS B SHARES
Without CDSC 28.13% 1.22% 5.40% 11.22%
With CDSC** 23.13% 0.31% 5.07% 11.22%
-----------------------------------------------
CLASS C SHARES
Without CDSC 28.09% 1.20% 5.38% 11.21%
With CDSC*** 27.09% 1.20% 5.38% 11.21%
-----------------------------------------------
INSTITUTIONAL SHARES 29.83% 2.44% 6.48% 12.23%
-----------------------------------------------
SELECT SHARES 29.14% 2.08% 6.25% 12.08%
</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.
*** Assumes a 1% CDSC for the one year period and 0% CDSC thereafter.
[CHART]
LIFE OF FUND PERFORMANCE (11/02/95 TO 10/31/03)
<Table>
<Caption>
JPMORGAN FLEMING EUROPEAN FUND (CLASS A SHARES) MSCI EUROPE INDEX LIPPER EUROPEAN FUNDS INDEX
Nov-95 $ 9,425 $ 10,000 $ 10,000
Nov-95 $ 9,444 $ 10,000 $ 10,000
Dec-95 $ 9,598 $ 10,317 $ 10,210
Jan-96 $ 9,664 $ 10,384 $ 10,287
Feb-96 $ 10,013 $ 10,573 $ 10,633
Mar-96 $ 10,333 $ 10,700 $ 10,887
Apr-96 $ 10,532 $ 10,777 $ 11,097
May-96 $ 10,701 $ 10,860 $ 11,378
Jun-96 $ 11,099 $ 10,979 $ 11,483
Jul-96 $ 10,720 $ 10,842 $ 11,175
Aug-96 $ 10,966 $ 11,164 $ 11,540
Sep-96 $ 11,223 $ 11,399 $ 11,686
Oct-96 $ 11,385 $ 11,663 $ 11,930
Nov-96 $ 11,936 $ 12,254 $ 12,433
Dec-96 $ 12,296 $ 12,492 $ 12,711
Jan-97 $ 12,451 $ 12,526 $ 12,843
Feb-97 $ 12,730 $ 12,691 $ 13,036
Mar-97 $ 12,988 $ 13,101 $ 13,341
Apr-97 $ 12,905 $ 13,036 $ 13,172
May-97 $ 13,060 $ 13,592 $ 13,693
Jun-97 $ 13,836 $ 14,272 $ 14,338
Jul-97 $ 14,363 $ 14,941 $ 14,758
Aug-97 $ 13,732 $ 14,088 $ 14,035
Sep-97 $ 14,788 $ 15,455 $ 15,298
Oct-97 $ 14,592 $ 14,694 $ 14,659
Nov-97 $ 14,541 $ 14,921 $ 14,769
Dec-97 $ 14,924 $ 15,465 $ 15,113
Jan-98 $ 15,760 $ 16,108 $ 15,676
Feb-98 $ 17,182 $ 17,368 $ 16,968
Mar-98 $ 18,580 $ 18,605 $ 18,253
Apr-98 $ 19,142 $ 18,966 $ 18,672
May-98 $ 19,643 $ 19,351 $ 19,141
Jun-98 $ 19,824 $ 19,564 $ 19,197
Jul-98 $ 20,603 $ 19,951 $ 19,563
Aug-98 $ 17,179 $ 17,441 $ 16,738
Sep-98 $ 16,461 $ 16,743 $ 15,801
Oct-98 $ 17,323 $ 18,083 $ 16,906
Nov-98 $ 18,257 $ 19,045 $ 17,869
Dec-98 $ 19,128 $ 19,877 $ 18,702
Jan-99 $ 20,145 $ 19,750 $ 19,035
Feb-99 $ 18,981 $ 19,248 $ 18,479
Mar-99 $ 18,945 $ 19,458 $ 18,531
Apr-99 $ 19,587 $ 20,038 $ 19,061
May-99 $ 18,569 $ 19,076 $ 18,369
Jun-99 $ 18,932 $ 19,399 $ 18,835
Jul-99 $ 19,271 $ 19,579 $ 19,152
Aug-99 $ 19,478 $ 19,779 $ 19,307
Sep-99 $ 19,515 $ 19,626 $ 19,096
Oct-99 $ 20,024 $ 20,349 $ 19,744
Nov-99 $ 22,727 $ 20,898 $ 21,116
Dec-99 $ 26,025 $ 23,040 $ 23,844
Jan-00 $ 25,715 $ 21,400 $ 23,076
Feb-00 $ 28,207 $ 22,515 $ 26,256
Mar-00 $ 27,615 $ 23,057 $ 26,275
Apr-00 $ 25,999 $ 22,040 $ 24,851
May-00 $ 25,050 $ 21,860 $ 24,349
Jun-00 $ 25,396 $ 22,330 $ 24,926
Jul-00 $ 24,865 $ 21,972 $ 24,734
Aug-00 $ 24,656 $ 21,713 $ 24,828
Sep-00 $ 23,423 $ 20,697 $ 23,547
Oct-00 $ 22,053 $ 20,540 $ 22,831
Nov-00 $ 20,869 $ 19,745 $ 21,609
Dec-00 $ 22,194 $ 21,105 $ 23,232
Jan-01 $ 22,125 $ 21,116 $ 23,163
Feb-01 $ 20,893 $ 19,262 $ 21,210
Mar-01 $ 18,906 $ 17,825 $ 19,348
Apr-01 $ 19,838 $ 19,092 $ 20,629
May-01 $ 19,413 $ 18,160 $ 19,834
Jun-01 $ 18,454 $ 17,474 $ 19,027
Jul-01 $ 18,139 $ 17,518 $ 18,835
Aug-01 $ 18,632 $ 17,062 $ 18,351
Sep-01 $ 17,181 $ 15,359 $ 16,292
Oct-01 $ 17,756 $ 15,848 $ 16,862
Nov-01 $ 19,386 $ 16,483 $ 17,592
Dec-01 $ 19,454 $ 16,905 $ 17,967
Jan-02 $ 18,838 $ 16,021 $ 17,180
Feb-02 $ 19,331 $ 16,018 $ 17,192
Mar-02 $ 20,249 $ 16,886 $ 18,052
Apr-02 $ 20,824 $ 16,758 $ 18,003
May-02 $ 21,399 $ 16,706 $ 18,014
Jun-02 $ 21,070 $ 16,126 $ 17,531
Jul-02 $ 19,713 $ 14,331 $ 15,699
Aug-02 $ 19,315 $ 14,328 $ 15,594
Sep-02 $ 17,918 $ 12,443 $ 13,662
Oct-02 $ 18,125 $ 13,646 $ 14,708
Nov-02 $ 19,481 $ 14,316 $ 15,404
Dec-02 $ 17,976 $ 13,796 $ 14,835
Jan-03 $ 17,576 $ 13,144 $ 14,187
Feb-03 $ 17,121 $ 12,715 $ 13,645
Mar-03 $ 17,288 $ 12,526 $ 13,479
Apr-03 $ 18,986 $ 14,216 $ 15,173
May-03 $ 20,392 $ 15,138 $ 16,290
Jun-03 $ 20,282 $ 15,284 $ 16,420
Jul-03 $ 21,110 $ 15,594 $ 16,734
Aug-03 $ 21,469 $ 15,564 $ 16,861
Sep-03 $ 22,020 $ 15,880 $ 17,237
Oct-03 $ 23,369 $ 16,942 $ 18,326
</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 11/2/95.
Returns for the Institutional and Select Shares prior to 9/10/01 (offering date
of the Institutional and Select Shares) are calculated using the historical
expenses of the Class A Shares, which are higher than the expenses of the
Institutional and Select Shares.
Returns for the Class B Shares prior to 11/3/95 (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.
Returns for the Class C Shares prior to 11/1/98 (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 Fleming European Fund, MSCI Europe Index, and Lipper
European Funds Index from November 2, 1995 to October 31, 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 MSCI Europe Index is a replica (or model) of the performance
of the European markets. The Lipper European 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 Fleming Japan Fund
AS OF OCTOBER 31, 2003 (Unaudited)
<Table>
FUND FACTS
Fund Inception 11/02/1995
Fiscal Year End OCTOBER 31
Net Assets as of 10/31/2003
(In Millions) $4.0
Primary Benchmark MSCI JAPAN INDEX
</Table>
Q. HOW DID THE FUND PERFORM?
A. JPMorgan Fleming Japan Fund, which seeks long-term capital appreciation
through investing in Japanese equities, rose by 50.8% (Class A Shares,
without sales charge) for the year ended October 31, 2003. This compares
with a rally of 32.9% in the MSCI Japan Index (in U.S. dollars).
Q. WHY DID THE FUND OUTPERFORM ITS BENCHMARK?
A. The Fund significantly outperformed its benchmark for the year ended
October 31, 2003. It both protected capital in the first few months when
the Japanese equity market fell, and outpaced the surge in stock prices
that began in April as investors sensed an economic recovery. This
outperformance was due to some successful strategic calls, such as
investing in small- and mid-sized companies, buying sectors set to benefit
from economic recovery, and reducing exposure to defensive blue chips.
China-related names and fast-growing service-sector companies were also
favored by the manager.
Some of the most spectacular gains were achieved by small- and mid-sized
companies. At the beginning of the year, many were trading on low
valuations and generating strong earnings growth. A significant amount of
the Portfolio was switched into these companies. For example, Backs Group,
which supplies sales outsourcing services, was the Portfolio's single
biggest contributor, rallying about 1,442% (in Dollar terms) over the 12
months. Other notable performers among mid-cap names included Isuzu Motors,
the truck manufacturer, and Kawai Musical Instruments.
The Fund benefited from an overweight position in the capital goods and
materials sectors -- both of which are leveraged to economic recovery and
demand from China. Stock selection in these sectors was also good. Pacific
Metals, a nickel refiner that is in the Materials sector, also performed
well. Advantest, a manufacturer of semiconductor production equipment,
rallied substantially as worldwide semiconductor sales increased.
Being underweight blue chips proved a wise decision. Not only were their
earnings lackluster, but also these stocks were over-owned by Japanese
pension funds, who were heavy net sellers of equities due to a government
regulation change, and these names thus underperformed.
From a negative perspective, the Fund was underweight in the banking
sector, which rallied in the summer as economic recovery appeared likely to
reduce their non-performing loans.
Q. HOW WAS THE FUND MANAGED?
A. The Fund was able to take significant views during the year, using
bottom-up information from more than 1,000 company visits done by the team.
While the Portfolio management team remains convinced that Japan's
high-quality blue chips will outperform over the long term, much of the
Portfolio was switched into small/mid-sized companies to match the
short-term mood of the market. Investors' perceptions of Japan's economic
prospects changed dramatically in the early summer, and the market took off
quickly, with rapid rotation through sectors. The Fund correctly called
this change in sentiment and the Portfolio was correctly adjusted
accordingly. The Fund was able to trade actively as share price volatility
was high during the year, with both individual investors and speculative
traders back in the market once again. It also traded its Portfolio
holdings actively because of significant shareholder purchases and sales
activity. By mid-September some profits were taken as the market had become
seriously overbought in the short-term.
6
<Page>
[CHART]
PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS
<Table>
Consumer Goods & Services 25.9%
Industrial Products & Services 23.9%
Technology 15.9%
Finance & Insurance 13.2%
REITs 11.6%
Telecommunications 7.4%
Pharmaceuticals 2.1%
</Table>
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO
<Table>
1.Usen Corp. (Japan) 4.3%
2.Tokyo Buhin
Kogyo Co., LTD (Japan) 3.9%
3.Okinawa Cellular
Telephone Co. (Japan) 3.3%
4.Tact Home Co., LTD
(Japan) 2.5%
5.Arnest One Corp. (Japan) 2.3%
6.Softbank Corp. (Japan) 2.2%
7.Yusen Air & Sea
Service Co. (Japan) 2.1%
8.Alfresa Holdings Corp.
(Japan) 2.1%
9.Mitsubishi Tokyo Financial
Group, Inc. (Japan) 2.1%
10.Glory LTD (Japan) 2.1%
</Table>
Top 10 equity holdings comprised 26.9% of the Portfolio's market value of
investments ($999,245). As of October 31, 2003, the Fund held 95 equity
holdings. Portfolio holdings are subject to change at any time.
7
<Page>
AVERAGE ANNUAL TOTAL RETURNS
<Table>
<Caption>
SINCE
INCEPTION
1 YEAR 3 YEARS 5 YEARS (11/2/95)
-----------------------------------------------
CLASS A SHARES
Without Sales Charge 50.79% (6.30%) 0.83% (4.00%)
With Sales Charge* 42.13% (8.15%) (0.36%) (4.71%)
-----------------------------------------------
CLASS B SHARES
Without CDSC 49.65% (7.09%) 0.13% (4.69%)
With CDSC** 44.65% (8.03%) (0.27%) (4.69%)
</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%
CDSC for the period since inception.
LIFE OF FUND PERFORMANCE (11/2/95 TO 10/31/03)
[CHART]
<Table>
<Caption>
JPMORGAN FLEMING JAPAN FUND TOKYO STOCK EXCHANGE (TOPIX) LIPPER JAPAN EQUITY FUNDS
(CLASS A SHARES) MSCI JAPAN INDEX 1ST SECTION INDEX AVERAGE
Nov-95 $ 9,425 $ 10,000 $ 10,000 $ 10,000
Nov-95 $ 9,425 $ 10,000 $ 10,000 $ 10,000
Dec-95 $ 9,679 $ 10,511 $ 10,479 $ 10,000
Jan-96 $ 9,802 $ 10,373 $ 10,338 $ 10,444
Feb-96 $ 9,604 $ 10,189 $ 10,168 $ 10,459
Mar-96 $ 10,038 $ 10,548 $ 10,544 $ 10,243
Apr-96 $ 10,518 $ 11,149 $ 11,246 $ 10,618
May-96 $ 10,057 $ 10,574 $ 10,697 $ 11,294
Jun-96 $ 10,179 $ 10,630 $ 10,744 $ 10,888
Jul-96 $ 9,699 $ 10,154 $ 10,216 $ 11,064
Aug-96 $ 9,190 $ 9,700 $ 9,782 $ 10,576
Sep-96 $ 9,473 $ 10,036 $ 10,086 $ 10,173
Oct-96 $ 8,879 $ 9,363 $ 9,409 $ 10,372
Nov-96 $ 8,973 $ 9,541 $ 9,479 $ 9,784
Dec-96 $ 8,605 $ 8,882 $ 8,749 $ 9,873
Jan-97 $ 8,470 $ 7,916 $ 7,806 $ 9,426
Feb-97 $ 8,768 $ 8,101 $ 7,957 $ 8,916
Mar-97 $ 8,633 $ 7,834 $ 7,696 $ 9,068
Apr-97 $ 8,951 $ 8,119 $ 7,880 $ 8,906
May-97 $ 9,779 $ 9,015 $ 8,853 $ 9,257
Jun-97 $ 10,260 $ 9,688 $ 9,423 $ 10,384
Jul-97 $ 10,789 $ 9,393 $ 9,050 $ 10,865
Aug-97 $ 9,573 $ 8,579 $ 8,239 $ 11,054
Sep-97 $ 9,718 $ 8,449 $ 8,006 $ 9,835
Oct-97 $ 9,187 $ 7,662 $ 7,392 $ 9,777
Nov-97 $ 9,033 $ 7,191 $ 6,831 $ 9,121
Dec-97 $ 8,745 $ 6,780 $ 6,293 $ 8,677
Jan-98 $ 8,643 $ 7,385 $ 6,961 $ 8,224
Feb-98 $ 8,368 $ 7,423 $ 7,016 $ 8,858
Mar-98 $ 8,205 $ 6,918 $ 6,572 $ 8,782
Apr-98 $ 8,094 $ 6,891 $ 6,481 $ 8,397
May-98 $ 8,185 $ 6,512 $ 6,172 $ 8,456
Jun-98 $ 8,114 $ 6,603 $ 6,209 $ 8,248
Jul-98 $ 8,022 $ 6,516 $ 6,122 $ 8,253
Aug-98 $ 7,279 $ 5,773 $ 5,489 $ 8,423
Sep-98 $ 7,086 $ 5,615 $ 5,390 $ 7,752
Oct-98 $ 6,526 $ 6,557 $ 6,248 $ 7,495
Nov-98 $ 6,821 $ 6,857 $ 6,541 $ 7,983
Dec-98 $ 7,025 $ 7,122 $ 6,777 $ 8,586
Jan-99 $ 6,913 $ 7,174 $ 6,807 $ 8,869
Feb-99 $ 6,689 $ 7,017 $ 6,641 $ 8,942
Mar-99 $ 7,616 $ 7,990 $ 7,562 $ 8,896
Apr-99 $ 7,921 $ 8,323 $ 7,917 $ 10,153
May-99 $ 7,575 $ 7,854 $ 7,527 $ 10,718
Jun-99 $ 8,206 $ 8,598 $ 8,270 $ 10,384
Jul-99 $ 8,929 $ 9,456 $ 9,108 $ 11,994
Aug-99 $ 9,132 $ 9,389 $ 9,393 $ 13,284
Sep-99 $ 9,631 $ 9,959 $ 10,030 $ 13,985
Oct-99 $ 10,018 $ 10,387 $ 10,621 $ 14,800
Nov-99 $ 10,537 $ 10,832 $ 11,386 $ 15,395
Dec-99 $ 11,260 $ 11,505 $ 11,928 $ 16,881
Jan-00 $ 10,476 $ 11,007 $ 11,311 $ 18,235
Feb-00 $ 10,394 $ 10,722 $ 11,094 $ 17,336
Mar-00 $ 10,934 $ 11,606 $ 11,830 $ 17,641
Apr-00 $ 10,089 $ 10,733 $ 10,852 $ 18,592
May-00 $ 9,193 $ 10,187 $ 10,060 $ 16,866
Jun-00 $ 9,682 $ 10,887 $ 10,704 $ 15,601
Jul-00 $ 8,460 $ 9,633 $ 9,436 $ 16,625
Aug-00 $ 9,152 $ 10,256 $ 10,086 $ 14,568
Sep-00 $ 8,979 $ 9,746 $ 9,711 $ 15,747
Oct-00 $ 8,266 $ 9,181 $ 9,017 $ 14,900
Nov-00 $ 8,083 $ 8,800 $ 8,777 $ 13,593
Dec-00 $ 7,442 $ 8,265 $ 8,022 $ 13,021
Jan-01 $ 7,422 $ 8,167 $ 7,980 $ 11,879
Feb-01 $ 6,800 $ 7,799 $ 7,556 $ 11,795
Mar-01 $ 6,739 $ 7,567 $ 7,306 $ 10,899
Apr-01 $ 7,146 $ 8,081 $ 7,929 $ 10,745
May-01 $ 7,238 $ 8,062 $ 7,908 $ 11,616
Jun-01 $ 6,759 $ 7,581 $ 7,481 $ 11,489
Jul-01 $ 6,240 $ 7,017 $ 6,835 $ 10,867
Aug-01 $ 5,976 $ 6,841 $ 6,652 $ 9,894
Sep-01 $ 5,375 $ 6,202 $ 6,184 $ 9,407
Oct-01 $ 5,385 $ 6,189 $ 6,229 $ 8,559
Nov-01 $ 5,599 $ 6,257 $ 6,140 $ 8,792
Dec-01 $ 5,253 $ 5,834 $ 5,668 $ 8,822
Jan-02 $ 4,937 $ 5,377 $ 5,229 $ 8,309
Feb-02 $ 5,212 $ 5,601 $ 5,454 $ 7,658
Mar-02 $ 5,569 $ 5,922 $ 5,787 $ 7,941
Apr-02 $ 5,752 $ 6,266 $ 6,096 $ 8,488
May-02 $ 6,017 $ 6,657 $ 6,529 $ 8,810
Jun-02 $ 5,701 $ 6,310 $ 6,186 $ 9,307
Jul-02 $ 5,212 $ 5,871 $ 5,831 $ 8,795
Aug-02 $ 5,080 $ 5,809 $ 5,749 $ 8,174
Sep-02 $ 4,764 $ 5,549 $ 5,496 $ 8,039
Oct-02 $ 4,510 $ 5,163 $ 5,113 $ 7,614
Nov-02 $ 4,754 $ 5,372 $ 5,294 $ 7,098
Dec-02 $ 4,622 $ 5,234 $ 5,165 $ 7,347
Jan-03 $ 4,531 $ 5,022 $ 4,976 $ 7,123
Feb-03 $ 4,541 $ 5,051 $ 5,035 $ 6,835
Mar-03 $ 4,195 $ 4,822 $ 4,863 $ 6,883
Apr-03 $ 4,225 $ 4,784 $ 4,888 $ 6,565
May-03 $ 4,541 $ 5,016 $ 5,126 $ 6,576
Jun-03 $ 5,091 $ 5,386 $ 5,509 $ 6,903
Jul-03 $ 5,264 $ 5,605 $ 5,706 $ 7,407
Aug-03 $ 5,865 $ 6,196 $ 6,289 $ 7,739
Sep-03 $ 6,028 $ 6,563 $ 6,702 $ 8,518
Oct-03 $ 6,800 $ 6,864 $ 6,974 $ 8,975
</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 11/2/95.
Returns for the Class B Shares prior to 11/3/95 (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 Fleming Japan Fund, MSCI Japan Index, Tokyo Stock
Exchange (TOPIX) 1st Section Index and Lipper Japan Equity Funds Average from
November 2, 1995 to October 31, 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
MSCI Japan Index is a replica (or model) of the performance of the Japan Equity
Markets. The Tokyo Stock Exchange (TOPIX) 1st Section Index, also known as the
Tokyo Price Index, is an unmanaged capitalization-weighted index of all
companies listed on the First Section of the Tokyo Stock Exchange. The Lipper
Japan Equity Funds Average describes the average total returns for all 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.
8
<Page>
JPMorgan Fleming International Growth Fund
AS OF OCTOBER 31, 2003 (Unaudited)
<Table>
FUND FACTS
Fund Inception 12/29/2000
Fiscal Year End OCTOBER 31
Net Assets as of 10/31/2003
(In Millions) $4.0
Primary Benchmark MSCI EAFE
GROWTH INDEX
</Table>
Q: HOW DID THE FUND PERFORM?
A: JPMorgan Fleming International Growth Fund, which seeks long-term capital
appreciation from investing in a portfolio of international growth stocks,
rose by 24.8% (A Shares, no sales charge) in the year ended October 31,
2003. This compares with an increase of 21.3% in the MSCI EAFE Growth
Index.
Q: WHY DID THE FUND OUTPERFORM ITS BENCHMARK?
A: The Fund outperformed its MSCI EAFE Growth Index benchmark, demonstrating
exceptionally strong performance as the markets rallied from mid-March
onward in anticipation of economic recovery later in the year. Many of the
stocks that performed well for the portfolio benefited particularly from
increased confidence in financial markets.
The most direct beneficiaries were European financial stocks such as BNP
Paribas, Deutsche Bank, and Dexia. The stock prices of these companies
bounced with improved perceptions about the quality of their loan books,
growing optimism about capital markets activity, and in sympathy with
stronger equity prices. Another financial stock that made a significant
positive impact was Brazilian bank Unibanco, which rallied in line with the
Brazilian equity market.
The Fund also benefited from being overweight the Information Technology
sector, where we found a large number of companies demonstrating high
earnings growth. Holdings such as Dassault Systemes, Samsung Electronics,
and Taiwan Semiconductor Manufacturing Co. performed well. Dassault
Systemes was helped by its leadership in Product Lifecycle Management
software, while Samsung Electronics and Taiwan Semiconductor Manufacturing
Co. gained from increasing demand for PCs, flat-screen panels and other
electronic goods.
Otherwise, performance was boosted by an eclectic group of growth stocks.
Compagnie de Saint-Gobain, the French industrials group, was a strong
performer both as its results demonstrated strong cash flow, and as
investors anticipated increased profits from a revival in economic growth.
Vodafone Group, the U.K. cellular phone company, also did well as European
telecom stocks recovered from low valuations.
Not all holdings outperformed the benchmark, however. The Materials sector
detracted from performance, mainly because the Fund was underweight. Not
holding BHP Billiton, the global mining group, also hurt performance.
Q: HOW WAS THE FUND MANAGED?
A: Proprietary fundamental research at both the local and global sector levels
continued to drive stock selection. While the Fund was broadly diversified
across a range of countries and sectors, it was underweight in Japan and
overweight in the rest of Asia. This was because we have found more
attractive growth stocks outside Japan. From a style perspective, growth
stocks have trailed value in the past year.
9
<Page>
[CHART]
PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS
<Table>
United Kingdom 30.0%
Japan 19.3%
France 12.7%
Germany 8.2%
The Netherlands 7.6%
South Korea 5.7%
Switzerland 4.1%
Spain 3.3%
Finland 1.8%
Italy 1.7%
Ireland 1.5%
Australia 1.0%
Hong Kong 1.0%
Taiwan 0.7%
Brazil 0.7%
Russia 0.7%
</Table>
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO
<Table>
1.Vodafone Group PLC
(United Kingdom) 4.3%
2.Total SA (France) 4.2%
3.GlaxoSmithKline PLC
(United Kingdom) 3.9%
4.Aventis SA (France) 3.4%
5.Royal Bank of Scotland Group
PLC (United Kingdom) 3.3%
6.Nestle SA (Switzerland) 2.9%
7.BG Group PLC
(United Kingdom) 2.8%
8.Barclays PLC
(United Kingdom) 2.6%
9.Tesco PLC
(United Kingdom) 2.6%
10.Canon, Inc. (Japan) 2.4%
</Table>
Top 10 equity holdings comprised 32.4% of the Portfolio's market value of
investments ($1,285,676). As of October 31, 2003, the Fund held 59 equity
holdings. Portfolio holdings are subject to change at any time.
10
<Page>
AVERAGE ANNUAL TOTAL RETURNS
<Table>
<Caption>
SINCE
INCEPTION
1 YEAR (12/29/00)
-----------------------
CLASS A SHARES
Without Sales Charge 24.80% (8.33%)
With Sales Charge* 17.65% (10.22%)
-----------------------
CLASS B SHARES
Without CDSC 24.19% (8.80%)
With CDSC** 19.19% (9.77%)
</Table>
* Sales Charge for Class A Shares is 5.75%.
** Assumes 5% CDSC (contingent deferred sales charge) for the one year period
and 3% CDSC for the period since inception.
[CHART]
LIFE OF FUND PERFORMANCE (12/29/00 TO 10/31/03)
<Table>
<Caption>
JPMORGAN FLEMING INTERNATIONAL GROWTH FUND (CLASS A SHARES) MSCI EAFE GROWTH INDEX LIPPER INTERNATIONAL FUNDS INDEX
Dec-00 $ 9,425 $ 10,000 $ 10,000
Dec-00 $ 9,425 $ 10,000 $ 10,000
Jan-01 $ 9,595 $ 9,972 $ 10,059
Feb-01 $ 8,624 $ 8,960 $ 9,353
Mar-01 $ 7,907 $ 8,340 $ 8,695
Apr-01 $ 8,633 $ 8,911 $ 9,224
May-01 $ 8,275 $ 8,552 $ 9,001
Jun-01 $ 7,845 $ 8,136 $ 8,747
Jul-01 $ 7,543 $ 7,939 $ 8,520
Aug-01 $ 7,307 $ 7,577 $ 8,348
Sep-01 $ 6,429 $ 6,860 $ 7,438
Oct-01 $ 6,816 $ 7,133 $ 7,640
Nov-01 $ 7,316 $ 7,500 $ 7,925
Dec-01 $ 7,533 $ 7,543 $ 8,066
Jan-02 $ 7,137 $ 7,136 $ 7,740
Feb-02 $ 7,156 $ 7,233 $ 7,848
Mar-02 $ 7,543 $ 7,508 $ 8,264
Apr-02 $ 7,524 $ 7,548 $ 8,321
May-02 $ 7,439 $ 7,563 $ 8,440
Jun-02 $ 7,203 $ 7,368 $ 8,107
Jul-02 $ 6,438 $ 6,583 $ 7,298
Aug-02 $ 6,428 $ 6,532 $ 7,304
Sep-02 $ 5,494 $ 5,964 $ 6,517
Oct-02 $ 5,900 $ 6,301 $ 6,855
Nov-02 $ 6,325 $ 6,486 $ 7,180
Dec-02 $ 6,013 $ 6,335 $ 6,950
Jan-03 $ 5,654 $ 6,022 $ 6,696
Feb-03 $ 5,531 $ 5,892 $ 6,497
Mar-03 $ 5,418 $ 5,830 $ 6,338
Apr-03 $ 6,079 $ 6,335 $ 6,966
May-03 $ 6,522 $ 6,662 $ 7,413
Jun-03 $ 6,636 $ 6,778 $ 7,588
Jul-03 $ 6,692 $ 6,867 $ 7,800
Aug-03 $ 6,834 $ 6,993 $ 8,026
Sep-03 $ 7,013 $ 7,229 $ 8,187
Oct-03 $ 7,364 $ 7,645 $ 8,675
</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 12/29/00.
The graph illustrates comparative performance for $10,000 invested in Class A
Shares of the JPMorgan Fleming International Growth Fund, MSCI EAFE Growth Index
and Lipper International Funds Index from December 29, 2000 to October 31, 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 MSCI EAFE Growth Index is a market
capitalization-weighted index representing all 20 developed markets that make up
that index. The Lipper International 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 Fleming International Value Fund
AS OF OCTOBER 31, 2003 (Unaudited)
<Table>
FUND FACTS
Fund Inception 11/4/1993
Fiscal Year End OCTOBER 31
Net Assets as of 10/31/2003
(In Millions) $43.2
Primary Benchmark CITIGROUP PMI
VALUE EPAC INDEX
</Table>
Q: HOW DID THE FUND PERFORM?
A: JPMorgan Fleming International Value Fund, which seeks long-term capital
appreciation through investing in foreign equities, rose by 27.2%
(Institutional Shares) in the year ended October 31, 2003. This compares
with an increase of 27.0% in the Citigroup PMI Value EPAC Index (formerly
known as the SSB PMI Value EPAC Index).
Q: WHY DID THE FUND OUTPERFORM ITS BENCHMARK?
A: The Fund achieved strong gains in the year ended October 31, 2003,
outperforming the Citigroup PMI Value EPAC Index benchmark. While the Fund
participated in the global stock market rally, relative to the benchmark,
the performance of its holdings was mixed. Stock selection added value in a
number of areas, particularly in Japan. Unforeseen difficulties in just a
few holdings hindered performance.
From a positive perspective, Reliance Industries, an Indian conglomerate
with a large bulk chemicals business, was the portfolio's best performer.
As demand for raw materials increased, Reliance was able to lift its prices
at a time when sales were also growing. A number of Indian companies are
currently performing well, as they benefit from their low cost base.
The greatest detractor from performance was Bayer, the German chemical and
pharmaceutical company. The stock price fell heavily early in the year, as
fears mounted about the financial impact of lawsuits relating to the
damaging side effects of its cholesterol lowering drug Baycol. As evidence
mounted of harmful side effects, which led to several fatalities, Baycol
was withdrawn from the market.
In Japan, JFE Holdings, the steel and engineering company, contributed to
performance as it achieved greater-than-expected post-merger synergies, and
benefited from a sharp increase in steel demand from China. Financial
stocks also did well, as the local economy recovered from several years of
malaise, and the Japanese stock market rallied. Holdings such as Mitsui
Sumitomo Insurance and Mitsubishi Tokyo Financial Group performed
exceptionally well.
Other than Bayer, a major detractor from performance was Australia & New
Zealand Banking Group, which suffered as investors switched out of local
stocks and into international stocks such as the Australian mining
companies.
Q: HOW WAS THE FUND MANAGED?
A: Expectations of increased business activity within a number of cyclical
sectors caused our analysts to raise earnings forecasts for stocks in these
areas. As a result, we lifted our exposure to several cyclical stocks.
The Fund continues to use a global network of research analysts to find
attractive foreign value stocks. It seeks to minimize risk through stock
selection, and country and sector diversification.
12
<Page>
[CHART]
PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS
<Table>
Japan 18.0%
United Kingdom 15.5%
France 12.7%
The Netherlands 10.7%
Switzerland 9.3%
Germany 7.2%
Italy 4.2%
Singapore 3.3%
Brazil 2.7%
Spain 2.3%
Australia 2.3%
India 2.1%
South Korea 2.0%
Ireland 1.9%
Thailand 1.5%
Mexico 1.3%
Hong Kong 1.2%
Russia 0.9%
United States 0.7%
Greece 0.2%
</Table>
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO
<Table>
1.BNP Paribas (France) 3.4%
2.Royal Bank of Scotland
Group PLC (United Kingdom) 3.3%
3.AXA (France) 3.0%
4.Total SA (France) 2.8%
5.ABN AMRO Holding NV
(The Netherlands) 2.8%
6.Credit Suisse Group
(Switzerland) 2.8%
7.Koninklijke Philips Electronics
NV (The Netherlands) 2.5%
8.Sony Corp. (Japan) 2.5%
9.Fujitsu LTD (Japan) 2.5%
10.Unilever PLC
(United Kingdom) 2.3%
</Table>
Top 10 equity holdings comprised 27.9% of the Portfolio's market value of
investments ($11,946,356). As of October 31, 2003, the Fund held 58 equity
holdings. Portfolio holdings are subject to change at any time.
13
<Page>
AVERAGE ANNUAL TOTAL RETURNS
<Table>
<Caption>
1 YEAR 3 YEARS 5 YEARS 10 YEARS
-----------------------------------------------
CLASS A SHARES
Without Sales Charge 26.71% (7.36%) (1.34%) 1.60%
With Sales Charge* 19.36% (9.16%) (2.49%) 1.00%
-----------------------------------------------
CLASS B SHARES
Without CDSC 25.97% (7.64%) (1.52%) 1.51%
With CDSC** 20.97% (8.58%) (1.86%) 1.51%
-----------------------------------------------
INSTITUTIONAL SHARES 27.23% (6.78%) (0.85%) 1.97%
-----------------------------------------------
SELECT SHARES 26.89% (7.19%) (1.23%) 1.65%
</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 ten year period.
[CHART]
TEN-YEAR PERFORMANCE (10/31/93 TO 10/31/03)
<Table>
<Caption>
JPMORGAN FLEMING INTERNATIONAL VALUE FUND
(INSTITUTIONAL SHARES) CITIGROUP PMI VALUE EPAC INDEX LIPPER INTERNATIONAL FUNDS INDEX
Oct-93 $ 3,000,000 $ 3,000,000 $ 3,000,000
Nov-93 $ 3,547,729 $ 2,761,500 $ 2,880,900
Dec-93 $ 3,641,744 $ 2,950,110 $ 3,169,854
Jan-94 $ 3,478,594 $ 3,209,130 $ 3,367,336
Feb-94 $ 3,143,953 $ 3,192,764 $ 3,286,183
Mar-94 $ 3,119,430 $ 3,080,378 $ 3,135,676
Apr-94 $ 2,751,962 $ 3,214,067 $ 3,218,772
May-94 $ 2,866,168 $ 3,210,531 $ 3,213,943
Jun-94 $ 2,992,853 $ 3,271,210 $ 3,163,163
Jul-94 $ 2,871,642 $ 3,308,175 $ 3,260,589
Aug-94 $ 2,791,236 $ 3,378,308 $ 3,373,405
Sep-94 $ 2,702,196 $ 3,281,689 $ 3,286,371
Oct-94 $ 2,613,293 $ 3,408,034 $ 3,345,197
Nov-94 $ 2,888,473 $ 3,231,498 $ 3,188,976
Dec-94 $ 3,049,361 $ 3,249,917 $ 3,146,563
Jan-95 $ 3,167,981 $ 3,130,970 $ 2,990,494
Feb-95 $ 3,239,894 $ 3,103,731 $ 2,989,596
Mar-95 $ 3,358,475 $ 3,311,060 $ 3,068,223
Apr-95 $ 3,413,554 $ 3,434,231 $ 3,181,133
May-95 $ 3,645,621 $ 3,406,071 $ 3,212,308
Jun-95 $ 3,017,496 $ 3,341,355 $ 3,224,515
Jul-95 $ 3,210,918 $ 3,564,558 $ 3,401,864
Aug-95 $ 3,151,516 $ 3,414,846 $ 3,344,372
Sep-95 $ 3,178,303 $ 3,495,437 $ 3,400,223
Oct-95 $ 3,106,792 $ 3,394,069 $ 3,329,498
Nov-95 $ 3,178,248 $ 3,508,789 $ 3,364,125
Dec-95 $ 3,321,905 $ 3,655,807 $ 3,461,685
Jan-96 $ 3,361,768 $ 3,648,130 $ 3,543,381
Feb-96 $ 3,349,665 $ 3,658,709 $ 3,558,617
Mar-96 $ 3,426,038 $ 3,746,884 $ 3,614,132
Apr-96 $ 3,536,013 $ 3,863,787 $ 3,731,952
May-96 $ 3,493,228 $ 3,813,171 $ 3,727,847
Jun-96 $ 3,533,050 $ 3,841,389 $ 3,761,771
Jul-96 $ 3,413,633 $ 3,739,976 $ 3,634,999
Aug-96 $ 3,425,922 $ 3,774,384 $ 3,682,254
Sep-96 $ 3,517,737 $ 3,874,782 $ 3,764,736
Oct-96 $ 3,496,279 $ 3,857,733 $ 3,749,677
Nov-96 $ 3,621,795 $ 4,014,743 $ 3,925,912
Dec-96 $ 3,603,686 $ 3,970,983 $ 3,960,853
Jan-97 $ 3,520,801 $ 3,798,642 $ 3,966,002
Feb-97 $ 3,558,826 $ 3,863,979 $ 4,037,787
Mar-97 $ 3,590,500 $ 3,892,572 $ 4,059,187
Apr-97 $ 3,603,066 $ 3,895,686 $ 4,077,047
May-97 $ 3,803,757 $ 4,186,694 $ 4,306,993
Jun-97 $ 3,969,221 $ 4,423,661 $ 4,513,728
Jul-97 $ 4,010,501 $ 4,477,187 $ 4,658,619
Aug-97 $ 3,720,942 $ 4,207,213 $ 4,322,733
Sep-97 $ 3,908,850 $ 4,437,768 $ 4,600,252
Oct-97 $ 3,625,458 $ 4,136,000 $ 4,251,093
Nov-97 $ 3,600,080 $ 4,065,274 $ 4,215,384
Dec-97 $ 3,655,881 $ 4,087,226 $ 4,248,264
Jan-98 $ 3,788,224 $ 4,280,552 $ 4,351,072
Feb-98 $ 3,995,440 $ 4,540,382 $ 4,627,365
Mar-98 $ 4,117,701 $ 4,737,888 $ 4,878,631
Apr-98 $ 4,182,349 $ 4,764,894 $ 4,953,762
May-98 $ 4,185,694 $ 4,772,518 $ 4,963,669
Jun-98 $ 4,212,901 $ 4,805,449 $ 4,920,485
Jul-98 $ 4,223,012 $ 4,847,737 $ 4,995,769
Aug-98 $ 3,652,906 $ 4,173,416 $ 4,276,878
Sep-98 $ 3,456,014 $ 4,010,236 $ 4,143,867
Oct-98 $ 3,805,763 $ 4,460,184 $ 4,448,441
Nov-98 $ 3,992,626 $ 4,688,992 $ 4,671,308
Dec-98 $ 4,154,726 $ 4,775,269 $ 4,786,222
Jan-99 $ 4,151,403 $ 4,724,174 $ 4,815,418
Feb-99 $ 4,046,372 $ 4,665,594 $ 4,691,662
Mar-99 $ 4,224,817 $ 4,927,334 $ 4,847,894
Apr-99 $ 4,399,725 $ 5,231,843 $ 5,073,806
May-99 $ 4,196,897 $ 4,949,324 $ 4,885,060
Jun-99 $ 4,396,250 $ 5,109,682 $ 5,116,612
Jul-99 $ 4,532,973 $ 5,276,768 $ 5,230,713
Aug-99 $ 4,553,825 $ 5,335,340 $ 5,272,035
Sep-99 $ 4,571,129 $ 5,356,682 $ 5,288,906
Oct-99 $ 4,746,204 $ 5,533,988 $ 5,473,488
Nov-99 $ 4,952,664 $ 5,571,619 $ 5,874,695
Dec-99 $ 5,410,290 $ 5,889,758 $ 6,596,695
Jan-00 $ 5,113,265 $ 5,372,638 $ 6,210,789
Feb-00 $ 5,362,281 $ 5,313,001 $ 6,620,701
Mar-00 $ 5,453,976 $ 5,697,663 $ 6,637,914
Apr-00 $ 5,127,828 $ 5,503,372 $ 6,217,071
May-00 $ 4,951,943 $ 5,501,721 $ 6,046,101
Jun-00 $ 5,135,165 $ 5,749,299 $ 6,326,036
Jul-00 $ 4,951,840 $ 5,531,400 $ 6,121,072
Aug-00 $ 4,951,840 $ 5,646,454 $ 6,224,518
Sep-00 $ 4,691,373 $ 5,449,392 $ 5,861,629
Oct-00 $ 4,500,903 $ 5,378,005 $ 5,662,333
Nov-00 $ 4,288,461 $ 5,231,186 $ 5,423,383
Dec-00 $ 4,449,707 $ 5,490,653 $ 5,625,675
Jan-01 $ 4,437,693 $ 5,474,730 $ 5,658,867
Feb-01 $ 4,088,003 $ 5,209,205 $ 5,261,614
Mar-01 $ 3,802,660 $ 4,874,253 $ 4,891,723
Apr-01 $ 4,076,071 $ 5,207,652 $ 5,189,139
May-01 $ 3,959,496 $ 5,081,106 $ 5,063,562
Jun-01 $ 3,770,628 $ 4,952,046 $ 4,920,770
Jul-01 $ 3,662,034 $ 4,827,750 $ 4,792,830
Aug-01 $ 3,609,666 $ 4,780,438 $ 4,696,494
Sep-01 $ 3,263,860 $ 4,288,053 $ 4,184,576
Oct-01 $ 3,328,158 $ 4,363,951 $ 4,297,978
Nov-01 $ 3,448,638 $ 4,472,177 $ 4,458,293
Dec-01 $ 3,474,158 $ 4,494,091 $ 4,537,650
Jan-02 $ 3,318,863 $ 4,290,059 $ 4,354,329
Feb-02 $ 3,278,041 $ 4,341,969 $ 4,415,290
Mar-02 $ 3,482,263 $ 4,589,461 $ 4,648,859
Apr-02 $ 3,547,729 $ 4,663,352 $ 4,681,401
May-02 $ 3,641,744 $ 4,792,526 $ 4,748,345
Jun-02 $ 3,478,594 $ 4,603,701 $ 4,560,785
Jul-02 $ 3,143,953 $ 4,171,413 $ 4,105,619
Aug-02 $ 3,119,430 $ 4,182,676 $ 4,108,903
Sep-02 $ 2,751,962 $ 3,720,072 $ 3,666,374
Oct-02 $ 2,866,168 $ 3,872,223 $ 3,856,659
Nov-02 $ 2,992,853 $ 4,054,605 $ 4,039,079
Dec-02 $ 2,871,642 $ 3,907,017 $ 3,909,829
Jan-03 $ 2,791,236 $ 3,758,941 $ 3,766,729
Feb-03 $ 2,702,196 $ 3,675,117 $ 3,655,234
Mar-03 $ 2,613,293 $ 3,583,239 $ 3,565,681
Apr-03 $ 2,888,473 $ 3,936,905 $ 3,918,683
May-03 $ 3,049,361 $ 4,178,237 $ 4,170,262
Jun-03 $ 3,167,981 $ 4,310,269 $ 4,268,681
Jul-03 $ 3,239,894 $ 4,469,318 $ 4,388,204
Aug-03 $ 3,358,475 $ 4,579,710 $ 4,515,023
Sep-03 $ 3,413,554 $ 4,707,484 $ 4,605,775
Oct-03 $ 3,645,621 $ 5,042,186 $ 4,880,279
</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 10/4/93.
Returns for the Institutional Shares prior to 10/4/93 (offering date of the
Institutional Shares) are calculated using the historical expenses of the J.P.
Morgan International Equity Fund, which are higher than the expenses of the
Institutional Shares.
Returns for the Select Shares prior to 9/10/01 (offering date of the Select
Shares) are calculated using the historical expenses of the J.P. Morgan
International Equity Fund, which were lower than the expenses of the Select
Share.
Returns for the Class A and B Shares prior to 9/28/01 (offering date of the
Class A and B Shares) are calculated using the historical expenses of the Select
Shares, which are lower than the expenses of the Class A and B Shares.
The graph illustrates comparative performance for $3,000,000 invested in
Institutional Shares of the JPMorgan Fleming International Value Fund, Citigroup
PMI Value EPAC Index, and Lipper International Funds Index from October 31, 1993
to October 31, 2003. The performance of the Fund assumes reinvestment of all
dividends and capital gains and does not include a sales charge. The performance
of the indices does not include a sales charge and has been adjusted to reflect
reinvestment of all dividends and capital gains of the securities included in
the benchmark. The Citigroup PMI Value EPAC Index consists of stocks in the Euro
Pacific region of the Primary Market Index (The Primary Market Index are stocks
that fall in the top 80% of each country's cumulative available capital) that
have a value style. The Lipper International 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 Fleming International Opportunities Fund
AS OF OCTOBER 31, 2003 (Unaudited)
<Table>
FUND FACTS
Fund Inception 2/26/1997
Fiscal Year End OCTOBER 31
Net Assets as of 10/31/2003
(In Millions) $176.9
Primary Benchmark MSCI EAFE INDEX
</Table>
Q: HOW DID THE FUND PERFORM?
A: JPMorgan Fleming International Opportunities Fund, which seeks long-term
capital appreciation through investing in foreign equities, rose by 24.0%
(Institutional Shares) in the year ended October 31, 2003. This compares
with an increase of 27.0% in the MSCI EAFE Index (in U.S. dollars). Please
note that the Fund's benchmark was changed to the MSCI EAFE Index on
February 28, 2003, from the MSCI All Country World Free (ex-U.S.) Index.
Q: WHY DID THE FUND PERFORM IN THIS WAY?
A: The Fund achieved strong gains in the year ended October 31, 2003, although
it trailed the MSCI EAFE Index benchmark. Relative to the benchmark, the
performance of its holdings was mixed. Unforeseen difficulties in just a
few U.K. and Dutch holdings led to some underperformance. At the same time,
stock selection added value in a number of areas, particularly in cyclical
stocks in Japan.
The greatest disappointment was Corus, the Anglo-Dutch steel manufacturer.
The company's Dutch Supervisory Board stopped the sale of its aluminum
business, preventing it from paying down debt and focusing on its carbon
steel business. U.K. electrical retailer Dixons Group fell back sharply
early in 2003 following poor Christmas sales and the announcement of a
monopolies inquiry into its sale of extended warranties, from which it
makes significant profits.
In India, a number of low-cost manufacturers performed exceptionally well.
Reliance Industries, a conglomerate with a large bulk chemicals business,
was the portfolio's best performer. As demand for raw materials increased,
Reliance was able to lift its prices at a time when sales were also
growing. Ranbaxy Laboratories, a pharmaceutical company, was another major
contributor. Ranbaxy can manufacture pharmaceuticals for a fraction of what
it costs in developed countries, and is gaining momentum by producing
generic versions of blockbuster drugs.
In Japan, JFE Holdings, the steel and engineering company, performed well
as it achieved greater-than-expected post-merger synergies, and benefited
from a sharp increase in steel demand from China.
Another area of relative strength was the Energy sector, where being
overweight the Russian oil stock, LUKOIL, and underweight the major
European stocks, BP and Shell, proved to be a profitable strategy. LUKOIL
stock was trading on a considerably cheaper valuation than BP and Shell,
and appreciated more with buoyant oil prices.
Q: HOW WAS THE FUND MANAGED?
A: Expectations of increased business activity within Japan and a number of
cyclical sectors caused our analysts to raise earnings forecasts for stocks
in these areas. As a result, we lifted our exposure to several cyclical
stocks and reduced the underweight position in Japan. Examples of companies
where we increased weightings are JFE Holdings and Minebea Co., the
Japanese ball bearing manufacturer.
15
<Page>
[CHART]
PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS
<Table>
United Kingdom 24.2%
Japan 18.8%
France 9.7%
Switzerland 8.9%
The Netherlands 6.1%
Germany 4.5%
Finland 4.4%
Hong Kong 3.8%
Australia 2.8%
South Korea 2.3%
India 2.3%
Italy 2.1%
Spain 2.0%
Sweden 1.5%
Brazil 1.3%
Taiwan 1.1%
Mexico 1.0%
Singapore 0.7%
United States 0.7%
Belgium 0.5%
Russia 0.5%
Denmark 0.3%
Thailand 0.3%
Greece 0.2%
</Table>
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO
<Table>
1.Nokia OYJ (Finland) 3.1%
2.Vodafone Group PLC
(United Kingdom) 3.0%
3.Total SA (France) 2.6%
4.HSBC Holdings PLC
(United Kingdom) 2.6%
5.Royal Bank of Scotland Group
PLC (United Kingdom) 2.5%
6.BNP Paribas (France) 2.4%
7.Honda Motor Co., LTD
(Japan) 2.3%
8.Reliance Industries LTD
(India), GDR, 2.3%
9.Unilever PLC
(United Kingdom) 2.2%
10.GlaxoSmithKline PLC
(United Kingdom) 2.1%
</Table>
Top 10 equity holdings comprised 25.1% of the Portfolio's market value of
investments ($43,493,594). As of October 31, 2003, the Fund held 98 equity
holdings. Portfolio holdings are subject to change at any time.
16
<Page>
AVERAGE ANNUAL TOTAL RETURNS
<Table>
<Caption>
SINCE
INCEPTION
1 YEAR 3 YEARS 5 YEARS (2/26/97)
-----------------------------------------------
CLASS A SHARES
Without Sales Charge 22.70% (7.79%) 0.44% (0.14%)
With Sales Charge* 15.60% (9.59%) (0.76%) (1.02%)
-----------------------------------------------
CLASS B SHARES
Without CDSC 22.18% (8.10%) 0.23% (0.29%)
With CDSC** 17.18% (9.00%) (0.14%) (0.29%)
-----------------------------------------------
INSTITUTIONAL SHARES 24.02% (6.92%) 1.03% 0.38%
-----------------------------------------------
SELECT SHARES 23.77% (7.29%) 0.76% 0.10%
</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.
LIFE OF FUND PERFORMANCE (2/26/97 TO 10/31/03)
[CHART]
<Table>
<Caption>
JPMORGAN FLEMING INTERNATIONAL MSCI ALL COUNTRY WORLD
OPPORTUNITIES FUND (INSTITUTIONAL SHARES) INDEX FREE (EX-U.S.) MSCI EAFE INDEX LIPPER INTERNATIONAL FUNDS INDEX
Feb-97 $ 3,000,000 $ 3,000,000 $ 3,000,000 $ 3,000,000
Feb-97 $ 2,988,000 $ 3,000,000 $ 3,000,000 $ 3,000,000
Mar-97 $ 3,002,940 $ 2,993,700 $ 3,010,800 $ 3,015,900
Apr-97 $ 3,023,961 $ 3,019,146 $ 3,026,757 $ 3,029,170
May-97 $ 3,140,988 $ 3,205,428 $ 3,223,799 $ 3,200,015
Jun-97 $ 3,284,845 $ 3,382,367 $ 3,401,430 $ 3,353,616
Jul-97 $ 3,374,850 $ 3,450,691 $ 3,456,534 $ 3,461,267
Aug-97 $ 3,137,935 $ 3,179,122 $ 3,198,331 $ 3,211,710
Sep-97 $ 3,314,915 $ 3,351,112 $ 3,377,437 $ 3,417,901
Oct-97 $ 3,008,948 $ 3,065,598 $ 3,117,712 $ 3,158,483
Nov-97 $ 2,981,868 $ 3,027,278 $ 3,085,912 $ 3,131,951
Dec-97 $ 3,052,240 $ 3,062,091 $ 3,112,759 $ 3,156,381
Jan-98 $ 3,091,614 $ 3,153,648 $ 3,255,012 $ 3,232,765
Feb-98 $ 3,263,817 $ 3,363,996 $ 3,463,984 $ 3,438,046
Mar-98 $ 3,408,730 $ 3,480,390 $ 3,570,675 $ 3,624,731
Apr-98 $ 3,444,863 $ 3,505,449 $ 3,598,883 $ 3,680,552
May-98 $ 3,351,162 $ 3,441,650 $ 3,581,248 $ 3,687,913
Jun-98 $ 3,299,890 $ 3,428,916 $ 3,608,466 $ 3,655,829
Jul-98 $ 3,312,099 $ 3,461,491 $ 3,644,911 $ 3,711,763
Aug-98 $ 2,722,877 $ 2,973,420 $ 3,193,307 $ 3,177,640
Sep-98 $ 2,595,718 $ 2,910,681 $ 3,095,272 $ 3,078,816
Oct-98 $ 2,922,779 $ 3,215,430 $ 3,417,800 $ 3,305,108
Nov-98 $ 3,062,195 $ 3,388,098 $ 3,592,791 $ 3,470,694
Dec-98 $ 3,169,066 $ 3,504,988 $ 3,734,347 $ 3,556,073
Jan-99 $ 3,196,954 $ 3,501,132 $ 3,723,144 $ 3,577,766
Feb-99 $ 3,100,406 $ 3,422,707 $ 3,634,533 $ 3,485,817
Mar-99 $ 3,293,251 $ 3,588,023 $ 3,786,093 $ 3,601,895
Apr-99 $ 3,461,207 $ 3,767,425 $ 3,939,430 $ 3,769,743
May-99 $ 3,361,524 $ 3,590,356 $ 3,736,549 $ 3,629,508
Jun-99 $ 3,557,501 $ 3,755,512 $ 3,882,275 $ 3,801,547
Jul-99 $ 3,674,899 $ 3,843,767 $ 3,997,578 $ 3,886,322
Aug-99 $ 3,712,382 $ 3,857,220 $ 4,012,369 $ 3,917,024
Sep-99 $ 3,749,878 $ 3,883,449 $ 4,052,894 $ 3,929,558
Oct-99 $ 3,849,999 $ 4,027,913 $ 4,204,878 $ 4,066,700
Nov-99 $ 4,037,494 $ 4,189,030 $ 4,350,787 $ 4,364,789
Dec-99 $ 4,432,765 $ 4,588,663 $ 4,741,488 $ 4,901,221
Jan-00 $ 4,157,047 $ 4,339,499 $ 4,440,403 $ 4,614,500
Feb-00 $ 4,293,398 $ 4,456,665 $ 4,559,850 $ 4,919,057
Mar-00 $ 4,325,169 $ 4,624,236 $ 4,736,772 $ 4,931,846
Apr-00 $ 4,134,862 $ 4,366,203 $ 4,487,618 $ 4,619,167
May-00 $ 4,071,598 $ 4,254,429 $ 4,378,120 $ 4,492,140
Jun-00 $ 4,267,849 $ 4,435,667 $ 4,549,305 $ 4,700,126
Jul-00 $ 4,141,094 $ 4,260,458 $ 4,358,689 $ 4,547,842
Aug-00 $ 4,210,665 $ 4,313,288 $ 4,396,609 $ 4,624,701
Sep-00 $ 3,985,394 $ 4,073,901 $ 4,182,494 $ 4,355,081
Oct-00 $ 3,814,022 $ 3,944,351 $ 4,083,788 $ 4,207,008
Nov-00 $ 3,611,116 $ 3,767,249 $ 3,930,646 $ 4,029,472
Dec-00 $ 3,713,672 $ 3,896,089 $ 4,070,183 $ 4,179,772
Jan-01 $ 3,726,670 $ 3,954,530 $ 4,068,148 $ 4,204,432
Feb-01 $ 3,441,580 $ 3,641,332 $ 3,763,037 $ 3,909,281
Mar-01 $ 3,169,695 $ 3,383,889 $ 3,512,043 $ 3,634,459
Apr-01 $ 3,402,667 $ 3,613,994 $ 3,756,130 $ 3,855,434
May-01 $ 3,383,272 $ 3,514,248 $ 3,623,538 $ 3,762,132
Jun-01 $ 3,273,316 $ 3,379,301 $ 3,475,336 $ 3,656,040
Jul-01 $ 3,129,617 $ 3,304,280 $ 3,412,084 $ 3,560,983
Aug-01 $ 3,113,343 $ 3,222,334 $ 3,325,759 $ 3,489,407
Sep-01 $ 2,742,855 $ 2,880,444 $ 2,988,859 $ 3,109,062
Oct-01 $ 2,807,861 $ 2,961,097 $ 3,065,374 $ 3,193,317
Nov-01 $ 2,957,239 $ 3,096,419 $ 3,178,486 $ 3,312,428
Dec-01 $ 3,005,738 $ 3,136,363 $ 3,197,240 $ 3,371,389
Jan-02 $ 2,851,243 $ 3,002,126 $ 3,027,466 $ 3,235,185
Feb-02 $ 2,851,243 $ 3,023,742 $ 3,048,658 $ 3,280,478
Mar-02 $ 3,008,917 $ 3,187,931 $ 3,213,591 $ 3,454,015
Apr-02 $ 3,045,024 $ 3,208,652 $ 3,234,800 $ 3,478,193
May-02 $ 3,097,703 $ 3,243,627 $ 3,275,882 $ 3,527,931
Jun-02 $ 2,933,524 $ 3,103,502 $ 3,145,502 $ 3,388,578
Jul-02 $ 2,641,052 $ 2,800,911 $ 2,835,041 $ 3,050,398
Aug-02 $ 2,670,632 $ 2,801,191 $ 2,828,521 $ 3,052,838
Sep-02 $ 2,348,821 $ 2,504,265 $ 2,524,738 $ 2,724,048
Oct-02 $ 2,480,120 $ 2,638,493 $ 2,660,316 $ 2,865,426
Nov-02 $ 2,611,566 $ 2,765,405 $ 2,781,094 $ 3,000,960
Dec-02 $ 2,487,778 $ 2,676,082 $ 2,687,650 $ 2,904,930
Jan-03 $ 2,364,882 $ 2,582,152 $ 2,575,575 $ 2,798,609
Feb-03 $ 2,305,050 $ 2,529,734 $ 2,516,594 $ 2,715,770
Mar-03 $ 2,235,207 $ 2,480,657 $ 2,467,269 $ 2,649,234
Apr-03 $ 2,457,834 $ 2,719,792 $ 2,709,061 $ 2,911,508
May-03 $ 2,610,711 $ 2,893,043 $ 2,873,230 $ 3,098,427
Jun-03 $ 2,670,496 $ 2,973,180 $ 2,942,762 $ 3,171,550
Jul-03 $ 2,740,196 $ 3,052,267 $ 3,013,977 $ 3,260,353
Aug-03 $ 2,813,360 $ 3,143,225 $ 3,086,614 $ 3,354,577
Sep-03 $ 2,889,883 $ 3,231,235 $ 3,181,682 $ 3,422,004
Oct-03 $ 3,076,993 $ 3,440,619 $ 3,379,900 $ 3,625,956
</Table>
Source: Lipper Analytical Services, Inc. Past performance is no guarantee of
future results. Investment returns and principal value will fluctuate so that an
investor's shares, when redeemed, may be worth more or less than the original
cost.
The Fund commenced operations on 2/26/97.
Returns for the Institutional Shares prior to 9/10/01 (offering date of the
Institutional Shares) are calculated using the historical expenses of the J.P.
Morgan Institutional International Opportunities 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
International Opportunities Fund, which are similar to the expenses of the
Select Shares.
Returns for the Class A and B Shares prior to 9/10/01 (offering date of the
Class A and B Shares) are calculated using the historical expenses of the J.P.
Morgan International Opportunities Fund, which are lower than the expenses of
the Class A and B Shares.
The graph illustrates comparative performance for $3,000,000 invested in
Institutional Shares of the JPMorgan Fleming International Opportunities Fund,
MSCI EAFE Index, MSCI All Country World Index Free (ex-U.S.), and Lipper
International Funds Index from February 26, 1997 to October 31, 2003. The
performance of the Fund assumes reinvestment of all dividends and capital gains
and does not include a sales charge. The performance of the indices 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 MSCI EAFE (Europe, Australasia, Far East) Index
is a replica (or model) of the performance of the worlds equity markets,
excluding the U.S. and Canada. The MSCI All Country World Index Free (ex-U.S.)
is an unmanaged index that measures developed and emerging foreign stock market
performance. The Lipper International Funds Index represents the total returns
of the funds in the 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.
17
<Page>
JPMorgan Fleming Emerging Markets Equity Fund
AS OF OCTOBER 31, 2003 (Unaudited)
<Table>
FUND FACTS
Fund Inception 11/15/1993
Fiscal Year End OCTOBER 31
Net Assets as of 10/31/2003
(In Millions) $81.5
Primary Benchmark MSCI EMERGING
MARKETS EQUITY
FREE INDEX
</Table>
Q: HOW DID THE FUND PERFORM?
A: JPMorgan Fleming Emerging Markets Equity Fund rose 45.5% (Institutional
Shares) in the year ended October 31, 2003. This compares with an
appreciation of 48.7% from the MSCI Emerging Markets Free Index (in U.S.
dollars).
Q: WHY DID THE FUND PERFORM THIS WAY?
A: As the tentative recovery in global economic growth drove the strongest
rally for several years in emerging market stocks, the value of this Fund
rose with the stock markets in which it invests. It trailed its benchmark,
the MSCI Emerging Markets Free Index, by what was a relatively small amount
in the context of the rise.
Early in 2003, geopolitical concerns and the outbreak of SARS buffeted
Asian markets, but then during the second half they staged a remarkably
strong rebound. Korea lagged the region, and our overweight in the country
detracted from performance. In the first calendar quarter of 2003,
uncertainties regarding an investigation of accounting at the Chaebol
business empires, the durability of the consumer credit boom, and
heightened tension with North Korea, hurt the performance of Korean stocks.
Stock selection within Taiwan made up some of the lost ground, with good
performance from holdings such as Taiwan Semiconductor Manufacturing Co.
and Taishin Financial.
In Latin America, the Fund outperformed in Brazil where the new Lula
administration made critical progress with Social Security and fiscal
reforms. Additionally, the central bank was able to engineer a more
stimulative monetary environment by cutting interest rates. The Fund was
overweight Brazil and benefited from holding stocks such as Banco Itau and
Petroleo Brasileiro. The corresponding underweight position in Mexico has
also been beneficial to the portfolio, as the country's performance has
lagged that of the remainder of the region as well as the overall index.
Russia drove solid performance in the emerging markets region. Both stock
selection and being overweight for much of the year drove performance.
Stock selection in the telecom and energy sectors was beneficial, with
holdings such as Vimpel Com and Gazprom contributing significantly.
Q: HOW WAS THE FUND MANAGED?
A: There were a few significant shifts in country allocation during the year.
We have recently increased our overweight position in Brazil. It has become
the largest country overweight in the portfolio, as we have become
increasingly impressed by the progress of the political stability and
fiscal reforms that are so important to the country's finances. During the
summer, we removed our overweight in Russian equities, as we believed that
stocks were fully valued following a significant rally. We are closely
watching the situation at Yukos Oil, but do not currently believe it has
wider implications.
18
<Page>
[CHART]
PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS
<Table>
South Korea 22.4%
South Africa 14.0%
Brazil 12.4%
Taiwan 11.2%
China 8.6%
Russia 5.0%
Mexico 4.8%
Malaysia 3.9%
India 3.4%
Israel 2.5%
Poland 1.9%
Indonesia 1.6%
Turkey 1.5%
Czech Republic 1.1%
Chile 1.0%
Philippines 0.9%
Luxembourg 0.8%
Egypt 0.8%
Argentina 0.7%
Venezuela 0.6%
Hungary 0.5%
Croatia 0.4%
Thailand 0.0%
</Table>
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO
<Table>
1.Samsung Electronics
Co., LTD (South Korea) 9.0%
2.Anglo American PLC
(South Africa) 4.2%
3.Kookmin Bank
(South Korea) 3.8%
4.Petroleo Brasileiro SA
(Brazil), Class A, ADR 2.7%
5.Sappi LTD (South Africa) 2.7%
6.Taiwan Semiconductor
Manufacturing Co., LTD
(Taiwan) 2.6%
7.Impala Platinum
Holdings LTD
(South Africa) 2.6%
8.SK Telecom Co., LTD
(South Korea), ADR 2.3%
9.China Mobile LTD
(Hong Kong) 1.9%
10.LUKOIL (Russia), ADR 1.7%
</Table>
Top 10 equity holdings comprised 33.5% of the Portfolio's market value of
investments ($26,165,782). As of October 31, 2003, the Fund held 99 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 (11/15/93)
-----------------------------------------------
CLASS A SHARES
Without Sales Charge 44.65% 4.36% 6.99% (0.94%)
With Sales Charge* 36.28% 2.30% 5.74% (1.53%)
-----------------------------------------------
CLASS B SHARES
Without CDSC 43.99% 4.10% 6.83% (1.01%)
With CDSC** 38.99% 3.17% 6.52% (1.01%)
-----------------------------------------------
INSTITUTIONAL SHARES 45.49% 4.91% 7.54% (0.60%)
-----------------------------------------------
SELECT SHARES 44.84% 4.54% 7.11% (0.89%)
</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 (11/15/93 TO 10/31/03)
<Table>
<Caption>
JPMORGAN FLEMING EMERGING MARKETS EQUITY FUND MSCI EMERGING MARKETS LIPPER EMERGING MARKET EQUITY FUNDS
(INSTITUTIONAL SHARES) EQUITY FREE INDEX AVERAGE
Nov-93 $ 3,000,000 $ 3,000,000 $ 3,000,000
Nov-93 $ 3,062,700 $ 3,000,000 $ 3,000,000
Dec-93 $ 3,519,961 $ 3,495,900 $ 3,416,700
Jan-94 $ 3,752,983 $ 3,559,525 $ 3,576,602
Feb-94 $ 3,669,291 $ 3,496,166 $ 3,485,398
Mar-94 $ 3,358,502 $ 3,179,763 $ 3,216,325
Apr-94 $ 3,257,075 $ 3,116,168 $ 3,110,508
May-94 $ 3,319,937 $ 3,222,740 $ 3,174,896
Jun-94 $ 3,239,262 $ 3,133,793 $ 3,058,060
Jul-94 $ 3,397,662 $ 3,328,715 $ 3,239,708
Aug-94 $ 3,711,267 $ 3,741,808 $ 3,549,101
Sep-94 $ 3,791,801 $ 3,784,465 $ 3,585,301
Oct-94 $ 3,726,203 $ 3,716,345 $ 3,507,500
Nov-94 $ 3,582,744 $ 3,523,095 $ 3,354,573
Dec-94 $ 3,267,104 $ 3,240,190 $ 3,116,063
Jan-95 $ 2,868,844 $ 2,895,434 $ 2,821,907
Feb-95 $ 2,792,820 $ 2,821,311 $ 2,780,143
Mar-95 $ 2,853,703 $ 2,839,367 $ 2,807,388
Apr-95 $ 2,951,015 $ 2,966,855 $ 2,922,210
May-95 $ 3,072,597 $ 3,124,691 $ 3,070,951
Jun-95 $ 3,087,652 $ 3,134,065 $ 3,075,557
Jul-95 $ 3,212,393 $ 3,204,269 $ 3,195,504
Aug-95 $ 3,124,374 $ 3,128,648 $ 3,134,789
Sep-95 $ 3,094,067 $ 3,113,943 $ 3,138,238
Oct-95 $ 2,951,121 $ 2,994,679 $ 3,000,783
Nov-95 $ 2,862,883 $ 2,941,374 $ 2,953,670
Dec-95 $ 2,950,773 $ 3,071,971 $ 3,052,028
Jan-96 $ 3,177,393 $ 3,290,388 $ 3,322,743
Feb-96 $ 3,162,141 $ 3,238,071 $ 3,301,809
Mar-96 $ 3,201,984 $ 3,263,328 $ 3,322,611
Apr-96 $ 3,306,049 $ 3,393,861 $ 3,475,783
May-96 $ 3,330,514 $ 3,378,589 $ 3,527,920
Jun-96 $ 3,339,839 $ 3,399,536 $ 3,553,321
Jul-96 $ 3,180,529 $ 3,167,347 $ 3,345,096
Aug-96 $ 3,251,136 $ 3,248,432 $ 3,444,780
Sep-96 $ 3,235,856 $ 3,276,693 $ 3,468,549
Oct-96 $ 3,146,870 $ 3,189,205 $ 3,381,835
Nov-96 $ 3,183,688 $ 3,242,784 $ 3,465,705
Dec-96 $ 3,211,705 $ 3,257,376 $ 3,528,088
Jan-97 $ 3,471,211 $ 3,479,529 $ 3,813,510
Feb-97 $ 3,567,016 $ 3,628,453 $ 3,950,796
Mar-97 $ 3,557,742 $ 3,533,025 $ 3,863,484
Apr-97 $ 3,539,242 $ 3,539,384 $ 3,899,414
May-97 $ 3,665,946 $ 3,640,611 $ 4,077,227
Jun-97 $ 3,851,443 $ 3,835,384 $ 4,313,706
Jul-97 $ 3,978,156 $ 3,892,531 $ 4,460,804
Aug-97 $ 3,564,030 $ 3,397,012 $ 4,065,130
Sep-97 $ 3,700,176 $ 3,491,109 $ 4,229,768
Oct-97 $ 3,047,835 $ 2,918,218 $ 3,569,078
Nov-97 $ 2,961,276 $ 2,811,703 $ 3,430,241
Dec-97 $ 2,963,941 $ 2,879,465 $ 3,486,840
Jan-98 $ 2,744,906 $ 2,653,715 $ 3,240,669
Feb-98 $ 2,917,561 $ 2,930,763 $ 3,539,459
Mar-98 $ 3,057,020 $ 3,057,958 $ 3,672,897
Apr-98 $ 3,083,616 $ 3,024,626 $ 3,696,403
May-98 $ 2,638,959 $ 2,610,252 $ 3,219,567
Jun-98 $ 2,336,798 $ 2,336,437 $ 2,918,860
Jul-98 $ 2,418,119 $ 2,410,502 $ 3,010,804
Aug-98 $ 1,729,680 $ 1,713,626 $ 2,161,155
Sep-98 $ 1,792,813 $ 1,822,270 $ 2,221,451
Oct-98 $ 1,965,820 $ 2,014,155 $ 2,422,270
Nov-98 $ 2,072,171 $ 2,181,732 $ 2,579,476
Dec-98 $ 2,064,918 $ 2,150,097 $ 2,539,236
Jan-99 $ 2,010,198 $ 2,115,481 $ 2,478,040
Feb-99 $ 1,973,813 $ 2,136,001 $ 2,465,898
Mar-99 $ 2,199,618 $ 2,417,526 $ 2,741,092
Apr-99 $ 2,512,843 $ 2,716,574 $ 3,124,023
May-99 $ 2,480,176 $ 2,700,818 $ 3,094,969
Jun-99 $ 2,720,505 $ 3,007,360 $ 3,464,509
Jul-99 $ 2,665,823 $ 2,925,560 $ 3,381,707
Aug-99 $ 2,676,753 $ 2,952,183 $ 3,343,155
Sep-99 $ 2,614,920 $ 2,852,399 $ 3,221,464
Oct-99 $ 2,629,564 $ 2,913,155 $ 3,336,471
Nov-99 $ 2,859,124 $ 3,174,465 $ 3,701,147
Dec-99 $ 3,291,996 $ 3,578,257 $ 4,368,464
Jan-00 $ 3,244,262 $ 3,599,727 $ 4,329,584
Feb-00 $ 3,222,201 $ 3,647,243 $ 4,517,921
Mar-00 $ 3,214,790 $ 3,665,114 $ 4,563,101
Apr-00 $ 2,961,786 $ 3,317,662 $ 4,063,897
May-00 $ 2,855,458 $ 3,180,642 $ 3,829,817
Jun-00 $ 3,013,079 $ 3,292,601 $ 4,023,606
Jul-00 $ 2,870,259 $ 3,123,361 $ 3,840,934
Aug-00 $ 2,910,443 $ 3,138,666 $ 3,920,057
Sep-00 $ 2,657,525 $ 2,864,660 $ 3,523,739
Oct-00 $ 2,448,644 $ 2,656,972 $ 3,265,802
Nov-00 $ 2,206,718 $ 2,424,753 $ 2,954,571
Dec-00 $ 2,296,752 $ 2,483,189 $ 3,059,754
Jan-01 $ 2,604,976 $ 2,825,125 $ 3,424,782
Feb-01 $ 2,421,586 $ 2,603,917 $ 3,162,101
Mar-01 $ 2,190,324 $ 2,348,213 $ 2,869,607
Apr-01 $ 2,285,822 $ 2,464,214 $ 3,034,896
May-01 $ 2,355,540 $ 2,493,538 $ 3,125,640
Jun-01 $ 2,304,189 $ 2,442,421 $ 3,066,878
Jul-01 $ 2,135,523 $ 2,288,060 $ 2,865,997
Aug-01 $ 2,109,896 $ 2,265,408 $ 2,808,391
Sep-01 $ 1,794,256 $ 1,914,723 $ 2,411,846
Oct-01 $ 1,885,942 $ 2,033,627 $ 2,558,486
Nov-01 $ 2,080,383 $ 2,245,938 $ 2,816,893
Dec-01 $ 2,202,293 $ 2,424,265 $ 2,994,076
Jan-02 $ 2,298,534 $ 2,506,448 $ 3,111,144
Feb-02 $ 2,342,895 $ 2,547,554 $ 3,177,412
Mar-02 $ 2,446,451 $ 2,700,916 $ 3,357,889
Apr-02 $ 2,472,384 $ 2,718,472 $ 3,391,132
May-02 $ 2,439,006 $ 2,675,249 $ 3,360,272
Jun-02 $ 2,242,910 $ 2,474,605 $ 3,112,284
Jul-02 $ 2,035,665 $ 2,286,288 $ 2,881,664
Aug-02 $ 2,061,518 $ 2,321,496 $ 2,903,565
Sep-02 $ 1,858,046 $ 2,071,007 $ 2,620,467
Oct-02 $ 1,943,145 $ 2,205,415 $ 2,742,581
Nov-02 $ 2,072,753 $ 2,357,148 $ 2,914,266
Dec-02 $ 2,007,668 $ 2,278,891 $ 2,840,535
Jan-03 $ 2,007,668 $ 2,268,863 $ 2,816,959
Feb-03 $ 1,944,427 $ 2,207,604 $ 2,756,113
Mar-03 $ 1,854,983 $ 2,144,908 $ 2,665,988
Apr-03 $ 2,026,384 $ 2,336,020 $ 2,913,658
May-03 $ 2,186,468 $ 2,503,746 $ 3,129,560
Jun-03 $ 2,301,913 $ 2,646,459 $ 3,276,649
Jul-03 $ 2,462,127 $ 2,812,128 $ 3,442,776
Aug-03 $ 2,614,778 $ 3,000,821 $ 3,676,540
Sep-03 $ 2,618,439 $ 3,022,727 $ 3,737,571
Oct-03 $ 2,826,858 $ 3,279,961 $ 4,035,081
</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 11/15/93.
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 Emerging Markets Equity Fund, which are similar to the
expenses of the Institutional Shares.
Returns for the Select Shares prior to 9/10/01 (offering date of the Select
Shares) are calculated using the historical expenses of the J.P. Morgan Emerging
Markets Equity Fund, which are similar to the expenses of the Select Shares.
Returns for the Class A and B Shares prior to 9/28/01 (offering date of the
Class A and B Shares) are calculated using the historical expenses of the Select
Shares, which are lower than the expenses of the Class A and B Shares.
The graph illustrates comparative performance for $3,000,000 invested in
Institutional Shares of the JPMorgan Fleming Emerging Markets Equity Fund, MSCI
Emerging Markets Equity Free Index and Lipper Emerging Markets Equity Funds
Average from November 15, 1993 to October 31, 2003. The performance of the Fund
assumes reinvestment of all dividends and capital gains and does not include a
sales charge. The performance of the indices 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 MSCI Emerging Markets Equity Free Index is a replica (or
model) of the world's emerging market equity markets. The Lipper Emerging Market
Equity Funds Average describes the average total returns for all 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 Fleming Asia Equity Fund
AS OF OCTOBER 31, 2003 (Unaudited)
FUND FACTS
<Table>
Fund Inception 11/1/2001
Fiscal Year End OCTOBER 31
Net Assets as of 10/31/2003
(In Millions) $ 38.6
Primary Benchmark MSCI ALL COUNTRY
FAR EAST FREE
INDEX (EX-JAPAN)
</Table>
Q: HOW DID THE FUND PERFORM?
A: JPMorgan Fleming Asia Equity Fund, which seeks total return from long-term
capital growth, rose by 29.6% (Class A Shares, without sales charge) in the
year ended October 31, 2003. This compares with an increase of 36.8% in the
MSCI All Country Far East Free ex. Japan Index (in U.S. dollars).
Q: WHY DID THE FUND PERFORM IN THIS WAY?
A: In a 12-month period that was dominated by the recent surge in Asian share
prices, the Fund made substantial gains. Stocks with low-quality investment
fundamentals such as high debt, high valuations, and sales with high
sensitivity to economic activity led the rally. By contrast, the Fund has
tended to overweight higher quality companies, with more sustainable
long-term growth prospects. As a result, the Fund trailed its MSCI All
Country Far East Free ex. Japan Index benchmark.
The leadership of lower quality stocks was particularly pronounced in
markets like Taiwan. While the Fund was underweight selected electronics
companies that outperformed, some of our higher quality technology stocks
underperformed. For example, Acer Inc., the Taiwanese laptop computer
manufacturer, performed exceptionally well. Meanwhile, higher quality
holdings such as Sindo Ricoh Co., the office equipment company, detracted
from performance.
We achieved strong relative performance from investing in companies poised
to benefit from China's boom and the related increase in intra-regional
growth. Within China, soaring levels of investment for new factories, and
strong demand from Chinese consumers for cars and houses, is creating a
voracious appetite for raw materials from across the region. Two shipping
stocks, Thoresen Thai Agencies and Neptune Orient, were among the best
performers. In China, PetroChina Co. and Jiangxi Copper Industry Co.,
gained from soaring demand for raw materials. Another stock that did well
was Techtronic Industries Co., a Hong Kong-based manufacturer of low-cost
drills and drill bits, which it sells to leading U.S. retailers such as
Wal-Mart.
With the market appreciating as rapidly as this, our relatively small cash
holding also acted as a drag on performance.
Q: HOW WAS THE FUND MANAGED?
A: For much of the period the Fund was invested in the quality stocks we
believe most likely to gain from cyclical global recovery and strong growth
in China. We were successful in holding shipping stocks and Chinese
commodity producers. We were also correct to be overweight in Information
Technology, but held the wrong stocks. The Fund was underweight in
defensive sectors such as Financials, Telecommunications, Consumer Staples
and Utilities.
21
<Page>
[CHART]
PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS
<Table>
South Korea 24.8%
Taiwan 19.1%
Hong Kong 18.3%
China 9.1%
Malaysia 8.7%
Thailand 7.7%
Singapore 6.5%
Indonesia 5.8%
</Table>
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO
<Table>
1.Samsung Electronics
Co., LTD (South Korea) 9.3%
2.Thoresen Thai Agencies
PLC (Thailand), NVDR 3.4%
3.Kookmin Bank
(South Korea) 3.0%
4.United Microelectronics
Corp. (Taiwan) 2.9%
5.Taiwan Semiconductor
Manufacturing Co., LTD
(Taiwan) 2.7%
6.Hon Hai Precision Industry
Co., LTD (Taiwan) 2.6%
7.Bank of East Asia LTD
(Hong Kong) 2.5%
8.China Telecom Corp.,
LTD (China), Class H 2.3%
9.Bangkok Bank PCL
(Thailand) 2.2%
10.Hutchison Whampoa LTD
(Hong Kong) 2.1%
</Table>
Top 10 equity holdings comprised 33.0% of the Portfolio's market value of
investments ($11,947,496). As of October 31, 2003, the Fund held 66 equity
holdings. Portfolio holdings are subject to change at any time.
22
<Page>
AVERAGE ANNUAL TOTAL RETURNS
<Table>
<Caption>
SINCE
INCEPTION
1 YEAR (11/1/01)
-----------------------
CLASS A SHARES
Without Sales Charge 29.58% 8.76%
With Sales Charge* 22.09% 5.57%
-----------------------
INSTITUTIONAL SHARES 30.12% 9.07%
-----------------------
SELECT SHARES 29.83% 8.95%
</Table>
* Sales Charge for Class A Shares is 5.75%.
[CHART]
LIFE OF FUND PERFORMANCE (11/1/01 TO 10/31/03)
<Table>
<Caption>
JPMORGAN FLEMING ASIA EQUITY FUND MSCI ALL COUNTRY FAR EAST FREE LIPPER PACIFIC REGION FUNDS
(CLASS A SHARES) INDEX (EX-JAPAN) INDEX (EX-JAPAN)
Nov-01 $ 9,425 $ 10,000 $ 10,000
Nov-01 $ 9,689 $ 10,000 $ 10,000
Dec-01 $ 9,921 $ 10,906 $ 10,661
Jan-02 $ 9,878 $ 11,354 $ 11,083
Feb-02 $ 10,003 $ 11,386 $ 11,208
Mar-02 $ 10,455 $ 12,218 $ 11,954
Apr-02 $ 10,399 $ 12,393 $ 12,039
May-02 $ 10,543 $ 12,153 $ 11,980
Jun-02 $ 9,966 $ 11,500 $ 11,378
Jul-02 $ 9,382 $ 11,081 $ 10,869
Aug-02 $ 9,174 $ 10,838 $ 10,607
Sep-02 $ 8,319 $ 9,605 $ 9,442
Oct-02 $ 8,602 $ 10,119 $ 9,697
Nov-02 $ 8,891 $ 10,630 $ 10,329
Dec-02 $ 8,338 $ 9,900 $ 9,736
Jan-03 $ 8,451 $ 10,017 $ 9,806
Feb-03 $ 7,986 $ 9,578 $ 9,404
Mar-03 $ 7,583 $ 9,141 $ 8,966
Apr-03 $ 7,765 $ 9,476 $ 9,435
May-03 $ 8,468 $ 10,297 $ 10,278
Jun-03 $ 9,009 $ 10,898 $ 10,913
Jul-03 $ 9,693 $ 11,837 $ 11,697
Aug-03 $ 10,316 $ 12,706 $ 12,524
Sep-03 $ 10,277 $ 12,765 $ 12,683
Oct-03 $ 11,450 $ 13,846 $ 13,707
</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 11/1/01.
Class A Shares were introduced on 11/1/01.
Returns for the Institutional and Select Shares prior to 6/28/02 (offering date
of the Institutional and Select Shares) are calculated using the historical
expenses of the Class A Shares, which are higher than the expenses of the
Institutional and Select Shares.
The graph illustrates comparative performance for $10,000 invested in Class A
Shares of the JPMorgan Fleming Asia Equity Fund, MSCI All Country Far East Free
Index (ex-Japan) and Lipper Pacific Region Funds Index (ex-Japan) from November
1, 2001 to October 31, 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 MSCI All Country Far East Free
Index (ex-Japan) is a free float-adjusted market capitalization index that is
designed to measure equity market performance in the Far East, excluding Japan.
The Lipper Pacific Region Funds Index (ex-Japan) 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.
23
<Page>
JPMorgan Fleming International Equity Fund
AS OF OCTOBER 31, 2003 (Unaudited)
FUND FACTS
<Table>
Fund Inception 1/1/1997
Fiscal Year End OCTOBER 31
Net Assets as of 10/31/2003
(In Millions) $ 823.8
Primary Benchmark MSCI EAFE INDEX
</Table>
Q: HOW DID THE FUND PERFORM?
A: JPMorgan Fleming International Equity Fund, which seeks long-term capital
growth from investing in a portfolio of international equities, rose by
20.9% (Select Shares) in the year ended October 31, 2003. This compares
with an increase of 27.0% in the MSCI EAFE Index.
Q: WHY DID THE FUND PERFORM THIS WAY?
A: During the global stock market rally that followed the March 2003 invasion
of Iraq, the Fund made substantial gains across a range of sectors.
Relative to the MSCI EAFE Index benchmark, however, it suffered from the
market's preference during the period for low-quality companies with such
characteristics as low returns on equity, expensive valuations, and high
debt levels -- particularly during the third quarter. By contrast, we tend
to invest in high-quality companies, a style which has served us well over
long periods of time.
For an example of how low-quality stocks dominated the rally, one need look
no further than the Information Technology sector. Among European cellular
phone manufacturers, Nokia, which has robust cash flow, was outperformed by
rival Ericsson, which is emerging from a financial restructuring. The Fund
was overweight Nokia, and did not own Ericsson. Although the Fund was
overweight the sector, which was the correct decision, stock selection
caused us to underperform.
Another area where the Fund trailed the benchmark was Japan, where the
blue-chip exporters were hurt by the rise in the Japanese yen against the
U.S. dollar, presenting them with the choice of accepting lower profits or
raising their US dollar prices and damaging competitiveness. In the
Consumer Discretionary sector, we were overweight Fuji Photo Film Co.,
Honda Motor Co., Nintendo Co., and Sony Corp., all of which detracted from
performance.
From a positive perspective, our preference for high-quality companies
helped performance in the European Financials and Industrials sectors. In
Financials the Fund was overweight Deutsche Bank, Dexia and Nordea. In
Industrials it was overweight Compagnie de Saint-Gobain and Deutsche Post.
The Fund also benefited from not owning Lloyds TSB Group, the U.K. retail
bank which is struggling to grow earnings.
Q: HOW WAS THE FUND MANAGED?
A: In spite of the momentum-driven equity market's preference for low-quality
stocks during the 2003 rally, we have maintained the philosophy of buying
high-quality companies that has served us so well over time. As cyclical
stocks have become increasingly expensive, we have increased our holdings
in companies with high free cash flows and inexpensive valuations in
sectors such as Energy, Healthcare and Consumer Staples.
24
<Page>
[CHART]
PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS
<Table>
United Kingdom 26.2%
Japan 20.6%
France 12.4%
Switzerland 7.8%
Germany 6.8%
The Netherlands 6.5%
Italy 4.4%
South Korea 2.8%
Spain 2.4%
Australia 2.3%
Finland 2.0%
Belgium 1.9%
Sweden 1.2%
Hong Kong 1.1%
Ireland 0.9%
Brazil 0.4%
Russia 0.3%
</Table>
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO
<Table>
1.Total SA (France) 4.0%
2.ENI-Ente Nazionale
Idrocarburi SPA (Italy) 3.5%
3.Vodafone Group PLC
(United Kingdom) 3.4%
4.GlaxoSmithKline PLC
(United Kingdom) 2.9%
5.Canon, Inc. (Japan) 2.1%
6.Novartis AG (Switzerland) 2.1%
7.Nokia OYJ (Finland) 2.0%
8.Tesco PLC
(United Kingdom) 1.9%
9.Barclays PLC
(United Kingdom) 1.9%
10.Nestle SA (Switzerland) 1.9%
</Table>
Top 10 equity holdings comprised 25.7% of the Portfolio's market value of
investments ($204,171,268). As of October 31, 2003, the Fund held 91 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
-----------------------------------------------
CLASS A SHARES
Without Sales Charge 20.41% (4.62%) 1.83% 3.34%
With Sales Charge* 13.51% (6.48%) 0.63% 2.73%
-----------------------------------------------
CLASS B SHARES
Without CDSC 19.84% (4.88%) 1.66% 3.26%
With CDSC** 14.84% (5.68%) 1.35% 3.26%
-----------------------------------------------
CLASS C SHARES
Without CDSC 19.83% (4.88%) 1.66% 3.25%
With CDSC*** 18.83% (4.88%) 1.66% 3.25%
-----------------------------------------------
SELECT SHARES 20.90% (4.38%) 1.98% 3.42%
</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]
TEN-YEAR PERFORMANCE (10/31/93 TO 10/31/03)
<Table>
<Caption>
JPMORGAN FLEMING INTERNATIONAL EQUITY FUND
(SELECT SHARES) MSCI EAFE INDEX LIPPER INTERNATIONAL FUNDS INDEX
Oct-93 $ 1,000,000 $ 1,000,000 $ 1,000,000
Nov-93 $ 937,800 $ 912,600 $ 960,300
Dec-93 $ 999,976 $ 978,490 $ 1,056,618
Jan-94 $ 1,056,975 $ 1,061,172 $ 1,122,445
Feb-94 $ 1,024,103 $ 1,058,201 $ 1,095,394
Mar-94 $ 988,976 $ 1,012,592 $ 1,045,225
Apr-94 $ 996,295 $ 1,055,526 $ 1,072,924
May-94 $ 989,320 $ 1,049,510 $ 1,071,314
Jun-94 $ 983,681 $ 1,064,308 $ 1,054,388
Jul-94 $ 1,002,371 $ 1,074,525 $ 1,086,863
Aug-94 $ 1,023,421 $ 1,099,991 $ 1,124,468
Sep-94 $ 978,288 $ 1,065,342 $ 1,095,457
Oct-94 $ 983,864 $ 1,100,818 $ 1,115,066
Nov-94 $ 950,610 $ 1,047,868 $ 1,062,992
Dec-94 $ 958,025 $ 1,054,470 $ 1,048,854
Jan-95 $ 934,361 $ 1,013,978 $ 996,831
Feb-95 $ 913,432 $ 1,011,038 $ 996,532
Mar-95 $ 940,013 $ 1,074,126 $ 1,022,741
Apr-95 $ 960,035 $ 1,114,514 $ 1,060,378
May-95 $ 939,778 $ 1,101,251 $ 1,070,769
Jun-95 $ 921,171 $ 1,081,979 $ 1,074,838
Jul-95 $ 969,716 $ 1,149,386 $ 1,133,955
Aug-95 $ 992,214 $ 1,105,595 $ 1,114,791
Sep-95 $ 1,010,570 $ 1,127,154 $ 1,133,408
Oct-95 $ 999,049 $ 1,096,833 $ 1,109,833
Nov-95 $ 1,015,733 $ 1,127,325 $ 1,121,375
Dec-95 $ 1,052,909 $ 1,172,756 $ 1,153,895
Jan-96 $ 1,088,919 $ 1,177,565 $ 1,181,127
Feb-96 $ 1,081,514 $ 1,181,569 $ 1,186,206
Mar-96 $ 1,104,983 $ 1,206,618 $ 1,204,711
Apr-96 $ 1,150,066 $ 1,241,730 $ 1,243,984
May-96 $ 1,135,575 $ 1,218,883 $ 1,242,616
Jun-96 $ 1,151,473 $ 1,225,708 $ 1,253,924
Jul-96 $ 1,102,075 $ 1,189,918 $ 1,211,666
Aug-96 $ 1,095,573 $ 1,192,535 $ 1,227,418
Sep-96 $ 1,136,547 $ 1,224,257 $ 1,254,912
Oct-96 $ 1,111,770 $ 1,211,769 $ 1,249,892
Nov-96 $ 1,161,689 $ 1,259,998 $ 1,308,637
Dec-96 $ 1,162,851 $ 1,243,744 $ 1,320,284
Jan-97 $ 1,155,060 $ 1,200,213 $ 1,322,001
Feb-97 $ 1,184,976 $ 1,219,896 $ 1,345,929
Mar-97 $ 1,184,976 $ 1,224,288 $ 1,353,062
Apr-97 $ 1,188,057 $ 1,230,777 $ 1,359,016
May-97 $ 1,235,579 $ 1,310,900 $ 1,435,664
Jun-97 $ 1,288,956 $ 1,383,131 $ 1,504,576
Jul-97 $ 1,341,287 $ 1,405,538 $ 1,552,873
Aug-97 $ 1,224,193 $ 1,300,544 $ 1,440,911
Sep-97 $ 1,295,686 $ 1,373,374 $ 1,533,417
Oct-97 $ 1,210,948 $ 1,267,762 $ 1,417,031
Nov-97 $ 1,200,413 $ 1,254,831 $ 1,405,128
Dec-97 $ 1,222,140 $ 1,265,748 $ 1,416,088
Jan-98 $ 1,264,426 $ 1,323,592 $ 1,450,357
Feb-98 $ 1,345,729 $ 1,408,567 $ 1,542,455
Mar-98 $ 1,421,090 $ 1,451,951 $ 1,626,210
Apr-98 $ 1,455,054 $ 1,463,421 $ 1,651,254
May-98 $ 1,473,096 $ 1,456,251 $ 1,654,556
Jun-98 $ 1,448,938 $ 1,467,318 $ 1,640,162
Jul-98 $ 1,494,289 $ 1,482,138 $ 1,665,256
Aug-98 $ 1,256,697 $ 1,298,501 $ 1,425,626
Sep-98 $ 1,199,643 $ 1,258,637 $ 1,381,289
Oct-98 $ 1,269,103 $ 1,389,787 $ 1,482,814
Nov-98 $ 1,326,212 $ 1,460,944 $ 1,557,103
Dec-98 $ 1,387,749 $ 1,518,505 $ 1,595,407
Jan-99 $ 1,428,965 $ 1,513,950 $ 1,605,139
Feb-99 $ 1,364,090 $ 1,477,918 $ 1,563,887
Mar-99 $ 1,402,557 $ 1,539,547 $ 1,615,965
Apr-99 $ 1,459,220 $ 1,601,899 $ 1,691,269
May-99 $ 1,389,178 $ 1,519,401 $ 1,628,353
Jun-99 $ 1,436,688 $ 1,578,658 $ 1,705,537
Jul-99 $ 1,473,467 $ 1,625,544 $ 1,743,571
Aug-99 $ 1,499,547 $ 1,631,558 $ 1,757,345
Sep-99 $ 1,519,191 $ 1,648,037 $ 1,762,969
Oct-99 $ 1,558,994 $ 1,709,838 $ 1,824,496
Nov-99 $ 1,706,319 $ 1,769,170 $ 1,958,232
Dec-99 $ 1,931,383 $ 1,928,041 $ 2,198,898
Jan-00 $ 1,862,046 $ 1,805,610 $ 2,070,263
Feb-00 $ 1,999,651 $ 1,854,181 $ 2,206,900
Mar-00 $ 2,010,249 $ 1,926,124 $ 2,212,638
Apr-00 $ 1,872,949 $ 1,824,810 $ 2,072,357
May-00 $ 1,789,603 $ 1,780,284 $ 2,015,367
Jun-00 $ 1,838,996 $ 1,849,893 $ 2,108,679
Jul-00 $ 1,745,391 $ 1,772,383 $ 2,040,357
Aug-00 $ 1,761,449 $ 1,787,803 $ 2,074,839
Sep-00 $ 1,648,892 $ 1,700,737 $ 1,953,876
Oct-00 $ 1,601,404 $ 1,660,599 $ 1,887,444
Nov-00 $ 1,559,928 $ 1,598,327 $ 1,807,794
Dec-00 $ 1,611,249 $ 1,655,067 $ 1,875,225
Jan-01 $ 1,609,477 $ 1,654,240 $ 1,886,289
Feb-01 $ 1,482,650 $ 1,530,172 $ 1,753,871
Mar-01 $ 1,398,732 $ 1,428,109 $ 1,630,574
Apr-01 $ 1,491,748 $ 1,527,363 $ 1,729,713
May-01 $ 1,446,995 $ 1,473,447 $ 1,687,854
Jun-01 $ 1,386,800 $ 1,413,183 $ 1,640,257
Jul-01 $ 1,354,904 $ 1,387,463 $ 1,597,610
Aug-01 $ 1,322,386 $ 1,352,360 $ 1,565,498
Sep-01 $ 1,212,628 $ 1,215,366 $ 1,394,859
Oct-01 $ 1,255,313 $ 1,246,480 $ 1,432,659
Nov-01 $ 1,307,408 $ 1,292,475 $ 1,486,098
Dec-01 $ 1,337,479 $ 1,300,100 $ 1,512,550
Jan-02 $ 1,277,693 $ 1,231,065 $ 1,451,443
Feb-02 $ 1,292,515 $ 1,239,682 $ 1,471,763
Mar-02 $ 1,364,120 $ 1,306,749 $ 1,549,620
Apr-02 $ 1,390,857 $ 1,315,374 $ 1,560,467
May-02 $ 1,399,202 $ 1,332,079 $ 1,582,782
Jun-02 $ 1,362,403 $ 1,279,062 $ 1,520,262
Jul-02 $ 1,224,528 $ 1,152,819 $ 1,368,540
Aug-02 $ 1,235,793 $ 1,150,167 $ 1,369,634
Sep-02 $ 1,093,801 $ 1,026,639 $ 1,222,125
Oct-02 $ 1,158,116 $ 1,081,770 $ 1,285,553
Nov-02 $ 1,211,737 $ 1,130,882 $ 1,346,360
Dec-02 $ 1,173,204 $ 1,092,885 $ 1,303,276
Jan-03 $ 1,106,214 $ 1,047,311 $ 1,255,576
Feb-03 $ 1,076,346 $ 1,023,328 $ 1,218,411
Mar-03 $ 1,052,128 $ 1,003,271 $ 1,188,560
Apr-03 $ 1,166,074 $ 1,101,591 $ 1,306,228
May-03 $ 1,243,967 $ 1,168,348 $ 1,390,087
Jun-03 $ 1,264,990 $ 1,196,622 $ 1,422,894
Jul-03 $ 1,278,273 $ 1,225,580 $ 1,462,735
Aug-03 $ 1,305,372 $ 1,255,116 $ 1,505,008
Sep-03 $ 1,334,351 $ 1,293,774 $ 1,535,258
Oct-03 $ 1,399,253 $ 1,374,376 $ 1,626,760
</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 Select Shares prior to 1/1/97 (offering date of the Select
Shares) are calculated using performance of a predecessor account and 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.
Returns for the Class A and B Shares prior to 2/28/02 (offering date of the
Class A and B Shares) are calculated using the historical expenses of the Select
Shares, which are lower than the expenses of the Class A and B Shares.
Returns for Class C Shares prior to 1/31/03 (offering date of the Class C
Shares) are calculated using the historical expenses of the Class B Shares,
which are similar to the expenses of the Class C Shares.
The graph illustrates comparative performance for $1,000,000 invested in Select
Shares of the JPMorgan Fleming International Equity Fund, MSCI EAFE Index, and
Lipper International Funds Index from October 31, 1993 to October 31, 2003. The
performance of the Fund assumes reinvestment of all dividends and capital gains
and does not include a sales charge. The performance of the indices does not
include a sales charge and has been adjusted to reflect reinvestment of all
dividends and capital gains of the securities included in the benchmark. The
MSCI EAFE (Europe, Australasia, Far East) Index is a replica (or model) of the
world's equity markets, excluding the U.S. and Canada. The Lipper International
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.
26
<Page>
JPMorgan Fleming European Fund
PORTFOLIO OF INVESTMENTS
AS OF OCTOBER 31, 2003
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- 100.0%
COMMON STOCKS -- 100.0%
AUSTRIA -- 2.6%
17,594 Bank Austria Creditanstalt AG* $ 766,575
6,262 Erste Bank Der Oesterreichischen
Sparkassen AG 692,356
2,789 OMV AG 356,641
-----------------------------------------------------------------
1,815,572
-----------------------------------------------------------------
BELGIUM -- 5.3%
23,294 Delhaize Group (l) 1,106,181
41,619 Dexia 655,574
11,571 KBC Bancassurance Holding 490,835
19,067 Melexis NV 209,018
4,047 Mobistar SA* 203,239
17,065 NV Umicore SA 1,038,517
527 Van De Velde NV 56,454
-----------------------------------------------------------------
3,759,818
-----------------------------------------------------------------
DENMARK -- 2.6%
126 AP Moller-Maersk AS 989,155
10,064 Danske Bank AS 203,025
4,225 ISS AS 201,519
12,364 NKT Holding AS 210,754
8,580 Thrane & Thrane AS 236,822
-----------------------------------------------------------------
1,841,275
-----------------------------------------------------------------
FINLAND -- 2.8%
144,443 Fortum OYJ 1,331,558
13,804 Kesko OYJ, B Shares 214,710
3,955 Kone OYJ, B Shares 206,665
9,881 Pohjola Group PLC, D Shares 222,725
261 YIT-Yhtyma OYJ 8,010
-----------------------------------------------------------------
1,983,668
-----------------------------------------------------------------
FRANCE -- 10.0%
6,466 Autoroutes du Sud de la France 199,192
6,436 BNP Paribas 338,178
7,529 Cie Generale D'Optique Essilor
International SA 362,175
4,855 Eramet 179,758
1,773 Imerys SA 340,082
4,135 Neopost SA 205,303
17,204 Renault SA 1,137,973
6,897 Sagem SA 703,956
4,693 Societe Generale $ 348,612
8,575 Total SA 1,332,772
86,746 Veolia Environnement 1,936,159
-----------------------------------------------------------------
7,084,160
-----------------------------------------------------------------
GERMANY -- 9.0%
33,354 Bayerische Hypo-und Vereinsbank AG* 728,172
10,034 Continental AG 341,769
45,250 Deutsche Lufthansa AG 704,877
70,074 Deutsche Post AG 1,356,317
16,939 HeidelbergCement AG* 722,086
976 Hypo Real Estate Holding* 16,849
47,231 Infineon Technologies AG* 697,303
59,288 Norddeutsche Affinerie AG 647,177
29,719 Software AG* 687,507
8,718 Techem AG* 153,033
18,681 TUI AG (l) 326,834
-----------------------------------------------------------------
6,381,924
-----------------------------------------------------------------
GREECE -- 1.4%
46,000 National Bank of Greece SA 962,543
IRELAND -- 0.3%
2,020 Depfa Bank PLC 226,605
ITALY -- 4.3%
52,666 Banca Fideuram SPA 330,609
126,508 ENI-Ente Nazionale Idrocarburi SPA 2,008,905
18,469 Fondiaria-SAI SPA (l) 320,548
253,209 Pirelli & Co., SPA 196,334
30,224 Tiscali SPA* 200,973
-----------------------------------------------------------------
3,057,369
-----------------------------------------------------------------
LIECHTENSTEIN -- 0.3%
1,693 Verwaltungs & Privat-Bank AG 221,871
LUXEMBOURG -- 0.3%
4,434 RTL Group SA 246,643
NORWAY -- 9.3%
121,731 Aker Kvaerner ASA* 1,988,099
120,820 DnB Holding ASA 705,576
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
27
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
NORWAY -- CONTINUED
27,481 Eltek ASA* $ 190,407
6,233 Norsk Hydro ASA 350,780
39,340 Orkla ASA 824,677
96,400 Smedvig ASA, A Shares 667,925
69,790 Statoil ASA 656,250
197,114 Tandberg Television ASA* 741,403
94,026 Telenor ASA 511,874
-----------------------------------------------------------------
6,636,991
-----------------------------------------------------------------
SPAIN -- 3.0%
16,809 Cortefiel SA 123,495
24,138 Metrovacesa SA (l) 686,354
77,736 Repsol YPF SA 1,355,515
-----------------------------------------------------------------
2,165,364
-----------------------------------------------------------------
SWEDEN -- 4.5%
43,059 ForeningsSparbanken AB 717,572
7,898 Lindex AB 230,839
71,053 Skandinaviska Enskilda Banken AB,
Class A 856,185
54,237 Song Networks Holding AB* 354,588
19,533 Svenska Handelsbanken, Class A 344,294
24,078 Swedish Match AB 195,998
32,248 Trelleborg AB 471,266
-----------------------------------------------------------------
3,170,742
-----------------------------------------------------------------
SWITZERLAND -- 9.0%
4,171 Charles Voegele Holding AG* 247,539
37,890 Compagnie Financiere Richemont AG, 852,657
Class A
9,752 Credit Suisse Group 343,604
757 Forbo Holding AG* 209,750
1,195 Julius Baer Holding AG 387,490
3,321 Komax Holding AG* 211,394
2,492 Leica Geosystems AG* 354,574
23,941 Micronas Semiconductor Holding AG* 995,040
3,690 Rieter Holding AG 757,149
8,714 Saurer AG 371,961
917 SGS Societe Generale
Surveillance Holdings SA 517,780
951 Sulzer AG 226,115
6,024 Tecan Group AG 216,536
7,972 Unilabs SA $ 153,130
25,394 Vontobel Holding AG 556,240
6,400,959
-----------------------------------------------------------------
THE NETHERLANDS -- 12.2%
33,722 ABN AMRO Holding NV 707,589
46,304 ASML Holding NV* 803,653
29,212 Corio NV 974,277
14,797 Exact Holding NV* 361,230
24,960 KLM-Koninklijke Luchtvaart MIJ NV (l) 404,191
44,814 Koninklijke BAM Groep NV 1,140,381
26,166 Koninklijke Philips Electronics NV 705,388
47,623 Koninklijke Wessanen NV 465,036
24,067 Nutreco Holding NV 643,487
37,317 Royal Nedlloyd NV 1,202,949
15,405 Scala Business Solutions NV* 36,175
4,228 Sligro Food Group NV 113,046
2,040 Stork NV 36,047
32,274 TPG NV 695,965
33,270 Unit 4 Agresso NV* 350,406
-----------------------------------------------------------------
8,639,820
-----------------------------------------------------------------
UNITED KINGDOM -- 23.1%
116,654 Avis Europe PLC 219,732
111,269 BAE Systems PLC 345,538
38,644 Barclays PLC 325,919
40,797 Barratt Developments PLC 339,231
107,863 Big Food Group PLC 206,834
91,730 BP PLC 636,657
62,512 British American Tobacco PLC 755,822
161,130 Cable & Wireless PLC 372,549
353,116 Cookson Group PLC* 209,728
679,728 Dimension Data Holdings PLC* 380,645
96,669 DS Smith PLC 270,802
328,384 FKI PLC 643,628
72,177 Gallaher Group PLC 722,640
58,480 George Wimpey PLC 324,508
468,783 HMV Group PLC 1,248,943
110,631 Imperial Chemical Industries PLC 363,739
141,246 JJB Sports PLC 680,715
38,265 Marconi Corp., PLC* 354,540
191,677 McBride PLC 357,794
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
28
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
UNITED KINGDOM -- CONTINUED
191,173 Mowlem PLC $ 634,226
41,223 Persimmon PLC 324,935
345,098 Pilkington PLC 509,486
20,953 RAC PLC 191,649
476,460 Royal & Sun Alliance Insurance Group 709,488
99,441 Shell Transport & Trading Co., PLC 620,989
229,935 SSL International PLC 1,151,060
192,678 Taylor Woodrow PLC 732,405
4,800 TI Automotive LTD, Class A (d) (f)* 0
97,455 Uniq PLC 355,561
226,699 United Utilities PLC 1,812,892
55,098 Whitbread PLC 702,177
-----------------------------------------------------------------
16,504,832
-----------------------------------------------------------------
TOTAL INVESTMENTS -- 100.0% $ 71,100,156
(COST $65,530,069)
-----------------------------------------------------------------
<Caption>
SHARES COLLATERAL INVESTMENTS
- --------------------------------------------------------------------------------
MONEY MARKET FUNDS (c)
1,076,338 Merrill Lynch Premier Fund 1,076,338
1,076,338 Reserve Primary Fund 1,076,338
-----------------------------------------------------------------
$ 2,152,676
-----------------------------------------------------------------
</Table>
SUMMARY OF INVESTMENTS BY INDUSTRY, OCTOBER 31, 2003
<Table>
<Caption>
INDUSTRY % OF INVESTMENT SECURITIES
- ------------------------------------------------------------------------------
Oil & Gas 15.4%
Banking 14.9
Transportation 6.0
Retailing 5.7
Utilities 5.3
Food/Beverage Products 4.4
Construction 4.3
Telecommunications 4.2
Semi-Conductors 3.8
Manufacturing 3.7
Electronics/Electrical Equipment 3.0
Health Care/Health Care Services 2.6
Metals/Mining 2.6
Computer Software 2.5
Automotive 2.4
Real Estate 2.3
Construction Materials 1.8
Insurance 1.8
Consumer Products 1.6
Airlines 1.6
Machinery & Engineering Equipment 1.4
Agricultural Production/Services 1.3
Diversified 1.2
Business Services 1.0
Other (below 1%) 5.2
- ------------------------------------------------------------------------------
100.0%
- ------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
29
<Page>
JPMorgan Fleming Japan Fund
PORTFOLIO OF INVESTMENTS
AS OF OCTOBER 31, 2003
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- 100.0%
COMMON STOCKS -- 100.0%
AUTOMOTIVE -- 8.4%
500 F.C.C. Co., LTD $ 16,328
1,800 Honda Motor Co., LTD 71,060
8,000 Kayaba Industry Co., LTD 31,437
4,500 Nissan Motor Co., LTD 50,430
48,000 Tokyo Buhin Kogyo Co., LTD* 143,648
-----------------------------------------------------------------
312,903
-----------------------------------------------------------------
BANKING -- 3.3%
11 Mitsubishi Tokyo Financial Group, Inc. 79,046
10 UFJ Holdings, Inc. 42,753
-----------------------------------------------------------------
121,799
-----------------------------------------------------------------
BUSINESS SERVICES -- 1.6%
13 Fullcast Co., LTD 41,034
6 Fullcast Co., LTD (W/I)* 16,646
-----------------------------------------------------------------
57,680
-----------------------------------------------------------------
CHEMICALS -- 2.2%
3,000 Kansai Paint Co., LTD 12,007
600 Nitto Denko Corp. 31,491
4,000 Zeon Corp. 36,386
-----------------------------------------------------------------
79,884
-----------------------------------------------------------------
COMPUTER SOFTWARE -- 0.7%
500 Fuji Soft Abc, Inc. 15,145
300 Hitachi Software Engineering Co., LTD 9,333
-----------------------------------------------------------------
24,478
-----------------------------------------------------------------
CONSTRUCTION MATERIALS -- 0.5%
3,000 Sanwa Shutter Corp. 17,110
CONSUMER PRODUCTS -- 1.1%
644 Noritz Corp. 8,787
700 Uni-Charm Corp. 32,665
-----------------------------------------------------------------
41,452
-----------------------------------------------------------------
CONSUMER SERVICES -- 0.3%
600 Meiko Network Japan Co., LTD 11,298
DISTRIBUTION -- 3.6%
4,000 Mitsubishi Corp. $ 41,516
2,000 Mitsui & Co., LTD 14,554
300 Ohashi Technica, Inc. 8,050
3,200 Paltek Corp. 33,765
5,000 Sumitomo Corp. 34,702
-----------------------------------------------------------------
132,587
-----------------------------------------------------------------
ELECTRONICS/ELECTRICAL EQUIPMENT -- 9.3%
500 Advantest Corp. 37,249
2,000 Dainippon Screen Manufacturing Co., LTD* 14,281
500 Geomatec Co., LTD 12,826
1,100 Hosiden Corp. 15,209
1,400 Koha Co., LTD 55,650
1,000 Meiko Electronics Co. 31,382
9,000 Nissin Electric Co., LTD* 25,952
1,400 Omron Corp. 30,691
4,000 Osaki Electric Co., LTD 20,776
3,000 Sharp Corp. 47,237
200 SMC Corp. 24,069
400 Sumida Corp. 12,480
2,000 Sumitomo Electric Industries LTD 17,192
-----------------------------------------------------------------
344,994
-----------------------------------------------------------------
ENTERTAINMENT/LEISURE -- 2.9%
1,400 Daiichikosho Co., LTD 74,499
700 Mars Engineering Corp. 31,964
-----------------------------------------------------------------
106,463
-----------------------------------------------------------------
FINANCIAL SERVICES -- 8.9%
430 Acom Co., LTD 19,244
400 Aeon Credit Service Co., LTD 18,520
1,000 Hitachi Capital Corp. 13,417
400 Jafco Co., LTD 34,202
16 Mizuho Financial Group, Inc.* 39,150
14,000 Nikko Cordial Corp. 75,518
200 ORIX Corp. 16,828
7,000 Shinko Securities Co., LTD* 23,177
10 Sumitomo Mitsui Financial Group, Inc. 50,302
15,000 Tokai Tokyo Securities Co., LTD* 40,797
-----------------------------------------------------------------
331,155
-----------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
30
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
INSURANCE -- 1.0%
3 Millea Holdings, Inc. $ 35,748
INTERNET SERVICES/SOFTWARE -- 4.1%
2,900 Matsui Securities Co., LTD 69,641
1,600 Softbank Corp. 82,231
-----------------------------------------------------------------
151,872
-----------------------------------------------------------------
MACHINERY & ENGINEERING EQUIPMENT -- 3.8%
6,000 Iseki & Co., LTD* 14,627
9,000 Kawasaki Heavy Industries LTD 11,379
3,000 Rorze Corp.* 29,472
8,000 Sumitomo Heavy Industries LTD* 17,683
1,300 Takeuchi Manufacturing Co., LTD 43,754
2,000 Tsubakimoto Chain Co. 6,622
10,000 Yuken Kogyo Co., LTD* 18,647
-----------------------------------------------------------------
142,184
-----------------------------------------------------------------
MANUFACTURING -- 4.1%
2,500 Glory LTD 78,456
1,000 Tamron Co., LTD 55,942
2,000 Toto LTD 16,646
-----------------------------------------------------------------
151,044
-----------------------------------------------------------------
METALS/MINING -- 3.3%
16,000 Nippon Light Metal Co., LTD 41,188
13,000 Pacific Metals Co., LTD* 61,964
3,000 Sumitomo Metal Mining Co., LTD 20,576
-----------------------------------------------------------------
123,728
-----------------------------------------------------------------
MULTI-MEDIA -- 4.5%
2 Fuji Television Network, Inc. 10,643
110 Usen Corp.* 158,093
-----------------------------------------------------------------
168,736
-----------------------------------------------------------------
OFFICE/BUSINESS EQUIPMENT -- 1.3%
1,000 Canon, Inc. 48,392
PHARMACEUTICALS -- 2.1%
2,000 Alfresa Holdings Corp.* 79,320
PHOTOGRAPHIC EQUIPMENT -- 0.5%
1,500 Konica Minolta Holdings, Inc. $ 19,716
PRINTING & PUBLISHING -- 0.3%
1,100 Toppan Forms Co., LTD 12,027
REAL ESTATE -- 11.6%
4,100 Arnest One Corp. 83,167
8 ES-Con Japan LTD 63,310
4,500 First Juken Co., LTD 73,680
2,000 Nihon Eslead Corp. 38,295
2,000 Sumitomo Realty & Development Co., LTD 18,556
17 Tact Home Co., LTD* 92,473
6,000 The Japan General Estate Co., LTD 61,182
-----------------------------------------------------------------
430,663
-----------------------------------------------------------------
RETAILING -- 2.9%
6 Quin Land Co., LTD 71,497
1,600 VT Holdings Co., LTD 17,421
600 Yamada Denki Co., LTD 19,102
-----------------------------------------------------------------
108,020
-----------------------------------------------------------------
SEMI-CONDUCTORS -- 0.8%
21 UMC Japan* 28,653
SHIPPING/TRANSPORTATION -- 2.1%
3,000 Yusen Air & Sea Service Co. 79,411
STEEL -- 1.1%
1,000 JFE Holdings, Inc. 25,561
11,000 Kobe Steel LTD* 14,108
-----------------------------------------------------------------
39,669
-----------------------------------------------------------------
TELECOMMUNICATIONS -- 7.4%
14 KDDI Corp. 76,027
19 Okinawa Cellular Telephone Co. 123,400
4,000 Uniden Corp. 76,045
-----------------------------------------------------------------
275,472
-----------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
31
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
TIRE & RUBBER -- 0.5%
4,000 Sumitomo Rubber Industries, LTD $ 19,393
200 The Yokohama Rubber Co., LTD 555
-----------------------------------------------------------------
19,948
-----------------------------------------------------------------
TOOLS/EQUIPMENT -- 1.6%
2,100 THK Co., LTD 42,598
3,000 Toyoda Machine Works LTD 15,773
-----------------------------------------------------------------
58,371
-----------------------------------------------------------------
TOYS & GAMES -- 0.8%
400 Nintendo Co., LTD $ 30,891
TRANSPORTATION -- 3.4%
10,000 Mitsui O.S.K. Lines LTD 40,660
46,000 Shinwa Kaiun Kaisha LTD* 71,971
3,000 Tokyu Corp. 14,872
-----------------------------------------------------------------
127,503
-----------------------------------------------------------------
TOTAL INVESTMENTS -- 100.0% $ 3,713,171
(COST $3,404,929)
-----------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
32
<Page>
JPMorgan Fleming International Growth Fund
PORTFOLIO OF INVESTMENTS
AS OF OCTOBER 31, 2003
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- 100.00%
COMMON STOCKS -- 98.9%
AUSTRALIA -- 1.0%
4,600 News Corp., LTD $ 40,916
BRAZIL -- 0.7%
600 Companhia Vale Do Rio Doce, ADR 27,450
FINLAND -- 1.8%
4,170 Nokia OYJ 70,839
FRANCE -- 12.7%
2,530 Aventis SA 133,997
1,510 BNP Paribas 79,360
880 Cie de Saint-Gobain 37,133
2,020 Dassault Systemes SA 85,730
1,070 Total SA 166,341
-----------------------------------------------------------------
502,561
-----------------------------------------------------------------
GERMANY -- 7.1%
1,250 Altana AG 78,791
1,290 Bayerische Motoren Werke AG 51,673
1,000 Deutsche Boerse AG 55,603
2,000 Schering AG 93,415
-----------------------------------------------------------------
279,482
-----------------------------------------------------------------
HONG KONG (CHINA) -- 1.0%
24,000 Li & Fung LTD 40,319
IRELAND -- 1.5%
4,700 Bank of Ireland 58,420
ITALY -- 1.7%
4,180 ENI-Ente Nazionale Idrocarburi SPA 66,392
JAPAN -- 19.3%
2,000 Canon, Inc. 96,776
2,700 Chugai Pharmaceutical Co., LTD 38,457
3,000 Fuji Photo Film Co., LTD 88,408
1,000 Honda Motor Co., LTD 39,474
600 Hoya Corp. 54,300
2,000 Kao Corp. 41,111
500 Nidec Corp. 48,433
14,000 Nikko Cordial Corp. 75,510
900 Nintendo Co., LTD $ 69,498
1,500 Secom Co., LTD 58,666
1,000 Seiko Epson Corp. 36,018
3,000 Sharp Corp. 47,233
900 Shin-Etsu Chemical Co., LTD 33,480
610 Takefuji Corp. 36,119
-----------------------------------------------------------------
763,483
-----------------------------------------------------------------
RUSSIA -- 0.7%
606 YUKOS, ADR 27,391
SOUTH KOREA -- 5.7%
2,050 Kookmin Bank, ADR 75,338
420 Samsung Electronics Co., LTD, GDR 84,000
30 Samsung Electronics Co., LTD, GDR, # 5,957
3,100 SK Telecom Co., LTD, ADR* 60,760
-----------------------------------------------------------------
226,055
-----------------------------------------------------------------
SPAIN -- 3.3%
2,650 Altadis SA 64,276
1,250 Banco Popular Espanol 65,012
-----------------------------------------------------------------
129,288
-----------------------------------------------------------------
SWITZERLAND -- 4.1%
520 Nestle SA 114,526
1,300 Novartis AG 49,569
-----------------------------------------------------------------
164,095
-----------------------------------------------------------------
TAIWAN -- 0.7%
2,632 Taiwan Semiconductor
Manufacturing Co., LTD, ADR* 29,110
THE NETHERLANDS -- 7.6%
1,900 ABN AMRO Holding NV 39,877
1,600 Heineken NV 57,114
3,250 Koninklijke Philips Electronics NV 87,633
5,200 Reed Elsevier NV 57,924
4,170 Wolters Kluwer NV 58,621
-----------------------------------------------------------------
301,169
-----------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
33
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
UNITED KINGDOM -- 30.0%
12,320 Barclays PLC $ 103,892
23,990 BG Group PLC 109,395
3,600 British Sky Broadcasting PLC* 39,093
15,500 Centrica PLC 48,523
14,810 Compass Group PLC 85,375
7,300 GlaxoSmithKline PLC 156,316
10,387 Kingfisher PLC 49,788
8,820 LogicaCMG PLC 45,944
2,800 Reckitt Benckiser PLC 58,911
2,100 Rio Tinto PLC 50,918
4,880 Royal Bank of Scotland Group PLC 130,742
2,500 Standard Chartered PLC 39,980
25,900 Tesco PLC 103,822
80,900 Vodafone Group PLC 169,868
-----------------------------------------------------------------
1,192,567
-----------------------------------------------------------------
Total Common Stocks 3,919,537
(Cost $3,699,666)
-----------------------------------------------------------------
PREFERRED STOCK -- 1.1%
GERMANY -- 1.1%
90 Porsche AG 44,216
(Cost $34,729)
-----------------------------------------------------------------
TOTAL INVESTMENTS -- 100.0% $ 3,963,753
(COST $3,734,395)
-----------------------------------------------------------------
</Table>
SUMMARY OF INVESTMENTS BY INDUSTRY, OCTOBER 31, 2003
<Table>
<Caption>
INDUSTRY % OF INVESTMENT SECURITIES
- ------------------------------------------------------------------------------
Banking 15.0%
Pharmaceuticals 13.9
Oil & Gas 9.3
Food/Beverage Products 9.1
Telecommunications 7.6
Electronics/Electrical Equipment 7.0
Consumer Products 5.2
Financial Services 4.2
Automotive 3.4
Semi-Conductors 3.0
Multi-Media 2.5
Office/Business Equipment 2.4
Photographic Equipment 2.2
Computer Software 2.2
Metals/Mining 2.0
Toys & Games 1.7
Printing & Publishing 1.5
Health Care/Health Care Services 1.4
Retailing 1.3
Utilities 1.2
Computers/Computer Hardware 1.2
Broadcasting/Cable 1.0
Other (below 1%) 1.7
- ------------------------------------------------------------------------------
100.0%
- ------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
34
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- 99.3%
COMMON STOCKS -- 99.2%
AUSTRALIA -- 2.3%
266,423 WMC Resources LTD* + $ 967,890
BRAZIL -- 2.7%
42,500 Cia Energetica de Minas Gerais, ADR + 622,200
24,493 Petroleo Brasileiro SA, ADR + 532,968
-----------------------------------------------------------------
1,155,168
-----------------------------------------------------------------
FRANCE -- 12.7%
68,049 AXA + 1,289,436
27,762 BNP Paribas + 1,458,745
7,834 Total SA + 1,217,601
12,750 Valeo SA + 477,410
45,014 Veolia Environnement + 1,004,707
-----------------------------------------------------------------
5,447,899
-----------------------------------------------------------------
GERMANY -- 7.1%
22,213 Bayerische Hypo-und Vereinsbank AG* + 484,946
10,175 Celesio AG + 423,456
18,627 MAN AG + 512,111
5,252 Muenchener Rueckversicherungs AG + 626,416
12,008 Schering AG + 564,650
25,250 TUI AG (l) + 441,762
-----------------------------------------------------------------
3,053,341
-----------------------------------------------------------------
GREECE -- 0.2%
4,240 Public Power Corp. + 91,383
HONG KONG (CHINA) -- 1.2%
212,000 Wharf Holdings LTD + 533,706
INDIA -- 2.1%
42,234 Reliance Industries LTD, GDR, # + 906,371
IRELAND -- 1.9%
56,229 Allied Irish Banks PLC + 822,302
ITALY -- 4.2%
45,756 ENI-Ente Nazionale Idrocarburi SPA + 726,589
28,083 Riunione Adriatica di Sicurta SPA + 438,766
130,344 UniCredito Italiano SPA + 642,462
-----------------------------------------------------------------
1,807,817
-----------------------------------------------------------------
JAPAN -- 18.0%
9,800 Aiful Corp. + $ 619,548
92,600 Asahi Breweries LTD + 773,246
99,000 Daiwa Securities Group, Inc. + 724,028
167,000 Fujitsu LTD + 1,046,646
20,900 Honda Motor Co., LTD + 825,087
27,900 JFE Holdings, Inc. + 713,140
249,000 Kubota Corp. + 896,930
24,000 Nippon Electric Glass Co., LTD + 440,988
30,200 Sony Corp. + 1,052,131
20,400 World Co., LTD + 552,981
-----------------------------------------------------------------
7,644,725
-----------------------------------------------------------------
MEXICO -- 1.3%
31,600 Grupo Financiero BBVA
Bancomer, ADR* + 536,426
RUSSIA -- 0.9%
4,967 LUKOIL, ADR + 401,334
SINGAPORE -- 3.3%
102,000 DBS Group Holdings LTD + 837,818
599,000 Singapore Telecommunications LTD + 591,792
-----------------------------------------------------------------
1,429,610
-----------------------------------------------------------------
SOUTH KOREA -- 2.0%
4,249 Samsung Electronics Co., LTD, GDR, # + 843,697
SPAIN -- 2.3%
59,186 Iberdrola SA + 987,328
SWITZERLAND -- 9.3%
34,523 Compagnie Financiere
Richemont AG, Class A + 776,887
33,431 Credit Suisse Group + 1,177,915
15,586 Holcim LTD + 655,958
7,726 UBS AG + 474,431
6,928 Zurich Financial Services AG + 887,174
-----------------------------------------------------------------
3,972,365
-----------------------------------------------------------------
THAILAND -- 1.5%
408,000 Advanced Info Service PCL + 634,064
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
35
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
THE NETHERLANDS -- 10.7%
56,723 ABN AMRO Holding NV + $ 1,190,219
122,812 Koninklijke KPN NV* + 933,704
40,145 Koninklijke Philips Electronics NV + 1,082,237
14,708 Royal Dutch Petroleum Co. + 652,629
48,872 Vedior NV + 704,486
-----------------------------------------------------------------
4,563,275
-----------------------------------------------------------------
UNITED KINGDOM -- 15.5%
41,315 GlaxoSmithKline PLC + 884,786
48,359 HSBC Holdings PLC + 726,259
50,021 Intercontinental Hotels Group PLC + 453,915
102,580 Rank Group PLC + 487,407
53,239 Royal Bank of Scotland Group PLC + 1,426,537
121,501 Scottish Power PLC + 721,637
229,573 Tesco PLC + 920,372
170,600 TI Automotive LTD, Class A (d) (f)* + 0
117,845 Unilever PLC + 1,004,889
-----------------------------------------------------------------
6,625,802
-----------------------------------------------------------------
Total Common Stocks 42,424,503
(Cost $34,229,843)
-----------------------------------------------------------------
RIGHT -- 0.1%
GERMANY -- 0.1%
5,252 Muenchener
Rueckversicherungs-Gesellschaft AG,
expires 11/10/03 +
(Cost $0) 43,410
Total Long-Term Investments 42,467,913
(Cost $34,229,843)
-----------------------------------------------------------------
<Caption>
PRINCIPAL
AMOUNT
(USD)
- --------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS -- 0.7%
U.S. TREASURY SECURITY -- 0.5%
$ 200,000 U.S. Treasury Bill, 0.88%, 11/20/03, @ + 199,904
(Cost $199,907)
MONEY MARKET FUND -- 0.2%
102,657 JPMorgan Prime Money
Market Fund (a) $ 102,657
(Cost $102,657)
Total Short-Term Investments 302,561
(Cost $302,564)
-----------------------------------------------------------------
TOTAL INVESTMENTS -- 100.0% $ 42,770,474
(COST $34,532,407)
-----------------------------------------------------------------
COLLATERAL INVESTMENTS
MONEY MARKET FUNDS (c)
185,505 Merrill Lynch Premier Fund 185,505
185,505 Reserve Primary Fund 185,505
-----------------------------------------------------------------
$ 371,010
-----------------------------------------------------------------
</Table>
SUMMARY OF INVESTMENTS BY INDUSTRY, OCTOBER 31, 2003
<Table>
<Caption>
INDUSTRY % OF INVESTMENT SECURITIES
- ------------------------------------------------------------------------------
Banking 21.6%
Oil & Gas 8.3
Utilities 8.0
Insurance 7.7
Food/Beverage Products 6.3
Electronics/Electrical Equipment 6.0
Telecommunications 5.0
Financial Services 4.4
Pharmaceuticals 4.4
Machinery & Engineering Equipment 3.3
Automotive 3.0
Computers/Computer Hardware 2.4
Metals/Mining 2.3
Entertainment/Leisure 2.2
Chemicals 2.1
Semi-Conductors 2.0
Retailing 1.8
Steel 1.7
Business Services 1.7
Construction Materials 1.5
Apparel 1.3
Diversified 1.2
Hotels/Other Lodging 1.1
Other (below 1%) 0.7
- ------------------------------------------------------------------------------
100.0%
- ------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
36
<Page>
FUTURES CONTRACTS
<Table>
<Caption>
NOTIONAL UNREALIZED
NUMBER OF VALUE AT APPRECIATION
CONTRACTS DESCRIPTION EXPIRATION DATE 10/31/03 (USD) (DEPRECIATION) (USD)
- ----------------------------------------------------------------------------------------------------------------
LONG FUTURES OUTSTANDING
9 DJ Euro Stoxx December, 2003 $ 270,454 $ 8,522
4 FTSE 100 Index December, 2003 291,673 1,521
3 TOPIX Index December, 2003 285,578 (10,231)
</Table>
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS
<Table>
<Caption>
NET UNREALIZED
SETTLEMENT SETTLEMENT VALUE AT APPRECIATION
CONTRACTS TO BUY DATE VALUE (USD) 10/31/03 (USD) (DEPRECIATION) (USD)
- ----------------------------------------------------------------------------------------------------------------
47,330,770 JPY for
370,000 EUR 11/21/03 $ 429,916** $ 430,756** $ 840
410,000 CHF for
185,161 GBP 11/21/03 313,821** 307,167** (6,654)
49,644,900 JPY for
270,000 GBP 11/21/03 457,611** 451,817** (5,794)
2,020,000 EUR for
259,051,158 JPY 11/21/03 2,357,616** 2,347,108** (10,508)
260,000 GBP for
47,694,400 JPY 11/21/03 434,065** 440,663** 6,598
1,852,242 AUD 11/21/03 1,191,871 1,311,918 120,047
2,185,217 CHF 11/21/03 1,630,215 1,637,139 6,924
14,114,276 DKK 11/21/03 2,117,512 2,206,112 88,600
3,919,987 EUR 11/21/03 4,420,837 4,554,769 133,932
4,412,744 GBP 11/21/03 7,019,585 7,478,970 459,385
3,313,620 HKD 11/21/03 424,801 426,865 2,064
938,535,672 JPY 11/21/03 8,249,964 8,541,583 291,619
1,326,085 NOK 11/21/03 177,445 187,364 9,919
6,508,227 SEK 11/21/03 784,900 833,613 48,713
- ----------------------------------------------------------------------------------------------------------------
$ 30,010,159 $ 31,155,844 $ 1,145,685
- ----------------------------------------------------------------------------------------------------------------
<Caption>
NET UNREALIZED
SETTLEMENT SETTLEMENT VALUE AT APPRECIATION
CONTRACTS TO SELL DATE VALUE (USD) 10/31/03 (USD) (DEPRECIATION) (USD)
- ----------------------------------------------------------------------------------------------------------------
440,000 AUD 11/21/03 $ 302,381 $ 311,646 $ (9,265)
3,847,504 CHF 11/21/03 2,782,775 2,882,506 (99,731)
12,023,602 EUR 11/21/03 13,476,343 13,970,641 (494,298)
2,035,000 GBP 11/21/03 3,257,658 3,449,034 (191,376)
458,537,688 JPY 11/21/03 4,062,978 4,173,137 (110,159)
1,983,354 SGD 11/21/03 1,133,410 1,139,366 (5,956)
- ----------------------------------------------------------------------------------------------------------------
$ 25,015,545 $ 25,926,330 $ (910,785)
- ----------------------------------------------------------------------------------------------------------------
</Table>
** For cross-currency exchange contracts, the settlement value is the market
value at 10/31/03 of the currency being sold and the value at 10/31/03 is
the market value at 10/31/03 of the currency being bought.
SEE NOTES TO FINANCIAL STATEMENTS.
37
<Page>
JPMorgan Fleming International Opportunities Fund
PORTFOLIO OF INVESTMENTS
AS OF OCTOBER 31, 2003
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- 99.3%
COMMON STOCKS -- 99.3%
AUSTRALIA -- 2.8%
314,643 News Corp., LTD + $ 2,315,160
719,595 Southern Pacific Petroleum NL* + 142,965
639,783 WMC Resources LTD* + 2,324,272
-----------------------------------------------------------------
4,782,397
-----------------------------------------------------------------
BELGIUM -- 0.5%
40,235 Interbrew SA + 942,007
BRAZIL -- 1.3%
103,297 Petroleo Brasileiro SA, ADR + 2,247,743
DENMARK -- 0.3%
23,200 Group 4 Falck AS + 520,631
FINLAND -- 4.4%
319,142 Nokia OYJ + 5,420,317
81,606 Tietoenator OYJ + 2,162,955
-----------------------------------------------------------------
7,583,272
-----------------------------------------------------------------
FRANCE -- 9.7%
46,920 Alcatel SA* + 619,077
80,010 BNP Paribas + 4,204,101
30,639 France Telecom* + 741,559
37,795 Sanofi-Synthelabo SA + 2,339,615
11,162 Technip-Coflexip SA + 1,102,939
29,679 Total SA + 4,612,870
97,896 Veolia Environnement + 2,185,026
44,639 Vivendi Universal SA* + 937,698
-----------------------------------------------------------------
16,742,885
-----------------------------------------------------------------
GERMANY -- 4.5%
80,445 Bayerische Hypo-und
Vereinsbank AG* + 1,756,245
21,816 Bayerische Motoren Werke AG + 874,953
23,740 E.ON AG + 1,194,976
18,038 MAN AG + 495,918
41,230 Schering AG + 1,938,752
86,444 TUI AG (l) + 1,512,383
-----------------------------------------------------------------
7,773,227
-----------------------------------------------------------------
GREECE -- 0.2%
14,400 Public Power Corp., SA + 310,358
HONG KONG (CHINA) -- 3.8%
1,210,000 Cathay Pacific Airways LTD + $ 2,313,829
220,000 Henderson Land
Development Co., LTD + 923,548
1,270,000 PCCW LTD* + 907,645
950,000 Wharf Holdings LTD + 2,391,607
-----------------------------------------------------------------
6,536,629
-----------------------------------------------------------------
INDIA -- 2.3%
183,242 Reliance Industries LTD, GDR, # + 3,932,502
ITALY -- 2.1%
65,569 ENI-Ente Nazionale Idrocarburi SPA + 1,041,213
518,716 UniCredito Italiano SPA + 2,556,736
-----------------------------------------------------------------
3,597,949
-----------------------------------------------------------------
JAPAN -- 18.8%
38,300 Aiful Corp. + 2,421,294
91,600 Asahi Breweries LTD + 764,896
73,000 Chugai Pharmaceutical Co., LTD + 1,039,869
390,000 Daiwa Securities Group, Inc. + 2,852,232
38,000 Fujisawa Pharmaceutical Co., LTD + 784,645
513,000 Fujitsu LTD + 3,215,144
100,400 Honda Motor Co., LTD + 3,963,578
14,000 Ito-Yokado Co., LTD + 514,486
73,000 JFE Holdings, Inc. + 1,865,921
924,000 Kubota Corp. + 3,328,367
27,300 Kyocera Corp. + 1,643,935
116,000 Matsushita Electric Works LTD + 871,570
377,000 Minebea Co., LTD + 2,146,741
168,000 Mitsubishi Corp. + 1,743,649
104,000 Mitsubishi Pharma Corp. (l) + 650,857
6,400 Nintendo Co., LTD + 494,256
183 Nippon Telegraph &
Telephone Corp. + 817,328
68,000 Ricoh Co., LTD + 1,289,671
66,800 Sony Corp. + 2,327,230
-----------------------------------------------------------------
32,735,669
-----------------------------------------------------------------
MEXICO -- 1.0%
106,597 Grupo Financiero BBVA
Bancomer, ADR* + 1,809,537
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
38
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
RUSSIA -- 0.5%
10,978 LUKOIL, ADR + $ 887,022
SINGAPORE -- 0.7%
79,000 DBS Group Holdings LTD + 648,899
637,000 Singapore Telecommunications LTD + 629,335
-----------------------------------------------------------------
1,278,234
-----------------------------------------------------------------
SOUTH KOREA -- 2.3%
6,080 Samsung Electronics Co., LTD + 2,414,532
4,800 Samsung SDI Co., LTD + 494,804
56,584 SK Telecom Co., LTD, ADR + 1,109,046
-----------------------------------------------------------------
4,018,382
-----------------------------------------------------------------
SPAIN -- 2.0%
34,286 Acerinox SA + 1,492,654
115,314 Iberdrola SA + 1,923,643
-----------------------------------------------------------------
3,416,297
-----------------------------------------------------------------
SWEDEN -- 1.5%
56,562 Atlas Copco AB + 1,986,705
44,985 Securitas AB, B Shares + 553,601
-----------------------------------------------------------------
2,540,306
-----------------------------------------------------------------
SWITZERLAND -- 8.9%
31,570 Adecco SA + 1,861,787
150,024 Compagnie Financiere
Richemont AG, Class A + 3,376,059
43,073 Credit Suisse Group + 1,517,643
14,886 Lonza Group AG + 730,170
35,928 Roche Holding AG + 2,973,037
16,689 Swiss Reinsurance Co. + 1,050,444
580 Synthes-Stratec, Inc. + 532,505
34,714 UBS AG + 2,131,687
9,055 Zurich Financial Services AG + 1,159,550
-----------------------------------------------------------------
15,332,882
-----------------------------------------------------------------
TAIWAN -- 1.1%
55,250 Compal Electronics, Inc.,
Regulation S, GDR + 417,138
270,339 United Microelectronics Corp.,
ADR* + 1,419,280
-----------------------------------------------------------------
1,836,418
-----------------------------------------------------------------
THAILAND -- 0.3%
289,100 Advanced Info Service PCL + $ 449,284
THE NETHERLANDS -- 6.1%
60,621 ABN AMRO Holding NV + 1,272,011
225,209 Aegon NV + 2,953,149
25,494 Akzo Nobel NV + 806,116
59,398 ING Groep NV + 1,233,229
424,484 Koninklijke KPN NV* + 3,227,227
40,853 Koninklijke Philips Electronics NV+ 1,101,324
-----------------------------------------------------------------
10,593,056
-----------------------------------------------------------------
UNITED KINGDOM -- 24.2%
62,618 AstraZeneca PLC + 2,941,279
159,073 BBA Group PLC + 701,169
45,522 British American Tobacco PLC + 550,398
45,428 Carnival PLC + 1,568,769
269,404 Centrica PLC + 843,473
342,626 Dixons Group PLC + 789,280
166,242 GlaxoSmithKline PLC + 3,560,173
508,037 Hays PLC + 1,051,783
298,507 HSBC Holdings PLC + 4,482,999
78,606 Man Group PLC + 1,932,836
164,201 Marks & Spencer Group PLC + 801,793
743,200 mmO2 PLC* + 807,154
304,072 Prudential PLC + 2,359,397
104,067 Reckitt Benckiser PLC + 2,189,806
160,301 Royal Bank of Scotland
Group PLC + 4,295,258
218,684 Scottish Power PLC + 1,298,841
594,993 Tesco PLC + 2,385,364
448,433 Unilever PLC + 3,823,882
2,475,215 Vodafone Group PLC + 5,197,914
42,230 WPP Group PLC + 402,385
-----------------------------------------------------------------
41,983,953
-----------------------------------------------------------------
Total Common Stocks 171,850,640
(Cost $136,685,952)
-----------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
39
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT
(USD) ISSUER VALUE
- --------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS -- 0.7%
U.S. TREASURY SECURITY -- 0.3%
$ 500,000 U.S. Treasury Bill, 0.94%,
11/20/03, @ + $ 499,756
(Cost $499,753)
<Caption>
SHARES
- --------------------------------------------------------------------------------
MONEY MARKET FUND -- 0.4%
653,496 JPMorgan Prime Money
Market Fund (a) 653,496
(Cost $653,496)
Total Short-Term Investments 1,153,252
(Cost $1,153,249)
TOTAL INVESTMENTS -- 100.0% $ 173,003,892
(COST $137,839,201)
-----------------------------------------------------------------
COLLATERAL INVESTMENTS
MONEY MARKET FUNDS (c)
766,142 Merrill Lynch Premier Fund 766,142
766,142 Reserve Primary Fund 766,142
-----------------------------------------------------------------
$ 1,532,284
-----------------------------------------------------------------
</Table>
SUMMARY OF INVESTMENTS BY INDUSTRY, OCTOBER 31, 2003
<Table>
<Caption>
INDUSTRY % OF INVESTMENT SECURITIES
- ------------------------------------------------------------------------------
Banking 13.2%
Telecommunications 11.5
Pharmaceuticals 9.4
Electronics/Electrical Equipment 6.4
Financial Services 5.2
Oil & Gas 5.2
Insurance 5.1
Food/Beverage Products 4.6
Utilities 4.5
Machinery & Engineering Equipment 3.4
Computers/Computer Hardware 3.3
Retailing 3.2
Chemicals 3.2
Automotive 2.8
Steel 1.9
Multi-Media 1.9
Entertainment/Leisure 1.8
Business Services 1.7
Consumer Products 1.6
Diversified 1.4
Metals/Mining 1.3
Airlines 1.3
Distribution 1.0
Other (below 1%) 5.1
- ------------------------------------------------------------------------------
100.0%
- ------------------------------------------------------------------------------
</Table>
FUTURES CONTRACTS
<Table>
<Caption>
NOTIONAL UNREALIZED
NUMBER OF VALUE AT APPRECIATION
CONTRACTS DESCRIPTION EXPIRATION DATE 10/31/03 (USD) (DEPRECIATION) (USD)
- ----------------------------------------------------------------------------------------------------------------------
LONG FUTURES OUTSTANDING
30 DJ Euro Stoxx December, 2003 $ 901,514 $ 51,751
6 FTSE 100 Index December, 2003 437,510 10,397
4 TOPIX Index December, 2003 380,770 (4,030)
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
40
<Page>
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS
<Table>
<Caption>
NET UNREALIZED
SETTLEMENT SETTLEMENT VALUE AT APPRECIATION
CONTRACTS TO BUY DATE VALUE (USD) 10/31/03 (USD) (DEPRECIATION) (USD)
- ----------------------------------------------------------------------------------------------------------------
5,681,825 AUD 11/20/03 $ 3,673,725 $ 4,024,782 $ 351,057
1,926,046 CHF 11/20/03 1,360,000 1,442,935 82,935
10,378,088 EUR 11/20/03 11,700,200 12,059,003 358,803
4,260,000 EUR for
545,971,070 JPY 11/20/03 4,968,714** 4,949,982** (18,732)
5,715,126 GBP 11/20/03 9,292,782 9,687,028 394,246
1,791,565,567 JPY 11/20/03 15,339,928 16,304,398 964,470
16,848,533 SEK 11/20/03 2,015,978 2,158,167 142,189
- ----------------------------------------------------------------------------------------------------------------
$ 48,351,327 $ 50,626,295 $ 2,274,968
- ----------------------------------------------------------------------------------------------------------------
<Caption>
NET UNREALIZED
SETTLEMENT SETTLEMENT VALUE AT APPRECIATION
CONTRACTS TO SELL DATE VALUE (USD) 10/31/03 (USD) (DEPRECIATION) (USD)
- ----------------------------------------------------------------------------------------------------------------
5,763,837 CHF 11/20/03 $ 4,250,924 $ 4,318,092 $ (67,168)
16,111,760 EUR 11/20/03 17,949,326 18,721,344 (772,018)
4,093,258 GBP 11/20/03 6,498,437 6,937,992 (439,555)
26,522,622 HKD 11/20/03 3,400,676 3,416,599 (15,923)
1,079,515,314 JPY 11/20/03 9,414,281 9,824,336 (410,055)
7,548,842 SEK 11/20/03 980,000 966,948 13,052
- ----------------------------------------------------------------------------------------------------------------
$ 42,493,644 $ 44,185,311 $ (1,691,667)
- ----------------------------------------------------------------------------------------------------------------
</Table>
** For cross-currency exchange contracts, the settlement value is the market
value at 10/31/03 of the currency being sold and the value at 10/31/03 is
the market value at 10/31/03 of the currency being bought.
SEE NOTES TO FINANCIAL STATEMENTS.
41
<Page>
JPMorgan Fleming Emerging Markets Equity Fund
PORTFOLIO OF INVESTMENTS
AS OF OCTOBER 31, 2003
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- 100.0%
COMMON STOCKS -- 96.7%
ARGENTINA -- 0.7%
45,927 Grupo Financiero Galicia SA,
ADR* $ 277,399
34,375 Telecom Argentina SA, ADR* 264,344
-----------------------------------------------------------------
541,743
-----------------------------------------------------------------
BRAZIL -- 10.8%
14,187 Brasil Telecom Participacoes SA,
ADR 518,109
61,302 Cia de Bebidas das Americas,
ADR 1,299,602
25,008 Cia Vale do Rio Doce, ADR 1,010,323
33,973 Empresa Brasileira de
Aeronautica SA, ADR 881,599
27,455 Petroleo Brasileiro SA,
ADR (Common) 645,193
98,616 Petroleo Brasileiro SA, ADR
(Preferred) 2,145,883
57,110 Tele Norte Leste
Participacoes SA, ADR 809,249
49,295 Uniao de Bancos Brasileiros SA,
ADR 1,089,912
-----------------------------------------------------------------
8,399,870
-----------------------------------------------------------------
CHILE -- 1.0%
29,907 Banco Santander Chile SA, ADR 710,590
3,834 Cia de Telecomunicaciones
de Chile SA, ADR 58,392
-----------------------------------------------------------------
768,982
-----------------------------------------------------------------
CHINA -- 8.6%
989,996 Beijing Capital International
Airport Co., LTD, Class H 366,514
513,500 China Mobile Hong Kong LTD 1,458,037
2,186,669 China Petroleum & Chemical
Corp., Class H 725,070
320,000 China Resources Enterprises 377,043
2,280,000 China Telecom Corp., LTD Class H 756,017
292,450 CNOOC LTD 551,707
658,265 Cosco Pacific LTD 894,278
706,000 Giordano International LTD 318,194
632,000 Harbin Brewery Group LTD 301,119
CHINA -- CONTINUED
559,974 Huaneng Power International,
Inc., Class H $ 872,514
218,000 PICC Property & Casualty Co.,
LTD, Class H (1)* 50,530
-----------------------------------------------------------------
6,671,023
-----------------------------------------------------------------
CROATIA -- 0.4%
23,049 Pliva D.D., GDR, # $ 342,888
CZECH REPUBLIC -- 1.1%
9,573 Komercni Banka AS 854,859
EGYPT -- 0.8%
28,550 Orascom Construction Industries 319,415
29,082 Orascom Telecom Holding SAE* 311,491
-----------------------------------------------------------------
630,906
-----------------------------------------------------------------
HUNGARY -- 0.5%
3,678 Gedeon Richter LTD, ADR, # 378,233
INDIA -- 1.7%
19,743 ITC LTD 378,437
22,227 Reliance Industries LTD, GDR, # 477,007
15,004 State Bank of India LTD, GDR 450,870
-----------------------------------------------------------------
1,306,314
-----------------------------------------------------------------
INDONESIA -- 1.6%
28,023 Telekomunikasi Indonesia TBK PT,
ADR 397,927
2,300,500 Unilever Indonesia TBK PT 873,197
-----------------------------------------------------------------
1,271,124
-----------------------------------------------------------------
ISRAEL -- 2.5%
375,560 Bank Hapoalim LTD* 791,577
439,826 Israel Chemicals LTD 576,580
9,579 Taro Pharmaceutical
Industries LTD* 615,451
-----------------------------------------------------------------
1,983,608
-----------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
42
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
LUXEMBOURG -- 0.8%
11,952 Quilmes Industrial SA, ADR* $ 184,061
16,563 Tenaris SA, ADR 450,514
-----------------------------------------------------------------
634,575
-----------------------------------------------------------------
MALAYSIA -- 3.9%
43,832 British American Tobacco BHD 481,575
56,700 Genting BHD 276,039
301,900 IOI Corp., BHD 603,800
79,500 Malaysia International
Shipping Corp., BHD 255,237
35,000 Nestle BHD 193,421
49,000 OYL Industries BHD 451,316
946,280 Public Bank BHD 747,063
-----------------------------------------------------------------
3,008,451
-----------------------------------------------------------------
MEXICO -- 4.8%
40,000 America Movil SA de CV,
Ser. L, ADR 952,000
14,219 Fomento Economico
Mexicano SA de CV, ADR 507,903
609,848 Grupo Financiero BBVA Bancomer,
Class B* 517,624
33,982 Telefonos de Mexico SA de CV,
Class L, ADR 1,092,521
267,637 Wal-Mart de Mexico SA de CV,
Ser. C 696,732
-----------------------------------------------------------------
3,766,780
-----------------------------------------------------------------
PHILIPPINES -- 0.9%
1,671,404 Ayala Corp. 154,102
4,085,545 SM Prime Holdings, Inc. 531,789
-----------------------------------------------------------------
685,891
-----------------------------------------------------------------
POLAND -- 1.9%
16,401 Bank Pekao SA, GDR, # 468,475
83,678 Telekomunikacja Polska SA 293,056
211,402 Telekomunikacja Polska SA, GDR 731,451
-----------------------------------------------------------------
1,492,982
-----------------------------------------------------------------
RUSSIA -- 5.0%
16,585 LUKOIL, ADR $ 1,340,068
6,518 Mobile Telesystems, ADR 505,080
35,312 OAO Gazprom, Regulation S, ADR 847,488
10,800 Surgutneftegaz, ADR 255,960
8,458 Vimpel-Communications, ADR* 550,616
8,905 YUKOS, ADR 402,506
-----------------------------------------------------------------
3,901,718
-----------------------------------------------------------------
SOUTH AFRICA -- 14.0%
159,726 Anglo American PLC 3,251,276
947,895 FirstRand LTD 1,120,427
39,563 Harmony Gold Mining Co., LTD 608,220
21,877 Impala Platinum Holdings LTD 2,010,019
164,603 Sappi LTD 2,082,664
225,211 Standard Bank Group LTD 1,091,270
701,940 Steinhoff International
Holdings LTD 712,629
-----------------------------------------------------------------
10,876,505
-----------------------------------------------------------------
SOUTH KOREA -- 22.4%
81,766 Kookmin Bank 2,984,615
26,030 Korea Electric Power Corp. 502,565
35,544 KT Corp., ADR 700,572
27,320 KT&G Corp. 526,317
14,460 Kumgang Korea Chemical Co., LTD 1,220,578
8,649 POSCO 1,008,502
17,690 Samsung Electronics Co., LTD 7,025,180
15,511 Samsung Fire & Marine
Insurance Co., LTD 885,968
4,570 Shinsegae Co., LTD 917,089
93,475 SK Telecom Co., LTD, ADR 1,832,109
-----------------------------------------------------------------
17,603,495
-----------------------------------------------------------------
TAIWAN -- 11.2%
323,700 China Motors Co., LTD 614,530
906,440 Chinatrust Financial Holding Co. 941,790
1,100,227 Far Eastern Textile Co., LTD 608,808
23,911 First Financial Holding Co., LTD,
GDR, # * 320,924
118,540 Formosa Plastics Corp. 181,430
256,020 Hon Hai Precision Industry Co., LTD 1,145,402
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
43
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
TAIWAN -- CONTINUED
25,000 Mediatek, Inc. $ 257,542
396,897 Nan Ya Plastic Corp. 529,196
169,000 Quanta Computer, Inc. 460,118
617,542 Synnex Technology
International Corp. 908,818
643,658 Taishin Financial Holdings Co., LTD 456,576
1,032,399 Taiwan Semiconductor
Manufacturing Co., LTD* 2,035,931
172,000 Tong Yang Industry 260,721
-----------------------------------------------------------------
8,721,786
-----------------------------------------------------------------
THAILAND -- 0.0%
136 Dhana Siam Finance PCL (d) (f)* 0
TURKEY -- 1.5%
64,194,000 Turkcell Iletisim Hizmet AS* 489,138
292,196,000 Turkiye Garanti Bankasi AS* 684,680
-----------------------------------------------------------------
1,173,818
-----------------------------------------------------------------
VENEZUELA -- 0.6%
32,455 Cia Anonima Nacional Telefonos
de Venezuela, ADR 485,527
Total Common Stocks 75,501,078
(Cost $62,923,472)
-----------------------------------------------------------------
PREFERRED STOCK -- 1.6%
BRAZIL -- 1.6%
15,451,502 Banco Itau Holding Financeira SA 1,265,854
(Cost $786,127)
WARRANTS -- 1.7%
INDIA -- 1.7%
54,704 Housing Development
Finance Corp., expires 01/30/04 $ 627,455
2,633 Infosys Technologies LTD,
expires 05/13/04 275,464
18,045 Ranbaxy Laboratories LTD,
expires 10/04/04 391,396
Total Warrants 1,294,315
(Cost $738,077)
-----------------------------------------------------------------
TOTAL INVESTMENTS -- 100.0% $ 78,061,247
(COST $64,447,676)
-----------------------------------------------------------------
</Table>
SUMMARY OF INVESTMENTS BY INDUSTRY, OCTOBER 31, 2003
<Table>
<Caption>
INDUSTRY % OF INVESTMENT SECURITIES
- ------------------------------------------------------------------------------
Banking 16.5%
Telecommunications 14.3
Electronics/Electrical Equipment 10.1
Oil & Gas 9.4
Metals/Mining 8.8
Chemicals 3.8
Financial Services 3.3
Computers/Computer Hardware 3.2
Food/Beverage Products 3.2
Consumer Products 3.1
Semi-Conductors 2.9
Paper/Forest Products 2.7
Retailing 2.5
Pharmaceuticals 1.7
Agricultural Production/Services 1.4
Telecommunications Equipment 1.4
Steel 1.3
Insurance 1.2
Real Estate 1.2
Business Services 1.1
Aerospace 1.1
Automotive 1.1
Other (below 1%) 4.7
- ------------------------------------------------------------------------------
100.0%
- ------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
44
<Page>
JPMorgan Fleming Asia Equity Fund
PORTFOLIO OF INVESTMENTS
AS OF OCTOBER 31, 2003
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- 100.0%
COMMON STOCKS -- 98.8%
CHINA -- 9.1%
180,000 China Mobile Hong Kong LTD 511,094
1,600,000 China Petroleum & Chemical Corp.,
Class H 530,538
2,500,000 China Telecom Corp., LTD, Class H 828,966
286,000 Cosco Pacific LTD 388,542
1,700,000 Jiangxi Copper Co., LTD, Class H 607,479
2,000,000 Sinopec Beijing Yanhua
Petrochemical Co., LTD, Class H* 432,672
-----------------------------------------------------------------
3,299,291
-----------------------------------------------------------------
HONG KONG (CHINA) -- 18.3%
300,000 Bank of East Asia LTD 896,249
80,000 Cheung Kong Holdings LTD 667,036
750,000 China Insurance International
Holdings Co., LTD 502,208
150,000 Esprit Holdings LTD 471,303
86,000 Henderson Land
Development Co., LTD 361,023
100,000 Hutchison Whampoa LTD 775,848
300,000 Hysan Development Co., LTD 434,603
250,000 Li & Fung LTD 420,117
2,500,000 Skyworth Digital Holdings LTD 618,103
60,000 Sun Hung Kai Properties LTD 508,003
800,000 The Hongkong & Shanghai
Hotels LTD 484,180
400,000 Wheelock & Co., LTD 479,030
-----------------------------------------------------------------
6,617,703
-----------------------------------------------------------------
INDONESIA -- 5.8%
1,400,000 Astra International TBK PT* 716,766
1,200,000 Bank Central Asia TBK PT* 497,852
57,500 Gudang Garam TBK PT 88,993
300,000 Semen Gresik Persero TBK PT 296,593
700,000 Telekomunikasi Indonesia TBK PT 494,321
-----------------------------------------------------------------
2,094,525
-----------------------------------------------------------------
MALAYSIA -- 8.7%
400,000 Commerce Asset Holdings BHD 463,158
250,000 Gamuda BHD 500,000
120,000 Genting BHD 584,211
89,600 Malaysia International
Shipping Corp., BHD $ 287,663
146,700 Petra Perdana BHD 478,705
550,012 Public Bank BHD 434,220
142,000 Resorts World BHD 411,053
-----------------------------------------------------------------
3,159,010
-----------------------------------------------------------------
SINGAPORE -- 6.5%
750,000 CapitaLand LTD 702,203
100,000 Keppel Corp., LTD 341,767
40,000 Singapore Press Holdings LTD 452,626
70,000 United Overseas Bank LTD 546,828
30,000 Venture Corp., LTD 325,684
-----------------------------------------------------------------
2,369,108
-----------------------------------------------------------------
SOUTH KOREA -- 23.9%
100,000 Anam Semiconductor, Inc.* 305,872
10,340 Doosan Heavy Industries &
Construction Co., LTD 55,916
20,000 Hyundai Heavy Industries* 567,807
32,470 Hyundai Merchant Marine* 260,638
30,000 Kookmin Bank 1,095,057
50,000 Korean Air Co., LTD 667,512
45,360 LG Card Co., LTD 461,840
6,000 POSCO 699,620
12,000 Samsung Electro-Mechanics Co., LTD 406,591
8,500 Samsung Electronics Co., LTD 3,375,581
6,000 Sindo Ricoh Co., LTD 339,164
50,000 STX Corp. 380,650
-----------------------------------------------------------------
8,616,248
-----------------------------------------------------------------
TAIWAN -- 19.1%
220,760 Formosa Plastics Corp. 337,881
800,000 HannStar Display Corp.* 335,541
213,600 Hon Hai Precision Industry Co., LTD 955,620
750,000 Hung Poo Real Estate
Development Corp.* 370,861
25,000 MediaTek, Inc. 257,542
105,000 Novatek Microelectronics Corp., LTD 330,684
75,000 Quanta Storage, Inc. 415,011
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
45
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
TAIWAN -- CONTINUED
205,700 Synnex Technology
International Corp. $ 302,723
500,800 Taiwan Semiconductor
Manufacturing Co., LTD* 987,597
421,000 U-Ming Marine Transport Corp. 387,853
1,139,100 United Microelectronics Corp.* 1,042,709
404,582 Walsin Technology Corp. 333,430
844,000 WUS Printed Circuit Co., LTD* 427,279
323,727 Ya Hsin Industrial Co., LTD 441,164
-----------------------------------------------------------------
6,925,895
-----------------------------------------------------------------
THAILAND -- 7.4%
331,400 Bangkok Bank PCL* 776,686
120,000 Siam Cement PCL 679,784
1,600,000 Thoresen Thai Agencies PCL, NVDR 1,213,184
-----------------------------------------------------------------
2,669,654
-----------------------------------------------------------------
Total Common Stocks 35,751,434
(Cost $29,449,349)
-----------------------------------------------------------------
PREFERRED STOCK -- 0.9%
SOUTH KOREA -- 0.9%
45,560 Daishin Securities Co., LTD 338,765
(Cost $354,136)
WARRANT -- 0.3%
THAILAND -- 0.3%
170,000 Thoresen Thai Agencies PCL, NVDR*
(Cost $32,500) 122,509
-----------------------------------------------------------------
TOTAL INVESTMENTS -- 100.0% $ 36,212,708
(COST $29,835,985)
-----------------------------------------------------------------
</Table>
SUMMARY OF INVESTMENTS BY INDUSTRY, OCTOBER 31, 2003
<Table>
<Caption>
INDUSTRY % OF INVESTMENT SECURITIES
- --------------------------------------------------------------------------------
Electronics/Electrical Equipment 17.3%
Banking 13.0
Real Estate 9.7
Semi-Conductors 8.1
Transportation 4.8
Telecommunications Equipment 3.7
Computers/Computer Hardware 3.5
Retailing 3.3
Diversified 3.1
Hotels/Other Lodging 3.0
Engineering Services 2.7
Construction Materials 2.7
Financial Services 2.2
Chemicals 2.1
Steel 1.9
Airlines 1.8
Metals/Mining 1.7
Construction 1.6
Shipping/Transportation 1.5
Oil & Gas 1.5
Telecommunications 1.4
Insurance 1.4
Multi-Media 1.2
Machinery & Engineering Equipment 1.2
Consumer Products 1.2
Computer Software 1.1
Entertainment/Leisure 1.1
Business Services 1.1
Other (below 1%) 1.1
- --------------------------------------------------------------------------------
100.0%
- --------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
46
<Page>
JPMorgan Fleming International Equity Fund
PORTFOLIO OF INVESTMENTS
AS OF OCTOBER 31, 2003
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- 100.0%
COMMON STOCKS -- 99.9%
AUSTRALIA -- 2.3%
671,300 BHP Billiton LTD $ 5,582,497
178,800 National Australia Bank LTD 3,880,889
520,069 News Corp., LTD 4,631,151
452,478 Woodside Petroleum LTD 4,247,580
-----------------------------------------------------------------
18,342,117
-----------------------------------------------------------------
BELGIUM -- 1.9%
604,530 Dexia 9,515,399
332,280 Fortis 5,906,118
-----------------------------------------------------------------
15,421,517
-----------------------------------------------------------------
BRAZIL -- 0.4%
68,300 Cia Vale do Rio Doce, ADR 3,124,725
FINLAND -- 2.0%
942,756 Nokia OYJ 16,011,794
FRANCE -- 12.3%
241,218 Aventis SA (l) 12,772,872
550,354 AXA 10,428,460
230,046 BNP Paribas 12,087,698
304,212 Compagnie de Saint-Gobain 12,833,756
196,542 Dassault Systemes SA (l) 8,339,475
49,591 Imerys SA (l) 9,512,119
204,627 Total SA 31,804,223
-----------------------------------------------------------------
97,778,603
-----------------------------------------------------------------
GERMANY -- 6.8%
123,400 BASF AG 5,666,341
356,252 Bayerische Motoren Werke AG 14,287,850
143,773 Deutsche Bank AG 9,476,563
440,044 Deutsche Post AG 8,517,278
144,450 Schering AG 6,792,451
143,201 Siemens AG 9,621,978
-----------------------------------------------------------------
54,362,461
-----------------------------------------------------------------
HONG KONG (CHINA) -- 1.1%
762,000 Cheung Kong Holdings LTD 6,353,516
1,756,500 MTR Corp., LTD 2,386,272
-----------------------------------------------------------------
8,739,788
-----------------------------------------------------------------
IRELAND -- 0.9%
589,390 Bank of Ireland $ 7,262,717
ITALY -- 4.4%
1,717,979 ENI-Ente Nazionale
Idrocarburi SPA 27,280,920
4,374,665 Telecom Italia SPA* (l) 7,587,594
-----------------------------------------------------------------
34,868,514
-----------------------------------------------------------------
JAPAN -- 20.6%
56,640 Acom Co., LTD (l) 2,534,851
343,000 Canon, Inc. 16,598,536
354,100 Chugai Pharmaceutical Co., LTD 5,044,077
245,000 Fuji Photo Film Co., LTD 7,220,630
41,700 Hirose Electric Co., LTD 5,124,546
306,000 Honda Motor Co., LTD 12,080,229
107,100 Hoya Corp. 9,693,410
330,000 Kao Corp. 6,784,009
468,000 Matsushita Electric
Industrial Co., LTD 6,168,481
565,000 Mitsubishi Corp. 5,864,056
1,040 Mitsubishi Tokyo Financial
Group, Inc. 7,473,507
1,493,000 Nikko Cordial Corp. 8,053,387
74,500 Nintendo Co., LTD 5,753,445
1,222 Nippon Telegraph &
Telephone Corp. 5,457,789
632 Nippon Unipac Holding 2,977,905
2,973 NTT DoCoMo, Inc. 6,436,294
60 ORIX Corp. 5,048
183,500 Secom Co., LTD 7,177,424
357,000 Sharp Corp. 5,621,203
161,400 Shin-Etsu Chemical Co., LTD 6,004,694
133,700 Sony Corp. 4,657,943
1,198,000 Sumitomo Corp. 8,314,677
241,900 Takeda Chemical Industries LTD 8,559,522
78,610 Takefuji Corp. (l) 4,655,033
214,900 Yamanouchi
Pharmaceutical Co., LTD 5,395,224
-----------------------------------------------------------------
163,655,920
-----------------------------------------------------------------
RUSSIA -- 0.3%
58,199 YUKOS, ADR 2,630,595
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
47
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
SOUTH KOREA -- 2.8%
106,600 Kookmin Bank, ADR $ 3,917,550
142,170 POSCO, ADR 4,120,087
51,560 Samsung Electronics Co., LTD,
GDR 10,312,000
194,430 SK Telecom Co., LTD, ADR 3,810,828
-----------------------------------------------------------------
22,160,465
-----------------------------------------------------------------
SPAIN -- 2.4%
271,146 Altadis SA 6,575,185
238,703 Banco Popular Espanol 12,412,156
-----------------------------------------------------------------
18,987,341
-----------------------------------------------------------------
SWEDEN -- 1.2%
1,585,566 Nordea AB 9,837,568
SWITZERLAND -- 7.8%
217,520 Holcim LTD 9,154,622
68,490 Nestle SA 15,079,238
431,310 Novartis AG 16,440,393
162,390 Roche Holding AG 13,437,747
62,719 Zurich Financial Services AG 8,031,564
-----------------------------------------------------------------
62,143,564
-----------------------------------------------------------------
THE NETHERLANDS -- 6.5%
632,965 ABN AMRO Holding NV 13,281,507
128,763 Heineken NV 4,595,364
434,728 ING Groep NV 9,025,880
435,013 Koninklijke Philips Electronics NV 11,727,177
592,730 Reed Elsevier NV 6,601,048
485,330 Wolters Kluwer NV 6,821,092
-----------------------------------------------------------------
52,052,068
-----------------------------------------------------------------
UNITED KINGDOM -- 26.2%
1,024,020 Allied Domecq PLC 6,850,954
694,436 Aviva PLC 5,697,701
1,800,212 Barclays PLC 15,182,768
2,873,300 BG Group PLC 13,103,894
2,008,540 Centrica PLC 6,288,510
906,715 Compass Group PLC 5,227,586
1,106,462 GKN PLC 5,182,228
1,083,836 GlaxoSmithKline PLC 23,210,999
584,285 Intercontinental Hotels
Group PLC $ 5,302,082
1,586,870 Kingfisher PLC 7,607,303
1,225,066 National Grid Transco PLC 7,821,804
534,500 Reckitt Benckiser PLC 11,247,094
294,240 Rio Tinto PLC 7,135,179
458,570 Royal Bank of Scotland
Group PLC 12,287,363
547,581 Schroders PLC 6,246,692
465,060 Standard Chartered PLC 7,438,087
3,814,653 Tesco PLC 15,293,180
807,406 The British Land Co., PLC 7,087,016
12,985,435 Vodafone Group PLC 27,269,215
975,560 Wolseley PLC 11,956,731
-----------------------------------------------------------------
207,436,386
-----------------------------------------------------------------
Total Common Stocks 794,816,143
(Cost $725,778,630)
-----------------------------------------------------------------
<Caption>
PRINCIPAL
AMOUNT
(USD)
- --------------------------------------------------------------------------------
CONVERTIBLE BOND -- 0.1%
FRANCE -- 0.1%
$ 31,890 AXA SA, 0.00%, 12/21/04* (l) 546,069
(Cost $472,793)
-----------------------------------------------------------------
TOTAL INVESTMENTS -- 100.0% $ 795,362,212
(COST $726,251,423)
-----------------------------------------------------------------
<Caption>
SHARES COLLATERAL INVESTMENTS
- --------------------------------------------------------------------------------
MONEY MARKET FUNDS (c)
1,011,032 Merrill Lynch Premier Fund 1,011,032
1,011,031 Reserve Primary Fund 1,011,031
<Caption>
PRINCIPAL
AMOUNT
(USD)
- --------------------------------------------------------------------------------
REPURCHASE AGREEMENT (c)
$ 16,329,816 Lehman Brothers, Inc., 1.04%
due 11/03/03, dated 10/31/03,
proceeds $16,330,758,
secured by U.S. Government
Agency Securities 16,329,816
-----------------------------------------------------------------
$ 18,351,879
-----------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
48
<Page>
SUMMARY OF INVESTMENTS BY INDUSTRY, OCTOBER 31, 2003
<Table>
<Caption>
INDUSTRY % OF INVESTMENT SECURITIES
- --------------------------------------------------------------------------------
Banking 15.6%
Pharmaceuticals 11.5
Oil & Gas 9.9
Telecommunications 8.4
Food/Beverage Products 5.9
Electronics/Electrical Equipment 5.1
Insurance 4.2
Automotive 4.0
Construction Materials 4.0
Financial Services 3.4
Distribution 3.3
Consumer Products 3.1
Office/Business Equipment 2.1
Metals/Mining 2.0
Utilities 1.8
Real Estate 1.7
Chemicals 1.5
Multi-Media 1.4
Transportation 1.4
Semi-Conductors 1.3
Health Care/Health Care Services 1.2
Diversified 1.2
Computer Software 1.0
Retailing 1.0
Other (below 1%) 4.0
- --------------------------------------------------------------------------------
100.0%
- --------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
49
<Page>
Abbreviations:
* -- Non-income producing security.
# -- All or a portion of this security is a 144A or private placement
security and can only be sold to qualified institutional buyers.
+ -- All or a portion of this security is segregated with the custodian for
forward foreign currency contracts.
@ -- Security is fully or partially segregated with brokers as initial
margin for futures contracts.
(a) -- Affiliated. Money market fund registered under the Investment Company
Act of 1940, as amended and advised by JPMorgan Fleming Asset
Management, Inc.
(c) -- Investment of cash collateral for portfolio securities on loan.
(d) -- Defaulted security.
(f) -- Fair valued investment. The following are approximately the market
value and percentage of the investments that are fair valued:
<Table>
<Caption>
FUND MARKET VALUE PERCENTAGE
----------------------------------------------------------------------
Fleming European Fund $ 0 0.00%
Fleming International Value Fund $ 0 0.00%
Fleming Emerging Markets Equity Fund $ 50,530 0.06%
</Table>
(l) -- Security, or portion of a security, has been delivered to counterparty
as part of security lending transaction.
(W/I) -- When Issued.
ADR -- American Depositary Receipt.
AUD -- Australian Dollar.
CHF -- Swiss Franc.
DKK -- Danish Krone.
EUR -- Euro.
GBP -- Great Britain Pound.
GDR -- Global Depositary Receipt.
HKD -- Hong Kong Dollar.
JPY -- Japanese Yen.
NOK -- Norwegian Krone.
NVDR -- Non Voting Depositary Receipt.
SEK -- Swedish Krona.
Ser. -- Series.
SGD -- Singapore Dollar.
USD -- United States Dollar.
SEE NOTES TO FINANCIAL STATEMENTS.
50
<Page>
THIS PAGE IS INTENTIONALLY LEFT BLANK
<Page>
JPMorgan Funds
STATEMENT OF ASSETS AND LIABILITIES
AS OF OCTOBER 31, 2003
<Table>
<Caption>
EUROPEAN JAPAN INTERNATIONAL INTERNATIONAL
FUND FUND GROWTH FUND VALUE FUND
ASSETS
Investment securities, at value $ 71,100,156 $ 3,713,171 $ 3,963,753 $ 42,770,474
Investments held as collateral for
securities lending program 2,152,676 -- -- 371,010
Cash 22,306 167,993 28,568 23,142
Foreign currency, at value 52,857 -- 344 126,928
Receivables:
Investment securities sold 5,437,094 354,699 42,516 895,036
Fund shares sold 136,095 303,823 -- 17,641
Interest and dividends 62,841 4,482 8,385 59,308
Foreign tax reclaim 149,132 -- 5,826 506,159
Variation margin -- -- -- 7,594
Unrealized appreciation on forward
foreign currency exchange contracts -- -- -- 1,168,641
Securities lending (net) 979 6 -- 62
Expense reimbursements 13,065 34,348 12,552 3,193
- --------------------------------------------------------------------------------------------------------------------------
Total Assets 79,127,201 4,578,522 4,061,944 45,949,188
- --------------------------------------------------------------------------------------------------------------------------
LIABILITIES
Payables:
Investment securities purchased 7,629,468 401,076 46,559 1,333,526
Collateral for securities
lending program 2,152,676 -- -- 371,010
Fund shares redeemed 81,437 68,876 -- --
Unrealized depreciation on forward
foreign currency exchange contracts -- 2,280 -- 933,741
Accrued liabilities:
Investment advisory fees -- -- -- 12,160
Shareholder servicing fees 11,328 -- -- 3,161
Distribution fees 15,557 208 1,176 156
Custodian fees 71,989 29,990 6,400 29,831
Trustees' fees - deferred
compensation plan 8,978 969 85 1,037
Other 74,133 43,857 45,735 61,575
- --------------------------------------------------------------------------------------------------------------------------
Total Liabilities 10,045,566 547,256 99,955 2,746,197
- --------------------------------------------------------------------------------------------------------------------------
Net Assets $ 69,081,635 $ 4,031,266 $ 3,961,989 $ 43,202,991
- --------------------------------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
52
<Page>
<Table>
<Caption>
EUROPEAN JAPAN INTERNATIONAL INTERNATIONAL
FUND FUND GROWTH FUND VALUE FUND
NET ASSETS
Paid in capital $ 66,857,106 $ 4,578,737 $ 4,989,192 $ 71,032,050
Accumulated undistributed
(overdistributed) net investment income 39,564 (3,348) 5,593 (13,187)
Accumulated net realized gain (loss)
on investments, futures and foreign
exchange transactions (3,415,051) (851,792) (1,263,328) (36,387,660)
Net unrealized appreciation
(depreciation) of investments, futures
and foreign exchange translations 5,600,016 307,669 230,532 8,571,788
- --------------------------------------------------------------------------------------------------------------------------
Total Net Assets $ 69,081,635 $ 4,031,266 $ 3,961,989 $ 43,202,991
- --------------------------------------------------------------------------------------------------------------------------
Shares of beneficial interest outstanding
($0.001 par value; unlimited
number of shares authorized)
Class A 1,848,777 533,430 407,012 7,064
Class B 720,170 73,630 102,422 29,417
Class C 181,391 -- -- --
Institutional 700,879 -- -- 3,060,788
Select 660,120 -- -- 1,928,355
Net Asset Value:
Class A (and redemption price) $ 16.94 $ 6.68 $ 7.80 $ 8.53
Class B* $ 16.08 $ 6.36 $ 7.70 $ 8.46
Class C* $ 16.06 $ -- $ -- $ --
Institutional (and redemption price) $ 17.17 $ -- $ -- $ 8.61
Select (and redemption price) $ 17.00 $ -- $ -- $ 8.58
Class A Maximum Public Offering
Price Per Share (net asset value per
share/94.25%) $ 17.97 $ 7.09 $ 8.28 $ 9.05
Cost of investments $ 65,530,069 $ 3,404,929 $ 3,734,395 $ 34,532,407
- --------------------------------------------------------------------------------------------------------------------------
Cost of foreign currency $ 52,857 $ -- $ 344 $ 126,559
- --------------------------------------------------------------------------------------------------------------------------
</Table>
* Redemption price may be reduced by contingent deferred sales charge.
SEE NOTES TO FINANCIAL STATEMENTS.
53
<Page>
<Table>
<Caption>
INTERNATIONAL EMERGING MARKETS ASIA EQUITY INTERNATIONAL
OPPORTUNITIES FUND EQUITY FUND FUND EQUITY FUND
ASSETS
Investment securities, at value $ 173,003,892 $ 78,061,247 $ 36,212,708 $ 795,362,212
Investments held as collateral for
securities lending program 1,532,284 -- -- 18,351,879
Cash 629,239 3,121,044 1,799,669 17,008,457
Foreign currency, at value 270,020 484,274 381,247 84,471
Receivables:
Investment securities sold 1,503,676 6,884 424,877 --
Fund shares sold 477,861 28,775 150,150 10,077,558
Interest and dividends 313,599 118,564 719 1,684,449
Foreign tax reclaim 719,464 981 -- 596,430
Unrealized appreciation on forward
foreign currency exchange contracts 2,306,752 -- -- --
Securities lending (net) 329 -- -- 5,399
Expense reimbursements 1,724 2,727 30 1,703
- --------------------------------------------------------------------------------------------------------------------------
Total Assets 180,758,840 81,824,496 38,969,400 843,172,558
- --------------------------------------------------------------------------------------------------------------------------
LIABILITIES
Payables:
Investment securities purchased 289,378 161,280 280,638 --
Collateral for securities
lending program 1,532,284 -- -- 18,351,879
Fund shares redeemed 38,838 3,024 -- 139,385
Unrealized depreciation on forward
foreign currency exchange contracts 1,723,451 -- -- --
Variation margin 11,455 -- -- --
Accrued liabilities:
Investment advisory fees 66,953 53,397 2,122 517,563
Administration fees 10,415 -- -- 68,099
Shareholder servicing fees 8,112 2,589 5,790 67,325
Distribution fees 3,127 87 47 2,425
Custodian fees 52,210 43,091 33,166 81,871
Trustees' fees - deferred
compensation plan 11,895 329 23 39,653
Other 81,897 64,049 56,660 77,740
- --------------------------------------------------------------------------------------------------------------------------
Total Liabilities 3,830,015 327,846 378,446 19,345,940
- --------------------------------------------------------------------------------------------------------------------------
Net Assets $ 176,928,825 $ 81,496,650 $ 38,590,954 $ 823,826,618
- --------------------------------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
54
<Page>
<Table>
<Caption>
INTERNATIONAL EMERGING MARKETS ASIA EQUITY INTERNATIONAL
OPPORTUNITIES FUND EQUITY FUND FUND EQUITY FUND
NET ASSETS
Paid in capital $ 292,346,326 $ 186,845,233 $ 34,861,638 $ 783,456,254
Accumulated undistributed
(overdistributed) net investment income 2,777,662 716,840 326,591 1,632,752
Accumulated net realized gain (loss)
on investments, futures and foreign
exchange transactions (154,095,422) (119,690,569) (2,973,762) (30,440,392)
Net unrealized appreciation
(depreciation) of investments, futures
and foreign exchange translations 35,900,259 13,625,146 6,376,487 69,178,004
- --------------------------------------------------------------------------------------------------------------------------
Total Net Assets $ 176,928,825 $ 81,496,650 $ 38,590,954 $ 823,826,618
- --------------------------------------------------------------------------------------------------------------------------
Shares of beneficial interest outstanding
($0.001 par value; unlimited
number of shares authorized)
Class A 1,170,263 16,508 14,692 366,848
Class B 155,395 12,797 -- 7,701
Class C -- -- -- 72,902
Institutional 14,454,714 7,726,008 778,546 --
Select 3,357,209 3,003,345 1,372,948 35,076,056
Net Asset Value:
Class A (and redemption price) $ 9.10 $ 7.49 $ 17.74 $ 23.17
Class B* $ 9.03 $ 7.45 $ -- $ 23.10
Class C* $ -- $ -- $ -- $ 23.05
Institutional (and redemption price) $ 9.26 $ 7.59 $ 17.84 $ --
Select (and redemption price) $ 9.22 $ 7.53 $ 17.80 $ 23.19
Class A Maximum Public Offering
Price Per Share (net asset value per
share/94.25%) $ 9.66 $ 7.95 $ 18.82 $ 24.58
Cost of investments $ 137,839,201 $ 64,447,676 $ 29,835,985 $ 726,251,423
- --------------------------------------------------------------------------------------------------------------------------
Cost of foreign currency $ 270,612 $ 474,559 $ 381,452 $ 88,007
- --------------------------------------------------------------------------------------------------------------------------
</Table>
* Redemption price may be reduced by contingent deferred sales charge.
SEE NOTES TO FINANCIAL STATEMENTS.
55
<Page>
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2003
<Table>
<Caption>
EUROPEAN JAPAN INTERNATIONAL INTERNATIONAL
FUND FUND GROWTH FUND VALUE FUND
INVESTMENT INCOME
Interest $ 5,975 $ -- $ 110 $ 3,810
Dividend 1,336,114 11,770 91,193 1,235,914
Dividend income from affiliated
investments* -- -- -- 7,813
Securities lending (net) 5,269 6 -- 3,021
Foreign tax withholding (262,938) (1,625) (10,903) (745,274)
- --------------------------------------------------------------------------------------------------------------------------
Total investment income 1,084,420 10,151 80,400 505,284
- --------------------------------------------------------------------------------------------------------------------------
EXPENSES
Investment advisory fees 376,606 14,872 34,101 245,590
Administration fees 86,909 2,231 5,115 61,397
Shareholder servicing fees 100,566 2,429 8,525 65,657
Distribution fees 164,984 4,499 11,923 1,703
Custodian and accounting fees 363,607 135,400 75,974 135,787
Printing and postage 33,145 1,416 5,115 3,749
Professional fees 71,545 71,111 56,131 79,901
Registration fees 48,784 26,254 14,440 30,067
Transfer agent fees 185,694 29,461 35,685 80,679
Trustees' fees 660 18 39 463
Other 14,982 5,211 5,008 9,587
- --------------------------------------------------------------------------------------------------------------------------
Total expenses 1,447,482 292,902 252,056 714,580
- --------------------------------------------------------------------------------------------------------------------------
Less amounts waived 397,627 22,860 47,741 209,964
Less expense reimbursements 59,524 242,844 132,716 41,484
- --------------------------------------------------------------------------------------------------------------------------
Net expenses 990,331 27,198 71,599 463,132
- --------------------------------------------------------------------------------------------------------------------------
Net investment income (loss) 94,089 (17,047) 8,801 42,152
- --------------------------------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
56
<Page>
<Table>
<Caption>
EUROPEAN JAPAN INTERNATIONAL INTERNATIONAL
FUND FUND GROWTH FUND VALUE FUND
REALIZED AND UNREALIZED
GAIN (LOSS) ON INVESTMENTS
Net realized gain (loss) on
transactions from:
Investments $ 11,331,727 $ 499,394 $ (250,688) $ 5,760,238
Futures -- -- -- 78,178
Foreign exchange contracts (30,113) (5,198) (3,121) (61,546)
Change in net unrealized
appreciation (depreciation) of:
Investments 4,309,135 339,266 1,028,729 3,978,961
Futures -- -- -- (68,244)
Foreign exchange translations 30,996 (611) 843 274,834
Net realized and unrealized gain (loss)
on investments, futures and foreign
exchange transactions 15,641,745 832,851 775,763 9,962,421
- --------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets
from operations $ 15,735,834 $ 815,804 $ 784,564 $ 10,004,573
- --------------------------------------------------------------------------------------------------------------------------
* Includes reimbursements of
investment advisory, administration
and shareholder servicing fees : $ -- $ -- $ -- $ 1,065
- --------------------------------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
57
<Page>
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2003
<Table>
<Caption>
INTERNATIONAL EMERGING MARKETS ASIA EQUITY INTERNATIONAL
OPPORTUNITIES FUND EQUITY FUND FUND EQUITY FUND
INVESTMENT INCOME
Interest $ 13,292 $ -- $ 978 $ 46,443
Dividend 5,449,953 1,955,295 842,105 14,320,606
Dividend income from
affiliated investments* 30,710 -- -- --
Securities lending (net) 5,559 -- -- 34,025
Allocated investment income
from portfolio -- -- -- --
Foreign tax withholding (1,520,858) (155,706) (104,708) (1,595,975)
- --------------------------------------------------------------------------------------------------------------------------
Total investment income 3,978,656 1,799,589 738,375 12,805,099
- --------------------------------------------------------------------------------------------------------------------------
EXPENSES
Investment advisory fees 1,206,535 682,559 284,270 5,018,938
Administration fees 301,634 102,384 42,640 752,842
Shareholder servicing fees 260,212 96,767 56,961 1,254,730
Distribution fees 36,318 617 2,965 11,945
Custodian and accounting fees 293,147 280,142 201,020 428,394
Printing and postage 18,703 15,765 7,744 63,643
Professional fees 82,805 92,282 81,183 100,277
Registration fees 35,349 41,129 46,196 79,033
Transfer agent fees 185,590 86,683 59,634 98,075
Trustees' fees 2,225 778 326 5,951
Other 11,853 18,623 5,725 22,482
- --------------------------------------------------------------------------------------------------------------------------
Total expenses 2,434,371 1,417,729 788,664 7,836,310
- --------------------------------------------------------------------------------------------------------------------------
Less amounts waived 363,458 338,663 316,455 2,269,507
Less expense reimbursements 20,270 28,205 55,346 28,025
- --------------------------------------------------------------------------------------------------------------------------
Net expenses 2,050,643 1,050,861 416,863 5,538,778
- --------------------------------------------------------------------------------------------------------------------------
Net investment income (loss) 1,928,013 748,728 321,512 7,266,321
- --------------------------------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
58
<Page>
<Table>
<Caption>
INTERNATIONAL EMERGING MARKETS ASIA EQUITY INTERNATIONAL
OPPORTUNITIES FUND EQUITY FUND FUND EQUITY FUND
REALIZED AND UNREALIZED
GAIN (LOSS) ON INVESTMENTS
Net realized gain (loss) on
transactions from:
Investments $ (15,106,806) $ 142,765 $ (1,715,747) $ (10,822,551)
Futures 200,327 -- -- --
Foreign exchange contracts 911,854 (26,609) 5,101 77,256
Change in net unrealized
appreciation (depreciation) of:
Investments 51,039,934 25,070,054 8,985,137 118,831,955
Futures 107,671 -- -- --
Foreign exchange translations 522,402 11,842 (1,586) 34,511
Net realized and unrealized gain (loss)
on investments, futures and
foreign exchange transactions 37,675,382 25,198,052 7,272,905 108,121,171
- --------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets
from operations $ 39,603,395 $ 25,946,780 $ 7,594,417 $ 115,387,492
- --------------------------------------------------------------------------------------------------------------------------
* Includes reimbursements of
investment advisory, administration
and shareholder servicing fees: $ 4,414 $ -- $ -- $ --
- --------------------------------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
59
<Page>
STATEMENT OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED
<Table>
<Caption>
EUROPEAN FUND JAPAN FUND
--------------------------------- ---------------------------------
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
10/31/03 10/31/02 10/31/03 10/31/02
INCREASE (DECREASE) IN NET
ASSETS FROM OPERATIONS
Net investment income (loss) $ 94,089 $ 573,439 $ (17,047) $ (13,974)
Net realized gain (loss) on investments
and foreign exchange transactions 11,301,614 2,432,893 494,196 (172,025)
Change in net unrealized appreciation
(depreciation) of investments and
foreign exchange translations 4,340,131 (795,449) 338,655 70,710
- --------------------------------------------------------------------------------------------------------------------------
Increase (decrease) in net assets
from operations 15,735,834 2,210,883 815,804 (115,289)
- --------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO
SHAREHOLDERS FROM
Net investment income (374,810) -- -- --
- --------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS
Increase (decrease) (782,686) (4,654,549) 2,372,801 72,270
- --------------------------------------------------------------------------------------------------------------------------
NET ASSETS
Total increase (decrease) in net assets 14,578,338 (2,443,666) 3,188,605 (43,019)
- --------------------------------------------------------------------------------------------------------------------------
Beginning of period 54,503,297 56,946,963 842,661 885,680
- --------------------------------------------------------------------------------------------------------------------------
End of period $ 69,081,635 $ 54,503,297 $ 4,031,266 $ 842,661
- --------------------------------------------------------------------------------------------------------------------------
Accumulated undistributed
(overdistributed) net
investment income $ 39,564 $ 332,433 $ (3,348) $ (1,116)
- --------------------------------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
60
<Page>
<Table>
<Caption>
INTERNATIONAL GROWTH FUND INTERNATIONAL VALUE FUND
--------------------------------- ---------------------------------
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
10/31/03 10/31/02 10/31/03 10/31/02
INCREASE (DECREASE) IN NET
ASSETS FROM OPERATIONS
Net investment income (loss) $ 8,801 $ (8,129) $ 42,152 $ 667,940
Net realized gain (loss) on
investments, futures and foreign
exchange transactions (253,809) (784,862) 5,776,870 3,894,948
Change in net unrealized appreciation
(depreciation) of investments, futures
and foreign exchange translations 1,029,572 293,236 4,185,551 (4,820,436)
- --------------------------------------------------------------------------------------------------------------------------
Increase (decrease) in net assets
from operations 784,564 (499,755) 10,004,573 (257,548)
- --------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO
SHAREHOLDERS FROM
Net investment income -- -- (1,481,498) (1,669,756)
- --------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS
Increase (decrease) 500 35,522 (11,203,485) (116,106,584)
- --------------------------------------------------------------------------------------------------------------------------
NET ASSETS
Total increase (decrease) in net assets 785,064 (464,233) (2,680,410) (118,033,888)
- --------------------------------------------------------------------------------------------------------------------------
Beginning of period 3,176,925 3,641,158 45,883,401 163,917,289
- --------------------------------------------------------------------------------------------------------------------------
End of period $ 3,961,989 $ 3,176,925 $ 43,202,991 $ 45,883,401
- --------------------------------------------------------------------------------------------------------------------------
Accumulated undistributed
(overdistributed) net
investment income $ 5,593 $ (87) $ (13,187) $ 1,483,173
- --------------------------------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
61
<Page>
<Table>
<Caption>
INTERNATIONAL OPPORTUNITIES FUND EMERGING MARKETS EQUITY FUND
--------------------------------- ---------------------------------
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
10/31/03 10/31/02 10/31/03 10/31/02
INCREASE (DECREASE) IN NET
ASSETS FROM OPERATIONS
Net investment income $ 1,928,013 $ 3,693,097 $ 748,728 $ 650,760
Net realized gain (loss) on
investments, futures and foreign
exchange transactions (13,994,625) (51,863,790) 116,156 (17,879,298)
Change in net unrealized appreciation
(depreciation) of investments, futures
and foreign exchange translations 51,670,007 15,342,530 25,081,896 23,876,867
- --------------------------------------------------------------------------------------------------------------------------
Increase (decrease) in net assets
from operations 39,603,395 (32,828,163) 25,946,780 6,648,329
- --------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO
SHAREHOLDERS FROM
Net investment income (2,548,192) (3,881,303) (430,000) (866,869)
- --------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS
Increase (decrease) (116,262,855) 340,406 (10,270,234) (29,141,053)
- --------------------------------------------------------------------------------------------------------------------------
NET ASSETS
Total increase (decrease) in net assets (79,207,652) (36,369,060) 15,246,546 (23,359,593)
- --------------------------------------------------------------------------------------------------------------------------
Beginning of period 256,136,477 292,505,537 66,250,104 89,609,697
- --------------------------------------------------------------------------------------------------------------------------
End of period $ 176,928,825 $ 256,136,477 $ 81,496,650 $ 66,250,104
- --------------------------------------------------------------------------------------------------------------------------
Accumulated undistributed
(overdistributed) net
investment income $ 2,777,662 $ 2,449,380 $ 716,840 $ (2,767,184)
- --------------------------------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
62
<Page>
<Table>
<Caption>
ASIA EQUITY FUND INTERNATIONAL EQUITY FUND
--------------------------------- ---------------------------------
YEAR ENDED 11/1/01* THROUGH YEAR ENDED YEAR ENDED
10/31/03 10/31/02 10/31/03 10/31/02
INCREASE (DECREASE) IN NET
ASSETS FROM OPERATIONS
Net investment income (loss) $ 321,512 $ (6,042) $ 7,266,321 $ 2,088,955
Net realized gain (loss) on investments
and foreign exchange transactions (1,710,646) (1,369,854) (10,745,295) (13,160,990)
Change in net unrealized appreciation
(depreciation) of investments and
foreign exchange translations 8,983,551 (2,607,064) 118,866,466 (11,644,462)
- --------------------------------------------------------------------------------------------------------------------------
Increase (decrease) in net assets
from operations 7,594,417 (3,982,960) 115,387,492 (22,716,497)
- --------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO
SHAREHOLDERS FROM
Net investment income -- -- (6,762,429) (1,161,091)
- --------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS
Increase (decrease) 7,754,921 27,224,576 467,662,712 90,120,668
- --------------------------------------------------------------------------------------------------------------------------
NET ASSETS
Total increase (decrease) in net assets 15,349,338 23,241,616 576,287,775 66,243,080
- --------------------------------------------------------------------------------------------------------------------------
Beginning of period 23,241,616 -- 247,538,843 181,295,763
- --------------------------------------------------------------------------------------------------------------------------
End of period $ 38,590,954 $ 23,241,616 $ 823,826,618 $ 247,538,843
- --------------------------------------------------------------------------------------------------------------------------
Accumulated undistributed
(overdistributed) net
investment income $ 326,591 $ (22) $ 1,632,752 $ 1,051,535
- --------------------------------------------------------------------------------------------------------------------------
</Table>
* Commencement of operations.
SEE NOTES TO FINANCIAL STATEMENTS.
63
<Page>
JPMorgan Funds
NOTES TO FINANCIAL STATEMENTS
1. ORGANIZATION
J.P. Morgan Mutual Fund Group ("MFG"), J.P. Morgan Institutional Funds ("JPMIF")
and J.P. Morgan Mutual Fund Select Group ("MFSG") (the "Trusts") were organized
on May 11, 1987, November 4, 1992 and October 1, 1996, respectively, as
Massachusetts business trusts, and are registered under the Investment Company
Act of 1940 (the "1940 Act"), as amended, as open-end management investment
companies. MFG and MFSG were formerly known as Mutual Fund Group and Mutual Fund
Select Group, respectively. The name changes were effective May 1, 2003.
The following are eight separate portfolios of the Trusts (collectively, the
"Funds"):
<Table>
<Caption>
FUND CLASSES OFFERED
JPMorgan Fleming European Fund ("EF") Class A, Class B, Class C, Institutional and Select
JPMorgan Fleming Japan Fund ("JF") Class A and Class B
JPMorgan Fleming International Growth Fund ("IGF") Class A and Class B
JPMorgan Fleming International Value Fund ("IVF") Class A, Class B, Institutional and Select
JPMorgan Fleming International Opportunities Fund ("IOF") Class A, Class B, Institutional and Select
JPMorgan Fleming Emerging Markets Equity Fund ("EMF") Class A, Class B, Institutional and Select
JPMorgan Fleming Asia Equity Fund ("AEF") Class A, Institutional and Select
JPMorgan Fleming International Equity Fund ("IEF") Class A, Class B, Class C and Select
</Table>
Prior to January 31, 2003, IEF was formerly named Select International Equity
Fund ("SIEF"). On September 12, 2003, Class B shares of AEF merged into Class A
shares, and AEF Class B shares were closed.
EF, JF, IGF and AEF are separate series of MFG. IVF, IOF and EMF are separate
series of JPMIF. IEF is a separate series of MFSG.
Class A Shares generally provide for a front-end sales charge while Class B and
Class C shares provide for a contingent deferred sales charge. Class B shares
automatically convert to Class A shares after eight years. No sales charges are
assessed with respect to the Institutional and Select Classes. 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. Class A shares, for
which front-end charges have been waived, may be subject to redemption charges
as described in the Funds' prospectus.
64
<Page>
2. SIGNIFICANT ACCOUNTING POLICIES
THE FOLLOWING IS A SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES FOLLOWED BY THE
FUNDS:
The preparation of financial statements in accordance with accounting principles
generally accepted in the United States of America requires management to make
estimates and assumptions that affect the reported amounts and disclosures in
the financial statements. Actual results could differ from those estimates.
A. VALUATION OF INVESTMENTS -- Equity securities, purchased options and futures
contracts are valued at the last sale price on the exchange on which they are
primarily traded. The value of National Market Systems equity securities quotes
by the Nasdaq Stock Market, Inc. shall generally be the Nasdaq Official Closing
Price. Securities for which sale prices are not available and other
over-the-counter securities are valued at the mean between the bid and asked
quotations. Fixed income securities (other than convertible bonds) with a
maturity of 61 days or more held by the Funds will be valued each day based on
readily available market quotations received from independent or affiliated
commercial pricing services. Such pricing services will generally provide
bidside quotations. Convertible bonds are valued at the last sale price on the
primary exchange on which the bond is principally traded. Short-term investments
with 60 days or less to maturity at time of purchase are valued at amortized
cost, which approximates market value. 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. For foreign securities, if activity in the local shares indicates that
a current local price should be used, or the market quotation is determined to
be not readily available or unreliable or material events or conditions
affecting the value of a fund security has occurred since the last sale, such
securities may be valued at fair value in accordance with procedures adopted by
the Trustees. 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. Such events may include
general market movements in markets other than the exchanges on which such
securities are traded (the "local market"), and the fair valuation procedures
applied may include adjusting the local market price to reflect movements in
indices or securities prices in other markets, based on historical
relationships. In addition, the Funds have established a market trigger, such as
a specified percentage rise or fall in the value of a designated benchmark
index. When the market trigger is reached, the quotations of an independent
pricing service will generally be applied for foreign equity securities held by
the Fund.
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, allowing the Funds to adjust country exposures while
incurring minimal transaction costs. 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.
65
<Page>
Use of long futures contracts subjects the Funds to risk of loss in excess of
the amounts shown on the Statement of Assets and Liabilities, up to the notional
value of the futures contracts. Use of short futures contracts subject the Funds
to unlimited risk of loss. The Funds may enter into futures contracts only on
exchanges or boards of trade. The exchange or board of trade acts as the
counterparty to each futures transaction, therefore, the Fund's credit risk is
limited to failure of the exchange or board of trade.
As of October 31, 2003, The Funds had outstanding futures contracts as listed on
the Funds' Portfolio of Investments.
C. FOREIGN CURRENCY TRANSLATION -- The books and records of the Funds are
maintained in U.S. dollars. Foreign currency amounts are translated into U.S.
dollars at the prevailing exchange rates, or at the mean of the current bid and
asked prices, of such currencies against the U.S. dollar as quoted by a major
bank, on the following basis:
1. Market value of investment securities and other assets and liabilities: at
the rate of exchange at the valuation date.
2. Purchases and sales of investment securities, income and expenses: at the
rates of exchange prevailing on the respective dates of such transactions.
Although the net assets of the Funds are presented at the foreign exchange rates
and market values at the close of the periods, the Funds do not isolate that
portion of the results of operations arising as a result of changes in the
foreign exchange rates from the fluctuations arising from changes in the market
prices of securities held or sold during the year. Accordingly, such realized
foreign currency gains (losses) are included in the reported net realized and
unrealized gains (losses) on investment transactions.
Reported realized foreign currency gains or losses arise from disposition of
foreign currency, currency gains or losses realized between the trade and
settlement dates on securities transactions, and the difference between the
amounts of dividends, interest and foreign withholding taxes recorded on the
Funds' books on the transaction date and the U.S. dollar equivalent of the
amounts actually received or paid. Unrealized foreign exchange gains and losses
arise from changes (due to the changes in the exchange rate) in the value of
foreign currency and other assets and liabilities denominated in foreign
currencies, which are held at period end.
D. FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS -- The Funds may enter into
forward foreign currency exchange contracts (obligations to purchase or sell
foreign currency in the future on a date and price fixed at the time the
contracts are entered into) to manage the Fund's exposure to foreign currency
exchange fluctuations. Each day the forward contract is open, changes in the
value of the contract are recognized as unrealized gains or losses by "marking
to market". When the forward contract is closed, or the delivery of the currency
is made or taken, each Fund records a realized gain or loss equal to the
difference between the proceeds from (or cost of) the closing transaction and
the Fund's basis in the contract. The Funds are subject to off-balance sheet
risk to the extent of the value of the contracts for purchases of foreign
currency and in an unlimited amount for sales of foreign currency.
As of October 31, 2003, The Funds had outstanding forward foreign currency
exchange contracts as listed on the Funds' Portfolio of Investments.
E. 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.
66
<Page>
F. SECURITIES ON LOAN -- All of the funds except IGF have been approved by the
Board of Trustees for 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 a Fund attempts to increase
its net investment income through the receipt of interest (after rebates and
fees) on collateral received in connection with the loan. The net amount of
interest earned, after the rebate and fee, is included in the Statement of
Operations as Securities lending (net).
The loans are secured by collateral at least equal at all times to the value of
the securities loaned plus accrued interest. Gain or loss on the value of the
securities loaned that may occur during the term of the loan will be for the
account of the Fund. The Fund also continues to receive interest or dividends on
the securities loaned. The Fund has the right under the lending agreement to
recover the securities from the borrower on demand. JPMCB invests the cash
collateral on behalf of the Funds in accordance with investment guidelines
contained in the securities lending agreement.
At October 31, 2003, the market value of securities loaned and the amount of
collateral received were as follows:
<Table>
<Caption>
MARKET VALUE OF MARKET VALUE OF
SECURITIES LOANED COLLATERAL RECEIVED
FUND
EF $ 2,082,318 $ 2,152,676
IVF 349,922 371,010
IOF 1,448,187 1,532,284
IEF 17,583,054 18,351,879
</Table>
JPMCB as lending agent receives a fee equal to 0.06% of the average dollar value
of the loans of U.S. securities outstanding during a given month and 0.1142% of
the average dollar value of loans of non-U.S. securities outstanding during a
given month from the Funds as detailed below:
<Table>
EF $ 1,348
JF 1
IVF 911
IOF 2,096
IEF 13,104
</Table>
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 each
Fund from any loss resulting from a borrower's failure to return a loaned
security when due.
G. SECURITIES 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 Funds
first learn of the dividend.
67
<Page>
H. ALLOCATION OF INCOME AND EXPENSES -- Expenses directly attributable to a Fund
are charged to that Fund; other expenses of the Trusts are allocated
proportionately among each of the Funds within the Trusts in relation to the net
assets of each Fund or on another reasonable basis. Expenses directly
attributable to a particular share class are charged directly to that class. In
calculating the net asset value per share of each class, investment income,
realized and unrealized gains and losses and expenses other than class specific
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.
I. FEDERAL INCOME TAXES -- Each Fund is treated as a separate taxable entity for
Federal income tax purposes. The policy of the Funds is to comply with the
provisions of the Internal Revenue Code applicable to regulated investment
companies and to distribute to shareholders all of their distributable net
investment income and net realized gain on investments. In addition, the Funds
intend to make distributions as required to avoid excise taxes. Accordingly, no
provision for Federal income or excise tax is necessary.
J. FOREIGN TAXES -- Certain Funds may be subject to foreign taxes on income,
gains on investments or currency repatriation, a portion of which may be
recoverable. The Funds will accrue such taxes and recoveries as applicable,
based upon their current interpretation of tax rules and regulations that exist
in the markets in which they invest.
K. DISTRIBUTIONS TO SHAREHOLDERS -- Dividends and distributions paid to
shareholders are recorded on the ex-dividend date. The amount of dividends and
distributions from net investment income and net realized capital gains is
determined in accordance with Federal income tax regulations, which may differ
from accounting principles generally accepted in the United States of America.
To the extent these "book/tax" differences are permanent in nature (i.e., that
they result from other than timing of recognition "temporary differences") such
amounts are reclassified within the capital accounts based on their Federal
tax-basis treatment. The following amounts were reclassified within the capital
accounts:
<Table>
<Caption>
ACCUMULATED ACCUMULATED
UNDISTRIBUTED/ NET REALIZED
(OVERDISTRIBUTED) GAIN (LOSS)
PAID-IN-CAPITAL NET INVESTMENT INCOME ON INVESTMENTS
FUND
EF $ -- $ (12,148) $ 12,148
JF (19,919) 14,815 5,104
IGF -- (3,121) 3,121
IVF 1 (57,014) 57,013
IOF (1) 948,461 (948,460)
EMF (15,643,697) 3,165,296 12,478,401
AEF -- 5,101 (5,101)
IEF (46) 77,325 (77,279)
</Table>
68
<Page>
For EF and IGF, the reclassifications primarily relate to the character for tax
purposes of foreign currency gains and losses. For JF, the reclassifications
primarily relate to the character for tax purposes of net operating losses,
Passive Foreign Investment Company ("PFIC") sales and foreign currency gains and
losses. For IVF and IOF, the reclassifications primarily relate to the character
for tax purposes of PFIC sales and foreign currency gains and losses. For EMF,
the reclassifications primarily relate to the character for tax purposes of
foreign currency gains and losses and disposition of partnership interest. For
AEF, the reclassification primarily relates to the character for tax purposes of
foreign currency gains and losses. For IEF, the reclassifications primarily
relate to the character for tax purposes of foreign currency gains and losses.
L. OTHER EXPENSES -- Other expenses in the Statement of Operations include fees
related to line of credit, insurance, and pricing and reporting services.
3. FEES AND OTHER TRANSACTIONS WITH AFFILIATES
A. INVESTMENT ADVISORY FEE -- Pursuant to the Investment Advisory Agreements,
J.P. Morgan Investment Management, Inc. ("JPMIM" or the "Advisor") acts as the
investment advisor to the Funds. Prior to September 1, 2003, J.P. Morgan Fleming
Asset Management (USA) Inc. ("JPMFAM"), served as the Advisor to EF, JF, IGF and
IEF. On September 1, 2003, JPMFAM and Robert Fleming Inc., merged into JPMIM.
Prior to October 1, 2003, JPMIM was a wholly owned subsidiary of J.P. Morgan
Chase & Co. On October 1, 2003, JPMIM became a wholly owned subsidiary of J.P.
Morgan Fleming Asset Management Holdings, Inc., which is a wholly owned
subsidiary of J.P. Morgan Chase & Co. The investment advisory services and
personnel providing investment advice have not changed as a result of the merger
and ownership change. Neither the merger nor the ownership change constituted an
assignment under the 1940 Act or the Investment Advisers Act of 1940. The
Advisor supervises the investments of each respective Fund and for such services
is 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
EF 0.65%
JF 1.00%
IGF 1.00%
IVF 0.60%
IOF 0.60%
EMF 1.00%
AEF 1.00%
IEF 1.00%
</Table>
69
<Page>
JPMFAM (USA), on behalf of EF, JF, IGF and IEF, had entered into an investment
sub-advisory agreement with J.P. Morgan Fleming Asset Management (London)
Limited ("JPMFAM (London)"). JPMIM, on behalf of AEF, has entered into an
investment sub-advisory agreement with JF International Management, Inc.
("JFIMI"). For its services as sub-advisor, JPMFAM (London) and JFIMI receive a
portion of the fees payable to JPMFAM (USA) and JPMIM, respectively.
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 waive and/or reimburse its advisory fee from
the Funds in an amount sufficient to offset any doubling up of investment
advisory, administration and shareholder servicing fees related to each Fund's
investment in an affiliated money market fund.
B. DISTRIBUTION FEES -- Pursuant to a Distribution Agreement, J.P. Morgan Fund
Distributor, 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
EF 0.25 0.75 0.75
JF 0.25 0.75 n/a
IGF 0.25 0.75 n/a
IVF 0.25 0.75 n/a
IOF 0.25 0.75 n/a
EMF 0.25 0.75 n/a
AEF 0.25 n/a n/a
IEF 0.25 0.75 0.75
</Table>
70
<Page>
In addition, JPMFD receives any contingent deferred sales charges ("CDSC") from
redemptions of Class B and Class C shares.
The Distributor waived fees and reimbursed expenses as outlined in Note 3.F.
C. SHAREHOLDER SERVICING FEES -- The Trusts have entered into a Shareholder
Servicing Agreement on behalf of the Funds with JPMCB under which JPMCB provides
account administration and personal account maintenance service to 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
EF 0.25* 0.25 0.25 0.10 0.25
JF 0.25* 0.25 n/a n/a n/a
IGF 0.25 0.25 n/a n/a n/a
IVF 0.25 0.25 n/a 0.10 0.25
IOF 0.25 0.25 n/a 0.10 0.25
EMF 0.25 0.25 n/a 0.10 0.25
AEF 0.25* n/a n/a 0.10 0.25
IEF 0.25 0.25 0.25 n/a 0.25
</Table>
* On May 1, 2003, class started accruing Shareholder Servicing Fees.
In addition, JPMCB, Charles Schwab & Co. ("Schwab"), and the Trusts are parties
to separate servicing and operating agreements (the "Schwab Agreements") whereby
Schwab makes shares of the Funds available to customers and investment advisors
and other financial intermediaries who are Schwab's clients. The Funds are not
responsible for payments to Schwab under Schwab Agreements; however, in the
event the servicing agreement with Schwab is terminated for reasons other than a
breach by Schwab and the relationship between the Trusts is terminated, the
Funds would be responsible for ongoing payments to Schwab with respect to
pre-termination shares.
The Shareholder Servicing Agents waived fees as outlined in Note 3.F.
D. CUSTODIAN AND ACCOUNTING FEES -- JPMCB provides portfolio accounting and
custody services for all of the Funds except IGF. Compensation for such services
is presented in the Statement of Operations as custodian fees. The custodian
fees may be reduced by credits earned by each Fund, based on uninvested cash
balances held by the custodian. Such earnings credits are presented separately
in the Statement of Operations.
E. ADMINISTRATION FEE -- Pursuant to the Administration Agreement, JPMCB (the
"Administrator") provides certain administration services to the Funds. In
consideration of these services, the Administrator receives a fee computed daily
and paid monthly at an 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.
71
<Page>
BISYS Fund Services, L.P. ("BISYS") serves as the Funds' sub-administrator. For
its services as sub-administrator, BISYS receives a portion of the fees payable
to JPMCB as Administrator.
The Administrator has contractually agreed to reimburse the Funds to the extent
that total operating expenses (excluding interest, taxes, extraordinary expenses
and expenses related to the deferred compensation plan) exceed the percentages
of their respective average daily net assets as shown in the table below (%):
<Table>
<Caption>
INSTITUTIONAL SELECT
CLASS A CLASS B CLASS C CLASS CLASS
FUND
EF 1.75 2.50 2.50 1.00 1.50
JF 1.75 2.50 n/a n/a n/a
IGF 2.00 2.50 n/a n/a n/a
IVF 1.45 1.95 n/a 0.95 1.41
IOF 1.90 2.40 n/a 0.92 1.20
EMF 2.00 2.50 n/a 1.45 1.75
AEF 1.75 n/a n/a 1.35 1.50
IEF 1.50 2.00 2.00 n/a 1.25
</Table>
The contractual expense limitation agreements were in effect for the year ended
October 31, 2003. The expense limitation percentages in the table above are due
to expire as follows:
<Table>
<Caption>
INSTITUTIONAL SELECT
CLASS A CLASS B CLASS C CLASS CLASS
FUND
EF 2/28/04 2/28/04 2/28/04 2/28/05 2/28/05
JF 2/28/04 2/28/04 n/a n/a n/a
IGF 2/28/04 2/28/04 n/a n/a n/a
IVF 2/28/04 2/28/04 n/a 2/28/05 2/28/05
IOF 2/28/04 2/28/04 n/a 2/28/05 2/28/05
EMF 2/28/04 2/28/04 n/a 2/28/05 2/28/05
AEF 2/28/04 n/a n/a 2/28/04 2/28/04
IEF 2/28/04 2/28/04 2/28/04 n/a 2/28/04
</Table>
The Administrator waived fees and reimbursed expenses as outlined in Note 3.F.
72
<Page>
F. WAIVERS AND REIMBURSEMENTS -- For the year ended October 31, 2003, the Funds'
vendors waived fees and the Administrator contractually reimbursed expenses for
each of the Funds as follows:
<Table>
<Caption>
CONTRACTUAL WAIVERS
--------------------------------------------------------------------------
INVESTMENT SHAREHOLDER CONTRACTUAL
ADVISORY ADMINISTRATION SERVICING DISTRIBUTION TOTAL REIMBURSEMENTS
FUND
EF $ 288,942 $ 56,606 $ 18,118 $ -- $ 363,666 $ 59,524
JF 14,872 2,231 2,429 3,328 22,860 242,844
IGF 34,101 5,115 8,525 -- 47,741 132,716
IVF 117,959 58,828 30,608 -- 207,395 41,484
IOF 43,292 159,483 160,683 -- 363,458 20,270
EMF 165,360 102,384 70,919 -- 338,663 28,205
AEF 266,526 42,640 7,289 -- 316,455 55,346
IEF 743,416 2,195 777,499 -- 1,523,110 28,025
Total $ 1,674,468 $ 429,482 $ 1,076,070 $ 3,328 $ 3,183,348 $ 608,414
</Table>
<Table>
<Caption>
VOLUNTARY WAIVERS
------------------------------------------------------------
INVESTMENT SHAREHOLDER
ADVISORY ADMINISTRATION SERVICING DISTRIBUTION TOTAL
FUND
EF $ 3,658 $ 30,303 $ -- $ -- $ 33,961
IVF -- 2,569 -- -- 2,569
IEF 487,385 259,012 -- -- 746,397
Total $ 491,043 $ 291,884 $ -- $ -- $ 782,927
</Table>
G. OTHER -- Certain officers of the Trust(s) are officers of J.P. Morgan Chase &
Co. or of BISYS or their subsidiaries.
During the period, certain Funds may have purchased securities from an
underwriting syndicate in which the principal underwriter or members of the
syndicate are affiliated with the Advisors.
The Funds may use related party broker dealers. For the year ended October 31,
2003, EF, EMF and AEF incurred approximately $24,213, $307 and $23,687,
respectively, as broker commissions with brokers/dealers affiliated with JPMCB.
The SEC has granted an exemptive order permitting each Fund to engage in
principal transactions with J.P. Morgan Securities Inc., an affiliated broker,
involving taxable money market instruments subject to certain conditions.
73
<Page>
4. CLASS SPECIFIC EXPENSES
The Funds' class specific expenses for the year ended October 31, 2003 are as
follows:
<Table>
<Caption>
SHAREHOLDER
SERVICING DISTRIBUTION TRANSFER AGENT
EF
Class A $ 36,831 $ 69,076 $ 101,692
Class B 25,345 76,034 37,190
Class C 6,625 19,874 9,722
Institutional 8,025 -- 15,498
Select 23,740 -- 21,592
- -----------------------------------------------------------------------------------------
$ 100,566 $ 164,984 $ 185,694
JF
Class A $ 2,039 $ 3,328 $ 26,388
Class B 390 1,171 3,073
- -----------------------------------------------------------------------------------------
$ 2,429 $ 4,499 $ 29,461
IGF
Class A $ 6,826 $ 6,826 $ 28,573
Class B 1,699 5,097 7,112
- -----------------------------------------------------------------------------------------
$ 8,525 $ 11,923 $ 35,685
IVF
Class A $ 363 $ 363 $ 11,863
Class B 447 1,340 14,355
Institutional 24,447 -- 17,113
Select 40,400 -- 37,348
- -----------------------------------------------------------------------------------------
$ 65,657 $ 1,703 $ 80,679
IOF
Class A $ 26,793 $ 26,793 $ 98,348
Class B 3,175 9,525 11,607
Institutional 161,671 -- 37,326
Select 68,573 -- 38,309
- -----------------------------------------------------------------------------------------
$ 260,212 $ 36,318 $ 185,590
EMF
Class A $ 171 $ 171 $ 15,203
Class B 149 446 13,436
Institutional 49,247 -- 19,699
Select 47,200 -- 38,345
- -----------------------------------------------------------------------------------------
$ 96,767 $ 617 $ 86,683
</Table>
74
<Page>
<Table>
<Caption>
SHAREHOLDER
SERVICING DISTRIBUTION TRANSFER AGENT
AEF
Class A $ 368 $ 1,887 $ 17,655
Class B 359 1,078 4,938
Institutional 8,392 -- 15,769
Select 47,842 -- 21,272
- -----------------------------------------------------------------------------------------
$ 56,961 $ 2,965 $ 59,634
IEF
Class A $ 8,999 $ 8,999 $ 32,844
Class B 245 735 3,834
Class C 737 2,211 1,693
Select 1,244,749 -- 59,704
- -----------------------------------------------------------------------------------------
$ 1,254,730 $ 11,945 $ 98,075
</Table>
5. CLASS SPECIFIC DISTRIBUTIONS
The Funds' class specific distributions from net investment income and realized
gain on investment transactions for the year ended October 31, 2003 and the year
ended October 31, 2002 are as follows:
<Table>
<Caption>
YEAR ENDED 10/31/03 YEAR ENDED 10/31/02
------------------------------------ -----------------------------------
NET NET
FUND INVESTMENT INCOME REALIZED GAIN INVESTMENT INCOME REALIZED GAIN
EF
Class A $ 182,850 $ -- $ -- $ --
Class B 62,545 -- -- --
Class C 17,829 -- -- --
Institutional 49,458 -- -- --
Select 62,128 -- -- --
- ---------------------------------------------------------------------------------------------------------------
$ 374,810 $ -- $ -- $ --
IVF
Class A $ 5,641 $ -- $ 484 $ --
Class B 5,748 -- 403 --
Institutional 876,423 -- 1,369,814 --
Select 593,686 -- 299,055 --
- ---------------------------------------------------------------------------------------------------------------
$ 1,481,498 $ -- $ 1,669,756 $ --
- ---------------------------------------------------------------------------------------------------------------
</Table>
75
<Page>
<Table>
<Caption>
YEAR ENDED 10/31/03 YEAR ENDED 10/31/02
------------------------------------ -----------------------------------
NET NET
INVESTMENT INCOME REALIZED GAIN INVESTMENT INCOME REALIZED GAIN
IOF
Class A $ 117,616 $ -- $ 160,758 $ --
Class B 12,558 -- 16,272 --
Institutional 2,095,226 -- 3,350,183 --
Select 322,792 -- 354,090 --
- ---------------------------------------------------------------------------------------------------------------
$ 2,548,192 $ -- $ 3,881,303 $ --
EMF
Class A $ 886 $ -- $ 116 $ --
Class B 229 -- 100 --
Institutional 307,562 -- 672,780 --
Select 121,323 -- 193,873 --
- ---------------------------------------------------------------------------------------------------------------
$ 430,000 $ -- $ 866,869 $ --
IEF
Class A $ 37,568 $ -- $ 139 $ --
Class B 544 -- 13 --
Class C 2,626 -- -- --
Select 6,721,691 -- 1,160,939 --
- ---------------------------------------------------------------------------------------------------------------
$ 6,762,429 $ -- $ 1,161,091 $ --
- ---------------------------------------------------------------------------------------------------------------
</Table>
6. INVESTMENT TRANSACTIONS
For the year ended October 31, 2003, purchases and sales of investments
(excluding short-term investments) are as follows:
<Table>
<Caption>
PURCHASES SALES PURCHASES SALES
(EXCLUDING U.S. (EXCLUDING U.S. OF U.S. OF U.S.
GOVERNMENT) GOVERNMENT) GOVERNMENT GOVERNMENT
FUND
EF $ 407,627,438 $ 404,849,018 $ -- $ --
JF 14,202,391 12,124,531 -- --
IGF 1,320,814 1,298,193 -- --
IVF 50,995,952 62,904,190 -- --
IOF 153,345,252 261,787,823 -- --
EMF 56,665,991 67,730,603 -- --
AEF 52,759,317 46,648,720 -- --
IEF 525,503,413 76,402,568 -- --
</Table>
76
<Page>
7. FEDERAL INCOME TAX MATTERS
For Federal income tax purposes, the cost and unrealized appreciation
(depreciation) in value of the investment securities at October 31, 2003, are as
follows:
<Table>
<Caption>
GROSS GROSS NET UNREALIZED
AGGREGATE UNREALIZED UNREALIZED APPRECIATION
COST APPRECIATION DEPRECIATION (DEPRECIATION)
FUND
EF $ 65,626,537 $ 6,216,484 $ (742,865) $ 5,473,619
JF 3,460,345 371,799 (118,973) 252,826
IGF 3,761,515 519,410 (317,172) 202,238
IVF 35,053,153 8,375,053 (657,732) 7,717,321
IOF 141,759,970 36,473,337 (5,229,415) 31,243,922
EMF 56,322,995 25,202,506 (3,464,254) 21,738,252
AEF 30,148,837 7,040,873 (977,002) 6,063,871
IEF 729,988,364 82,892,578 (17,518,730) 65,373,848
</Table>
The tax character of distributions paid during the years ended October 31, 2003
and October 31, 2002 were as follows:
YEAR ENDED 10/31/03
<Table>
<Caption>
ORDINARY
INCOME
EF $ 374,810
IVF 1,481,498
IOF 2,548,192
EMF 430,000
IEF 6,762,429
</Table>
YEAR ENDED 10/31/02
<Table>
<Caption>
ORDINARY
INCOME
IVF $ 1,669,756
IOF 3,881,303
EMF 866,869
IEF 1,161,091
</Table>
77
<Page>
At October 31, 2003, the components of net assets (excluding paid in capital) on
a tax basis are as follows:
<Table>
<Caption>
EF JF IGF IVF
Current distributable ordinary income $ 48,543 $ -- $ 8,800 $ 377,549
Plus/Less: cumulative timing differences (8,979) (969) (85) (1,037)
Undistributed ordinary income or
overdistribution of ordinary income 39,564 (969) 8,715 376,512
Current distributable long-term capital
gain or tax basis capital loss carryover (3,318,584) (801,035) (1,239,331) (36,106,418)
Plus/Less: cumulative timing differences -- -- -- --
Undistributed long-term gains/
accumulated capital loss (3,318,584) (801,035) (1,239,331) (36,106,418)
Unrealized appreciation (depreciation) $ 5,503,549 $ 254,533 $ 203,413 $ 7,900,847
<Caption>
IOF EMF AEF IEF
Current distributable ordinary income $ 4,530,220 $ 717,169 $ 326,614 $ 2,449,255
Plus/Less: cumulative timing differences (11,895) (329) (23) (39,653)
Undistributed ordinary income or
overdistribution of ordinary income 4,518,325 716,840 326,591 2,409,602
Current distributable long-term capital
gain or tax basis capital loss carryover (151,316,092) (127,815,250) (2,660,910) (27,480,301)
Plus/Less: cumulative timing differences -- -- -- --
Undistributed long-term gains/
accumulated capital loss (151,316,092) (127,815,250) (2,660,910) (27,480,301)
Unrealized appreciation (depreciation) $ 31,380,266 $ 21,749,827 $ 6,063,635 $ 65,441,063
</Table>
For EF and AEF, the differences between book and tax basis unrealized
appreciation (depreciation) are primarily attributable to wash sales. For JF,
IGF, IVF and IOF, the differences between book and tax basis unrealized
appreciation (depreciation) are primarily attributable to wash sales, the mark
to market of forward foreign currency exchange contracts and the mark to market
of investments in PFICs. For EMF, the difference between book and tax basis
unrealized appreciation (depreciation) is primarily attributable to wash sales
and allocation of tax basis on prior re-organizations. For IEF, the difference
between book and tax basis unrealized appreciation (depreciation) is primarily
attributable to wash sales and the mark to market of investments in PFICs. For
all Funds, the cumulative timing difference account primarily consists of
Trustees' deferred compensation.
78
<Page>
At October 31, 2003, the following Funds have capital loss carryovers which will
be available to offset capital gains. To the extent that any net capital loss
carryovers are used to offset future capital gains, it is probable that the
gains so offset will not be distributed to shareholders.
<Table>
<Caption>
EXPIRATION
AMOUNT DATE
FUND
EF $ (3,318,584) October 31, 2009
- --------------------------------------------------------------------------------
JF (614,113) October 31, 2009
- --------------------------------------------------------------------------------
(186,922) October 31, 2010
(801,035)
- --------------------------------------------------------------------------------
IGF (234,221) October 31, 2009
- --------------------------------------------------------------------------------
(748,119) October 31, 2010
(256,991) October 31, 2011
(1,239,331)
- --------------------------------------------------------------------------------
IVF (1,001,489) October 31, 2008
- --------------------------------------------------------------------------------
(35,104,929) October 31, 2009
(36,106,418)*
- --------------------------------------------------------------------------------
IOF (15,005,377) October 31, 2008
- --------------------------------------------------------------------------------
(70,979,742) October 31, 2009
(49,498,306) October 31, 2010
(15,832,667) October 31, 2011
(151,316,092)**
- --------------------------------------------------------------------------------
EMF (78,708,868) October 31, 2006
- --------------------------------------------------------------------------------
(28,177,633) October 31, 2007
(2,888,019) October 31, 2008
(12,743,985) October 31, 2009
(5,296,745) October 31, 2010
(127,815,250)***
- --------------------------------------------------------------------------------
AEF (1,170,748) October 31, 2010
- --------------------------------------------------------------------------------
(1,490,162) October 31, 2011
(2,660,910)
- --------------------------------------------------------------------------------
IEF (6,120,236) October 31, 2009
- --------------------------------------------------------------------------------
(11,448,027) October 31, 2010
(9,912,038) October 31, 2011
(27,480,301)
</Table>
* The above capital loss carryover includes $1,001,489 of losses acquired
from J.P. Morgan International Equity Fund.
** The above capital loss carryover includes $5,505,014 and $9,500,363 of
losses acquired from J.P. Morgan Fleming International Equity Fund and J.P.
Morgan International Opportunities Fund, respectively.
*** The above capital loss carryover includes $6,639,185 of losses acquired
from J.P. Morgan Emerging Markets Equity Fund.
Utilization of these losses will be subject to an annual limitation as
prescribed by the Internal Revenue Code. During the year ended October 31, 2003,
EF, JF, IVF and EMF utilized capital loss carryforwards of $11,082,352,
$469,376, $5,461,667 and $6,927,248, respectively.
79
<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 have entered into
the agreement, enabling them to participate with other JPMorgan Funds in a line
of credit with JPMCB, as administrative agent, and with a syndicate of banks,
which permits borrowings up to $250 million, collectively. Interest is charged
to each Fund based on its borrowings at an annual rate equal to the sum of the
Federal Funds Rate plus 0.50%. The Funds also pay a commitment fee of 0.09% per
annum on the average daily amount of the available commitment, which is
allocated on a pro-rata basis to the Funds. The commitment fee is included in
Other expenses on the Statement of Operations. This agreement will expire on
April 15, 2004.
Prior to April 17, 2003, the Funds had entered into an agreement, enabling them
to participate with other JPMorgan Funds in an unsecured line of credit with a
syndicate of banks, which permitted borrowings up to $400 million, collectively.
Interest was charged to each Fund based on its borrowings at an annual rate
equal to the sum of the Federal Funds Rate plus 0.50%. The Funds also paid a
commitment fee of 0.09% per annum on the average daily amount of the available
commitment, which was allocated on a pro-rata basis to the Funds. This agreement
expired on April 16, 2003. The commitment fee is included in other expenses on
the Statement of Operations.
The Funds had no borrowings outstanding at October 31, 2003, nor at anytime
during the period then ended.
9. CONCENTRATIONS AND INDEMNIFICATIONS
Investments in international markets may involve certain considerations and
risks not typically associated with investments in the United States. Future
economic and political developments in foreign countries could adversely affect
the liquidity or value, or both, of such securities in which the Fund is
invested.
As of October 31, 2003, substantially all of the Funds' net assets consist of
securities of issuers that are denominated in foreign currencies. Changes in
currency exchange rates will affect the value of and investment income from such
securities.
As of October 31, 2003, EF, IEF, IGF, and IOF invested approximately 23.1%,
26.2%, 30.0%, and 24.2%, respectively, of its respective portfolio in issuers in
the United Kingdom. EMF and AEF invested 22.4% and 24.8%, respectively, of its
respective portfolio in issuers in South Korea. AEF invested 20.8% of its
respective portfolio in issuers in Hong Kong. IEF invested 20.6% of its
respective portfolio in issuers in Japan.
As of October 31, 2003, IVF invested approximately 21.6% of its net assets in
securities issued by banking companies.
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. At October 31, 2003, all of the outstanding shares of IGF are owned
by a related party. 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 EVENT
As approved by the Trustees and effective November 17, 2003, the Funds will
apply fair value pricing on a daily basis for all non-U.S. securities and
non-Canadian equity securities held in their portfolios by utilizing the
quotations of an independent or affiliated pricing service, unless JPMIM
determines that use of another fair valuation methodology is appropriate. The
pricing service uses statistical analyses and quantitative models to adjust
local market prices using factors such as subsequent movements in prices of
indices and securities in other markets to determine fair value as of the time a
Fund calculates its net asset value. The fair value pricing will be implemented
at the close of regular trading of the Fund, regardless of whether a market
trigger has occurred.
80
<Page>
11. CAPITAL SHARE TRANSACTIONS
Capital share transactions were as follows for the periods presented:
<Table>
<Caption>
EUROPEAN FUND
------------------------------------
YEAR ENDED YEAR ENDED
OCTOBER 31, 2003 OCTOBER 31, 2002
CLASS A SHARES
AMOUNT
Shares sold $ 40,276,497 $ 40,753,598
Shares issued in reinvestment of distributions 83,574 --
Shares redeemed (43,434,120) (47,411,189)
- --------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund shares outstanding $ (3,074,049) $ (6,657,591)
- --------------------------------------------------------------------------------------------------------------------
SHARES
Shares sold 2,790,586 2,875,391
Shares issued in reinvestment of distributions 6,424 --
Shares redeemed (3,005,402) (3,310,622)
- --------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund shares outstanding (208,392) (435,231)
- --------------------------------------------------------------------------------------------------------------------
CLASS B SHARES
AMOUNT
Shares sold $ 1,762,130 $ 4,484,346
Shares issued in reinvestment of distributions 48,442 --
Shares redeemed (2,733,317) (5,530,683)
- --------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund shares outstanding $ (922,745) $ (1,046,337)
- --------------------------------------------------------------------------------------------------------------------
SHARES
Shares sold 130,394 318,418
Shares issued in reinvestment of distributions 3,900 --
Shares redeemed (207,188) (399,067)
- --------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund shares outstanding (72,894) (80,649)
- --------------------------------------------------------------------------------------------------------------------
CLASS C SHARES
AMOUNT
Shares sold $ 1,061,527 $ 1,023,454
Shares issued in reinvestment of distributions 6,481 --
Shares redeemed (1,309,683) (1,513,850)
- --------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund shares outstanding $ (241,675) $ (490,396)
- --------------------------------------------------------------------------------------------------------------------
SHARES
Shares sold 82,948 75,383
Shares issued in reinvestment of distributions 522 --
Shares redeemed (101,132) (110,608)
- --------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund shares outstanding (17,662) (35,225)
- --------------------------------------------------------------------------------------------------------------------
</Table>
81
<Page>
<Table>
<Caption>
EUROPEAN FUND (CONTINUED)
------------------------------------
YEAR ENDED YEAR ENDED
OCTOBER 31, 2003 OCTOBER 31, 2002
INSTITUTIONAL SHARES
AMOUNT
Shares sold $ 11,942,862 $ 3,747,517
Shares issued in reinvestment of distributions 9,584 --
Shares redeemed (8,659,348) (2,189,224)
- --------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund shares outstanding $ 3,293,098 $ 1,558,293
- --------------------------------------------------------------------------------------------------------------------
SHARES
Shares sold 808,481 261,900
Shares issued in reinvestment of distributions 731 --
Shares redeemed (581,439) (153,807)
- --------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund shares outstanding 227,773 108,093
- --------------------------------------------------------------------------------------------------------------------
SELECT SHARES
AMOUNT
Shares sold $ 37,953,176 $ 73,084,253
Shares issued in reinvestment of distributions 53,460 --
Shares redeemed (37,843,951) (71,102,771)
- --------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund shares outstanding $ 162,685 $ 1,981,482
- --------------------------------------------------------------------------------------------------------------------
SHARES
Shares sold 2,716,370 5,179,585
Shares issued in reinvestment of distributions 4,100 --
Shares redeemed (2,698,946) (5,008,408)
- --------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund shares outstanding 21,524 171,177
- --------------------------------------------------------------------------------------------------------------------
</Table>
82
<Page>
<Table>
<Caption>
JAPAN FUND INTERNATIONAL GROWTH FUND
------------------------------------ -----------------------------------
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
OCTOBER 31, 2003 OCTOBER 31, 2002 OCTOBER 31, 2003 OCTOBER 31, 2002
CLASS A SHARES
AMOUNT
Shares sold $ 9,324,505 $ 4,559,564 $ -- $ 827,887
Shares redeemed (7,237,188) (4,477,072) -- (811,365)
- ----------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ 2,087,317 $ 82,492 $ -- $ 16,522
- ----------------------------------------------------------------------------------------------------------------
SHARES
Shares sold 1,871,032 891,941 -- 102,240
Shares redeemed (1,503,284) (868,232) -- (100,169)
- ----------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding 367,748 23,709 -- 2,071
- ----------------------------------------------------------------------------------------------------------------
CLASS B SHARES
AMOUNT
Shares sold $ 2,655,629 $ 1,385,230 $ 500 $ 825,000
Shares redeemed (2,370,145) (1,395,452) -- (806,000)
- ----------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ 285,484 $ (10,222) $ 500 $ 19,000
- ----------------------------------------------------------------------------------------------------------------
SHARES
Shares sold 486,384 259,676 65 102,357
Shares redeemed (438,419) (260,212) -- (100,000)
- ----------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding 47,965 (536) 65 2,357
- ----------------------------------------------------------------------------------------------------------------
</Table>
83
<Page>
<Table>
<Caption>
INTERNATIONAL VALUE FUND INTERNATIONAL OPPORTUNITIES FUND
------------------------------------ -----------------------------------
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
OCTOBER 31, 2003 OCTOBER 31, 2002 OCTOBER 31, 2003 OCTOBER 31, 2002
CLASS A SHARES
AMOUNT
Shares sold $ 543,162 $ 610,100 $ 36,091,421 $ 17,225,868
Shares issued in reinvestment
of distributions 2,552 484 99,065 122,484
Shares redeemed (675,120) (435,537) (39,802,772) (24,594,620)
- ----------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ (129,406) $ 175,047 $ (3,612,286) $ (7,246,268)
- ----------------------------------------------------------------------------------------------------------------
SHARES
Shares sold 77,455 73,440 4,597,546 2,032,356
Shares issued in reinvestment
of distributions 376 58 13,244 13,670
Shares redeemed (94,026) (51,484) (5,051,145) (2,896,986)
- ----------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding (16,195) 22,014 (440,355) (850,960)
- ----------------------------------------------------------------------------------------------------------------
CLASS B SHARES
AMOUNT
Shares sold $ 50,588 $ 397,532 $ 171,083 $ 597,010
Shares issued in reinvestment
of distributions 5,748 403 10,904 13,272
Shares redeemed (17,614) (214,932) (376,308) (1,956,074)
- ----------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ 38,722 $ 183,003 $ (194,321) $ (1,345,792)
- ----------------------------------------------------------------------------------------------------------------
SHARES
Shares sold 6,411 49,358 21,996 68,429
Shares issued in reinvestment
of distributions 850 48 1,463 1,481
Shares redeemed (2,473) (26,009) (51,002) (228,967)
- ----------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding 4,788 23,397 (27,543) (159,057)
- ----------------------------------------------------------------------------------------------------------------
</Table>
84
<Page>
<Table>
<Caption>
INTERNATIONAL INTERNATIONAL
VALUE FUND (CONTINUED) OPPORTUNITIES FUND (CONTINUED)
------------------------------------ -----------------------------------
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
OCTOBER 31, 2003 OCTOBER 31, 2002 OCTOBER 31, 2003 OCTOBER 31, 2002
INSTITUTIONAL SHARES
AMOUNT
Shares sold $ 45,587,834 $ 191,108,290 $ 94,487,627 $ 301,479,963
Shares issued in reinvestment
of distributions 662,311 987,326 1,065,103 1,719,932
Shares redeemed (53,678,945) (305,835,898) (199,547,604) (291,711,949)
- ----------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ (7,428,800) $ (113,740,282) $ (103,994,874) $ 11,487,946
- ----------------------------------------------------------------------------------------------------------------
SHARES
Shares sold 6,408,246 23,571,460 12,124,742 34,677,307
Shares issued in reinvestment
of distributions 97,113 118,669 141,073 191,957
Shares redeemed (7,521,869) (36,824,872) (25,518,152) (33,892,147)
- ----------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding (1,016,510) (13,134,743) (13,252,337) 977,117
- ----------------------------------------------------------------------------------------------------------------
SELECT SHARES
AMOUNT
Shares sold $ 68,279,734 $ 102,675,904 $ 73,847,430 $ 214,045,865
Shares issued in reinvestment
of distributions 527,931 257,893 248,520 257,698
Shares redeemed (72,491,666) (105,658,149) (82,557,324) (216,859,043)
- ----------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ (3,684,001) $ (2,724,352) $ (8,461,374) $ (2,555,480)
- ----------------------------------------------------------------------------------------------------------------
SHARES
Shares sold 9,510,101 13,249,092 9,619,318 26,886,447
Shares issued in reinvestment
of distributions 77,523 30,997 33,004 28,760
Shares redeemed (10,070,895) (13,440,339) (10,731,214) (26,791,379)
- ----------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding (483,271) (160,250) (1,078,892) 123,828
- ----------------------------------------------------------------------------------------------------------------
</Table>
85
<Page>
<Table>
<Caption>
EMERGING MARKETS EQUITY FUND
------------------------------------
YEAR ENDED YEAR ENDED
OCTOBER 31, 2003 OCTOBER 31, 2002
CLASS A SHARES
AMOUNT
Shares sold $ 222,427 $ 1,329,658
Shares issued in reinvestment
of distributions 886 116
Shares redeemed (172,217) (1,288,664)
- -----------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ 51,096 $ 41,110
- ----------------------------------------------------------------------------------------------------------------
SHARES
Shares sold 36,685 207,292
Shares issued in reinvestment
of distributions 161 20
Shares redeemed (29,071) (200,628)
- -----------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding 7,775 6,684
- -----------------------------------------------------------------------------------------------------------------
CLASS B SHARES
AMOUNT
Shares sold $ 306,190 $ 130,658
Shares issued in reinvestment
of distributions 227 96
Shares redeemed (276,477) (91,611)
- -----------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ 29,940 $ 39,143
- -----------------------------------------------------------------------------------------------------------------
SHARES
Shares sold 53,373 20,149
Shares issued in reinvestment
of distributions 42 16
Shares redeemed (48,520) (14,312)
- -----------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding 4,895 5,853
- -----------------------------------------------------------------------------------------------------------------
</Table>
86
<Page>
<Table>
<Caption>
EMERGING MARKETS EQUITY
FUND (CONTINUED)
------------------------------------
YEAR ENDED YEAR ENDED
OCTOBER 31, 2003 OCTOBER 31, 2002
INSTITUTIONAL SHARES
AMOUNT
Shares sold $ 41,492,898 $ 28,775,875
Shares issued in reinvestment
of distributions 269,543 687,716
Shares redeemed (49,074,995) (54,065,211)
- -----------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ (7,312,554) $ (24,601,620)
- -----------------------------------------------------------------------------------------------------------------
SHARES
Shares sold 6,770,225 4,709,469
Shares issued in reinvestment
of distributions 48,742 107,676
Shares redeemed (8,140,162) (8,864,012)
- -----------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding (1,321,195) (4,046,867)
- -----------------------------------------------------------------------------------------------------------------
SELECT SHARES
AMOUNT
Shares sold $ 25,679,042 $ 33,349,693
Shares issued in reinvestment
of distributions 109,846 188,618
Shares redeemed (28,827,604) (38,157,997)
- -----------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ (3,038,716) $ (4,619,686)
- -----------------------------------------------------------------------------------------------------------------
SHARES
Shares sold 4,451,740 5,728,695
Shares issued in reinvestment
of distributions 19,972 32,353
Shares redeemed (5,039,893) (6,522,805)
- -----------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding (568,181) (761,757)
- -----------------------------------------------------------------------------------------------------------------
</Table>
87
<Page>
<Table>
<Caption>
ASIA EQUITY FUND
------------------------------------
YEAR ENDED YEAR ENDED
OCTOBER 31, 2003 OCTOBER 31, 2002*
CLASS A SHARES
AMOUNT
Shares sold $ 537,655 $ 2,500,000
Shares redeemed (2,492,363) --
- -----------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ (1,954,708) $ 2,500,000
- -----------------------------------------------------------------------------------------------------------------
SHARES
Shares sold 32,651 166,667
Shares redeemed (184,626) --
- -----------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding (151,975) 166,667
- -----------------------------------------------------------------------------------------------------------------
CLASS B SHARES^
AMOUNT
Shares sold $ 1,689 $ 500,000
Shares redeemed (439,700) --
- -----------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ (438,011) $ 500,000
- -----------------------------------------------------------------------------------------------------------------
SHARES
Shares sold 134 33,333
Shares redeemed (33,467) --
- -----------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding (33,333) 33,333
- -----------------------------------------------------------------------------------------------------------------
</Table>
^ Class ceased operations as of September 12, 2003.
* The Fund commenced its operations on November 1, 2001. For Institutional and
Select Shares, from commencement of offering on June 28, 2002.
88
<Page>
<Table>
<Caption>
ASIA EQUITY FUND (CONTINUED)
------------------------------------
YEAR ENDED YEAR ENDED
OCTOBER 31, 2003 OCTOBER 31, 2002*
INSTITUTIONAL SHARES
AMOUNT
Shares sold $ 7,757,913 $ 8,594,000
Shares redeemed (2,900,715) (1,030,402)
- -----------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ 4,857,198 $ 7,563,598
- -----------------------------------------------------------------------------------------------------------------
SHARES
Shares sold 524,630 542,864
Shares redeemed (217,520) (71,428)
- -----------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding 307,110 471,436
- -----------------------------------------------------------------------------------------------------------------
SELECT SHARES
AMOUNT
Shares sold $ 12,196,112 $ 19,864,176
Shares redeemed (6,905,670) (3,203,198)
- -----------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ 5,290,442 $ 16,660,978
- -----------------------------------------------------------------------------------------------------------------
SHARES
Shares sold 845,208 1,260,983
Shares redeemed (496,583) (236,660)
- -----------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding 348,625 1,024,323
- -----------------------------------------------------------------------------------------------------------------
</Table>
* The Fund commenced its operations on November 1, 2001. For Institutional and
Select Shares, from commencement of offering on June 28, 2002.
89
<Page>
<Table>
<Caption>
INTERNATIONAL EQUITY FUND
--------------------------------------
YEAR ENDED YEAR ENDED
OCTOBER 31, 2003** OCTOBER 31, 2002*
CLASS A SHARES
AMOUNT
Shares sold $ 20,900,763 $ 100,938
Shares issued in reinvestment
of distributions 25,323 139
Shares redeemed (13,862,836) (5,077)
- -----------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ 7,063,250 $ 96,000
- -----------------------------------------------------------------------------------------------------------------
SHARES
Shares sold 1,016,554 4,911
Shares issued in reinvestment
of distributions 1,181 7
Shares redeemed (655,562) (243)
- -----------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding 362,173 4,675
- -----------------------------------------------------------------------------------------------------------------
CLASS B SHARES
AMOUNT
Shares sold $ 138,537 $ 24,345
Shares issued in reinvestment
of distributions 531 13
Shares redeemed (7,776) --
- -----------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ 131,292 $ 24,358
- -----------------------------------------------------------------------------------------------------------------
SHARES
Shares sold 6,922 1,115
Shares issued in reinvestment
of distributions 26 1
Shares redeemed (363) --
- -----------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding 6,585 1,116
- -----------------------------------------------------------------------------------------------------------------
</Table>
** For Class C Shares, from commencement of offering on January 31, 2003.
* For Class A Shares and Class B Shares, from commencement of offering on
February 28, 2002.
90
<Page>
<Table>
<Caption>
INTERNATIONAL EQUITY FUND (CONTINUED)
--------------------------------------
YEAR ENDED YEAR ENDED
OCTOBER 31, 2003** OCTOBER 31, 2002*
CLASS C SHARES
AMOUNT
Shares sold $ 2,164,951 --
Shares issued in reinvestment
of distributions 2,490 --
Shares redeemed (564,751) --
- -----------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ 1,602,690 --
- -----------------------------------------------------------------------------------------------------------------
SHARES
Shares sold 100,275 --
Shares issued in reinvestment
of distributions 117 --
Shares redeemed (27,490) --
- -----------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding 72,902 --
- -----------------------------------------------------------------------------------------------------------------
SELECT SHARES
AMOUNT
Shares sold $ 559,611,045 $ 147,829,519
Shares issued in reinvestment
of distributions 2,705,120 138,342
Shares redeemed (103,450,685) (57,967,551)
- -----------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ 458,865,480 $ 90,000,310
- -----------------------------------------------------------------------------------------------------------------
SHARES
Shares sold 27,236,203 6,873,406
Shares issued in reinvestment
of distributions 131,977 6,878
Shares redeemed (5,015,596) (2,707,300)
- -----------------------------------------------------------------------------------------------------------------
Net increase (decrease) in fund
Shares outstanding 22,352,584 4,172,984
- -----------------------------------------------------------------------------------------------------------------
</Table>
** For Class C shares, from commencement of offering on January 31, 2003.
* For Class A shares and Class B shares, from commencement of offering on
February 28, 2002.
91
<Page>
JPMorgan Funds
FINANCIAL HIGHLIGHTS
CLASS A SHARES
<Table>
<Caption>
PER SHARE OPERATING PERFORMANCE:
-----------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS: LESS DISTRIBUTIONS:
-------------------------------------- ------------------------------------------
NET GAINS
OR LOSSES ON
NET ASSET NET SECURITIES DIVIDENDS
VALUE, INVESTMENT (BOTH TOTAL FROM FROM NET DISTRIBUTIONS
BEGINNING INCOME REALIZED AND INVESTMENT INVESTMENT FROM CAPITAL TOTAL
OF PERIOD (LOSS) UNREALIZED) OPERATIONS INCOME GAINS DISTRIBUTIONS
EUROPEAN FUND(e)
Year Ended 10/31/03 $ 13.23 0.02^ 3.78 3.80 0.09 -- 0.09
Year Ended 10/31/02 $ 12.96 0.14^ 0.13 0.27 -- -- --
Year Ended 10/31/01 $ 17.87 0.02^ (3.24) (3.22) -- 1.69 1.69
Year Ended 10/31/00 $ 16.52 (0.12)^ 1.83 1.71 -- 0.36 0.36
Year Ended 10/31/99 $ 14.47 (0.06)^ 2.31 2.25 0.09 0.11 0.20
JAPAN FUND(j)
Year Ended 10/31/03 $ 4.43 (0.05)^ 2.30 2.25 -- -- --
Year Ended 10/31/02 $ 5.29 (0.06) (0.80) (0.86) -- -- --
Year Ended 10/31/01 $ 8.12 (0.08)^ (2.75) (2.83) -- -- --
Year Ended 10/31/00 $ 9.84 (0.15)^ (1.57) (1.72) -- -- --
Year Ended 10/31/99 $ 6.41 (0.07)^ 3.50 3.43 -- -- --
INTERNATIONAL GROWTH FUND(g)
Year Ended 10/31/03 $ 6.25 0.02 1.53 1.55 -- -- --
Year Ended 10/31/02 $ 7.22 (0.01) (0.96) (0.97) -- -- --
12/29/00* Through 10/31/01 $ 10.00 (0.01) (2.76) (2.77) 0.01 -- 0.01
INTERNATIONAL VALUE FUND(v)
Year Ended 10/31/03 $ 6.98 0.03^ 1.77 1.80 0.25 -- 0.25
Year Ended 10/31/02 $ 8.27 0.15^ (1.32) (1.17) 0.12 -- 0.12
9/28/01** Through 10/31/01 $ 8.12 (0.01)^ 0.16 0.15 -- -- --
</Table>
# Short periods have been annualized.
(1) Total return figures do not include the effect of any front-end load or
deferred sales load.
(a) Not annualized for periods less than one year.
(e) Formerly Chase Vista European Fund.
^ Calculated upon average shares outstanding.
(j) Formerly Chase Vista Japan Fund.
SEE NOTES TO FINANCIAL STATEMENTS.
92
<Page>
<Table>
<Caption>
PER SHARE OPERATING PERFORMANCE: RATIOS/SUPPLEMENTAL DATA:
-------------------------------- -------------------------------------------------
RATIOS TO AVERAGE NET ASSETS:#
---------------------------------
NET ASSETS, NET
NET ASSET END OF INVESTMENT
VALUE, END TOTAL PERIOD NET INCOME
OF PERIOD RETURN(1)(a) (000 OMITTED) EXPENSES (LOSS)
EUROPEAN FUND(e)
Year Ended 10/31/03 $ 16.94 28.94% $ 31,322 1.70% 0.17%
Year Ended 10/31/02 $ 13.23 2.08% $ 27,208 1.65% 1.03%
Year Ended 10/31/01 $ 12.96 (19.49%) $ 32,317 1.75% 0.17%
Year Ended 10/31/00 $ 17.87 10.13% $ 75,801 1.74% (0.60%)
Year Ended 10/31/99 $ 16.52 15.60% $ 47,759 1.74% (0.40%)
JAPAN FUND(j)
Year Ended 10/31/03 $ 6.68 50.79% $ 3,562 1.75% (1.02%)
Year Ended 10/31/02 $ 4.43 (16.26%) $ 734 1.75% (1.26%)
Year Ended 10/31/01 $ 5.29 (34.85%) $ 751 1.75% (1.22%)
Year Ended 10/31/00 $ 8.12 (17.48%) $ 2,448 1.77% (1.54%)
Year Ended 10/31/99 $ 9.84 53.51% $ 4,260 1.74% (0.88%)
INTERNATIONAL GROWTH FUND(g)
Year Ended 10/31/03 $ 7.80 24.80% $ 3,174 2.00% 0.36%
Year Ended 10/31/02 $ 6.25 (13.43%) $ 2,543 2.00% (0.12%)
12/29/00* Through 10/31/01 $ 7.22 (27.68%) $ 2,922 2.00% (0.11%)
INTERNATIONAL VALUE FUND(v)
Year Ended 10/31/03 $ 8.53 26.71% $ 60 1.45% 0.37%
Year Ended 10/31/02 $ 6.98 (14.34%) $ 163 1.45% 1.13%
9/28/01** Through 10/31/01 $ 8.27 1.85% $ 10 1.45% (0.89%)
<Caption>
RATIOS/SUPPLEMENTAL DATA:
-------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS:#
--------------------------------------------
NET INVESTMENT
EXPENSES INCOME (LOSS)
WITHOUT WAIVERS, WITHOUT WAIVERS, PORTFOLIO
REIMBURSEMENTS REIMBURSEMENTS TURNOVER
AND EARNINGS CREDITS AND EARNINGS CREDITS RATE(a)
EUROPEAN FUND(e)
Year Ended 10/31/03 2.47% (0.60%) 717%
Year Ended 10/31/02 2.45% 0.23% 1,021%
Year Ended 10/31/01 2.07% (0.15%) 564%
Year Ended 10/31/00 1.95% (0.81%) 161%
Year Ended 10/31/99 2.06% (0.72%) 149%
JAPAN FUND(j)
Year Ended 10/31/03 19.54%! (18.81%)! 797%
Year Ended 10/31/02 22.18%! (21.69%)! 409%
Year Ended 10/31/01 9.28%! (8.75%)! 196%
Year Ended 10/31/00 5.49%! (5.26%)! 123%
Year Ended 10/31/99 5.44%! (4.58%)! 133%
INTERNATIONAL GROWTH FUND(g)
Year Ended 10/31/03 7.29% (4.93%) 38%
Year Ended 10/31/02 7.20% (5.32%) 73%
12/29/00* Through 10/31/01 5.19% (3.30%) 35%
INTERNATIONAL VALUE FUND(v)
Year Ended 10/31/03 10.04%! (8.22%)! 132%
Year Ended 10/31/02 15.97%! (13.39%)! 138%
9/28/01** Through 10/31/01 11.06%! (10.50%)! 85%
</Table>
! Due to the size of net assets and fixed expenses, ratios may appear
disproportionate.
(g) Formerly Chase Vista International Growth Fund.
* Commencement of operations.
(v) Formerly JPMorgan International Equity Fund.
** Commencement of offering of class of shares.
SEE NOTES TO FINANCIAL STATEMENTS.
93
<Page>
CLASS A 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
INTERNATIONAL
OPPORTUNITIES FUND(o)
Year Ended 10/31/03 $ 7.49 (--)^(b) 1.68 1.68 0.07 -- 0.07
Year Ended 10/31/02 $ 8.63 0.02 (1.09) (1.07) 0.07 -- 0.07
9/10/01** Through 10/31/01 $ 9.18 (0.01)^ (0.54) (0.55) -- -- --
EMERGING MARKETS
EQUITY FUND(M)
Year Ended 10/31/03 $ 5.21 0.04^ 2.27 2.31 0.03 -- 0.03
Year Ended 10/31/02 $ 5.14 (0.06)^ 0.17 0.11 0.04 -- 0.04
9/28/01** Through 10/31/01 $ 4.88 (0.01)^ 0.27 0.26 -- -- --
ASIA EQUITY FUND(p)
Year Ended 10/31/03 $ 13.69 --^(b) 4.05 4.05 -- -- --
11/1/01* Through 10/31/02 $ 15.00 (0.02) (1.29) (1.31) -- -- --
INTERNATIONAL EQUITY FUND(I)
Year Ended 10/31/03 $ 19.42 0.28^ 3.66 3.94 0.19 -- 0.19
2/28/02** Through 10/31/02 $ 21.81 0.04^ (2.37) (2.33) 0.06 -- 0.06
</Table>
# Short periods have been annualized.
(1) Total return figures do not include the effect of any front-end laod or
deferred sales load.
(a) Not annualized for periods less than one year.
(o) Formerly J.P. Morgan Institutional International Opportunities Fund.
^ Calculated upon average shares outstanding.
(b) Amount is less than 0.01.
SEE NOTES TO FINANCIAL STATEMENTS.
94
<Page>
<Table>
<Caption>
PER SHARE OPERATING PERFORMANCE: RATIOS/SUPPLEMENTAL DATA:
-------------------------------- -----------------------------------------------
RATIOS TO AVERAGE NET ASSETS:#
-------------------------------
NET ASSETS, NET
NET ASSET END OF INVESTMENT
VALUE, END TOTAL PERIOD NET INCOME
OF PERIOD RETURN (1)(a) (000 OMITED) EXPENSES (LOSS)
INTERNATIONAL
OPPORTUNITIES FUND(o)
Year Ended 10/31/03 $ 9.10 22.70% $ 10,650 1.90% (0.02%)
Year Ended 10/31/02 $ 7.49 (12.55%) $ 12,057 1.90% 0.20%
9/10/01** Through 10/31/01 $ 8.63 (5.99%) $ 21,237 1.90% (0.48%)
EMERGING MARKETS
EQUITY FUND(M)
Year Ended 10/31/03 $ 7.49 44.65% $ 124 2.00% 0.59%
Year Ended 10/31/02 $ 5.21 2.14% $ 46 2.00% (0.47%)
9/28/01** Through 10/31/01 $ 5.14 5.33% $ 11 2.00% (1.53%)
ASIA EQUITY FUND(p)
Year Ended 10/31/03 $ 17.74 29.58% $ 261 1.75% 0.02%
11/1/01* Through 10/31/02 $ 13.69 (8.73%) $ 2,282 1.75% (0.12%)
INTERNATIONAL EQUITY FUND(i)
Year Ended 10/31/03 $ 23.17 20.41% $ 8,502 1.50% 1.28%
2/28/02** Through 10/31/02 $ 19.42 (10.70%) $ 91 1.50% 0.50%
<Caption>
RATIOS/SUPPLEMENTAL DATA:
----------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS:#
--------------------------------------------
NET INVESTMENT
EXPENSES INCOME (LOSS)
WITHOUT WAIVERS WITHOUT WAIVERS, PORTFOLIO
REIMBURSEMENTS REIMBURSEMENTS TURNOVER
AND EARNING CREDITS AND EARNING CREDITS RATE(A)
INTERNATIONAL
OPPORTUNITIES FUND(o)
Year Ended 10/31/03 2.39% (0.51%) 79%
Year Ended 10/31/02 1.98% 0.12% 121%
9/10/01** Through 10/31/01 1.90% (0.48%) 110%
EMERGING MARKETS
EQUITY FUND(m)
Year Ended 10/31/03 24.54%! (21.95%)! 85%
Year Ended 10/31/02 37.57%! (36.04%)! 69%
9/28/01** Through 10/31/01 12.12%! (11.65%)! 76%
ASIA EQUITY FUND(p)
Year Ended 10/31/03 4.83%! (3.06%)! 172%
11/1/01* Through 10/31/02 5.16%! (3.53%)! 106%
INTERNATIONAL EQUITY FUND(i)
Year Ended 10/31/03 2.69%! 0.09%! 16%
2/28/02** Through 10/31/02 55.25%! (53.25%)! 20%
</Table>
** Commencement of offering of class of shares.
(m) Formerly J.P. Morgan Institutional Emerging Markets Equity Fund.
! Due to the size of net assets and fixed expenses, ratios may appear
disproportionate.
(p) Formerly JPMorgan Fleming Pacific Region Fund.
* Commencement of operations.
(i) Formerly Chase Vista Select International Equity Fund.
SEE NOTES TO FINANCIAL STATEMENTS.
95
<Page>
CLASS B SHARES
<Table>
<Caption>
PER SHARE OPERATING PERFORMANCE:
-----------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS: LESS DISTRIBUTIONS:
-------------------------------------- ------------------------------------------
NET GAINS
OR LOSSES ON
NET ASSET NET SECURITIES DIVIDENDS
VALUE, INVESTMENT (BOTH TOTAL FROM FROM NET DISTRIBUTIONS
BEGINNING INCOME REALIZED AND INVESTMENT INVESTMENT FROM CAPITAL TOTAL
OF PERIOD (LOSS) UNREALIZED) OPERATIONS INCOME GAINS DISTRIBUTIONS
EUROPEAN FUND(e)
Year Ended 10/31/03 $ 12.63 (0.06)^ 3.59 3.53 0.08 -- 0.08
Year Ended 10/31/02 $ 12.48 0.05^ 0.10 0.15 -- -- --
Year Ended 10/31/01 $ 17.38 (0.09)^ (3.12) (3.21) -- 1.69 1.69
Year Ended 10/31/00 $ 16.18 (0.27)^ 1.83 1.56 -- 0.36 0.36
Year Ended 10/31/99 $ 14.24 (0.18)^ 2.26 2.08 0.03 0.11 0.14
JAPAN FUND(j)
Year Ended 10/31/03 $ 4.25 (0.11)^ 2.22 2.11 -- -- --
Year Ended 10/31/02 $ 5.13 (0.12) (0.76) (0.88) -- -- --
Year Ended 10/31/01 $ 7.93 (0.13)^ (2.67) (2.80) -- -- --
Year Ended 10/31/00 $ 9.65 (0.22)^ (1.50) (1.72) -- -- --
Year Ended 10/31/99 $ 6.32 (0.13)^ 3.46 3.33 -- -- --
INTERNATIONAL GROWTH FUND(g)
Year Ended 10/31/03 $ 6.20 (0.01) 1.51 1.50 -- -- --
Year Ended 10/31/02 $ 7.19 (0.04) (0.95) (0.99) -- -- --
12/29/00* Through 10/31/01 $ 10.00 (0.04) (2.77) (2.81) -- -- --
INTERNATIONAL VALUE FUND(v)
Year Ended 10/31/03 $ 6.96 (0.07)^ 1.82 1.75 0.25 -- 0.25
Year Ended 10/31/02 $ 8.28 (0.02)^ (1.18) (1.20) 0.12 -- 0.12
9/28/01** Through 10/31/01 $ 8.12 (0.01)^ 0.17 0.16 -- -- --
</Table>
# Short periods have been annualized.
(1) Total return figures do not include the effect of any front-end load or
deferred sales load.
(a) Not annualized for periods less than one year.
(e) Formerly Chase Vista European Fund.
^ Calculated upon average shares outstanding.
(j) Formerly Chase Vista Japan Fund.
SEE NOTES TO FINANCIAL STATEMENTS.
96
<Page>
<Table>
<Caption>
PER SHARE OPERATING PERFORMANCE: RATIOS/SUPPLEMENTAL DATA:
-------------------------------- -----------------------------------------------
RATIOS TO AVERAGE NET ASSETS:#
--------------------------------
NET ASSETS, NET
NET ASSET END OF INVESTMENT
VALUE, END TOTAL PERIOD NET INCOME
OF PERIOD RETURN(1)(a) (000 OMITTED) EXPENSES (LOSS)
EUROPEAN FUND(e)
Year Ended 10/31/03 $ 16.08 28.13% $ 11,583 2.35% (0.47%)
Year Ended 10/31/02 $ 12.63 1.20% $ 10,017 2.39% 0.38%
Year Ended 10/31/01 $ 12.48 (20.03%) $ 10,905 2.50% (0.62%)
Year Ended 10/31/00 $ 17.38 9.40% $ 18,546 2.49% (1.35%)
Year Ended 10/31/99 $ 16.18 14.66% $ 10,038 2.51% (1.12%)
JAPAN FUND(j)
Year Ended 10/31/03 $ 6.36 49.65% $ 469 2.50% (2.18%)
Year Ended 10/31/02 $ 4.25 (17.15%) $ 109 2.50% (2.25%)
Year Ended 10/31/01 $ 5.13 (35.31%) $ 135 2.47% (1.92%)
Year Ended 10/31/00 $ 7.93 (17.82%) $ 322 2.52% (2.29%)
Year Ended 10/31/99 $ 9.65 52.69% $ 1,089 2.49% (1.67%)
INTERNATIONAL GROWTH FUND(g)
Year Ended 10/31/03 $ 7.70 24.19% $ 788 2.50% (0.14%)
Year Ended 10/31/02 $ 6.20 (13.77%) $ 634 2.50% (0.62%)
12/29/00* Through 10/31/01 $ 7.19 (28.10%) $ 719 2.50% (0.51%)
INTERNATIONAL VALUE FUND(v)
Year Ended 10/31/03 $ 8.46 25.97% $ 249 1.95% (0.94%)
Year Ended 10/31/02 $ 6.96 (14.72%) $ 171 1.95% (0.16%)
9/28/01** Through 10/31/01 $ 8.28 1.97% $ 10 1.95% (1.15%)
<Caption>
RATIOS/SUPPLEMENTAL DATA:
----------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS:#
--------------------------------------------
NET INVESTMENT
EXPENSES INCOME (LOSS)
WITHOUT WAIVERS, WITHOUT WAIVERS, PORTFOLIO
REIMBURSEMENTS REIMBURSEMENTS TURNOVER
AND EARNINGS CREDITS AND EARNINGS CREDITS RATE(a)
EUROPEAN FUND(e)
Year Ended 10/31/03 3.09% (1.21%) 717%
Year Ended 10/31/02 3.20% (0.43%) 1,021%
Year Ended 10/31/01 2.82% (0.94%) 564%
Year Ended 10/31/00 2.69% (1.55%) 161%
Year Ended 10/31/99 2.83% (1.44%) 149%
JAPAN FUND(j)
Year Ended 10/31/03 20.70%! (20.38%)! 797%
Year Ended 10/31/02 22.96%! (22.71%)! 409%
Year Ended 10/31/01 11.24%! (10.69%)! 196%
Year Ended 10/31/00 6.14%! (5.91%)! 123%
Year Ended 10/31/99 6.19%! (5.37%)! 133%
INTERNATIONAL GROWTH FUND(g)
Year Ended 10/31/03 7.79% (5.43%) 38%
Year Ended 10/31/02 7.69% (5.81%) 73%
12/29/00* Through 10/31/01 5.66% (3.67%) 35%
INTERNATIONAL VALUE FUND(v)
Year Ended 10/31/03 10.41%! (9.40%)! 132%
Year Ended 10/31/02 15.43%! (13.64%)! 138%
9/28/01** Through 10/31/01 11.58%! (10.78%)! 85%
</Table>
! Due to the size of net assets and fixed expenses, ratios may appear
disproportionate.
(g) Formerly Chase Vista International Growth Fund.
* Commencement of operations.
(v) Formerly JPMorgan International Equity Fund.
** Commencement of offering of class of shares.
SEE NOTES TO FINANCIAL STATEMENTS.
97
<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
INTERNATIONAL
OPPORTUNITIES FUND(o)
Year Ended 10/31/03 $ 7.46 (0.04)^ 1.68 1.64
Year Ended 10/31/02 $ 8.63 (0.04) (1.08) (1.12)
9/10/01** Through 10/31/01 $ 9.18 (0.01)^ (0.54) (0.55)
EMERGING MARKETS
EQUITY FUND(m)
Year Ended 10/31/03 $ 5.20 --^ 2.28 2.28
Year Ended 10/31/02 $ 5.13 (0.03)^ 0.14 0.11
9/28/01** Through 10/31/01 $ 4.88 (0.01)^ 0.26 0.25
INTERNATIONAL EQUITY FUND(i)
Year Ended 10/31/03 $ 19.39 0.15^ 3.68 3.83
2/28/02** Through 10/31/02 $ 21.81 0.03^ (2.43) (2.40)
<Caption>
PER SHARE OPERATING PERFORMANCE:
------------------------------------------------
LESS DISTRIBUTIONS:
------------------------------------------------
DIVIDENDS
FROM NET DISTRIBUTIONS
INVESTMENT FROM CAPITAL TOTAL
INCOME GAINS DISTRIBUTIONS
INTERNATIONAL
OPPORTUNITIES FUND(o)
Year Ended 10/31/03 0.07 -- 0.07
Year Ended 10/31/02 0.05 -- 0.05
9/10/01** Through 10/31/01 -- -- --
EMERGING MARKETS
EQUITY FUND(m)
Year Ended 10/31/03 0.03 -- 0.03
Year Ended 10/31/02 0.04 -- 0.04
9/28/01** Through 10/31/01 -- -- --
INTERNATIONAL EQUITY FUND(i)
Year Ended 10/31/03 0.12 -- 0.12
2/28/02** Through 10/31/02 0.02 -- 0.02
</Table>
# Short periods have been annualized.
(1) Total return figures do not include the effect of any front-end load or
deferred sales load.
(a) Not annualized for periods less than one year.
(o) Formerly J.P. Morgan Institutional International Opportunities Fund.
^ Calculated upon average shares outstanding.
SEE NOTES TO FINANCIAL STATEMENTS.
98
<Page>
<Table>
<Caption>
PER SHARE OPERATING PERFORMANCE:
----------------------------------
LESS DISTRIBUTIONS:
----------------------------------
NET ASSET
VALUE, END TOTAL
OF PERIOD RETURN (1)(a)
INTERNATIONAL
OPPORTUNITIES FUND(o)
Year Ended 10/31/03 $ 9.03 22.18%
Year Ended 10/31/02 $ 7.46 (13.05%)
9/10/01** Through 10/31/01 $ 8.63 (5.99%)
EMERGING MARKETS
EQUITY FUND(m)
Year Ended 10/31/03 $ 7.45 43.99%
Year Ended 10/31/02 $ 5.20 2.04%
9/28/01** Through 10/31/01 $ 5.13 5.12%
INTERNATIONAL EQUITY FUND(i)
Year Ended 10/31/03 $ 23.10 19.84%
2/28/02** Through 10/31/02 $ 19.39 (11.00%)
<Caption>
RATIOS/SUPPLEMENTAL DATA:
------------------------------------------------
RATIOS TO AVERAGE NET ASSETS:#
-------------------------------
NET ASSETS, NET
END OF INVESTMENT
PERIOD NET INCOME
(000 OMITED) EXPENSES (LOSS)
INTERNATIONAL
OPPORTUNITIES FUND(o)
Year Ended 10/31/03 $ 1,403 2.40% (0.58%)
Year Ended 10/31/02 $ 1,365 2.40% (0.30%)
9/10/01** Through 10/31/01 $ 2,950 2.40% (0.95%)
EMERGING MARKETS
EQUITY FUND(m)
Year Ended 10/31/03 $ 95 2.50% 0.03%
Year Ended 10/31/02 $ 41 2.50% (0.34%)
9/28/01** Through 10/31/01 $ 11 2.50% (2.00%)
INTERNATIONAL EQUITY FUND(i)
Year Ended 10/31/03 $ 178 2.00% 0.74%
2/28/02** Through 10/31/02 $ 22 2.00% 0.27%
<Caption>
RATIOS/SUPPLEMENTAL DATA:
--------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS:#
---------------------------------------
NET INVESTMENT
EXPENSES INCOME (LOSS)
WITHOUT WAIVERS WITHOUT WAIVERS, PORTFOLIO
REIMBURSEMENTS REIMBURSEMENTS TURNOVER
AND EARNING CREDITS AND EARNING CREDITS RATE(a)
INTERNATIONAL
OPPORTUNITIES FUND(o)
Year Ended 10/31/03 2.89% (1.07%) 79%
Year Ended 10/31/02 2.49% (0.39%) 121%
9/10/01** Through 10/31/01 2.40% (0.95%) 110%
EMERGING MARKETS
EQUITY FUND(m)
Year Ended 10/31/03 25.36%! (22.83%)! 85%
Year Ended 10/31/02 36.79%! (34.63%)! 69%
9/28/01** Through 10/31/01 12.62%! (12.12%)! 76%
INTERNATIONAL EQUITY FUND(i)
Year Ended 10/31/03 6.19%! (3.45%)! 16%
2/28/02** Through 10/31/02 74.45%! (72.18%)! 20%
</Table>
** Commencement of offering of class of shares.
(m) Formerly J.P. Morgan Institutional Emerging Markets Equity Fund.
! Due to the size of net assets and fixed expenses, ratios may appear
disproportionate.
(i) Formerly Chase Vista Select International Equity Fund.
SEE NOTES TO FINANCIAL STATEMENTS.
99
<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
EUROPEAN FUND(e)
Year Ended 10/31/03 $ 12.62 (0.06)^ 3.58 3.52
Year Ended 10/31/02 $ 12.47 0.05^ 0.10 0.15
Year Ended 10/31/01 $ 17.37 (0.08)^ (3.13) (3.21)
Year Ended 10/31/00 $ 16.19 (0.26)^ 1.80 1.54
11/1/98** Through 10/31/99 $ 14.24 (0.08)^ 2.17 2.09
INTERNATIONAL EQUITY FUND(i)
1/31/03** Through 10/31/03 $ 18.43 0.08^ 4.65 4.73
<Caption>
PER SHARE OPERATING PERFORMANCE:
-------------------------------------------------
LESS DISTRIBUTIONS:
-------------------------------------------------
DIVIDENDS
FROM NET DISTRIBUTIONS
INVESTMENT FROM CAPITAL TOTAL
INCOME GAINS DISTRIBUTIONS
EUROPEAN FUND(e)
Year Ended 10/31/03 0.08 -- 0.08
Year Ended 10/31/02 -- -- --
Year Ended 10/31/01 -- 1.69 1.69
Year Ended 10/31/00 -- 0.36 0.36
11/1/98** Through 10/31/99 0.03 0.11 0.14
INTERNATIONAL EQUITY FUND(i)
1/31/03** Through 10/31/03 0.11 -- 0.11
</Table>
# Short periods have been annualized.
(1) Total return figures do not include the effect of any front-end load or
deferred sales load.
(a) Not annualized for periods less than one year.
(e) Formerly Chase Vista European Fund.
SEE NOTES TO FINANCIAL STATEMENTS.
100
<Page>
<Table>
<Caption>
PER SHARE OPERATING PERFORMANCE:
---------------------------------------------
NET ASSET
VALUE, END TOTAL
OF PERIOD RETURN (1)(a)
EUROPEAN FUND(e)
Year Ended 10/31/03 $ 16.06 28.09%
Year Ended 10/31/02 $ 12.62 1.20%
Year Ended 10/31/01 $ 12.47 (20.04%)
Year Ended 10/31/00 $ 17.37 9.27%
11/1/98** Through 10/31/99 $ 16.19 14.73%
INTERNATIONAL EQUITY FUND(i)
1/31/03** Through 10/31/03 $ 23.05 25.70%
<Caption>
RATIOS/SUPPLEMENTAL DATA:
-----------------------------------------------------
RATIOS TO AVERAGE NET ASSETS:#
-------------------------------
NET ASSETS, NET
END OF INVESTMENT
PERIOD NET INCOME
(000 OMITTED) EXPENSES (LOSS)
EUROPEAN FUND(e)
Year Ended 10/31/03 $ 2,914 2.35% (0.42%)
Year Ended 10/31/02 $ 2,512 2.39% 0.36%
Year Ended 10/31/01 $ 2,922 2.50% (0.55%)
Year Ended 10/31/00 $ 4,229 2.49% (1.33%)
11/1/98** Through 10/31/99 $ 1,460 2.51% (0.61%)
INTERNATIONAL EQUITY FUND(i)
1/31/03** Through 10/31/03 $ 1,681 2.00% 0.48%
<Caption>
RATIOS/SUPPLEMENTAL DATA:
-------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS:#
---------------------------------------------
NET INVESTMENT
EXPENSES INCOME (LOSS) PORTFOLIO
WITHOUT WAIVERS, AND WITHOUT WAIVERS, AND TURNOVER
REIMBURSEMENTS REIMBURSEMENTS RATE (a)
EUROPEAN FUND(e)
Year Ended 10/31/03 3.09% (1.16%) 717%
Year Ended 10/31/02 3.20% (0.45%) 1,021%
Year Ended 10/31/01 2.82% (0.87%) 564%
Year Ended 10/31/00 2.67% (1.51%) 161%
11/1/98** Through 10/31/99 2.83% (0.93%) 149%
INTERNATIONAL EQUITY FUND(i)
1/31/03** Through 10/31/03 2.85%! (0.37%)! 16%
</Table>
^ Calculated upon average shares outstanding.
** Commencement of offering of class of shares.
(i) Formerly Chase Vista Select International Equity Fund.
! Due to the size of net assets and fixed expenses, ratios may appear
disproportionate.
SEE NOTES TO FINANCIAL STATEMENTS.
101
<Page>
INSTITUTIONAL CLASS 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
EUROPEAN FUND(e)
Year Ended 10/31/03 $ 13.33 0.12^ 3.82 3.94
Year Ended 10/31/02 $ 12.99 0.24^ 0.10 0.34
9/10/01** Through 10/31/01 $ 13.14 (0.05)^ (0.10) (0.15)
INTERNATIONAL VALUE FUND(v)
Year Ended 10/31/03 $ 7.02 0.02^ 1.82 1.84
Year Ended 10/31/02 $ 8.28 0.06^ (1.19) (1.13)
Year Ended 10/31/01 $ 12.28 0.07^ (3.02) (2.95)
Year Ended 10/31/00 $ 13.56 0.05 (0.66) (0.61)
Year Ended 10/31/99 $ 11.21 0.19 2.51 2.70
<Caption>
PER SHARE OPERATING PERFORMANCE:
-------------------------------------------------
LESS DISTRIBUTIONS:
-------------------------------------------------
DIVIDENDS
FROM NET DISTRIBUTIONS
INVESTMENT FROM CAPITAL TOTAL
INCOME GAINS DISTRIBUTIONS
EUROPEAN FUND(e)
Year Ended 10/31/03 0.10 -- 0.10
Year Ended 10/31/02 -- -- --
9/10/01** Through 10/31/01 -- -- --
INTERNATIONAL VALUE FUND(v)
Year Ended 10/31/03 0.25 -- 0.25
Year Ended 10/31/02 0.13 -- 0.13
Year Ended 10/31/01 -- 1.05 1.05
Year Ended 10/31/00 0.16 0.51 0.67
Year Ended 10/31/99 0.35 -- 0.35
</Table>
# Short periods have been annualized.
(a) Not annualized for periods less than one year.
(e) Formerly Chase Vista European Fund.
^ Calculated upon average shares outstanding.
** Commencement of offering of class of shares.
SEE NOTES TO FINANCIAL STATEMENTS.
102
<Page>
<Table>
<Caption>
PER SHARE OPERATING PERFORMANCE:
-------------------------------------------------
LESS DISTRIBUTIONS:
-------------------------------------------------
NET ASSET
VALUE, END TOTAL
OF PERIOD RETURN (1)(a)
EUROPEAN FUND(e)
Year Ended 10/31/03 $ 17.17 29.83%
Year Ended 10/31/02 $ 13.33 2.62%
9/10/01** Through 10/31/01 $ 12.99 (1.14%)
INTERNATIONAL VALUE FUND(v)
Year Ended 10/31/03 $ 8.61 27.23%
Year Ended 10/31/02 $ 7.02 (13.89%)
Year Ended 10/31/01 $ 8.28 (26.06%)
Year Ended 10/31/00 $ 12.28 (5.16%)
Year Ended 10/31/99 $ 13.56 24.70%
<Caption>
RATIOS/SUPPLEMENTAL DATA:
-----------------------------------------------------
RATIOS TO AVERAGE NET ASSETS:#
------------------------------
NET ASSETS, NET
END OF INVESTMENT
PERIOD NET INCOME
(000 OMITTED) EXPENSES (LOSS)
EUROPEAN FUND(e)
Year Ended 10/31/03 $ 12,038 1.00% 0.86%
Year Ended 10/31/02 $ 6,305 1.00% 1.81%
9/10/01** Through 10/31/01 $ 4,740 1.00% (2.60%)
INTERNATIONAL VALUE FUND(v)
Year Ended 10/31/03 $ 26,356 0.95% 0.28%
Year Ended 10/31/02 $ 28,644 0.95% 0.91%
Year Ended 10/31/01 $ 142,590 0.92% 0.70%
Year Ended 10/31/00 $ 432,785 0.95% 0.50%
Year Ended 10/31/99 $ 471,195 0.95% 0.81%
<Caption>
RATIOS/SUPPLEMENTAL DATA:
-----------------------------------------------------
RATIOS TO AVERAGE NET ASSETS:#
-------------------------------------------
NET INVESTMENT
EXPENSES INCOME (LOSS) PORTFOLIO
WITHOUT WAIVERS, AND WITHOUT WAIVERS, AND TURNOVER
REIMBURSEMENTS REIMBURSEMENTS RATE (a)
EUROPEAN FUND(e)
Year Ended 10/31/03 2.01% (0.15%) 717%
Year Ended 10/31/02 2.25% 0.56% 1,021%
9/10/01** Through 10/31/01 3.34%! (4.94%)! 564%
INTERNATIONAL VALUE FUND(v)
Year Ended 10/31/03 1.55% (0.32%) 132%
Year Ended 10/31/02 1.16% 0.70% 138%
Year Ended 10/31/01 0.93% 0.69% 85%~
Year Ended 10/31/00 0.95% 0.50% 80%~
Year Ended 10/31/99 0.95% 0.81% 70%~
</Table>
! Due to the size of net assets and fixed expenses, ratios may appear
disproportionate.
(v) Formerly JPMorgan International Equity Fund.
~ Prior to September 10, 2001, IVF invested all of its investable assets in
The International Equity Portfolio ("IEP"). The Portfolio turnover rate
disclosed prior to September 10, 2001 is the turnover rate of IEP.
SEE NOTES TO FINANCIAL STATEMENTS.
103
<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
INTERNATIONAL
OPPORTUNITIES FUND(o)
Year Ended 10/31/03 $ 7.55 0.08^ 1.71 1.79
Year Ended 10/31/02 $ 8.64 0.09 (1.08) (0.99)
12/1/00 Through 10/31/01*** $ 11.39 0.12^ (2.60) (2.48)
Year Ended 11/30/00 $ 12.92 0.08 (1.42) (1.34)
Year Ended 11/30/99 $ 10.11 0.25 2.88 3.13
Year Ended 11/30/98 $ 9.94 0.22 0.05 0.27
EMERGING MARKETS
EQUITY FUND(m)
Year Ended 10/31/03 $ 5.25 0.07^ 2.31 2.38
Year Ended 10/31/02 $ 5.14 0.04^ 0.12 0.16
Year Ended 10/31/01 $ 6.68 0.07^ (1.60) (1.53)
Year Ended 10/31/00 $ 7.22 0.02 (0.50) (0.48)
Year Ended 10/31/99 $ 5.91 0.14 1.68 1.82
ASIA EQUITY FUND(p)
Year Ended 10/31/03 $ 13.71 0.17^ 3.96 4.13
6/28/02** Through 10/31/02 $ 15.86 -- (2.15) (2.15)
<Caption>
PER SHARE OPERATING PERFORMANCE:
------------------------------------------------
LESS DISTRIBUTIONS:
------------------------------------------------
DIVIDENDS
FROM NET DISTRIBUTIONS
INVESTMENT FROM CAPITAL TOTAL
INCOME GAINS DISTRIBUTIONS
INTERNATIONAL
OPPORTUNITIES FUND(o)
Year Ended 10/31/03 0.08 -- 0.08
Year Ended 10/31/02 0.10 -- 0.10
12/1/00 Through 10/31/01*** 0.11 0.16 0.27
Year Ended 11/30/00 0.19 -- 0.19
Year Ended 11/30/99 0.32 -- 0.32
Year Ended 11/30/98 0.10 -- 0.10
EMERGING MARKETS
EQUITY FUND(m)
Year Ended 10/31/03 0.04 -- 0.04
Year Ended 10/31/02 0.05 -- 0.05
Year Ended 10/31/01 0.01 -- 0.01
Year Ended 10/31/00 0.06 -- 0.06
Year Ended 10/31/99 0.51 -- 0.51
ASIA EQUITY FUND(p)
Year Ended 10/31/03 -- -- --
6/28/02** Through 10/31/02 -- -- --
</Table>
# Short periods have been annualized.
(a) Not annualized for periods less than one year.
(o) Formerly J.P. Morgan Institutional International Opportunities Fund.
^ Calculated upon average shares outstanding.
~~ Prior to September 10, 2001, IOF invested all of its investable assets in
the International Opportunities Portfolio ("IOP"). The portfolio turnover
rate disclosed prior to September 10, 2001 is the turnover rate of IOP.
*** The Fund changed its fiscal year end from November 30 to October 31.
SEE NOTES TO FINANCIAL STATEMENTS.
104
<Page>
<Table>
<Caption>
PER SHARE OPERATING PERFORMANCE:
--------------------------------
NET ASSET
VALUE, END TOTAL
OF PERIOD RETURN (a)
INTERNATIONAL
OPPORTUNITIES FUND(o)
Year Ended 10/31/03 $ 9.26 24.02%
Year Ended 10/31/02 $ 7.55 (11.67%)
12/1/00 Through 10/31/01*** $ 8.64 (22.24%)
Year Ended 11/30/00 $ 11.39 (10.55%)
Year Ended 11/30/99 $ 12.92 31.87%
Year Ended 11/30/98 $ 10.11 2.69%
EMERGING MARKETS
EQUITY FUND(m)
Year Ended 10/31/03 $ 7.59 45.49%
Year Ended 10/31/02 $ 5.25 3.04%
Year Ended 10/31/01 $ 5.14 (22.98%)
Year Ended 10/31/00 $ 6.68 (6.88%)
Year Ended 10/31/99 $ 7.22 33.76%
ASIA EQUITY FUND(p)
Year Ended 10/31/03 $ 17.84 30.12%
6/28/02** Through 10/31/02 $ 13.71 (13.56%)
<Caption>
RATIOS/SUPPLEMENTAL DATA:
-------------------------------------------------
RATIOS TO AVERAGE NET ASSETS:
--------------------------------
NET ASSETS, NET
END OF INVESTMENT
PERIOD NET INCOME
(000 OMITED) EXPENSES (LOSS)
INTERNATIONAL
OPPORTUNITIES FUND(o)
Year Ended 10/31/03 $ 133,907 0.92% 1.10%
Year Ended 10/31/02 $ 209,286 0.92% 1.21%
12/1/00 Through 10/31/01*** $ 231,048 0.94% 1.25%
Year Ended 11/30/00 $ 461,016 0.91% 0.84%
Year Ended 11/30/99 $ 370,268 0.94% 0.76%
Year Ended 11/30/98 $ 323,918 0.99% 1.13%
EMERGING MARKETS
EQUITY FUND(m)
Year Ended 10/31/03 $ 58,658 1.45% 1.18%
Year Ended 10/31/02 $ 47,503 1.45% 0.83%
Year Ended 10/31/01 $ 67,335 1.45% 1.07%
Year Ended 10/31/00 $ 110,711 1.45% 0.46%
Year Ended 10/31/99 $ 131,046 1.42% 0.99%
ASIA EQUITY FUND(p)
Year Ended 10/31/03 $ 13,887 1.35% 1.16%
6/28/02** Through 10/31/02 $ 6,463 1.35% 0.08%
<Caption>
RATIOS/SUPPLEMENTAL DATA:
-----------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS:
----------------------------------------
NET INVESTMENT
EXPENSES INCOME (LOSS) PORTFOLIO
WITHOUT WAIVERS WITHOUT WAIVERS, TURNOVER
AND REIMBURSEMENTS AND REIMBURSEMENTS RATE(a)
INTERNATIONAL
OPPORTUNITIES FUND(o)
Year Ended 10/31/03 1.09% 0.93% 79%
Year Ended 10/31/02 0.98% 1.15% 121%
12/1/00 Through 10/31/01*** 0.95% 1.24% 110%
Year Ended 11/30/00 0.91% 0.84% 86%~~
Year Ended 11/30/99 0.95% 0.75% 80%~~
Year Ended 11/30/98 1.02% 1.10% 143%~~
EMERGING MARKETS
EQUITY FUND(m)
Year Ended 10/31/03 1.95% 0.68% 85%
Year Ended 10/31/02 1.77% 0.51% 69%
Year Ended 10/31/01 1.64% 0.88% 76%
Year Ended 10/31/00 1.55% 0.36% 65%~
Year Ended 10/31/99 1.52% 0.89% 87%~
ASIA EQUITY FUND(p)
Year Ended 10/31/03 2.65% (0.14%) 172%
6/28/02** Through 10/31/02 2.53% (1.10%) 106%
</Table>
(m) Formerly J.P. Morgan Institutional Emerging Markets Equity Fund.
~ Prior to September 10, 2001, EMF invested all of its investable assets in
the Emerging Markets Equity Portfolio ("EMP"). The portfolio turnover rate
disclosed prior to September 10, 2001 is the turnover rate of EMP.
(p) Formerly J.P. Morgan Fleming Pacific Region Fund.
** Commencement of offering of class of shares.
SEE NOTES TO FINANCIAL STATEMENTS.
105
<Page>
SELECT CLASS 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
EUROPEAN FUND(e)
Year Ended 10/31/03 $ 13.26 0.05^ 3.78 3.83
Year Ended 10/31/02 $ 12.97 0.14^ 0.15 0.29
9/10/01** Through 10/31/01 $ 13.14 --^ (0.17) (0.17)
INTERNATIONAL VALUE FUND(v) @
Year Ended 10/31/03 $ 7.01 (0.01)^ 1.83 1.82
Year Ended 10/31/02 $ 8.28 0.07^ (1.22) (1.15)
Year Ended 10/31/01 $ 16.08 0.02^ (3.39) (3.37)
Year Ended 10/31/00 $ 18.70 0.27 (1.07) (0.80)
Year Ended 10/31/99 $ 15.91 0.24 3.47 3.71
<Caption>
PER SHARE OPERATING PERFORMANCE:
------------------------------------------------
LESS DISTRIBUTIONS:
------------------------------------------------
DIVIDENDS
FROM NET DISTRIBUTIONS
INVESTMENT FROM CAPITAL TOTAL
INCOME GAINS DISTRIBUTIONS
EUROPEAN FUND(e)
Year Ended 10/31/03 0.09 -- 0.09
Year Ended 10/31/02 -- -- --
9/10/01** Through 10/31/01 -- -- --
INTERNATIONAL VALUE FUND(v) @
Year Ended 10/31/03 0.25 -- 0.25
Year Ended 10/31/02 0.12 -- 0.12
Year Ended 10/31/01 1.14 3.29 4.43
Year Ended 10/31/00 0.24 1.58 1.82
Year Ended 10/31/99 0.47 0.45 0.92
</Table>
# Short periods have been annualized.
(a) Not annualized for periods less than one year.
(e) Formerly Chase Vista European Fund.
^ Calculated upon average shares outstanding.
** Commencement of offering of class of shares.
! Due to the size of net assets and fixed expenses, ratios may appear
disproportionate.
SEE NOTES TO FINANCIAL STATEMENTS.
106
<Page>
<Table>
<Caption>
PER SHARE OPERATING PERFORMANCE:
-------------------------------
NET ASSET
VALUE, END TOTAL
OF PERIOD RETURN(A)
EUROPEAN FUND(e)
Year Ended 10/31/03 $ 17.00 29.14%
Year Ended 10/31/02 $ 13.26 2.24%
9/10/01** Through 10/31/01 $ 12.97 (1.29%)
INTERNATIONAL VALUE FUND(v) @
Year Ended 10/31/03 $ 8.58 26.89%
Year Ended 10/31/02 $ 7.01 (14.09%)
Year Ended 10/31/01 $ 8.28 (26.66%)
Year Ended 10/31/00 $ 16.08 (5.49%)
Year Ended 10/31/99 $ 18.70 24.41%
<Caption>
RATIOS TO AVERAGE NET ASSETS:
-------------------------------------------------
NET ASSETS, NET
END OF INVESTMENT
PERIOD NET INCOME
(000 OMITTED) EXPENSES (LOSS)
EUROPEAN FUND(e)
Year Ended 10/31/03 $ 11,225 1.47% 0.38%
Year Ended 10/31/02 $ 8,461 1.50% 1.06%
9/10/01** Through 10/31/01 $ 6,063 1.50% (0.06%)
INTERNATIONAL VALUE FUND(v) @
Year Ended 10/31/03 $ 16,538 1.39% (0.15%)
Year Ended 10/31/02 $ 16,905 1.29% 0.85%
Year Ended 10/31/01 $ 21,307 1.40% 0.20%
Year Ended 10/31/00 $ 55,445 1.30% 0.15%
Year Ended 10/31/99 $ 64,860 1.21% 0.55%
<Caption>
RATIOS/SUPPLEMENTAL DATA:
-------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS:
-------------------------------------------------------------
NET INVESTMENT
EXPENSES INCOME (LOSS) PORTFOLIO
WITHOUT WAIVERS, AND WITHOUT WAIVERS, AND TURNOVER
REIMBURSEMENTS REIMBURSEMENTS RATE(A)
EUROPEAN FUND(e)
Year Ended 10/31/03 2.20% (0.35%) 717%
Year Ended 10/31/02 2.43% 0.13% 1,021%
9/10/01** Through 10/31/01 3.74%! (2.30%)! 564%
INTERNATIONAL VALUE FUND(v) @
Year Ended 10/31/03 1.86% (0.62%) 132%
Year Ended 10/31/02 1.49% 0.65% 138%
Year Ended 10/31/01 1.40% 0.20% 85%
Year Ended 10/31/00 1.30% 0.15% 80%~
Year Ended 10/31/99 1.21% 0.55% 70%~
</Table>
(v) Formerly JPMorgan International Equity Fund.
@ Prior to the open of business on September 10, 2001, the class underwent a
split of shares in connection with the fund reorganization. Prior periods
have been restated to reflect the split.
~ Prior to September 10, 2001, IVF invested all of its investable assets in
The International Equity Portfolio ("IEP"). The Portfolio turnover rate
disclosed prior to September 10, 2001 is the turnover rate of IEP.
SEE NOTES TO FINANCIAL STATEMENTS.
107
<Page>
<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
INTERNATIONAL
OPPORTUNITIES FUND(o)@
Year Ended 10/31/03 $ 7.53 0.05^ 1.72 1.77 0.08 -- 0.08
Year Ended 10/31/02 $ 8.64 0.08 (1.10) (1.02) 0.09 -- 0.09
12/1/00 Through 10/31/01*** $ 11.81 0.08^ (2.65) (2.57) 0.32 0.28 0.60
Year Ended 11/30/00 $ 13.41 0.14 (1.58) (1.44) 0.16 -- 0.16
Year Ended 11/30/99 $ 10.45 0.22 3.05 3.27 0.31 -- 0.31
Year Ended 11/30/98 $ 10.32 0.24 (0.01) 0.23 0.10 -- 0.10
EMERGING MARKETS
EQUITY FUND(m)@
Year Ended 10/31/03 $ 5.23 0.05^ 2.28 2.33 0.03 -- 0.03
Year Ended 10/31/02 $ 5.13 0.03^ 0.12 0.15 0.05 -- 0.05
Year Ended 10/31/01 $ 6.73 0.05^ (1.61) (1.56) 0.04 -- 0.04
Year Ended 10/31/00 $ 7.28 0.02 (0.53) (0.51) 0.04 -- 0.04
Year Ended 10/31/99 $ 5.88 0.08 1.72 1.80 0.40 -- 0.40
ASIA EQUITY FUND(p)
Year Ended 10/31/03 $ 13.71 0.16^ 3.93 4.09 -- -- --
6/28/02** Through 10/31/02 $ 15.86 -- (2.15) (2.15) -- -- --
INTERNATIONAL EQUITY FUND(i)(k)
Year Ended 10/31/03 $ 19.45 0.30^ 3.72 4.02 0.28 -- 0.28
Year Ended 10/31/02 $ 21.20 0.21^ (1.84) (1.63) 0.12 -- 0.12
Year Ended 10/31/01 $ 32.00 0.39 (6.35) (5.96) 0.18 4.66 4.84
Year Ended 10/31/00 $ 33.33 0.15 1.05 1.20 0.13 2.40 2.53
Year Ended 10/31/99 $ 27.79 0.33 5.94 6.27 0.73 -- 0.73
</Table>
# Short periods have been annualized.
(a) Not annualized for periods less than one year.
(o) Formerly J.P. Morgan Institutional International Opportunities Fund.
@ Prior to the open of business on September 10, 2001, the class underwent a
split of shares in connection with the fund reorganization.
Prior periods have been restated to reflect this split.
^ Calculated upon average shares outstanding.
~~ Prior to September 10, 2001, IOF invested all of its investable assets in
The International Opportunities Portfolio ("IOP").
The portfolio turnover rate disclosed prior to September 10, 2001 is the
turnover rate of IOP.
SEE NOTES TO FINANCIAL STATEMENTS.
108
<Page>
<Table>
<Caption>
PER SHARE OPERATING PERFORMANCE: RATIOS/SUPPLEMENTAL DATA
-------------------------------- -----------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS:#
-------------------------------------------
NET ASSETS, NET EXPENSES
NET ASSET END OF INVESTMENT WITHOUT WAIVERS
VALUE, END TOTAL PERIOD NET INCOME REIMBURSEMENTS
OF PERIOD RETURN(a) (000 OMITED) EXPENSES (LOSS) AND EARNING CREDITS
INTERNATIONAL
OPPORTUNITIES FUND(o)@
Year Ended 10/31/03 $ 9.22 23.77% $ 30,969 1.20% 0.58% 1.37%
Year Ended 10/31/02 $ 7.53 (11.98%) $ 33,428 1.20% 0.89% 1.22%
12/1/00 Through 10/31/01*** $ 8.64 (22.66%) $ 37,271 1.27% 0.85% 1.27%
Year Ended 11/30/00 $ 11.81 (10.87%) $ 79,408 1.21% 0.55% 1.21%
Year Ended 11/30/99 $ 13.41 32.13% $ 67,543 1.18% 0.47% 1.24%
Year Ended 11/30/98 $ 10.45 2.30% $ 55,050 1.20% 0.96% 1.24%
EMERGING MARKETS
EQUITY FUND(m)@
Year Ended 10/31/03 $ 7.53 44.84% $ 22,620 1.75% 0.88% 2.26%
Year Ended 10/31/02 $ 5.23 2.75% $ 18,660 1.75% 0.56% 2.04%
Year Ended 10/31/01 $ 5.13 (23.23%) $ 22,253 1.75% 0.78% 2.11%
Year Ended 10/31/00 $ 6.73 (7.12%) $ 34,204 1.75% 0.15% 1.96%
Year Ended 10/31/99 $ 7.28 33.00% $ 35,786 1.75% 0.73% 1.87%
ASIA EQUITY FUND(p)
Year Ended 10/31/03 $ 17.80 29.83% $ 24,443 1.50% 1.17% 2.71%
6/28/02** Through 10/31/02 $ 13.71 (13.56%) $ 14,043 1.50% (0.03%) 2.58%
INTERNATIONAL EQUITY FUND(i)(k)
Year Ended 10/31/03 $ 23.19 20.90% $ 813,466 1.10% 1.45% 1.55%
Year Ended 10/31/02 $ 19.45 (7.74%) $ 247,426 1.03% 1.03% 1.54%
Year Ended 10/31/01 $ 21.20 (21.62%) $ 181,296 1.00% 0.87% 1.54%
Year Ended 10/31/00 $ 32.00 2.71% $ 226,248 0.66% 0.38% 1.50%
Year Ended 10/31/99 $ 33.33 22.83% $ 223,339 0.06% 1.14% 1.31%
<Caption>
RATIOS/SUPPLEMENTAL DATA
--------------------------------------------
RATIOS TO AVERAGE NET ASSETS:#
------------------------------
NET INVESTMENT
INCOME (LOSS)
WITHOUT WAIVERS, PORTFOLIO
REIMBURSEMENTS TURNOVER
AND EARNING CREDITS RATE(a)
INTERNATIONAL
OPPORTUNITIES FUND(o)@
Year Ended 10/31/03 0.41% 79%~~
Year Ended 10/31/02 0.87% 121%~~
12/1/00 Through 10/31/01*** 0.85% 110%~~
Year Ended 11/30/00 0.55% 86%~~
Year Ended 11/30/99 0.41% 80%~~
Year Ended 11/30/98 0.92% 143%~~
EMERGING MARKETS
EQUITY FUND(m)@
Year Ended 10/31/03 0.37% 85%~
Year Ended 10/31/02 0.27% 69%~
Year Ended 10/31/01 0.42% 76%~
Year Ended 10/31/00 (0.06%) 65%~
Year Ended 10/31/99 0.61% 87%~
ASIA EQUITY FUND(p)
Year Ended 10/31/03 (0.04%) 172%
6/28/02** Through 10/31/02 (1.11%) 106%
INTERNATIONAL EQUITY FUND(i)(k)
Year Ended 10/31/03 1.00% 16%
Year Ended 10/31/02 0.52% 20%
Year Ended 10/31/01 0.33% 33%
Year Ended 10/31/00 (0.46%) 149%
Year Ended 10/31/99 (0.11%) 141%
</Table>
*** The Fund changed its fiscal year end from November 30 to October 31.
(m) Formerly J.P. Morgan Institutional Emerging Markets Equity Fund.
~ Prior to September 10, 2001, EMF invested all of its investable assets in
the Emerging Markets Equity Portfolio ("EMP").
The portfolio turnover rate disclosed prior to September 10, 2001 is the
turnover rate of EMP.
(p) Formerly J.P. Morgan Fleming Pacific Region Fund.
** Commencement of offering of class of shares.
(i) Formerly Chase Vista Select International Equity Fund.
(k) On November 20, 1998, the Fund underwent a "6 for 1" split of shares. Prior
periods have been restated to reflect this split.
SEE NOTES TO FINANCIAL STATEMENTS.
109
<Page>
JPMorgan Funds
REPORT OF INDEPENDENT AUDITORS
To the Trustees and Shareholders of
J.P. Morgan Mutual Fund Group,
J.P. Morgan Institutional Funds and
J.P. Morgan Mutual Fund Select Group:
In our opinion, the accompanying statements of assets and liabilities, including
the portfolios of investments, and the related statements of operations and of
changes in net assets and the financial highlights present fairly, in all
material respects, the financial position of JPMorgan Fleming European Fund,
JPMorgan Fleming Japan Fund, JPMorgan Fleming International Growth Fund,
JPMorgan Fleming International Value Fund, JPMorgan Fleming International
Opportunities Fund, JPMorgan Fleming Emerging Markets Equity Fund, JPMorgan
Fleming Asia Equity Fund and JPMorgan Fleming International Equity Fund
(formerly the JPMorgan Select International Equity Fund), (collectively
hereafter referred to as the "Funds") at October 31, 2003, the results of each
of their operations for the year then ended, and the changes in each of their
net assets and the financial highlights for each of the periods presented, in
conformity with accounting principles generally accepted in the United States of
America. These financial statements and financial highlights (hereafter referred
to as "financial statements") are the responsibility of the Funds' management;
our responsibility is to express an opinion on these financial statements based
on our audits. We conducted our audits of these financial statements in
accordance with auditing standards generally accepted in the United States of
America, which require that we plan and perform the audit to obtain reasonable
assurance about whether the financial statements are free of material
misstatement. An audit includes examining, on a test basis, evidence supporting
the amounts and disclosures in the financial statements, assessing the
accounting principles used and significant estimates made by management, and
evaluating the overall financial statement presentation. We believe that our
audits, which included confirmation of securities at October 31, 2003 by
correspondence with the custodian and brokers, provide a reasonable basis for
our opinion.
PricewaterhouseCoopers LLP
New York, New York
December 16, 2003
110
<Page>
TRUSTEE AND OFFICER INFORMATION (UNAUDITED)
The following tables contain basic information regarding the Trustees and
Officers, respectively, that oversee operations of the Trusts and other
investment companies within the JPMorgan Funds complex.
<Table>
<Caption>
POSITIONS NUMBER OF OTHER
HELD WITH PRINCIPAL PORTFOLIOS IN DIRECTORSHIPS
EACH TERM OF OFFICE OCCUPATIONS JPMORGAN FUND HELD OUTSIDE
NAME, CONTACT ADDRESS JP MORGAN AND LENGTH OF DURING PAST COMPLEX(1) OVERSEEN JP MORGAN FUND
AND YEAR OF BIRTH TRUST TIME SERVED 5 YEARS BY TRUSTEE COMPLEX
- ------------------------------------------------------------------------------------------------------------------------------------
NON-INTERESTED TRUSTEE(S)
William J. Armstrong; Trustee Trustee of Funds that Retired; Vice 71 None
522 Fifth Avenue, are series of JPMIF President and
New York, NY 10036; since 2001, Funds Treasurer
1941 that are series of Ingersoll-Rand
of MFSG since 1996 Company
and Funds that are (manufacturer of
series of MFG industrial
since 1987. equipment)
(1972-2000)
Roland R. Eppley, Jr.; Trustee Trustee of Funds that Retired 71 Director, Janel Hydro,
522 Fifth Avenue, are series of JPMIF Inc. (1993-Present)
New York, NY 10036; since 2001, Funds
1932 that are series of
MFSG since 1996 and
Funds that are
series of MFG since
1989.
Ann Maynard Gray; Trustee Since 2001 Vice President of 71 Director of Duke Energy
522 Fifth Avenue, Capital Cities/ABC, Corporation (1997-
New York, NY 10036; Inc. Present); Director of
1945 (communication) Elan Corporation, Plc
(1986-1998); (pharmaceuticals)(2001-
President of Present); Director of
Diversified The Phoenix Companies
Publishing Group (wealth management)
(1991-1997) (2002-Present)
Matthew Healey; Trustee and Trustee of Funds Retired; Chief 71 None
522 Fifth Avenue, President of that are series of Executive Officer of
New York, NY 10036; the Board of of JPMIF since 1992 certain J.P. Morgan
1937 Trustees and Funds that Fund trusts (1982-
are series of 2001)
MFG since 2001
and MFSG since 2001.
Fergus Reid, III; Trustee and Trustee of Funds that Chairman of 71 Trustee of 16 Morgan
522 Fifth Avenue, Chairman of are series of JPMIF Lumelite Stanley Funds (1995-
New York, NY 10036; the Board of since 2001, Corporation Present)
1932 Trustees Funds that are (plastics
series of MFSG manufacturing)
since 1996 and (1985-Present)
Funds that are
series of MFG
since 1987.
</Table>
111
<Page>
<Table>
<Caption>
POSITIONS NUMBER OF OTHER
HELD WITH PRINCIPAL PORTFOLIOS IN DIRECTORSHIPS
EACH TERM OF OFFICE OCCUPATIONS JPMORGAN FUND HELD OUTSIDE
NAME, CONTACT ADDRESS JP MORGAN AND LENGTH OF DURING PAST COMPLEX(1) OVERSEEN JP MORGAN FUND
AND YEAR OF BIRTH TRUST TIME SERVED 5 YEARS BY TRUSTEE COMPLEX
- ------------------------------------------------------------------------------------------------------------------------------------
NON-INTERESTED TRUSTEE(S)(CONTINUED)
James J. Schonbachler; Trustee Since 2001 Retired; Managing 71 None
522 Fifth Avenue, Director of Bankers
New York, NY 10036; Trust Company,
1943 (financial services)
(1968-1998); Group
Head and Director
of Bankers Trust,
A.G., Zurich and
BT Brokerage Corp.
(financial services)
(1995-2002)
Robert J. Higgins; Trustee Since 2002 Director of 71 Director of Providian
522 Fifth Avenue, Administration of Financial Corp.
New York, NY 10036; the State of Rhode (banking) (2002-
1945 Island (2003- Present)
Present); President
- Consumer Banking
and Investment
Services Fleet
Boston Financial
(1971-2002)
Dr. Matthew Goldstein; Trustee Since 2003 Chancellor of the 71 Trustee of the Albert
522 Fifth Avenue, City University of Einstein School
New York, NY 10036; New York, since of Medicine
1941 September 1, 1999; (1998-Present);
President, Adelphi Trustee of Bronx
University Lebanon Hospital
(New York) Center (1992-Present);
(1998-1999). Director of New Plan
Excel Realty Trust,
Inc. (real estate
investment company)
(2000-Present);
Director of Lincoln
Center Institute for
the Arts in
Education
(1999-Present);
Director of Jewish
Community Relations
Counsel of New York,
Inc. (2000-Present);
Director of United Way
of New York City
(2002-Present).
</Table>
112
<Page>
<Table>
<Caption>
POSITIONS NUMBER OF OTHER
HELD WITH PRINCIPAL PORTFOLIOS IN DIRECTORSHIPS
EACH TERM OF OFFICE OCCUPATIONS JPMORGAN FUND HELD OUTSIDE
NAME, CONTACT ADDRESS JP MORGAN AND LENGTH OF DURING PAST COMPLEX(1) OVERSEEN JP MORGAN FUND
AND YEAR OF BIRTH TRUST TIME SERVED 5 YEARS BY TRUSTEE COMPLEX
- ------------------------------------------------------------------------------------------------------------------------------------
NON-INTERESTED TRUSTEE(S)(CONTINUED)
William G. Morton, Jr.; Trustee Since 2003 Formerly Chairman 71 Director of Radio Shack
522 Fifth Avenue, Emeritus Corporation
New York, NY 10036; (March 2001- (electronics) (1987-
1937 October 2002), Present); Director of
and Chairman and the Griswold Company
Chief Executive (securities brokerage)
Officer, Boston (2002-Present);
Stock Director of The
Exchange National Football
(June 1985 - Foundation and
March 2001). College Hall of Fame
(1994-Present);
Trustee of the Berklee
College of Music (1998-
Present); Trustee of
the Stratton Mountain
School (2001-Present).
INTERESTED TRUSTEE(S)
Leonard M. Spalding* Trustee Trustee of Retired; Chief 71 Director of Glenview
522 Fifth Avenue, Funds that are Executive Officer Trust; Director of
New York, NY 10036; series of JPMIF of Chase Mutual Pizza Magia; Trustee of
1935 since 2001, Funds Funds (investment St. Catherine College
that are series company) Trust; Trustee of
of MFSG since 1996 (1989-1998); Chief Bellarmine University
and Funds that Investment Executive Trust; Director of
are series of of Chase Manhattan Marion Washington
MFG since 1998. Private Bank Airport Board Trust;
(investment Director of Springfield
management) Washington Economic
(1990-1995) Development Board
Trust.
</Table>
* Mr. Spalding is deemed to be an "interested person" due to his ownership of
equity securities of J.P. Morgan Chase & Co.
(1) A Fund Complex means two or more investment companies that hold themselves
out to investors as related companies for purposes of investment and
investment services or have a common investment advisor or have an
investment advisor that is an affiliated person of the investment advisor
of any of the other investment companies. The JPMorgan Fund Complex for
which the Trustees serve includes 11 investment companies.
113
<Page>
<Table>
<Caption>
POSITIONS HELD TERM OF OFFICE
NAME, CONTACT ADDRESS WITH EACH AND LENGTH OF PRINCIPAL OCCUPATIONS
AND YEAR OF BIRTH JPMORGAN TRUST TIME SERVED DURING PAST 5 YEARS
- ------------------------------------------------------------------------------------------------------------------------------
OFFICERS
George Gatch; President Since 2001 Managing Director, J.P. Morgan Investment Management Inc.;
522 Fifth Avenue, Head of J.P. Morgan Fleming's U.S. Mutual Funds and
New York, NY 10036; Financial Intermediaries Business ("FFI"); he has held
1962 numerous positions throughout the firm in business
management, marketing and sales.
Patricia A. Maleski; Treasurer Since 2003 Vice President, J.P. Morgan Investment Management Inc.;
522 Fifth Avenue, Head of FFI and U.S. Institutional Funds Administration
New York, NY 10036; and Board Liaison. Prior to joining J.P. Morgan Chase in
1960 2001, she was the Vice President of Finance for the
Pierpont Group, Inc., a service provider to the board of
trustees of the heritage JPMorgan Funds.
Sharon J. Weinberg; Secretary Since 2001 Managing Director, J.P. Morgan Investment Management Inc.;
522 Fifth Avenue, Head of Business and Product Strategy for FFI; since
New York, NY 10036; joining J.P. Morgan Chase in 1996, she has held numerous
1959 positions throughout the asset management business
in mutual funds marketing, legal and product development.
Stephen M. Ungerman; Vice President and Since 2001 Vice President, J.P. Morgan Investment Management Inc.;
522 Fifth Avenue, Assistant Treasurer Business Head for Vehicle Services Group within
New York, NY 10036; Fund Administration; prior to joining J.P. Morgan Chase
1953 in 2000, he held a number of senior management positions
in Prudential Insurance Co. of America's asset management
business, including Associate General Counsel, Tax
Director and Co-head of Fund Administration Department;
Mr. Ungerman was also the Assistant Treasurer of all mutual
funds managed by Prudential.
Michael Maye Vice President and Since 2003 Vice President, JPMIM; Chief Financial Officer of FFI;
522 Fifth Avenue Assistant Treasurer prior to joining J.P. Morgan Chase in 2003, he was Vice
New York, NY 10036; President from 1999 to 2003 and Assistant Vice President
1965 from 1996 to 1999 of Planning & Analysis at Alliance
Capital Management L.P. where he was responsible for
forecasting, special projects and financial analysis.
Judy R. Bartlett; Vice President and Since 2001 Vice President and Assistant General Counsel, J.P. Morgan
522 Fifth Avenue, Assistant Secretary Investment Management Inc., since September 2000; from
New York, NY 10036; August 1998 through August 2000, she was an attorney at
1965 New York Life Insurance Company where she served as
Assistant Secretary for the Mainstay Funds.
Joseph J. Bertini; Vice President and Since 2001 Vice President and Assistant General Counsel, J.P. Morgan
522 Fifth Avenue, Assistant Secretary Investment Management Inc.
New York, NY 10036;
1965
Wayne H. Chan; Vice President and Since 2003 Vice President and Assistant General Counsel,
522 Fifth Avenue, Assistant Secretary J.P. Morgan Investment Management, Inc., since
New York, NY 10036; September 2002; Mr. Chan was an associate at the law firm
1965 of Shearman and Sterling LLP from May 2001 through
September 2002; Swidler Berlin Shereff Friedman LLP from
June 1999 through May 2001 and Whitman Breed Abbott & Morgan
LLP from September 1997 through May 1999.
Thomas J. Smith Vice President and Since 2002 Managing Director, Head of Compliance for J.P. Morgan
522 Fifth Avenue, Assistant Secretary Chase & Co.'s asset management business in the Americas.
New York, NY 10036
1955
</Table>
114
<Page>
<Table>
<Caption>
POSITIONS HELD TERM OF OFFICE
NAME, CONTACT ADDRESS WITH EACH AND LENGTH OF PRINCIPAL OCCUPATIONS
AND YEAR OF BIRTH JPMORGAN TRUST TIME SERVED DURING PAST 5 YEARS
- ------------------------------------------------------------------------------------------------------------------------------
OFFICERS (CONTINUED)
Paul M. DeRusso Assistant Treasurer Since 2001 Vice President, J.P. Morgan Investment Management Inc.;
522 Fifth Avenue, Manger of the Budgeting and Expense Group of Funds
New York, NY 10036 Administration Group.
1954
Lai Ming Fung Assistant Treasurer Since 2001 Associate, J.P. Morgan Investment Management Inc.;
522 Fifth Avenue, Budgeting Analyst for the Budgeting and Expense Group of
New York, NY 10036 Funds Administration Group.
1974
Mary D. Squires Assistant Treasurer Since 2001 Vice President, J.P. Morgan Investment Management Inc.;
522 Fifth Avenue, Ms. Squires has held numerous financial and operations
New York, NY 10036 positions supporting the J.P. Morgan Chase organization
1955 complex.
Nimish S. Bhatt Assistant Treasurer Since 2001 Senior Vice President of Alternative Investment Products
3435 Stelzer Rd. and Tax Services of BISYS Fund Services, Inc. since
Columbus, OH 43219 January 2002; held various positions within BISYS since
1963 1996, including Senior Vice President of Fund
Administration and Financial Services, Vice President and
Director of International Operation, Vice President of
Financial Administration and Vice President of Tax.
Michael Ciotola Assistant Treasurer Since 2003 Director of Financial Services of BISYS Fund Services,
3435 Stelzer Rd. Inc. since January 2003; held various positions within
Columbus, OH 43219 BISYS since 1998.
1968
Arthur A. Jensen Assistant Treasurer Since 2001 Vice President of Financial Services of BISYS Fund
3435 Stelzer Rd. Services, Inc. since June 2001; formerly Section Manager
Columbus, OH 43219 of Northern Trust Company and Accounting Supervisor at
1966 Allstate Insurance Company.
Martin R. Dean Assistant Treasurer Since 2001 Vice President of Regulatory Services of BISYS Fund
3435 Stelzer Rd. Services, Inc.
Columbus, OH 43219
1963
Alaina Metz Assistant Secretary Since 2001 Chief Administrative Officer of BISYS Fund Services, Inc.;
3435 Stelzer Rd. formerly, Supervisor of the Blue Sky Department of
Columbus, OH 43219 Alliance Capital Management, L.P.
1967
Ryan M. Louvar; Assistant Secretary Since 2003 Counsel of Legal Services, BISYS Fund Services, Inc. since
60 State Street, 2000; formerly Attorney at Hill, Farrer & Burrill LLP from
Suite 1300 1999 to 2000 and Knapp Peterson Clarke, PC from 1997 to
Boston, MA 02109 1999.
1972
Lisa Hurley Assistant Secretary Since 2001 Executive Vice President and General Counsel of BISYS
60 State Street, Fund Services, Inc.
Suite 1300
Boston, MA 02109
1955
</Table>
Additional information concerning the Trustees is contained in the Statement of
Additional Information and is available without charge by calling
1-800-348-4782.
115
<Page>
TAX LETTER (UNAUDITED)
JPMORGAN FLEMING EUROPEAN FUND ("EF")
JPMORGAN FLEMING JAPAN FUND ("JF")
JPMORGAN FLEMING INTERNATIONAL GROWTH FUND ("IGF")
JPMORGAN FLEMING INTERNATIONAL VALUE FUND ("IVF")
JPMORGAN FLEMING INTERNATIONAL OPPORTUNITIES FUND ("IOF")
JPMORGAN FLEMING EMERGING MARKETS EQUITY FUND ("EMF")
JPMORGAN FLEMING ASIA EQUITY FUND ("AEF")
JPMORGAN FLEMING INTERNATIONAL EQUITY FUND ("IEF")
Certain tax information regarding the JPMorgan Mutual Funds is required to be
provided to shareholders based upon the Funds' income and distributions for the
taxable year ended October 31, 2003. The information and distributions reported
in this letter may differ from the information and distributions taxable to the
shareholders for the calendar year ending December 31, 2003. The information
necessary to complete your income tax returns for the calendar year ending
December 31, 2003 will be received under separate cover.
For the fiscal year ended October 31, 2003, the Funds intend to distribute the
maximum amount of dividends that qualify for the reduced tax rate pursuant to
the Jobs and Growth Tax Relief Reconciliation Act of 2003. Complete information
will be reported in conjunction with your 2003 Form 1099-DIV.
Also, for the fiscal year ended October 31, 2003, EF, IOF, AEF and IEF intend to
elect to pass through to shareholders the income tax credit for taxes paid to
foreign countries. Gross income and foreign tax expenses by country on October
31, 2003 are as follows:
<Table>
<Caption>
FOREIGN TAX
COUNTRY GROSS INCOME PASS THROUGH
- -------------------------------------------------------------
FUND
EF Austria $ 14,776 $ 2,216
Bermuda 976 91
Croatia 12,217 --
Denmark 4,878 735
Finland 140,885 21,133
France 100,243 85,474
Germany 120,657 18,736
Greece 34,205 --
Ireland -- --
Italy 166,931 22,825
Norway 53,416 8,017
Portugal 34,276 7,417
Spain 117,133 15,970
Sweden 58,052 11,190
Switzerland 17,310 5,305
The Netherlands 95,728 13,209
United Kingdom 393,971 50,620
$ 1,365,654 $ 262,938
</Table>
116
<Page>
<Table>
<Caption>
FOREIGN TAX
COUNTRY GROSS INCOME PASS THROUGH
- -------------------------------------------------------------
FUND
IOF Australia $ 133,437 $ 2,332
Belgium 39,606 5,941
Finland 86,625 12,994
France 1,364,930 979,672
Germany 201,648 84,260
Hong Kong 172,987 --
India 81,278 1,228
Italy 273,194 40,979
Japan 302,171 30,210
Korea 239,480 32,723
Russia 116,159 --
Singapore 55,469 12,402
Spain 240,472 33,598
Sweden 65,960 9,910
Switzerland 336,196 42,121
Taiwan -- 19
Thailand 13,877 1,388
The Netherlands 257,362 38,629
United Kingdom 1,926,036 192,452
United States (706,104) --
Venezuela 279,366 --
$ 5,480,149 $ 1,520,858
</Table>
117
<Page>
<Table>
<Caption>
FOREIGN TAX
COUNTRY GROSS INCOME PASS THROUGH
- -------------------------------------------------------------
FUND
AEF Bermuda $ 43,975 $ --
China 51,794 --
Hong Kong 205,105 --
India 719 --
Indonesia 20,310 3,047
Korea 184,783 29,574
Malaysia 56,785 13,394
Singapore 94,666 19,723
Taiwan 127,940 35,609
Thailand 19,160 1,916
United Kingdom 38,444 1,445
$ 843,681 $ 104,708
IEF Australia $ 161,013 $ 26,440
Belgium 515,790 77,368
Brazil 84,575 --
Finland 214,480 32,172
France 1,795,335 167,503
Germany 864,024 110,312
Hong Kong 210,737 --
Ireland 103,512 --
Italy 1,378,270 175,183
Japan 913,682 92,162
Korea 137,889 --
Russia 197,359 --
Spain 437,891 63,750
Sweden 264,550 --
Switzerland 614,456 144,967
The Netherlands 1,281,254 198,616
United Kingdom 5,146,796 507,502
$ 14,321,613 $ 1,595,975
</Table>
The pass-through of the foreign tax credit will only affect those persons who
are shareholders on the dividend record date in December 2003. These
shareholders will receive more detailed information along with 2003 Form
1099-DIV.
118
<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.
119
<Page>
THIS PAGE IS INTENTIONALLY LEFT BLANK
<Page>
[JPMORGAN FLEMING ASSET MANAGEMENT LOGO]
JPMorgan Funds are distributed by J.P. Morgan Fund Distributors, Inc., which is
unaffiliated with The JPMorgan Chase Bank. JPMorgan Chase and its respective
affiliates receive compensation from JPMorgan Funds for providing services to
the Funds.
This report is submitted for the general information of the shareholders of the
Funds. It is not authorized for distribution to prospective investors in the
Funds unless preceded or accompanied by a prospectus.
To obtain a prospectus for any of the JPMorgan Funds, call 1-800-348-4782. The
prospectus contains more complete information, including charges and expenses.
Please read it carefully before you invest or send money.
A list of portfolio holdings is available fifteen days after month-end upon
request. Please contact your JPMorgan Fleming representative or call
1-800-766-7722 to obtain further information.
<Page>
JPMorgan Funds Fulfillment Center PRSRT STD
600 North Bedford Street U.S. POSTAGE
East Bridgewater, MA 02333 PAID
PERMIT 2891
KANSAS CITY, MO
(C) J.P. Morgan Chase & Co., 2003 All rights reserved. December 2003.
AN-INTEQ-1003
<Page>
[GRAPHIC]
JPMORGAN FUNDS
ANNUAL REPORT
OCTOBER 31 2003
TAX AWARE FUNDS
FLEMING TAX AWARE INTERNATIONAL OPPORTUNITIES FUND
TAX AWARE DISCIPLINED EQUITY FUND
TAX AWARE ENHANCED INCOME FUND
TAX AWARE LARGE CAP GROWTH FUND
TAX AWARE LARGE CAP VALUE FUND
TAX AWARE SHORT-INTERMEDIATE INCOME FUND
TAX AWARE U.S. EQUITY FUND
[JPMORGAN FLEMING ASSET MANAGEMENT LOGO]
<Page>
[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. This experience
provides us with a keen understanding of the unique needs of the affluent
investor's portfolio. The legacy of our experience coupled with our GLOBAL
INTELLECTUAL CAPITAL is the foundation from which our investment products have
been built. We have investment professionals based in 44 countries around 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:
Fleming Tax Aware International Opportunites Fund 3
Tax Aware Disciplined Equity Fund 6
Tax Aware Enhanced Income Fund 9
Tax Aware Large Cap Growth Fund 11
Tax Aware Large Cap Value Fund 14
Tax Aware Short-Intermediate Income Fund 17
Tax Aware U.S. Equity Fund 19
Portfolio of Investments 22
Financial Statements 58
Notes to Financial Statements 70
Financial Highlights 98
</Table>
HIGHLIGHTS
- - "Baghdad bounce" revives U.S. and international markets
- - Economies strengthen in U.S. and Asia
- - Bond markets weaken
- - Foreign equities likely to outperform
Investments in a Fund are not bank deposits or obligations of, or guaranteed or
endorsed by, any bank and are not insured or guaranteed by the FDIC, the Federal
Reserve Board or any other government agency. You could lose money if you sell
when the Fund's share price is lower than when you invested.
Past performance is no guarantee for future performance. The general market
views expressed in this report are opinions based on current market conditions
and are subject to change without notice. These views are not intended to
predict the future performance of a Fund or the securities markets. References
to specific securities and their issuers are for illustrative purposes only and
are not intended to be, and should not be interpreted as, recommendations to
purchase or sell such securities. Such views are not meant as investment advice
and may not be relied on as an indication of trading intent on behalf of any
Fund.
Prospective investors should refer to the Fund's prospectus for a discussion of
the Fund's investment objective, strategies and risks. Call JPMorgan Funds
Service Center at (800) 348-4782 for a prospectus containing more complete
information about a Fund including management fees and other expenses. Please
read it carefully before investing.
JPMorgan Funds are distributed by J.P. Morgan Fund Distributors, Inc.
<Page>
JPMORGAN TAX AWARE FUNDS
PRESIDENT'S LETTER NOVEMBER 24, 2003
[PHOTO OF GEORGE C.W. GATCH]
DEAR SHAREHOLDER:
We are pleased to present this annual report for the JPMorgan Tax Aware Funds.
Inside, you'll find information detailing the performance of the Funds for the
year ended October 31, 2003, along with a report from the Portfolio Manager.
"BAGHDAD BOUNCE" TRIGGERS A LIQUIDITY-DRIVEN RALLY
Despite the uncertainty of the first few months of 2003, global equity markets
found direction once it became clear that Coalition Forces 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 war, led to a relief rally -- the "Baghdad
Bounce."
Momentum occurred due to remarks by the U.S. Federal Reserve Board, confirming
its determination to avoid deflation and to nurture growth (leading ultimately
to a 1/4-point rate cut in late June), Congress's approval of a $350 billion
package of tax cuts by the Bush administration in an attempt to boost consumer
demand, and the easy monetary stance adopted by the Bank of England and European
Central Bank. By October, there was a clear trend of recovering global growth.
Indeed, economic data was improving across the developed world. By October 31,
the S&P 500 Index of blue-chip U.S. stocks had risen 20.8% over the previous 12
months, and the MSCI EAFE Index of international stocks was up 27.0%.
Fixed income markets suffered, with bond yields rising as fears that the United
States and Europe were headed for Japan-style deflation subsided. Earlier in
2003, there had been a significant rally in bond prices, both as the likelihood
of deflation had seemed to increase, and as some of the liquidity unleashed by
the swift end to the official war made its way to the bond markets.
[SIDENOTE]
"If economic activity continues to improve, we would expect stocks to rise
at a modest pace..."
<Page>
OUTLOOK
While risks remain to the continued improvement of the global economic picture,
we are cautiously optimistic about the profit picture in the U.S. and Asia. If
economic activity continues to improve, we would expect stocks to rise at a
modest pace, and to maintain a performance edge over bonds. While non-U.S.
equities continue to be more attractive than U.S. shares on a valuation basis,
we continue to anticipate that foreign shares will outperform. We particularly
favor shares in emerging markets, which we view as most strongly levered to the
improving global economy.
The portfolio management team and all of us here at JPMorgan Fleming Asset
Management thank you for your continued business and anticipate serving your
investment needs for many years to come. Should you have any questions, please
feel free to contact your financial advisor or the JPMorgan Funds Service Center
at 1-800-348-4782.
Sincerely yours,
/s/ George C. W. Gatch
George C. W. Gatch
President
JPMorgan Funds
2
<Page>
JPMORGAN FLEMING TAX AWARE INTERNATIONAL OPPORTUNITIES FUND
AS OF OCTOBER 31, 2003 (Unaudited)
<Table>
FUND FACTS
Fund Inception 4/30/2001
Fiscal Year End OCTOBER 31
Net Assets as of 10/31/2003
(In Millions) $140.7
Primary Benchmark MSCI EAFE
USD NET
</Table>
Q: HOW DID THE FUND PERFORM?
A: JPMorgan Fleming Tax Aware International Opportunities Fund, which seeks
long-term capital appreciation through investing in foreign equities, rose by
24.74% (Institutional Shares) during the year ended October 31, 2003. This
compares with an increase of 27.05% in the MSCI EAFE Index (in U.S. dollars).
Please note that the Fund's benchmark was changed to the MSCI EAFE Index on
February 28, 2003, from the MSCI All Country World Free (ex-U.S) Index.
Q: WHY DID THE FUND PERFORM THIS WAY?
A: The Fund achieved strong gains for the year ended October 31, 2003, although
it trailed the MSCI EAFE Index benchmark. Relative to the benchmark, the
performance of its holdings was mixed. Unforeseen difficulties in just a few
U.K. and Dutch holdings hindered performance. At the same time, stock
selection added value in a number of areas, particularly in cyclical stocks
in Japan.
The greatest disappointment was Corus, the Anglo-Dutch steel manufacturer.
The company's Dutch Supervisory Board stopped the sale of its aluminum
business, preventing it from paying down debt and focusing on its carbon
steel business. U.K. electrical retailer Dixons Group fell back sharply early
in 2003 following poor Christmas sales and the announcement of a monopolies
inquiry into its sale of extended warranties, from which it makes significant
profits.
In India, a number of low-cost manufacturers performed exceptionally well.
Reliance Industries, a conglomerate with a large bulk chemicals business, was
the portfolio's best performer. As demand for raw materials increased,
Reliance was able to lift its prices at a time when sales were also growing.
Ranbaxy Laboratories, a pharmaceutical company, was another major
contributor. Ranbaxy can manufacture pharmaceuticals for a fraction of what
it costs in developed countries, and is gaining momentum by producing generic
versions of blockbuster drugs.
In Japan, JFE Holdings, the steel and engineering company, performed well as
it achieved greater-than-expected post-merger synergies, and benefited from a
sharp increase in steel demand from China.
Another area of relative strength was the Energy sector, where being
overweight in the Russian oil stock, LUKOIL, and underweight in the major
European stocks, BP and Shell, proved to be a profitable strategy. LUKOIL
stock was trading on a considerably cheaper valuation than BP and Shell, and
appreciated more with buoyant oil prices.
Q: HOW WAS THE FUND MANAGED?
A: Expectations of increased business activity within Japan and a number of
cyclical sectors caused our analysts to raise earnings forecasts for stocks
in these areas. As a result, we lifted our exposure to several cyclical
stocks and reduced the underweight position in Japan. Examples of companies
where we increased weightings are JFE Holdings and Minebea Co., the Japanese
ball bearing manufacturer.
3
<Page>
[CHART]
PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS
<Table>
United Kingdom 24.4%
Japan 19.1%
France 9.7%
Switzerland 8.9%
The Netherlands 6.2%
Germany 4.5%
Finland 4.4%
Hong Kong 3.8%
Australia 2.7%
India 2.3%
South Korea 2.3%
Italy 2.1%
Spain 2.0%
Sweden 1.5%
Brazil 1.3%
Taiwan 1.1%
Mexico 1.0%
Other 2.7%
</Table>
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO
<Table>
1. Nokia OYJ (Finland) 3.1%
2. Vodafone Group PLC (United Kingdom) 3.0%
3. Total SA (France) 2.7%
4. HSBC Holdings PLC (United Kingdom) 2.6%
5. Royal Bank of Scotland Group PLC (United Kingdom) 2.5%
6. BNP Paribas (France) 2.4%
7. Reliance Industries LTD (India), GDR 2.3%
8. Honda Motor Co., LTD (Japan) 2.3%
9. Unilever PLC (United Kingdom) 2.2%
10. GlaxoSmithKline PLC (United Kingdom) 2.0%
</Table>
Top 10 equity holdings comprised 25.1% of the Portfolio's market value of
investments ($34,362 in thousands). As of October 31, 2003, the Fund held 98
equity holdings. Portfolio holdings are subject to change at any time.
4
<Page>
ANNUAL REPORT OCTOBER 31 2003
(Unaudited)
AVERAGE ANNUAL TOTAL RETURNS
<Table>
<Caption>
SINCE
INCEPTION
1 YEAR (4/30/01)
---------------------------------------------
CLASS A SHARES
Without Sales Charge 23.77% (4.10%)
With Sales Charge* 16.70% (6.36%)
---------------------------------------------
INSTITUTIONAL SHARES 24.74% (3.31%)
</Table>
* Sales Charge for Class A Shares is 5.75%.
[CHART]
LIFE OF FUND PERFORMANCE (4/30/01 TO 10/31/03)
<Table>
<Caption>
JPMORGAN FLEMING TAX AWARE INTERNATIONAL MSCI ALL COUNTRY WORLD
OPPORTUNITIES FUND (INSTITUTONAL SHARES) MSCI EAFE USD NET INDEX FREE (EX-U.S.) LIPPER INTERNATIONAL FUNDS INDEX
Apr-2001 $ 3,000,000 $ 3,000,000 $ 3,000,000 $ 3,000,000
May-2001 $ 2,937,900 $ 2,894,100 $ 2,917,200 $ 2,927,400
Jun-2001 $ 2,851,820 $ 2,775,731 $ 2,805,180 $ 2,844,847
Jul-2001 $ 2,719,780 $ 2,725,213 $ 2,742,905 $ 2,770,881
Aug-2001 $ 2,699,654 $ 2,656,265 $ 2,674,881 $ 2,715,187
Sep-2001 $ 2,401,612 $ 2,387,185 $ 2,391,076 $ 2,419,231
Oct-2001 $ 2,485,669 $ 2,448,297 $ 2,458,026 $ 2,484,792
Nov-2001 $ 2,603,738 $ 2,538,640 $ 2,570,358 $ 2,577,475
Dec-2001 $ 2,641,492 $ 2,553,618 $ 2,603,515 $ 2,623,354
Jan-2002 $ 2,511,002 $ 2,418,020 $ 2,492,085 $ 2,517,371
Feb-2002 $ 2,508,993 $ 2,434,947 $ 2,510,028 $ 2,552,614
Mar-2002 $ 2,647,490 $ 2,566,677 $ 2,646,322 $ 2,687,647
Apr-2002 $ 2,681,643 $ 2,583,617 $ 2,663,523 $ 2,706,461
May-2002 $ 2,727,767 $ 2,616,429 $ 2,692,556 $ 2,745,163
Jun-2002 $ 2,585,377 $ 2,512,295 $ 2,576,237 $ 2,636,729
Jul-2002 $ 2,324,513 $ 2,264,332 $ 2,325,054 $ 2,373,584
Aug-2002 $ 2,348,688 $ 2,259,124 $ 2,325,287 $ 2,375,482
Sep-2002 $ 2,077,884 $ 2,016,494 $ 2,078,806 $ 2,119,643
Oct-2002 $ 2,210,245 $ 2,124,780 $ 2,190,230 $ 2,229,652
Nov-2002 $ 2,330,483 $ 2,221,245 $ 2,295,580 $ 2,335,115
Dec-2002 $ 2,215,823 $ 2,146,611 $ 2,221,433 $ 2,260,391
Jan-2003 $ 2,102,373 $ 2,057,097 $ 2,143,461 $ 2,177,661
Feb-2003 $ 2,047,711 $ 2,009,990 $ 2,099,949 $ 2,113,202
Mar-2003 $ 1,980,751 $ 1,970,594 $ 2,059,210 $ 2,061,429
Apr-2003 $ 2,179,420 $ 2,163,712 $ 2,257,717 $ 2,265,510
May-2003 $ 2,317,377 $ 2,294,833 $ 2,401,534 $ 2,410,956
Jun-2003 $ 2,369,982 $ 2,350,368 $ 2,468,057 $ 2,467,855
Jul-2003 $ 2,434,919 $ 2,407,247 $ 2,533,707 $ 2,536,954
Aug-2003 $ 2,509,915 $ 2,465,261 $ 2,609,211 $ 2,610,272
Sep-2003 $ 2,578,938 $ 2,541,192 $ 2,682,269 $ 2,662,739
Oct-2003 $ 2,757,425 $ 2,699,508 $ 2,856,080 $ 2,821,438
</Table>
Source: Lipper Analytical Services, Inc. Past performance is no guarantee of
future results. Investment returns and principal value will fluctuate so that an
investor's shares, when redeemed, may be worth more or less than the original
cost.
The Fund commenced operations on 4/30/01.
All Shares Classes were introduced on 4/30/01.
The graph illustrates comparative performance for $3,000,000 invested in
Institutional Shares of the JPMorgan Fleming Tax Aware International
Opportunities Fund, MSCI All Country World Index Free (ex U.S.), MSCI EAFE
USD Net and Lipper International Funds Index from April 30, 2001 to October
31, 2003. The performance of the Fund assumes reinvestment of all dividends
and capital gains and does not include a sales charge. The performance of the
indices does not include a sales charge and has been adjusted to reflect
reinvestment of all dividends and capital gains of the securities included in
the benchmark. The MSCI EAFE (Europe, Australasia, Far East) Index is a
replica (or model) of the performance of the world's equity markets,
excluding the U.S. and Canada. The MSCI All Country World Index Free (ex
U.S.) is an unmanaged index that measures developed and emerging foreign
stock market performance. The Lipper International Funds Index represents the
total returns of the funds in the category, as defined by Lipper, Inc.
Investors cannot invest directly in an index.
Institutional Shares have a $3,000,000 minimum initial deposit and carry no
sales charge.
Certain fees and expenses of the Fund are currently being waived and reimbursed
as described in the prospectus. Had the expenses not been subsidized or waived,
returns would have been lower. Also all performance shown in this section does
not reflect the deduction of taxes that a shareholder would pay on fund
distributions or redemption of fund shares.
International investing involves a greater degree of risk and increased
volatility. Changes in currency exchange rates and differences in accounting and
taxation policies outside the U.S. can raise or lower returns. Also, some
overseas markets may not be as politically and economically stable as the United
States and other nations.
5
<Page>
JPMORGAN TAX AWARE DISCIPLINED EQUITY FUND
AS OF OCTOBER 31, 2003 (Unaudited)
<Table>
FUND FACTS
Fund Inception 1/30/1997
Fiscal Year End OCTOBER 31
Net Assets as of 10/31/2003
(In Millions) $180.6
Primary Benchmark S&P 500 INDEX
</Table>
Q: HOW DID THE FUND PERFORM?
A: JPMorgan Tax Aware Disciplined Equity Fund, which seeks to provide high after
tax returns from a portfolio of selected equity securities, rose 20.91%
(Institutional shares) in the year ended October 31, 2003. This compares with
an appreciation of 20.82% from the S&P 500 Index, the Fund's benchmark.
Q: WHY DID THE FUND OUTPERFORM ITS BENCHMARK?
A: Amidst a backdrop of the formal end of war activity in Iraq, substantial
government tax cuts, and steadily improving corporate and economic news, the
equity markets rallied strongly over the year ended October 31, 2003. The
positive shift in market sentiment from the extreme risk aversion that
engulfed the market last year was conducive to our long-term oriented
investment approach as investors were much more focused on companies'
forward-looking earnings prospects and fundamentals. That said, during this
period, performance was somewhat challenged as the shift in market psychology
also caused significant increases in certain stocks that our analysts already
deemed to be expensive or to have extremely speculative future earnings
prospects.
Ultimately, the Fund kept pace with the S&P 500's run up as stock selection
within the finance, capital markets and basic materials sectors contributed
notably to performance. At the stock level, an overweight position in
mortgage originator, Countrywide Financial (+110%), benefited performance as
falling mortgage rates spurred a refinancing boom, allowing the company to
generate record earnings. An overweight position in Pacific Gas and Electric
Company (+125%) also positively impacted results as the California utility's
restructuring gained momentum. Credit card company, Capital One Financial
(+100%), was a notable contributor to performance as the company's earnings
and credit quality improved and the loan portfolio grew faster than expected.
On the negative side, stock picking within software & services, systems
hardware and energy dragged on results. At the security level, Yahoo's stock
price (+193%) benefited tremendously from the strong positive swing in
investor sentiment. As such, an underweight in the name proved detrimental to
performance. Of the stocks that the Fund was overweight, the greatest
detractor was DTE Energy, which was impacted by adverse weather conditions,
regulatory price action, and an Internal Revenue Service review of tax
credits relating to synthetic fuels. An overweight in media giant, Viacom,
also negatively impacted performance as a shortfall in the local advertising
market was a drag on results.
Q: HOW WAS THE FUND MANAGED?
A: Keeping to our discipline, the Fund continued to focus on overweighting
companies within each sector of the market that were deemed to be
attractively priced relative to their future earnings prospects by our team
of equity research analysts. Style characteristics and sector weightings were
kept in line with the S&P 500 so as to minimize volatility relative to index
and to ensure that stock selection was the main driver of returns.
6
<Page>
[CHART]
PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS
<Table>
Consumer Goods & Services 23.5%
Finance & Insurance 20.1%
Technology 18.1%
Industrial Products & Services 12.5%
Pharmaceuticals 9.6%
Energy 5.7%
Health Services & Systems 3.6%
Telecommuncations 3.5%
Utilities 2.6%
REITs 0.4%
Short-Term Investments 0.4%
</Table>
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO
<Table>
1. Citigroup, Inc. 3.4%
2. Microsoft Corp. 3.2%
3. General Electric Co. 3.2%
4. Pfizer, Inc. 2.5%
5. Wal-Mart Stores, Inc. 2.2%
6. The Coca-Cola Co. 2.1%
7. Cisco Systems, Inc. 2.1%
8. Procter & Gamble Co. 2.0%
9. Intel Corp. 2.0%
10. International Business Machines Corp. 1.8%
</Table>
Top 10 equity holdings comprised 24.5% of the Portfolio's market value of
investments ($44,305 in thousands). As of October 31, 2003 the Fund held 199
equity holdings. Portfolio holdings are subject to change at any time.
7
<Page>
AVERAGE ANNUAL TOTAL RETURNS
<Table>
<Caption>
SINCE
INCEPTION
1 YEAR 3 YEARS 5 YEARS (1/30/97)
---------------------------------------------------------------------
INSTITUTIONAL SHARES 20.91% (8.50%) (0.03%) 6.05%
</Table>
[CHART]
LIFE OF FUND PERFORMANCE (1/30/97 TO 10/31/03)
<Table>
<Caption>
JPMORGAN TAX AWARE DISCIPLINED
EQUITY FUND (INSTITUTIONAL SHARES) S&P 500 INDEX LIPPER LARGE-CAP CORE FUNDS INDEX
Jan-1997 $ 3,000,000 $ 3,000,000 $ 3,000,000
Jan-1997 $ 3,009,000 $ 3,000,000 $ 3,000,000
Feb-1997 $ 3,036,081 $ 3,023,400 $ 2,996,400
Mar-1997 $ 2,900,975 $ 2,899,138 $ 2,868,154
Apr-1997 $ 3,075,034 $ 3,072,217 $ 3,027,050
May-1997 $ 3,302,894 $ 3,259,315 $ 3,210,792
Jun-1997 $ 3,458,791 $ 3,405,332 $ 3,350,140
Jul-1997 $ 3,758,668 $ 3,676,397 $ 3,614,801
Aug-1997 $ 3,569,607 $ 3,470,518 $ 3,430,808
Sep-1997 $ 3,752,728 $ 3,660,703 $ 3,607,494
Oct-1997 $ 3,623,634 $ 3,538,435 $ 3,496,384
Nov-1997 $ 3,779,450 $ 3,702,265 $ 3,610,715
Dec-1997 $ 3,844,456 $ 3,765,944 $ 3,676,430
Jan-1998 $ 3,895,972 $ 3,807,746 $ 3,712,827
Feb-1998 $ 4,179,989 $ 4,082,284 $ 3,976,066
Mar-1998 $ 4,394,422 $ 4,291,297 $ 4,172,882
Apr-1998 $ 4,463,854 $ 4,334,639 $ 4,215,028
May-1998 $ 4,421,447 $ 4,260,083 $ 4,142,951
Jun-1998 $ 4,581,946 $ 4,433,043 $ 4,339,741
Jul-1998 $ 4,539,334 $ 4,386,053 $ 4,304,589
Aug-1998 $ 3,857,526 $ 3,751,829 $ 3,660,192
Sep-1998 $ 4,120,995 $ 3,992,322 $ 3,842,104
Oct-1998 $ 4,466,334 $ 4,316,897 $ 4,130,261
Nov-1998 $ 4,794,163 $ 4,578,501 $ 4,376,012
Dec-1998 $ 5,067,430 $ 4,842,223 $ 4,666,579
Jan-1999 $ 5,235,162 $ 5,044,628 $ 4,829,909
Feb-1999 $ 5,077,060 $ 4,887,740 $ 4,680,665
Mar-1999 $ 5,281,158 $ 5,083,250 $ 4,868,828
Apr-1999 $ 5,552,082 $ 5,279,971 $ 4,999,313
May-1999 $ 5,445,482 $ 5,155,364 $ 4,866,831
Jun-1999 $ 5,753,696 $ 5,441,487 $ 5,138,400
Jul-1999 $ 5,561,522 $ 5,271,712 $ 4,987,845
Aug-1999 $ 5,494,228 $ 5,245,354 $ 4,936,969
Sep-1999 $ 5,307,974 $ 5,101,631 $ 4,803,177
Oct-1999 $ 5,570,718 $ 5,424,564 $ 5,097,612
Nov-1999 $ 5,677,676 $ 5,534,683 $ 5,222,503
Dec-1999 $ 5,949,069 $ 5,860,676 $ 5,569,800
Jan-2000 $ 5,651,021 $ 5,566,470 $ 5,344,780
Feb-2000 $ 5,528,394 $ 5,461,264 $ 5,343,176
Mar-2000 $ 6,077,916 $ 5,995,375 $ 5,807,498
Apr-2000 $ 5,844,524 $ 5,814,915 $ 5,617,593
May-2000 $ 5,734,062 $ 5,695,709 $ 5,474,345
Jun-2000 $ 5,872,253 $ 5,835,823 $ 5,674,706
Jul-2000 $ 5,780,059 $ 5,744,784 $ 5,586,180
Aug-2000 $ 6,152,873 $ 6,101,535 $ 5,971,627
Sep-2000 $ 5,838,461 $ 5,779,374 $ 5,653,936
Oct-2000 $ 5,823,281 $ 5,755,101 $ 5,588,350
Nov-2000 $ 5,372,559 $ 5,301,599 $ 5,096,576
Dec-2000 $ 5,409,630 $ 5,327,577 $ 5,158,754
Jan-2001 $ 5,647,653 $ 5,516,706 $ 5,304,746
Feb-2001 $ 5,124,681 $ 5,013,582 $ 4,810,875
Mar-2001 $ 4,799,776 $ 4,695,721 $ 4,515,487
Apr-2001 $ 5,205,357 $ 5,060,579 $ 4,858,664
May-2001 $ 5,261,054 $ 5,094,485 $ 4,885,872
Jun-2001 $ 5,140,050 $ 4,970,689 $ 4,755,908
Jul-2001 $ 5,103,042 $ 4,921,976 $ 4,686,948
Aug-2001 $ 4,792,777 $ 4,613,860 $ 4,410,886
Sep-2001 $ 4,368,137 $ 4,241,522 $ 4,076,100
Oct-2001 $ 4,452,005 $ 4,322,535 $ 4,172,296
Nov-2001 $ 4,805,494 $ 4,654,073 $ 4,445,581
Dec-2001 $ 4,842,496 $ 4,695,029 $ 4,495,816
Jan-2002 $ 4,733,540 $ 4,626,482 $ 4,424,783
Feb-2002 $ 4,636,976 $ 4,537,190 $ 4,350,446
Mar-2002 $ 4,801,589 $ 4,707,789 $ 4,498,361
Apr-2002 $ 4,492,366 $ 4,422,497 $ 4,263,097
May-2002 $ 4,451,935 $ 4,389,770 $ 4,231,976
Jun-2002 $ 4,124,273 $ 4,077,219 $ 3,939,547
Jul-2002 $ 3,801,755 $ 3,759,196 $ 3,646,839
Aug-2002 $ 3,836,351 $ 3,784,006 $ 3,676,743
Sep-2002 $ 3,409,748 $ 3,372,685 $ 3,319,731
Oct-2002 $ 3,689,348 $ 3,669,481 $ 3,577,674
Nov-2002 $ 3,906,281 $ 3,885,614 $ 3,737,596
Dec-2002 $ 3,671,514 $ 3,657,528 $ 3,540,625
Jan-2003 $ 3,573,852 $ 3,561,701 $ 3,447,860
Feb-2003 $ 3,520,244 $ 3,508,275 $ 3,402,004
Mar-2003 $ 3,557,558 $ 3,542,306 $ 3,430,581
Apr-2003 $ 3,851,769 $ 3,834,192 $ 3,683,414
May-2003 $ 4,060,534 $ 4,036,253 $ 3,862,060
Jun-2003 $ 4,104,794 $ 4,087,917 $ 3,900,294
Jul-2003 $ 4,155,694 $ 4,159,865 $ 3,961,919
Aug-2003 $ 4,231,743 $ 4,240,982 $ 4,038,384
Sep-2003 $ 4,199,582 $ 4,196,028 $ 3,986,289
Oct-2003 $ 4,461,306 $ 4,433,523 $ 4,181,219
</Table>
Source: Lipper Analytical Services, Inc. Past performance is no guarantee of
future results. Investment returns and principal value will fluctuate so that an
investor's shares, when redeemed, may be worth more or less than the original
cost.
The Fund commenced operations on 1/30/97.
The graph illustrates comparative performance for $3,000,000 invested in
Institutional Shares of the JPMorgan Tax Aware Disciplined Equity Fund, S&P 500
Index, and Lipper Large-Cap Core Funds Index from January 30, 1997 to October
31, 2003. The performance of the Fund assumes reinvestment of all dividends and
capital gains and does not include a sales charge. The performance of the
indices reflects an initial investment at the end of the month following the
Fund's inception. The performance of the indices does not include a sales charge
and has been adjusted to reflect reinvestment of all dividends and capital gains
of the securities included in the benchmark. The S&P 500 Index is a broad-based
index that replicates the U.S. stock market. The Lipper Large-Cap Core Funds
Index represents the total returns of the funds in the indicated category, as
defined by Lipper, Inc. Investors cannot invest directly in an index.
Institutional Shares have a $3,000,000 minimum initial deposit and carry no
sales charge.
Certain fees and expenses of the Fund are currently being waived and reimbursed
as described in the prospectus. Had the expenses not been subsidized or waived,
returns would have been lower. Also all performance shown in this section does
not reflect the deduction of taxes that a shareholder would pay on fund
distributions or redemption of fund shares.
8
<Page>
JPMORGAN TAX AWARE ENHANCED INCOME FUND
AS OF OCTOBER 31, 2003 (Unaudited)
<Table>
FUND FACTS
Fund Inception 4/16/99
Fiscal Year End OCTOBER 31
Net Assets as of 10/31/2003
(In Millions) $2,534.3
Primary Benchmark MERRILL LYNCH
3-MONTH U.S.
TREASURY BILL INDEX
</Table>
Q: HOW DID THE FUND PERFORM?
A: JPMorgan Tax Aware Enhanced Income Fund, which seeks to maximize after-tax
income consistent with the preservation of capital, returned 1.73%
(Institutional Shares) for the one-year period ended October 31, 2003. This
compares to the 1.24% return of the Fund's benchmark index, the Merrill Lynch
3-Month U.S. Treasury Bill Index.
Q: WHY DID THE FUND OUTPERFORM ITS BENCHMARK?
A: The Fund's allocation to municipal securities ranged from 70% to 90% during
the period. As the attractiveness of municipals fluctuated relative to their
taxable counterparts, our decision to trade across the tax-exempt and taxable
markets -- while maintaining our commitment to tax-aware investing -- was a
major contributor to performance. Our allocation to corporate issues also
added to performance as credit spreads narrowed. Although mortgage-backed
securities were a volatile part of the portfolio, they were on balance
positive. Detracting from performance was the Fund's sensitivity to changes
in interest rates as well as security selection within the state of
California.
Q: HOW WAS THE FUND MANAGED?
A: During the final months of 2002, the fixed income markets were highly
volatile as investors continued to react to the falling equity market,
contradictory economic data and increased geopolitical risk. In support of
the economy, the Federal Reserve Board lowered the Federal Funds Rate by 1/2
percent in November 2002. The possibility of war in Iraq, terrorism, SARS and
economic weakness dominated attention early in 2003. By April, however,
investors started focusing on deflation, improving corporate earnings,
passage of a tax package and a brighter economic outlook. In June, the Fed
cut the Federal Funds Rate to 1%, its lowest level since 1958. Economic
growth strengthened markedly during the third calendar quarter in response to
tax cuts, the mortgage credit boom and a reversal of the effect of the war in
Iraq. However, businesses seemed skeptical as they continued laying off
workers and delayed capital expenditures.
In 2002, municipal issuance reached a record $320 billion, as municipalities
took advantage of low interest rates to refinance outstanding debt and raise
new money. This torrid pace continued in 2003. In fact, issuance is expected
to top last year. The heavy supply was met with strong demand from investors.
The ratio between municipal and taxable securities was volatile during the
period. We took advantage of the situation by increasing our allocation to
mortgage-backed securities when municipals were expensive and reducing our
position when municipals came under pressure. We shortened our duration
position toward the end of 2002, which detracted from performance as
Treasuries closed the year with a strong rally. We maintained our short
position into January, recouping our losses as Treasury prices fell. For most
of the second calendar quarter, we carried a long duration position in the
front end of the yield curve, anticipating the Fed's June rate cut. During
the third quarter, we overweighted New York City and Massachusetts
obligations.
9
<Page>
AVERAGE ANNUAL TOTAL RETURNS
<Table>
<Caption>
SINCE
INCEPTION
1 YEAR 3YEARS (4/16/99)
--------------------------------------------------
CLASS A SHARES
Without Sales Charge 1.12% 2.68% 3.03%
With Sales Charge* (0.36%) 2.17% 2.70%
--------------------------------------------------
INSTITUTIONAL SHARES 1.73% 3.11% 3.40%
--------------------------------------------------
SELECT SHARES 1.48% 2.88% 3.17%
</Table>
* Sales Charge for Class A Shares is 1.50%.
[CHART]
LIFE OF FUND PERFORMANCE (4/16/99 TO 10/31/03)
<Table>
<Caption>
JPMORGAN TAX AWARE ENHANCED INCOME FUND LIPPER SHORT-INTERMEDIATE
(INSTITUTIONAL SHARES) MERRIL LYNCH 3-MONTH U.S. TREASURY BILL INDEX INVESTMENT GRADE FUNDS INDEX
Apr-1999 $ 3,000,000 $ 3,000,000 $ 3,000,000
Apr-1999 $ 3,003,000 $ 3,000,000 $ 3,000,000
May-1999 $ 3,011,408 $ 3,011,700 $ 2,982,300
Jun-1999 $ 3,005,386 $ 3,024,349 $ 2,983,493
Jul-1999 $ 3,015,604 $ 3,036,749 $ 2,980,211
Aug-1999 $ 3,025,857 $ 3,048,896 $ 2,983,787
Sep-1999 $ 3,036,145 $ 3,062,616 $ 3,010,641
Oct-1999 $ 3,046,771 $ 3,074,560 $ 3,016,964
Nov-1999 $ 3,056,826 $ 3,086,858 $ 3,023,299
Dec-1999 $ 3,068,136 $ 3,100,749 $ 3,018,764
Jan-2000 $ 3,063,841 $ 3,114,083 $ 3,010,614
Feb-2000 $ 3,074,564 $ 3,127,784 $ 3,032,290
Mar-2000 $ 3,101,928 $ 3,144,049 $ 3,058,065
Apr-2000 $ 3,096,344 $ 3,158,826 $ 3,054,395
May-2000 $ 3,107,801 $ 3,178,095 $ 3,060,504
Jun-2000 $ 3,134,528 $ 3,191,761 $ 3,107,329
Jul-2000 $ 3,146,752 $ 3,206,124 $ 3,127,838
Aug-2000 $ 3,159,339 $ 3,222,795 $ 3,160,680
Sep-2000 $ 3,171,977 $ 3,239,876 $ 3,189,442
Oct-2000 $ 3,185,299 $ 3,256,724 $ 3,197,735
Nov-2000 $ 3,197,722 $ 3,274,636 $ 3,234,829
Dec-2000 $ 3,226,821 $ 3,292,646 $ 3,283,675
Jan-2001 $ 3,239,406 $ 3,314,378 $ 3,331,616
Feb-2001 $ 3,250,420 $ 3,326,972 $ 3,361,268
Mar-2001 $ 3,278,373 $ 3,342,276 $ 3,384,460
Apr-2001 $ 3,273,128 $ 3,356,982 $ 3,380,399
May-2001 $ 3,300,622 $ 3,370,074 $ 3,398,653
Jun-2001 $ 3,311,184 $ 3,379,848 $ 3,411,228
Jul-2001 $ 3,321,449 $ 3,391,001 $ 3,473,312
Aug-2001 $ 3,341,045 $ 3,401,852 $ 3,501,794
Sep-2001 $ 3,353,073 $ 3,416,480 $ 3,544,165
Oct-2001 $ 3,364,809 $ 3,425,363 $ 3,589,885
Nov-2001 $ 3,365,145 $ 3,432,899 $ 3,555,422
Dec-2001 $ 3,370,866 $ 3,438,392 $ 3,540,489
Jan-2002 $ 3,387,720 $ 3,443,549 $ 3,557,130
Feb-2002 $ 3,396,867 $ 3,448,026 $ 3,583,097
Mar-2002 $ 3,396,527 $ 3,453,198 $ 3,538,666
Apr-2002 $ 3,412,831 $ 3,458,723 $ 3,582,546
May-2002 $ 3,418,974 $ 3,464,257 $ 3,610,848
Jun-2002 $ 3,421,367 $ 3,469,107 $ 3,622,042
Jul-2002 $ 3,424,446 $ 3,474,311 $ 3,646,309
Aug-2002 $ 3,426,844 $ 3,479,175 $ 3,688,242
Sep-2002 $ 3,432,327 $ 3,484,741 $ 3,737,664
Oct-2002 $ 3,431,640 $ 3,489,968 $ 3,728,320
Nov-2002 $ 3,441,249 $ 3,495,552 $ 3,728,320
Dec-2002 $ 3,447,099 $ 3,499,747 $ 3,793,193
Jan-2003 $ 3,459,853 $ 3,503,247 $ 3,795,469
Feb-2003 $ 3,465,043 $ 3,506,400 $ 3,840,255
Mar-2003 $ 3,471,280 $ 3,510,607 $ 3,844,864
Apr-2003 $ 3,477,528 $ 3,513,767 $ 3,869,855
May-2003 $ 3,483,788 $ 3,517,281 $ 3,933,321
Jun-2003 $ 3,486,226 $ 3,522,205 $ 3,931,748
Jul-2003 $ 3,474,025 $ 3,524,670 $ 3,843,283
Aug-2003 $ 3,478,888 $ 3,527,490 $ 3,852,123
Sep-2003 $ 3,493,847 $ 3,531,018 $ 3,933,403
Oct-2003 $ 3,492,029 $ 3,533,842 $ 3,903,902
</Table>
Source: Lipper Analytical Services, Inc. Past performance is no guarantee of the
future results. Investment returns and principal value will fluctuate so that an
investor's shares, when redeemed, may be worth more or less than their original
cost.
The Fund commenced operations on 4/16/99.
Returns for the Select Shares prior to 5/6/99 (offering date of the Select
Shares) are calculated using the historical expenses of the Institutional
Shares, which are lower than the expenses of the Select Shares.
Returns for the Class A Shares prior to 11/30/01 (offering date of the Class A
Shares) are calculated using the historical expenses of the Select Shares, which
are lower than the expenses of the Class A Shares.
The graph illustrates comparative performance for $3,000,000 invested in
Institutional Shares of the JPMorgan Tax Aware Enhanced Income Fund, Merrill
Lynch 3-Month U.S. Treasury Bill Index, and Lipper Short-Intermediate Investment
Grade Funds Index from April 16, 1999 to October 31, 2003. The performance of
the Fund assumes reinvestment of all dividends and capital gains and does not
include a sales charge. The performance of the indices reflects an initial
investment at the end of the month following the Fund's inception. The
performance of the indices does not include a sales charge and has been adjusted
to reflect reinvestment of all dividends and capital gains of the securities
included in the benchmark. The Merrill Lynch 3-Month U.S. Treasury Bill Index is
an unmanaged index that tracks the performance of the 3-Month U.S. Treasury
Market. The Lipper Short-Intermediate Investment Grade Funds Index represents
the total returns of the funds in the indicated category, as defined by Lipper,
Inc. Investors cannot invest directly in an index.
Institutional Shares have a $3,000,000 minimum initial deposit and carry no
sales charge.
Certain fees and expenses of the Fund are currently being waived and reimbursed
as described in the prospectus. Had the expenses not been subsidized or waived,
returns would have been lower. Also all performance shown in this section does
not reflect the deduction of taxes that a shareholder would pay on fund
distributions or redemption of fund shares.
10
<Page>
JPMORGAN TAX AWARE LARGE CAP GROWTH FUND
AS OF OCTOBER 31, 2003 (Unaudited)
<Table>
FUND FACTS
Fund Inception 1/1/97
Fiscal Year End OCTOBER 31
Net Assets as of 10/31/2003
(In Millions) $268.2
Primary Benchmark RUSSELL 1000
GROWTH INDEX
</Table>
Q: HOW DID THE FUND PERFORM?
A: JPMorgan Tax Aware Large Cap Growth Fund, which seeks to provide long-term
capital growth while minimizing capital gain distributions from a portfolio
of large cap equity securities, had a total return of 13.84% during the year
ended October 31, 2003. This compares to the 21.81% return from the Fund's
benchmark, the Russell 1000 Growth Index.
Q: WHY DID THE FUND PERFORM THIS WAY?
A: As the belief grew that a more robust economic environment was right around
the corner, investors bid-up lower-quality, lower-price companies and avoided
the higher-quality names causing the Fund to underperform against its
benchmark. Contributing significantly to performance were investments in
Goldman Sachs and Cisco Systems. In the Capital Markets sector, Goldman Sachs
performed well as its equity business began to recover and its investment
banking revenue remained strong. In the Network Technology sector, Cisco
Systems benefited during the year as it continued to push into the consumer
market and displayed early signs of a recovery in corporate technology
spending. Other significant contributors to performance were Intel, Yum!
Brands (a fast food restaurant group), and Linear Technology. Detracting from
performance was the Fund's overweight sector positions in the Software,
Consumer Staples, and Pharmaceuticals. In the Software sector, investments in
Automatic Data Processing (a transaction processing company) hurt the Fund's
performance as the company experienced slowing revenue growth due to the
decline in interest rates and lower employment levels. The company was later
eliminated from the Fund due to its diminishing growth potential. In the
Consumer Staples sector, Weight Watchers detracted from performance as
competition from low-carbohydrate diet programs pressured the company's
attendance growth. Other detractors to the Fund's performance included
American International Group, Home Depot, and General Electric.
Q: HOW WAS THE FUND MANAGED?
A: We continued to invest in large-capitalization, high-quality companies. As
the economy started to slowly recover, we began moving the portfolio away
from the more defensive companies and into companies better positioned for an
economic rebound. With companies operating on very low costs, profit gains
began to resurface as the economy improved. Consumer spending continued to be
the main support for much of the stronger profits, however, corporations
started building more confidence for stepped-up capital spending after
several quarters of positive earnings. As corporate spending increased, we
maintained our underweight position in the Consumer Cyclicals and increased
the Fund's exposure in the Technology, Capital Markets and Industrial
sectors.
11
<Page>
[CHART]
PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS
<Table>
Technology 33.3%
Consumer Goods & Services 25.6%
Pharmaceuticals 19.8%
Finance & Insurance 10.9%
Industrial Products & Services 8.3%
Health Services & Systems 1.1%
Energy 1.0%
</Table>
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO
<Table>
1. Microsoft Corp. 6.6%
2. Intel Corp. 6.4%
3. Johnson & Johnson 4.4%
4. Cisco Systems, Inc. 4.2%
5. Wal-Mart Stores, Inc. 4.1%
6. General Electric Co. 4.1%
7. Pfizer, Inc. 3.6%
8. The Coca-Cola Co. 3.3%
9. Dell, Inc. 2.8%
10. Abbott Laboratories 2.7%
</Table>
Top 10 equity holdings comprised 42.2% of the Portfolio's market value of
investments ($111,729 in thousands). As of October 31, 2003 the Fund held 48
equity holdings. Portfolio holdings are subject to change at any time.
12
<Page>
(Unaudited)
AVERAGE ANNUAL TOTAL RETURNS
<Table>
<Caption>
1 YEAR 3 YEARS 5 YEARS 10 YEARS
---------------------------------------------------------------
SELECT SHARES 13.84% (15.24%) (3.35%) 8.06%
</Table>
[CHART]
TEN-YEAR FUND PERFORMANCE (10/31/93 TO 10/31/03)
<Table>
<Caption>
JPMORGAN TAX AWARE
LARGE CAP GROWTH FUND RUSSELL 1000 GROWTH INDEX S&P 500/BARRA GROWTH INDEX LIPPER LARGE-CAP GROWTH FUNDS INDEX
Oct-1993 $ 1,000,000 $ 1,000,000 $ 1,000,000 $ 1,000,000
Nov-1993 $ 994,300 $ 993,400 $ 999,300 $ 979,800
Dec-1993 $ 1,018,561 $ 1,010,586 $ 1,006,295 $ 1,010,272
Jan-1994 $ 1,049,321 $ 1,033,930 $ 1,027,830 $ 1,047,046
Feb-1994 $ 1,029,594 $ 1,015,113 $ 1,009,432 $ 1,030,084
Mar-1994 $ 981,718 $ 966,083 $ 962,796 $ 979,712
Apr-1994 $ 983,191 $ 970,623 $ 967,129 $ 984,513
May-1994 $ 1,004,919 $ 985,280 $ 982,893 $ 990,420
Jun-1994 $ 982,208 $ 956,214 $ 961,957 $ 953,477
Jul-1994 $ 1,007,451 $ 988,917 $ 992,644 $ 980,842
Aug-1994 $ 1,042,309 $ 1,043,999 $ 1,045,651 $ 1,031,159
Sep-1994 $ 1,015,834 $ 1,029,697 $ 1,030,698 $ 1,006,618
Oct-1994 $ 1,041,535 $ 1,053,997 $ 1,054,713 $ 1,032,387
Nov-1994 $ 1,018,725 $ 1,020,269 $ 1,020,119 $ 994,292
Dec-1994 $ 1,043,684 $ 1,037,410 $ 1,037,767 $ 1,002,048
Jan-1995 $ 1,068,001 $ 1,059,507 $ 1,063,503 $ 1,009,864
Feb-1995 $ 1,116,489 $ 1,103,900 $ 1,104,980 $ 1,044,603
Mar-1995 $ 1,145,964 $ 1,136,134 $ 1,139,676 $ 1,074,270
Apr-1995 $ 1,162,810 $ 1,161,015 $ 1,169,308 $ 1,103,597
May-1995 $ 1,193,973 $ 1,201,535 $ 1,211,169 $ 1,140,126
Jun-1995 $ 1,231,344 $ 1,247,914 $ 1,257,557 $ 1,198,387
Jul-1995 $ 1,266,315 $ 1,299,827 $ 1,297,673 $ 1,263,579
Aug-1995 $ 1,282,017 $ 1,301,257 $ 1,293,391 $ 1,270,655
Sep-1995 $ 1,326,503 $ 1,361,245 $ 1,357,284 $ 1,317,796
Oct-1995 $ 1,314,166 $ 1,362,198 $ 1,368,142 $ 1,310,285
Nov-1995 $ 1,386,840 $ 1,415,187 $ 1,417,395 $ 1,351,559
Dec-1995 $ 1,390,168 $ 1,423,254 $ 1,433,412 $ 1,352,099
Jan-1996 $ 1,414,496 $ 1,470,933 $ 1,488,168 $ 1,391,851
Feb-1996 $ 1,435,572 $ 1,497,851 $ 1,501,711 $ 1,423,168
Mar-1996 $ 1,444,186 $ 1,499,798 $ 1,495,403 $ 1,423,879
Apr-1996 $ 1,459,783 $ 1,539,243 $ 1,524,564 $ 1,457,768
May-1996 $ 1,477,300 $ 1,592,962 $ 1,580,668 $ 1,500,772
Jun-1996 $ 1,481,584 $ 1,595,193 $ 1,600,426 $ 1,487,265
Jul-1996 $ 1,388,096 $ 1,501,714 $ 1,526,646 $ 1,407,696
Aug-1996 $ 1,419,884 $ 1,540,459 $ 1,549,241 $ 1,449,927
Sep-1996 $ 1,499,113 $ 1,652,604 $ 1,656,758 $ 1,550,842
Oct-1996 $ 1,512,605 $ 1,662,520 $ 1,692,710 $ 1,570,228
Nov-1996 $ 1,636,941 $ 1,787,375 $ 1,819,155 $ 1,671,821
Dec-1996 $ 1,591,107 $ 1,752,342 $ 1,777,133 $ 1,630,360
Jan-1997 $ 1,629,453 $ 1,875,181 $ 1,916,282 $ 1,733,725
Feb-1997 $ 1,611,529 $ 1,862,430 $ 1,932,379 $ 1,708,759
Mar-1997 $ 1,553,836 $ 1,761,673 $ 1,840,591 $ 1,621,271
Apr-1997 $ 1,660,118 $ 1,878,648 $ 1,989,127 $ 1,710,279
May-1997 $ 1,785,457 $ 2,014,286 $ 2,107,082 $ 1,826,407
Jun-1997 $ 1,873,123 $ 2,094,858 $ 2,213,911 $ 1,902,933
Jul-1997 $ 2,059,874 $ 2,280,043 $ 2,389,253 $ 2,084,853
Aug-1997 $ 1,950,906 $ 2,146,661 $ 2,230,367 $ 1,971,229
Sep-1997 $ 2,047,281 $ 2,252,276 $ 2,344,116 $ 2,080,041
Oct-1997 $ 1,993,847 $ 2,168,942 $ 2,273,558 $ 2,007,863
Nov-1997 $ 2,066,423 $ 2,261,122 $ 2,397,012 $ 2,052,438
Dec-1997 $ 2,113,951 $ 2,286,447 $ 2,426,496 $ 2,080,351
Jan-1998 $ 2,144,603 $ 2,354,811 $ 2,508,026 $ 2,117,173
Feb-1998 $ 2,325,608 $ 2,531,893 $ 2,682,334 $ 2,278,925
Mar-1998 $ 2,424,679 $ 2,632,916 $ 2,821,010 $ 2,384,895
Apr-1998 $ 2,497,904 $ 2,669,250 $ 2,844,707 $ 2,424,962
May-1998 $ 2,426,464 $ 2,593,443 $ 2,787,528 $ 2,370,643
Jun-1998 $ 2,572,780 $ 2,752,421 $ 2,986,279 $ 2,506,243
Jul-1998 $ 2,545,508 $ 2,734,255 $ 2,984,487 $ 2,504,990
Aug-1998 $ 2,184,301 $ 2,323,844 $ 2,596,205 $ 2,095,925
Sep-1998 $ 2,363,850 $ 2,502,315 $ 2,769,892 $ 2,248,299
Oct-1998 $ 2,574,469 $ 2,703,501 $ 3,002,286 $ 2,393,314
Nov-1998 $ 2,732,027 $ 2,909,237 $ 3,205,540 $ 2,557,735
Dec-1998 $ 2,977,636 $ 3,171,651 $ 3,449,482 $ 2,839,086
Jan-1999 $ 3,190,537 $ 3,357,826 $ 3,660,245 $ 3,023,343
Feb-1999 $ 3,080,463 $ 3,204,374 $ 3,516,764 $ 2,899,083
Mar-1999 $ 3,276,689 $ 3,373,244 $ 3,686,975 $ 3,063,751
Apr-1999 $ 3,324,201 $ 3,377,629 $ 3,679,970 $ 3,074,168
May-1999 $ 3,219,156 $ 3,273,936 $ 3,572,883 $ 2,972,413
Jun-1999 $ 3,459,305 $ 3,503,112 $ 3,828,701 $ 3,178,996
Jul-1999 $ 3,393,924 $ 3,391,713 $ 3,707,714 $ 3,079,175
Aug-1999 $ 3,446,191 $ 3,446,998 $ 3,759,251 $ 3,079,791
Sep-1999 $ 3,422,067 $ 3,374,611 $ 3,695,344 $ 3,048,685
Oct-1999 $ 3,598,988 $ 3,629,394 $ 3,951,062 $ 3,282,519
Nov-1999 $ 3,740,068 $ 3,825,018 $ 4,120,167 $ 3,444,676
Dec-1999 $ 4,089,391 $ 4,222,820 $ 4,425,060 $ 3,827,379
Jan-2000 $ 3,883,286 $ 4,024,770 $ 4,130,351 $ 3,673,901
Feb-2000 $ 4,110,069 $ 4,221,581 $ 4,217,088 $ 3,867,148
Mar-2000 $ 4,341,055 $ 4,523,846 $ 4,607,169 $ 4,138,622
Apr-2000 $ 4,117,491 $ 4,308,511 $ 4,379,114 $ 3,818,293
May-2000 $ 3,770,387 $ 4,091,362 $ 4,200,446 $ 3,598,359
Jun-2000 $ 4,120,278 $ 4,401,488 $ 4,539,422 $ 3,836,211
Jul-2000 $ 3,999,142 $ 4,217,946 $ 4,337,418 $ 3,758,336
Aug-2000 $ 4,289,880 $ 4,599,670 $ 4,588,554 $ 4,083,432
Sep-2000 $ 3,754,074 $ 4,164,541 $ 4,140,711 $ 3,771,866
Oct-2000 $ 3,566,370 $ 3,967,558 $ 4,033,053 $ 3,572,334
Nov-2000 $ 3,144,469 $ 3,382,740 $ 3,604,339 $ 3,092,927
Dec-2000 $ 3,078,749 $ 3,275,845 $ 3,448,271 $ 3,073,751
Jan-2001 $ 3,232,995 $ 3,502,206 $ 3,546,547 $ 3,163,197
Feb-2001 $ 2,790,398 $ 2,907,532 $ 3,129,828 $ 2,673,534
Mar-2001 $ 2,529,216 $ 2,591,192 $ 2,847,830 $ 2,395,754
Apr-2001 $ 2,829,181 $ 2,918,978 $ 3,102,426 $ 2,653,058
May-2001 $ 2,792,402 $ 2,876,069 $ 3,109,872 $ 2,632,895
Jun-2001 $ 2,753,029 $ 2,809,344 $ 3,067,578 $ 2,557,067
Jul-2001 $ 2,709,256 $ 2,739,111 $ 3,059,602 $ 2,465,524
Aug-2001 $ 2,510,938 $ 2,515,051 $ 2,853,997 $ 2,278,144
Sep-2001 $ 2,256,329 $ 2,264,049 $ 2,662,494 $ 2,048,963
Oct-2001 $ 2,378,848 $ 2,382,912 $ 2,760,474 $ 2,133,995
Nov-2001 $ 2,532,522 $ 2,611,910 $ 3,005,052 $ 2,329,469
Dec-2001 $ 2,538,346 $ 2,606,947 $ 3,009,559 $ 2,340,184
Jan-2002 $ 2,515,247 $ 2,560,804 $ 3,004,744 $ 2,287,296
Feb-2002 $ 2,443,311 $ 2,454,531 $ 2,916,104 $ 2,192,602
Mar-2002 $ 2,487,780 $ 2,539,458 $ 2,985,507 $ 2,280,745
Apr-2002 $ 2,261,392 $ 2,332,238 $ 2,771,745 $ 2,128,847
May-2002 $ 2,224,079 $ 2,275,798 $ 2,717,973 $ 2,090,102
Jun-2002 $ 2,017,239 $ 2,065,286 $ 2,499,992 $ 1,919,968
Jul-2002 $ 1,923,034 $ 1,951,696 $ 2,379,992 $ 1,775,394
Aug-2002 $ 1,941,303 $ 1,957,551 $ 2,394,986 $ 1,785,159
Sep-2002 $ 1,728,536 $ 1,754,553 $ 2,147,105 $ 1,612,177
Oct-2002 $ 1,907,786 $ 1,915,445 $ 2,345,712 $ 1,736,315
Nov-2002 $ 2,005,846 $ 2,019,454 $ 2,459,479 $ 1,808,198
Dec-2002 $ 1,852,198 $ 1,879,910 $ 2,299,613 $ 1,682,167
Jan-2003 $ 1,802,374 $ 1,834,228 $ 2,241,893 $ 1,643,309
Feb-2003 $ 1,798,048 $ 1,825,790 $ 2,235,167 $ 1,625,725
Mar-2003 $ 1,844,078 $ 1,859,750 $ 2,280,541 $ 1,656,289
Apr-2003 $ 1,977,589 $ 1,997,186 $ 2,433,337 $ 1,777,529
May-2003 $ 2,047,992 $ 2,096,845 $ 2,512,664 $ 1,864,628
Jun-2003 $ 2,058,232 $ 2,125,782 $ 2,558,394 $ 1,880,105
Jul-2003 $ 2,096,309 $ 2,178,714 $ 2,591,909 $ 1,934,628
Aug-2003 $ 2,113,918 $ 2,232,964 $ 2,637,009 $ 1,982,219
Sep-2003 $ 2,086,648 $ 2,209,071 $ 2,628,834 $ 1,939,998
Oct-2003 $ 2,171,069 $ 2,333,221 $ 2,746,868 $ 2,057,756
</Table>
Source: Lipper Analytical Services, Inc. Past performance is no guarantee of
future results. Investment returns and principal value will fluctuate so that an
investor's shares, when redeemed, may be worth more or less than the original
cost.
The Fund commenced operations on 1/1/97.
Returns for the Fund prior to 1/1/97 (offering date of the Shares) are
calculated using the historical expenses at the level indicated (absent
reimbursements) in the Expense Summary for the Fund as disclosed in the
Prospectus. The account was not registered with the SEC and was not subject to
investment restrictions of registered mutual funds. If the account had been
registered, performance may have been adversely affected.
The graph illustrates comparative performance for $1,000,000 invested in Select
Shares of the JPMorgan Tax Aware Large Cap Growth Fund, Russell 1000 Growth
Index, S&P 500/BARRA Growth Index, and Lipper Large-Cap Growth Funds Index from
October 31, 1993 to October 31, 2003. The performance of the Fund assumes
reinvestment of all dividends and capital gains and does not include a sales
charge. The performance of the indices does not include a sales charge and has
been adjusted to reflect reinvestment of all dividends and capital gains of the
securities included in the benchmark. The Russell 1000 Growth Index measures the
performance of those Russell 1000 companies with higher price-to-book ratios and
higher forecasted growth values. The S&P 500/BARRA Growth Index contains large
U.S. companies with high price-to-book ratios relative to the S&P 500 Index. The
Lipper Large-Cap Growth Funds Index represents the total returns of the funds in
the indicated category, as defined by Lipper, Inc. Investors cannot invest
directly in an index.
Select Shares have a $1,000,000 minimum initial deposit and carry no sales
charge.
Certain fees and expenses of the Fund are currently being waived and reimbursed
as described in the prospectus. Had the expenses not been subsidized or waived,
returns would have been lower. Also, all performance shown in this section does
not reflect the deduction of taxes that a shareholder would pay on fund
distributions or redemption of fund shares.
13
<Page>
JPMORGAN TAX AWARE LARGE CAP VALUE FUND
AS OF OCTOBER 31, 2003 (Unaudited)
<Table>
FUND FACTS
Fund Inception 01/01/97
Fiscal Year End OCTOBER 31
Net Assets as of 10/31/2003
(In Millions) $348.7
Primary Benchmark RUSSELL 1000 VALUE
INDEX
</Table>
Q: HOW DID THE FUND PERFORM?
A: JPMorgan Tax Aware Large Cap Value Fund, which seeks to provide income and
capital appreciation while minimizing capital gain distributions through a
portfolio of large cap equity securities, had a return of 18.34% during the
year ended October 31, 2003. This compares to the 22.88% return from the
Fund's benchmark, the Russell 1000 Value Index.
Q: WHY DID THE FUND PERFORM THIS WAY?
A: As the equity markets started to recover, investors chased the low-quality,
economically sensitive companies and avoided the higher quality, less
volatile names causing the Fund to underperform the Index. Detracting from
performance this year were the Fund's positions in the Energy and Health
Services sectors, while our stock selection in the Media and Pharmaceuticals
sectors helped performance. In the Energy sector, GlobalSantaFe hurt the
Fund's performance as the company faced continued concerns about their North
Sea exposure and weakness in their deep-water drilling business. In the
Health Services sector, our position in Tenet Healthcare (hospital owner)
hurt performance as the company faced controversies over taking advantage of
Medicare outlier payments and having doctors suspected of performing
unnecessary cardiac surgeries. Tenet was eliminated from the Fund immediately
following the news. Other detractors to the Fund's performance included Bank
of America, Raytheon (defense contractor), and DTE Energy. Contributing
significantly to the Fund's performance were positions in CVS and Praxair
(industrial gas producer). In the Retail sector, CVS performed well after the
company made improvements to bring back customers and sales of generic
prescription drugs boosted earnings. In the Basic Materials sector, Praxair
benefited during the year as the company focused on improving capital
discipline and saw stronger earnings come from Europe and Asia. Other
significant contributors to performance were Alcoa, Goldman Sachs, and Tyco.
Q: HOW WAS THE FUND MANAGED?
A: We continued to invest in "high quality" companies that are leveraged to an
upturn in the economy. As the economy started to slowly recover we began
moving the portfolio away from the more defensive companies and into
companies better positioned for an economic rebound. With companies operating
on very low costs, profit gains began to resurface as the economy improved.
Consumer spending still continued to be the main support for many of the
profits; however, corporations started building more confidence for
stepped-up capital spending after several quarters of positive earnings. As
we continued to focus on investing in high-quality companies, we remained
underweight in the Utilities and Network Technology sectors, while keeping a
diversified overweight in the Basic Materials and Retail sectors.
14
<Page>
(Unaudited)
[CHART]
PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS
<Table>
Finance & Insurance 34.9%
Consumer Goods & Services 25.2%
Energy 11.7%
Industrial Products & Services 11.6%
Technology 5.0%
Telecommunications 4.7%
Utilities 3.1%
Pharmaceuticals 2.8%
REITs 1.0%
</Table>
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO
<Table>
1. Citigroup, Inc. 5.8%
2. Exxon Mobil Corp. 4.5%
3. AMBAC Financial Group, Inc. 3.0%
4. Goldman Sachs Group, Inc. 2.9%
5. Verizon Communications, Inc. 2.9%
6. The Allstate Corp. 2.6%
7. Praxair, Inc. 2.4%
8. CVS Corp. 2.4%
9. Bank One Corp. 2.4%
10. CIT Group, Inc. 2.4%
</Table>
Top 10 equity holdings comprised 31.3% of the Portfolio's market value of
investments ($108,654 in thousands). As of October 31, 2003 the Fund held 55
equity holdings. Portfolio holdings are subject to change at any time.
15
<Page>
AVERAGE ANNUAL TOTAL RETURNS
<Table>
<Caption>
1 YEAR 3 YEARS 5 YEARS 10 YEARS
------------------------------------------------------------
SELECT SHARES 18.34% (6.48%) (1.21%) 6.84%
</Table>
[CHART]
TEN-YEAR FUND PERFORMANCE (10/31/93 TO 10/31/03)
<Table>
<Caption>
JPMORGAN TAX AWARE LARGE CAP RUSSELL 1000 VALUE INDEX S&P 500 INDEX LIPPER EQUITY INCOME FUNDS INDEX
VALUE FUND (SELECT SHARES)
Oct-1993 $ 1,000,000 $ 1,000,000 $ 1,000,000 $ 1,000,000
Nov-1993 $ 970,800 $ 979,400 $ 990,500 $ 982,400
Dec-1993 $ 987,498 $ 998,009 $ 1,002,485 $ 1,000,083
Jan-1994 $ 1,016,036 $ 1,035,733 $ 1,036,570 $ 1,031,286
Feb-1994 $ 995,208 $ 1,000,311 $ 1,008,479 $ 1,005,710
Mar-1994 $ 948,134 $ 963,100 $ 964,509 $ 965,482
Apr-1994 $ 956,288 $ 981,591 $ 976,855 $ 978,129
May-1994 $ 966,425 $ 992,879 $ 992,875 $ 989,280
Jun-1994 $ 945,357 $ 969,050 $ 968,550 $ 974,738
Jul-1994 $ 969,653 $ 999,188 $ 1,000,318 $ 1,002,225
Aug-1994 $ 1,003,397 $ 1,027,865 $ 1,041,331 $ 1,035,599
Sep-1994 $ 979,215 $ 966,015 $ 975,810 $ 983,283
Oct-1994 $ 987,636 $ 1,042,152 $ 1,064,761 $ 1,041,192
Nov-1994 $ 944,772 $ 1,000,049 $ 1,026,004 $ 1,002,251
Dec-1994 $ 952,142 $ 1,011,549 $ 1,041,188 $ 1,009,968
Jan-1995 $ 955,379 $ 1,042,705 $ 1,068,155 $ 1,028,047
Feb-1995 $ 1,003,052 $ 1,083,892 $ 1,109,813 $ 1,061,150
Mar-1995 $ 1,034,649 $ 1,107,629 $ 1,142,553 $ 1,086,193
Apr-1995 $ 1,061,446 $ 1,142,630 $ 1,176,258 $ 1,112,262
May-1995 $ 1,103,055 $ 1,190,735 $ 1,223,308 $ 1,146,408
Jun-1995 $ 1,136,367 $ 1,206,810 $ 1,251,689 $ 1,161,655
Jul-1995 $ 1,188,640 $ 1,248,807 $ 1,293,245 $ 1,193,485
Aug-1995 $ 1,197,317 $ 1,266,415 $ 1,296,478 $ 1,208,164
Sep-1995 $ 1,216,354 $ 1,312,259 $ 1,351,190 $ 1,245,738
Oct-1995 $ 1,193,487 $ 1,299,268 $ 1,346,326 $ 1,228,049
Nov-1995 $ 1,246,836 $ 1,365,141 $ 1,405,429 $ 1,279,750
Dec-1995 $ 1,262,421 $ 1,399,406 $ 1,432,554 $ 1,311,360
Jan-1996 $ 1,305,470 $ 1,443,067 $ 1,481,261 $ 1,341,390
Feb-1996 $ 1,323,746 $ 1,454,035 $ 1,495,037 $ 1,351,182
Mar-1996 $ 1,349,294 $ 1,478,753 $ 1,509,389 $ 1,368,207
Apr-1996 $ 1,354,557 $ 1,484,373 $ 1,531,577 $ 1,380,794
May-1996 $ 1,372,166 $ 1,502,927 $ 1,571,092 $ 1,401,230
Jun-1996 $ 1,379,713 $ 1,504,130 $ 1,577,062 $ 1,403,332
Jul-1996 $ 1,336,114 $ 1,447,274 $ 1,507,356 $ 1,357,443
Aug-1996 $ 1,369,918 $ 1,488,666 $ 1,539,161 $ 1,388,121
Sep-1996 $ 1,423,207 $ 1,547,914 $ 1,625,816 $ 1,439,204
Oct-1996 $ 1,464,053 $ 1,607,819 $ 1,670,688 $ 1,473,169
Nov-1996 $ 1,555,850 $ 1,724,386 $ 1,796,992 $ 1,557,287
Dec-1996 $ 1,546,359 $ 1,702,313 $ 1,761,412 $ 1,547,320
Jan-1997 $ 1,630,017 $ 1,784,876 $ 1,871,500 $ 1,603,952
Feb-1997 $ 1,649,251 $ 1,811,113 $ 1,886,098 $ 1,626,087
Mar-1997 $ 1,594,331 $ 1,745,913 $ 1,808,579 $ 1,573,402
Apr-1997 $ 1,647,103 $ 1,819,242 $ 1,916,551 $ 1,620,289
May-1997 $ 1,737,035 $ 1,920,937 $ 2,033,269 $ 1,713,618
Jun-1997 $ 1,813,639 $ 2,003,345 $ 2,124,360 $ 1,778,393
Jul-1997 $ 1,909,580 $ 2,153,997 $ 2,293,459 $ 1,885,452
Aug-1997 $ 1,843,509 $ 2,077,315 $ 2,165,025 $ 1,825,117
Sep-1997 $ 1,955,594 $ 2,202,785 $ 2,283,668 $ 1,917,651
Oct-1997 $ 1,913,940 $ 2,141,327 $ 2,207,394 $ 1,861,464
Nov-1997 $ 1,978,248 $ 2,235,973 $ 2,309,596 $ 1,923,264
Dec-1997 $ 2,029,880 $ 2,301,264 $ 2,349,321 $ 1,967,692
Jan-1998 $ 2,022,370 $ 2,268,586 $ 2,375,399 $ 1,966,904
Feb-1998 $ 2,088,704 $ 2,421,262 $ 2,546,665 $ 2,073,117
Mar-1998 $ 2,198,778 $ 2,569,443 $ 2,677,054 $ 2,167,030
Apr-1998 $ 2,175,911 $ 2,586,658 $ 2,704,092 $ 2,165,946
May-1998 $ 2,155,022 $ 2,548,376 $ 2,657,582 $ 2,139,305
Jun-1998 $ 2,162,134 $ 2,580,995 $ 2,765,480 $ 2,156,633
Jul-1998 $ 2,092,945 $ 2,535,569 $ 2,736,166 $ 2,100,992
Aug-1998 $ 1,817,095 $ 2,158,277 $ 2,340,516 $ 1,847,612
Sep-1998 $ 1,943,383 $ 2,282,162 $ 2,490,543 $ 1,942,580
Oct-1998 $ 2,059,598 $ 2,459,029 $ 2,693,024 $ 2,057,386
Nov-1998 $ 2,136,833 $ 2,573,620 $ 2,856,222 $ 2,144,414
Dec-1998 $ 2,270,812 $ 2,661,123 $ 3,020,740 $ 2,199,311
Jan-1999 $ 2,287,616 $ 2,682,412 $ 3,147,007 $ 2,196,452
Feb-1999 $ 2,220,589 $ 2,644,590 $ 3,049,135 $ 2,155,817
Mar-1999 $ 2,239,020 $ 2,699,333 $ 3,171,100 $ 2,201,305
Apr-1999 $ 2,372,465 $ 2,951,451 $ 3,293,822 $ 2,357,598
May-1999 $ 2,324,067 $ 2,918,985 $ 3,216,088 $ 2,324,591
Jun-1999 $ 2,400,296 $ 3,003,635 $ 3,394,581 $ 2,397,816
Jul-1999 $ 2,329,008 $ 2,915,629 $ 3,288,670 $ 2,337,151
Aug-1999 $ 2,246,561 $ 2,807,459 $ 3,272,226 $ 2,282,695
Sep-1999 $ 2,190,846 $ 2,709,198 $ 3,182,567 $ 2,201,888
Oct-1999 $ 2,227,871 $ 2,865,248 $ 3,384,024 $ 2,276,092
Nov-1999 $ 2,254,606 $ 2,842,899 $ 3,452,720 $ 2,263,346
Dec-1999 $ 2,328,782 $ 2,856,545 $ 3,656,085 $ 2,291,411
Jan-2000 $ 2,268,933 $ 2,763,421 $ 3,472,549 $ 2,204,567
Feb-2000 $ 2,210,621 $ 2,558,099 $ 3,406,918 $ 2,080,449
Mar-2000 $ 2,414,882 $ 2,870,187 $ 3,740,115 $ 2,272,891
Apr-2000 $ 2,385,421 $ 2,836,893 $ 3,627,537 $ 2,255,617
May-2000 $ 2,343,915 $ 2,866,681 $ 3,553,173 $ 2,289,677
Jun-2000 $ 2,390,090 $ 2,735,673 $ 3,640,581 $ 2,240,449
Jul-2000 $ 2,353,521 $ 2,769,869 $ 3,583,788 $ 2,253,443
Aug-2000 $ 2,480,847 $ 2,923,874 $ 3,806,341 $ 2,385,495
Sep-2000 $ 2,360,526 $ 2,950,774 $ 3,605,366 $ 2,380,247
Oct-2000 $ 2,369,024 $ 3,023,363 $ 3,590,224 $ 2,430,232
Nov-2000 $ 2,244,413 $ 2,911,196 $ 3,307,314 $ 2,344,688
Dec-2000 $ 2,274,937 $ 3,057,047 $ 3,323,520 $ 2,462,157
Jan-2001 $ 2,272,435 $ 3,068,969 $ 3,441,505 $ 2,482,593
Feb-2001 $ 2,114,955 $ 2,983,652 $ 3,127,640 $ 2,399,674
Mar-2001 $ 1,999,055 $ 2,878,329 $ 2,929,347 $ 2,311,846
Apr-2001 $ 2,145,186 $ 3,019,367 $ 3,156,958 $ 2,431,831
May-2001 $ 2,150,764 $ 3,087,303 $ 3,178,109 $ 2,474,145
Jun-2001 $ 2,073,336 $ 3,018,765 $ 3,100,881 $ 2,412,786
Jul-2001 $ 2,080,178 $ 3,012,425 $ 3,070,492 $ 2,410,132
Aug-2001 $ 1,954,536 $ 2,891,627 $ 2,878,280 $ 2,330,598
Sep-2001 $ 1,835,309 $ 2,688,057 $ 2,646,002 $ 2,170,020
Oct-2001 $ 1,861,187 $ 2,664,939 $ 2,696,541 $ 2,181,087
Nov-2001 $ 1,979,372 $ 2,819,772 $ 2,903,366 $ 2,293,631
Dec-2001 $ 1,995,207 $ 2,886,319 $ 2,928,915 $ 2,333,999
Jan-2002 $ 1,969,868 $ 2,864,094 $ 2,886,153 $ 2,311,125
Feb-2002 $ 1,968,489 $ 2,868,677 $ 2,830,451 $ 2,314,592
Mar-2002 $ 2,048,016 $ 3,004,365 $ 2,936,875 $ 2,402,315
Apr-2002 $ 1,943,567 $ 2,901,315 $ 2,758,901 $ 2,320,396
May-2002 $ 1,959,893 $ 2,915,822 $ 2,738,485 $ 2,322,485
Jun-2002 $ 1,832,892 $ 2,748,454 $ 2,543,505 $ 2,176,865
Jul-2002 $ 1,694,509 $ 2,492,848 $ 2,345,111 $ 2,002,063
Aug-2002 $ 1,720,265 $ 2,511,793 $ 2,360,589 $ 2,016,878
Sep-2002 $ 1,528,972 $ 2,232,482 $ 2,103,993 $ 1,806,921
Oct-2002 $ 1,637,682 $ 2,397,909 $ 2,289,145 $ 1,916,420
Nov-2002 $ 1,715,799 $ 2,548,977 $ 2,423,975 $ 2,026,423
Dec-2002 $ 1,656,432 $ 2,438,351 $ 2,281,688 $ 1,950,635
Jan-2003 $ 1,593,985 $ 2,379,343 $ 2,221,908 $ 1,896,407
Feb-2003 $ 1,548,875 $ 2,315,815 $ 2,188,579 $ 1,849,566
Mar-2003 $ 1,548,101 $ 2,319,752 $ 2,209,808 $ 1,852,155
Apr-2003 $ 1,670,401 $ 2,523,890 $ 2,391,896 $ 1,994,030
May-2003 $ 1,770,959 $ 2,686,933 $ 2,517,949 $ 2,113,672
Jun-2003 $ 1,797,346 $ 2,720,520 $ 2,550,179 $ 2,135,865
Jul-2003 $ 1,819,274 $ 2,761,056 $ 2,595,062 $ 2,159,787
Aug-2003 $ 1,845,107 $ 2,804,128 $ 2,645,666 $ 2,191,968
Sep-2003 $ 1,817,984 $ 2,776,648 $ 2,617,622 $ 2,177,282
Oct-2003 $ 1,938,396 $ 2,946,578 $ 2,765,779 $ 2,285,710
</Table>
Source: Lipper Analytical Services, Inc. Past performance is no guarantee of
future results. Investment returns and principal value will fluctuate so that an
investor's shares, when redeemed, may be worth more or less than the original
cost.
The Fund commenced operations on 1/1/97.
Returns for the Fund prior to 1/1/97 (offering date of the Shares) are
calculated using the historical expenses at the level indicated (absent
reimbursements) in the Expense Summary for the Fund as disclosed in the
Prospectus. The account was not registered with the SEC and was not subject to
investment restrictions of registered mutual funds. If the account had been
registered, performance may have been adversely affected.
The graph illustrates comparative performance for $1,000,000 invested in Select
Shares of the JPMorgan Tax Aware Large Cap Value Fund, Russell 1000 Value Index,
S&P 500 Index, and Lipper Equity Income Funds Index from October 31, 1993, to
October 31, 2003. The performance of the Fund assumes reinvestment of all
dividends and capital gains and does not include a sales charge. The performance
of the indices does not include a sales charge and has been adjusted to reflect
reinvestment of all dividends and capital gains of the securities included in
the benchmark. The Russell 1000 Value Index measures the performance of the
Russell 1000 companies with lower price-to-book ratios and lower forecasted
growth values. The S&P 500 Index is an unmanaged broad-based index that
replicates the U.S. stock markets. The Lipper Equity Income Funds Index
represents the total returns of the funds in the indicated category, as defined
by Lipper, Inc. Investors cannot invest directly in an index.
Select Shares have a $1,000,000 minimum initial deposit and carry no sales
charge.
Certain fees and expenses of the Fund are currently being waived and reimbursed
as described in the prospectus. Had the expenses not been subsidized or waived,
returns would have been lower. Also, all performance shown in this section does
not reflect the deduction of taxes that a shareholder would pay on fund
distributions or redemption of fund shares.
16
<Page>
JPMORGAN TAX AWARE SHORT-INTERMEDIATE INCOME FUND
AS OF OCTOBER 31, 2003 (Unaudited)
<Table>
FUND FACTS
Fund Inception 12/20/02
Fiscal Year End OCTOBER 31
Net Assets as of 10/31/2003
(In Millions) $537.3
Primary Benchmark LEHMAN 1-5 YEAR
MUNICIPAL BOND
INDEX
</Table>
Q: HOW DID THE FUND PERFORM?
A: JPMorgan Tax Aware Short-Intermediate Income Fund, which seeks to maximize
after-tax income from a portfolio of tax-exempt and taxable securities,
returned 2.41% (Institutional Shares) for the ten-month period ended October
31, 2003. The Fund was established in December 2002. This compares to the
2.27% return from the Fund's benchmark index, the Lehman 1-5 Year Municipal
Bond Index, during the same period.
Q: WHY DID THE FUND OUTPERFORM ITS BENCHMARK?
A: Because of a lack of attractively priced municipal securities, we invested in
Treasury obligations during the initial funding period. This was a drag on
performance when Treasuries underperformed municipals in early 2003. For the
most part, however, the Fund's allocation to municipal securities ranged from
70% to 90%. As the attractiveness of municipals fluctuated relative to their
taxable counterparts, our decision to trade across the tax-exempt and taxable
markets--while maintaining our commitment to tax-aware investing--was a major
contributor to performance. Our allocation to corporate issues also added to
performance as credit spreads narrowed. Although mortgage-backed securities
were a volatile part of the portfolio, they were on balance positive.
Detracting from performance was the Fund's sensitivity to changes in interest
rates.
Q: HOW WAS THE FUND MANAGED?
A: The possibility of war in Iraq, terrorism, SARS and economic weakness
dominated the attention of the fixed income markets early in 2003. By April,
however, investors started focusing on deflation, improving corporate
earnings, passage of a tax package and a brighter economic outlook. In June,
the Fed cut the Federal Funds Rate to 1%, its lowest level since 1958.
Economic growth strengthened markedly during the third calendar quarter in
response to tax cuts, the mortgage credit boom and a reversal of the effect
of the war in Iraq. However, businesses seemed skeptical as they continued
laying off workers and delayed capital expenditures.
In 2002, municipal issuance reached a record $320 billion, as municipalities
took advantage of low interest rates to refinance outstanding debt and raise
new money. This torrid pace continued in 2003. In fact, issuance is expected
to top last year. The heavy supply was met with strong demand from investors.
The ratio between municipal and taxable securities was volatile during the
period. We took advantage of the situation by increasing our allocation to
mortgage-backed securities when municipals were expensive and reducing our
position when municipals came under pressure. We selectively added
high-quality California city and local municipality issues in response to
improved investor sentiment about the state's budget shortfalls. For most of
the second quarter, we carried a long duration position in the front end of
the yield curve, anticipating the Fed's June rate cut. During the third
quarter, we overweighted New York City and Massachusetts obligations.
17
<Page>
AVERAGE ANNUAL TOTAL RETURNS
<Table>
<Caption>
SINCE
INCEPTION
(12/20/02)
------------
INSTITUTIONAL SHARES 2.41%
------------
SELECT SHARES 2.28%
</Table>
[CHART]
LIFE OF FUND PERFORMANCE (12/20/02 TO 10/31/03)
<Table>
<Caption>
JPMORGAN TAX AWARE SHORT-INTERMEDIATE LEHMAN 1-5 YEAR MUNICIPAL BOND INDEX LIPPER SHORT INTERMEDIATE MUNICIPAL
INCOME FUND (INSTITUTIONAL SHARES) DEBT FUNDS INDEX
Dec-2002 $ 3,000,000 $ 3,000,000 $ 3,000,000
Dec-2002 $ 3,016,200 $ 3,000,000 $ 3,000,000
Jan-2003 $ 3,011,374 $ 2,994,900 $ 3,000,300
Feb-2003 $ 3,028,539 $ 3,034,433 $ 3,026,703
Mar-2003 $ 3,031,265 $ 3,035,646 $ 3,019,741
Apr-2003 $ 3,045,815 $ 3,053,557 $ 3,033,028
May-2003 $ 3,079,014 $ 3,116,765 $ 3,077,310
Jun-2003 $ 3,072,856 $ 3,115,519 $ 3,072,694
Jul-2003 $ 3,021,232 $ 3,025,169 $ 3,020,151
Aug-2003 $ 3,036,338 $ 3,046,950 $ 3,031,326
Sep-2003 $ 3,087,652 $ 3,129,827 $ 3,089,224
Oct-2003 $ 3,072,435 $ 3,110,422 $ 3,080,883
</Table>
Source: Lipper Analytical Services, Inc. Past performance is no guarantee of
future results. Investment returns and principal value will fluctuate so that an
investor's shares, when redeemed, may be worth more or less than their original
cost.
The Fund commenced operations on 12/20/02.
The graph illustrates comparative performance for $3,000,000 invested in
Institutional Shares of the JPMorgan Tax Aware Short-Intermediate Fund, Lehman
1-5 Year Municipal Bond Index, and Lipper Short-Intermediate Municipal Debt
Funds Index from December 20, 2002 to October 31, 2003.
The performance of the Fund assumes reinvestment of all dividends and capital
gains and does not include a sales charge. The performance of the indices
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 unmanaged Lehman 1-5 Year
Municipal Bond Index represents the performance of municipal bonds with
maturities from 1 to 5 years. The Lipper Short-Intermediate Municipal Debt 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
distribution or redemption of fund shares.
18
<Page>
JPMORGAN TAX AWARE U.S. EQUITY FUND
AS OF OCTOBER 31, 2003 (Unaudited)
<Table>
FUND FACTS
Fund Inception 12/18/96
Fiscal Year End OCTOBER 31
Net Assets as of 10/31/2003
(In Millions) $742.9
Primary Benchmark S&P 500 INDEX
</Table>
Q: HOW DID THE FUND PERFORM?
A: JPMorgan Tax Aware U.S. Equity Fund, which seeks to provide high after-tax
return from a portfolio of selected equity securities, rose 16.64% (Select
Shares) in the year ended October 31, 2003. This compares to an increase of
20.82% by the S&P 500 Index, the Fund's benchmark.
Q: WHY DID THE FUND PERFORM THIS WAY?
A: While the Fund participated in the most substantial rally in U.S. equities of
the past three years, it trailed its benchmark over the 12 months. Our
tax-efficient style of investing for the long term was not particularly
suited to this period, because the market was led by stocks that we judged to
have either excessively expensive valuations, or poor fundamentals. We do not
believe that stocks with these characteristics are likely to outperform over
longer periods of time.
Four of the biggest contributors to Fund performance during the annual period
were Johnson Controls, Inc. (automotive and building control systems),
Guidant Corp. (medical devices), US Bancorp (regional bank), and Capital One
Financial (credit card company). The Fund was overweight in each of these
stocks. Johnson Controls, the best performer, benefited from strong sales and
earnings growth. Guidant experienced strong sales growth, led by demand for
implantable defibrillators. US Bancorp performed well, as it kept costs low
and met revenue targets. Meanwhile, Capital One Financial convinced observers
that both earnings quality and credit quality were improving.
The Fund suffered from being underweight in some of the stocks that benefited
most from improving investor sentiment, including Texas Instruments
(technology), Merrill Lynch & Co. (financial services), and EMC Corp.
(technology). Of the stocks in which the Fund was overweight, the greatest
detractor was DTE Energy, which was impacted by adverse weather conditions,
regulatory price action, and an Internal Revenue Service review of tax
credits relating to synthetic fuels.
Q: HOW WAS THE FUND MANAGED?
A: It is important to remember that this Fund focuses on after-tax returns,
rather than pre-tax performance. The Fund had accumulated realized and
unrealized losses in its portfolio during this annual period, which created
additional trading flexibility. We continued to look to buy companies that we
believed would perform well over longer periods of time so that the Fund
could hold the stocks and benefit from lower long-term capital gains
treatment.
We added to our holdings in cyclical stocks, anticipating that their earnings
growth will accelerate in the next few years. For example, we increased our
holding in United Technologies during the summer. Another recovery play was
tech company Sunguard Data Systems, which we bought during the year,
anticipating that companies would increase their investment in backup
recovery systems.
19
<Page>
[CHART]
PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS
<Table>
Consumer Goods & Services 23.8%
Finance & Insurance 20.9%
Technology 16.2%
Industrial Products & Services 13.5%
Pharmaceuticals 10.4%
Energy 6.8%
Telecommunications 2.4%
Short-Term Investments 2.4%
Utilities 2.1%
Health Services and Systems 1.5%
</Table>
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO
<Table>
1. Citigroup, Inc. 3.9%
2. Microsoft Corp. 3.4%
3. General Electric Co. 3.3%
4. Pfizer, Inc. 3.1%
5. Exxon Mobil Corp. 2.9%
6. Wal-Mart Stores, Inc. 2.8%
7. Cisco Systems, Inc. 2.5%
8. Proctor & Gamble Co. 2.5%
9. Intel Corp. 2.4%
10. International Business Machines Corp. 2.3%
</Table>
Top 10 equity holdings comprised 29.1% of the Portfolio's market value of
investments ($214,563 in thousands). As of October 31, 2003 the Fund held 76
equity holdings. Portfolio holdings are subject to change at any time.
20
<Page>
(Unaudited)
AVERAGE ANNUAL TOTAL RETURNS
<Table>
<Caption>
SINCE
INCEPTION
1 YEAR 3 YEARS 5 YEARS (12/18/96)
--------------------------------------------------------------------------
CLASS A SHARES
Without Sales Charge 16.37% (9.60%) 0.15% 6.53%
With Sales Charge* 9.71% (11.37%) (1.03%) 5.62%
--------------------------------------------------------------------------
CLASS B SHARES
Without CDSC 15.82% (10.15%) (0.21%) 6.25%
With CDSC** 10.82% (11.04%) (0.60%) 6.25%
--------------------------------------------------------------------------
CLASS C SHARES
Without CDSC 15.80% (10.17%) (0.23%) 6.24%
With CDSC*** 14.80% (10.17%) (0.23%) 6.24%
--------------------------------------------------------------------------
INSTITUTIONAL SHARES 16.89% (9.35%) 0.23% 6.59%
--------------------------------------------------------------------------
SELECT SHARES 16.64% (9.52%) 0.21% 6.58%
</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 peri0d, 2% CDSC for the five year period and 0%
CDSC for the period since inception.
*** Assumes a 1% CDSC for the one year period and 0% CDSC thereafter.
[CHART]
LIFE OF FUND PERFORMANCE (12/18/96 TO 10/31/03)
<Table>
<Caption>
JPMORGAN TAX AWARE
U.S. EQUITY FUND (SELECT SHARES) S&P 500 INDEX LIPPER LARGE-CAP CORE FUNDS INDEX
Dec-96 $ 1,000,000 $ 1,000,000 $ 1,000,000
Dec-96 $ 1,011,100 $ 1,000,000 $ 1,000,000
Jan-97 $ 1,082,180 $ 1,062,500 $ 1,054,700
Feb-97 $ 1,085,210 $ 1,070,788 $ 1,053,434
Mar-97 $ 1,042,128 $ 1,026,778 $ 1,008,347
Apr-97 $ 1,090,170 $ 1,088,077 $ 1,064,210
May-97 $ 1,157,215 $ 1,154,341 $ 1,128,807
Jun-97 $ 1,202,231 $ 1,206,055 $ 1,177,798
Jul-97 $ 1,321,372 $ 1,302,057 $ 1,270,844
Aug-97 $ 1,257,285 $ 1,229,142 $ 1,206,158
Sep-97 $ 1,311,349 $ 1,296,499 $ 1,268,275
Oct-97 $ 1,258,239 $ 1,253,196 $ 1,229,212
Nov-97 $ 1,304,290 $ 1,311,219 $ 1,269,407
Dec-97 $ 1,317,464 $ 1,333,772 $ 1,292,510
Jan-98 $ 1,338,543 $ 1,348,577 $ 1,305,306
Feb-98 $ 1,427,021 $ 1,445,809 $ 1,397,852
Mar-98 $ 1,495,375 $ 1,519,834 $ 1,467,046
Apr-98 $ 1,527,526 $ 1,535,185 $ 1,481,863
May-98 $ 1,505,377 $ 1,508,780 $ 1,456,523
Jun-98 $ 1,558,667 $ 1,570,036 $ 1,525,708
Jul-98 $ 1,544,483 $ 1,553,394 $ 1,513,350
Aug-98 $ 1,326,865 $ 1,328,773 $ 1,286,802
Sep-98 $ 1,420,542 $ 1,413,947 $ 1,350,756
Oct-98 $ 1,532,339 $ 1,528,901 $ 1,452,062
Nov-98 $ 1,641,288 $ 1,621,553 $ 1,538,460
Dec-98 $ 1,727,784 $ 1,714,954 $ 1,640,614
Jan-99 $ 1,783,419 $ 1,786,639 $ 1,698,035
Feb-99 $ 1,720,821 $ 1,731,075 $ 1,645,566
Mar-99 $ 1,801,699 $ 1,800,318 $ 1,711,718
Apr-99 $ 1,889,622 $ 1,869,990 $ 1,757,592
May-99 $ 1,842,004 $ 1,825,858 $ 1,711,015
Jun-99 $ 1,949,208 $ 1,927,193 $ 1,806,490
Jul-99 $ 1,884,495 $ 1,867,065 $ 1,753,560
Aug-99 $ 1,858,112 $ 1,857,730 $ 1,735,674
Sep-99 $ 1,801,439 $ 1,806,828 $ 1,688,637
Oct-99 $ 1,900,699 $ 1,921,200 $ 1,792,150
Nov-99 $ 1,952,398 $ 1,960,200 $ 1,836,058
Dec-99 $ 2,044,160 $ 2,075,656 $ 1,958,156
Jan-00 $ 2,007,570 $ 1,971,458 $ 1,879,046
Feb-00 $ 1,997,331 $ 1,934,198 $ 1,878,483
Mar-00 $ 2,180,287 $ 2,123,362 $ 2,041,723
Apr-00 $ 2,055,356 $ 2,059,449 $ 1,974,959
May-00 $ 1,992,257 $ 2,017,230 $ 1,924,597
Jun-00 $ 2,045,052 $ 2,066,854 $ 1,995,037
Jul-00 $ 2,055,277 $ 2,034,611 $ 1,963,915
Aug-00 $ 2,174,483 $ 2,160,960 $ 2,099,425
Sep-00 $ 2,086,851 $ 2,046,862 $ 1,987,735
Oct-00 $ 2,089,982 $ 2,038,265 $ 1,964,678
Nov-00 $ 1,935,114 $ 1,877,650 $ 1,791,786
Dec-00 $ 1,938,791 $ 1,886,850 $ 1,813,646
Jan-01 $ 2,005,097 $ 1,953,833 $ 1,864,972
Feb-01 $ 1,813,210 $ 1,775,644 $ 1,691,343
Mar-01 $ 1,686,647 $ 1,663,068 $ 1,587,495
Apr-01 $ 1,818,375 $ 1,792,288 $ 1,708,144
May-01 $ 1,833,649 $ 1,804,297 $ 1,717,710
Jun-01 $ 1,788,725 $ 1,760,452 $ 1,672,019
Jul-01 $ 1,777,456 $ 1,743,200 $ 1,647,775
Aug-01 $ 1,676,318 $ 1,634,075 $ 1,550,721
Sep-01 $ 1,559,814 $ 1,502,206 $ 1,433,021
Oct-01 $ 1,593,506 $ 1,530,898 $ 1,466,840
Nov-01 $ 1,717,162 $ 1,648,318 $ 1,562,918
Dec-01 $ 1,731,930 $ 1,662,823 $ 1,580,579
Jan-02 $ 1,674,430 $ 1,638,546 $ 1,555,606
Feb-02 $ 1,634,411 $ 1,606,922 $ 1,529,472
Mar-02 $ 1,701,258 $ 1,667,342 $ 1,581,474
Apr-02 $ 1,578,087 $ 1,566,301 $ 1,497,340
May-02 $ 1,576,036 $ 1,554,710 $ 1,486,409
Jun-02 $ 1,466,186 $ 1,444,015 $ 1,383,698
Jul-02 $ 1,358,275 $ 1,331,382 $ 1,280,889
Aug-02 $ 1,374,710 $ 1,340,169 $ 1,291,393
Sep-02 $ 1,222,255 $ 1,194,493 $ 1,165,998
Oct-02 $ 1,327,368 $ 1,299,608 $ 1,256,596
Nov-02 $ 1,399,445 $ 1,376,155 $ 1,312,766
Dec-02 $ 1,322,335 $ 1,295,375 $ 1,243,584
Jan-03 $ 1,282,004 $ 1,261,436 $ 1,211,002
Feb-03 $ 1,264,441 $ 1,242,514 $ 1,194,895
Mar-03 $ 1,272,154 $ 1,254,567 $ 1,204,932
Apr-03 $ 1,374,689 $ 1,357,943 $ 1,293,736
May-03 $ 1,432,701 $ 1,429,506 $ 1,356,482
Jun-03 $ 1,444,306 $ 1,447,804 $ 1,369,911
Jul-03 $ 1,465,104 $ 1,473,285 $ 1,391,556
Aug-03 $ 1,485,908 $ 1,502,015 $ 1,418,413
Sep-03 $ 1,467,335 $ 1,486,093 $ 1,400,115
Oct-03 $ 1,548,873 $ 1,570,206 $ 1,468,581
</Table>
Source: Lipper Analytical Services, Inc. Past performance is no guarantee of
future results. Investment returns and principal value will fluctuate so that an
investor's shares, when redeemed, may be worth more or less than their original
cost.
The Fund commenced operations on 12/18/96.
Returns for the Institutional Shares prior to 9/15/00 (offering date of the
Institutional Shares) are calculated using the historical expenses of the Select
Shares, which are higher than the expenses of the Institutional Shares.
Returns for the Class A, B, and C Shares prior to 4/16/01 (offering date of the
Class A, B, and C Shares) are calculated using the historical expenses of the
Select Shares, which are lower than the expenses of the Class A, B, and C
Shares.
The graph illustrates comparative performance for $1,000,000 invested in Select
Shares of the JPMorgan Tax Aware U.S. Equity Fund, S&P 500 Index, and Lipper
Large-Cap Core Funds Index from December 18, 1996 to October 31, 2003. The
performance of the indices reflects an initial investment at the end of the
month following the Fund's inception. The performance of the Fund assumes
reinvestment of all dividends and capital gains and does not include a sales
charge. The performance of the indices does not include a sales charge and has
been adjusted to reflect reinvestment of all dividends and capital gains of the
securities included in the benchmark. The S&P 500 Index is a broad-based index
that replicates the U.S. stock market. The Lipper Large-Cap Core Funds Index
represents the total returns of the funds in the indicated category, as defined
by Lipper, Inc. Investors cannot invest directly in an index.
Select Shares have a $1,000,000 minimum initial deposit and carry no sales
charge.
Certain fees and expenses of the Fund are currently being waived and reimbursed
as described in the prospectus. Had the expenses not been subsidized or waived,
returns would have been lower. Also, all performance shown in this section does
not reflect the deduction of taxes that a shareholder would pay on fund
distributions or redemption of fund shares.
21
<Page>
JPMorgan Fleming Tax Aware International Opportunities Fund
PORTFOLIO OF INVESTMENTS
(Amounts in thousands)
AS OF OCTOBER 31, 2003
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- 100%
COMMON STOCKS -- 100.0%
AUSTRALIA -- 2.7%
245 News Corp., LTD $ 1,802
338 Southern Pacific Petroleum NL* 67
502 WMC Resources LTD* 1,825
------------------------------------------------------------
3,694
------------------------------------------------------------
BELGIUM -- 0.6%
32 Interbrew SA 761
BRAZIL -- 1.3%
82 Petroleo Brasileiro SA, ADR 1,778
DENMARK -- 0.3%
20 Group 4 Falck AS 444
FINLAND -- 4.4%
251 Nokia OYJ 4,264
66 Tietoenator OYJ 1,740
------------------------------------------------------------
6,004
------------------------------------------------------------
FRANCE -- 9.7%
38 Alcatel SA* 497
63 BNP Paribas 3,306
25 France Telecom* 598
30 Sanofi-Synthelabo SA 1,880
9 Technip-Coflexip SA 870
23 Total SA 3,628
79 Veolia Environnement 1,756
36 Vivendi Universal SA* 755
------------------------------------------------------------
13,290
------------------------------------------------------------
GERMANY -- 4.5%
65 Bayerische Hypo-und Vereinsbank AG* 1,413
18 Bayerische Motoren Werke AG 707
17 E.ON AG 852
16 MAN AG 428
33 Schering AG 1,563
70 TUI AG 1,217
------------------------------------------------------------
6,180
------------------------------------------------------------
GREECE -- 0.2%
11 Public Power Corp. 247
HONG KONG (CHINA) -- 3.8%
972 Cathay Pacific Airways LTD $ 1,859
177 Henderson Land Development Co., LTD 743
1,022 PCCW LTD* 730
766 Wharf Holdings LTD 1,928
------------------------------------------------------------
5,260
------------------------------------------------------------
INDIA -- 2.3%
148 Reliance Industries LTD, GDR, # 3,167
ITALY -- 2.1%
54 ENI-Ente Nazionale Idrocarburi SPA 857
415 UniCredito Italiano SPA 2,045
------------------------------------------------------------
2,902
------------------------------------------------------------
JAPAN -- 19.1%
32 Aiful Corp. 2,017
75 Asahi Breweries LTD 627
58 Chugai Pharmaceutical Co., LTD 830
302 Daiwa Securities Group, Inc. 2,208
28 Fujisawa Pharmaceutical Co., LTD 578
404 Fujitsu LTD 2,532
79 Honda Motor Co., LTD 3,134
12 Ito-Yokado Co., LTD 441
59 JFE Holdings, Inc. 1,503
746 Kubota Corp. 2,688
22 Kyocera Corp. 1,301
93 Matsushita Electric Works LTD 699
299 Minebea Co., LTD 1,703
135 Mitsubishi Corp. 1,401
86 Mitsubishi Pharma Corp. 538
6 Nintendo Co., LTD 432
0^^ Nippon Telegraph & Telephone Corp. 674
55 Ricoh Co., LTD 1,043
53 Sony Corp. 1,849
------------------------------------------------------------
26,198
------------------------------------------------------------
MEXICO -- 1.0%
85 Grupo Financiero BBVA Bancomer, ADR* 1,435
RUSSIA -- 0.5%
9 LUKOIL, ADR 705
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
22
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
SINGAPORE -- 0.8%
64 DBS Group Holdings LTD $ 526
551 Singapore Telecommunications LTD 544
------------------------------------------------------------
1,070
------------------------------------------------------------
SOUTH KOREA -- 2.3%
10 Samsung Electronics Co., LTD, GDR 1,890
17 Samsung SDI Co., LTD, GDR 391
45 SK Telecom Co., LTD, ADR 880
------------------------------------------------------------
3,161
------------------------------------------------------------
SPAIN -- 2.0%
28 Acerinox SA 1,209
92 Iberdrola SA 1,536
------------------------------------------------------------
2,745
------------------------------------------------------------
SWEDEN -- 1.5%
46 Atlas Copco AB 1,599
36 Securitas AB, B Shares 445
------------------------------------------------------------
2,044
------------------------------------------------------------
SWITZERLAND -- 8.9%
25 Adecco SA 1,498
116 Compagnie Financiere Richemont AG,
Class A 2,609
35 Credit Suisse Group 1,250
12 Lonza Group AG 612
28 Roche Holding AG 2,338
13 Swiss Reinsurance Co. 819
0^^ Synthes-Stratec, Inc. 421
28 UBS AG 1,721
7 Zurich Financial Services AG 955
------------------------------------------------------------
12,223
------------------------------------------------------------
TAIWAN -- 1.1%
44 Compal Electronics, Inc.,
Regulation S, GDR 336
220 United Microelectronics Corp., ADR* 1,156
------------------------------------------------------------
1,492
------------------------------------------------------------
THAILAND -- 0.3%
252 Advanced Info Service PCL 392
THE NETHERLANDS -- 6.2%
49 ABN AMRO Holding NV $ 1,024
182 Aegon NV 2,382
20 Akzo Nobel NV 633
48 ING Groep NV 994
332 Koninklijke KPN NV* 2,526
33 Koninklijke Philips Electronics NV 878
------------------------------------------------------------
8,437
------------------------------------------------------------
UNITED KINGDOM -- 24.4%
48 AstraZeneca PLC 2,265
127 BBA Group PLC 559
39 British American Tobacco PLC 477
36 Carnival PLC 1,245
215 Centrica PLC 672
267 Dixons Group PLC 616
131 GlaxoSmithKline PLC 2,801
409 Hays PLC 847
240 HSBC Holdings PLC 3,609
63 Man Group PLC 1,539
113 Marks & Spencer Group PLC 553
619 mmO2 PLC* 672
245 Prudential PLC 1,904
84 Reckitt Benckiser PLC 1,764
126 Royal Bank of Scotland Group PLC 3,376
188 Scottish Power PLC 1,117
473 Tesco PLC 1,895
351 Unilever PLC 2,989
1,946 Vodafone Group PLC 4,088
36 WPP Group PLC 347
------------------------------------------------------------
33,335
------------------------------------------------------------
TOTAL INVESTMENTS -- 100.0% $ 136,964
(COST $115,082)
------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
23
<Page>
Summary of Investments by Industry, October 31, 2003
<Table>
<Caption>
INDUSTRY % OF INVESTMENT SECURITIES
- -------------------------------------------------------------
Banking 13.3%
Telecommunications 11.6
Pharmaceuticals 9.3
Financial Services 5.3
Insurance 5.2
Oil & Gas 5.1
Electronics/Electrical Equipment 5.0
Food/Beverage Products 4.6
Machinery & Engineering Equipment 3.4
Computers/Computer Hardware 3.4
Utilities 3.2
Chemicals 3.2
Retailing 3.1
Automotive 2.8
Semi-Conductors 2.2
Steel 2.0
Multi-Media 1.9
Entertainment/Leisure 1.8
Business Services 1.7
Consumer Products 1.6
Diversified 1.4
Airlines 1.4
Metals/Mining 1.3
Environmental Services 1.3
Distribution 1.0
Other (less than 1%) 3.9
- -------------------------------------------------------------
100.0%
- -------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
24
<Page>
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS
<Table>
<Caption>
NET UNREALIZED
SETTLEMENT SETTLEMENT VALUE AT APPRECIATION
CONTRACTS TO BUY DATE VALUE (USD) 10/31/03 (USD) (DEPRECIATION) (USD)
- ---------------------------------------------------------------------------------------------------------------
5,186 AUD 11/20/03 $ 3,374 $ 3,673 $ 299
2,280 CHF 11/20/03 1,610 1,708 98
8,557 EUR 11/20/03 9,640 9,944 304
3,950 EUR for
506,069 JPY 11/20/03 4,606~ 4,590~ (16)
15,863 JPY 11/4/03 147 144 (3)
1,487,826 JPY 11/20/03 12,797 13,540 743
3,795 GBP 11/20/03 6,166 6,432 266
690 GBP for
1,534 CHF 11/20/03 1,149~ 1,170~ 21
6,499 SEK 11/20/03 778 833 55
- ---------------------------------------------------------------------------------------------------------------
$ 40,267 $ 42,034 $ 1,767
- ---------------------------------------------------------------------------------------------------------------
<Caption>
NET UNREALIZED
SETTLEMENT SETTLEMENT VALUE AT APPRECIATION
CONTRACTS TO SELL DATE VALUE (USD) 10/31/03 (USD) (DEPRECIATION) (USD)
- ---------------------------------------------------------------------------------------------------------------
3,178 GBP 11/20/03 $ 5,064 $ 5,387 $ (323)
716,107 JPY 11/20/03 6,217 6,518 (301)
26,926 HKD 11/20/03 3,452 3,468 (16)
767 SGD 11/20/03 439 441 (2)
14,541 EUR 11/20/03 16,249 16,897 (648)
4,203 CHF 11/20/03 3,071 3,149 (78)
- ---------------------------------------------------------------------------------------------------------------
$ 34,492 $ 35,860 $ (1,368)
- ---------------------------------------------------------------------------------------------------------------
</Table>
~ For cross-currency exchange contracts, the settlement value is the market
value at 10/31/03 of the currency being sold, and the value at 10/31/03 is
the market value at 10/31/03 of the currency being purchased.
SEE NOTES TO FINANCIAL STATEMENTS.
25
<Page>
JPMorgan Tax Aware Disciplined Equity Fund
PORTFOLIO OF INVESTMENTS
(Amounts in thousands)
AS OF OCTOBER 31, 2003
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- 99.6%
COMMON STOCKS -- 99.6%
AEROSPACE -- 2.6%
5 General Dynamics Corp. $ 419
19 Lockheed Martin Corp. 881
6 Northrop Grumman Corp. 492
21 Raytheon Co. 545
21 The Boeing Co. 816
18 United Technologies Corp. 1,564
------------------------------------------------------------
4,717
------------------------------------------------------------
AGRICULTURAL PRODUCTION/SERVICES -- 0.0% ^
3 Monsanto Co. 85
APPAREL -- 1.3%
34 Jones Apparel Group, Inc. 1,177
19 Nike, Inc., Class B 1,221
------------------------------------------------------------
2,398
------------------------------------------------------------
AUTOMOTIVE -- 1.6%
4 Dana Corp. 57
27 Ford Motor Co. 326
9 General Motors Corp. 371
12 Harley-Davidson, Inc. 586
10 Johnson Controls, Inc. 1,048
7 Lear Corp.* 424
------------------------------------------------------------
2,812
------------------------------------------------------------
BANKING -- 6.8%
18 Bank of America Corp. 1,325
20 Bank One Corp. 828
10 Compass Bancshares, Inc. 366
10 FleetBoston Financial Corp. 404
51 GreenPoint Financial Corp. 1,575
16 Hibernia Corp., Class A 364
7 Marshall & Ilsley Corp. 233
16 Mellon Financial Corp. 477
4 North Fork Bancorporation, Inc. 140
15 SouthTrust Corp. 465
15 SunTrust Banks, Inc. 984
106 U.S. Bancorp 2,892
34 Wachovia Corp. 1,578
13 Wells Fargo & Co. 738
------------------------------------------------------------
12,369
------------------------------------------------------------
BIOTECHNOLOGY -- 1.3%
29 Amgen, Inc.* $ 1,791
5 Gilead Sciences, Inc.* 267
5 Human Genome Sciences, Inc.* 71
10 MedImmune, Inc.* 256
------------------------------------------------------------
2,385
------------------------------------------------------------
BUSINESS SERVICES -- 1.2%
3 Affiliated Computer Services, Inc., Class A* 142
19 Cendant Corp.* 392
2 Cintas Corp. 81
5 Computer Sciences Corp.* 213
30 First Data Corp. 1,059
13 SunGard Data Systems, Inc.* 359
------------------------------------------------------------
2,246
------------------------------------------------------------
CHEMICALS -- 0.6%
8 Air Products & Chemicals, Inc. 372
9 Eastman Chemical Co. 289
7 Praxair, Inc. 480
------------------------------------------------------------
1,141
------------------------------------------------------------
COMPUTER NETWORKS -- 2.2%
178 Cisco Systems, Inc.* 3,727
10 Juniper Networks, Inc.* 178
------------------------------------------------------------
3,905
------------------------------------------------------------
COMPUTER SOFTWARE -- 3.9%
2 Adobe Systems, Inc. 83
2 Electronic Arts, Inc.* 198
220 Microsoft Corp. 5,761
75 Oracle Corp.* 902
6 Siebel Systems, Inc.* 73
2 VERITAS Software Corp.* 72
------------------------------------------------------------
7,089
------------------------------------------------------------
COMPUTERS/COMPUTER HARDWARE -- 4.6%
59 Dell, Inc.* 2,136
28 EMC Corp.* 382
53 Hewlett-Packard Co. 1,175
37 International Business Machines Corp. 3,328
2 Lexmark International, Inc.* 118
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
26
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
COMPUTERS/COMPUTER HARDWARE -- CONTINUED
27 NCR Corp.* $ 957
55 Sun Microsystems, Inc.* 219
------------------------------------------------------------
8,315
------------------------------------------------------------
CONSTRUCTION -- 0.4%
7 Centex Corp. 644
CONSTRUCTION MATERIALS -- 0.3%
20 Masco Corp. 536
CONSUMER PRODUCTS -- 4.6%
58 Altria Group, Inc. 2,687
3 Black & Decker Corp. 143
3 Fortune Brands, Inc. 166
8 Kimberly-Clark Corp. 401
38 Procter & Gamble Co. 3,691
36 The Gillette Co. 1,139
------------------------------------------------------------
8,227
------------------------------------------------------------
DIVERSIFIED -- 4.0%
198 General Electric Co. 5,750
74 Tyco International LTD (Bermuda) 1,555
------------------------------------------------------------
7,305
------------------------------------------------------------
ELECTRONICS/ELECTRICAL EQUIPMENT -- 0.0% ^
1 Emerson Electric Co. 45
ENTERTAINMENT/LEISURE -- 0.4%
22 Carnival Corp. 758
ENVIRONMENTAL SERVICES -- 0.2%
15 Waste Management, Inc. 385
FINANCIAL SERVICES -- 9.2%
15 Capital One Financial Corp. 895
15 CIT Group, Inc. 504
129 Citigroup, Inc. 6,096
21 Countrywide Financial Corp. 2,218
14 Fannie Mae 993
16 Freddie Mac 890
13 Goldman Sachs Group, Inc. 1,211
14 MBNA Corp. $ 354
11 Merrill Lynch & Co., Inc. 670
48 Morgan Stanley 2,631
------------------------------------------------------------
16,462
------------------------------------------------------------
FOOD/BEVERAGE PRODUCTS -- 3.2%
7 Archer Daniels Midland Co. 98
9 H.J. Heinz Co. 332
11 Kraft Foods, Inc., Class A 332
23 PepsiCo, Inc. 1,114
2 Sysco Corp. 70
84 The Coca-Cola Co. 3,879
------------------------------------------------------------
5,825
------------------------------------------------------------
HEALTH CARE/HEALTH CARE SERVICES -- 3.6%
15 Aetna, Inc. 877
6 Anthem, Inc.* 438
16 Baxter International, Inc. 421
6 Biomet, Inc. 201
24 CIGNA Corp. 1,346
34 Guidant Corp. 1,720
12 Medtronic, Inc. 561
4 Stryker Corp. 312
13 UnitedHealth Group, Inc. 652
------------------------------------------------------------
6,528
------------------------------------------------------------
INDUSTRIAL COMPONENTS -- 0.1%
2 SPX Corp.* 91
INSURANCE -- 4.1%
6 AFLAC, Inc. 233
28 AMBAC Financial Group, Inc. 2,010
19 American International Group, Inc. 1,160
16 AON Corp. 346
6 Hartford Financial Services Group, Inc. 313
9 MBIA, Inc. 562
12 Metlife, Inc. 389
4 Protective Life Corp. 120
37 The Allstate Corp. 1,481
7 Torchmark Corp. 293
26 Travelers Property Casualty Corp., Class A 429
2 XL Capital LTD (Bermuda), Class A 111
------------------------------------------------------------
7,447
------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
27
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
INTERNET SERVICES/SOFTWARE -- 0.7%
23 eBay, Inc.* $ 1,264
MACHINERY & ENGINEERING EQUIPMENT -- 0.3%
10 Ingersoll-Rand Co., LTD (Bermuda),
Class A 607
MANUFACTURING -- 0.9%
11 3M Co. 884
23 Honeywell International, Inc. 716
------------------------------------------------------------
1,600
------------------------------------------------------------
METALS/MINING -- 1.2%
8 Alcan, Inc. (Canada) 327
58 Alcoa, Inc. 1,835
------------------------------------------------------------
2,162
------------------------------------------------------------
MULTI-MEDIA -- 4.3%
14 Comcast Corp., Class A* 484
13 Comcast Corp., Special Class A* 408
4 E.W. Scripps Co., Class A 334
3 Fox Entertainment Group, Inc., Class A* 71
10 Gannett Co., Inc. 845
53 Time Warner, Inc.* 812
16 Tribune Co. 766
57 Viacom, Inc., Class B 2,293
75 Walt Disney Co. 1,696
------------------------------------------------------------
7,709
------------------------------------------------------------
OIL & GAS -- 5.5%
16 Anadarko Petroleum Corp. 689
3 Baker Hughes, Inc. 79
34 ChevronTexaco Corp. 2,545
36 ConocoPhillips 2,031
9 Cooper Cameron Corp.* 378
5 Devon Energy Corp. 240
87 Exxon Mobil Corp. 3,169
19 Rowan Companies, Inc.* 448
20 Transocean, Inc.* 391
------------------------------------------------------------
9,970
------------------------------------------------------------
PAPER/FOREST PRODUCTS -- 0.4%
7 Bowater, Inc. 302
4 Georgia-Pacific Corp. 106
6 Temple-Inland, Inc. $ 346
------------------------------------------------------------
754
------------------------------------------------------------
PHARMACEUTICALS -- 8.4%
29 Abbott Laboratories 1,255
53 Bristol-Myers Squibb Co. 1,339
31 Eli Lilly & Co. 2,068
14 Forest Laboratories, Inc.* 709
30 Johnson & Johnson 1,525
5 Medco Health Solutions, Inc.* 178
46 Merck & Co., Inc. 2,031
142 Pfizer, Inc. 4,499
32 Wyeth 1,407
------------------------------------------------------------
15,011
------------------------------------------------------------
PIPELINES -- 0.1%
32 Dynegy, Inc., Class A* 129
15 El Paso Corp. 112
------------------------------------------------------------
241
------------------------------------------------------------
PRINTING & PUBLISHING -- 0.1%
4 The McGraw-Hill Companies, Inc. 234
REAL ESTATE INVESTMENT TRUST -- 0.4%
9 CarrAmerica Realty Corp. 265
6 ProLogis 177
6 The Rouse Co. 250
------------------------------------------------------------
692
------------------------------------------------------------
RESTAURANTS/FOOD SERVICES -- 0.8%
19 McDonald's Corp. 483
6 Wendy's International, Inc. 240
22 Yum! Brands, Inc.* 761
------------------------------------------------------------
1,484
------------------------------------------------------------
RETAILING -- 7.1%
14 Abercrombie & Fitch Co., Class A* 397
6 Bed Bath & Beyond, Inc.* 266
40 CVS Corp. 1,393
5 Family Dollar Stores, Inc. 218
28 Gap, Inc. 539
68 Home Depot, Inc. 2,521
21 Kohl's Corp.* 1,173
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
28
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
RETAILING -- CONTINUED
22 Lowe's Companies, Inc. $ 1,271
24 Target Corp. 940
67 Wal-Mart Stores, Inc. 3,950
4 Walgreen Co. 150
------------------------------------------------------------
12,818
------------------------------------------------------------
SEMI-CONDUCTORS -- 4.6%
50 Altera Corp.* 1,007
8 Analog Devices, Inc.* 345
110 Intel Corp. 3,624
24 Maxim Integrated Products, Inc. 1,213
6 Novellus Systems, Inc.* 244
7 QLogic Corp.* 409
20 Texas Instruments, Inc. 567
29 Xilinx, Inc.* 919
------------------------------------------------------------
8,328
------------------------------------------------------------
SHIPPING/TRANSPORTATION -- 0.8%
8 Burlington Northern Santa Fe Corp. 223
4 CSX Corp. 131
2 FedEx Corp. 148
8 Norfolk Southern Corp. 161
6 Union Pacific Corp. 351
6 United Parcel Service, Inc., Class B 406
------------------------------------------------------------
1,420
------------------------------------------------------------
STEEL -- 0.6%
46 United States Steel Corp. 1,097
TELECOMMUNICATIONS -- 3.5%
60 AT&T Wireless Services, Inc.* 433
33 BellSouth Corp. 866
11 Nextel Communications, Inc., Class A* 269
17 Qwest Communications International, Inc.* 60
72 SBC Communications, Inc. 1,719
24 Sprint Corp. - PCS Group* 105
13 Tellabs, Inc.* 96
81 Verizon Communications, Inc. 2,730
------------------------------------------------------------
6,278
------------------------------------------------------------
TELECOMMUNICATIONS EQUIPMENT -- 0.9%
33 Corning, Inc.* $ 362
29 Motorola, Inc. 391
17 QUALCOMM, Inc. 797
------------------------------------------------------------
1,550
------------------------------------------------------------
TOYS & GAMES -- 0.2%
15 Mattel, Inc. 284
UTILITIES -- 2.6%
8 Dominion Resources, Inc. 471
5 DTE Energy Co. 190
19 Edison International* 365
3 FirstEnergy Corp. 107
69 PG&E Corp.* 1,690
36 Pinnacle West Capital Corp. 1,327
2 Public Service Enterprise Group, Inc. 86
31 XCEL Energy, Inc. 511
------------------------------------------------------------
4,747
------------------------------------------------------------
Total Common Stocks 179,965
(Cost $162,290)
------------------------------------------------------------
SHORT-TERM INVESTMENT - 0.4%
- --------------------------------------------------------------------------
MONEY MARKET FUND -- 0.4%
722 JPMorgan Prime Money Market Fund (a) 722
(Cost $722)
------------------------------------------------------------
TOTAL INVESTMENTS -- 100.0% $ 180,687
(COST $163,012)
------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
29
<Page>
JPMorgan Tax Aware Enhanced Income Fund
PORTFOLIO OF INVESTMENTS
(Amounts in thousands)
AS OF OCTOBER 31, 2003
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- --------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- 49.0%
U.S. TREASURY SECURITIES -- 1.4%
$ 35,500 U.S. Treasury Notes & Bonds,
2.00%, 08/31/05 + $ 35,661
(Cost $35,766)
------------------------------------------------------------
U.S. GOVERNMENT AGENCY SECURITIES -- 0.8%
21,100 Federal Home Loan Mortgage Corp.,
1.63%, 05/19/06, MTN, FRN + 21,096
(Cost $21,100)
------------------------------------------------------------
STATE AND MUNICIPAL OBLIGATIONS -- 32.5%
ALASKA -- 0.1%
2,250 Valdez, Alaska, Marine Terminal,
Arco Transportation Project,
Ser. B, Rev., Adj., 2.00%, 05/01/31 2,251
ARIZONA -- 0.8%
4,000 Northern Arizona Capital Facilities
Finance Corp., Northern Arizona
University Project, Student Housing,
Ser. A, Rev., Adj., 4.00%, 08/01/33 4,055
15,000 Salt River Project Agricultural
Improvement & Power District,
Salt River Project, Electric System,
Ser. A, Rev., 5.25%, 01/01/06 16,158
------------------------------------------------------------
20,213
------------------------------------------------------------
CALIFORNIA -- 4.9%
8,830 Bay Area Governments Association,
Bay Area Rapid Transit,
FTA Capital Grant, Ser. A, Rev.,
AMBAC, 5.00%, 06/15/08 + 8,857
50,000 California State, Ser. B, Rev., RAN,
2.00%, 06/16/04 + 50,169
10,000 California Statewide
Communities Development Authority,
Kaiser Permanente, Ser. C, Adj., Rev.,
3.70%, 11/01/29 + 10,312
2,900 Grant Joint Union High School District,
COP, Bridge Funding Program,
Adj., FSA, 0.98%, 07/01/18 + 2,900
$ 9,200 Grant Joint Union High School District,
COP, Bridge Funding Program,
Adj., FSA, 0.98%, 07/01/37 + $ 9,200
10,000 Los Angeles County Sanitation Districts
Financing Authority, Capital Project,
Ser.A, Rev., FSA, 4.00%, 10/01/05 + 10,522
5,000 Los Angeles Department of Water &
Power, Waterworks, Ser. B, Rev., MBIA,
3.50%, 07/01/04 + 5,081
16,500 Sacramento County Sanitation District,
Ser. A, Rev., 5.88%, 12/01/27 17,953
9,000 Santa Clara County Financing Authority,
Measure B Transportation Improvement
Program, Rev., 4.00%, 08/01/05 9,381
1,813 University of California, COP,
5.43%, 04/15/04 1,821
------------------------------------------------------------
126,196
------------------------------------------------------------
COLORADO -- 0.5%
12,650 Denver City & County, Ser. A, GO,
5.25%, 08/01/05 + 13,495
CONNECTICUT -- 0.4%
10,500 Connecticut State, Recovery Note,
Ser. A, GO,4.00%, 12/01/05 + 11,078
DISTRICT OF COLUMBIA -- 0.1%
3,075 District of Columbia, Ser. A-2, GO, Adj.,
MBIA, 1.15%, 06/01/19 + 3,075
FLORIDA -- 0.4%
1,175 Bay County, Hospital Systems,
Bay Medical Center Project, Rev., (p),
8.00%, 10/01/04 + 1,249
3,820 Boca Place Associates LTD,
Senior Certificates, Beneficial Ownership,
Rev., 4.65%, 02/01/04 + 3,852
5,000 Miami-Dade County, Water & Sewer,
Rev., MBIA, 5.00%, 10/01/07 + 5,545
------------------------------------------------------------
10,646
------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
30
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- --------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
GEORGIA -- 1.9%
$ 8,000 Burke County Development Authority,
PCR, Ser.1994, Rev., Adj.,
2.50%, 10/01/32 + $ 8,000
12,310 Henry County School District,
GO, FGIC, 5.00%, 04/01/07 + 13,473
6,940 Metropolitan Atlanta Rapid
Transportation Authority,
Second Indenture, Ser. A, Rev., FSA,
5.00%, 07/01/07 + 7,629
19,525 Milledgeviille & Baldwin County
Development Authority, Georgia
College & State University
Foundation, Student Housing,
Rev., Adj., 5.00%, 09/01/32 20,094
------------------------------------------------------------
49,196
------------------------------------------------------------
ILLINOIS -- 0.8%
7,000 Chicago Board of Education, FLOATS,
Ser. SG-103, Adj., 1.10%, 12/01/20 + 7,000
1,700 Illinois Health Facilities Authority,
Lifelink Corp. Obligation Group,
Ser. B, Rev., (p), 8.00%, 02/15/05 + 1,842
10,765 Illinois State, 1st Ser., GO,
5.00%, 08/01/07 + 11,849
------------------------------------------------------------
20,691
------------------------------------------------------------
INDIANA -- 0.5%
12,505 Indiana Municipal Power Agency,
Power Supply Systems, FLOATS,
Ser. PT-1412, Rev., Adj.,
AMBAC, 1.10%, 01/01/19 + 12,505
KENTUCKY -- 0.4%
10,275 Kentucky Asset Liability Commission,
Ser. A, Rev. (p), 3.50%, 11/01/03 + 10,275
MAINE -- 0.1%
1,500 Maine Veterans Homes, Rev., (p),
7.75%, 10/01/05 + 1,707
MARYLAND -- 0.9%
$ 2,375 Maryland State Health &
Higher Educational Facilities Authority,
Johns Hopkins Hospital, Ser. B,
Rev., Adj., 1.80%, 07/01/27 + $ 2,375
10,535 Washington Suburban Sanitation
District, Water Supply,
GO, 4.00%, 06/01/05 10,995
8,000 Washington Suburban
Sanitation District, Water Supply,
GO, 5.25%, 06/01/07 8,915
------------------------------------------------------------
22,285
------------------------------------------------------------
MASSACHUSETTS -- 1.3%
8,000 Chelsea, Massuchusetts, Ser. B, GO,
BAN, 4.00%, 04/15/05 + 8,307
2,430 Lowell, Massachusetts, State Qualified,
GO, MBIA, 5.00%, 10/15/08 + 2,717
4,270 Lowell, Massachusetts, State Qualified,
GO, MBIA, 5.00%, 10/15/09 + 4,783
10,000 Massachusetts State, CONS,
Ser. C, GO, 5.75%, 10/01/08 + 11,434
5,000 Massachusetts State, CONS,
Ser. E, GO, 5.50%, 01/01/08 + 5,584
------------------------------------------------------------
32,825
------------------------------------------------------------
MICHIGAN -- 1.5%
9,000 Central Michigan University,
Ser. B, Rev., Adj., FGIC,
1.75%, 10/01/15 + 9,000
13,060 Michigan Municipal Bond Authority,
Government Loan Program,
Ser. C, Rev., 5.00%, 05/01/08 + 14,504
1,225 Michigan State Hospital
Finance Authority, Sparrow
Obligation Group, Rev.,
5.00%, 11/15/03 1,227
2,555 Michigan State Hospital
Finance Authority, Trinity
Health, Ser. A, Rev., 5.50%, 12/01/04 2,666
10,000 Michigan Strategic Fund,
Dow Chemical Project,
Rev., Adj., 3.80%, 06/01/14 10,302
------------------------------------------------------------
37,699
------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
31
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- --------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
MINNESOTA -- 1.6%
$ 6,345 Minneapolis, Minnesota, GO,
4.00%, 12/01/06 $ 6,778
10,000 Southern Minnesota Municipal
Power Agency, Power Supply Systems,
Ser. A, Rev., 5.00%, 01/01/04 10,059
22,890 Washington County Housing &
Redevelopment Authority, Multi-Family
Housing, FLOATS, Ser. PT-702,
Rev., 1.13%, 12/31/03 22,890
------------------------------------------------------------
39,727
------------------------------------------------------------
MISSOURI -- 0.1%
3,185 Kansas City School District
Building Corp., Capital Improvements
Project, Ser. A, Rev., 5.00%, 02/01/08 + 3,522
MULTIPLE STATES -- 2.3%
1,880 MBIA Capital Corp., FLOATS,
1.20%, 01/14/16 + 1,880
660 Puttable Floating Option
Tax-Exempt Receipts, FLOATS,
1.25%, 03/14/06 + 660
46,930 Puttable Floating Option
Tax-Exempt Receipts, FLOATS,
Ser. PPT-12, 1.25%, 07/01/24 46,931
8,850 Puttable Floating Option
Tax-Exempt Receipts, FLOATS, Ser. PPT-38,
Mode A, Adj., 1.06%, 12/01/18 8,850
------------------------------------------------------------
58,321
------------------------------------------------------------
NEBRASKA -- 0.6%
14,000 Nebraska Public Power District,
Construction Notes,
Rev., 3.50%, 12/01/03 14,028
NEW JERSEY -- 0.2%
6,255 New Jersey Economic Development
Authority, Service Contract,
Taxable Economic Fund, Ser. B,
Rev., MBIA, 2.00%, 03/15/04 6,275
NEW YORK -- 4.6%
$ 5,000 Long Island Power Authority,
Electric Systems, Ser. A, Rev.,
4.50%, 06/01/05 + $ 5,209
12,750 Long Island Power Authority,
Electric Systems, Ser. B,
Rev., 5.00%, 06/01/05 + 13,382
6,200 New York City Municipal Water Finance
Authority, Water & Sewer System,
FLOATS, Ser. PA-446, Rev., Adj., FGIC,
1.07%, 11/06/03 6,200
5,000 New York City Municipal Water Finance
Authority, Water & Sewer System,
Ser. B, Rev., MBIA, 5.80%, 06/15/29 5,645
1,060 New York City, New York, Ser. 2002-B,
GO, 7.50%, 02/01/06 1,072
10,000 New York City, New York,
Ser. C, GO, 5.00%, 08/01/05 10,575
15,350 New York City, New York,
Ser. G, GO, 5.00%, 08/01/06 16,545
5,000 New York State Dormitory
Authority, Fourth Generation,
City University System, Ser. A, Rev.,
CONS, 5.00%, 07/01/06 5,397
3,925 New York State Dormitory Authority,
Mount Sinai School of Medicine,
Rev., MBIA, 5.00%, 07/01/06 4,269
15,000 New York State Thruway Authority,
Service Contract, Taxable,
Ser. B, Rev., 2.59%, 03/15/06 + 15,020
4,950 New York State Urban Development
Corp., Correctional & Youth Facilities
Services, Ser. A, Rev., 5.00%, 01/01/07 5,373
28,425 New York State Urban Development
Corp., Correctional & Youth Facilities
Services, Ser. A, Rev., 5.25%, 01/01/21 31,280
------------------------------------------------------------
119,967
------------------------------------------------------------
NORTH CAROLINA -- 0.1%
1,800 North Carolina Municipal Power
Agency No. 1, Catawba, Taxable,
Ser. B, Rev., 2.95%, 01/01/04 1,802
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
32
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- --------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
OHIO -- 0.1%
$ 2,500 Ohio State Air Quality Development
Authority, Pollution Control,
Ohio Edison Project, Ser. C, Rev.,
Adj., 5.80%, 06/01/16 $ 2,582
OKLAHOMA -- 0.3%
7,000 Tulsa County Industrial Authority,
Healthcare, St. Francis Hospital, Inc.,
Ser. B, Rev., Adj., 5.15%, 12/15/18 7,029
OREGON -- 0.9%
20,000 Oregon State Department of
Administrative Services, Rev.,
FSA, 5.00%, 09/01/08 22,339
PUERTO RICO -- 2.3%
5,940 Puerto Rico Commonwealth, GO,
FGIC, 5.00%, 07/01/05 6,305
14,250 Puerto Rico Commonwealth,
Ser. C, Adj., GO, MBIA,
5.00%, 07/01/28 15,762
7,000 Puerto Rico Highway & Transportation
Authority, Ser. AA, Rev.,
5.00%, 07/01/07 7,641
16,605 Puerto Rico Municipal
Finance Agency, Ser. A,
Rev., 4.00%, 08/01/04 16,954
10,000 Puerto Rico Public Buildings
Authority, Government Facilities,
Ser. A, Rev., AMBAC, (p),
5.50%, 07/01/05 10,855
------------------------------------------------------------
57,517
------------------------------------------------------------
RHODE ISLAND -- 0.1%
2,500 Rhode Island Housing & Mortgage
Finance Corp., Hometown Opportunity
Notes, Ser. 41-C, Rev.,
3.38%, 11/01/05 2,569
SOUTH CAROLINA -- 0.4%
9,250 South Carolina State Public Service
Authority, Ser. D, Rev.,
FSA, 4.00%, 01/01/08 9,850
TEXAS -- 2.3%
$ 9,400 Brazos River Authority, PCR,
Utilities Electric Co.,
Ser. B, Rev., Adj., 5.05%, 06/01/30 + $ 9,795
19,465 Houston, Texas, Public Improvement,
GO, MBIA, 5.00%, 03/01/08 + 21,472
2,000 Lewisville, Texas, Combination
Contract, Special Assessment,
Castle Hills No. 3 Project, Rev.,
4.13%, 05/01/31 + 2,105
4,150 Matagorda County Navigation
District No 1, PCR, Central Power &
Light Co., Ser. A, Rev., Adj, 4.55%,
04/01/04 + 4,335
6,070 San Antonio, Texas, Electric & Gas,
FLOATS, Ser. SG-101, (p),
1.10%, 02/01/07 6,070
10,000 San Antonio, Texas, Electric & Gas,
Rev., 5.25%, 02/01/09 11,178
3,700 San Antonio, Texas, General
Improvement, GO, 3.00%, 08/01/04 3,753
------------------------------------------------------------
58,708
------------------------------------------------------------
VERMONT -- 0.2%
4,700 Vermont Student Assistance Corp.,
Ser KK, Rev., AMBAC, 0.95%, 11/30/03 4,700
VIRGIN ISLANDS -- 0.2%
3,570 University of the Virgin Islands,
Ser. A, Rev., (p), 7.70%, 10/01/04 3,853
VIRGINIA -- 0.1%
2,265 Loudoun County, Ser. B, GO,
3.00%, 10/01/04 + 2,306
WASHINGTON -- 0.4%
4,000 Washington Health Care
Facilities Authority,
Multicare Health Systems,
Rev., MBIA, 4.38%, 08/15/04 4,104
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
33
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- --------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
WASHINGTON -- CONTINUED
$ 4760 Washington State, Department of
Ecology, COP, AMBAC,
4.50%, 04/01/08 $ 5,163
------------------------------------------------------------
9,267
------------------------------------------------------------
WEST VIRGINIA -- 0.1%
1,545 Morgantown, West Virginia,
Sewer Systems, Rev., (p),
7.25%, 06/01/05 1,641
WISCONSIN -- 1.0%
6,250 Wisconsin Health & Educational
Facilities Authority, Ser. 1999A,
Rev., Adj., 4.45%, 05/01/29 (i) # 6,467
5,000 Wisconsin State Health & Educational
Facilities, 1.10%, 12/31/50 (i) # 5,000
3,755 Wisconsin State Health & Educational
Facilities Authority, Hospital Charity
Obligation Group, Ser. D, Rev., Adj., (p),
4.90%, 11/01/05 3,941
3,075 Wisconsin State Health & Educational
Facilities Authority, Ministry
Health Care, Inc., Rev., 3.40%, 05/15/07 3,080
5,680 Wisconsin State Health & Educational
Facilities Authority, Ministry Health
Care, Inc., Ser. B, Rev., 3.50%, 05/15/07 5,710
------------------------------------------------------------
24,198
------------------------------------------------------------
Total State and Municipal Obligations 824,338
(Cost $819,542)
------------------------------------------------------------
CORPORATE NOTES & BONDS -- 8.3%
AUTOMOTIVE -- 0.6%
1,900 General Motors Acceptance Corp.,
6.75%, 01/15/06 + 2,026
12,850 DaimlerChrysler N.A. Holding Corp.,
1.94%, 09/26/05, Ser. D, MTN, FRN + 12,827
------------------------------------------------------------
14,853
------------------------------------------------------------
BANKING -- 0.3%
7,450 Wachovia Corp., 3.50%, 08/15/08 7,386
COMPUTERS/COMPUTER HARDWARE -- 0.6%
$ 15,100 International Business Machines
Corp., 1.27%, 09/10/04, FRN + $ 15,113
FINANCIAL SERVICES -- 5.2%
11,100 CIT Group, Inc., 4.00%, 05/08/08 + 11,188
9,600 Credit Suisse First Boston USA, Inc.,
5.75%, 04/15/07 + 10,399
5,615 International Lease Finance Corp.,
4.00%, 01/17/06, Ser. O, MTN + 5,775
6,700 MBNA Corp., 4.63%, 09/15/08 + 6,843
22,185 CIT Group, Inc., 2.66%, 01/31/05,
MTN, FRN + 22,551
9,925 Countrywide Home Loans, Inc.,
3.50%, 12/19/05, Ser. K, MTN + 10,120
Counts Trusts,
8,250 1.91%, 08/15/07, Ser. 2002-10, FRN, # + 8,217
8,250 1.96%, 08/15/07, Ser. 2002-11, FRN, # + 8,250
22,550 General Motors Acceptance Corp.,
2.41%, 10/20/05, MTN, FRN + 22,534
Restructured Asset Securities with
Enhanced Returns (RACERS),
14,300 0.98%, 04/15/04, Ser. 2002-35,
Class C, FRN, # 14,271
14,900 0.99%, 04/15/04, Ser. 2002-40,
Class C, FRN, # 14,870
------------------------------------------------------------
135,018
------------------------------------------------------------
INSURANCE -- 0.3%
8,296 ASIF Global Financing, 1.39%,
03/14/06, FRN, # + 8,300
RETAILING -- 0.2%
4,950 Safeway, Inc., FRN, 1.63%, 11/01/05 4,947
TELECOMMUNICATIONS -- 0.2%
3,875 Sprint Capital Corp., 6.00%, 01/15/07 4,118
UTILITIES -- 0.9%
7,150 FPL Group Capital, Inc., 1.88%, 03/30/05 + 7,132
4,600 Public Service Co. of Colorado,
4.38%, 10/01/08 4,719
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
34
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- --------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
UTILITIES -- CONTINUED
$ 10,000 Basin Electric Power,
1.15%, 06/10/31, FRN, # + $ 10,001
------------------------------------------------------------
21,852
------------------------------------------------------------
Total Corporate Notes & Bonds 211,587
(Cost $209,929)
------------------------------------------------------------
RESIDENTIAL MORTGAGE BACKED SECURITIES -- 0.4%
COLLATERALIZED MORTGAGE OBLIGATIONS -- 0.4%
Federal National Mortgage Association,
7,375 1.62%, 06/25/32, Ser. 2002-36,
Class FS, FRN + 7,385
741 4.50%, 05/25/42, Ser. 2002-W4,
Class A1 + 740
1,921 Government National Mortgage
Association, 1.52%, 12/20/30,
Ser. 2000-38, Class F, FRN + 1,926
------------------------------------------------------------
Total Residential Mortgage
Backed Securities 10,051
(Cost $10,047)
------------------------------------------------------------
ASSET BACKED SECURITIES -- 5.6%
25,250 AmeriCredit Automobile
Receivables Trust, 2.75%,
10/09/07, Ser. 2003-CF, Class A3 + 25,444
11,200 Citibank Credit Card Issuance Trust,
2.14%, 03/20/08, Ser. 2003-C2,
Class C2, FRN + 11,263
15,481 Countrywide Asset-Backed
Certificates, 1.52%, 03/25/33,
Ser. 2003-BC1, Class A1, FRN + 15,494
6,136 EQCC Trust, 1.42%, 11/25/31,
Ser. 2002-1, Class 2A, FRN + 6,140
6,140 HFC Home Equity Loan Asset
Backed Certificates, 1.42%, 04/20/32,
Ser. 2002-2, Class A, FRN + 6,139
5,400 MBNA Master Credit Card Trust USA,
1.92%, 12/15/06, Ser. 1999-G,
Class C, FRN, # + 5,393
29,446 Option One Mortgage Loan Trust,
1.54%, 02/25/33, Ser. 2003-1,
Class A2, FRN 29,523
402 Peco Energy Transition Trust,
1.34%, 03/01/06, Ser. 1999-A,
Class A3, FRN 402
$ 9,440 Residential Asset Mortgage
Products, Inc., 1.49%, 09/25/32,
Ser. 2002-RS5, FRN $ 9,455
4,971 SLM Student Loan Trust,
1.19%, 10/25/10, Ser. 2002-1,
Class A1, FRN 4,971
7,650 Wachovia Asset Securitization, Inc.,
1.55%, 12/25/32, Ser. 2002-HE2,
Class A, FRN 7,662
19,400 WFS Financial Owner Trust,
3.25%, 05/20/11, Ser. 2003-3, Class A4 19,449
------------------------------------------------------------
Total Asset Backed Securities 141,335
(Cost $140,969)
------------------------------------------------------------
Total Long-Term Investments 1,244,068
(Cost $1,237,353)
------------------------------------------------------------
SHORT-TERM INVESTMENTS -- 51.0%
- --------------------------------------------------------------------------
STATE AND MUNICIPAL OBLIGATIONS -- 45.9%
ALABAMA -- 0.8%
20,000 Jefferson County, Sewer, Ser. C-8.,
Rev., FRDO, FGIC, 0.98%, 11/07/03 + 20,000
ALASKA -- 0.1%
2,500 Anchorage, Alaska, Electric Utilities,
Ser. D, Rev., FRDO, 1.09%, 11/06/03 + 2,500
ARIZONA -- 1.3%
15,800 Arizona Educational Loan Marketing
Corp., RAMS, Sub Ser. B, Rev., FRDO,
1.05%, 11/11/03 + 15,800
2,500 Arizona Health Facilities Authority,
Banner Health Systems, Ser. B,
Rev., FRDO, AMBAC, 1.00%, 11/12/03 + 2,500
3,000 Arizona Student Loan Acquisition
Authority, RAMS, Senior Ser. A-1, Rev.,
FRDO, 0.95%, 11/16/03 + 3,000
8,000 Arizona Student Loan Acquisition
Authority, Ser. A-3, Rev., FRDO,
0.95%, 11/22/03 + 8,000
3,225 Scottsdale IDA, Hospital,
Scottsdale Healthcare, Ser. A, Rev.,
FRDO, 0.95%, 11/11/03 3,225
------------------------------------------------------------
32,525
------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
35
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- --------------------------------------------------------------------------
SHORT-TERM INVESTMENTS -- CONTINUED
CALIFORNIA -- 2.5%
$ 6,310 California Housing Finance Agency,
FLOATS, Ser. PT-843, Rev., FRDO,
1.19%, 11/06/03 + $ 6,310
6,000 California State Department of
Water Resources, Power Supply,
Ser. C-8, Rev., FRDO, 1.00%, 11/05/03 + 6,000
28,984 California State, Ser. 819-D, GO,
FRDO, AMBAC, 1.15%, 11/06/03 + 28,984
15,800 California State, Ser. F8G, FLOATS,
FRDO, Rev., 0.95%, 12/20/03 + 15,796
1,000 Chela Financial USA, Inc.,
California Student Loan, ACES,
Senior Ser. C-4, Rev., FRDO,
1.13%, 11/19/03 + 1,000
5,500 Student Education Loan
Marketing Corp., Sub Ser. IV-C-1, Rev.,
FRDO, 1.00%, 11/28/03 5,500
------------------------------------------------------------
63,590
------------------------------------------------------------
COLORADO -- 1.1%
1,300 Colorado Housing & Finance Authority,
Class I, Rev., FRDO, 1.10%, 11/05/03 + 1,300
1,300 Colorado Housing & Finance Authority,
Multi-Family Housing, Class 1-B1, Rev.,
FRDO, 1.10%, 11/07/03 + 1,300
1,750 Colorado Housing & Finance Authority,
Multi-Family Insured Mortgage, Ser. AA,
Rev., FRDO, MBIA, 1.10%, 11/05/03 + 1,750
5,900 Colorado Student Obligation
Bond Authority, Student Loan,
Ser. VII-A1, Rev., FRDO,
1.01%, 11/20/03 + 5,900
9,800 Denver City & County, Airport
Sub Systems, Sub Ser. A-2, Rev.,
FRDO, FGIC, 0.95%, 11/12/03 + 9,800
8,825 Denver City & County, Airport
Sub Systems, Sub Ser. C-3, Rev.,
FRDO, FGIC, 0.88%, 11/04/03 + 8,825
------------------------------------------------------------
28,875
------------------------------------------------------------
CONNECTICUT -- 0.2%
$ 5,700 Connecticut State Health &
Educational Facilities Authority,
Wesleyan University, Ser. D, Rev.,
FRDO, 1.09%, 11/07/03 + $ 5,700
DISTRICT OF COLUMBIA -- 4.0%
3,000 District of Columbia,
George Washington University,
Ser. C, Rev., FRDO, MBIA,
1.10%, 11/05/03 + 3,000
12,150 District of Columbia,
Georgetown University,
Ser. A, Rev., FRDO, MBIA,
0.93%, 11/22/03 + 12,150
20,800 District of Columbia,
Georgetown University,
Ser. C, Rev., FRDO, MBIA,
0.95%, 11/06/03 + 20,800
8,255 District of Columbia,
Georgetown University,
Ser. D, Rev., FRDO, MBIA,
0.95%, 11/06/03 + 8,255
15,000 District of Columbia,
Ser. A-1, GO, FRDO, MBIA,
0.95%, 11/15/03 + 15,000
22,500 District of Columbia, Ser. B, GO,
FRDO, FSA, 1.10%, 11/06/03 + 22,500
22,500 District of Columbia, Ser. B-2, GO,
FRDO, MBIA, 0.90%, 11/15/03 + 22,500
------------------------------------------------------------
104,205
------------------------------------------------------------
FLORIDA -- 0.7%
10,150 Miami-Dade County School Board,
COP, Ser. B, FRDO, AMBAC,
1.03%, 11/23/03 + 10,150
6,875 Orlando & Orange County
Expressway Authority, Ser. C-2, Rev.,
FRDO, FSA, 1.00%, 11/04/03 6,875
------------------------------------------------------------
17,025
------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
36
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- --------------------------------------------------------------------------
SHORT-TERM INVESTMENTS -- CONTINUED
GEORGIA -- 0.9%
$ 4,000 Fulton County Development Authority,
Lovett School Project, Rev., FRDO,
1.05%, 11/04/03 + $ 4,000
5,000 Fulton County Development Authority,
Piedmont Medical Center Project,
Ser. B, Rev., FRDO, MBIA,
0.90%, 11/17/03 + 5,000
4,000 Gwinnett County Hospital Authority,
Gwinnett Hospital Systems, Inc. Project,
Anticipation Certificates, Rev., RAN,
FRDO, 1.05%, 11/06/03 + 4,000
9,385 Municipal Electric Authority of Georgia,
Project One, Ser. C, Rev., FRDO, FSA,
1.00%, 11/05/03 9,385
------------------------------------------------------------
22,385
------------------------------------------------------------
ILLINOIS -- 2.1%
7,000 Chicago Metropolitan Water
Reclamation District, Ser. A, GO, FRDO,
1.10%, 11/05/03 + 7,000
16,100 Chicago, Illinois Water Authority, Rev.,
FRDO, 1.00%, 11/05/03 + 16,100
4,300 Galesburg, Illinois, Knox College
Project, Rev., FRDO, 1.14%, 11/06/03 + 4,300
19,150 Illinois Development Finance Authority,
Provena Health, Ser. B, Rev., FRDO, MBIA,
0.88%, 11/21/03 + 19,150
1,450 Illinois Health Facilities Authority,
RockfordMemorial Hospital Group,
Rev., FRDO, AMBAC, 1.00%, 11/28/03 + 1,450
2,000 Illinois Student Assistance
Commission, ACES, Ser. KK, Rev., FRDO,
0.85%, 11/30/03 + 2,000
3,700 Springfield, Illinois, Electric, Sub Lien,
Rev., FRDO, MBIA,
0.90%, 11/20/03 3,700
------------------------------------------------------------
53,700
------------------------------------------------------------
INDIANA -- 2.0%
21,675 Indiana Health Facility Financing
Authority, Acension Health,
Ser. E, Rev., FRDO, 0.97%, 11/20/03 + 21,675
$ 10,000 Indiana Health Facility Financing
Authority, Hospitals, Clarian Health,
Ser. B, Rev., FRDO, MBIA,
0.91%, 11/26/03 + $ 10,000
10,000 Indiana Health Facility Financing
Authority, Hospitals, Clarian Health,
Ser. I, Rev., FRDO, 1.01%, 11/04/03 + 10,000
8,415 Indiana University, Student
Residence Systems, Rev., FRDO,
1.03%, 11/05/03 + 8,415
------------------------------------------------------------
50,090
------------------------------------------------------------
KANSAS -- 0.1%
3,000 Burlington, Kansas, Environmental
Improvement, Kansas City Power & Light
Project, Ser. C, Rev., FRDO,
2.25%, 03/01/04 + 2,998
KENTUCKY -- 0.5%
10,000 Kenton County Airport Board,
Special Facilities, Airis Cincinnati LLC,
Ser. A, Rev., FRDO, 1.15%, 11/05/03 + 10,000
2,950 Ohio County, PCR, Big Rivers
Electric Project, Ser. A, Rev.,
FRDO, AMBAC, 0.90%, 11/01/03 2,950
------------------------------------------------------------
12,950
------------------------------------------------------------
LOUISIANA -- 0.6%
2,400 Louisiana Public Facilities Authority,
Student Loan, Ser. A-3, Rev.,
FRDO, MBIA, 0.96%, 11/28/03 + 2,400
12,800 Louisiana Public Facilities Authority,
Wills-Knighton Medical Center,
Ser. 1993, Rev., FRDO, AMBAC,
0.88%, 11/01/03 + 12,800
------------------------------------------------------------
15,200
------------------------------------------------------------
MARYLAND -- 1.6%
35,450 Baltimore, Maryland, Public Improvement,
Ser. A, GO, CONS, FRDO, FSA,
1.00%, 11/18/03 + 35,449
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
37
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- --------------------------------------------------------------------------
SHORT-TERM INVESTMENTS -- CONTINUED
MARYLAND -- CONTINUED
$ 5,212 Maryland State Health & Higher
Educational Facilities Authority,
Floater, Ser. 825, Rev., FRDO, AMBAC,
1.05%, 11/06/03 + $ 5,212
------------------------------------------------------------
40,661
------------------------------------------------------------
MASSACHUSETTS -- 2.2%
15,000 Massachusetts Health & Educational
Facilities Authority, Northeastern
University, Ser. N, Rev., FRDO, MBIA,
1.00%, 11/23/03 + 15,000
4,350 Massachusetts Health & Educational
Facilities Authority, Tufts University,
Ser. G, Rev., FRDO, 1.05%, 11/14/03 + 4,350
8,050 Massachusetts Housing
Finance Agency, Ser. F,
Rev., FRDO, FSA, 1.00%, 11/05/03 + 8,050
6,375 Massachusetts State Water
Resources Authority, Ser. D, Rev., FRDO,
AMBAC, 0.95%, 11/08/03 + 6,375
21,000 Route 3 North Transit Improvement
Association, Ser. B, Rev., FRDO, AMBAC,
1.10%, 11/06/03 21,000
------------------------------------------------------------
54,775
------------------------------------------------------------
MICHIGAN -- 3.3%
18,885 Michigan State Building Authority,
Multi-Modal Facilties Program, Ser. II,
Rev., FRDO, 1.00%, 11/06/03 18,885
4,500 Michigan State Hospital Finance
Authority, Ascension Health Group,
Ser. B-6, Rev., FRDO, MBIA,
0.85%, 11/13/03 4,500
11,800 Michigan State Hospital Financing
Authority, Acension Health Group,
Ser. B-5, Rev., FRDO, MBIA,
0.90%, 11/13/03 11,800
19,920 Saline Area Schools, GO, FRDO,
1.05%, 11/04/03 19,920
13,340 University of Michigan, Rev., FRDO,
1.03%, 11/06/03 13,340
$ 3,000 Wayne State University,
General Purpose, Rev.,FRDO, AMBAC,
1.00%, 11/26/03 $ 3,000
12,300 Western Michigan University,
Ser. A, Rev., FRDO, AMBAC,
0.95%, 11/20/03 12,300
------------------------------------------------------------
83,745
------------------------------------------------------------
MINNESOTA -- 0.2%
5,000 Northern Municipal Power Agency,
Minnesota Electric Systems,
Ser. A-1, Rev., FRDO, MBIA,
0.88%, 11/05/03 5,000
MISSISSIPPI -- 0.1%
1,700 Mississippi Higher Education
Assistance Corp., Student Loan,
Ser. A, Rev., FRDO, 0.95%, 11/11/03 1,700
MISSOURI -- 1.6%
10,000 Missouri State Health & Educational
Facilities Authority, Mercy Health
Systems, Ser. C, Rev., FRDO, AMBAC,
0.91%, 11/26/03 10,000
19,500 Missouri State Health & Educational
Facilities Authority, Ascension Health,
Ser. C-1, Rev., FRDO,
1.00%, 11/13/03 19,500
10,000 Missouri State Health & Educational
Facilities Authority, Mercy Health Systems,
Ser. B, Rev., FRDO, AMBAC,
0.90%, 11/26/03 10,000
------------------------------------------------------------
39,500
------------------------------------------------------------
MONTANA -- 0.6%
4,000 Montana Higher Education Student
Assistance Corp., Student Loan,
Senior Ser. A, Rev., FRDO,
0.95%, 11/01/03 4,000
11,600 Montana Higher Education Student
Assistance Corp., Student Loan,
Senior Ser. A, Rev., FRDO,
1.04%, 11/01/03 11,600
------------------------------------------------------------
15,600
------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
38
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- --------------------------------------------------------------------------
SHORT-TERM INVESTMENTS -- CONTINUED
MULTIPLE STATES -- 1.2%
$ 29,746 Puttable Floating Option Tax-Exempt
Receipts, FLOATS, Ser. PPT-34, FRDO,
1.06%, 11/06/03 $ 29,746
NEVADA -- 0.3%
7,225 Las Vegas Valley Water District,
Municipal Trust Certificates, Ser. ZTC-51,
Class A, GO, FRDO, MBIA,
1.20%, 11/06/03 + 7,225
NEW HAMPSHIRE -- 0.1%
3,000 New Hampshire Health & Education
Facilities Authority, Higher Education
Loans, Ser. A, Rev., FRDO,
0.95%, 11/25/03 3,000
NEW JERSEY -- 0.6%
8,300 New Jersey Sports & Exposition
Authority, State Contract, Ser. C, Rev.,
FRDO, MBIA,
1.00%, 11/03/03 8,300
700 New Jersey State Turnpike Authority,
Ser. D-2, Rev., FRDO, FSA,
0.85%, 11/09/03 700
5,200 North Hudson Sewerage Authority
Sewer Revenue, Ser. B, Rev.,
FRDO, MBIA, 1.00%, 11/06/03 5,200
------------------------------------------------------------
14,200
------------------------------------------------------------
NEW MEXICO -- 0.4%
5,000 New Mexico Educational Assistance
Foundation, Student Loan Project,
Senior Ser. A-1, Rev., FRDO,
0.92%, 11/01/03 5,000
4,000 New Mexico Educational Assistance
Foundation, Student Loan Project,
Senior Ser. A-1, Rev., FRDO,
0.83%, 11/06/03 4,000
------------------------------------------------------------
9,000
------------------------------------------------------------
NEW YORK -- 2.9%
$ 23,950 Metropolitan Transportation Authority,
Dedicated Tax Fund, Ser. B, Rev.,
FRDO, FSA, 1.02%, 11/06/03 + $ 23,950
7,500 New York City Municipal Water
Finance Authority,
Ser. A-11, Rev., FRDO, FSA,
0.90%, 11/07/03 7,500
4,795 New York City, New York,
Sub Ser. A-8, GO, FRDO, AMBAC,
0.95%, 11/06/03 4,795
1 New York State Environmental
Facilities Corp., Clean Water &
Drinking, FLOATS, Ser. 731,
Rev., FRDO, 1.08%, 11/06/03 1
16,550 New York State Urban Development
Corp., Correctional Facilities,
Sub Ser. B-7, Rev., FRDO,
AMBAC, 0.88%, 11/26/03 16,550
15,500 New York State Energy Research &
Development Authority, Consolidated
Edison Co., Subser. A-2, Rev., FRDO,
AMBAC, 0.90%, 11/29/03 15,500
5,400 New York State, Power Authority,
General Purpose,
GO, FRDO, 0.90%, 04/15/04 5,399
------------------------------------------------------------
73,695
------------------------------------------------------------
NORTH CAROLINA -- 1.2%
5,000 Guilford County, Ser. C, GO, FRDO,
1.05%, 11/05/03 + 5,000
6,355 North Carolina Housing Finance Agency,
Appalachian Student Housing,
Ser. A, Rev., FRDO, 1.00%, 11/03/03 6,355
2,000 Wake County Industrial Facilities &
Pollution Control Financing Authority,
Ser. E, Rev., FRDO, AMBAC,
0.87%, 11/13/03 2,000
17,475 Wake County Industrial Facilities &
Pollution Control Financing Authority,
Ser. G, Rev., FRDO, AMBAC,
0.95%, 11/13/03 17,475
------------------------------------------------------------
30,830
------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
39
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- --------------------------------------------------------------------------
SHORT-TERM INVESTMENTS -- CONTINUED
OHIO -- 1.2%
$ 7,500 Franklin County, Hospital,
OhioHealth Corp., Ser. A,
Rev., FRDO, MBIA, 0.95%, 11/27/03 + $ 7,500
8,000 Ohio State Air Quality Development
Authority, Cincinnati Gas & Electric,
Ser. A, Rev., FRDO, 1.30%, 11/05/03 8,000
12,000 Ohio State, Infrastructure Improvement,
Ser. B, GO, FRDO, 1.00%, 11/05/03 12,000
4,150 Student Loan Funding Corp.,
Ser. A-7, Rev., FRDO, 0.95%, 11/01/03 4,150
------------------------------------------------------------
31,650
------------------------------------------------------------
OKLAHOMA -- 0.3%
8,300 Oklahoma Student Loan Authority,
ACES, Ser. A-1, Rev., FRDO,
0.95%, 11/21/03 8,300
PENNSYLVANIA -- 1.6%
2,000 ABN AMRO Munitops Certificate Trust,
Ser. 1999-16, Class V, FRDO, MBIA,
1.11%, 11/06/03 + 2,000
9,760 Beaver County IDA, Ohio Edison Co.
Project, Ser. A, Rev., FRDO,
4.65%, 12/01/03 + 9,869
1,605 Beaver County IDA, PCR, Ser. D, Rev.,
FRDO, AMBAC, 0.95%, 11/01/03 + 1,605
1,600 Delaware County IDA, PCR, Electric Co.,
Rev., FRDO, FGIC, 0.92%, 11/02/03 + 1,600
5,000 Erie County Hospital Authority, Floaters,
Ser. 820, Rev., FRDO, MBIA,
1.11%, 11/06/03 + 5,000
1,500 Harrisburg Authority, Water,
Ser. B, Rev., FRDO, FSA,
1.10%, 11/06/03 + 1,500
18,000 Pennsylvania Economic Development
Financing Authority, Reliant Energy
Seward LLC Project, Ser. B, Rev., FRDO,
1.10%, 11/04/03 18,000
------------------------------------------------------------
39,574
------------------------------------------------------------
RHODE ISLAND -- 1.1%
$ 8,000 Rhode Island State & Providence
Plantations, FLOATS, Ser. 720,
GO, FRDO, FGIC, 1.11%, 11/06/03 $ 8,000
10,500 Rhode Island Student Loan Authority,
ACES, Ser. 1, Rev., FRDO, AMBAC,
1.00%, 11/19/03 10,500
200 Rhode Island Student Loan Authority,
ACES, Ser. A, Rev., FRDO,
0.93%, 11/21/03 200
9,700 Rhode Island Student Loan Authority,
Ser. 1, Rev., FRDO, AMBAC,
0.95%, 11/06/03 9,700
------------------------------------------------------------
28,400
------------------------------------------------------------
SOUTH CAROLINA -- 0.6%
6,000 Greenville Hospital Systems,
Ser. C, Rev., FRDO, AMBAC,
1.07%, 11/01/03 + 6,000
4,500 South Carolina State Education
Assistance Authority, Rev., FRDO,
1.00%, 11/17/03 4,500
4,500 South Carolina State Education
Assistance Authority, Student Loan,
Senior Lien, Ser. A, Rev, FRDO,
0.90%, 11/30/03 4,500
------------------------------------------------------------
15,000
------------------------------------------------------------
SOUTH DAKOTA -- 0.4%
10,800 Education Loans, Inc., South Dakota
Student Loan, ACES, Ser. 1-A,
Rev., FRDO, 0.95%, 11/19/03 + 10,800
TENNESSEE -- 0.5%
5,000 Blount County Public Building Authority,
Local Government Public Improvement,
Ser. C-2-A, Rev., FRDO, AMBAC,
1.00%, 11/08/03 + 5,000
6,500 Educational Funding South, Inc.,
Tennessee Educational Loan,
ACES, Ser. A-2, Rev., FRDO,
1.10%, 11/18/03 + 6,500
------------------------------------------------------------
11,500
------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
40
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- --------------------------------------------------------------------------
SHORT-TERM INVESTMENTS -- CONTINUED
TEXAS -- 1.6%
$ 10,000 Brazos Higher Education Authority,
ACES, Student Loan, Senior Lien,
Ser. A-1, Rev., FRDO,
0.95%, 11/27/03 + $ 10,000
10,000 Harris County Health Facilities
Development Authority, Hospital,
Memorial Hermann, Ser. B, Rev.,
FRDO, FSA, 0.97%, 11/17/03 + 10,000
9,800 Harris County Health Facilities
Development Authority, Stars Memorial
Hospital, Ser. B, Rev., FRDO, MBIA,
0.95%, 11/12/03 + 9,800
8,000 Houston, Texas, Hotel Occupancy,
Convention & Entertainment,
Ser. C-1, Rev., FRDO, AMBAC,
1.00%, 11/08/03 + 8,000
3,584 Texas State, Veterans Housing
Assistance Fund I, GO, FRDO,
1.07%, 11/04/03 3,584
------------------------------------------------------------
41,384
------------------------------------------------------------
UTAH -- 1.6%
19,450 Utah State Board of Regents,
Student Loan, ACES, Ser. A, Class II,
Rev., FRDO, 0.88%, 11/06/03 19,450
20,000 Utah Transit Authority, Sales Tax &
Transportation, Utah Light Rail Transit,
Rev., FRDO, 1.00%, 11/03/03 20,000
------------------------------------------------------------
39,450
------------------------------------------------------------
VIRGINIA -- 0.2%
6,000 Virginia Commonwealth Transportation
Board, FLOATS, Ser. 727, Rev., FRDO,
1.11%, 11/06/03 6,000
WASHINGTON -- 0.9%
23,050 Washington State Public Power Supply
System, Project No. 3, Electric, Ser. 3A,
Rev., FRDO, MBIA, 1.05%, 11/06/03 23,050
WEST VIRGINIA -- 1.2%
$ 31,500 West Virginia State Parkways
Economic Development & Tourism
Authority, Rev., FRDO, FGIC,
1.08%, 11/04/03 $ 31,499
WISCONSIN -- 0.6%
6,055 Milwaukee Metropolitan Sewerage
District, Municipal Trust Certificates,
Ser. ZTC-53, Class A, GO, FRDO,
1.20%, 11/05/03 6,055
10,375 Wisconsin Public Power, Inc.,
Power Supply Systems, Ser. B,
Rev., FRDO, MBIA, 0.93%, 11/24/03 10,375
------------------------------------------------------------
16,430
------------------------------------------------------------
WYOMING -- 0.9%
8,000 Wyoming Student Loan Corp., ACES,
Ser. A, Rev., FRDO, 0.95%, 11/17/03 8,000
4,000 Wyoming Student Loan Corp., ACES,
Ser. A, Rev., FRDO, 0.97%, 11/24/03 4,000
5,800 Wyoming Student Loan Corp., ACES,
Ser. B, Rev., FRDO, 0.92%, 11/01/03 5,800
5,000 Wyoming Student Loan Corp., ACES,
Ser. B, Rev., FRDO, 0.97%, 11/18/03 5,000
------------------------------------------------------------
22,800
------------------------------------------------------------
Total State and Municipal Obligations 1,166,257
(Cost $1,166,272)
------------------------------------------------------------
U.S. TREASURY SECURITY -- 0.1%
3,000 U.S. Treasury Bill, 0.92%, 01/29/04 @ + 2,993
(Cost $2,993)
<Caption>
SHARES
- --------------------------------------------------------------------------
MONEY MARKET FUND -- 5.0%
126,006 JPMorgan Tax Free Money Market Fund (a) 126,006
(Cost $126,006)
------------------------------------------------------------
Total Short-Term Investments 1,295,256
(Cost $1,295,271)
------------------------------------------------------------
TOTAL INVESTMENTS -- 100.0% $ 2,539,324
(COST $2,532,624)
------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
41
<Page>
FUTURES CONTRACTS
(Amounts in thousands, except number of contracts)
<Table>
<Caption>
NOTIONAL UNREALIZED
NUMBER OF VALUE AT APPRECIATION
CONTRACTS DESCRIPTION EXPIRATION DATE 10/31/03 (USD) (DEPRECIATION) (USD)
- ----------------------------------------------------------------------------------------------------------------------
LONG FUTURES OUTSTANDING
766 30 Day Federal Funds February, 2004 $ 315,873 $ (119)
2,238 Eurodollar December, 2003 548,002 (1,560)
SHORT FUTURES OUTSTANDING
(1,360) 2 Year Treasury Notes December, 2003 (291,678) (2,124)
(281) 5 Year Treasury Notes December, 2003 (31,419) (63)
</Table>
SWAP CONTRACT
<Table>
<Caption>
UNDERLYING UNREALIZED
NOTIONAL APPRECIATION
DESCRIPTIONS EXPIRATION DATE VALUE (DEPRECIATION)
- ----------------------------------------------------------------------------------------------------------------------
Swap-price lock with Lehman Brothers Special Financing
on U.S. Treasury Note, 2.63%, 05/15/08, price less 98.10,
Fund pays positive, receives negative 11/18/03 $ 65,700 $ 80
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
42
<Page>
JPMorgan Tax Aware Large Cap Growth Fund
PORTFOLIO OF INVESTMENTS
(Amounts in thousands)
AS OF OCTOBER 31, 2003
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- 100.0%
COMMON STOCKS -- 100.0%
AEROSPACE -- 2.2%
69 United Technologies Corp. $ 5,818
BANKING -- 1.4%
65 Fifth Third Bancorp 3,750
BIOTECHNOLOGY -- 4.7%
100 Amgen, Inc.* 6,158
69 Gilead Sciences, Inc.* 3,744
94 MedImmune, Inc.* 2,514
------------------------------------------------------------
12,416
------------------------------------------------------------
BUSINESS SERVICES -- 2.1%
159 First Data Corp. 5,676
COMPUTER NETWORKS -- 4.2%
526 Cisco Systems, Inc.* 11,032
COMPUTER SOFTWARE -- 8.5%
670 Microsoft Corp. 17,520
277 Oracle Corp.* 3,312
48 VERITAS Software Corp.* 1,735
------------------------------------------------------------
22,567
------------------------------------------------------------
COMPUTERS/COMPUTER HARDWARE -- 5.4%
206 Dell, Inc.* 7,430
78 International Business Machines Corp. 6,962
------------------------------------------------------------
14,392
------------------------------------------------------------
CONSUMER PRODUCTS -- 5.0%
74 Colgate-Palmolive Co. 3,915
67 Procter & Gamble Co. 6,573
90 The Gillette Co. 2,871
------------------------------------------------------------
13,359
------------------------------------------------------------
CONSUMER SERVICES -- 1.4%
104 Weight Watchers International, Inc.* 3,838
DIVERSIFIED -- 4.1%
372 General Electric Co. 10,777
ELECTRONICS/ELECTRICAL EQUIPMENT -- 1.1%
49 Emerson Electric Co. $ 2,792
FINANCIAL SERVICES -- 6.7%
146 American Express Co. 6,871
80 Citigroup, Inc. 3,811
53 Goldman Sachs Group, Inc. 5,005
25 Legg Mason, Inc. 2,081
------------------------------------------------------------
17,768
------------------------------------------------------------
FOOD/BEVERAGE PRODUCTS -- 5.1%
138 Sysco Corp. 4,642
190 The Coca-Cola Co. 8,816
------------------------------------------------------------
13,458
------------------------------------------------------------
HEALTH CARE/HEALTH CARE SERVICES -- 1.1%
61 Medtronic, Inc. 2,793
INSURANCE -- 2.8%
66 AMBAC Financial Group, Inc. 4,654
44 American International Group, Inc. 2,689
------------------------------------------------------------
7,343
------------------------------------------------------------
INTERNET SERVICES/SOFTWARE -- 1.5%
109 InterActiveCorp* 3,994
MANUFACTURING -- 2.0%
74 Illinois Tool Works, Inc. 5,435
MULTI-MEDIA -- 3.2%
65 Comcast Corp., Special Class A* 2,123
112 Viacom, Inc., Class B 4,465
84 Walt Disney Co. 1,904
------------------------------------------------------------
8,492
------------------------------------------------------------
OIL & GAS -- 1.0%
72 Exxon Mobil Corp. 2,626
PHARMACEUTICALS -- 15.1%
167 Abbott Laboratories 7,105
70 Eli Lilly & Co. 4,683
231 Johnson & Johnson 11,614
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
43
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
PHARMACEUTICALS -- CONTINUED
300 Pfizer, Inc. $ 9,480
54 Teva Pharmaceutical Industries LTD
(Israel), ADR 3,089
98 Wyeth 4,335
------------------------------------------------------------
40,306
------------------------------------------------------------
RESTAURANTS/FOOD SERVICES -- 2.1%
160 Yum! Brands, Inc.* 5,462
RETAILING -- 8.8%
84 Bed Bath & Beyond, Inc.* 3,565
83 Family Dollar Stores 3,624
140 Home Depot, Inc. 5,205
187 Wal-Mart Stores, Inc. 11,006
------------------------------------------------------------
23,400
------------------------------------------------------------
SEMI-CONDUCTORS -- 9.4%
145 Altera Corp.* 2,941
513 Intel Corp. 16,949
123 Linear Technology Corp. 5,229
------------------------------------------------------------
25,119
------------------------------------------------------------
TELECOMMUNICATIONS EQUIPMENT -- 1.1%
172 Nokia OYJ (Finland), ADR $ 2,929
------------------------------------------------------------
TOTAL INVESTMENTS -- 100.0% $ 265,542
(COST $251,426)
------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
44
<Page>
JPMorgan Tax Aware Large Cap Value Fund
PORTFOLIO OF INVESTMENTS
(Amounts in thousands)
AS OF OCTOBER 31, 2003
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- 100%
COMMON STOCKS -- 100.0%
AEROSPACE -- 1.8%
233 Raytheon Co. $ 6,170
APPAREL -- 1.8%
178 Jones Apparel Group, Inc. 6,155
AUTOMOTIVE -- 2.1%
67 Johnson Controls, Inc. 7,237
BANKING -- 9.3%
70 Bank of America Corp. 5,301
195 Bank One Corp. 8,261
219 U.S. Bancorp 5,964
109 Wachovia Corp. 5,018
139 Wells Fargo & Co. 7,817
------------------------------------------------------------
32,361
------------------------------------------------------------
BUSINESS SERVICES -- 1.8%
263 Accenture LTD (Bermuda), Class A* 6,164
CHEMICALS -- 2.4%
121 Praxair, Inc. 8,384
COMPUTERS/COMPUTER HARDWARE -- 3.2%
204 Hewlett-Packard Co. 4,540
72 International Business Machines Corp.6,476
------------------------------------------------------------
11,016
------------------------------------------------------------
CONSUMER PRODUCTS -- 5.1%
146 Altria Group, Inc. 6,808
84 Black & Decker Corp. 4,030
70 Procter & Gamble Co. 6,905
------------------------------------------------------------
17,743
------------------------------------------------------------
DIVERSIFIED -- 1.8%
307 Tyco International LTD (Bermuda) 6,406
FINANCIAL SERVICES -- 17.9%
245 CIT Group, Inc. 8,230
425 Citigroup, Inc. 20,148
101 Fannie Mae 7,205
38 Freddie Mac 2,110
109 Goldman Sachs Group, Inc. $ 10,217
254 Janus Capital Group, Inc. 3,593
110 Merrill Lynch & Co., Inc. 6,512
99 Washington Mutual, Inc. 4,309
------------------------------------------------------------
62,324
------------------------------------------------------------
FOOD/BEVERAGE PRODUCTS -- 2.3%
120 Kraft Foods, Inc., Class A 3,492
95 The Coca-Cola Co. 4,417
------------------------------------------------------------
7,909
------------------------------------------------------------
INSURANCE -- 7.6%
145 AMBAC Financial Group, Inc. 10,285
114 RenaissanceRe Holdings LTD (Bermuda) 5,128
230 The Allstate Corp. 9,081
60 Willis Group Holdings LTD (United Kingdom) 1,985
------------------------------------------------------------
26,479
------------------------------------------------------------
MANUFACTURING -- 2.1%
139 Honeywell International, Inc. 4,260
184 Timken Co. 3,093
------------------------------------------------------------
7,353
------------------------------------------------------------
METALS/MINING -- 2.4%
260 Alcoa, Inc. 8,196
MULTI-MEDIA -- 5.3%
234 Comcast Corp., Special Class A* 7,646
65 Gannett Co., Inc. 5,501
511 Liberty Media Corp., Class A* 5,160
------------------------------------------------------------
18,307
------------------------------------------------------------
OIL & GAS -- 11.7%
45 Anadarko Petroleum Corp. 1,945
169 Baker Hughes, Inc. 4,762
81 ChevronTexaco Corp. 6,055
136 ConocoPhillips 7,761
425 Exxon Mobil Corp. 15,562
206 GlobalSantaFe Corp. 4,630
------------------------------------------------------------
40,715
------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
45
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
PACKAGING -- 2.0%
449 Smurfit-Stone Container Corp.* $ 6,966
PAPER/FOREST PRODUCTS -- 1.1%
93 Bowater, Inc. 3,805
PHARMACEUTICALS -- 2.8%
87 Johnson & Johnson 4,379
156 Schering-Plough Corp. 2,376
69 Wyeth 3,027
------------------------------------------------------------
9,782
------------------------------------------------------------
REAL ESTATE INVESTMENT TRUST -- 1.0%
129 Archstone-Smith Trust 3,439
RESTAURANTS/FOOD SERVICES -- 2.0%
283 McDonald's Corp. 7,065
RETAILING -- 4.7%
235 CVS Corp. 8,281
378 The TJX Companies, Inc. 7,943
------------------------------------------------------------
16,224
------------------------------------------------------------
TELECOMMUNICATIONS -- 4.7%
255 SBC Communications, Inc. 6,112
304 Verizon Communications, Inc. 10,205
------------------------------------------------------------
16,317
------------------------------------------------------------
UTILITIES -- 3.1%
210 American Electric Power Co., Inc. $ 5,922
134 Pinnacle West Capital Corp. 4,914
------------------------------------------------------------
10,836
------------------------------------------------------------
TOTAL INVESTMENTS -- 100.0% $ 347,353
(COST $344,072)
------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
46
<Page>
JPMorgan Tax Aware Short-Intermediate Income Fund
PORTFOLIO OF INVESTMENTS
(Amounts in thousands)
AS OF OCTOBER 31, 2003
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- --------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- 96.2%
U.S. GOVERNMENT AGENCY SECURITIES -- 0.4%
$ 2,350 Student Loan Marketing Association,
2.99%, 12/15/22, Ser. 2003-11,
Class A5, # $ 2,349
(Cost $2,349)
U.S. TREASURY SECURITIES -- 0.0% ^
200 U.S. Treasury Notes & Bonds,
2.00%, 08/31/05 @ + 201
(Cost $201)
STATE AND MUNICIPAL OBLIGATIONS -- 84.0%
ALABAMA -- 0.6%
1,000 Alabama State Docks Department,
Dock Facilities,
Rev., MBIA, 6.00%, 10/01/06 + 1,120
1,000 Alabama State Public School
& Colleges Authority,
Capital Improvement, Ser. D, Rev.,
5.25%, 08/01/06 + 1,093
1,020 Birmingham, Ser. B, GO, AMBAC,
5.00%, 07/01/07 + 1,122
------------------------------------------------------------
3,335
------------------------------------------------------------
ALASKA -- 0.2%
1,000 Valdez, Alaska, Marine Terminal,
Arco Transportation Project, Ser. B,
Rev., Adj., 2.00%, 05/01/31 1,000
ARIZONA -- 6.0%
8,365 Arizona State Transportation Board,
Ser. A, Rev., 5.00%, 07/01/09 + 9,343
1,000 Maricopa County School
District No. 6-Washington Elementary,
Ser. B, GO, 7.10%, 07/01/06 + 1,135
1,250 Maricopa County Unified School
District No. 80-Chandler, GO, FSA,
4.00%, 07/01/06 + 1,324
7,300 Maricopa County Unified School
District No. 97-Deer Valley, GO, FGIC,
5.00%, 07/01/10 + 8,133
2,000 Northern Arizona University, Rev., FGIC,
4.00%, 06/01/06 2,117
$ 2,900 Peoria Municipal Development Authority,
Inc., Rev., AMBAC, 5.00%, 07/01/06 $ 3,147
8,175 Salt River Project Agricultural
Improvement & Power District,
Salt River Project, Electric System,
Ser. A, Rev., 5.25%, 01/01/06 8,806
1,090 Salt River Project Agricultural
Improvement & Power District,
Salt River Project, Electric Systems,
Ser. A, Rev., 5.75%, 01/01/07 1,216
------------------------------------------------------------
35,221
------------------------------------------------------------
CALIFORNIA -- 2.6%
7,000 California State Department
of Water Resources, Power Supply,
Ser. A, Rev., MBIA, 5.25%, 05/01/10 + 7,813
1,000 California State, GO, 7.00%, 08/01/07 + 1,155
1,000 Central Valley School District Financing
Authority, Ser. A, Rev., MBIA,
6.20%, 02/01/10 + 1,178
3,500 Sacramento County Sanitation District,
Ser. A, Rev., 5.875%, 12/01/27 3,808
1,000 Santa Clara County Financing Authority,
Measure B Transportation Improvement
Program, Rev., 4.00%, 08/01/05 1,042
------------------------------------------------------------
14,996
------------------------------------------------------------
COLORADO -- 1.1%
1,540 Colorado Department of Transportation,
Ser. A, TRAN, Rev., 5.00%, 06/15/06 + 1,669
2,000 E-470 Public Highway Authority, Ser. C,
Rev., MBIA, 6.00%, 09/01/06 + 2,235
2,390 Metro Wastewater Reclamation District,
Ser. 2002-A, Rev., 5.25%, 04/01/07 + 2,643
------------------------------------------------------------
6,547
------------------------------------------------------------
CONNECTICUT -- 2.5%
3,500 Connecticut State Development Authority,
PCR, Rev., AMBAC, 3.35%, 05/01/31 + 3,522
10,000 Connecticut State, Ser. D, GO, FSA,
5.00%, 08/01/08 + 11,136
------------------------------------------------------------
14,658
------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
47
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- --------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
DISTRICT OF COLUMBIA -- 0.4%
$ 2,000 Washington Metropolitan Area Transit
Authority, Rev., FGIC, 6.00%, 07/01/07 $ 2,275
FLORIDA -- 0.8%
3,000 Dade County School District, GO,
AMBAC, 5.20%, 07/15/06 + 3,280
1,000 Escambia County Health Facilities
Authority, Ascension Health Credit, Ser. A,
Rev., 5.00%, 11/15/06 + 1,087
------------------------------------------------------------
4,367
------------------------------------------------------------
GEORGIA -- 0.3%
1,680 Fulco Hospital Authority, Health Systems,
Catholic Health East, Ser. A, Rev., RAC,
MBIA, 5.50%, 11/15/08 + 1,906
HAWAII -- 0.4%
1,850 Honolulu City & County, Ser. A, GO,
FGIC, 7.35%, 07/01/06 + 2,116
ILLINOIS -- 5.9%
2,500 Chicago Metropolitan Water Reclamation
District-Greater Chicago, GO,
5.85%, 12/01/05 + 2,724
3,750 Du Page Water Commission, Rev.,
5.00%, 05/01/06 + 4,047
1,015 Grundy County School District No. 54
Morris, Ser. A, GO, AMBAC,
5.50%, 12/01/08 + 1,155
4,000 Illinois Development Finance Authority,
PCR, Gas Supply, Peoples Gas Light &
Coke, Ser. B, Rev., Adj., AMBAC,
3.05%, 02/01/33 + 4,051
2,500 Illinois Development Finance Authority,
PCR, Illinois Power Company Project,
Ser. A, Rev., (p), 7.38%, 07/01/06 + 2,911
1,350 Illinois Health Facilities Authority,
University of Chicago Hospital System,
Rev., MBIA, 5.00%, 08/15/07 + 1,483
1,315 Illinois State, 1st Ser., GO,
5.00%, 10/01/05 + 1,402
$ 5,000 Illinois State, 1st Ser., GO,
5.00%, 08/01/07 + $ 5,503
1,400 Illinois State, Sales Tax, Rev.,
4.00%, 06/15/06 + 1,480
9,000 Northern Illinois University, Auxiliary
Facilities Systems, Rev., (p), FGIC,
5.75%, 04/01/07 10,128
------------------------------------------------------------
34,884
------------------------------------------------------------
INDIANA -- 0.9%
3,500 Indiana Transportation Finance Authority,
Aiport Facilities Lease, Ser. A, Rev.,
AMBAC, 6.00%, 11/01/06 + 3,927
1,010 St. Joseph County Hospital Authority,
Health System, Ser. A, Rev., MBIA,
5.50%, 08/15/08 1,130
------------------------------------------------------------
5,057
------------------------------------------------------------
IOWA -- 0.4%
1,895 Iowa Finance Authority, Hospital Facility,
Memorial Health System, Ser. A, Rev.,
MBIA, 5.25%, 07/01/07 + 2,072
KENTUCKY -- 0.2%
1,000 Owensboro, Kentucky, Electric Light &
Power, Rev., (p), 6.85%, 01/01/08 1,105
LOUISIANA -- 1.0%
5,000 Louisiana State, Ser. 2003A, GO, FGIC,
5.25%, 05/01/07 + 5,531
MARYLAND -- 5.0%
2,000 Maryland State Health & Higher Educational
Facilities Authority, Johns Hopkins Hospital,
Ser. A, Rev., 4.50%, 08/01/05 + 2,103
11,525 Maryland State, State and Local Facilities,
Second Series, GO, 5.00%, 08/01/07 + 12,764
12,440 University System of Maryland, Auxiliary
Facilities & Tuition, Ser. A, Rev.,
5.00%, 04/01/08 13,773
------------------------------------------------------------
28,640
------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
48
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- --------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
MASSACHUSETTS -- 2.6%
$ 1,400 Holyoke, Massachusetts, Ser. B, GO, FSA,
6.00%, 06/15/06 + $ 1,555
4,790 Massachusetts State, CONS, Ser. A, GO,
MBIA, (p), 5.25%, 01/01/06 + 5,211
3,515 Massachusetts State, CONS, Ser. C, GO,
5.25%, 12/01/07 + 3,927
1,000 Massachusetts State, CONS, Ser. D, GO,
5.25%, 08/01/07 + 1,109
3,000 Massachusetts State, Ser. A, GO,
6.00%, 11/01/06 + 3,358
------------------------------------------------------------
15,160
------------------------------------------------------------
MICHIGAN -- 1.8%
1,605 Detroit, Michigan, Sewer Disposal, Ser. A,
Rev., MBIA, (p), 5.00%, 07/01/05 + 1,704
4,005 Michigan Municipal Bond Authority,
Local Government Loan Program, Ser. C,
Rev., 5.00%, 05/01/11 + 4,429
3,000 Michigan State Hospital Finance Authority,
Ascension Health Credit, Ser. B, Rev., Adj.,
5.38%, 11/15/33 + 3,322
1,000 Michigan Strategic Fund,
Dow Chemical Project, Rev., Adj.,
4.60%, 06/01/14 + 1,060
------------------------------------------------------------
10,515
------------------------------------------------------------
MINNESOTA -- 1.0%
5,000 Minnesota State, GO, 5.00%, 08/01/10 + 5,603
MISSISSIPPI -- 1.0%
5,550 Jackson, Mississippi, Water
and Sewer System, Rev., FSA,
5.00%, 09/01/06 + 6,048
NEVADA -- 1.0%
1,270 Henderson, Nevada Water & Sewage, Ser. C,
GO, 5.00%, 06/01/06 + 1,372
3,795 University Of Nevada, Community College
System, Ser. A, Rev., FSA,
5.00%, 07/01/07 4,186
------------------------------------------------------------
5,558
------------------------------------------------------------
NEW JERSEY -- 5.2%
$ 1,280 Essex County, Ser. A-1, GO, FGIC,
6.00%, 11/15/05 + $ 1,398
1,595 New Jersey Building Authority, Rev.,
5.50%, 06/15/06 @ + 1,746
2,000 New Jersey State Transit Corp., Ser. B, Rev.,
GAN, AMBAC, 5.50%, 02/01/06 + 2,168
11,575 New Jersey State, Ser. J, GO,
5.00%, 07/15/08 + 12,856
1,000 New Jersey State, Variable Purpose, GO,
5.00%, 08/01/06 + 1,088
2,000 New Jersey Transportation Trust Fund
Authority, Transportation Systems, Ser. C,
Rev., 5.38%, 12/15/07 + 2,242
2,910 Perth Amboy, New Jersey, General
Improvement, GO, FSA, 5.00%, 09/01/06 3,173
1,530 Perth Amboy, New Jersey, General
Improvement, GO, FSA, 5.10%, 09/01/07 1,696
3,165 Perth Amboy, New Jersey, General
Improvement, GO, FSA, 5.20%, 09/01/08 3,559
------------------------------------------------------------
29,926
------------------------------------------------------------
NEW MEXICO -- 0.2%
1,000 New Mexico State Highway Commission,
Sub Lien, Ser. B, Rev., 5.00%, 06/15/06 + 1,083
NEW YORK -- 15.2%
9,000 Long Island Power Authority, Electric Systems,
Rev., MBIA, 5.00%, 04/01/08 + 9,965
1,400 Long Island Power Authority, Electric Systems,
Ser. 8, Sub Ser. 8-F, Rev., Adj., MBIA,
5.00%, 04/01/11 + 1,512
1,780 Long Island Power Authority, Electric Systems,
Ser. B, Rev., 5.00%, 06/01/05 + 1,868
3,500 Long Island Power Authority, Electric Systems,
Ser. B, Rev., 5.00%, 06/01/06 + 3,753
2,500 Municipal Assistance Corp. for the City of
New York, Ser. G, Rev., 6.00%, 07/01/06 + 2,781
2,800 Municipal Assistance Corp. for the City of
New York, Ser. O, Rev., 5.25%, 07/01/08 + 3,141
2,000 New York City Health & Hospital Corp.,
Health Systems, Ser. A, Rev., AMBAC,
5.00%, 02/15/09 + 2,209
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
49
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- --------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
NEW YORK -- CONTINUED
$ 5,000 New York City Municipal Water Finance
Authority, Water & Sewer System, Ser. B,
Rev., MBIA, 5.80%, 06/15/29 + $ 5,645
2,615 New York City Transitional Finance
Authority, Future Tax Secured, Ser. A, Rev.,
5.00%, 08/01/07 + 2,880
2,000 New York City Transitional Finance
Authority, Future Tax Secured, Ser. B, Rev.,
Adj., 5.25%, 02/01/29 + 2,194
800 New York City, New York, Ser. B, GO,
5.10%, 08/01/08 + 871
5,000 New York City, New York, Ser. D, GO, MBIA,
6.20%, 02/01/07 + 5,603
1,400 New York City, New York, Ser. F, GO,
5.70%, 08/01/06 + 1,535
3,000 New York City, New York, Ser. G, GO,
5.00%, 08/01/07 + 3,265
1,800 New York Convention Center Operating Corp.,
Yale Building Acquisition Project, COP,
5.25%, 06/01/08 + 1,813
1,000 New York State Dormitory Authority,
City University System, Ser. E, Rev,
5.75%, 07/01/06 + 1,099
8,505 New York State Dormitory Authority,
Fourth Generation, City University System,
Ser. A, Rev., CONS, 5.00%, 07/01/06 + 9,180
5,000 New York State Dormitory Authority,
School Districts Financing Program, Ser. D,
Rev., MBIA, 5.00%, 10/01/09 + 5,580
6,000 New York State Thruway Authority,
Service Contract, Local Highway & Bridge,
Ser. A, Rev., 5.00%, 03/15/09 6,598
13,100 New York State Urban Development Corp.,
Correctional & Youth Facilities Services,
Ser. A, Rev., 5.25%, 01/01/21 14,415
2,390 Triborough Bridge & Tunnel Authority,
General Purpose, Ser. SR, Rev., (p),
5.00%, 01/01/07 2,522
------------------------------------------------------------
88,429
------------------------------------------------------------
NORTH CAROLINA -- 0.3%
$ 1,000 North Carolina Municipal Power
Agency No. 1, Catawba, Taxable,
Ser. B, Rev., 2.95%, 01/01/04 $ 1,001
500 North Carolina Municipal Power
Agency No. 1, Catawba, Taxable,
Ser. B, Rev., 3.26%, 01/01/05 502
------------------------------------------------------------
1,503
------------------------------------------------------------
OHIO -- 6.0%
5,000 Columbus, Ohio, GO, 5.00%, 01/01/07 + 5,460
2,000 Columbus, Ohio, GO, 5.25%, 01/01/08 + 2,233
2,035 Columbus, Ohio, Water System, Rev.,
5.00%, 11/01/05 + 2,179
3,500 Gateway Economic Development
Corporation, Greater Cleveland Excise Tax,
FSA, 5.13%, 09/01/05 + 3,722
2,500 Ohio State Air Quality Development
Authority, Ohio Edison Project, Ser. A,
Rev., Adj., AMBAC, 3.25%, 02/01/15 2,540
500 Ohio State Air Quality Development
Authority, Pollution Control, Ohio Edison
Project, Ser. C, Rev., Adj., 5.80%, 06/01/16 516
2,500 Ohio State Water Development Authority,
PCR, Rev., 4.00%, 12/01/06 2,669
2,600 Ohio State, Common School Capital
Facilities, Ser. A, GO, 5.75%, 06/15/06 2,868
5,000 Ohio State, Highway Capital Improvements,
Ser. F, GO, 5.25%, 05/01/09 5,637
2,000 Ohio State, Infrastructure Improvement,
Ser. A, GO, 4.50%, 08/01/04 2,051
3,300 Ohio State, Major New State Infrastructure,
Rev., 5.00%, 06/15/05 3,488
1,150 Ohio State, Major New State Infrastructure,
Rev., 5.00%, 06/15/07 1,265
------------------------------------------------------------
34,628
------------------------------------------------------------
OREGON -- 2.3%
2,095 Oregon State Department of Administrative
Services, Rev., FSA, 2.50%, 09/01/04 2,120
7,960 Oregon State Department of Administrative
Services, Rev., FSA, 5.00%, 09/01/08 8,891
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
50
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- --------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
OREGON -- CONTINUED
$ 2,000 Tri-County Metropolitan Transportation
District, Light Rail Extension, Ser. A, GO,
5.00%, 07/01/05 $ 2,122
------------------------------------------------------------
13,133
------------------------------------------------------------
PENNSYLVANIA -- 2.6%
4,350 Cumberland County Municipal Authority,
First Mortgage, Carlisle Hospital & Health,
Rev., (p), 6.80%, 11/15/04 + 4,687
3,095 Pennslyvania Turnpike Commission,
Common Oil Franchise Tax, Sub Ser. B,
Rev., MBIA, 3.00%, 12/01/04 3,157
1,000 Pennsylvania IDA, Economic Development,
Rev., AMBAC, 7.00%, 07/01/06 1,135
2,000 Philadelphia, Pennsyvania, Water &
Wastewater Systems, Ser. 1999, Rev.,
AMBAC, 5.00%, 12/15/05 2,149
1,000 Pittsburgh, Pennsylvania,
Ser. 2002-2004,2006,2008 & 2009,
GO, AMBAC, 5.00%, 09/01/06 1,084
2,540 Pittsburgh, Pennsylvania, Ser. A, GO,
MBIA, 6.00%, 03/01/06 2,779
------------------------------------------------------------
14,991
------------------------------------------------------------
PUERTO RICO -- 2.7%
1,000 Puerto Rico Commonwealth, GO,
5.30%, 07/01/04 1,027
10,000 Puerto Rico Commonwealth,
Ser. C, Adj., GO, MBIA,
5.00%, 07/01/28 11,061
3,000 Puerto Rico Highway & Transportation
Authority, Ser. AA, Rev., 5.00%, 07/01/07 3,275
------------------------------------------------------------
15,363
------------------------------------------------------------
SOUTH CAROLINA -- 0.6%
1,305 Charleston, South Carolina, Public
Facilities Corp., COP, 5.00%, 09/01/12 + 1,435
1,715 Piedmont Municipal Power Agency, Electric,
Ser. A, Rev, FGIC, 6.25%, 01/01/05 1,815
------------------------------------------------------------
3,250
------------------------------------------------------------
TEXAS -- 5.5%
$ 1,065 Bexar County Health Facilities
Development Corp., Baptist Memorial
Hospital System Project, Rev., MBIA, (p),
6.63%, 02/15/13 + $ 1,133
2,000 Brazos River Authority, PCR, Utilities
Electric Co., Ser. B, Rev., Adj.,
5.05%, 06/01/30 + 2,084
1,155 College Station, Texas, Ultililty Systems,
Rev., FSA, 4.50%, 02/01/07 + 1,245
2,990 Houston, Texas, Hotel Occupancy Tax,
Convention & Entertainment, Ser. A, Rev.,
AMBAC, 5.00%, 09/01/06 + 3,257
2,790 Lower Colorado River Authority,
Transmission Contract, Rev., FSA,
5.00%, 05/15/07 + 3,068
2,300 Matagorda County Navigation
District No 1, PCR, Central Power & Light Co.,
Ser. A, Rev., Adj, 4.55%, 11/01/29 + 2,403
5,250 North Texas Tollway Authority, Dallas
North Tollway Systems, Ser. C, Rev., Adj.,
FGIC, 5.00%, 01/01/18 5,797
1,065 San Antonio, Texas, Water, Rev., FGIC,
6.00%, 05/15/06 1,178
2,430 Texas Public Finance Authority, Taxable,
Unemployment Compensation, Ser. B, Rev.,
2.00%, 06/15/05 2,424
2,500 Texas State, Ser. A, GO, 6.00%, 10/01/05 2,713
3,000 Travis County Health Facilities
Development Corp., Ascension Health Credit,
Ser. A, Rev., MBIA, 5.75%, 11/15/07 3,362
3,025 University of Houston, CONS, Ser. B, Rev.,
FSA, 5.00%, 02/15/06 3,251
------------------------------------------------------------
31,915
------------------------------------------------------------
UTAH -- 1.3%
6,605 Utah State, Ser. B, GO, 5.25%, 07/01/08 7,424
VIRGINIA -- 2.2%
2,610 Peninsula Ports Authority, Dominion
Terminal Association Project, Rev., Adj.,
3.30%, 10/01/33 2,609
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
51
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- --------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
VIRGINIA -- CONTINUED
$ 9,540 Prince William County, Public Improvement,
Ser. A, GO, 5.50%, 08/01/05 $ 10,226
------------------------------------------------------------
12,835
------------------------------------------------------------
WASHINGTON -- 3.6%
5,000 Clark County Public Utility District No. 1,
Generating Systems, Rev., FGIC, (p),
6.00%, 01/01/07 + 5,620
1,070 Conservation & Renewable Energy System,
Conservation Project, Rev.,
5.00%, 10/01/06 + 1,161
1,175 Conservation & Renewable Energy System,
Conservation Project, Rev.,
5.00%, 10/01/07 + 1,290
2,200 Lewis County Public Utility District No. 1,
Cowlitz Falls Hydroelectric Facilities, Rev.,
5.00%, 10/01/06 + 2,391
2,000 Snohomish County Public Utility
District No 1, Electric, Rev.,
5.00%, 12/01/05 2,131
2,160 Snohomish County School District No 15
Edmonds, Ser. B, GO, FSA,
5.00%, 12/01/06 2,370
3,275 Snohomish County, Limited Tax, GO,
5.00%, 12/01/08 3,647
1,310 Tacoma, Washington, Conservation System
Project, Rev., 5.00%, 12/01/07 1,446
1,000 Washington Public Power Supply System,
Nuclear Project No. 2., Ser. A, Rev.,
4.80%, 07/01/04 1,024
------------------------------------------------------------
21,080
------------------------------------------------------------
WISCONSIN -- 0.6%
2,500 Wisconsin State Health & Educational
Facilities Authority, Ministry Health
Care, Inc., Ser. B, Rev., 3.50%, 05/15/07 2,513
1,035 Wisconsin State, Ser. C, GO, MBIA,
5.00%, 05/01/07 1,135
------------------------------------------------------------
3,648
------------------------------------------------------------
Total State and Municipal Obligations 485,802
(Cost $482,502)
------------------------------------------------------------
CORPORATE NOTES & BONDS -- 2.4%
AUTOMOTIVE -- 0.1%
$ 360 General Motors Acceptance Corp.,
6.75%, 01/15/06 + $ 384
BANKING -- 0.2%
1,100 Wachovia Corp., 3.50%, 08/15/08 1,091
COMPUTERS/COMPUTER HARDWARE -- 0.1%
750 Hewlett-Packard Co., 3.625%, 03/15/08 + 748
FINANCIAL SERVICES -- 0.7%
1,200 CIT Group, Inc., 4.00%, 05/08/08 + 1,210
400 Credit Suisse First Boston USA, Inc.,
5.75%, 04/15/07 + 433
550 Household Finance Corp.,
1.95%, 01/15/04, FRN, MTN + 551
400 International Lease Finance Corp.,
4.00%, 01/17/06, Ser. O, MTN + 411
1,200 MBNA Corp., 4.625%, 09/15/08 + 1,226
------------------------------------------------------------
3,831
------------------------------------------------------------
TELECOMMUNICATIONS -- 0.9%
1,750 France Telecom (France),
8.45%, 03/01/06 + 1,959
Sprint Capital Corp.,
355 6.00%, 01/15/07 377
1,400 7.13%, 01/30/06 1,514
1,600 Telecom Italia Capital (Luxembourg),
4.00%, 11/15/08, # 1,598
------------------------------------------------------------
5,448
------------------------------------------------------------
UTILITIES -- 0.4%
1,400 FPL Group Capital, Inc.,
1.875%, 03/30/05 + 1,396
800 Public Service Co. of Colorado,
4.375%, 10/01/08 821
2,217
------------------------------------------------------------
Total Corporate Notes & Bonds 13,719
(Cost $13,615)
------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
52
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- --------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
RESIDENTIAL MORTGAGE BACKED SECURITIES -- 7.1%
MORTGAGE BACKED PASS-THROUGH SECURITIES -- 7.1%
Federal National Mortgage Association,
$ 15,500 5.50%, 11/25/33, TBA $ 15,640
24,700 6.00%, 01/25/33, TBA 25,179
------------------------------------------------------------
Total Residential Mortgage
Backed Securities 40,819
(Cost $40,750)
------------------------------------------------------------
ASSET BACKED SECURITIES -- 2.3%
4,575 AmeriCredit Automobile Receivables Trust,
3.48%, 05/06/10, Ser. 2003-CF, Class A4 + 4,616
5,000 Triad Auto Receivables Owner Trust,
3.20%, 12/13/10, Ser. 2003-B, Class A 45,005
3,900 Volkswagen Auto Loan Enhanced Trust,
2.94%, 03/22/10, Ser. 2003-2, Class A4 3,899
------------------------------------------------------------
Total Asset Backed Securities 13,520
(Cost $13,473)
------------------------------------------------------------
Total Long-Term Investments 556,410
(Cost $552,890)
------------------------------------------------------------
SHORT-TERM INVESTMENTS -- 3.8%
- --------------------------------------------------------------------------
STATE AND MUNICIPAL SECURITIES -- 0.7%
KANSAS -- 0.2%
1,000 Burlington, Kansas, Environmental
Improvement, Kansas City Power &
Light Project, Ser. C, Rev., FRDO,
2.25%, 03/01/04 + 999
MICHIGAN -- 0.2%
$ 1,000 Michigan State Hospital Finance Authority,
Ascension Health Credit, Ser. B, Rev.,
FRDO, 5.20%, 11/01/03 + $ 1,074
PENNSYLVANIA -- 0.3%
2,000 Beaver County IDA, Ohio Edison Co. Project,
Ser. A, Rev., FRDO, 4.65%, 12/01/03 + 2,022
------------------------------------------------------------
Total State and Municipal Securities 4,095
(Cost $4,111)
------------------------------------------------------------
<Caption>
UNITS
- --------------------------------------------------------------------------
OPTION - 0.0% ^
13,500 Call Option On United States Treasury Note,
3.13%, 12/04/03 0^^
(Cost $20)
<Caption>
SHARES
- --------------------------------------------------------------------------
MONEY MARKET FUND -- 3.1%
17,951 JPMorgan Tax Free Money Market Fund (a) + 17,951
(Cost $17,951)
------------------------------------------------------------
Total Short-Term Investments 22,046
(Cost $22,082)
------------------------------------------------------------
TOTAL INVESTMENTS -- 100.0% $ 578,456
(COST $574,972)
------------------------------------------------------------
</Table>
FUTURES CONTRACTS
(Amounts in thousands, except number of contracts)
<Table>
<Caption>
NOTIONAL UNREALIZED
NUMBER OF VALUE AT APPRECIATION/
CONTRACTS DESCRIPTION EXPIRATION DATE 10/31/03 (USD) (DEPRECIATION) (USD)
- ---------------------------------------------------------------------------------------------------------------------
LONG FUTURES OUTSTANDING
157 30 Day Federal Funds February, 2004 $ 64,742 $ (24)
549 Eurodollar September, 2004 134,430 (380)
SHORT FUTURES OUTSTANDING
(72) 2 Year Treasury Notes December, 2003 (15,442) (118)
(510) 5 Year Treasury Notes December, 2003 (57,024) (1,056)
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
53
<Page>
OPTION
<Table>
<Caption>
UNITS CALL OPTION WRITTEN VALUE
- ---------------------------------------------------------------------------------------------------------------
(16,600) Call Option on FNMA, 30 Year Fixed, 5.50%, strike
price of 101.84, expiring 11/06/03, European Style $ (5)
</Table>
SWAP CONTRACTS
<Table>
<Caption>
UNDERLYING UNREALIZED
NOTIONAL APPRECIATION
DESCRIPTIONS EXPIRATION DATE VALUE (DEPRECIATION)
- ---------------------------------------------------------------------------------------------------------------
Swap-price lock with Citibank on U.S. Treasury Note,
1.63%, 04/30/05, price less 100.38, Fund receives
negative, pays positive 11/03/03 $ 22,350 $ 56
Swap-price lock with Lehman Brothers Special Financing
on U.S. Treasury Note, 2.63%, 05/15/08, price less 98.10,
Fund receives negative, pays positive 11/17/03 29,796 36
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
54
<Page>
JPMorgan Tax Aware U.S. Equity Fund
PORTFOLIO OF INVESTMENTS
(Amounts in thousands)
AS OF OCTOBER 31, 2003
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- 97.6%
COMMON STOCKS -- 97.6%
AEROSPACE -- 2.4%
200 Raytheon Co. $ 5,296
143 United Technologies Corp. 12,111
------------------------------------------------------------
17,407
------------------------------------------------------------
APPAREL -- 0.7%
143 Jones Apparel Group, Inc. 4,934
AUTOMOTIVE -- 2.0%
136 Johnson Controls, Inc. 14,656
BANKING -- 5.2%
288 Bank One Corp. 12,226
115 FleetBoston Financial Corp. 4,645
163 Mellon Financial Corp. 4,869
612 U.S. Bancorp 16,648
------------------------------------------------------------
38,388
------------------------------------------------------------
BIOTECHNOLOGY -- 1.5%
131 Amgen, Inc.* 8,078
110 MedImmune, Inc.* 2,933
------------------------------------------------------------
11,011
------------------------------------------------------------
BUSINESS SERVICES -- 1.7%
266 Accenture LTD (Bermuda), Class A* 6,224
84 First Data Corp. 2,999
125 SunGard Data Systems, Inc.* 3,506
------------------------------------------------------------
12,729
------------------------------------------------------------
CHEMICALS -- 0.7%
110 Air Products & Chemicals, Inc. 4,995
COMPUTER NETWORKS -- 2.5%
892 Cisco Systems, Inc.* 18,709
COMPUTER SOFTWARE -- 4.1%
963 Microsoft Corp. 25,171
400 Oracle Corp.* 4,784
------------------------------------------------------------
29,955
------------------------------------------------------------
COMPUTERS/COMPUTER HARDWARE -- 3.5%
234 Dell, Inc.* $ 8,454
192 International Business Machines Corp. 17,142
------------------------------------------------------------
25,596
------------------------------------------------------------
CONSUMER PRODUCTS -- 4.9%
197 Altria Group, Inc. 9,144
186 Procter & Gamble Co. 18,319
280 The Gillette Co. 8,938
------------------------------------------------------------
36,401
------------------------------------------------------------
DIVERSIFIED -- 4.7%
827 General Electric Co. 23,997
514 Tyco International LTD (Bermuda) 10,739
------------------------------------------------------------
34,736
------------------------------------------------------------
FINANCIAL SERVICES -- 10.6%
113 Capital One Financial Corp. 6,840
67 CIT Group, Inc. 2,253
600 Citigroup, Inc. 28,420
106 Fannie Mae 7,606
130 Freddie Mac 7,297
137 Goldman Sachs Group, Inc. 12,893
125 Morgan Stanley 6,859
157 Washington Mutual, Inc. 6,864
------------------------------------------------------------
79,032
------------------------------------------------------------
FOOD/BEVERAGE PRODUCTS -- 3.4%
68 Kraft Foods, Inc., Class A 1,968
184 PepsiCo, Inc. 8,775
314 The Coca-Cola Co. 14,553
------------------------------------------------------------
25,296
------------------------------------------------------------
HEALTH CARE/HEALTH CARE SERVICES -- 1.5%
219 Guidant Corp. 11,171
INSURANCE -- 5.0%
198 AMBAC Financial Group, Inc. 13,990
161 American International Group, Inc. 9,789
120 RenaissanceRe Holdings LTD (Bermuda) 5,398
189 The Allstate Corp. 7,454
------------------------------------------------------------
36,631
------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
55
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- 97.6%
MACHINERY & ENGINEERING EQUIPMENT -- 1.3%
156 Deere & Co. $ 9,481
MANUFACTURING -- 1.0%
89 Danaher Corp. 7,390
METALS/MINING -- 1.1%
246 Alcoa, Inc. 7,778
MULTI-MEDIA -- 5.3%
336 Comcast Corp., Special Class A* 10,950
55 E.W. Scripps Co., Class A 5,110
143 News Corp., LTD, ADR (Australia) 5,080
118 Tribune Co. 5,778
299 Viacom, Inc., Class B 11,907
------------------------------------------------------------
38,825
------------------------------------------------------------
OIL & GAS -- 6.7%
100 Anadarko Petroleum Corp. 4,362
268 Baker Hughes, Inc. 7,568
222 ChevronTexaco Corp. 16,482
585 Exxon Mobil Corp. 21,417
------------------------------------------------------------
49,829
------------------------------------------------------------
PAPER/FOREST PRODUCTS -- 1.1%
147 Temple-Inland, Inc. 7,953
PHARMACEUTICALS -- 8.9%
161 Bristol-Myers Squibb Co. 4,083
187 Eli Lilly & Co. 12,453
70 Forest Laboratories, Inc.* 3,501
226 Johnson & Johnson 11,350
726 Pfizer, Inc. 22,958
150 Schering-Plough Corp. 2,287
214 Wyeth 9,436
------------------------------------------------------------
66,068
------------------------------------------------------------
RESTAURANTS/FOOD SERVICES -- 0.6%
123 Yum! Brands, Inc.* 4,199
RETAILING -- 6.9%
60 CVS Corp. $ 2,111
291 Home Depot, Inc. 10,775
241 Target Corp. 9,586
414 The TJX Companies, Inc. 8,681
347 Wal-Mart Stores, Inc. 20,430
------------------------------------------------------------
51,583
------------------------------------------------------------
SEMI-CONDUCTORS -- 3.8%
170 Altera Corp.* 3,431
144 Applied Materials, Inc.* 3,377
545 Intel Corp. 18,000
73 Linear Technology Corp. 3,111
------------------------------------------------------------
27,919
------------------------------------------------------------
SHIPPING/TRANSPORTATION -- 1.3%
157 Union Pacific Corp. 9,797
TELECOMMUNICATIONS -- 2.4%
267 SBC Communications, Inc. 6,411
340 Verizon Communications, Inc. 11,434
------------------------------------------------------------
17,845
------------------------------------------------------------
TELECOMMUNICATIONS EQUIPMENT -- 0.7%
106 QUALCOMM, Inc. 5,030
UTILITIES -- 2.1%
125 Dominion Resources, Inc. 7,700
206 Pinnacle West Capital Corp. 7,531
------------------------------------------------------------
15,231
------------------------------------------------------------
Total Common Stocks 720,575
(Cost $716,437)
------------------------------------------------------------
SHORT-TERM INVESTMENT - 2.4%
- --------------------------------------------------------------------------
MONEY MARKET FUND -- 2.4%
17,577 JPMorgan Prime Money Market Fund (a) 17,577
(Cost $17,577)
------------------------------------------------------------
TOTAL INVESTMENTS -- 100.0% $ 738,152
(COST $734,014)
------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
56
<Page>
JPMorgan Funds
Abbreviations:
* -- Non-income producing security.
^ -- Amount rounds to less than 0.1%.
^^ -- Amount rounds to less than one thousand.
+ -- All or a portion of this security is segregated for TBA, when issued,
delayed delivery, swaps or unsettled trades.
# -- All or a portion of this security is a 144A or private placement
security and can only be sold to qualified institutional buyers.
@ -- Securities fully or partially segregated with the custodian as
collateral for futures or with brokers as initial margin for futures
contracts.
(a) -- Affiliated. Money market fund registered under the Investment Company
Act of 1940, as amended and advised by JPMorgan Investment
Management, Inc.
(i) -- Security is considered illiquid and may be difficult to sell.
(p) -- Security is prerefunded or escrowed to maturity. The maturity date
shown is the date of the prerefunded call.
Adj. -- Adjustable. The interest rate shown is the rate in effect at October
31, 2003.
ACES -- Auction Rate Securities.
ADR -- American Depository Receipt.
AMBAC -- American Municipal Bond Assurance Corp.
BAN -- Bond Anticipation Note.
CONS -- Consolidated Bonds.
COP -- Certificates of Participation.
FGIC -- Financial Guaranty Insurance Co.
FLOATS -- Floating Auction Tax Exempts.
FRDO -- Floating Rate Demand Obligation. The maturity date shown is the next
interest reset date. The interest rate shown is the rate in effect at
October 31, 2003.
FRN -- Floating Rate Note. The interset rate shown is the rate in effect at
October 31, 2003.
FSA -- Financial Securities Assistance.
GAN -- Grant Anticipation Notes.
GDR -- Global Depository Receipt.
GO -- General Obligation Bond.
IDA -- Industrial Development Authority.
MBIA -- Municipal Bond Insurance Association.
MTN -- Medium Term Note.
PCR -- Pollution Control Revenue.
RAC -- Revenue Anticipation Certificate.
RAMS -- Reverse Annuity Mortgage Security.
RAN -- Revenue Anticipation Note.
Rev. -- Revenue Bond.
Ser. -- Series.
TBA -- To Be Announced.
TRAN -- Tax & Revenue Anticipation Note.
AUD -- Australian Dollar.
CHF -- Swiss Franc.
EUR -- Euro.
GBP -- Great Britain Pound.
HKD -- Hong Kong Dollar.
JPY -- Japanese Yen.
SEK -- Swedish Krona.
SGD -- Singapore Dollar.
USD -- United States Dollar.
SEE NOTES TO FINANCIAL STATEMENTS.
57
<Page>
JPMorgan Funds
STATEMENT OF ASSETS AND LIABILITIES
(Amounts in thousands, except per share amounts)
AS OF OCTOBER 31, 2003
<Table>
<Caption>
FLEMING TAX AWARE TAX AWARE TAX AWARE TAX AWARE
INTERNATIONAL DISCIPLINED ENHANCED LARGE CAP
OPPORTUNITIES FUND EQUITY FUND INCOME FUND GROWTH FUND
ASSETS
Investment securities, at value $ 136,964 $ 180,687 $ 2,539,324 $ 265,542
Cash 896 17 175 --
Foreign currency, at value 1 -- -- --
Receivables:
Investment securities sold 2,537 -- 11,575 10,863
Fund shares sold 25 11 1,556 --
Interest and dividends 229 284 11,182 318
Foreign tax reclaim 200 -- -- --
Variation margin -- -- 36 --
Unrealized appreciation on forward
foreign currency exchange contracts 1,786 -- -- --
Unrealized appreciation on open
swap contracts -- -- 80 --
- ---------------------------------------------------------------------------------------------------------
Total Assets 142,638 180,999 2,563,928 276,723
- ---------------------------------------------------------------------------------------------------------
LIABILITIES
Payables:
Due to custodian -- -- -- 1,248
Dividends -- -- 746 --
Investment securities purchased 241 -- 25,893 6,462
Fund shares redeemed 163 259 2,293 476
Unrealized depreciation on forward
foreign currency exchange contracts 1,387 -- -- --
Accrued liabilities:
Investment advisory fees 74 58 405 92
Administration fees -- 16 -- 35
Shareholder servicing fees 2 -- 106 53
Distribution fees 1 -- 5 --
Custodian fees 38 12 47 8
Trustee's fees - deferred
compensation plan --^ --^ --^ 113
Other 54 41 134 35
- ---------------------------------------------------------------------------------------------------------
Total Liabilities 1,960 386 29,629 8,522
- ---------------------------------------------------------------------------------------------------------
Net Assets: $ 140,678 $ 180,613 $ 2,534,299 $ 268,201
- ---------------------------------------------------------------------------------------------------------
</Table>
^ Amount rounds to less than one thousand.
SEE NOTES TO FINANCIAL STATEMENTS.
58
<Page>
<Table>
<Caption>
FLEMING TAX AWARE TAX AWARE TAX AWARE TAX AWARE
INTERNATIONAL DISCIPLINED ENHANCED LARGE CAP
OPPORTUNITIES FUND EQUITY FUND INCOME FUND GROWTH FUND
NET ASSETS
Paid in capital $ 175,938 $ 291,886 $ 2,543,087 $ 382,982
Accumulated undistributed
(overdistributed) net investment income 1,911 245 (169) 29
Accumulated net realized gain (loss)
on investments, futures, written
options, swaps and foreign
exchange transactions (59,485) (129,193) (11,533) (128,926)
Net unrealized appreciation
(depreciation) of investments, futures,
swaps and foreign exchange translations 22,314 17,675 2,914 14,116
- ---------------------------------------------------------------------------------------------------------
Total Net Assets $ 140,678 $ 180,613 $ 2,534,299 $ 268,201
- ---------------------------------------------------------------------------------------------------------
Shares of beneficial interest outstanding
($0.001 par value; unlimited
number of shares authorized):
Class A 469 -- 2,220 --
Institutional 9,886 12,886 205,889 --
Select Shares -- -- 44,129 18,128
Net Asset Value:
Class A (and redemption price) $ 13.36 $ -- $ 10.05 $ --
Institutional (and redemption price) $ 13.60 $ 14.02 $ 10.05 $ --
Select Shares (and redemption price) $ -- $ -- $ 10.06 $ 14.79
Class A Maximum Public Offering
Price Per Share (net asset value per
share/ 94.25%, 98.50%) $ 14.18 $ -- $ 10.20 $ --
Cost of investments $ 115,082 $ 163,012 $ 2,532,624 $ 251,426
- ---------------------------------------------------------------------------------------------------------
Cost of foreign currency $ 1 $ -- $ -- $ --
- ---------------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
59
<Page>
<Table>
<Caption>
TAX AWARE TAX AWARE TAX AWARE
LARGE CAP SHORT - INTERMEDIATE U.S. EQUITY
VALUE FUND INCOME FUND FUND
ASSETS
Investment securities, at value $ 347,353 $ 578,456 $ 738,152
Cash -- -- 26
Receivables:
Investment securities sold 15,146 29,109 --
Fund shares sold 196 200 4,439
Interest and dividends 708 6,763 1,207
Unrealized appreciation on open
swap contracts -- 92 --
Expense reimbursements -- -- 3
- ----------------------------------------------------------------------------------------------
Total Assets 363,403 614,620 743,827
- ----------------------------------------------------------------------------------------------
LIABILITIES
Payables:
Due to custodian 712 --^ --
Dividends 458 809 --
Investment securities purchased 11,546 76,200 --
Fund shares redeemed 1,573 -- 311
Outstanding options written,
at fair value -- 5 --
Variation margin -- 43 --
Accrued liabilities:
Investment advisory fees 116 112 277
Administration fees 44 9 30
Shareholder servicing fees 73 45 137
Distribution fees -- -- 3
Custodian fees 10 15 27
Trustee's fees - deferred
compensation plan 145 1 34
Other 30 52 69
- ----------------------------------------------------------------------------------------------
Total Liabilities 14,707 77,291 888
- ----------------------------------------------------------------------------------------------
Net Assets: $ 348,696 $ 537,329 $ 742,939
- ----------------------------------------------------------------------------------------------
</Table>
^ Amount rounds to less than one thousand.
SEE NOTES TO FINANCIAL STATEMENTS.
60
<Page>
<Table>
<Caption>
TAX AWARE TAX AWARE TAX AWARE
LARGE CAP SHORT - INTERMEDIATE U.S. EQUITY
VALUE FUND INCOME FUND FUND
NET ASSETS
Paid in capital $ 382,417 $ 537,932 $ 826,059
Accumulated undistributed
(overdistributed) net investment income (163) 214 824
Accumulated net realized gain (loss)
on investments, futures, written
options and swaps (36,839) (2,827) (88,082)
Net unrealized appreciation
(depreciation) of investments, futures,
written options and swaps 3,281 2,010 4,138
- ----------------------------------------------------------------------------------------------
Total Net Assets $ 348,696 $ 537,329 $ 742,939
- ----------------------------------------------------------------------------------------------
Shares of beneficial interest outstanding
($0.001 par value; unlimited
number of shares authorized):
Class A -- -- 317
Class B -- -- 194
Class C -- -- 25
Institutional -- 33,486 9,934
Select 18,693 20,009 42,273
Net Asset Value:
Class A (and redemption price) $ -- $ -- $ 14.89
Class B* $ -- $ -- $ 14.75
Class C* $ -- $ -- $ 14.72
Institutional (and redemption price) $ -- $ 10.05 $ 10.57
Select (and redemption price) $ 18.65 $ 10.05 $ 14.90
Class A Maximum Public Offering
Price Per Share (net asset value per
share/94.25%) $ -- $ -- $ 15.80
Cost of investments $ 344,072 $ 574,972 $ 734,014
- ----------------------------------------------------------------------------------------------
Premiums received from options written $ -- $ 17 $ --
- ----------------------------------------------------------------------------------------------
</Table>
* Redemption price may be reduced by contingent deferred sales charge.
SEE NOTES TO FINANCIAL STATEMENTS.
61
<Page>
STATEMENT OF OPERATIONS
(Amounts in thousands)
FOR THE YEAR ENDED OCTOBER 31, 2003
<Table>
<Caption>
FLEMING TAX AWARE TAX AWARE TAX AWARE TAX AWARE
INTERNATIONAL DISCIPLINED ENHANCED LARGE CAP
OPPORTUNITIES FUND EQUITY FUND INCOME FUND GROWTH FUND
INVESTMENT INCOME
Interest $ 1 $ -- $ 47,089 $ --
Dividend 3,580 3,256 -- 3,094
Dividend income from affiliated
investments* -- 6 1,367 43
Other income -- 23 -- --
Foreign taxes withheld (469) (1) -- --
- ---------------------------------------------------------------------------------------------------------
Total investment income 3,112 3,284 48,456 3,137
- ---------------------------------------------------------------------------------------------------------
EXPENSES
Investment advisory fees 1,143 655 5,699 1,045
Administration fees 202 281 3,420 392
Shareholder servicing fees 144 187 2,866 653
Distribution fees 16 -- 55 --
Custodian fees 223 60 294 52
Printing and postage 12 4 75 2
Professional fees 68 52 114 69
Registration fees 52 21 116 20
Transfer agent fees 84 50 98 20
Trustees' fees 2 2 26 3
Other 13 14 82 17
- ---------------------------------------------------------------------------------------------------------
Total expenses 1,959 1,326 12,845 2,273
- ---------------------------------------------------------------------------------------------------------
Less amounts waived 558 297 6,102 52
Less earnings credits -- --^ 11 --^
Less expense reimbursements 5 -- -- --
- ---------------------------------------------------------------------------------------------------------
Net expenses 1,396 1,029 6,732 2,221
- ---------------------------------------------------------------------------------------------------------
Net investment income (loss) $ 1,716 $ 2,255 $ 41,724 $ 916
- ---------------------------------------------------------------------------------------------------------
</Table>
^ Amount rounds to less than one thousand.
SEE NOTES TO FINANCIAL STATEMENTS.
62
<Page>
<Table>
<Caption>
FLEMING TAX AWARE TAX AWARE TAX AWARE TAX AWARE
INTERNATIONAL DISCIPLINED ENHANCED LARGE CAP
OPPORTUNITIES FUND EQUITY FUND INCOME FUND GROWTH FUND
REALIZED AND UNREALIZED
GAIN (LOSS) ON INVESTMENTS
Net realized gain (loss) on transactions
from:
Investments $ (17,889) $ (10,786) $ (8,770) $ (29,956)
Futures (191) -- 1,972 --
Written options -- -- (67) --
Swaps -- -- (4,557) --
Foreign exchange contracts 145 -- -- --
Change in net unrealized
appreciation/depreciation of:
Investments 43,667 44,281 4,908 63,299
Futures (63) -- (2,491) --
Swaps -- -- 80 --
Foreign currency translations 373 -- -- --
Net realized and unrealized gain (loss)
on investments, futures, foreign
exchange transactions, written options
and swaps 26,042 33,495 (8,925) 33,343
- ---------------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets
from operations $ 27,758 $ 35,750 $ 32,799 $ 34,259
- ---------------------------------------------------------------------------------------------------------
* Includes reimbursements of
investment advisory, administration
and shareholder servicing fees: $ -- $ 1 $ 220 $ 6
- ---------------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
63
<Page>
<Table>
<Caption>
TAX AWARE TAX AWARE TAX AWARE
LARGE CAP SHORT - INTERMEDIATE U.S. EQUITY
VALUE FUND INCOME FUND FUND
---------- -------------------- -----------
YEAR ENDED 12/20/02 (a) THROUGH YEAR ENDED
10/31/03 10/31/03 10/31/03
INVESTMENT INCOME
Interest $ -- $ 6,804 $ --
Dividend 7,937 -- 8,546
Dividend income from affiliated
investments* 41 360 164
Foreign taxes withheld (14) -- --
- ----------------------------------------------------------------------------------------------
Total investment income 7,964 7,164 8,710
- ----------------------------------------------------------------------------------------------
EXPENSES
Investment advisory fees 1,326 658 2,218
Administration fees 497 395 739
Shareholder servicing fees 829 396 1,131
Distribution fees -- -- 35
Custodian fees 56 60 125
Printing and postage 1 14 17
Professional fees 56 63 58
Registration fees 19 21 60
Transfer agent fees 20 35 164
Trustees' fees 4 3 6
Other 16 9 33
- ----------------------------------------------------------------------------------------------
Total expenses 2,824 1,654 4,586
- ----------------------------------------------------------------------------------------------
Less amounts waived 6 600 468
Less earnings credits --^ 1 1
Less expense reimbursements -- -- 35
- ----------------------------------------------------------------------------------------------
Net expenses 2,818 1,053 4,082
- ----------------------------------------------------------------------------------------------
Net investment income (loss) $ 5,146 $ 6,111 $ 4,628
- ----------------------------------------------------------------------------------------------
</Table>
(a) Commencement of Operations
^ Amount rounds to less than one thousand.
SEE NOTES TO FINANCIAL STATEMENTS.
64
<Page>
<Table>
<Caption>
TAX AWARE TAX AWARE TAX AWARE
LARGE CAP SHORT - INTERMEDIATE U.S. EQUITY
VALUE FUND INCOME FUND FUND
---------- -------------------- -----------
YEAR ENDED 12/20/02 (a) THROUGH YEAR ENDED
10/31/03 10/31/03 10/31/03
REALIZED AND UNREALIZED
GAIN (LOSS) ON INVESTMENTS
Net realized gain (loss) on
transactions from:
Investments $ (9,355) $ (1,809) $ (10,218)
Futures -- (345) --
Written Options -- (443) --
Swaps -- (230) --
Change in net unrealized
appreciation/depreciation of:
Investments 60,789 3,484 100,650
Futures -- (1,578) --
Written Options -- 12 --
Swaps -- 92 --
Net realized and unrealized gain (loss)
on investments, futures, written
options and swaps 51,434 (817) 90,432
- ----------------------------------------------------------------------------------------------
Net increase (decrease) in net assets
from operations $ 56,580 $ 5,294 $ 95,060
- ----------------------------------------------------------------------------------------------
* Includes reimbursements of
investment advisory, administration
and shareholder servicing fees: $ 5 $ 59 $ 24
- ----------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
65
<Page>
STATEMENT OF CHANGES IN NET ASSETS
(Amounts in thousands)
FOR THE PERIODS INDICATED
<Table>
<Caption>
FLEMING TAX AWARE TAX AWARE
INTERNATIONAL OPPORTUNITIES DISCIPLINED EQUITY
FUND FUND
--------------------------- -------------------------
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
10/31/03 10/31/02 10/31/03 10/31/02
INCREASE (DECREASE) IN NET
ASSETS FROM OPERATIONS
Net investment income $ 1,716 $ 1,923 $ 2,255 $ 2,489
Net realized gain (loss) on
investments, futures and foreign
exchange transactions (17,935) (27,651) (10,786) (44,615)
Change in net unrealized appreciation/
depreciation of investments, futures
and foreign exchange translations 43,977 5,537 44,281 1,515
- ----------------------------------------------------------------------------------------------------
Increase (decrease) in net assets
from operations 27,758 (20,191) 35,750 (40,611)
- ----------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO
SHAREHOLDERS FROM
Net investment income (1,586) (546) (2,258) (3,600)
- ----------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS
Increase (decrease) (41,696) (2,720) (46,875) (74,547)
- ----------------------------------------------------------------------------------------------------
NET ASSETS
Total increase (decrease) in net assets (15,524) (23,457) (13,383) (118,758)
- ----------------------------------------------------------------------------------------------------
Beginning of period 156,202 179,659 193,996 312,754
- ----------------------------------------------------------------------------------------------------
End of period $ 140,678 $ 156,202 $ 180,613 $ 193,996
- ----------------------------------------------------------------------------------------------------
Accumulated undistributed
(overdistributed) net
investment income $ 1,911 $ 1,584 $ 245 $ 257
- ----------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
66
<Page>
<Table>
<Caption>
TAX AWARE ENHANCED INCOME FUND TAX AWARE LARGE CAP GROWTH FUND
------------------------------- ------------------------------------------
YEAR YEAR YEAR 01/01/02 11/01/01
ENDED ENDED ENDED THROUGH THROUGH
10/31/03 10/31/02 10/31/03 10/31/02 (a) 12/31/01 (b)
INCREASE (DECREASE) IN NET
ASSETS FROM OPERATIONS
Net investment income $ 41,724 $ 33,137 $ 916 $ 940 $ 415
Net realized gain (loss) on
investments, futures, written options
and swaps (11,422) 271 (29,956) (34,608) (3,297)
Change in net unrealized appreciation/
depreciation of investments, futures
and swaps 2,497 (5,319) 63,299 (62,473) 31,331
- ---------------------------------------------------------------------------------------------------------------------------------
Increase (decrease) in net assets
from operations 32,799 28,089 34,259 (96,141) 28,449
- ---------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO
SHAREHOLDERS FROM
Net investment income (42,180) (33,310) (734) (934) (601)
Net realized gain on
investment transactions -- (734) -- -- --
- ---------------------------------------------------------------------------------------------------------------------------------
Total distributions to shareholders (42,180) (34,044) (734) (934) (601)
- ---------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS
Increase (decrease) 575,943 836,900 (21,850) (79,691) (17,591)
- ---------------------------------------------------------------------------------------------------------------------------------
NET ASSETS
Total increase (decrease) in net assets 566,562 830,945 11,675 (176,766) 10,257
- ---------------------------------------------------------------------------------------------------------------------------------
Beginning of period 1,967,737 1,136,792 256,526 433,292 423,035
End of period $ 2,534,299 $ 1,967,737 $ 268,201 $ 256,526 $ 433,292
- ---------------------------------------------------------------------------------------------------------------------------------
Accumulated undistributed
(overdistributed) net
investment income $ (169) $ 287 $ 29 $ (153) $ (159)
- ---------------------------------------------------------------------------------------------------------------------------------
</Table>
(a) The fund changed its fiscal year end from December 31 to October 31.
(b) The fund changed its fiscal year end from October 31 to December 31.
SEE NOTES TO FINANCIAL STATEMENTS.
67
<Page>
<Table>
<Caption>
TAX AWARE
SHORT - INTERMEDIATE
TAX AWARE LARGE CAP VALUE FUND INOME FUND
-------------------------------------------- --------------------
YEAR 1/1/02 11/1/01 12/20/02*
ENDED THROUGH THROUGH THROUGH
10/31/03 10/31/02 (a) 12/31/01 (b) 10/31/03
INCREASE (DECREASE) IN NET
ASSETS FROM OPERATIONS
Net investment income (loss) $ 5,146 $ 4,441 $ 639 $ 6,111
Net realized gain (loss) on
investments, futures, written options
and swaps (9,355) (26,675) (338) (2,827)
Change in net unrealized appreciation/
depreciation of investments, futures,
written options and swaps 60,789 (49,837) 28,437 2,010
- -----------------------------------------------------------------------------------------------------------------
Increase (decrease) in net assets
from operations 56,580 (72,071) 28,738 5,294
- -----------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO
SHAREHOLDERS FROM
Net investment income (5,208) (4,354) (579) (5,897)
- -----------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS
Increase (decrease) (30,019) (11,678) (18,389) 537,932
- -----------------------------------------------------------------------------------------------------------------
NET ASSETS
Total increase (decrease) in net assets 21,353 (88,103) 9,770 537,329
- -----------------------------------------------------------------------------------------------------------------
Beginning of period 327,343 415,446 405,676 --
- -----------------------------------------------------------------------------------------------------------------
End of period $ 348,696 $ 327,343 $ 415,446 $ 537,329
- -----------------------------------------------------------------------------------------------------------------
Accumulated undistributed
(overdistributed) net
investment income $ (163) $ (101) $ (188) $ 214
- -----------------------------------------------------------------------------------------------------------------
</Table>
* Commencement of operations.
(a) The fund changed its fiscal year end from December 31 to October 31.
(b) The fund changed its fiscal year end from October 31 to December 31.
SEE NOTES TO FINANCIAL STATEMENTS.
68
<Page>
<Table>
<Caption>
TAX AWARE U.S. EQUITY FUND
-----------------------------
YEAR ENDED YEAR ENDED
10/31/03 10/31/02
INCREASE (DECREASE) IN NET
ASSETS FROM OPERATIONS
Net investment income (loss) $ 4,628 $ 1,865
Net realized gain (loss) on
investments (10,218) (11,267)
Change in net unrealized appreciation/
depreciation of investments 100,650 (37,041)
- -------------------------------------------------------------------------------
Increase (decrease) in net assets
from operations 95,060 (46,443)
- -------------------------------------------------------------------------------
DISTRIBUTIONS TO
SHAREHOLDERS FROM
Net investment income (4,092) (2,275)
- -------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS
Increase (decrease) 415,771 59,205
- -------------------------------------------------------------------------------
NET ASSETS
Total increase (decrease) in net assets 506,739 10,487
- -------------------------------------------------------------------------------
Beginning of period 236,200 225,713
- -------------------------------------------------------------------------------
End of period $ 742,939 $ 236,200
- -------------------------------------------------------------------------------
Accumulated undistributed
(overdistributed) net
investment income $ 824 $ 288
- -------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
69
<Page>
NOTES TO FINANCIAL STATEMENTS
1. ORGANIZATION
J.P. Morgan Series Trust ("JPMST"), J.P. Morgan Mutual Fund Group ("MFG"), J.P.
Morgan Mutual Fund Select Group ("MFSG") and J.P. Morgan Institutional Funds
("JPMIF") (each a "Trust" and, collectively, the "Trusts") were organized on
August 15, 1996, May 11, 1987, October 1, 1996 and November 4, 1992,
respectively, as Massachusetts business trusts and are registered under the
Investment Company Act of 1940 (the "1940 Act"), as amended, as open-end
management investment companies. MFG and MFSG were formerly known as Mutual Fund
Group and Mutual Fund Select Group, respectively. The Trusts' new names went
into effect on May 1, 2003.
The following are seven separate portfolios of the Trusts (collectively, the
"Funds"):
<Table>
<Caption>
FUND CLASSES OFFERED
JPMorgan Fleming Tax Aware International
Opportunities Fund ("FTAIO") Class A and Institutional
JPMorgan Tax Aware Disciplined Equity Fund ("TADE") Institutional
JPMorgan Tax Aware Enhanced Income Fund ("TAEI") Class A, Institutional and Select
JPMorgan Tax Aware Large Cap Growth Fund ("TALCG") Select
JPMorgan Tax Aware Large Cap Value Fund ("TALCV") Select
JPMorgan Tax Aware Short-Intermediate
Income Fund ("TASI") Institutional and Select
JPMorgan Tax Aware U.S. Equity Fund ("TAUSE") Class A, Class B, Class C, Institutional and Select
</Table>
On September 12, 2003, FTAIO Class B and Class C shares merged into Class A
shares and Class B and Class C shares closed.
FTAIO is a separate series of MFG. TADE, TAEI and TAUSE are separate series of
JPMST. TALCG and TALCV are separate series of MFSG. TASI is a separate series of
JPMIF.
TASI commenced operations on December 20, 2002.
Class A shares generally provide for a front-end sales charge while Class B and
Class C shares provide for a contingent deferred sales charge. Class B shares
automatically convert to Class A shares after eight years. No sales charges are
assessed with respect to the Institutional Class and Select Class. All classes
of shares have equal rights as to earnings, assets and voting privileges except
that each class may bear different transfer agent, distribution and shareholder
servicing fees and each class has exclusive voting rights with respect to its
distribution plan and shareholder servicing agreements. Class A shares, for
which front-end charges have been waived, may be subject to redemption charges
as described in the Funds' prospectus.
During the fiscal year ended October 31, 2003, TADE Institutional Class relieved
securities of the fund (Redemption in-kind) in exchange for the redemption of
70
<Page>
shares. TADE Institutional Class received a contribution of securities
(Subscription in-kind) in exchange for shares of the Institutional Share Class.
Cash and securities were transferred for redemptions and subscriptions at a
market value of (in thousands) $22,866 and $21,173, respectively, which resulted
in a realized gain of (in thousands) $6,157 to the Fund for federal income tax
purposes.
A detailed breakout of Redemption in-kind and Subscription in-kind is outlined
in Note 12.
2. REORGANIZATION
Prior to the open of business on March 24, 2003, the JPMorgan Tax Aware U.S.
Equity Fund (the "Acquiring Fund") acquired all of the net assets of JPMorgan
SelectLarge Cap Equity Fund (the "Target Fund"), as shown in the table below,
pursuant to a Plan of Reorganization approved by the Target Fund's shareholders
on February 13, 2003. The transaction was structured for tax purposes to qualify
as a tax-free reorganization under the Internal Revenue Code. Under the
Reorganization Plan, shareholders of the Target Fund received shares in the
Acquiring Fund with a value equal to their holdings in the Target Fund.
Shareholders of the Target Fund received Select Class Shares of the Acquiring
Fund.
The following is a summary of Shares Outstanding, Net Assets, Net Asset Value
Per Share and Net Unrealized Appreciation (Depreciation) immediately before and
after the Reorganization (amounts in thousands, except per share amounts):
JPMORGAN TAX AWARE U.S. EQUITY FUND REORGANIZATION
<Table>
<Caption>
NET ASSET NET
SHARES VALUE UNREALIZED
OUTSTANDING NET ASSETS PER SHARE (DEPRECIATION)
TARGET FUND
JPMorgan Select Large Cap Equity Fund $ (42,215)
Select Class $ 12,404 $ 241,297 $ 19.45
ACQUIRING FUND
JPMorgan Tax Aware U.S. Equity Fund $ (43,722)
Class A 320 $ 4,145 $ 12.97
Class B 224 $ 2,879 $ 12.87
Class C 23 $ 299 $ 12.85
Institutional Class 5,529 $ 51,039 $ 9.23
Select Class 16,879 $ 219,253 $ 12.99
POST REORGANIZATION
JPMorgan Tax Aware U.S. Equity Fund $ (85,937)
Class A 320 $ 4,145 $ 12.97
Class B 224 $ 2,879 $ 12.87
Class C 23 $ 299 $ 12.85
Institutional Class 5,529 $ 51,039 $ 9.23
Select Class 35,452 $ 460,550 $ 12.99
</Table>
71
<Page>
3. SIGNIFICANT ACCOUNTING POLICIES
THE FOLLOWING IS A SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES FOLLOWED BY THE
FUNDS:
The preparation of financial statements in accordance with accounting principles
generally accepted in the United States of America requires management to make
estimates and assumptions that affect the reported amounts and disclosures in
the financial statements. Actual results could differ from those estimates.
A. VALUATION OF INVESTMENTS -- Equity securities, purchased options and futures
contracts are valued at the last sale price on the exchange on which they are
primarily traded. The value of National Market Systems equity securities quotes
by the Nasdaq Stock Market, Inc. shall generally be the Nasdaq Official Closing
Price. Securities for which sale prices are not available and other
over-the-counter securities are valued at the mean between the bid and asked
quotations. Fixed income securities (other than convertible bonds) with a
maturity of 61 days or more held by the Funds will be valued each day based on
readily available market quotations received from independent or affiliated
commercial pricing services. Such pricing services will generally provide
bidside quotations. Convertible bonds are valued at the last sale price on the
primary exchange on which the bond is principally traded. Short-term investments
with 60 days or less to maturity at time of purchase are valued at amortized
cost, which approximates market value. 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. For foreign securities, if activity in the local shares indicates that
a current local price should be used, or the market quotation is determined to
be not readily available or unreliable or material events or conditions
affecting the value of a fund security has occurred since the last sale, such
securities may be valued at fair value in accordance with procedures adopted by
the Trustees. 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. Such events may include
general market movements in markets other than the exchanges on which such
securities are traded (the "local market"), and the fair valuation procedures
applied may include adjusting the local market price to reflect movements in
indices or securities prices in other markets, based on historical
relationships. In addition, the Funds have established a market trigger, such as
a specified percentage rise or fall in the value of a designated benchmark
index. When the market trigger is reached, the quotations of an independent
pricing service will generally be applied for foreign equity securities held by
the Fund.
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.
72
<Page>
Use of long futures contracts subjects the Funds to risk of loss in excess of
amounts shown on the Statement of Assets and Liabilities, up to the notional
value of the futures contracts. Use of short futures contracts subjects the
Funds to unlimited risk of loss. The Funds may enter into futures contracts only
on exchanges or boards of trade. The exchange or board of trade acts as the
counterparty to each futures transaction; therefore, the Fund's credit risk is
limited to failure of the exchange or board of trade.
As of October 31, 2003, the Funds had outstanding futures contracts as listed on
the Funds' Portfolio of Investments.
C. FOREIGN CURRENCY TRANSLATION -- The books and records of the Funds are
maintained in U.S. dollars. Foreign currency amounts are translated into U.S.
dollars at the prevailing exchange rates, or at the mean of the current bid and
asked prices, of such currencies against the U.S. dollar as quoted by a major
bank, on the following basis:
1. Market value of investment securities and other assets and liabilities: at
the rate of exchange at the valuation date.
2. Purchases and sales of investment securities, income and expenses: at the
rates of exchange prevailing on the respective dates of such transactions.
Although the net assets of the Funds are presented at the foreign exchange rates
and market values at the close of the periods, the Funds do not isolate that
portion of the results of operations arising as a result of changes in the
foreign exchange rates from the fluctuations arising from changes in the market
prices of securities held or sold during the year. Accordingly, such realized
foreign currency gains (losses) are included in the reported net realized gains
(losses) on investment transactions.
Reported realized foreign currency gains or losses arise from disposition of
foreign currency, currency gains or losses realized between the trade and
settlement dates on securities transactions, and the difference between the
amounts of dividends, interest and foreign withholding taxes recorded on the
Funds' books on the transaction date and the U.S. dollar equivalent of the
amounts actually received or paid. Unrealized foreign exchange gains and losses
arise from changes (due to the changes in the exchange rate) in the value of
foreign currency and other assets and liabilities denominated in foreign
currencies, which are held at period end.
D. FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS -- The Funds may enter into
forward foreign currency exchange contracts (obligations to purchase or sell
foreign currency in the future on a date and price fixed at the time the
contracts are entered into) to manage the Funds' exposure to foreign currency
exchange fluctuations. Each day the forward contract is open, changes in the
value of the contract are recognized as unrealized gains or losses by "marking
to market." When the forward contract is closed, or the delivery of the currency
is made or taken, the Fund records a realized gain or loss equal to the
difference between the proceeds from (or cost of) the closing transaction and
the Fund's basis in the contract. The Funds are subject to off-balance sheet
risk to the extent of the value of the contracts for purchases of foreign
currency and in an unlimited amount for sales of foreign currency.
As of October 31, 2003, the Funds had outstanding forward foreign currency
exchange contracts as listed on the Funds' Portfolio of Investments.
E. WRITTEN OPTIONS -- When a Fund writes an option, an amount equal to the
premium received by the Fund is included in the Fund's Statement of Assets and
Liabilities as an asset and corresponding liability. The amount of the liability
is adjusted daily to reflect the current market value of the written option and
the change is recorded in a corresponding unrealized gain or loss account. When
a written option expires on its stipulated expiration date, or when a closing
transaction is entered into, the related liability is extinguished and the fund
realizes a gain or loss contingent on whether the cost of the closing
transaction exceeds the premium received when the option was written.
73
<Page>
The Funds write options on securities, futures and interest rate swaps
("swaptions"). These options are settled for cash and subject the Funds to
unlimited risk of loss. The Funds, however, are not subject to credit risk on
written options as the counterparty has already performed its obligation my
paying the premium at the inception of the contract.
As of October 31, 2003, the Funds had written options contracts outstanding as
listed on the Funds' Portfolio of Investments.
Transactions in options written for TAEI and TASI during the period ended
October 31, 2003, were as follows (amounts in thousands):
<Table>
<Caption>
TAEI TASI
--------------------- ---------------------
NUMBER OF PREMIUMS NUMBER OF PREMIUMS
UNITS RECEIVED UNITS RECEIVED
Options outstanding at
October 31, 2002 -- $ -- -- $ --
Options written (282,102) 2,960 (56,200) 264
Options terminated in closing
purchase transactions 282,102 (2,960) 39,600 (247)
Options outstanding at
October 31, 2003 -- -- (16,600) 17
</Table>
F. SWAPS -- The Funds engage in various swap transactions, including forward
rate agreements, interest rate and total return swaps, primarily to manage
duration and curve risk, or as alternatives to direct investments. Unrealized
gains are reported as an asset and unrealized losses are reported as a liability
on the Statement of Assets and Liabilities. The interest to be paid or received
on swaps is reported as unrealized gains or losses in the Statement of
Operations. A realized gain or loss is recorded upon termination of swap
agreements. Swap agreements are stated at fair value. Notional principal amounts
are used to express the extent of involvement in these transactions, but the
amounts potentially subject to credit risk are much smaller.
As of October 31, 2003, the Funds had outstanding swap agreements as listed on
the Funds' Portfolio of Investments.
G. DOLLAR ROLLS -- The Funds may enter into dollar rolls (principally using
TBA's) in which the Funds sell mortgage securities for delivery in the current
month and simultaneously contract to repurchase similar, but not identical,
securities at an agreed-upon price on a fixed date. The Funds account for such
dollar rolls as purchases and sales and receive compensation as consideration
for entering into the commitment to repurchase. Each Fund must maintain liquid
securities having a value not less than the repurchase price (including accrued
interest) for such dollar rolls. The market value of the securities that a Fund
is required to purchase may decline below the agreed upon repurchase price of
those securities.
The Funds had TBA Dollar Rolls outstanding as of October 31, 2003, which are
included in Receivable for Investment securities sold and Payable for Investment
securities purchased on the Statement of Assets and Liabilities. The Funds
segregate assets with a current value at least equal to the amount of their TBA
Dollar Rolls.
74
<Page>
In a "fee" roll, the compensation is recorded as deferred income and amortized
to income over the roll period. The counterparty receives all principal and
interest payments, including prepayments, made in respect of a security subject
to such a contract while it is the holder. Mortgage dollar rolls may be renewed
with a new purchase and repurchase price and a cash settlement made on
settlement date without physical delivery of the securities subject to the
contract. The Funds engage in dollar rolls for the purpose of enhancing their
yields, principally by earning a negotiated fee. The Funds had no fee based
dollar rolls outstanding as of October 31, 2003.
H. RESTRICTED AND ILLIQUID SECURITIES -- The Funds are permitted to invest in
securities that are subject to legal or contractual restrictions on resale or
are illiquid. Restricted securities generally may be resold in transactions
exempt from registration. A security may be considered illiquid if it lacks a
readily available market or if its valuation has not changed for a certain
period of time. Disposal of these securities may involve time-consuming
negotiations and expense, and prompt sale at the current valuation may be
difficult.
I. SECURITY TRANSACTIONS AND INVESTMENT INCOME -- Investment transactions are
accounted for on the trade date (the date the order to buy or sell is executed).
Securities gains and losses are calculated on the identified cost basis.
Interest income is determined on the basis of coupon interest accrued using the
interest method adjusted for amortization of premiums and accretion of
discounts. Dividend income is recorded on the ex-dividend date or when the Funds
first learn of the dividend.
Purchases of To Be Announced (TBA), when-issued or delayed delivery securities
may be settled a month or more after the trade date; interest income is not
accrued until settlement date. It is each Fund's policy to segregate assets with
a current value at least equal to the amount of its TBA, when-issued or delayed
delivery purchase commitments.
J. ALLOCATION OF INCOME AND EXPENSES -- Expenses directly attributable to a Fund
are charged to that Fund; other expenses of the Trusts are allocated
proportionately among each of the Funds within the Trusts in relation to the net
assets of each Fund or on another reasonable basis. Expenses directly
attributable to a particular 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.
K. FEDERAL INCOME TAXES -- Each Fund is treated as a separate taxable entity for
Federal income tax purposes. The policy of the Funds is to comply with the
provisions of the Internal Revenue Code applicable to regulated investment
companies and to distribute to shareholders all of their distributable net
investment income and net realized gain on investments. In addition, the Funds
intend to make distributions as required to avoid excise taxes. Accordingly, no
provision for Federal income or excise tax is necessary.
L. FOREIGN TAXES -- Certain Funds may be subject to foreign taxes on income,
gains on investments or currency repatriation, a portion of which may be
recoverable. The Funds will accrue such taxes and recoveries as applicable,
based upon their current interpretation of tax rules and regulations that exist
in the markets in which they invest.
M. 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.
75
<Page>
The following amounts were reclassified within the capital accounts (amounts in
thousands):
<Table>
<Caption>
ACCUMULATED ACCUMULATED
UNDISTRIBUTED/ NET REALIZED
(OVERDISTRIBUTED) GAIN (LOSS)
PAID-IN-CAPITAL NET INVESTMENT INCOME ON INVESTMENTS
FUND
FTAIO $ -- $ 197 $ (197)
TADE 6,146 (9) (6,137)
TAEI -- -- --
TALCG -- -- --
TALCV -- -- --
TASI -- -- --
TAUSE 37,176 -- (37,176)
</Table>
The reclassifications for FTAIO relate primarily to the character for tax
purposes of current year foreign currency gains & losses and the sale of Passive
Foreign Investment Company ("PFIC"). The reclassifications for TADE relate
primarily to the character for tax purposes of sale of Real Estate Investment
Trust ("REIT") and redemptions in-kind. The reclassifications for TAUSE relate
primarily to the character for tax purposes of temporary differences from
acquired Funds.
N. OTHER EXPENSES -- Other expenses in the Statement of Operations include fees
related to line of credit, insurance, and pricing and reporting services.
4. FEES AND OTHER TRANSACTIONS WITH AFFILIATES
A. INVESTMENT ADVISORY FEE -- Pursuant to the Investment Advisory Agreements,
J.P. Morgan Investment Management, Inc. ("JPMIM" or the "Advisor") acts as the
investment advisor to the Funds. Prior to September 1, 2003, J.P. Morgan Fleming
Asset Management (USA) Inc. ("JPMFAM"), served as the Advisor to TALCG and
TALCV. On September 1, 2003, JPMFAM and Robert Fleming Inc., merged into JPMIM.
Prior to October 1, 2003, JPMIM was a wholly owned subsidiary of J.P. Morgan
Chase & Co. On October 1, 2003, JPMIM became a wholly owned subsidiary of J.P.
Morgan Fleming Asset Management Holdings, Inc., which is a wholly owned
subsidiary of J.P. Morgan Chase & Co. The investment advisory services and
personnel providing investment advice have not changed as a result of the merger
and ownership change. Neither the merger nor the ownership change constituted an
assignment under the 1940 Act or the Investment Advisors Act of 1940. The
Advisor supervises the investments of each respective Fund and for such services
is 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
FTAIO 0.85
TADE 0.35
TAEI 0.25
TALCG 0.40
TALCV 0.40
TASI 0.25
TAUSE 0.45
</Table>
76
<Page>
The Advisor waived fees as outlined in Note 4.F.
The Funds may invest in one or more of the affiliated JPMorgan Money Market
Funds. The Advisor has agreed to waive and/or reimburse its advisory fee from
the Funds in an amount sufficient to offset any doubling up of investment
advisory, administration and shareholder servicing fees related to each Fund's
investment in an affiliated money market fund.
B. DISTRIBUTION FEES -- Pursuant to the Distribution Agreement, J.P. Morgan Fund
Distributors, Inc. ("JPMFD" or "Distributor"), a wholly-owned subsidiary of The
BISYS Group, Inc., serves as the Trusts' exclusive underwriter and promotes and
arranges for the sale of each Fund's shares. JPMFD receives no compensation in
its capacity as the Funds' underwriter.
The Trustees have adopted Distribution Plans (the "Distribution Plans") for
Class A, B, and C Shares of the Funds in accordance with Rule 12b-1 under the
1940 Act. The Distribution Plans provide that each Fund shall pay distribution
fees, including payments to the Distributor, at annual rates of the average
daily net assets as shown in the table below (%):
<Table>
<Caption>
CLASS A CLASS B CLASS C
FUND
FTAIO 0.25 n/a n/a
TAEI 0.25 n/a n/a
TAUSE 0.25 0.75 0.75
</Table>
In addition, JPMFD receives any contingent deferred sales charge ("CDSC") from
redemptions of Class B and C shares.
C. SHAREHOLDER SERVICING FEES -- The Trusts have entered into Shareholder
Servicing Agreements on behalf of the Funds with JPMorgan Chase Bank ("JPMCB"),
under which JPMCB provides account administration and personal account
maintenance services to the shareholders. 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
FTAIO 0.25 n/a n/a 0.10 n/a
TADE n/a n/a n/a 0.10 n/a
TAEI 0.25 n/a n/a 0.10 0.25
TALCG n/a n/a n/a n/a 0.25
TALCV n/a n/a n/a n/a 0.25
TASI n/a n/a n/a 0.10 0.25
TAUSE 0.25 0.25 0.25 0.10 0.25
</Table>
77
<Page>
In addition, JPMCB, Charles Schwab & Co. ("Schwab") and the Trusts are parties
to separate servicing and operating agreements (the "Schwab Agreements") whereby
Schwab makes shares of the Funds available to customers of investment advisors
and other financial intermediaries who are Schwab's clients. The Funds are not
responsible for payments to Schwab under the Schwab Agreements; however, in the
event the servicing agreement with Schwab is terminated for reasons other than a
breach by Schwab and the relationships between Schwab, the Trusts and JPMCB 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 4.F.
D. CUSTODIAN AND ACCOUNTING FEES JPMCB -- provides portfolio accounting and
custody services for the Funds. Compensation for such services is presented in
the Statement of Operations as custodian fees. The custodian fees may be reduced
by credits earned by each Fund, based on uninvested cash balances held by the
custodian. Such earnings credits are presented separately in the Statement of
Operations.
E. ADMINISTRATION FEE -- Pursuant to the Administration Agreement, JPMCB (the
"Administrator") provides certain administration services to the Funds. In
consideration of these services, the Administrator receives a fee computed daily
and paid monthly at the annual rate of 0.15% of the first $25 billion of the
average daily net assets of all non-money market funds in the JPMorgan Fund
Complex and 0.075% of the average daily net assets in excess of $25 billion.
BISYS Fund Services, L.P. ("BISYS") serves as the 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
FTAIO 1.80 n/a n/a 1.00 n/a
TADE n/a n/a n/a 0.55 n/a
TAEI 0.75 n/a n/a 0.25 0.50
TALCG n/a n/a n/a n/a 0.85
TALCV n/a n/a n/a n/a 0.85
TASI n/a n/a n/a 0.35 0.50
TAUSE 1.10 1.60 1.60 0.70 0.84
</Table>
78
<Page>
The contractual expense limitation agreements were in effect for the year ended
October 31, 2003 for the Funds. The expense limitation percentages in the table
above are due to expire as follows:
<Table>
<Caption>
INSTITUTIONAL SELECT
CLASS A CLASS B CLASS C CLASS CLASS
FUND
FTAIO 2/28/04 n/a n/a 2/28/04 n/a
TADE n/a n/a n/a 2/28/05 n/a
TAEI 2/28/04 n/a n/a 2/28/05 2/28/05
TALCG n/a n/a n/a n/a 2/28/04
TALCV n/a n/a n/a n/a 2/28/04
TASI n/a n/a n/a 12/31/03 12/31/03
TAUSE 2/28/05 2/28/05 2/28/05 2/28/05 3/31/06
</Table>
The Administrator waived fees and/or reimbursed expenses as outlined in Note
4.F.
F. WAIVERS AND REIMBURSEMENTS -- For the year ended October 31, 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 TOTAL REIMBURSEMENTS
FUND
FTAIO $ 227 $ 192 $ 139 $ 558 $ 5
TADE -- 110 187 297 --
TAEI 814 3,419 1,869 6,102 --
TALCG -- -- 52 52 --
TALCV 4 -- 2 6 --
TASI @ 53 370 177 600 --
TAUSE -- 416 52 468 35
Total $ 1,098 $ 4,507 $ 2,478 $ 8,083 $ 40
</Table>
@ For the period 12/20/02 to 10/31/03
G. OTHER -- Certain officers of the Trusts are officers of J.P. Morgan Chase &
Co. or of BISYS or their subsidiaries.
During the period certain Funds may have purchased securities from an
underwriting syndicate in which the principal underwriter or members of the
syndicate are affiliated with the Advisors.
The Funds may use related-party broker/dealers. For the year ended October 31,
2003, TADE, TALCG, TALCV and TAUSE incurred approximately (in thousands) $ - +,
$4, $10 and $40, respectively, in brokerage commissions with broker/dealers
affiliated with JPMCB.
The SEC has granted an exemptive order permitting each Fund to engage in
principal transactions with J.P. Morgan Securities Inc., an affiliated broker,
involving taxable money market instruments subject to certain conditions.
+ Amount rounds to less than one thousand.
79
<Page>
5. CLASS SPECIFIC EXPENSES
The Funds' class specific expenses for the year ended October 31, 2003 are as
follows (amounts in thousands):
<Table>
<Caption>
SHAREHOLDER
FUND SERVICING DISTRIBUTION TRANSFER AGENT
FTAIO
Class A $ 16 $ 16 $ 40
Class B --^ --^ --^
Class C --^ --^ --^
Institutional 128 -- 44
- -------------------------------------------------------------------------------------------------
$ 144 $ 16 $ 84
TADE
Institutional $ 187 $ -- $ 50
- -------------------------------------------------------------------------------------------------
TAEI
Class A $ 55 $ 55 $ 16
Institutional 1,888 -- 48
Select 923 -- 34
- -------------------------------------------------------------------------------------------------
$ 2,866 $ 55 $ 98
TALCG
Select $ 653 $ -- $ 20
- -------------------------------------------------------------------------------------------------
TALCV
Select $ 829 $ -- $ 20
- -------------------------------------------------------------------------------------------------
TASI @
Institutional $ 175 $ -- $ 19
Select 221 -- 16
- -------------------------------------------------------------------------------------------------
$ 396 $ -- $ 35
TAUSE
Class A $ 11 $ 11 $ 32
Class B 7 22 21
Class C 1 2 2
Institutional 68 -- 87
Select 1,044 -- 22
- -------------------------------------------------------------------------------------------------
$ 1,131 $ 35 $ 164
- -------------------------------------------------------------------------------------------------
</Table>
^ Amount rounds to less than one thousand.
@ For the period 12/20/02 to 10/31/03.
80
<Page>
6. CLASS SPECIFIC DISTRIBUTIONS
The Funds' class specific distributions from net investment income and realized
gain on investment transactions for the year ended October 31, 2003 and October
31, 2002 are as follows (amounts in thousands):
<Table>
<Caption>
YEAR ENDED 10/31/03 YEAR ENDED 10/31/02
--------------------------------- ---------------------------------
NET NET
FUND INVESTMENT INCOME REALIZED GAIN INVESTMENT INCOME REALIZED GAIN
FTAIO
Class A $ 64 $ -- $ 6 $ --
Class B 1 -- -- --
Class C --^ -- -- --
Institutional 1,521 -- 540 --
- ------------------------------------------------------------------------------------------------------------------------
$ 1,586 $ -- $ 546 $ --
TADE
Institutional $ 2,258 $ -- $ 3,600 $ --
- ------------------------------------------------------------------------------------------------------------------------
TAEI
Class A $ 307 $ -- $ 166 $ --^
Institutional 35,853 -- 28,885 630
Select 6,020 -- 4,259 104
- ------------------------------------------------------------------------------------------------------------------------
$ 42,180 $ -- $ 33,310 $ 734
TALCG
Select $ 734 $ -- $ 934* $ --
- ------------------------------------------------------------------------------------------------------------------------
TALCV
Select $ 5,208 $ -- $ 4,354* $ --
- ------------------------------------------------------------------------------------------------------------------------
TASI @
Institutional $ 3,989 $ --
Select 1,908 --
- ------------------------------------------------------------------------------------------------------------------------
$ 5,897 $ --
TAUSE
Class A $ 22 $ -- $ 23 $ --
Class B 5 -- 4 --
Class C 1 -- --^ --
Institutional 988 -- 560 --
Select 3,076 -- 1,688 --
- ------------------------------------------------------------------------------------------------------------------------
$ 4,092 $ -- $ 2,275 --
- ------------------------------------------------------------------------------------------------------------------------
</Table>
@ For the period 12/20/02 to 10/31/03.
* For period 1/1/02 to 10/31/02. For period 11/1/01 to 12/31/01, distributions
from net investment income were $601 and $579 for TALCG and TALCV,
respectively.
^ Amount rounds to less than one thousand
81
<Page>
7. INVESTMENT TRANSACTIONS
For the year ended October 31, 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
FTAIO $ 104,708 $ 146,985 $ -- $ --
TADE 85,549 132,716 -- --
TAEI 2,606,492 1,946,372 3,095,970 3,179,488
TALCG 89,035 111,389 -- --
TALCV 108,742 132,358 -- --
TASI @ 874,452 354,322 540,081 498,093
TAUSE 226,203 59,866 -- --
</Table>
@ For the period 12/20/02 to 10/31/03.
8. FEDERAL INCOME TAX MATTERS
For Federal income tax purposes, the cost and unrealized appreciation
(depreciation) in value of the investment securities at October 31, 2003, are as
follows (amounts in thousands):
<Table>
<Caption>
GROSS GROSS NET UNREALIZED
AGGREGATE UNREALIZED UNREALIZED APPRECIATION
COST APPRECIATION (DEPRECIATION) (DEPRECIATION)
FUND
FTAIO $ 117,464 $ 20,962 $ (1,462) $ 19,500
TADE 164,265 25,345 (8,923) 16,422
TAEI 2,532,632 7,641 (949) 6,692
TALCG 262,994 16,871 (14,323) 2,548
TALCV 344,095 37,522 (34,264) 3,258
TASI 574,972 3,809 (325) 3,484
TAUSE 734,063 60,609 (56,520) 4,089
</Table>
82
<Page>
The tax character of distributions paid during the periods indicated were as
follows (amounts in thousands):
<Table>
<Caption>
ORDINARY TAX EXEMPT LONG-TERM RETURN OF TOTAL
INCOME INCOME CAPITAL GAIN CAPITAL DISTRIBUTIONS
YEAR ENDED
10/31/03
FTAIO $ 1,586 $ -- $ -- $ -- $ 1,586
TADE 2,258 -- -- -- 2,258
TAEI 17,259 24,921 -- -- 42,180
TALCG 734 -- -- -- 734
TALCV 5,208 -- -- -- 5,208
TASI @ 1,442 4,455 -- -- 5,897
TAUSE 4,092 -- -- -- 4,092
</Table>
@ For the period 12/20/02 to 10/31/03.
<Table>
<Caption>
ORDINARY TAX EXEMPT LONG-TERM RETURN OF TOTAL
INCOME INCOME CAPITAL GAIN CAPITAL DISTRIBUTIONS
YEAR ENDED
10/31/02
FTAIO $ 546 $ -- $ -- $ -- $ 546
TADE 3,600 -- -- -- 3,600
TAEI 10,826 23,218 -- -- 34,044
TAUSE 2,275 -- -- -- 2,275
<Caption>
ORDINARY TAX EXEMPT LONG-TERM RETURN OF TOTAL
INCOME INCOME CAPITAL GAIN CAPITAL DISTRIBUTIONS
1/1/02 THROUGH
10/31/02
TALCG $ 934 $ -- $ -- $ -- $ 934
TALCV 4,354 -- -- -- 4,354
<Caption>
ORDINARY TAX EXEMPT LONG-TERM RETURN OF TOTAL
INCOME INCOME CAPITAL GAIN CAPITAL DISTRIBUTIONS
11/01/01 THROUGH
12/31/01
TALCG $ 601 $ -- $ -- $ -- $ 601
TALCV 579 -- -- -- 579
</Table>
83
<Page>
At October 31, 2003, the components of net assets (excluding paid in capital) on
a tax basis were as follows (amounts in thousands):
<Table>
<Caption>
FTAIO TADE TAEI
Current distributable ordinary income $ 2,773 $ 247 $ 308
Plus/Less: cumulative timing differences --^ -- (308)
Undistributed ordinary income or
(overdistribution of ordinary income) $ 2,773 $ 247 $ --
Current distributable tax-exempt income -- -- $ 270
Plus/Less: cumulative timing differences -- -- (438)
Undistributed tax-exempt income or
(overdistribution of tax-exempt income) -- -- $ (168)
Current distributable long-term capital
gain or (tax basis capital loss carryover) $ (57,547) $ (127,940) $ (7,658)
Plus/Less: cumulative timing differences -- -- --
Undistributed long-term gains/
accumulated capital loss $ (57,547) $ (127,940) $ (7,658)
Unrealized appreciation (depreciation) $ 19,514 $ 16,420 $ (962)
<Caption>
TALCG TALCV TASI @
Current distributable ordinary income $ 143 $ 439 $ 191
Plus/Less: cumulative timing differences (113) (603) (191)
Undistributed ordinary income or
(overdistribution of ordinary income) $ 30 $ (164) $ --
Current distributable tax-exempt income -- -- $ 833
Plus/Less: cumulative timing differences -- -- (619)
Undistributed tax-exempt income or
(overdistribution of tax-exempt income) -- -- $ 214
Current distributable long-term capital
gain or (tax basis capital loss carryover) $ (117,359) $ (36,816) $ (4,406)
Plus/Less: cumulative timing differences -- -- --
Undistributed long-term gains/
accumulated capital loss $ (117,359) $ (36,816) $ (4,406)
Unrealized appreciation (depreciation) $ 2,548 $ 3,259 $ 3,589
</Table>
@ For the period 12/20/02 to 10/31/03.
^ Amount rounds to less than one thousand.
84
<Page>
<Table>
<Caption>
TAUSE
Current distributable ordinary income $ 858
Plus/Less: cumulative timing differences (34)
Undistributed ordinary income or
(overdistribution of ordinary income) $ 824
Current distributable long-term capital
gain or (tax basis capital loss carryover) $ (88,032)
Plus/Less: cumulative timing differences --
Undistributed long-term gains/
accumulated capital loss $ (88,032)
Unrealized appreciation (depreciation) $ 4,088
</Table>
For TADE, TALCG, TALCV and TAUSE, the difference between book and tax basis
unrealized appreciation/(depreciation) is primarily attributed to wash sale loss
deferrals. For FTAIO, the difference between book and tax basis unrealized
appreciation/(depreciation) is due to wash sale loss deferrals, the mark to
market of forward currency exchange contracts and investments in passive foreign
investment companies. For TAEI, the difference between book and tax basis
unrealized appreciation/(depreciation) is primarily attributed to wash sale loss
deferrals and the mark to market of futures contracts. For TASI, the difference
between book and tax basis unrealized appreciation/(depreciation) is primarily
attributed to the mark to market of futures contracts. For FTAIO, TALCG and
TAUSE, the cumulative timing difference account primarily consists of deferred
compensation. For TAEI, TALCV and TASI, the cumulative timing difference account
primarily consists of deferred compensation and dividends payable.
85
<Page>
At October 31, 2003, the following Funds have capital loss carryovers, which
will be available to offset capital gains. To the extent that any net capital
loss carryovers are used to offset future capital gains, it is probable that the
gains so offset will not be distributed to shareholders (amounts in thousands):
<Table>
<Caption>
EXPIRATION
AMOUNT DATE
FUND
FTAIO $ (12,668) October 31, 2009
(27,648) October 31, 2010
(17,231) October 31, 2011
- -----------------------------------------------------------
(57,547)
- -----------------------------------------------------------
TADE $ (802) October 31, 2006
(23,888) October 31, 2008
(36,384) October 31, 2009
(50,933) October 31, 2010
(15,933) October 31, 2011
- -----------------------------------------------------------
(127,940)
- -----------------------------------------------------------
TAEI $ (1,458) October 31, 2010
(6,200) October 31, 2011
- -----------------------------------------------------------
(7,658)
- -----------------------------------------------------------
TALCG $ (50,266) October 31, 2009
(37,056) October 31, 2010
(30,037) October 31, 2011
- -----------------------------------------------------------
(117,359)
- -----------------------------------------------------------
TALCV $ (461) October 31, 2009
(27,000) October 31, 2010
(9,355) October 31, 2011
- -----------------------------------------------------------
(36,816)
- -----------------------------------------------------------
TASI $ (4,406) October 31, 2011
- -----------------------------------------------------------
TAUSE* $ (81) October 31, 2005
(498) October 31, 2006
(21,834) October 31, 2007
(6,281) October 31, 2008
(21,016) October 31, 2009
(28,104) October 31, 2010
(10,218) October 31, 2011
- -----------------------------------------------------------
(88,032)
- -----------------------------------------------------------
</Table>
* The TAUSE capital loss carryover includes $37,151 (amount in thousands) of
losses acquired from JPMorgan Select Large Cap Equity Fund. Utilization of
these losses will be subject to an annual limitation as prescribed by the
Internal Revenue Code.
86
<Page>
9. BANK BORROWINGS
Pursuant to a Line of Credit Agreement dated April 17, 2003, the Funds may
borrow money for temporary or emergency purposes. The Funds have entered into
the agreement, enabling them to participate with other JPMorgan Funds in a line
of credit with JPMCB, as administrative agent, and with a syndicate of banks,
which permits borrowings up to $250 million, collectively. Interest is charged
to each Fund based on its borrowings at an annual rate equal to the sum of the
Federal Funds Rate plus 0.50%. The Funds also pay a commitment fee of 0.09% per
annum on the average daily amount of the available commitment, which is
allocated on a pro-rata basis to the Funds. The commitment fee is included in
Other expenses on the Statement of Operations. This agreement will expire on
April 15, 2004.
Prior to April 17, 2003, the Funds had entered into an agreement, enabling them
to participate with other JPMorgan Funds in an unsecured line of credit with a
syndicate of banks, which permitted borrowings up to $400 million, collectively.
Interest was charged to each Fund based on its borrowings at an annual rate
equal to the sum of the Federal Funds Rate plus 0.50%. The Funds also paid a
commitment fee of 0.09% per annum on the average daily amount of the available
commitment, which was allocated on a pro-rata basis to the Funds. This agreement
expired on April 16, 2003. The commitment fee is included in Other expenses on
the Statement of Operations.
The Funds had no borrowings outstanding at October 31, 2003, nor at anytime
during the year then ended.
10. CONCENTRATIONS AND INDEMNIFICATIONS
FTAIO may have elements of risk not typically associated with investments in the
United States of America due to concentrated investments in a limited number of
countries or regions, which may vary throughout the year. Such concentrations
may subject FTAIO to additional risks resulting from political or economic
conditions in such countries or regions and the possible imposition of adverse
governmental laws or currency exchange restrictions could cause the securities
and their markets to be less liquid and their prices more volatile than those of
comparable U.S. securities.
As of October 31, 2003, substantially all of the net assets of FTAIO consist of
securities of issuers which are denominated in foreign currencies. Changes in
currency exchange rates will affect the value of investment income from such
securities.
As of October 31, 2003, FTAIO invested 24.4% of its total investments in the
United Kingdom. The issuers' abilities to meet their obligations may be affected
by economic or political developments in the specific region or country.
From time to time, the Funds may have a concentration of several shareholders
which may be a related party, holding a significant percentage of shares
outstanding. Investment activities of these shareholders could have a material
impact on the Funds.
In the normal course of business the Funds enter into contracts that contain a
variety of representations which provide general indemnifications. Each Fund's
maximum exposure under these arrangements is unknown as this would involve
future claims that may be made against each Fund that have not yet occurred.
However, based on experience, the Funds expect the risk of loss to be remote.
11. SUBSEQUENT EVENT
As approved by the Trustees and effective November 17, 2003, the Funds will
apply fair value pricing on a daily basis for all non-U.S. and non-Canadian
equity securities held in their portfolios by utilizing the quotations of an
independent pricing service, unless JPMIM determines that use of another fair
valuation methodology is appropriate. The pricing service uses statistical
analyses and quantitative models to adjust local market prices using factors
such as subsequent movements in prices of indices and securities in other
markets to help determine fair value as of the time a Fund calculates its net
asset value. The fair value pricing will be implemented at the close of regular
trading of the Fund, regardless of whether a market trigger has
occurred.
87
<Page>
12. CAPITAL SHARE TRANSACTIONS
Capital share transactions were as follows for the periods presented (amounts in
thousands):
<Table>
<Caption>
FLEMING TAX AWARE INTERNATIONAL
OPPURTUNITIES FUND
------------------------------------
YEAR ENDED YEAR ENDED
OCTOBER 31, 2003 OCTOBER 31, 2002
CLASS A SHARES
AMOUNT
Shares sold $ 3,769 $ 8,971
Shares issued in reinvestment
of distributions 22 3
Shares redeemed (5,998) (4,248)
- -----------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ (2,207) $ 4,726
- -----------------------------------------------------------------------------------------
SHARES
Shares sold 358 740
Shares issued in reinvestment
of distributions 2 --^
Shares redeemed (546) (380)
- -----------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding (186) 360
- -----------------------------------------------------------------------------------------
CLASS B SHARES*
AMOUNT
Shares sold $ 21 $ 219
Shares issued in reinvestment
of distributions 1 --
Shares redeemed (84) (192)
- -----------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ (62) $ 27
- -----------------------------------------------------------------------------------------
SHARES
Shares sold 2 20
Shares issued in reinvestment
of distributions --^ --
Shares redeemed (7) (17)
- -----------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding (5) 3
- -----------------------------------------------------------------------------------------
</Table>
^ Amount rounds to less than one thousand.
* Class ceased operations as of September 12, 2003.
88
<Page>
<Table>
<Caption>
FLEMING TAX AWARE INTERNATIONAL
OPPURTUNITIES FUND (CONTINUED)
------------------------------------
YEAR ENDED YEAR ENDED
OCTOBER 31, 2003 OCTOBER 31, 2002
CLASS C SHARES*
AMOUNT
Shares sold $ 825 $ 821
Shares issued in reinvestment
of distributions --^ --
Shares redeemed (836) (825)
- -----------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ (11) $ (4)
- -----------------------------------------------------------------------------------------
SHARES
Shares sold 75 73
Shares issued in reinvestment
of distributions --^ --
Shares redeemed (76) (73)
- -----------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding (1) --
- -----------------------------------------------------------------------------------------
INSTITUTIONAL SHARES
AMOUNT
Shares sold $ 27,732 $ 94,416
Shares issued in reinvestment
of distributions 336 127
Shares redeemed (67,484) (102,012)
- -----------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ (39,416) $ (7,469)
- -----------------------------------------------------------------------------------------
SHARES
Shares sold 2,472 7,557
Shares issued in reinvestment
of distributions 30 10
Shares redeemed (6,140) (8,201)
- -----------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding (3,638) (634)
- -----------------------------------------------------------------------------------------
</Table>
^ Amount rounds to less than one thousand.
* Class ceased operations as of September 12, 2003.
89
<Page>
<Table>
<Caption>
TAX AWARE DISCIPLINED EQUITY FUND
------------------------------------
YEAR ENDED YEAR ENDED
OCTOBER 31, 2003 OCTOBER 31, 2002
INSTITUTIONAL SHARES
AMOUNT
Shares sold $ 34,911 $ 161,630
Subscription in-kind 21,173 --
Shares issued in reinvestment
of distributions 1,703 2,680
Shares redeemed (81,796) (188,435)
Redemption in-kind (22,866) (50,422)
- -----------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ (46,875) $ (74,547)
- -----------------------------------------------------------------------------------------
SHARES
Shares sold 2,855 12,045
Subscription in-kind 1,812 --
Shares issued in reinvestment
of distributions 140 191
Shares redeemed (6,791) (13,972)
Redemption in-kind (1,647) (3,533)
- -----------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding (3,631) (5,269)
- -----------------------------------------------------------------------------------------
</Table>
90
<Page>
<Table>
<Caption>
TAX AWARE ENHANCED
INCOME FUND
------------------------------------
YEAR ENDED YEAR ENDED
OCTOBER 31, 2003 OCTOBER 31, 2002*
CLASS A SHARES
AMOUNT
Shares sold $ 26,951 $ 27,851
Shares issued in reinvestment
of distributions 263 139
Shares redeemed (23,564) (9,188)
- -----------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ 3,650 $ 18,802
- -----------------------------------------------------------------------------------------
SHARES
Shares sold 2,668 2,754
Shares issued in reinvestment
of distributions 26 14
Shares redeemed (2,333) (909)
- -----------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding 361 1,859
- -----------------------------------------------------------------------------------------
INSTITUTIONAL SHARES
AMOUNT
Shares sold $ 1,652,863 $ 1,569,397
Shares issued in reinvestment
of distributions 30,174 25,569
Shares redeemed (1,278,324) (870,067)
- -----------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ 404,713 $ 724,899
- -----------------------------------------------------------------------------------------
SHARES
Shares sold 163,883 155,388
Shares issued in reinvestment
of distributions 2,994 2,532
Shares redeemed (126,874) (86,164)
- -----------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding 40,003 71,756
- -----------------------------------------------------------------------------------------
SELECT SHARES
AMOUNT
Shares sold $ 417,915 $ 285,072
Shares issued in reinvestment
of distributions 3,056 2,869
Shares redeemed (253,391) (194,742)
- -----------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ 167,580 $ 93,199
- -----------------------------------------------------------------------------------------
SHARES
Shares sold 41,364 28,199
Shares issued in reinvestment
of distributions 303 284
Shares redeemed (25,111) (19,269)
- -----------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding 16,556 9,214
- -----------------------------------------------------------------------------------------
</Table>
* For Class A Shares, from commencement of offering on November 30, 2001.
91
<Page>
<Table>
<Caption>
TAX AWARE LARGE CAP GROWTH FUND
--------------------------------------------------------------
YEAR ENDED PERIOD ENDED PERIOD ENDED
OCTOBER 31, 2003 OCTOBER 31, 2002(a) DECEMBER 31, 2001(b)
SELECT SHARES
AMOUNT
Shares sold $ 35,341 $ 17,363 $ 3,476
Shares issued in reinvestment
of distributions 15 16 9
Shares redeemed (57,206) (97,070) (21,076)
- -------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ (21,850) $ (79,691) $ (17,591)
- -------------------------------------------------------------------------------------------------------------------
SHARES
Shares sold 2,626 1,174 200
Shares issued in reinvestment
of distributions 1 1 1
Shares redeemed (4,180) (6,408) (1,213)
- -------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding (1,553) (5,233) (1,012)
- -------------------------------------------------------------------------------------------------------------------
</Table>
(a) The Fund changed its fiscal year end from December 31 to October 31.
(b) The Fund changed its fiscal year end from October 31 to December 31.
92
<Page>
<Table>
<Caption>
TAX AWARE LARGE CAP VALUE FUND
--------------------------------------------------------------
YEAR ENDED PERIOD ENDED PERIOD ENDED
OCTOBER 31, 2003 OCTOBER 31, 2002(a) DECEMBER 31, 2001(b)
SELECT SHARES
AMOUNT
Shares sold $ 55,219 $ 32,489 $ 2,296
Shares issued in reinvestment
of distributions 121 35 2
Shares redeemed (85,359) (44,202) (20,687)
- -------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ (30,019) $ (11,678) $ (18,389)
- -------------------------------------------------------------------------------------------------------------------
SHARES
Shares sold 3,339 1,853 117
Shares issued in reinvestment
of distributions 7 2 --^
Shares redeemed (5,101) (2,451) (1,067)
- -------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding (1,755) (596) (950)
- -------------------------------------------------------------------------------------------------------------------
</Table>
(a) The Fund changed its fiscal year end from December 31 to October 31.
(b) The Fund changed its fiscal year end from October 31 to December 31.
^ Amount rounds to less than one thousand.
93
<Page>
<Table>
<Caption>
TAX AWARE SHORT-INTERMEDIATE
INCOME FUND
-----------------------------
PERIOD ENDED
OCTOBER 31, 2003*
INSTITUTIONAL SHARES
AMOUNT
Shares sold $ 374,926
Shares issued in reinvestment
of distributions 1,400
Shares redeemed (39,517)
- ---------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ 336,809
- ---------------------------------------------------------------------------------------------
SHARES
Shares sold 37,278
Shares issued in reinvestment
of distributions 139
Shares redeemed (3,931)
- ---------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding 33,486
- ---------------------------------------------------------------------------------------------
SELECT SHARES
AMOUNT
Shares sold $ 216,722
Shares issued in reinvestment
of distributions 322
Shares redeemed (15,921)
- ---------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ 201,123
- ---------------------------------------------------------------------------------------------
SHARES
Shares sold 21,556
Shares issued in reinvestment
of distributions 32
Shares redeemed (1,579)
- ---------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding 20,009
- ---------------------------------------------------------------------------------------------
</Table>
* From commencement of offering on December 20, 2002.
94
<Page>
<Table>
<Caption>
TAX AWARE U.S. EQUITY FUND
------------------------------------
YEAR ENDED YEAR ENDED
OCTOBER 31, 2003 OCTOBER 31, 2002
CLASS A SHARES
AMOUNT
Shares sold $ 759 $ 5,976
Shares issued in reinvestment
of distributions 19 19
Shares redeemed (1,365) (958)
- -----------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ (587) $ 5,037
- -----------------------------------------------------------------------------------------
SHARES
Shares sold 57 378
Shares issued in reinvestment
of distributions 1 1
Shares redeemed (105) (69)
- -----------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding (47) 310
- -----------------------------------------------------------------------------------------
CLASS B SHARES
AMOUNT
Shares sold $ 708 $ 2,946
Shares issued in reinvestment
of distributions 5 4
Shares redeemed (1,093) (633)
- -----------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ (380) $ 2,317
- -----------------------------------------------------------------------------------------
SHARES
Shares sold 54 187
Shares issued in reinvestment
of distributions --^ --^
Shares redeemed (81) (43)
- -----------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding (27) 144
- -----------------------------------------------------------------------------------------
CLASS C SHARES
AMOUNT
Shares sold $ 162 $ 333
Shares issued in reinvestment
of distributions --^ --^
Shares redeemed (105) (121)
- -----------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ 57 $ 212
- -----------------------------------------------------------------------------------------
SHARES
Shares sold 12 21
Shares issued in reinvestment
of distributions --^ --^
Shares redeemed (8) (7)
- -----------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding 4 14
- -----------------------------------------------------------------------------------------
</Table>
^ Amount rounds to less than one thousand.
95
<Page>
<Table>
<Caption>
TAX AWARE U.S. EQUITY FUND (CONTINUED)
------------------------------------
YEAR ENDED YEAR ENDED
OCTOBER 31, 2003 OCTOBER 31, 2002
INSTITUTIONAL SHARES
AMOUNT
Shares sold $ 72,814 $ 64,704
Shares issued in reinvestment
of distributions 700 366
Shares redeemed (20,456) (16,770)
Redemption in-kind -- (10,024)
- -----------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ 53,058 $ 38,276
- -----------------------------------------------------------------------------------------
SHARES
Shares sold 7,469 5,750
Shares issued in reinvestment
of distributions 72 35
Shares redeemed (2,100) (1,562)
Redemption in-kind -- (834)
- -----------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding 5,441 3,389
- -----------------------------------------------------------------------------------------
SELECT SHARES
AMOUNT
Shares sold $ 211,352 $ 92,692
Shares issued in connection with
Fund Reorganization (Note 2) 241,297 --
Shares issued in reinvestment
of distributions 1,080 1,141
Shares redeemed (90,106) (64,049)
Redemption in-kind -- (16,421)
- -----------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ 363,623 $ 13,363
- -----------------------------------------------------------------------------------------
SHARES
Shares sold 15,611 6,260
Shares issued in connection with
Fund Reorganization (Note 2) 18,573 --
Shares issued in reinvestment
of distributions 80 76
Shares redeemed (6,534) (4,345)
Redemption in-kind -- (1,000)
- -----------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding 27,730 991
- -----------------------------------------------------------------------------------------
</Table>
96
<Page>
THIS PAGE IS INTENTIONALLY LEFT BLANK
<Page>
JPMorgan Funds
FINANCIAL HIGHLIGHTS
CLASS A SHARES
<Table>
<Caption>
PER SHARE OPERATING PERFORMANCE:
-------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS: LESS DISTRIBUTIONS:
--------------------------------------- ------------------------------------------
NET GAINS
OR LOSSES ON
NET ASSET NET SECURITIES DIVIDENDS
VALUE, INVESTMENT (BOTH TOTAL FROM FROM NET DISTRIBUTIONS
BEGINNING INCOME REALIZED AND INVESTMENT INVESTMENT FROM CAPITAL TOTAL
OF PERIOD (LOSS) UNREALIZED) OPERATIONS INCOME GAINS DISTRIBUTIONS
FLEMING TAX AWARE INTERNATIONAL
OPPORTUNITIES FUND
Year Ended 10/31/03 $ 10.90 0.06^ 2.51 2.57 0.11 -- 0.11
Year Ended 10/31/02 $ 12.38 0.06 (1.53) (1.47) 0.01 -- 0.01
4/30/01* Through 10/31/01 $ 15.00 0.08^ (2.70) (2.62) -- -- --
TAX AWARE ENHANCED
INCOME FUND
Year Ended 10/31/03 $ 10.08 0.14 (0.03) 0.11 0.14 -- 0.14
11/30/01* Through 10/31/02 $ 10.10 0.16 (0.01) 0.15 0.16 0.01 0.17
TAX AWARE U.S. EQUITY FUND
Year Ended 10/31/03 $ 12.86 0.09^ 2.01 2.10 0.07 -- 0.07
Year Ended 10/31/02 $ 15.58 0.10 (2.71) (2.61) 0.11 -- 0.11
4/16/01* Through 10/31/01 $ 16.88 0.03^ (1.27) (1.24) 0.06 -- 0.06
</Table>
* Commencement of offering of class of shares.
^ Calculated based on average shares outstanding.
(1) Total return figures do not include the effect of any front-end or deferred
sales load.
(b) Not annualized for periods less than one year.
# Short periods have been annualized.
+ Due to the size of net assets and fixed expenses, ratios may appear
disproportionate with other classes.
SEE NOTES TO FINANCIAL STATEMENTS.
98
<Page>
<Table>
<Caption>
PER SHARE OPERATING PERFORMANCE: RATIOS/SUPPLEMENTAL DATA:
-------------------------------- ------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
-------------------------------
NET ASSETS, NET
NET ASSET END OF INVESTMENT
VALUE, END TOTAL PERIOD NET INCOME
OF PERIOD RETURN (1)(b) (MILLIONS) EXPENSES (LOSS)
FLEMING TAX AWARE INTERNATIONAL
OPPORTUNITIES FUND
Year Ended 10/31/03 $ 13.36 23.77% $ 6 1.80% 0.54%
Year Ended 10/31/02 $ 10.90 (11.85%) $ 7 1.80% 0.40%
4/30/01* Through 10/31/01 $ 12.38 (17.47%) $ 4 1.80% 0.29%
TAX AWARE ENHANCED
INCOME FUND
Year Ended 10/31/03 $ 10.05 1.12% $ 22 0.75% 1.38%
11/30/01* Through 10/31/02 $ 10.08 1.42% $ 19 0.75% 1.55%
TAX AWARE U.S. EQUITY FUND
Year Ended 10/31/03 $ 14.89 16.37% $ 5 1.10% 0.68%
Year Ended 10/31/02 $ 12.86 (16.89%) $ 5 1.10% 0.52%
4/16/01* Through 10/31/01 $ 15.58 (7.38%) $ 1 1.04% 0.33%
<Caption>
RATIOS/SUPPLEMENTAL DATA:
--------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
----------------------------------------------
NET INVESTMENT
EXPENSES INCOME (LOSS)
WITHOUT WAIVERS, WITHOUT WAIVERS, PORTFOLIO
REIMBURSEMENTS REIMBURSEMENTS TURNOVER
AND EARNINGS CREDITS AND EARNINGS CREDITS RATE (b)
FLEMING TAX AWARE INTERNATIONAL
OPPORTUNITIES FUND
Year Ended 10/31/03 2.41% (0.07%) 79%
Year Ended 10/31/02 2.37% (0.17%) 97%
4/30/01* Through 10/31/01 5.48%+ (3.39%)+ 43%
TAX AWARE ENHANCED
INCOME FUND
Year Ended 10/31/03 1.00% 1.13% 241%
11/30/01* Through 10/31/02 1.06% 1.23% 186%
TAX AWARE U.S. EQUITY FUND
Year Ended 10/31/03 1.90% (0.12%) 13%
Year Ended 10/31/02 1.88% (0.26%) 27%
4/16/01* Through 10/31/01 8.73%+ (7.36%)+ 22%
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
99
<Page>
CLASS B SHARES
<Table>
<Caption>
PER SHARE OPERATING PERFORMANCE:
----------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS: LESS DISTRIBUTIONS:
---------------------------------------- -------------------------------------------
NET GAINS
OR LOSSES ON
NET ASSET NET SECURITIES DIVIDENDS
VALUE, INVESTMENT (BOTH TOTAL FROM FROM NET DISTRIBUTIONS
BEGINNING INCOME REALIZED AND INVESTMENT INVESTMENT FROM CAPITAL TOTAL
OF PERIOD (LOSS) UNREALIZED) OPERATIONS INCOME GAINS DISTRIBUTIONS
TAX AWARE U.S. EQUITY FUND
Year Ended 10/31/03 $ 12.76 0.02^ 1.99 2.01 0.02 -- 0.02
Year Ended 10/31/02 $ 15.47 0.03 (2.71) (2.68) 0.03 -- 0.03
4/16/01* Through 10/31/01 $ 16.88 (0.03)^ (1.33) (1.36) 0.05 -- 0.05
</Table>
* Commencement of offering of class of shares.
^ Calculated based on average shares outstanding
(1) Total return figures do not include the effect of any front-end or deferred
sales load.
(b) Not annualized for periods less than one year.
# Short periods have been annualized.
^^ Amount rounds to less than .005%.
+ Due to the size of net assets and fixed expenses, ratios may appear
disproportionate with other classes.
SEE NOTES TO FINANCIAL STATEMENTS.
100
<Page>
<Table>
<Caption>
PER SHARE OPERATING PERFORMANCE: RATIOS/SUPPLEMENTAL DATA:
-------------------------------- -------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
-------------------------------
NET ASSETS, NET
NET ASSET END OF INVESTMENT
VALUE, END TOTAL PERIOD NET INCOME
OF PERIOD RETURN (1)(b) (MILLIONS) EXPENSES (LOSS)
TAX AWARE U.S. EQUITY FUND
Year Ended 10/31/03 $ 14.75 15.82% $ 3 1.60% 0.18%
Year Ended 10/31/02 $ 12.76 (17.35%) $ 3 1.60% 0.00%^^
4/16/01* Through 10/31/01 $ 15.47 (8.09%) $ 1 1.60% (0.35%)
<Caption>
RATIOS/SUPPLEMENTAL DATA:
--------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
---------------------------------------------
NET INVESTMENT
EXPENSES INCOME (LOSS)
WITHOUT WAIVERS, WITHOUT WAIVERS, PORTFOLIO
REIMBURSEMENTS REIMBURSEMENTS TURNOVER
AND EARNINGS CREDITS AND EARNINGS CREDITS RATE (b)
TAX AWARE U.S. EQUITY FUND
Year Ended 10/31/03 2.40% (0.62%) 13%
Year Ended 10/31/02 2.39% (0.79%) 27%
4/16/01* Through 10/31/01 7.71%+ (6.46%)+ 22%
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
101
<Page>
CLASS C SHARES
<Table>
<Caption>
PER SHARE OPERATING PERFORMANCE:
----------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS: LESS DISTRIBUTIONS:
---------------------------------------- -------------------------------------------
NET GAINS
OR LOSSES ON
NET ASSET NET SECURITIES DIVIDENDS
VALUE, INVESTMENT (BOTH TOTAL FROM FROM NET DISTRIBUTIONS
BEGINNING INCOME REALIZED AND INVESTMENT INVESTMENT FROM CAPITAL TOTAL
OF PERIOD (LOSS) UNREALIZED) OPERATIONS INCOME GAINS DISTRIBUTIONS
TAX AWARE U.S. EQUITY FUND
Year Ended 10/31/03 $ 12.74 0.02^ 1.99 2.01 0.03 -- 0.03
Year Ended 10/31/02 $ 15.45 0.04 (2.71) (2.67) 0.04 -- 0.04
4/16/01* Through 10/31/01 $ 16.88 (0.02)^ (1.35) (1.37) 0.06 -- 0.06
</Table>
* Commencement of offering of class of shares.
^ Calculated based on average shares outstanding
(1) Total return figures do not include the effect of any front-end or deferred
sales load.
(b) Not annualized for periods less than one year.
@ Amount rounds to less than one million.
# Short periods have been annualized.
^^ Amount rounds to less than .005%.
+ Due to the size of net assets and fixed expenses, ratios may appear
disproportionate with other classes.
SEE NOTES TO FINANCIAL STATEMENTS.
102
<Page>
<Table>
<Caption>
PER SHARE OPERATING PERFORMANCE: RATIOS/SUPPLEMENTAL DATA:
-------------------------------- -------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
-------------------------------
NET ASSETS, NET
NET ASSET END OF INVESTMENT
VALUE, END TOTAL PERIOD NET INCOME
OF PERIOD RETURN (1)(b) (MILLIONS) EXPENSES (LOSS)
TAX AWARE U.S. EQUITY FUND
Year Ended 10/31/03 $ 14.72 15.80% $ --@ 1.60 0.18%
Year Ended 10/31/02 $ 12.74 (17.35%) $ --@ 1.60% 0.00%^^
4/16/01* Through 10/31/01 $ 15.45 (8.16%) $ --@ 1.57% (0.17)%
<Caption>
RATIOS/SUPPLEMENTAL DATA:
--------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
---------------------------------------------
NET INVESTMENT
EXPENSES INCOME (LOSS)
WITHOUT WAIVERS, WITHOUT WAIVERS, PORTFOLIO
REIMBURSEMENTS REIMBURSEMENTS TURNOVER
AND EARNINGS CREDITS AND EARNINGS CREDITS RATE (b)
TAX AWARE U.S. EQUITY FUND
Year Ended 10/31/03 2.40% (0.62%) 13%
Year Ended 10/31/02 2.38% (0.78%) 27%
4/16/01* Through 10/31/01 23.55%+ (22.15%)+ 22%
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
103
<Page>
INSTITUTIONAL CLASS SHARES
<Table>
<Caption>
PER SHARE OPERATING PERFORMANCE:
-------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS: LESS DISTRIBUTIONS:
--------------------------------------- ------------------------------------------
NET GAINS
OR LOSSES ON
NET ASSET NET SECURITIES DIVIDENDS
VALUE, INVESTMENT (BOTH TOTAL FROM FROM NET DISTRIBUTIONS
BEGINNING INCOME REALIZED AND INVESTMENT INVESTMENT FROM CAPITAL TOTAL
OF PERIOD (LOSS) UNREALIZED) OPERATIONS INCOME GAINS DISTRIBUTIONS
FLEMING TAX AWARE INTERNATIONAL
OPPORTUNITIES FUND
Year Ended 10/31/03 $ 11.02 0.15^ 2.55 2.70 0.12 -- 0.12
Year Ended 10/31/02 $ 12.43 0.14 (1.51) (1.37) 0.04 -- 0.04
5/1/01* Through 10/31/01 $ 15.00 0.07^ (2.64) (2.57) -- -- --
TAX AWARE DISCIPLINED
EQUITY FUND
Year Ended 10/31/03 $ 11.74 0.15 2.28 2.43 0.15 -- 0.15
Year Ended 10/31/02 $ 14.36 0.14 (2.57) (2.43) 0.19 -- 0.19
Year Ended 10/31/01 $ 18.87 0.14 (4.57) (4.43) 0.08 -- 0.08
Year Ended 10/31/00 $ 18.19 0.15 0.68 0.83 0.15 -- 0.15
Year Ended 10/31/99 $ 14.71 0.15 3.48 3.63 0.15 -- 0.15
TAX AWARE ENHANCED
INCOME FUND
Year Ended 10/31/03 $ 10.07 0.19 (0.02) 0.17 0.19 -- 0.19
Year Ended 10/31/02 $ 10.10 0.22 (0.01) 0.21 0.23 0.01 0.24
Year Ended 10/31/01^^ $ 9.95 0.39 0.15 0.54 0.39 -- 0.39
Year Ended 10/31/00^^ $ 9.95 0.45 -- 0.45 0.45 -- 0.45
4/16/99* Through 10/31/99^^ $ 10.00 0.20 (0.05) 0.15 0.20 -- 0.20
</Table>
* Commencement of offering of class of shares.
^ Calculated based on average shares outstanding.
^^ On August 17, 2001, the class underwent a reverse split of shares. Prior
periods have been restated to reflect the split (1 to 5).
(b) Not annualized for periods less than one year.
# Short periods have been annualized.
SEE NOTES TO FINANCIAL STATEMENTS.
104
<Page>
<Table>
<Caption>
PER SHARE OPERATING PERFORMANCE: RATIOS/SUPPLEMENTAL DATA:
-------------------------------- ------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
-------------------------------
NET ASSETS, NET
NET ASSET END OF INVESTMENT
VALUE, END TOTAL PERIOD NET INCOME
OF PERIOD RETURN (b) (MILLIONS) EXPENSES (LOSS)
FLEMING TAX AWARE INTERNATIONAL
OPPORTUNITIES FUND
Year Ended 10/31/03 $ 13.60 24.74% $ 135 1.00% 1.31%
Year Ended 10/31/02 $ 11.02 (11.08%) $ 149 1.00% 1.08%
5/1/01* Through 10/31/01 $ 12.43 (17.13%) $ 176 1.00% 1.09%
TAX AWARE DISCIPLINED
EQUITY FUND
Year Ended 10/31/03 $ 14.02 20.91% $ 181 0.55% 1.21%
Year Ended 10/31/02 $ 11.74 (17.13%) $ 194 0.55% 0.93%
Year Ended 10/31/01 $ 14.36 (23.55%) $ 313 0.55% 0.77%
Year Ended 10/31/00 $ 18.87 4.54% $ 478 0.55% 0.78%
Year Ended 10/31/99 $ 18.19 24.72% $ 341 0.55% 0.94%
TAX AWARE ENHANCED
INCOME FUND
Year Ended 10/31/03 $ 10.05 1.73% $ 2,068 0.25% 1.88%
Year Ended 10/31/02 $ 10.07 2.01% $ 1,671 0.25% 2.20%
Year Ended 10/31/01^^ $ 10.10 5.63% $ 951 0.25% 3.80%
Year Ended 10/31/00^^ $ 9.95 4.55% $ 299 0.25% 4.43%
4/16/99* Through 10/31/99^^ $ 9.95 1.57% $ 355 0.25% 4.01%
<Caption>
RATIOS/SUPPLEMENTAL DATA:
--------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
----------------------------------------------
NET INVESTMENT
EXPENSES INCOME (LOSS)
WITHOUT WAIVERS, WITHOUT WAIVERS, PORTFOLIO
REIMBURSEMENTS REIMBURSEMENTS TURNOVER
AND EARNINGS CREDITS AND EARNINGS CREDITS RATE (b)
FLEMING TAX AWARE INTERNATIONAL
OPPORTUNITIES FUND
Year Ended 10/31/03 1.41% 0.90% 79%
Year Ended 10/31/02 1.32% 0.76% 97%
5/1/01* Through 10/31/01 1.33% 0.76% 43%
TAX AWARE DISCIPLINED
EQUITY FUND
Year Ended 10/31/03 0.71% 1.05% 46%
Year Ended 10/31/02 0.70% 0.78% 60%
Year Ended 10/31/01 0.60% 0.72% 44%
Year Ended 10/31/00 0.59% 0.74% 51%
Year Ended 10/31/99 0.65% 0.84% 40%
TAX AWARE ENHANCED
INCOME FUND
Year Ended 10/31/03 0.53% 1.60% 241%
Year Ended 10/31/02 0.54% 1.90% 186%
Year Ended 10/31/01^^ 0.50% 3.55% 142%
Year Ended 10/31/00^^ 0.50% 4.18% 172%
4/16/99* Through 10/31/99^^ 0.57% 3.69% 69%
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
105
<Page>
INSTITUTIONAL CLASS SHARES
<Table>
<Caption>
PER SHARE OPERATING PERFORMANCE:
-------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS: LESS DISTRIBUTIONS:
--------------------------------------- ------------------------------------------
NET GAINS
OR LOSSES ON
NET ASSET NET SECURITIES DIVIDENDS
VALUE, INVESTMENT (BOTH TOTAL FROM FROM NET DISTRIBUTIONS
BEGINNING INCOME REALIZED AND INVESTMENT INVESTMENT FROM CAPITAL TOTAL
OF PERIOD (LOSS) UNREALIZED) OPERATIONS INCOME GAINS DISTRIBUTIONS
TAX AWARE SHORT-INTERMEDIATE
INCOME FUND
12/20/02* Through 10/31/03 $ 10.00 0.20^ 0.04 0.24 0.19 -- 0.19
TAX AWARE U.S. EQUITY FUND
Year Ended 10/31/03 $ 9.17 0.11^ 1.42 1.53 0.13 -- 0.13
Year Ended 10/31/02 $ 11.15 0.12 (1.94) (1.82) 0.16 -- 0.16
Year Ended 10/31/01 $ 14.73 0.08^ (3.55) (3.47) 0.11 -- 0.11
9/15/00* Through 10/31/00 $ 15.00 0.01^ (0.28) (0.27) -- -- --
</Table>
* Commencement of offering of class of shares.
^ Calculated based on average shares outstanding.
@ Amount rounds to less than one million.
(b) Not annualized for periods less than one year.
# Short periods have been annualized.
SEE NOTES TO FINANCIAL STATEMENTS.
106
<Page>
<Table>
<Caption>
PER SHARE OPERATING PERFORMANCE: RATIOS/SUPPLEMENTAL DATA:
-------------------------------- ------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
-------------------------------
NET ASSETS, NET
NET ASSET END OF INVESTMENT
VALUE, END TOTAL PERIOD NET INCOME
OF PERIOD RETURN (b) (MILLIONS) EXPENSES (LOSS)
TAX AWARE SHORT-INTERMEDIATE
INCOME FUND
12/20/02* Through 10/31/03 $ 10.05 2.41% $ 336 0.35% 2.34%
TAX AWARE U.S. EQUITY FUND
Year Ended 10/31/03 $ 10.57 16.89% $ 105 0.70% 1.09%
Year Ended 10/31/02 $ 9.17 (16.50%) $ 41 0.70% 0.92%
Year Ended 10/31/01 $ 11.15 (23.67%) $ 12 0.70% 0.69%
9/15/00* Through 10/31/00 $ 14.73 (1.80%) $ --@ 0.70% 0.51%
<Caption>
RATIOS/SUPPLEMENTAL DATA:
--------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
----------------------------------------------
NET INVESTMENT
EXPENSES INCOME (LOSS)
WITHOUT WAIVERS, WITHOUT WAIVERS, PORTFOLIO
REIMBURSEMENTS REIMBURSEMENTS TURNOVER
AND EARNINGS CREDITS AND EARNINGS CREDITS RATE (b)
TAX AWARE SHORT-INTERMEDIATE
INCOME FUND
12/20/02* Through 10/31/03 0.57% 2.12% 274%
TAX AWARE U.S. EQUITY FUND
Year Ended 10/31/03 0.79% 1.00% 13%
Year Ended 10/31/02 0.84% 0.78% 27%
Year Ended 10/31/01 0.93% 46% 22%
9/15/00* Through 10/31/00 0.85% 0.36% 15%
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
107
<Page>
SELECT CLASS SHARES
<Table>
<Caption>
PER SHARE OPERATING PERFORMANCE:
------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS: LESS DISTRIBUTIONS:
--------------------------------------- ------------------------------------------
NET GAINS
OR LOSSES ON
NET ASSET NET SECURITIES DIVIDENDS
VALUE, INVESTMENT (BOTH TOTAL FROM FROM NET DISTRIBUTIONS
BEGINNING INCOME REALIZED AND INVESTMENT INVESTMENT FROM CAPITAL TOTAL
OF PERIOD (LOSS) UNREALIZED) OPERATIONS INCOME GAINS DISTRIBUTIONS
TAX AWARE ENHANCED
INCOME FUND
Year Ended 10/31/03 $ 10.08 0.17 (0.02) 0.15 0.17 -- 0.17
Year Ended 10/31/02 $ 10.11 0.20 (0.02) 0.18 0.20 0.01 0.21
Year Ended 10/31/01^^ $ 9.95 0.36 0.16 0.52 0.36 -- 0.36
Year Ended 10/31/00^^ $ 9.95 0.40 -- 0.40 0.40 -- 0.40
5/6/99* Through 10/31/99^^ $ 10.00 0.20 (0.05) 0.15 0.20 -- 0.20
TAX AWARE LARGE CAP
GROWTH FUND@+
Year Ended 10/31/03 $ 13.03 0.05 1.75 1.80 0.04 -- 0.04
1/1/02 Through 10/31/02** $ 17.39 0.04 (4.36) (4.32) 0.04 -- 0.04
11/1/01 Through 12/31/01*** $ 16.32 0.02 1.07 1.09 0.02 -- 0.02
Year Ended 10/31/01 $ 42.93 0.04 (11.41) (11.37) 0.04 15.20 15.24
Year Ended 10/31/00 $ 47.54 0.04 (0.07) (0.03) 0.03 4.55 4.58
Year Ended 10/31/99 $ 37.36 0.30 13.66 13.96 0.30 3.48 3.78
TAX AWARE LARGE CAP
VALUE FUND@@+
Year Ended 10/31/03 $ 16.01 0.26 2.64 2.90 0.26 -- 0.26
1/1/02 Through 10/31/02** $ 19.74 0.22 (3.74) (3.52) 0.21 -- 0.21
11/1/01 Through 12/31/01*** $ 18.44 0.03 1.30 1.33 0.03 -- 0.03
Year Ended 10/31/01 $ 25.57 0.20 (5.41) (5.21) 0.19 1.73 1.92
Year Ended 10/31/00 $ 27.53 0.21 1.40 1.61 0.17 3.40 3.57
Year Ended 10/31/99 $ 28.89 0.65 1.69 2.34 0.67 3.03 3.70
</Table>
@ Formerly JPMorgan Select Equity Fund
@@ Formerly JPMorgan Select Equity Income Fund
+ On November 20, 1998, the Fund underwent a split of shares. Prior period
has been restated to reflect the split.
* Commencement of offering of class of shares.
** The fund changed its fiscal year end from December 31 to October 31.
*** The fund changed its fiscal year end from October 31 to December 31.
^^ On August 17, 2001, the class underwent a reverse split of shares. Prior
periods have been restated to reflect the split (1 to 5).
(b) Not annualized for periods less than one year.
# Short periods have been annualized.
SEE NOTES TO FINANCIAL STATEMENTS.
108
<Page>
<Table>
<Caption>
PER SHARE OPERATING PERFORMANCE: RATIOS/SUPPLEMENTAL DATA:
-------------------------------- -------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
--------------------------------------------------
NET ASSETS, NET EXPENSES
NET ASSET END OF INVESTMENT WITHOUT WAIVERS,
VALUE, END TOTAL PERIOD NET INCOME REIMBURSEMENTS
OF PERIOD RETURN (b) (MILLIONS) EXPENSES (LOSS) AND EARNINGS CREDITS
TAX AWARE ENHANCED
INCOME FUND
Year Ended 10/31/03 $ 10.06 1.48% $ 444 0.50% 1.61% 0.69%
Year Ended 10/31/02 $ 10.08 1.75% $ 278 0.50% 1.94% 0.70%
Year Ended 10/31/01^^ $ 10.11 5.47% $ 186 0.50% 3.51% 0.67%
Year Ended 10/31/00^^ $ 9.95 4.29% $ 37 0.50% 4.23% 0.67%
5/6/99* Through 10/31/99^^ $ 9.95 1.29% $ 28 0.50% 3.75% 0.72%
TAX AWARE LARGE CAP
GROWTH FUND@+
Year Ended 10/31/03 $ 14.79 13.84% $ 268 0.85% 0.35% 0.87%
1/1/02 Through 10/31/02** $ 13.03 (24.84%) $ 257 0.68% 0.34% 0.85%
11/1/01 Through 12/31/01*** $ 17.39 6.70% $ 433 0.55% 0.56% 0.85%
Year Ended 10/31/01 $ 16.32 (33.30%) $ 423 0.49% 0.21% 0.85%
Year Ended 10/31/00 $ 42.93 (0.91%) $ 839 0.47% 0.08% 0.80%
Year Ended 10/31/99 $ 47.54 39.78% $ 901 0.03% 0.69% 0.59%
TAX AWARE LARGE CAP
VALUE FUND@@+
Year Ended 10/31/03 $ 18.65 18.34% $ 349 0.85% 1.55% 0.85%
1/1/02 Through 10/31/02** $ 16.01 (17.94%) $ 327 0.79% 1.43% 0.85%
11/1/01 Through 12/31/01*** $ 19.74 7.20% $ 415 0.69% 0.91% 0.85%
Year Ended 10/31/01 $ 18.44 (21.43%) $ 406 0.69% 0.93% 0.87%
Year Ended 10/31/00 $ 25.57 6.35% $ 625 0.68% 0.83% 0.80%
Year Ended 10/31/99 $ 27.53 8.18% $ 787 0.03% 2.25% 0.58%
<Caption>
RATIOS/SUPPLEMENTAL DATA:
-------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
-------------------------------
NET INVESTMENT
INCOME (LOSS)
WITHOUT WAIVERS, PORTFOLIO
REIMBURSEMENTS TURNOVER
AND EARNINGS CREDITS RATE (b)
TAX AWARE ENHANCED
INCOME FUND
Year Ended 10/31/03 1.42% 241%
Year Ended 10/31/02 1.74% 186%
Year Ended 10/31/01^^ 3.34% 142%
Year Ended 10/31/00^^ 4.06% 172%
5/6/99* Through 10/31/99^^ 3.53% 69%
TAX AWARE LARGE CAP
GROWTH FUND@+
Year Ended 10/31/03 0.33% 35%
1/1/02 Through 10/31/02** 0.17% 46%
11/1/01 Through 12/31/01*** 0.26% 3%
Year Ended 10/31/01 (0.15%) 84%
Year Ended 10/31/00 (0.25%) 74%
Year Ended 10/31/99 0.13% 26%
TAX AWARE LARGE CAP
VALUE FUND@@+
Year Ended 10/31/03 1.55% 33%
1/1/02 Through 10/31/02** 1.37% 80%
11/1/01 Through 12/31/01*** 0.75% 0%
Year Ended 10/31/01 0.75% 8%
Year Ended 10/31/00 0.71% 43%
Year Ended 10/31/99 1.70% 146%
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
109
<Page>
SELECT CLASS 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
TAX AWARE SHORT-INTERMEDIATE
INCOME FUND
12/20/02* THROUGH 10/31/03 $ 10.00 0.19^ 0.04 0.23
TAX AWARE U.S. EQUITY FUND
Year Ended 10/31/03 $ 12.88 0.12^ 2.01 2.13
Year Ended 10/31/02 $ 15.59 0.10 (2.69) (2.59)
Year Ended 10/31/01 $ 20.51 0.10^ (4.96) (4.86)
Year Ended 10/31/00 $ 18.73 0.09 1.77 1.86
Year Ended 10/31/99 $ 15.19 0.10 3.55 3.65
<Caption>
PER SHARE OPERATING PERFORMANCE:
--------------------------------------------
LESS DISTRIBUTIONS
--------------------------------------------
DIVIDENDS
FROM NET DISTRIBUTIONS
INVESTMENT FROM CAPITAL TOTAL
INCOME GAINS DISTRIBUTIONS
TAX AWARE SHORT-INTERMEDIATE
INCOME FUND
12/20/02* THROUGH 10/31/03 0.18 -- 0.18
TAX AWARE U.S. EQUITY FUND
Year Ended 10/31/03 0.11 -- 0.11
Year Ended 10/31/02 0.12 -- 0.12
Year Ended 10/31/01 0.06 -- 0.06
Year Ended 10/31/00 0.08 -- 0.08
Year Ended 10/31/99 0.11 -- 0.11
</Table>
* Commencement of offering of class of shares.
^ Calculated based on average shares outstanding.
(b) Not annualized for periods less than one year.
# Short periods have been annualized.
SEE NOTES TO FINANCIAL STATEMENTS.
110
<Page>
<Table>
<Caption>
PER SHARE OPERATING PERFORMANCE:
---------------------------------
NET ASSET
VALUE, END TOTAL
OF PERIOD RETURN (b)
TAX AWARE SHORT-INTERMEDIATE
INCOME FUND
12/20/02* THROUGH 10/31/03 $ 10.05 2.28%
TAX AWARE U.S. EQUITY FUND
Year Ended 10/31/03 $ 14.90 16.64%
Year Ended 10/31/02 $ 12.88 (16.70%)
Year Ended 10/31/01 $ 15.59 (23.76%)
Year Ended 10/31/00 $ 20.51 9.96%
Year Ended 10/31/99 $ 18.73 24.05%
<Caption>
RATIOS/SUPPLEMENTAL DATA
----------------------------------------------
RATIOS TO AVERAGE NET ASSETS:#
------------------------------
NET ASSETS, NET
END OF INVESTMENT
PERIOD NET INCOME
(MILLIONS) EXPENSES (LOSS)
TAX AWARE SHORT-INTERMEDIATE
INCOME FUND
12/20/02* THROUGH 10/31/03 $ 201 0.50% 2.22%
TAX AWARE U.S. EQUITY FUND
Year Ended 10/31/03 $ 630 0.84% 0.92%
Year Ended 10/31/02 $ 187 0.84% 0.73%
Year Ended 10/31/01 $ 212 0.84% 0.56%
Year Ended 10/31/00 $ 249 0.85% 0.46%
Year Ended 10/31/99 $ 163 0.85% 0.58%
<Caption>
RATIOS/SUPPLEMENTAL DATA
--------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
--------------------------------------------------
NET INVESTMENT
EXPENSES INCOME (LOSS)
WITHOUT WAIVERS, WITHOUT WAIVERS, PORTFOLIO
REIMBURSEMENTS REIMBURSEMENTS TURNOVER
AND EARNINGS CREDITS AND EARNINGS CREDITS RATE (b)
TAX AWARE SHORT-INTERMEDIATE
INCOME FUND
12/20/02* THROUGH 10/31/03 0.72% 2.00% 274%
TAX AWARE U.S. EQUITY FUND
Year Ended 10/31/03 0.93% 0.83% 13%
Year Ended 10/31/02 0.97% 0.60% 27%
Year Ended 10/31/01 0.87% 0.53% 22%
Year Ended 10/31/00 0.85% 0.46% 15%
Year Ended 10/31/99 0.90% 0.53% 29%
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
111
<Page>
JPMorgan Funds
REPORT OF INDEPENDENT AUDITORS
To the Trustees and Shareholders of
J.P. Morgan Series Trust, J.P. Morgan Mutual Fund Group,
J.P. Morgan Mutual Fund Select Group and
J.P. Morgan Institutional Funds
In our opinion, the accompanying statements of assets and liabilities, including
the portfolios of investments, and the related statements of operations and of
changes in net assets and the financial highlights present fairly, in all
material respects, the financial position of JPMorgan Fleming Tax Aware
International Opportunities Fund, JPMorgan Tax Aware Disciplined Equity Fund,
JPMorgan Tax Aware Enhanced Income Fund, JPMorgan Tax Aware Large Cap Growth
Fund, JPMorgan Tax Aware Large Cap Value Fund, JPMorgan Tax Aware
Short-Intermediate Income Fund and JPMorgan Tax Aware U.S. Equity Fund (the
"Funds") at October 31, 2003, the results of each of their operations, the
changes in each of their net assets and the financial highlights for each of the
periods presented, in conformity with accounting principles generally accepted
in the United States of America. These financial statements and financial
highlights (hereafter referred to as "financial statements") are the
responsibility of the Funds' management; our responsibility is to express an
opinion on these financial statements based on our audits. We conducted our
audits of these financial statements in accordance with auditing standards
generally accepted in the United States of America, which require that we plan
and perform the audit to obtain reasonable assurance about whether the financial
statements are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements, assessing the accounting principles used and significant estimates
made by management, and evaluating the overall financial statement presentation.
We believe that our audits, which included confirmation of securities at October
31, 2003 by correspondence with the custodian and brokers, provide a reasonable
basis for our opinion.
PricewaterhouseCoopers LLP
New York, New York
December 16, 2003
112
<Page>
JPMorgan Funds
TRUSTEE AND OFFICER INFORMATION (UNAUDITED)
The following tables contain basic information regarding the Trustees and
Officers, respectively, that oversee operations of the Trusts and other
investment companies within the JPMorgan Funds complex.
<Table>
<Caption>
POSITIONS NUMBER OF OTHER
HELD WITH PRINCIPAL PORTFOLIOS IN DIRECTORSHIPS
EACH TERM OF OFFICE OCCUPATIONS JPMORGAN FUND HELD OUTSIDE
NAME, CONTACT ADDRESS JP MORGAN AND LENGTH OF DURING PAST COMPLEX(1) OVERSEEN JP MORGAN FUND
AND YEAR OF BIRTH TRUST TIME SERVED 5 YEARS BY TRUSTEE COMPLEX
- -----------------------------------------------------------------------------------------------------------------------------------
NON-INTERESTED TRUSTEE(S)
William J. Armstrong; Trustee Trustee of Funds Retired; Vice 71 None
522 Fifth Avenue, that are series of President and
New York, NY 10036; JPMST and JPMIF Treasurer of
1941 since 2001, Funds Ingersoll-Rand
that are series of Company
MFSG since 1996 and (manufacturer of
Funds that are industrial
series of MFG since equipment) (1972 -
1987. 2000)
Roland R. Eppley, Jr.; Trustee Trustee of Funds Retired 71 Director,
522 Fifth Avenue, that are series of Janel Hydro, Inc.
New York, NY 10036; JPMST and JPMIF (1993-Present)
1932 since 2001, Funds
that are series of
MFSG since 1996 and
Funds that are
series of MFG since
1989.
Ann Maynard Gray; Trustee Since 2001 Vice President of 71 Director of Duke
522 Fifth Avenue, Capital Cities/ABC, Energy Corporation
New York, NY 10036; Inc. (1997- Present);
1945 (communications) Director of Elan
(1986-1998); Corporation, Plc
President of (pharmaceuticals)
Diversified (2001-Present);
Publishing Group Director of The
(1991-1997) Phoenix Companies
(wealth management)
(2002-Present)
Matthew Healey; 522 Trustee and Trustee of Funds Retired; Chief 71 None
Fifth Avenue, New President of the that are series of Executive Officer of
York, NY 10036; 1937 Board of Trustees JPMST since 1996, certain J.P. Morgan
Funds that are Fund Trusts
series of JPMIF (1982-2001)
since 1992 and Funds
that are series of
MFG since 2001.
Fergus Reid, III; Trustee and Trustee of Funds Chairman of Lumelite 71 Trustee of 16
522 Fifth Avenue, Chairman of the that are series of Corporation Morgan Stanley
New York, NY 10036; Board of Trustees JPMST and JPMIF (plastics Funds (1995-Present)
1932 since 2001, Funds manufacturing)
that are series of (1985-Present)
MFSG since 1996 and
Funds that are
series of MFG since
1987.
</Table>
113
<Page>
<Table>
<Caption>
POSITIONS NUMBER OF OTHER
HELD WITH PRINCIPAL PORTFOLIOS IN DIRECTORSHIPS
EACH TERM OF OFFICE OCCUPATIONS JPMORGAN FUND HELD OUTSIDE
NAME, CONTACT ADDRESS JP MORGAN AND LENGTH OF DURING PAST COMPLEX(1) OVERSEEN JP MORGAN FUND
AND YEAR OF BIRTH TRUST TIME SERVED 5 YEARS BY TRUSTEE COMPLEX
- -----------------------------------------------------------------------------------------------------------------------------------
NON-INTERESTED TRUSTEE(S) (CONTINUED)
James J. Trustee Since 2001 Retired; Managing 71 None
Schonbachler; 522 Director of Bankers
Fifth Avenue, New Trust Company,
York, NY 10036; 1943 (financial services)
(1968-1998); Group
Head and Director of
Bankers Trust, A.G.,
Zurich and BT
Brokerage Corp.
(financial services)
(1995-2002)
Robert J. Higgins; Trustee Since 2002 Director of 71 Director of
522 Fifth Avenue, Administration of Providian Financial
New York, NY 10036; the State of Rhode Corp. (banking)
1945 Island (2002-Present)
(2003-Present);
President - Consumer
Banking and
Investment Services
Fleet Boston
Financial
(1971-2002)
Dr. Matthew Trustee Since 2003 Chancellor of the 71 Trustee of the
Goldstein; 522 Fifth City University of Albert Einstein
Avenue, New York, NY New York, since School of Medicine
10036; 1941 September 1, 1999; (1998-Present);
President, Adelphi Trustee of Bronx
University (New Lebanon Hospital
York) (1998-1999). Center
(1992-Present);
Director of New Plan
Excel Realty Trust,
Inc. (real estate
investment company)
(2000-Present);
Director of Lincoln
Center Institute for
the Arts in
Education
(1999-Present);
Director of Jewish
Community Relations
Counsel of New York,
Inc. (2000-Present);
Director of United
Way of New York City
(2002-Present).
</Table>
114
<Page>
<Table>
<Caption>
POSITIONS NUMBER OF OTHER
HELD WITH PRINCIPAL PORTFOLIOS IN DIRECTORSHIPS
EACH TERM OF OFFICE OCCUPATIONS JPMORGAN FUND HELD OUTSIDE
NAME, CONTACT ADDRESS JP MORGAN AND LENGTH OF DURING PAST COMPLEX(1) OVERSEEN JP MORGAN FUND
AND YEAR OF BIRTH TRUST TIME SERVED 5 YEARS BY TRUSTEE COMPLEX
- -----------------------------------------------------------------------------------------------------------------------------------
NON-INTERESTED TRUSTEE(S) (CONTINUED)
William G. Morton, Trustee Since 2003 Formerly Chairman 71 Director of Radio
Jr.; 522 Fifth Emeritus (March 2001 Shack Corporation
Avenue, New York, NY - October 2002), and (electronics)
10036; 1937 Chairman and Chief (1987-Present);
Executive Officer, Director of the
Boston Stock Griswold Company
Exchange (June 1985 (securities
- March 2001). brokerage)
(2002-Present);
Director of The
National Football
Foundation and
College Hall of Fame
(1994-Present);
Trustee of the
Berklee College of
Music
(1998-Present);
Trustee of the
Stratton Mountain
School
(2001-Present).
INTERESTED TRUSTEE(S)
Leonard M. Spalding* Trustee Trustee of Funds Retired; Chief 71 Director of Glenview
522 Fifth Avenue, that are series of Executive Officer of Trust; Director of
New York, NY 10036; JPMST since 2001. Chase Mutual Funds Pizza Magia; Trustee
1935 (investment company) of St. Catherine
(1989-1998); Chief College Trust;
Investment Executive Trustee of
of Chase Manhattan Bellarmine
Private Bank University Trust;
(investment Director of Marion
management) Washington Airport
(1990-1995) Board Trust;
Director of
Springfield
Washington Economic
Development Board
Trust.
</Table>
* Mr. Spalding is deemed to be an "interested person" due to his ownership of
equity securities of J.P. Morgan Chase & Co.
(1) A Fund Complex means two or more investment companies that hold themselves
out to investors as related companies for purposes of investment and
investment services or have a common investment advisor or have an
investment advisor that is an affiliated person of the investment advisor
of any of the other investment companies. The JPMorgan Fund Complex for
which the Trustees serve includes 11 investment companies.
115
<Page>
<Table>
<Caption>
POSITIONS HELD TERM OF OFFICE
NAME, CONTACT ADDRESS WITH EACH AND LENGTH OF PRINCIPAL OCCUPATIONS
AND YEAR OF BIRTH JPMORGAN TRUST TIME SERVED DURING PAST 5 YEARS
- ------------------------------------------------------------------------------------------------------------------------
OFFICERS
George Gatch; President Since 2001 Managing Director, J.P. Morgan
522 Fifth Avenue, Investment Management Inc.; Head
New York, NY 10036; of J.P. Morgan Fleming's U.S.
1962 Mutual Funds and Financial
Intermediaries Business
("FFI"); he has held numerous
positions throughout the firm
in business management,
marketing and sales.
Patricia A. Maleski; Treasurer Since 2003 Vice President, J.P. Morgan
522 Fifth Avenue, Investment Management Inc.;
New York, NY 10036; Head of FFI and U.S.
1960 Institutional Funds
Administration and Board
Liaison. Prior to joining J.P.
Morgan Chase in 2001, she was
the Vice President of Finance
for the Pierpont Group, Inc.,
a service provider to the
board of trustees of the
heritage JPMorgan Funds.
Sharon J. Weinberg; Secretary Since 2001 Managing Director, J.P. Morgan
522 Fifth Avenue, Investment Management Inc.;
New York, NY 10036; Head of Business and Product
1959 Strategy for FFI; since
joining J.P. Morgan Chase in
1996, she has held numerous
positions throughout the asset
management business in mutual
funds marketing, legal and
product development.
Stephen M. Ungerman; Vice President and Assistant Since 2001 Vice President, J.P. Morgan
522 Fifth Avenue, Treasurer Investment Management Inc.;
New York, NY 10036; Business Head for Vehicle
1953 Services Group within Fund
Administration; prior to
joining J.P. Morgan Chase in
2000, he held a number of
senior management positions in
Prudential Insurance Co. of
America's asset management
business, including Associate
General Counsel, Tax Director
and Co-head of Fund
Administration Department; Mr.
Ungerman was also the
Assistant Treasurer of all
mutual funds managed by
Prudential.
Michael Maye; Vice President and Assistant Since 2003 Vice President, JPMIM; Chief
522 Fifth Avenue, Treasurer Financial Officer of FFI;
New York, NY 10036 prior to joining J.P. Morgan
1965 Chase in 2003, he was Vice
President from 1999 to 2003
and Assistant Vice President
from 1996 to 1999 of Planning
& Analysis at Alliance Capital
Management L.P. where he was
responsible for forecasting,
special projects and financial
analysis.
Judy R. Bartlett; Vice President and Assistant Since 2001 Vice President and Assistant
522 Fifth Avenue, Secretary General Counsel, J.P. Morgan
New York, NY 10036; Investment Management Inc.,
1965 since September 2000; from
August 1998 through August
2000, she was an attorney at
New York Life Insurance
Company where she served as
Assistant Secretary for the
Mainstay Funds.
Joseph J. Bertini; Vice President and Assistant Since 2001 Vice President and Assistant
522 Fifth Avenue, Secretary General Counsel, J.P. Morgan
New York, NY 10036; Investment Management Inc.
1965
Wayne H. Chan; Vice President and Assistant Since 2003 Vice President and Assistant
522 Fifth Avenue, Secretary General Counsel, J.P. Morgan
New York, NY 10036; Investment Management, Inc.,
1965 since September 2002; Mr. Chan
was an associate at the law
firm of Shearman and Sterling
LLP from May 2001 through
September 2002; Swidler Berlin
Shereff Friedman LLP from June
1999 through May 2001 and
Whitman Breed Abbott & Morgan
LLP from September 1997
through May 1999.
Thomas J. Smith Vice President and Assistant Since 2002 Managing Director, Head of
522 Fifth Avenue, Secretary Compliance for J.P. Morgan
New York, NY 10036 Chase & Co.'s asset management
1955 business in the Americas.
</Table>
116
<Page>
<Table>
<Caption>
POSITIONS HELD TERM OF OFFICE
NAME, CONTACT ADDRESS WITH EACH AND LENGTH OF PRINCIPAL OCCUPATIONS
AND YEAR OF BIRTH JPMORGAN TRUST TIME SERVED DURING PAST 5 YEARS
- -----------------------------------------------------------------------------------------------------------------------------------
OFFICERS (CONTINUED)
Paul M. DeRusso Assistant Treasurer Since 2001 Vice President, J.P. Morgan Investment
522 Fifth Avenue, Management Inc.; Managerof the Budgeting
New York, NY 10036 and Expense Group of Funds Administration
1954 Group.
Lai Ming Fung Assistant Treasurer Since 2001 Associate, J.P. Morgan Investment
522 Fifth Avenue, Management Inc.; Budgeting Analyst for the
New York, NY 10036 Budgeting and Expense Group of Funds
1974 Administration Group.
Mary D. Squires Assistant Treasurer Since 2001 Vice President, J.P. Morgan Investment
522 Fifth Avenue, Management Inc.; Ms. Squires has held
New York, NY 10036 numerous financial and operations positions
1955 supporting the J.P. Morgan Chase
organization complex.
Nimish S. Bhatt Assistant Treasurer Since 2001 Senior Vice President of Alternative
3435 Stelzer Rd. Investment Products and Tax Services of
Columbus, OH 43219 BISYS Fund Services, Inc. since
1963 January 2002; held various positions within
BISYS since 1996, including Senior Vice
President of Fund Administration and
Financial Services, Vice President and
Director of International Operation, Vice
President of Financial Administration and
Vice President of Tax.
Michael Ciotola Assistant Treasurer Since 2003 Director of Financial Services of BISYS
3435 Stelzer Rd. Fund Services, Inc. since January 2003; held
Columbus, OH 43219 various positions within BISYS since 1998.
1968
Arthur A. Jensen Assistant Treasurer Since 2001 Vice President of Financial Services of
3435 Stelzer Rd. BISYS Fund Services, Inc. since June 2001;
Columbus, OH 43219 formerly Section Manager of Northern Trust
1966 Company and Accounting Supervisor at
All state Insurance Company.
Martin R. Dean Assistant Treasurer Since 2001 Vice President of Regulatory Services of
3435 Stelzer Rd. BISYS Fund Services, Inc.
Columbus, OH 43219
1963
Alaina Metz Assistant Secretary Since 2001 Chief Administrative Officer of BISYS Fund
3435 Stelzer Rd. Services, Inc.; formerly, Supervisor of the
Columbus, OH 43219 Blue Sky Department of Alliance Capital
1967 Management, L.P.
Ryan M. Louvar; Assistant Secretary Since 2003 Counsel of Legal Services, BISYS Fund
60 State Street, Services, Inc. since 2000; formerly
Suite1300 Attorney at Hill, Farrer & Burrill LLP from
Boston, MA 02109; 1999 to 2000 and Knapp Peterson Clarke, PC
1972 from 1997 to 1999.
Lisa Hurley Assistant Secretary Since 2001 Executive Vice President and General
60 State Street, Counsel of BISYS Fund Services, Inc.
Suite 1300
Boston, MA 02109
1955
</Table>
Additional information concerning the Trustees is contained in the Statement of
Additional Information and is available without charge by calling
1-800-348-4782.
117
<Page>
JPMorgan Funds
TAX LETTER (UNAUDITED)
JPMORGAN FLEMING TAX AWARE INTERNATIONAL OPPORTUNITIES FUND ("FTAIO")
JPMORGAN TAX AWARE DISCIPLINED EQUITY FUND ("TADE")
JPMORGAN TAX AWARE ENHANCED INCOME FUND ("TAEI")
JPMORGAN TAX AWARE LARGE CAP GROWTH FUND ("TALCG")
JPMORGAN TAX AWARE LARGE CAP VALUE FUND ("TALCV")
JPMORGAN TAX AWARE SHORT-INTERMEDIATE INCOME FUND ("TASI")@
JPMORGAN TAX AWARE U.S. EQUITY FUND ("TAUSE")
Certain tax information regarding the JPMorgan Tax Aware Funds is required to be
provided to shareholders based upon the Funds' income and distributions for the
taxable year ended October 31, 2003. The information and distributions reported
in this letter may differ from the information and distributions taxable to the
shareholders for the calendar year ending December 31, 2003. The information
necessary to complete your income tax returns for the calendar year ending
December 31, 2003 will be received under separate cover.
FOR THE FISCAL YEAR ENDED OCTOBER 31, 2003:
The Funds intend to distribute the maximum amount of dividends that qualify for
the reduced tax rate, pursuant to the Jobs and Growth Tax Relief Reconciliation
Act of 2003. Complete information will be reported in conjunction with your 2003
Form 1099-DIV.
The dividends paid from net investment income are 59.08% and 75.55% exempt from
federal income tax for TAEI and TASI, respectively.
The following schedule represents the percentage of distribution eligible for
the dividends received deduction:
<Table>
<Caption>
DIVIDENDS
RECEIVED
DEDUCTION
FUND
FTAIO --
TADE 100.00%
TAEI --
TALCG 100.00%
TALCV 100.00%
TASI@ --
- --------------------------------------------------------------
TAUSE 100.00%
- --------------------------------------------------------------
</Table>
@ For the period 12/20/02 - 10/31/03
118
<Page>
For the fiscal year ended October 31, 2003, FTAIO intends to elect to pass
through to shareholders the income tax credit for taxes paid to foreign
countries. Gross Income and foreign tax expenses by country on October 31, 2003
are as follows (amounts in thousands):
<Table>
<Caption>
FOREIGN TAX
COUNTRY GROSS INCOME PASS THROUGH
FUND
FTAIO Australia $ 89,757 $ 5,183
Belgium 19,938 --
Finland 57,155 8,573
France 411,593 40,512
Germany 125,415 18,812
Hong Kong 110,580 --
India 48,254 --
Italy 171,199 25,680
Japan 215,597 21,618
Korea 125,602 --
Russian Federation 58,426 --
Singapore 41,087 9,176
Spain 154,168 23,271
Sweden 43,919 6,592
Switzerland 220,325 34,552
Thailand 12,097 1,210
The Netherlands 180,695 35,712
United Kingdom 1,321,830 237,759
Venezuela 172,236 --
$ 3,579,873 $ 468,650
- ------------------------------------------------------------------------------------------
</Table>
The pass-through of the foreign tax credit will only affect those persons who
are shareholders on the dividend record date in December 2003. These
shareholders will receive more detailed information along with 2003 Form
1099-DIV.
119
<Page>
JPMorgan Family of Funds
U.S. EQUITY FUNDS
Capital Growth Fund
Disciplined Equity Fund
Disciplined Equity Value Fund
Diversified Fund
Dynamic Small Cap Fund
Equity Growth Fund
Equity Income Fund
Growth and Income Fund
Mid Cap Equity Fund
Mid Cap Growth Fund
Mid Cap Value Fund
Small Cap Equity Fund
Small Cap Growth Fund
Trust Small Cap Equity Fund
U.S. Equity Fund
U.S. Small Company Fund
U.S. Small Company Opportunities Fund
Value Opportunities Fund
INTERNATIONAL EQUITY FUNDS
Fleming Asia Equity Fund
Fleming Emerging Markets Equity Fund
Fleming European Fund
Fleming International Equity Fund
Fleming International Growth Fund
Fleming International Opportunities Fund
Fleming International Value Fund
Fleming Japan Fund
SPECIALTY FUNDS
Global 50 Fund
Global Healthcare Fund
Market Neutral Fund
TAX AWARE FUNDS
Fleming Tax Aware International Opportunities Fund
Tax Aware Disciplined Equity Fund
Tax Aware Enhanced Income Fund
Tax Aware Large Cap Growth Fund
Tax Aware Large Cap Value Fund
Tax Aware Short-Intermediate Income Fund
Tax Aware U.S. Equity Fund
INCOME FUNDS
Bond Fund
Bond Fund II
Enhanced Income Fund
Fleming Emerging Markets Debt Fund
Global Strategic Income Fund
Short Term Bond Fund
Short Term Bond Fund II
Strategic Income Fund
U.S. Treasury Income Fund
TAXFREE FUNDS
California Bond Fund
Intermediate Tax Free Income Fund
New Jersey Tax Free Income Fund
New York Intermediate Tax Free Income Fund
Tax Free Income Fund
MONEY MARKET FUNDS
100% U.S. Treasury Securities Money Market Fund
California Tax Free Money Market Fund
Federal Money Market Fund
Liquid Assets Money Market Fund
New York Tax Free Money Market Fund
Prime Money Market Fund
Tax Free Money Market Fund
Treasury Plus Money Market Fund
U.S. Government Money Market Fund
Funds may be registered under separate registrants.
<Page>
THIS PAGE IS INTENTIONALLY LEFT BLANK
<Page>
[JPMORGAN FLEMING ASSET MANAGEMENT LOGO]
JPMorgan Funds are distributed by J.P. Morgan Fund Distributors, Inc., which is
unaffiliated with the JPMorgan Chase Bank. JPMorgan Chase and its respective
affiliates receive compensation from JPMorgan Funds for providing services to
the Funds.
This report is submitted for the general information of the shareholders of the
funds. It is not authorized for distribution to prospective investors in the
funds unless preceded or accompanied by a prospectus.
A list of portfolio holdings is available fifteen days after month end upon
request. Please contact your JPMorgan Fleming representative or call
1-800-766-7722 to obtain further information.
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
600 North Bedford Street U.S. POSTAGE
East Bridgewater, MA 02333 PAID
PERMIT 2891
KANSAS CITY, MO
(C)J.P. Morgan Chase & Co., 2003 All rights reserved. December 2003 AN-TA-1003
<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.
THE REGISTRANT HAS ADOPTED A CODE OF ETHICS THAT APPLIES TO THE REGISTRANT'S
PRINCIPAL EXECUTIVE OFFICER, PRINCIPAL FINANCIAL OFFICER, PRINCIPAL ACCOUNTING
OFFICER OR CONTROLLER, OR PERSONS PERFORMING SIMILAR FUNCTIONS.
THE REGISTRANT WILL PROVIDE ANY PERSON WITHOUT CHARGE, UPON REQUEST, A COPY OF
THE CODE OF ETHICS. A REQUEST MAY BE MADE BY CALLING 1-800-348-4782.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
(a) (1) Disclose that the registrant's board of directors has determined
that the registrant either:
(i) Has at least one audit committee financial expert serving
on its audit committee; or
(ii) Does not have an audit committee financial expert serving
on its audit committee.
THE REGISTRANT'S BOARD OF DIRECTORS HAS DETERMINED THAT THE REGISTRANT HAS AT
LEAST ONE AUDIT COMMITTEE FINANCIAL EXPERT SERVING ON ITS AUDIT COMMITTEE.
(2) If the registrant provides the disclosure required by paragraph
(a)(1)(i) of this Item, it must disclose the name of the audit
committee financial expert and whether that person is
"independent." In order to be considered "independent" for purposes
of this Item, a member of an audit committee may not, other than in
his or her capacity as a member of the audit committee, the board
of directors, or any other board committee:
(i) Accept directly or indirectly any consulting, advisory, or
other compensatory fee from the issuer; or
(ii) Be an "interested person" of the investment company as
defined in Section 2(a)(19) of the Act (15 U.S.C. 80a-2(a)(19)).
THE AUDIT COMMITTEE FINANCIAL EXPERT IS WILLIAM ARMSTRONG. HE IS A
"NON-INTERESTED" TRUSTEE AND IS ALSO "INDEPENDENT" AS DEFINED BY THE SECURITIES
AND EXCHANGE COMMISSION FOR PURPOSES AUDIT COMMITTEE FINANCIAL EXPERT
DETERMINATIONS.
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
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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 FISCAL YEARS ENDING ON
OR AFTER DECEMBER 15, 2003.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
NOT APPLICABLE.
ITEM 6. [RESERVED]
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES.
A closed-end management investment company that is filing an annual report
on this Form N-CSR must, unless it invests exclusively in non-voting securities,
describe the policies and procedures that it uses to determine how to vote
proxies relating to portfolio securities, including the procedures that the
company uses when a vote presents a conflict between the interests of its
shareholders, on the one hand, and those of the company's investment adviser;
principal underwriter; or any affiliated person (as defined in Section 2(a)(3)
of the Investment Company Act of 1940 (15 U.S.C. 80a-2(a)(3)) and the rules
thereunder) of the company, its investment adviser, or its principal
underwriter, on the other. Include any policies and procedures of the company's
investment adviser, or any other third party, that the company uses, or that are
used on the company's behalf, to determine how to vote proxies relating to
portfolio securities.
NOT APPLICABLE
ITEM 8. [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.
THE REGISTRANT'S PRINCIPAL EXECUTIVE AND PRINCIPAL FINANCIAL OFFICERS HAVE
CONCLUDED, BASED ON THEIR EVALUATION OF THE REGISTRANT'S DISCLOSURE CONTROLS AND
PROCEDURES AS OF A DATE WITHIN 90 DAYS OF THE FILING DATE OF THIS REPORT, THAT
THE REGISTRANT'S DISCLOSURE CONTROLS AND PROCEDURES ARE REASONABLY DESIGNED TO
ENSURE THAT INFORMATION REQUIRED TO BE DISCLOSED BY THE REGISTRANT ON FORM N-CSR
IS RECORDED, PROCESSED, SUMMARIZED AND REPORTED WITHIN THE REQUIRED TIME PERIODS
AND THAT INFORMATION REQUIRED TO BE DISCLOSED BY THE REGISTRANT IN THE REPORTS
THAT IT FILES OR SUBMITS ON FORM N-CSR IS ACCUMULATED AND COMMUNICATED TO THE
REGISTRANT'S MANAGEMENT, INCLUDING ITS PRINCIPAL EXECUTIVE AND PRINCIPAL
FINANCIAL OFFICERS, AS APPROPRIATE TO ALLOW TIMELY DECISIONS REGARDING REQUIRED
DISCLOSURE.
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(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 WERE NO CHANGES IN THE REGISTRANT'S INTERNAL CONTROL OVER FINANCIAL
REPORTING THAT OCCURRED DURING THE REGISTRANT'S MOST RECENT FISCAL HALF-YEAR
(THE REGISTRANT'S SECOND FISCAL HALF-YEAR IN THE CASE OF AN ANNUAL REPORT) THAT
HAVE MATERIALLY AFFECTED, OR ARE REASONABLY LIKELY TO MATERIALLY AFFECT, THE
REGISTRANT'S INTERNAL CONTROL OVER FINANCIAL REPORTING.
ITEM 10. EXHIBITS.
(a) File the exhibits listed below as part of this Form. Letter or
number the exhibits in the sequence indicated.
(a)(1) Any code of ethics, or amendment thereto, that is the subject
of the disclosure required by Item 2, to the extent that the registrant intends
to satisfy the Item 2 requirements through filing of an exhibit.
NOT APPLICABLE - SEE ITEM 2 ABOVE.
(a)(2) A separate certification for each principal executive officer
and principal financial officer of the registrant as required by Rule 30a-2
under the Act (17 CFR 270.30a-2).
CERTIFICATIONS PURSUANT TO SECTION 302 OF THE SARBANES-OXLEY ACT OF 2002 ARE
ATTACHED HERETO.
(b) A separate or combined certification for each principal executive
officer and principal officer of the registrant as required by Rule 30a-2(b)
under the Act of 1940.
CERTIFICATIONS PURSUANT TO SECTION 906 OF THE SARBANES-OXLEY ACT OF 2002 ARE
ATTACHED HERETO.
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SIGNATURES
[See General Instruction F]
Pursuant to the requirements of the Securities Exchange Act of 1934
and the Investment Company Act of 1940, the registrant has duly caused this
report to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) J.P. Morgan Mutual Fund Select Group
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By (Signature and Title)* /s/ Patricia A. Maleski
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Patricia A. Maleski, Treasurer
Date December 29, 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/ Patricia A. Maleski
-------------------------------------------------------
Patricia A. Maleski, Treasurer
Date December 29, 2003
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By (Signature and Title)* /s/ George C.W. Gatch
-------------------------------------------------------
George C.W. Gatch, President
Date December 29, 2003
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* Print the name and title of each signing officer under his or her signature.
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