<Page>
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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-07342
---------------------------------------------
J.P. Morgan Institutional Funds
- -------------------------------------------------------------------------------
(Exact name of registrant as specified in charter)
522 Fifth Avenue, New York, NY 10036
- -------------------------------------------------------------------------------
(Address of principal executive offices) (Zip code)
BISYS Fund Services, 3435 Stelzer Road, Columbus, OH 43219
- -------------------------------------------------------------------------------
(Name and address of agent for service)
Registrant's telephone number, including area code: 1-800-348-4782
----------------------------
Date of fiscal year end: December 31, 2003
--------------------------
Date of reporting period: January 1, 2003 through December 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
information collection burden estimate and any suggestions for reducing the
burden to Secretary, Securities and Exchange Commission, 450 Fifth Street,
NW, Washington, DC 20549-0609. The OMB has reviewed this collection of
information under the clearance requirements of 44 U.S.C. Section 3507.
ITEM 1. REPORTS TO STOCKHOLDERS.
Include a copy of the report transmitted to stockholders pursuant to
Rule 30e-1 under the Act (17 CFR 270.30e-1).
<Page>
JPMORGAN FUNDS
ANNUAL REPORT DECEMBER 31 2003
[GRAPHIC]
U.S. EQUITY LARGE CAP FUNDS
DISCIPLINED EQUITY FUND
DIVERSIFIED FUND
EQUITY GROWTH FUND
EQUITY INCOME FUND
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 a worldwide investment presence. 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
marketplace. JPMorgan Fleming Asset Management is an EXPERIENCED PARTNER
dedicated to working with your financial advisor to help provide you with a
broad array of WEALTH SOLUTIONS.
CONTENTS
<Table>
President's Letter 1
Fund Commentaries: 3
Disciplined Equity Fund 3
Diversified Fund 6
Equity Growth Fund 9
Equity Income Fund 12
U.S. Equity Fund 15
Portfolio of Investments 18
Financial Statements 50
Notes to Financial Statements 61
Financial Highlights 92
</Table>
HIGHLIGHTS
- - Military action and revival in corporate profits drive market recovery
- - Economic growth surprisingly strong
- - Technology stocks and small caps outperform
- - Positive backdrop for equities
Investments in a Fund are not bank deposits or obligations of, or guaranteed or
endorsed by, any bank and are not insured or guaranteed by the FDIC, the Federal
Reserve Board or any other government agency. You could lose money if you sell
when the Fund's share price is lower than when you invested.
Past performance is no guarantee for future performance. The general market
views expressed in this report are opinions based on current market conditions
and are subject to change without notice. These views are not intended to
predict the future performance of a Fund or the securities markets. References
to specific securities and their issuers are for illustrative purposes only and
are not intended to be, and should not be interpreted as, recommendations to
purchase or sell such securities. Such views are not meant as investment advice
and may not be relied on as an indication of trading intent on behalf of any
Fund.
Prospective investors should refer to the Fund's prospectus for a discussion of
the Fund's investment objective, strategies and risks. Call JPMorgan Funds
Service Center at (800) 348-4782 for a prospectus containing more complete
information about a Fund including management fees and other expenses. Please
read it carefully before investing.
JPMorgan Funds are distributed by J.P. Morgan Fund Distributors, Inc.
<Page>
JPMORGAN LARGE CAP EQUITY FUNDS
PRESIDENT'S LETTER FEBRUARY 17, 2004
"BETTER-THAN-EXPECTED CORPORATE PROFITS, LOW INTEREST RATES, AND
POSITIVE ECONOMIC DATA ALL HELPED TO SUSTAIN THE RALLY."
[PHOTO OF GEORGE C.W. GATCH]
DEAR SHAREHOLDER:
We are pleased to present this annual report for the JPMorgan U.S. Equity Funds.
Inside, you will find information detailing the performance of the Funds for the
year ended December 31, 2003, along with reports from the Portfolio Managers.
PROFIT INCREASES END THREE-YEAR BEAR MARKET
While the market declined throughout most of the first quarter of 2003 due to
geo-political and economic uncertainty, by mid-March it began a rally that would
continue until the end of the year. The rally began as coalition forces prepared
to take military action in Iraq and acquired momentum in the following months.
Utterances by the U.S. Federal Reserve confirming its determination to avoid
deflation and to nurture growth (leading ultimately to a 1/4-point rate cut in
late June) fuelled the rally. In addition, Congress approved the Bush
Administration's $350 billion package of tax cuts in an attempt to boost
consumer demand. By the fourth-quarter, there was a clear trend of recovering
economic growth, with third-quarter GDP growth reported at a surprisingly
buoyant 7.2%. Better-than-expected corporate profits, low interest rates, and
positive economic data - including evidence of manufacturing growth and
business spending all helped to sustain the rally.
DIVERGENT PERFORMANCES
The market's rise was far from uniform, however. While the broad-based S&P 500
Index rose 28.7% during the year, the greatest gains were among the technology
and small cap stocks that surged on a wave of market liquidity. The
technology-laden NASDAQ climbed 50.8% and the Russell 2000 Index of small stocks
47.3%. What the indices do not show is that the biggest increases of all were
among low quality, non-earning stocks that investors had chosen not to own in
the bear market. For fund managers, 2003 was a year when great gains were made
for investors, although it was sometimes difficult to outperform benchmark
indices. Fund managers prefer to invest in higher quality stocks, with
sustainable earnings growth, which tend to outperform over time.
OUTLOOK
As we enter 2004, investors who stayed invested through the trough of the bear
market have good reason to feel vindicated. The question now is whether equities
will continue their upward path. Our view is that they will, although we do not
anticipate gains of the same magnitude as 2003. From an economic perspective,
there is a hint of a "Goldilocks" economy (not too hot, not too cold, but just
right), with a healthy combination of strong earnings growth and low inflation.
Furthermore, election years have historically seen substantial increases in
equity prices, with small company stocks outperforming. In this case, 2003's
enormous fiscal and monetary stimuli have primed the economy.
<Page>
IMPORTANT MERGER NEWS
As you may know, JPMorgan Chase and Bank One have agreed to combine forces by
mid-2004, subject to approval of the Firms' shareholders and certain regulatory
agencies. The merger is compelling both strategically and financially. It will
create a new institution with a more balanced business mix between wholesale and
retail, leading to greater earnings consistency. The new JPMorgan Chase will
have top-tier positions in both wholesale and retail financial services, an
extensive client base and greater scale. We will have an extraordinarily
talented team that shares common values and a strong client orientation.
All of us at JPMorgan Fleming Asset Management would like to thank you for your
investment. Should you have any questions, please contact the JPMorgan Funds
Service Center at 1-800-348-4782.
Sincerely yours,
/s/ George C.W. Gatch
George C.W. Gatch
President
JPMorgan Funds
2
<Page>
JPMORGAN DISCIPLINED EQUITY FUND
AS OF DECEMBER 31, 2003 (Unaudited)
FUND FACTS
Fund Inception 1/3/1997
Fiscal Year End DECEMBER 31
Net Assets as of 12/31/2003
(In Millions) $605.5
Primary Benchmark S&P 500 INDEX
Q: HOW DID THE FUND PERFORM?
A: JPMorgan Disciplined Equity Fund, which seeks to provide a consistently high
total return from a broadly diversified portfolio of equity securities with
risk characteristics similar to the S&P 500 Index, returned 29.60%
(Institutional Shares) during the year ended December 31, 2003. This compares
with a gain of 28.7% of the S&P 500 Index, the Fund's benchmark.
Q: WHY DID THE FUND PERFORM THIS WAY?
A: Against a backdrop of a quick end to formal war activity in Iraq,
better-than-expected earnings results, substantial tax cuts and evidence of a
strong recovery, 2003 turned out to be a strong year for equity returns.
Given this supportive backdrop, the majority of the portfolio's holdings had
positive returns for the year and the Fund modestly outpaced the benchmark.
Stock selection was strongest in the Finance and Capital Markets sectors,
where the portfolio manager added substantial value against the benchmark.
Within the Finance sector, an overweight position in Countrywide Financial, a
mortgage originator, contributed significantly to the portfolio's relative
return. Low interest rates prompted a historically strong rate of home
refinancings, and additionally, as rates backed up, Countrywide's servicing
business strengthened, boosting earnings well beyond Wall Street forecasts.
In the Capital Markets sector, an overweight position in Capital One
Financial benefited returns. Capital One seems to be reaping the awards of
transitioning its business model from a sub-prime credit card lender to a
diversified, up market lender. Additionally, adept stock selection in the
Pharmaceuticals/Medical Technology sector, where the resurgence of Guidant
and Forest Labs, aided the Fund's relative performance.
Despite the strong return generated by the Fund, some sectors did lag their
benchmark peer group in the period. In particular, the portfolio's systems
hardware names modestly detracted from the Fund's relative return. This
weakness resulted primarily from a lack of exposure to Sun Microsystems,
which was sold during the year.
Q: HOW WAS THE FUND MANAGED?
A: The Fund seeks to have sector and style characteristics similar to those of
its benchmark, the S&P 500 Index. As such, the portfolio manager seeks to
generate excess returns relative to the benchmark through stock selection. As
such, over the year, our focus was on identifying companies that are
attractively priced relative to their future earnings prospects, as focused
by our team of equity research analysts.
3
<Page>
[CHART]
PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS
<Table>
Consumer Goods & Services 22.9%
Finance & Insurance 20.1%
Technology 17.6%
Industrial Products & Services 12.8%
Pharmaceuticals 9.4%
Energy 5.9%
Health Services & Systems 3.6%
Telecommunications 3.6%
Utilities 2.6%
Short-Term Investments 1.1%
REITs 0.4%
</Table>
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO
<Table>
1. General Electric Co. 3.6%
2. Citigroup, Inc. 3.5%
3. Microsoft Corp. 2.7%
4. Pfizer, Inc. 2.6%
5. Cisco Systems, Inc. 2.3%
6. Procter & Gamble Co. 2.3%
7. The Coca-Cola Co. 2.2%
8. Viacom, Inc., Class B 1.7%
9. Wal-Mart Stores, Inc. 1.7%
10. Verizon Communications, Inc. 1.7%
</Table>
Top 10 equity holdings comprised 24.3% of the Portfolio's market value of
investments ($147,250 in thousands). As of December 31, 2003 the Fund held 203
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 (1/3/97)
--------------------------------------------------
CLASS A SHARES
Without Sales Charge 28.96% (5.33%) (2.30%) 6.48%
With Sales Charge* 21.58% (7.18%) (3.46%) 5.59%
--------------------------------------------------
INSTITUTIONAL SHARES 29.60% (4.87%) (1.91%) 6.83%
--------------------------------------------------
SELECT SHARES 29.45% (5.15%) (2.19%) 6.57%
--------------------------------------------------
ULTRA SHARES 29.80% (4.82%) (1.88%) 6.85%
</Table>
* Sales Charge for Class A Shares is 5.75%.
[CHART]
LIFE OF FUND PERFORMANCE (01/03/97 TO 12/31/03)
<Table>
<Caption>
JPMORGAN DISCIPLINED EQUITY FUND LIPPER LARGE CAP
(INSTITUTIONAL SHARES) S&P 500 INDEX CORE FUNDS INDEX
Jan-1997 $ 3,000,000.00 $ 3,000,000.00 $ 3,000,000.00
Jan-1997 $ 3,150,000.00 $ 3,187,500.00 $ 3,164,100.00
Feb-1997 $ 3,173,940.00 $ 3,212,362.50 $ 3,160,303.08
Mar-1997 $ 3,041,904.10 $ 3,080,334.40 $ 3,025,042.11
Apr-1997 $ 3,215,901.01 $ 3,264,230.37 $ 3,192,629.44
May-1997 $ 3,441,014.08 $ 3,463,021.99 $ 3,386,422.05
Jun-1997 $ 3,594,139.21 $ 3,618,165.38 $ 3,533,392.76
Jul-1997 $ 3,894,249.83 $ 3,906,171.34 $ 3,812,530.79
Aug-1997 $ 3,694,474.82 $ 3,687,425.75 $ 3,618,472.98
Sep-1997 $ 3,869,223.47 $ 3,889,496.68 $ 3,804,824.33
Oct-1997 $ 3,748,503.70 $ 3,759,587.49 $ 3,687,635.74
Nov-1997 $ 3,908,189.96 $ 3,933,656.39 $ 3,808,221.43
Dec-1997 $ 3,962,122.98 $ 4,001,315.28 $ 3,877,531.06
Jan-1998 $ 4,032,252.56 $ 4,045,729.88 $ 3,915,918.62
Feb-1998 $ 4,331,445.70 $ 4,337,427.01 $ 4,193,557.25
Mar-1998 $ 4,557,547.16 $ 4,559,503.27 $ 4,401,138.34
Apr-1998 $ 4,627,733.39 $ 4,605,554.25 $ 4,445,589.83
May-1998 $ 4,575,902.77 $ 4,526,338.72 $ 4,369,570.25
Jun-1998 $ 4,737,889.73 $ 4,710,108.07 $ 4,577,124.83
Jul-1998 $ 4,694,774.94 $ 4,660,180.92 $ 4,540,050.12
Aug-1998 $ 4,004,643.02 $ 3,986,318.76 $ 3,860,404.62
Sep-1998 $ 4,268,549.00 $ 4,241,841.80 $ 4,052,266.73
Oct-1998 $ 4,630,521.95 $ 4,586,703.53 $ 4,356,186.73
Nov-1998 $ 4,949,564.91 $ 4,864,657.77 $ 4,615,379.84
Dec-1998 $ 5,243,569.07 $ 5,144,862.05 $ 4,921,841.07
Jan-1999 $ 5,422,899.13 $ 5,359,917.29 $ 5,094,105.50
Feb-1999 $ 5,227,674.76 $ 5,193,223.86 $ 4,936,697.64
Mar-1999 $ 5,442,009.43 $ 5,400,952.82 $ 5,135,152.89
Apr-1999 $ 5,756,013.37 $ 5,609,969.69 $ 5,272,774.99
May-1999 $ 5,631,107.88 $ 5,477,574.40 $ 5,133,046.45
Jun-1999 $ 5,920,546.83 $ 5,781,579.78 $ 5,419,470.44
Jul-1999 $ 5,731,089.33 $ 5,601,194.49 $ 5,260,679.96
Aug-1999 $ 5,701,860.77 $ 5,573,188.52 $ 5,207,021.02
Sep-1999 $ 5,537,647.18 $ 5,420,483.16 $ 5,065,910.75
Oct-1999 $ 5,830,588.72 $ 5,763,599.74 $ 5,376,451.08
Nov-1999 $ 5,917,464.49 $ 5,880,600.82 $ 5,508,174.13
Dec-1999 $ 6,204,461.52 $ 6,226,968.20 $ 5,874,467.71
Jan-2000 $ 5,872,522.83 $ 5,914,374.40 $ 5,637,139.22
Feb-2000 $ 5,730,407.77 $ 5,802,592.72 $ 5,635,448.07
Mar-2000 $ 6,312,617.20 $ 6,370,086.29 $ 6,125,168.51
Apr-2000 $ 6,099,250.74 $ 6,178,346.69 $ 5,924,875.50
May-2000 $ 5,943,109.92 $ 6,051,690.59 $ 5,773,791.18
Jun-2000 $ 6,095,847.85 $ 6,200,562.18 $ 5,985,111.93
Jul-2000 $ 5,997,095.11 $ 6,103,833.41 $ 5,891,744.19
Aug-2000 $ 6,374,312.40 $ 6,482,881.46 $ 6,298,274.54
Sep-2000 $ 5,980,379.89 $ 6,140,585.32 $ 5,963,206.33
Oct-2000 $ 5,986,958.31 $ 6,114,794.86 $ 5,894,033.14
Nov-2000 $ 5,487,645.99 $ 5,632,949.03 $ 5,375,358.22
Dec-2000 $ 5,529,900.86 $ 5,660,550.48 $ 5,440,937.59
Jan-2001 $ 5,755,520.81 $ 5,861,500.02 $ 5,594,916.12
Feb-2001 $ 5,208,746.34 $ 5,326,931.22 $ 5,074,029.43
Mar-2001 $ 4,874,344.82 $ 4,989,203.78 $ 4,762,484.03
Apr-2001 $ 5,295,000.78 $ 5,376,864.91 $ 5,124,432.81
May-2001 $ 5,349,539.29 $ 5,412,889.91 $ 5,153,129.64
Jun-2001 $ 5,229,709.61 $ 5,281,356.68 $ 5,016,056.39
Jul-2001 $ 5,178,458.45 $ 5,229,599.39 $ 4,943,323.57
Aug-2001 $ 4,843,412.19 $ 4,902,226.46 $ 4,652,161.81
Sep-2001 $ 4,395,396.56 $ 4,506,616.79 $ 4,299,062.73
Oct-2001 $ 4,487,699.89 $ 4,592,693.17 $ 4,400,520.61
Nov-2001 $ 4,843,574.49 $ 4,944,952.73 $ 4,688,754.71
Dec-2001 $ 4,882,807.45 $ 4,988,468.32 $ 4,741,737.64
Jan-2002 $ 4,772,456.00 $ 4,915,636.68 $ 4,666,818.18
Feb-2002 $ 4,666,030.23 $ 4,820,764.89 $ 4,588,415.64
Mar-2002 $ 4,841,472.97 $ 5,002,025.65 $ 4,744,421.77
Apr-2002 $ 4,517,094.28 $ 4,698,902.90 $ 4,496,288.51
May-2002 $ 4,475,537.01 $ 4,664,131.02 $ 4,463,465.61
Jun-2002 $ 4,132,263.32 $ 4,332,044.89 $ 4,155,040.13
Jul-2002 $ 3,810,773.24 $ 3,994,145.39 $ 3,846,320.65
Aug-2002 $ 3,831,351.41 $ 4,020,506.75 $ 3,877,860.48
Sep-2002 $ 3,398,791.84 $ 3,583,477.66 $ 3,501,320.23
Oct-2002 $ 3,683,270.71 $ 3,898,823.70 $ 3,773,372.81
Nov-2002 $ 3,908,686.88 $ 4,128,464.41 $ 3,942,042.57
Dec-2002 $ 3,673,383.93 $ 3,886,123.55 $ 3,734,296.93
Jan-2003 $ 3,583,018.69 $ 3,784,307.12 $ 3,636,458.35
Feb-2003 $ 3,527,481.90 $ 3,727,542.51 $ 3,588,093.45
Mar-2003 $ 3,566,284.20 $ 3,763,699.67 $ 3,618,233.44
Apr-2003 $ 3,866,565.33 $ 4,073,828.52 $ 3,884,897.24
May-2003 $ 4,083,092.98 $ 4,288,519.29 $ 4,073,314.76
Jun-2003 $ 4,121,065.75 $ 4,343,412.33 $ 4,113,640.58
Jul-2003 $ 4,170,106.43 $ 4,419,856.39 $ 4,178,636.10
Aug-2003 $ 4,247,253.40 $ 4,506,043.59 $ 4,259,283.77
Sep-2003 $ 4,204,780.87 $ 4,458,279.53 $ 4,204,339.01
Oct-2003 $ 4,454,544.85 $ 4,710,618.15 $ 4,409,931.19
Nov-2003 $ 4,510,672.12 $ 4,752,071.59 $ 4,446,974.61
Dec-2003 $ 4,761,180.00 $ 5,001,080.00 $ 4,660,874.00
</Table>
Source: Lipper Analytical Services, Inc. Past performance is no guarantee of
future results. Investment returns and principal value will fluctuate so that an
investor's shares, when redeemed, may be worth more or less than the original
cost.
The Fund commenced operations on 1/3/97.
Returns for the Institutional Shares prior to 9/10/01 (offering date of the
Institutional Shares) are calculated using the historical expenses of the J.P.
Morgan Institutional Disciplined Equity Fund, which are similar to the expenses
of the Institutional Shares.
Returns for the Select Shares prior to 9/10/01 (offering date of the Select
Shares) are calculated using the historical expenses of the J.P. Morgan
Disciplined Equity Fund, which are similar to the expenses of the Select Shares.
The returns presented prior to 12/31/97 are based on the historical expenses of
the J.P. Morgan Institutional Disciplined Equity Fund which are lower than the
expenses of the Select Shares.
Returns for the Class A Shares prior to 9/28/01 (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.
Returns for the Ultra Shares prior to 3/24/03 (offering date of the Ultra
Shares) are calculated using the historical expenses of the Institutional
Shares, which are higher than the expenses of the Ultra Shares.
The graph illustrates comparative performance for $3,000,000 invested in
Institutional Shares of the JPMorgan Disciplined Equity Fund, S&P 500 Index and
Lipper Large-Cap Core Funds Index from January 3, 1997 to December 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 an unmanaged broad-based index
that replicates the U.S. stock markets. The Lipper Large-Cap Core Funds Index
represents the total returns of the funds in the indicated category, as defined
by Lipper, Inc. Investors cannot invest directly in an index.
Institutional Shares have a $3,000,000 minimum initial deposit and carry no
sales charge.
Certain fees and expenses of the Fund are currently being waived and reimbursed
as described in the prospectus. Had the expenses not been subsidized or waived,
returns would have been lower. Also all performance shown in this section does
not reflect the deduction of taxes that a shareholder would pay on fund
distributions or redemption of fund shares.
5
<Page>
JPMORGAN DIVERSIFIED FUND
AS OF DECEMBER 31, 2003 (Unaudited)
FUND FACTS
Fund Inception 9/10/1993
Fiscal Year End DECEMBER 31
Net Assets as of 12/31/2003
(In Millions) $481.7
Primary Benchmark DIVERSIFIED
BENCHMARK
Q: HOW DID THE FUND PERFORM?
A: JPMorgan Diversified Fund, which seeks to provide high total return from a
diversified portfolio of stocks and bonds, had a return of 21.20%
(Institutional Shares) during the year ended December 31, 2003. This compares
to a return of 21.20% from the Fund's benchmark, a composite benchmark of
unmanaged indices comprised of the S&P 500 Index (52%), the Russell 2000
Index (3%), the Citigroup Broad Investment Grade Bond Index -- formerly known
as the Salomon Smith Barney Broad Investment Grade Bond Index -- (35%), and
the MSCI EAFE Index (10%).
Q: WHY DID THE FUND PERFORM THIS WAY?
A: Security selection and asset allocation were positive contributors to
performance. Security selection within the large cap equity portion, in
particular, was helpful. Strong stock selection within the Finance, Capital
Markets, Pharmaceutical/Med-Tech and Utilities sectors contributed the most
to performance, while positions in the Energy, Media, Systems Hardware and
Software and Services sectors were the primary detractors. On a stock
specific level, overweight positions in Countrywide Financial, Guidant,
Capital One and PG&E Corp. were among the more notable contributors to
performance, while overweight positions in Viacom, Kohls and Verizon, as well
as underweight positions in Nextel and Yahoo, detracted from it.
In the fixed income portion of the portfolio, security selection and our
cross sector allocation decisions contributed positively to performance
during 2003. Our underweight position relative to the benchmark in U.S.
Treasury and U.S. Agency securities was also a positive contributor for the
year, as was our modest overweight allocations to high-yield and emerging
markets debt. Performance was also aided by our overweight to non-callable
private mortgages as well as our overweight to corporates which had a strong
showing during the year. The contribution from duration positioning was
negative. Also, our international fixed income position detracted from
results.
Q: HOW WAS THE FUND MANAGED?
A: The Fund seeks to provide a high total return from a diversified portfolio of
stocks and bonds. Assets are loosely allocated among the various investment
options to conform with the fund's model allocation of 52% large-cap U.S.
equity, 3% small-cap U.S. equity, 35% fixed income and 10% international
equity. We base the actual allocation amongst these asset classes on the
relative attractiveness of each asset class.
For the majority of the year, our asset allocation models suggested that we
be overweight small caps, which tend to outperform during the beginning
phases of a broad economic recovery. In addition, during the same period,
attractive valuations led us to overweight international equities. Toward the
end of the second quarter, we decided to reduce our overweight position in
stocks relative to bonds to a neutral weighting, largely due to our concerns
about the possible future direction of domestic interest rates.
In the latter half of the year, we continued to overweight international
equities, which we felt were not as fully valued as U.S. equities. We also
continued to overweight small caps, reflecting the Fed's announced intention
to keep rates steady over the near term. The primary drivers of our strategy
over the course of the year were positions in small cap and international
equities.
6
<Page>
[CHART]
PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS
<Table>
Fixed Income 18.9%
Finance & Insurance 17.2%
Consumer Goods & Services 15.8%
Technology 10.8%
Industrial Products & Services 9.2%
Short-Term Investments 8.3%
Pharmaceuticals 6.2%
Energy 4.4%
Telecommunications 3.9%
Utilities 2.9%
Health Services & Systems 2.1%
REITs 0.3%
</Table>
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO
<Table>
1. General Electric Co. 1.8%
2. Citigroup, Inc. 1.8%
3. Microsoft Corp. 1.3%
4. Pfizer, Inc. 1.3%
5. Cisco Systems, Inc. 1.1%
6. The Coca-Cola Co. 1.1%
7. Procter & Gamble Co. 1.1%
8. Viacom, Inc., Class B 0.9%
9. Wal-Mart Stores, Inc. 0.8%
10. U.S. Bancorp 0.8%
</Table>
Top 10 equity holdings comprised 12.0% of the Portfolio's market value of
investments ($62,357 in thousands). As of December 31, 2003 the Fund held 546
equity holdings. Portfolio holdings are subject to change at any time.
7
<Page>
AVERAGE ANNUAL TOTAL RETURNS
<Table>
<Caption>
1 YEAR 3 YEARS 5 YEARS 10 YEARS
-------------------------------------------------
CLASS A SHARES
Without Sales Charge 20.52% (0.53%) 1.42% 8.06%
With Sales Charge* 13.56% (2.48%) 0.23% 7.42%
-------------------------------------------------
CLASS B SHARES
Without CDSC 19.95% (0.69%) 1.33% 8.01%
With CDSC** 14.95% (1.55%) 1.01% 8.01%
-------------------------------------------------
CLASS C SHARES
Without CDSC 20.01% (0.67%) 1.34% 8.01%
With CDSC*** 19.01% (0.67%) 1.34% 8.01%
-------------------------------------------------
INSTITUTIONAL SHARES 21.20% (0.13%) 1.79% 8.41%
-------------------------------------------------
SELECT SHARES 20.90% (0.42%) 1.49% 8.09%
</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 10 year period.
*** Assumes 1% CDSC for the one year period and 0% CDSC thereafter.
[CHART]
TEN-YEAR FUND PERFORMANCE (12/31/93 TO 12/31/03)
<Table>
<Caption>
JPMORGAN DIVERSIFIED FUND
(INSTITUTIONAL SHARES) DIVERSIFIED BENCHMARK S&P 500 INDEX LIPPER BALANCED FUNDS INDEX
Dec-1993 $ 3,000,000.00 $ 3,000,000.00 $ 3,000,000.00 $ 3,000,000.00
Jan-1994 $ 3,101,100.00 $ 3,095,400.00 $ 3,102,000.00 $ 3,078,600.00
Feb-1994 $ 3,035,666.79 $ 3,032,563.38 $ 3,017,935.80 $ 3,018,259.44
Mar-1994 $ 2,928,507.75 $ 2,919,752.02 $ 2,886,353.80 $ 2,908,696.62
Apr-1994 $ 2,961,307.04 $ 2,944,569.91 $ 2,923,299.13 $ 2,915,095.75
May-1994 $ 2,982,036.19 $ 2,966,948.65 $ 2,971,241.23 $ 2,937,541.99
Jun-1994 $ 2,946,251.75 $ 2,928,081.62 $ 2,898,445.82 $ 2,886,428.76
Jul-1994 $ 3,017,551.05 $ 3,001,869.28 $ 2,993,514.85 $ 2,951,662.05
Aug-1994 $ 3,088,463.50 $ 3,079,017.32 $ 3,116,248.95 $ 3,025,453.60
Sep-1994 $ 3,033,797.69 $ 3,014,357.95 $ 3,039,900.86 $ 2,970,995.44
Oct-1994 $ 3,067,169.47 $ 3,058,066.14 $ 3,108,298.62 $ 2,980,205.52
Nov-1994 $ 2,994,477.55 $ 2,978,862.23 $ 2,995,156.55 $ 2,910,766.74
Dec-1994 $ 3,027,716.25 $ 3,014,012.80 $ 3,039,484.87 $ 2,938,710.10
Jan-1995 $ 3,073,737.54 $ 3,063,744.01 $ 3,118,207.53 $ 2,975,150.10
Feb-1995 $ 3,159,802.19 $ 3,153,818.09 $ 3,239,817.62 $ 3,061,726.97
Mar-1995 $ 3,230,581.76 $ 3,229,825.10 $ 3,335,392.24 $ 3,115,919.54
Apr-1995 $ 3,304,239.02 $ 3,308,955.82 $ 3,433,786.31 $ 3,174,498.82
May-1995 $ 3,411,626.79 $ 3,421,460.32 $ 3,571,137.77 $ 3,276,082.79
Jun-1995 $ 3,457,683.75 $ 3,470,387.20 $ 3,653,988.16 $ 3,334,069.45
Jul-1995 $ 3,540,668.16 $ 3,555,411.69 $ 3,775,300.57 $ 3,404,418.32
Aug-1995 $ 3,555,893.04 $ 3,562,878.05 $ 3,784,738.82 $ 3,430,972.78
Sep-1995 $ 3,647,990.67 $ 3,661,569.77 $ 3,944,454.80 $ 3,512,973.03
Oct-1995 $ 3,644,707.47 $ 3,657,175.89 $ 3,930,254.76 $ 3,504,190.60
Nov-1995 $ 3,765,347.29 $ 3,775,302.67 $ 4,102,792.95 $ 3,613,170.92
Dec-1995 $ 3,840,277.70 $ 3,849,676.13 $ 4,181,976.85 $ 3,669,897.71
Jan-1996 $ 3,917,467.28 $ 3,928,594.49 $ 4,324,164.06 $ 3,736,322.86
Feb-1996 $ 3,934,312.39 $ 3,928,987.35 $ 4,364,378.79 $ 3,738,191.02
Mar-1996 $ 3,954,377.39 $ 3,949,418.09 $ 4,406,276.83 $ 3,752,396.14
Apr-1996 $ 3,981,267.15 $ 3,987,332.50 $ 4,471,049.10 $ 3,777,161.96
May-1996 $ 4,018,292.94 $ 4,037,572.89 $ 4,586,402.16 $ 3,815,689.01
Jun-1996 $ 4,042,000.87 $ 4,060,990.81 $ 4,603,830.49 $ 3,828,280.78
Jul-1996 $ 3,944,588.64 $ 3,948,907.47 $ 4,400,341.18 $ 3,729,893.97
Aug-1996 $ 3,984,823.45 $ 3,997,873.92 $ 4,493,188.38 $ 3,788,826.29
Sep-1996 $ 4,127,878.61 $ 4,154,590.58 $ 4,746,154.89 $ 3,929,391.75
Oct-1996 $ 4,208,372.24 $ 4,240,590.60 $ 4,877,148.76 $ 4,012,694.85
Nov-1996 $ 4,415,003.32 $ 4,453,892.31 $ 5,245,861.21 $ 4,199,686.43
Dec-1996 $ 4,365,555.28 $ 4,391,983.21 $ 5,141,993.16 $ 4,149,290.20
Jan-1997 $ 4,474,694.17 $ 4,527,695.49 $ 5,463,367.73 $ 4,277,503.26
Feb-1997 $ 4,500,199.92 $ 4,552,145.04 $ 5,505,982.00 $ 4,293,330.02
Mar-1997 $ 4,387,244.90 $ 4,433,789.27 $ 5,279,686.14 $ 4,168,394.12
Apr-1997 $ 4,518,423.53 $ 4,596,509.34 $ 5,594,883.40 $ 4,293,862.78
May-1997 $ 4,726,271.01 $ 4,802,432.96 $ 5,935,611.80 $ 4,469,911.16
Jun-1997 $ 4,879,402.19 $ 4,967,156.41 $ 6,201,527.21 $ 4,617,865.22
Jul-1997 $ 5,134,594.92 $ 5,234,886.14 $ 6,695,168.77 $ 4,881,083.53
Aug-1997 $ 4,955,911.02 $ 5,031,249.07 $ 6,320,239.32 $ 4,726,353.19
Sep-1997 $ 5,127,881.13 $ 5,239,542.78 $ 6,666,588.44 $ 4,914,934.68
Oct-1997 $ 5,026,861.88 $ 5,127,416.56 $ 6,443,924.38 $ 4,825,482.87
Nov-1997 $ 5,127,901.80 $ 5,253,038.27 $ 6,742,278.08 $ 4,914,271.75
Dec-1997 $ 5,190,462.20 $ 5,326,055.50 $ 6,858,245.26 $ 4,991,917.25
Jan-1998 $ 5,266,762.00 $ 5,402,750.70 $ 6,934,371.79 $ 5,027,359.86
Feb-1998 $ 5,475,852.45 $ 5,650,736.96 $ 7,434,339.99 $ 5,226,946.04
Mar-1998 $ 5,632,461.83 $ 5,833,255.76 $ 7,814,978.20 $ 5,386,890.59
Apr-1998 $ 5,689,349.69 $ 5,879,921.81 $ 7,893,909.48 $ 5,424,598.83
May-1998 $ 5,673,419.51 $ 5,834,646.41 $ 7,758,134.24 $ 5,369,810.38
Jun-1998 $ 5,778,945.11 $ 5,979,345.64 $ 8,073,114.49 $ 5,468,614.89
Jul-1998 $ 5,750,628.28 $ 5,942,273.70 $ 7,987,539.47 $ 5,404,632.10
Aug-1998 $ 5,249,173.50 $ 5,419,353.61 $ 6,832,541.27 $ 4,938,752.81
Sep-1998 $ 5,425,020.81 $ 5,641,005.17 $ 7,270,507.16 $ 5,152,106.93
Oct-1998 $ 5,691,389.33 $ 5,936,593.85 $ 7,861,599.39 $ 5,344,795.73
Nov-1998 $ 5,937,257.35 $ 6,174,651.26 $ 8,338,012.32 $ 5,540,415.25
Dec-1998 $ 6,156,342.15 $ 6,402,495.89 $ 8,818,281.83 $ 5,744,856.58
Jan-1999 $ 6,262,846.87 $ 6,558,716.79 $ 9,186,886.01 $ 5,836,774.28
Feb-1999 $ 6,072,456.32 $ 6,380,975.56 $ 8,901,173.85 $ 5,696,691.70
Mar-1999 $ 6,254,022.76 $ 6,556,452.39 $ 9,257,220.81 $ 5,837,399.98
Apr-1999 $ 6,494,177.24 $ 6,740,033.06 $ 9,615,475.25 $ 6,028,866.70
May-1999 $ 6,361,046.61 $ 6,603,884.39 $ 9,388,550.04 $ 5,936,022.16
Jun-1999 $ 6,575,413.88 $ 6,821,152.19 $ 9,909,614.56 $ 6,099,856.37
Jul-1999 $ 6,490,591.04 $ 6,715,424.33 $ 9,600,434.59 $ 5,985,789.05
Aug-1999 $ 6,467,873.97 $ 6,691,248.80 $ 9,552,432.41 $ 5,922,938.27
Sep-1999 $ 6,414,190.61 $ 6,630,358.44 $ 9,290,695.77 $ 5,847,124.66
Oct-1999 $ 6,616,237.62 $ 6,880,985.99 $ 9,878,796.81 $ 6,016,691.27
Nov-1999 $ 6,746,577.50 $ 6,989,705.57 $ 10,079,336.38 $ 6,081,671.54
Dec-1999 $ 7,033,307.04 $ 7,279,079.38 $ 10,673,009.30 $ 6,261,689.02
Jan-2000 $ 6,808,241.22 $ 7,031,590.68 $ 10,137,224.23 $ 6,104,520.62
Feb-2000 $ 6,892,663.41 $ 7,044,950.70 $ 9,945,630.69 $ 6,089,869.77
Mar-2000 $ 7,220,754.19 $ 7,448,626.37 $ 10,918,313.37 $ 6,448,563.10
Apr-2000 $ 6,976,692.70 $ 7,271,349.07 $ 10,589,672.14 $ 6,330,554.40
May-2000 $ 6,821,810.12 $ 7,160,824.56 $ 10,372,583.86 $ 6,271,047.19
Jun-2000 $ 7,028,510.97 $ 7,352,018.58 $ 10,627,749.43 $ 6,371,383.94
Jul-2000 $ 6,948,385.94 $ 7,277,763.19 $ 10,461,956.53 $ 6,354,181.21
Aug-2000 $ 7,212,424.61 $ 7,572,512.60 $ 11,111,644.04 $ 6,637,577.69
Sep-2000 $ 6,957,826.02 $ 7,339,279.21 $ 10,524,949.23 $ 6,498,188.56
Oct-2000 $ 6,929,298.93 $ 7,312,123.88 $ 10,480,744.44 $ 6,492,340.19
Nov-2000 $ 6,623,023.92 $ 7,004,283.46 $ 9,654,861.78 $ 6,256,668.24
Dec-2000 $ 6,754,159.79 $ 7,111,449.00 $ 9,702,170.60 $ 6,412,459.28
Jan-2001 $ 6,946,653.35 $ 7,294,213.24 $ 10,046,597.66 $ 6,548,403.41
Feb-2001 $ 6,556,946.09 $ 6,901,784.57 $ 9,130,347.95 $ 6,294,325.36
Mar-2001 $ 6,285,488.52 $ 6,631,234.61 $ 8,551,483.89 $ 6,091,018.65
Apr-2001 $ 6,592,848.91 $ 6,950,197.00 $ 9,215,934.19 $ 6,346,841.44
May-2001 $ 6,647,569.56 $ 6,971,047.59 $ 9,277,680.95 $ 6,403,328.32
Jun-2001 $ 6,558,492.13 $ 6,869,270.29 $ 9,052,233.30 $ 6,305,357.40
Jul-2001 $ 6,528,978.91 $ 6,865,835.66 $ 8,963,521.42 $ 6,300,943.65
Aug-2001 $ 6,320,051.59 $ 6,644,755.75 $ 8,402,404.98 $ 6,121,366.76
Sep-2001 $ 5,932,632.43 $ 6,300,557.40 $ 7,724,330.90 $ 5,826,929.02
Oct-2001 $ 6,076,795.39 $ 6,434,759.27 $ 7,871,865.62 $ 5,924,238.73
Nov-2001 $ 6,339,920.63 $ 6,699,227.88 $ 8,475,637.71 $ 6,160,023.43
Dec-2001 $ 6,380,496.13 $ 6,732,054.10 $ 8,550,223.32 $ 6,204,375.60
Jan-2002 $ 6,279,684.29 $ 6,661,367.53 $ 8,425,390.06 $ 6,149,777.10
Feb-2002 $ 6,224,423.07 $ 6,616,070.23 $ 8,262,780.03 $ 6,107,958.61
Mar-2002 $ 6,376,298.99 $ 6,758,977.35 $ 8,573,460.56 $ 6,241,722.90
Apr-2002 $ 6,204,138.92 $ 6,596,761.89 $ 8,053,908.85 $ 6,091,921.55
May-2002 $ 6,188,628.57 $ 6,590,824.80 $ 7,994,309.92 $ 6,088,875.59
Jun-2002 $ 5,894,668.71 $ 6,327,850.89 $ 7,425,115.06 $ 5,828,880.61
Jul-2002 $ 5,573,409.27 $ 6,006,396.07 $ 6,845,956.08 $ 5,529,859.03
Aug-2002 $ 5,634,716.77 $ 6,061,654.91 $ 6,891,139.39 $ 5,586,816.58
Sep-2002 $ 5,248,738.67 $ 5,674,921.33 $ 6,142,072.54 $ 5,253,283.63
Oct-2002 $ 5,505,401.99 $ 5,961,504.86 $ 6,682,574.93 $ 5,472,345.56
Nov-2002 $ 5,726,168.61 $ 6,186,849.74 $ 7,076,178.59 $ 5,694,522.79
Dec-2002 $ 5,550,947.85 $ 6,011,761.89 $ 6,660,806.91 $ 5,540,770.67
Jan-2003 $ 5,442,704.37 $ 5,901,145.47 $ 6,486,293.76 $ 5,532,459.51
Feb-2003 $ 5,401,339.81 $ 5,865,738.60 $ 6,388,999.36 $ 5,490,966.07
Mar-2003 $ 5,412,682.63 $ 5,883,922.39 $ 6,450,972.65 $ 5,513,479.03
Apr-2003 $ 5,733,654.71 $ 6,228,720.24 $ 6,982,532.80 $ 5,811,758.24
May-2003 $ 5,992,815.90 $ 6,497,178.08 $ 7,350,512.28 $ 6,068,637.96
Jun-2003 $ 6,039,559.86 $ 6,555,652.69 $ 7,444,598.83 $ 6,114,759.61
Jul-2003 $ 6,005,870.23 $ 6,566,141.73 $ 7,575,623.77 $ 6,128,823.55
Aug-2003 $ 6,112,893.15 $ 6,673,169.84 $ 7,723,348.44 $ 6,232,400.67
Sep-2003 $ 6,155,233.35 $ 6,714,543.50 $ 7,641,480.94 $ 6,240,502.79
Oct-2003 $ 6,382,539.64 $ 6,948,881.06 $ 8,073,988.76 $ 6,446,439.39
Nov-2003 $ 6,453,016.67 $ 7,010,726.10 $ 8,145,039.87 $ 6,503,812.70
Dec-2003 $ 6,712,650.00 $ 7,285,547.00 $ 8,571,840.00 $ 6,736,649.00
</Table>
Source: Lipper Analytical Services. Inc. Past performance is no guarantee of
future results. Investment returns and principal value will fluctuate so that an
investors shares, when redeemed, may be worth more or less than their original
cost.
The Fund commenced operations on 9/10/93.
Returns for the Institutional Shares prior to 9/10/01 (offering date of the
Institutional Shares) are calculated using the historical expenses of the J.P.
Morgan Institutional Diversified Fund, which are similar to the expenses of the
Institutional Shares.
Returns for the Select Shares prior to 9/10/01 (offering date of the Select
Shares) are calculated using the historical expenses of the J.P. Morgan
Diversified Fund, which are similar to the expenses of the Select Shares.
Returns for the Class A, B, and C Shares prior to 3/24/03 (offering date of the
Class A, B, and C Shares) are calculated using the historical expenses of the
Select Shares which are lower than the expenses of the Class A, B, and C Shares.
The graph illustrates comparative performance for $3,000,000 invested in
Institutional Shares of the JPMorgan Diversified Fund, Diversified Benchmark.
S&P 500 Index, and Lipper Balanced Funds Index from December 31, 1993 to
December 31, 2003. The performance of the Fund assumes reinvestment of all
dividend and capital gains and does not include a sales charge. The performance
of the indices reflects an initial investment at the end of the month following
the Fund's inception. The performance of the indices does not include a sales
charge and has been adjusted to reflect reinvestment of all dividends and
capital gains of the securities included in the benchmark. The Diversified
Benchmark comprises of 52% of the S&P 500 Index, 3% of the Russell 2000 Index,
35% of the Citigroup Broad Investment Grade Bond Index and 10% of the MSCI EAFE
Index. The S&P 500 Index is an unmanaged broad-based index that replicates the
U.S. stock markets. The Lipper Balanced Funds Index represents the total returns
of the funds in the indicated category, as defined by Lipper, Inc. Investors
cannot invest directly in an index.
Institutional Shares have a $3,000,000 minimum initial deposit and carry no
sales charge.
Certain fees and expenses of the Fund are currently being waived and reimbursed
as described in the prospectus. Had the expenses not been subsidized or waived,
returns would have been lower. Also, all performance shown in this section does
not reflect the deduction of taxes that a shareholder would pay on fund
distributions or redemption of fund shares.
8
<Page>
JPMORGAN EQUITY GROWTH FUND
AS OF DECEMBER 31, 2003 (Unaudited)
FUND FACTS
Fund Inception 3/29/1988
Fiscal Year End DECEMBER 31
Net Assets as of 12/31/2003
(In Millions) $70.3
Primary Benchmark RUSSELL 1000
GROWTH INDEX
Q: HOW DID THE FUND PERFORM?
A: JPMorgan Equity Growth Fund, which seeks to provide capital appreciation
(producing current income is a secondary objective), returned 20.75% for the
year ended December 31, 2003. This compares to the 29.7% return of its
benchmark index, the Russell 1000(R) Growth Index.
Q: WHY DID THE FUND PERFORM THIS WAY?
A: The Fund's large cap, quality, growth bias was a key factor in our relative
underperformance. For example, the Fund was overweight Dell, which provides
personal computers, laptops, servers and the further commoditization of
technology hardware. We believed Dell was reasonably valued (for technology)
and showed good growth characteristics. But despite a 27% rise in the
company's stock price, Dell underperformed our benchmark and the technology
hardware sector.
The Fund was roughly 2% overweight the Pharmaceuticals sector and within it,
our top performers were Amgen, Teva Pharmaceutical, and Gilead Sciences.
Medimmune detracted from the sector's performance.
Our Capital Markets holdings contributed to performance, largely on the
strength of Goldman Sachs, Legg Mason and American Express. Goldman posted
higher earnings that exceeded consensus estimates. American Express benefited
from core franchise building and effective expense management.
The Retail sector was almost 3% underweight, detracting from performance. The
Fund did not hold some heavyweights (Home Depot and Target Corp) that
outperformed. However, we did maintain an overweight position in Wal-Mart,
reflecting our belief that consumer spending would remain challenged.
Wal-Mart's heavy exposure to food and its status as the low cost provider
offered defensive positioning.
The Software Services and Systems Hardware sectors detracted. Because of
overweight positions in defensive names (Dell, IBM and Microsoft), we were
negatively affected by investor preference for more aggressive names such as
Sun Microsystems.
Q: HOW WAS THE FUND MANAGED?
A: We started 2003 cautiously positioned for growth. We were overweight in
Technology and Consumer Staples with holdings in Microsoft, Intel, IBM,
Colgate, Procter and Gamble and Coca-Cola.
In mid-May 2003, investors came to believe that a stronger, broad-based
economic recovery was upon us. In response, they bid up stocks providing the
most exposure to economic and financial leverage. Most of these companies had
low price, low market capitalization, low quality, low return on equity, and
high beta (beta is a measure of market volatility). Because we held positions
in stocks with the opposite characteristics, the Fund performed poorly
relative to its benchmark.
In October 2003, the market began to move its focus from "low quality" to
larger cap "quality" and market leading mid-cap ($5 billion and more) growth
stocks. Unfortunately, the Fund's large cap, quality holdings did not perform
(Colgate, Microsoft, Medtronic) and our mid-cap growth stocks stumbled out of
the gate (Weight Watchers, Take-Two Interactive Software, InteractiveCorp).
As we begin 2004, we have reduced, but not eliminated, our size bias. We have
maintained our quality biases. Each mid-cap position added to the Fund
represents a compelling value on either an absolute or relative basis.
9
<Page>
[CHART]
PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS
<Table>
Technology 34.2%
Consumer Goods & Services 23.9%
Pharmaceuticals 17.6%
Finance & Insurance 9.9%
Industrial Products & Services 9.8%
Health Services & Systems 3.0%
Telecommunications 0.9%
Short-Term Investments 0.7%
</Table>
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO
<Table>
1. Intel Corp. 5.6%
2. Cisco Systems, Inc. 4.6%
3. Johnson & Johnson 4.2%
4. General Electric Co. 4.1%
5. Pfizer, Inc. 4.0%
6. Microsoft Corp. 3.7%
7. InterActive Corp. 3.7%
8. Wal-Mart Stores, Inc. 3.6%
9. Gilead Sciences, Inc. 3.4%
10. Weight Watchers
International, Inc. 3.2%
</Table>
Top 10 equity holdings comprised 40.1% of the Portfolio's market value of
investments ($28,323 in thousands). As of December 31, 2003 the Fund held 49
equity holdings. Portfolio holdings are subject to change at any time.
10
<Page>
AVERAGE ANNUAL TOTAL RETURNS
<Table>
<Caption>
1 YEAR 3 YEARS 5 YEARS 10 YEARS
-------------------------------------------------
CLASS A SHARES
Without Sales Charge 20.51% (11.21%) (6.86%) 7.39%
With Sales Charge* 13.56% (12.95%) (7.95%) 6.76%
CLASS B SHARES
Without CDSC 19.57% (11.81%) (7.23%) 7.17%
With CDSC** 14.57% (12.63%) (7.52%) 7.17%
CLASS C SHARES
Without CDSC 19.59% (11.83%) (7.25%) 7.17%
With CDSC*** 18.59% (11.83%) (7.25%) 7.17%
SELECT SHARES 20.75% (11.00%) (6.63%) 7.54%
</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 5 year period and 0% CDSC
for the ten year period.
*** Assumes 1% CDSC for the one year period and 0% CDSC thereafter.
[CHART]
TEN-YEAR FUND PERFORMANCE (12/31/93 TO 12/31/03)
<Table>
<Caption>
JPMORGAN EQUITY GROWTH FUND
(SELECT SHARES) RUSSELL 1000 GROWTH INDEX LIPPER LARGE-CAP GROWTH FUNDS INDEX
Dec-1993 $ 1,000,000.00 $ 1,000,000.00 $ 1,000,000.00
Jan-1994 $ 1,024,200.00 $ 1,023,100.00 $ 1,021,400.00
Feb-1994 $ 1,012,933.80 $ 1,004,479.58 $ 1,003,116.94
Mar-1994 $ 966,136.26 $ 955,963.22 $ 956,772.94
Apr-1994 $ 962,368.33 $ 960,456.24 $ 961,078.42
May-1994 $ 970,933.41 $ 974,959.13 $ 976,743.99
Jun-1994 $ 954,815.91 $ 946,197.84 $ 955,939.35
Jul-1994 $ 981,168.83 $ 978,557.80 $ 986,433.81
Aug-1994 $ 1,016,098.44 $ 1,033,063.47 $ 1,039,109.38
Sep-1994 $ 998,926.38 $ 1,018,910.50 $ 1,024,250.11
Oct-1994 $ 1,015,608.45 $ 1,042,956.79 $ 1,048,115.14
Nov-1994 $ 983,921.46 $ 1,009,582.17 $ 1,013,736.96
Dec-1994 $ 990,907.31 $ 1,026,543.16 $ 1,031,274.61
Jan-1995 $ 1,000,618.20 $ 1,048,408.52 $ 1,056,850.22
Feb-1995 $ 1,032,337.79 $ 1,092,336.84 $ 1,098,067.38
Mar-1995 $ 1,059,694.75 $ 1,124,233.08 $ 1,132,546.70
Apr-1995 $ 1,071,563.33 $ 1,148,853.78 $ 1,161,992.91
May-1995 $ 1,097,923.78 $ 1,188,948.78 $ 1,203,592.26
Jun-1995 $ 1,148,428.28 $ 1,234,842.20 $ 1,249,689.84
Jul-1995 $ 1,200,566.92 $ 1,286,211.64 $ 1,289,554.95
Aug-1995 $ 1,201,647.43 $ 1,287,626.47 $ 1,285,299.42
Sep-1995 $ 1,220,993.96 $ 1,346,986.05 $ 1,348,793.21
Oct-1995 $ 1,214,034.29 $ 1,347,928.94 $ 1,359,583.55
Nov-1995 $ 1,243,535.32 $ 1,400,363.38 $ 1,408,528.56
Dec-1995 $ 1,246,768.52 $ 1,408,345.45 $ 1,424,444.94
Jan-1996 $ 1,281,678.03 $ 1,455,525.02 $ 1,478,858.73
Feb-1996 $ 1,309,105.94 $ 1,482,161.13 $ 1,492,316.35
Mar-1996 $ 1,314,996.92 $ 1,484,087.94 $ 1,486,048.62
Apr-1996 $ 1,357,471.32 $ 1,523,119.45 $ 1,515,026.57
May-1996 $ 1,394,530.29 $ 1,576,276.32 $ 1,570,779.54
Jun-1996 $ 1,373,612.33 $ 1,578,483.11 $ 1,590,414.29
Jul-1996 $ 1,289,821.98 $ 1,485,984.00 $ 1,517,096.19
Aug-1996 $ 1,328,516.64 $ 1,524,322.38 $ 1,539,549.21
Sep-1996 $ 1,400,522.24 $ 1,635,293.05 $ 1,646,393.93
Oct-1996 $ 1,423,630.86 $ 1,645,104.81 $ 1,682,120.68
Nov-1996 $ 1,519,298.85 $ 1,768,652.18 $ 1,807,775.09
Dec-1996 $ 1,502,586.57 $ 1,733,986.60 $ 1,766,015.49
Jan-1997 $ 1,636,917.81 $ 1,855,539.06 $ 1,904,294.50
Feb-1997 $ 1,642,319.64 $ 1,842,921.39 $ 1,920,290.57
Mar-1997 $ 1,551,992.06 $ 1,743,219.35 $ 1,829,076.77
Apr-1997 $ 1,678,789.81 $ 1,858,969.11 $ 1,976,683.27
May-1997 $ 1,786,735.99 $ 1,993,186.68 $ 2,093,900.58
Jun-1997 $ 1,864,637.68 $ 2,072,914.15 $ 2,200,061.34
Jul-1997 $ 2,029,098.72 $ 2,256,159.76 $ 2,374,306.20
Aug-1997 $ 1,897,410.22 $ 2,124,174.41 $ 2,216,414.84
Sep-1997 $ 2,018,844.47 $ 2,228,683.80 $ 2,329,452.00
Oct-1997 $ 1,944,147.22 $ 2,146,222.49 $ 2,259,335.49
Nov-1997 $ 2,030,661.78 $ 2,237,436.95 $ 2,382,017.41
Dec-1997 $ 2,061,324.77 $ 2,262,496.24 $ 2,411,316.22
Jan-1998 $ 2,109,147.50 $ 2,330,144.88 $ 2,492,336.45
Feb-1998 $ 2,240,758.31 $ 2,505,371.78 $ 2,665,553.83
Mar-1998 $ 2,327,251.58 $ 2,605,336.11 $ 2,803,362.96
Apr-1998 $ 2,367,047.58 $ 2,641,289.75 $ 2,826,911.21
May-1998 $ 2,340,063.24 $ 2,566,277.12 $ 2,770,090.30
Jun-1998 $ 2,520,014.10 $ 2,723,589.91 $ 2,967,597.73
Jul-1998 $ 2,506,154.02 $ 2,705,614.21 $ 2,965,817.18
Aug-1998 $ 2,140,004.92 $ 2,299,501.52 $ 2,579,964.36
Sep-1998 $ 2,287,451.26 $ 2,476,103.24 $ 2,752,563.98
Oct-1998 $ 2,464,271.24 $ 2,675,181.94 $ 2,983,504.09
Nov-1998 $ 2,642,191.63 $ 2,878,763.28 $ 3,185,487.32
Dec-1998 $ 2,914,073.14 $ 3,138,427.73 $ 3,427,902.91
Jan-1999 $ 3,145,159.14 $ 3,322,653.44 $ 3,637,347.77
Feb-1999 $ 3,004,885.05 $ 3,170,808.18 $ 3,494,763.74
Mar-1999 $ 3,162,942.00 $ 3,337,909.77 $ 3,663,910.31
Apr-1999 $ 3,071,532.98 $ 3,342,249.05 $ 3,656,948.88
May-1999 $ 3,011,330.93 $ 3,239,642.01 $ 3,550,531.66
Jun-1999 $ 3,258,862.33 $ 3,466,416.95 $ 3,804,749.73
Jul-1999 $ 3,172,502.48 $ 3,356,184.89 $ 3,684,519.64
Aug-1999 $ 3,180,750.99 $ 3,410,890.70 $ 3,735,734.46
Sep-1999 $ 3,140,037.37 $ 3,339,262.00 $ 3,672,226.98
Oct-1999 $ 3,372,714.14 $ 3,591,376.28 $ 3,926,345.08
Nov-1999 $ 3,516,391.77 $ 3,784,951.46 $ 4,094,392.65
Dec-1999 $ 3,841,658.00 $ 4,178,586.41 $ 4,397,377.71
Jan-2000 $ 3,686,070.85 $ 3,982,610.71 $ 4,104,512.35
Feb-2000 $ 3,897,651.32 $ 4,177,360.37 $ 4,190,707.11
Mar-2000 $ 4,110,463.08 $ 4,476,459.37 $ 4,578,347.52
Apr-2000 $ 3,925,903.29 $ 4,263,379.91 $ 4,351,719.32
May-2000 $ 3,585,134.89 $ 4,048,505.56 $ 4,174,169.17
Jun-2000 $ 3,915,325.81 $ 4,355,382.28 $ 4,511,024.62
Jul-2000 $ 3,799,823.70 $ 4,173,762.84 $ 4,310,284.03
Aug-2000 $ 4,073,411.00 $ 4,551,488.38 $ 4,559,849.47
Sep-2000 $ 3,569,937.40 $ 4,120,917.58 $ 4,114,808.16
Oct-2000 $ 3,388,227.59 $ 3,925,998.18 $ 4,007,823.15
Nov-2000 $ 2,996,209.66 $ 3,347,306.04 $ 3,581,791.55
Dec-2000 $ 2,933,588.88 $ 3,241,531.17 $ 3,426,699.98
Jan-2001 $ 3,080,268.32 $ 3,465,520.98 $ 3,524,360.93
Feb-2001 $ 2,643,178.25 $ 2,877,075.52 $ 3,110,248.52
Mar-2001 $ 2,391,019.04 $ 2,564,049.70 $ 2,830,015.13
Apr-2001 $ 2,666,942.64 $ 2,888,401.99 $ 3,083,018.48
May-2001 $ 2,631,739.00 $ 2,845,942.48 $ 3,090,417.72
Jun-2001 $ 2,596,473.69 $ 2,779,916.61 $ 3,048,388.04
Jul-2001 $ 2,550,256.46 $ 2,710,418.70 $ 3,040,462.23
Aug-2001 $ 2,363,067.64 $ 2,488,706.45 $ 2,836,143.17
Sep-2001 $ 2,120,144.28 $ 2,240,333.54 $ 2,645,837.96
Oct-2001 $ 2,231,663.87 $ 2,357,951.05 $ 2,743,204.80
Nov-2001 $ 2,377,168.36 $ 2,584,550.15 $ 2,986,252.75
Dec-2001 $ 2,380,020.96 $ 2,579,639.51 $ 2,990,732.13
Jan-2002 $ 2,351,222.71 $ 2,533,979.89 $ 2,985,946.95
Feb-2002 $ 2,280,921.15 $ 2,428,819.72 $ 2,897,861.52
Mar-2002 $ 2,322,205.82 $ 2,512,856.88 $ 2,966,830.62
Apr-2002 $ 2,107,169.56 $ 2,307,807.76 $ 2,754,405.55
May-2002 $ 2,070,294.09 $ 2,251,958.81 $ 2,700,970.08
Jun-2002 $ 1,875,272.39 $ 2,043,652.62 $ 2,484,352.28
Jul-2002 $ 1,787,322.11 $ 1,931,251.73 $ 2,365,103.37
Aug-2002 $ 1,799,833.37 $ 1,937,045.48 $ 2,380,003.52
Sep-2002 $ 1,598,072.05 $ 1,736,173.87 $ 2,133,673.16
Oct-2002 $ 1,768,746.14 $ 1,895,381.01 $ 2,331,037.93
Nov-2002 $ 1,859,659.70 $ 1,998,300.20 $ 2,444,093.27
Dec-2002 $ 1,712,560.61 $ 1,860,217.66 $ 2,285,227.20
Jan-2003 $ 1,665,978.96 $ 1,815,014.37 $ 2,227,868.00
Feb-2003 $ 1,658,648.66 $ 1,806,665.30 $ 2,221,184.40
Mar-2003 $ 1,705,920.14 $ 1,840,269.28 $ 2,266,274.44
Apr-2003 $ 1,827,040.47 $ 1,976,265.18 $ 2,418,114.83
May-2003 $ 1,886,053.88 $ 2,074,880.81 $ 2,496,945.37
Jun-2003 $ 1,892,655.07 $ 2,103,514.16 $ 2,542,389.78
Jul-2003 $ 1,932,590.09 $ 2,155,891.67 $ 2,575,695.08
Aug-2003 $ 1,958,486.80 $ 2,209,573.37 $ 2,620,512.18
Sep-2003 $ 1,908,153.69 $ 2,185,930.93 $ 2,612,388.59
Oct-2003 $ 2,009,285.83 $ 2,308,780.25 $ 2,729,684.84
Nov-2003 $ 2,024,154.55 $ 2,333,022.44 $ 2,753,160.13
Dec-2003 $ 2,068,553.00 $ 2,413,745.00 $ 2,871,821.00
</Table>
Source: Lipper Analytical Services, Inc. Past performance is no guarantee of
future results. Investment returns and principal value will fluctuate so that an
investor's shares, when redeemed, may be worth more or less than the original
cost.
The Fund commenced operations on 3/29/88.
Returns for the Class A Shares prior to 8/13/98 (offering date of the Class A
Shares) are calculated using the historical expenses of the Select Shares, which
are lower than the expenses of the Class A Shares.
Returns for the Class B and C Shares prior to 2/16/01 (offering date of the
Class B and C Shares) are calculated using the historical expenses of the Class
A Shares, which are lower than the expenses of the Class B and C Shares.
JPMorgan Equity Growth Fund, formerly Chase Equity Growth Fund, is the successor
to the AVESTA Trust Equity Growth Fund. Effective 12/31/97, the AVESTA Trust was
converted from a Texas Trust to Mutual Fund Investment Trust ("MFIT"), a
Massachusetts business trust.
The graph illustrates comparative performance for $1,000,000 invested in Select
Shares of the JPMorgan Equity Growth Fund, Russell 1000 Growth Index, and Lipper
Large-Cap Growth Funds Index from December 31, 1993 to December 31, 2003. The
performance of the fund assumes reinvestment of all dividend and capital gains
and does not include a sales charge. The performance of the indices does not
include a sales charge and has been adjusted to reflect reinvestment of all
dividends and capital gains of the securities included in the benchmark. The
Russell 1000 Growth Index measures the performance of those Russell 1000
companies with higher price-to-book ratios and higher forecasted growth values.
The Lipper Large-Cap Growth Funds Index represents the total returns of the
funds in the indicated category, as defined by Lipper, Inc. Investors cannot
invest directly in an index.
Select Shares have a $1,000,000 minimum initial deposit and carry no sales
charge.
Certain fees and expenses of the Fund are currently being waived and reimbursed
as described in the prospectus. Had the expenses not been subsidized or waived,
returns would have been lower. Also all performance shown in this section does
not reflect the deduction of taxes that a shareholder would pay on fund
distributions or redemption of fund shares.
11
<Page>
JPMORGAN EQUITY INCOME FUND
AS OF DECEMBER 31, 2003 (Unaudited)
FUND FACTS
Fund Inception 3/29/1988
Fiscal Year End DECEMBER 31
Net Assets as of 12/31/2003
(In Millions) $66.5
Primary Benchmark RUSSELL 1000
VALUE INDEX
Q: HOW DID THE FUND PERFORM?
A: JPMorgan Equity Income Fund, which seeks to invest in securities that provide
both capital appreciation and current income, rose 23.38% (Class A shares,
without sales charge) during the year ended December 31, 2003. This compares
with a 30.0% return from the Russell 1000(R) Value Index, the Fund's
benchmark.
Q: WHY DID THE FUND PERFORM THIS WAY?
A: Against a backdrop of a quick end to formal war activity in Iraq,
better-than-expected earnings results, substantial tax cuts and evidence of a
strong recovery, 2003 turned out to be a strong year for equities. Despite
the Fund's solid gains for the period, performance relative to the market was
somewhat muted by lack of exposure to the highly cyclical and/or highly
leveraged segments of the market that have been the driving force behind the
rally. Additionally, the Fund's investment approach of owning high dividend
yielding stocks also restrained performance as the anticipated outperformance
of these stocks following the passage of the dividend tax reduction bill
failed to materialize.
The primary detractors from the Fund's relative performance were the
portfolio's Telecom holdings. Within the sector, investors rotated out of the
regulated wireline players, where the portfolio is overweight, and into the
wireless names, where the portfolio is underweight. Additionally, the Fund's
Consumer Discretionary and Information Technology holdings, which rose
sharply during the period, underperformed their benchmark peer group.
There were some bright spots in the Fund's performance during the year,
particularly in the Energy sector where the portfolio manager was able to add
value. In particular, an overweight position in oil stocks such as
ChevronTexaco and ConocoPhilips aided the Fund's performance.
Q: HOW WAS THE FUND MANAGED?
A: The portfolio manager's focus remains on stock selection, believing that
quality companies trading at attractive valuations will outperform in the
long-term. The Fund continues to invest only in stocks that have above
average dividend yields. The portfolio manager sought to maintain significant
sector diversification in the portfolio and to avoid any large bets
contingent on macroeconomic or sector trends.
12
<Page>
[CHART]
PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS
<Table>
Finance & Insurance 33.6%
Energy 13.0%
Consumer Goods & Services 12.5%
Utilities 11.8%
REITs 8.3%
Telecommunications 7.7%
Industrial Products & Services 7.4%
Technology 3.3%
Short-Term Investments 1.3%
Pharmaceuticals 1.2%
</Table>
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO
<Table>
1. ExxonMobil Corp. 4.5%
2. Citigroup, Inc. 3.8%
3. ChevronTexaco Corp. 3.2%
4. Bank of America Corp. 3.2%
5. Altria Group, Inc. 2.9%
6. ConocoPhillips 2.6%
7. Verizon
Communications, Inc. 2.4%
8. Alltel Corp. 2.4%
9. SunTrust Banks, Inc. 2.3%
10. Chubb Corp. 2.1%
</Table>
Top 10 equity holdings comprised 29.4% of the Portfolio's market value of
investments ($19,449 in thousands). As of December 31, 2003 the Fund held 79
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 23.38% (5.40%) (1.76%) 8.71%
With Sales Charge* 16.28% (7.25%) (2.91%) 8.06%
CLASS B SHARES
Without CDSC 22.70% (5.86%) (2.05%) 8.55%
With CDSC** 17.70% (6.76%) (2.31%) 8.55%
CLASS C SHARES
Without CDSC 22.72% (5.86%) (2.05%) 8.55%
With CDSC*** 21.72% (5.86%) (2.05%) 8.55%
SELECT SHARES 23.76% (5.07%) (1.44%) 8.89%
</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 ten year period.
*** Assumes 1% CDSC for the one year period and 0% CDSC thereafter.
[CHART]
TEN YEAR FUND PERFORMANCE (12/31/93 TO 12/31/03)
<Table>
<Caption>
JPMORGAN EQUITY INCOME FUND
(SELECT SHARES) RUSSELL 1000 VALUE INDEX LIPPER EQUITY INCOME FUNDS INDEX
Dec-1993 $ 1,000,000.00 $ 1,000,000.00 $ 1,000,000.00
Jan-1994 $ 1,036,700.00 $ 1,037,800.00 $ 1,031,200.00
Feb-1994 $ 1,001,037.52 $ 1,002,307.24 $ 1,005,626.24
Mar-1994 $ 962,197.26 $ 965,021.41 $ 965,401.19
Apr-1994 $ 963,255.68 $ 983,549.82 $ 978,047.95
May-1994 $ 968,649.91 $ 994,860.64 $ 989,197.69
Jun-1994 $ 955,670.00 $ 970,983.99 $ 974,656.49
Jul-1994 $ 983,766.70 $ 1,001,181.59 $ 1,002,141.80
Aug-1994 $ 1,002,163.14 $ 1,029,915.50 $ 1,035,513.12
Sep-1994 $ 969,191.97 $ 995,722.31 $ 1,015,941.92
Oct-1994 $ 992,452.58 $ 1,009,562.85 $ 1,021,428.01
Nov-1994 $ 949,777.12 $ 968,776.51 $ 983,226.60
Dec-1994 $ 966,493.20 $ 979,917.44 $ 990,797.45
Jan-1995 $ 986,499.61 $ 1,010,098.90 $ 1,008,532.72
Feb-1995 $ 1,019,448.69 $ 1,049,997.80 $ 1,041,007.47
Mar-1995 $ 1,047,483.53 $ 1,072,992.75 $ 1,065,575.25
Apr-1995 $ 1,079,850.77 $ 1,106,899.33 $ 1,091,149.06
May-1995 $ 1,112,246.30 $ 1,153,499.79 $ 1,124,647.33
Jun-1995 $ 1,126,816.72 $ 1,169,072.03 $ 1,139,605.14
Jul-1995 $ 1,174,368.39 $ 1,209,755.74 $ 1,170,830.32
Aug-1995 $ 1,179,770.48 $ 1,226,813.30 $ 1,185,231.54
Sep-1995 $ 1,228,848.93 $ 1,271,223.94 $ 1,222,092.24
Oct-1995 $ 1,211,522.16 $ 1,258,638.82 $ 1,204,738.53
Nov-1995 $ 1,256,348.48 $ 1,322,451.81 $ 1,255,458.02
Dec-1995 $ 1,292,028.78 $ 1,355,645.35 $ 1,286,467.83
Jan-1996 $ 1,321,745.44 $ 1,397,941.49 $ 1,315,927.95
Feb-1996 $ 1,329,279.39 $ 1,408,565.84 $ 1,325,534.22
Mar-1996 $ 1,353,073.49 $ 1,432,511.46 $ 1,342,235.95
Apr-1996 $ 1,361,733.16 $ 1,437,955.00 $ 1,354,584.52
May-1996 $ 1,385,018.80 $ 1,455,929.44 $ 1,374,632.37
Jun-1996 $ 1,390,420.37 $ 1,457,094.18 $ 1,376,694.32
Jul-1996 $ 1,333,691.22 $ 1,402,016.02 $ 1,331,676.42
Aug-1996 $ 1,362,365.58 $ 1,442,113.68 $ 1,361,772.30
Sep-1996 $ 1,426,669.24 $ 1,499,509.81 $ 1,411,885.53
Oct-1996 $ 1,461,765.30 $ 1,557,540.84 $ 1,445,206.02
Nov-1996 $ 1,549,178.87 $ 1,670,462.55 $ 1,527,727.29
Dec-1996 $ 1,523,307.58 $ 1,649,080.63 $ 1,517,949.83
Jan-1997 $ 1,618,818.97 $ 1,729,061.04 $ 1,573,506.80
Feb-1997 $ 1,623,189.78 $ 1,754,478.23 $ 1,595,221.19
Mar-1997 $ 1,564,917.26 $ 1,691,317.02 $ 1,543,536.02
Apr-1997 $ 1,661,003.18 $ 1,762,352.33 $ 1,589,533.40
May-1997 $ 1,745,216.05 $ 1,860,867.83 $ 1,681,090.52
Jun-1997 $ 1,831,604.24 $ 1,940,699.06 $ 1,744,635.74
Jul-1997 $ 1,969,890.36 $ 2,086,639.63 $ 1,849,662.81
Aug-1997 $ 1,857,015.64 $ 2,012,355.26 $ 1,790,473.60
Sep-1997 $ 1,942,809.77 $ 2,133,901.51 $ 1,881,250.62
Oct-1997 $ 1,887,245.41 $ 2,074,365.66 $ 1,826,129.97
Nov-1997 $ 1,959,526.91 $ 2,166,052.62 $ 1,886,757.49
Dec-1997 $ 1,996,170.06 $ 2,229,301.36 $ 1,930,341.59
Jan-1998 $ 2,013,935.97 $ 2,197,645.28 $ 1,929,569.45
Feb-1998 $ 2,138,195.82 $ 2,345,546.81 $ 2,033,766.20
Mar-1998 $ 2,232,917.90 $ 2,489,094.27 $ 2,125,895.81
Apr-1998 $ 2,271,324.08 $ 2,505,771.20 $ 2,124,832.86
May-1998 $ 2,226,351.87 $ 2,468,685.79 $ 2,098,697.42
Jun-1998 $ 2,304,719.45 $ 2,500,284.97 $ 2,115,696.87
Jul-1998 $ 2,277,523.76 $ 2,456,279.95 $ 2,061,111.89
Aug-1998 $ 1,984,861.96 $ 2,090,785.50 $ 1,812,541.79
Sep-1998 $ 2,118,641.66 $ 2,210,796.58 $ 1,905,706.44
Oct-1998 $ 2,272,455.04 $ 2,382,133.32 $ 2,018,333.69
Nov-1998 $ 2,406,529.89 $ 2,493,140.73 $ 2,103,709.21
Dec-1998 $ 2,518,674.18 $ 2,577,907.52 $ 2,157,564.16
Jan-1999 $ 2,530,260.08 $ 2,598,530.78 $ 2,154,759.33
Feb-1999 $ 2,515,584.57 $ 2,561,891.49 $ 2,114,896.28
Mar-1999 $ 2,585,014.71 $ 2,614,922.65 $ 2,159,520.59
Apr-1999 $ 2,724,864.00 $ 2,859,156.42 $ 2,312,846.56
May-1999 $ 2,664,099.54 $ 2,827,705.70 $ 2,280,466.70
Jun-1999 $ 2,782,119.14 $ 2,909,709.17 $ 2,352,301.41
Jul-1999 $ 2,720,912.52 $ 2,824,454.69 $ 2,292,788.18
Aug-1999 $ 2,734,517.09 $ 2,719,667.42 $ 2,239,366.22
Sep-1999 $ 2,638,262.08 $ 2,624,479.06 $ 2,160,092.65
Oct-1999 $ 2,759,622.14 $ 2,775,649.05 $ 2,232,887.77
Nov-1999 $ 2,777,835.65 $ 2,753,998.99 $ 2,220,383.60
Dec-1999 $ 2,847,837.11 $ 2,767,218.19 $ 2,247,916.36
Jan-2000 $ 2,779,773.80 $ 2,677,006.87 $ 2,162,720.33
Feb-2000 $ 2,688,319.24 $ 2,478,105.26 $ 2,040,959.17
Mar-2000 $ 2,923,816.01 $ 2,780,434.10 $ 2,229,747.90
Apr-2000 $ 2,888,437.83 $ 2,748,181.07 $ 2,212,801.81
May-2000 $ 2,843,089.36 $ 2,777,036.97 $ 2,246,215.12
Jun-2000 $ 2,888,863.10 $ 2,650,126.38 $ 2,197,921.50
Jul-2000 $ 2,846,396.81 $ 2,683,252.96 $ 2,210,669.44
Aug-2000 $ 2,998,963.68 $ 2,832,441.82 $ 2,340,214.67
Sep-2000 $ 2,851,414.67 $ 2,858,500.29 $ 2,335,066.20
Oct-2000 $ 2,880,784.24 $ 2,928,819.40 $ 2,384,102.59
Nov-2000 $ 2,717,155.69 $ 2,820,160.20 $ 2,300,182.18
Dec-2000 $ 2,738,077.79 $ 2,961,450.22 $ 2,415,421.30
Jan-2001 $ 2,750,399.14 $ 2,972,999.88 $ 2,435,469.30
Feb-2001 $ 2,557,321.12 $ 2,890,350.48 $ 2,354,124.63
Mar-2001 $ 2,413,855.41 $ 2,788,321.11 $ 2,267,963.66
Apr-2001 $ 2,586,204.68 $ 2,924,948.84 $ 2,385,670.98
May-2001 $ 2,590,083.99 $ 2,990,760.19 $ 2,427,181.65
Jun-2001 $ 2,497,358.98 $ 2,924,365.32 $ 2,366,987.55
Jul-2001 $ 2,511,344.19 $ 2,918,224.15 $ 2,364,383.86
Aug-2001 $ 2,354,385.18 $ 2,801,203.36 $ 2,286,359.19
Sep-2001 $ 2,206,765.23 $ 2,603,998.64 $ 2,128,829.05
Oct-2001 $ 2,231,922.35 $ 2,581,604.26 $ 2,139,686.07
Nov-2001 $ 2,376,104.54 $ 2,731,595.46 $ 2,250,093.88
Dec-2001 $ 2,397,489.48 $ 2,796,061.12 $ 2,289,695.53
Jan-2002 $ 2,356,012.91 $ 2,774,531.45 $ 2,267,256.51
Feb-2002 $ 2,357,662.12 $ 2,778,970.70 $ 2,270,657.40
Mar-2002 $ 2,473,187.56 $ 2,910,416.01 $ 2,356,715.31
Apr-2002 $ 2,323,065.08 $ 2,810,588.74 $ 2,276,351.32
May-2002 $ 2,323,762.00 $ 2,824,641.68 $ 2,278,400.04
Jun-2002 $ 2,140,417.18 $ 2,662,507.25 $ 2,135,544.35
Jul-2002 $ 1,934,295.00 $ 2,414,894.08 $ 1,964,060.14
Aug-2002 $ 1,964,083.15 $ 2,433,247.27 $ 1,978,594.19
Sep-2002 $ 1,728,393.17 $ 2,162,670.18 $ 1,772,622.53
Oct-2002 $ 1,843,158.47 $ 2,322,924.04 $ 1,880,043.46
Nov-2002 $ 1,924,810.39 $ 2,469,268.25 $ 1,987,957.95
Dec-2002 $ 1,892,473.58 $ 2,362,102.01 $ 1,913,608.32
Jan-2003 $ 1,836,267.11 $ 2,304,939.14 $ 1,860,410.01
Feb-2003 $ 1,801,194.41 $ 2,243,397.26 $ 1,814,457.89
Mar-2003 $ 1,802,455.25 $ 2,247,211.04 $ 1,816,998.13
Apr-2003 $ 1,922,859.26 $ 2,444,965.61 $ 1,956,180.18
May-2003 $ 2,044,960.82 $ 2,602,910.39 $ 2,073,550.99
Jun-2003 $ 2,067,250.90 $ 2,635,446.77 $ 2,095,323.28
Jul-2003 $ 2,070,558.50 $ 2,674,714.93 $ 2,118,790.90
Aug-2003 $ 2,094,576.98 $ 2,716,440.48 $ 2,150,360.89
Sep-2003 $ 2,096,252.64 $ 2,689,819.36 $ 2,135,953.47
Oct-2003 $ 2,186,181.87 $ 2,854,436.31 $ 2,242,323.95
Nov-2003 $ 2,224,440.06 $ 2,893,256.64 $ 2,270,353.00
Dec-2003 $ 2,342,771.00 $ 3,071,481.00 $ 2,408,163.00
</Table>
Source: Lipper Analytical Services, Inc. Past performance is no guarantee of
future results. Investment returns and principal value will fluctuate so that an
investor's shares, when redeemed, may be worth more or less than the original
cost.
The Fund commenced operations on 3/29/88.
Returns for the Class A Shares prior to 8/24/98 (offering date of the
Class A Shares) are calculated using the historical expenses of the Select
Shares, which are lower than the expenses of the Class A Shares.
Returns for the Class B and C Shares prior to 2/16/01 (offering date of the
Class B and C Shares) are calculated using the historical expenses of the Class
A Shares, which are lower than the expenses of the Class B and C Shares.
JPMorgan Equity Income Fund, formerly Chase Equity Income Fund, is the successor
to the AVESTA Trust Equity Fund. Effective 12/31/97, the AVESTA Trust was
converted from a Texas Trust to Mutual Fund Investment Trust ("MFIT"), a
Massachusetts business trust.
The graph illustrates comparative performance for $1,000,000 invested in Select
Shares of the JPMorgan Equity Income Fund, Russell 1000 Value Index, and Lipper
Equity Income Funds Index from December 31, 1993 to December 31, 2003.
The performance of the Fund assumes reinvestment of all dividends and does not
include a sales charge. The performance of the indices does not include a sales
charge and has been adjusted to reflect reinvestment of all dividends and
capital gains of the securities included in the benchmark. The Russell 1000
Value Index measures the performance of those Russell 1000 companies with lower
price-to-book ratios and lower forecasted growth values. The Lipper Equity
Income Funds Index represents the total returns of the funds in the indicated
category, as defined by Lipper, Inc. Investors cannot invest directly in an
index.
Select Shares have a $1,000,000 minimum initial deposit and carry no sales
charge.
Certain fees and expenses of the Fund are currently being waived and reimbursed
as described in the prospectus. Had the expenses not been subsidized or waived,
returns would have been lower. Also all performance shown in this section does
not reflect the deduction of taxes that a shareholder would pay on fund
distributions or redemption of fund shares.
14
<Page>
JPMORGAN U.S. EQUITY FUND
AS OF DECEMBER 31, 2003 (Unaudited)
FUND FACTS
Fund Inception 9/17/1993
Fiscal Year End DECEMBER 31
Net Assets as of 12/31/2003
(In Millions) $472.1
Primary Benchmark S&P 500 INDEX
Q: HOW DID THE FUND PERFORM?
A: JPMorgan U.S. Equity Fund, which seeks to provide high total return from a
portfolio of selected equity securities, returned 32.32% (Class A Shares,
without sales charge) during the year ended December 31, 2003. This compares
with a gain of 28.7% of the S&P 500 Index, the Fund's benchmark.
Q: WHY DID THE FUND OUTPERFORM ITS BENCHMARK?
A: Against a backdrop of a quick end to formal war activity in Iraq,
better-than-expected earnings results, substantial tax cuts and evidence of a
strong recovery, 2003 turned out to be a strong year for equity returns.
Given this supportive backdrop, the majority of the portfolio's holdings had
positive returns for the year and the Fund outpaced the benchmark.
Stock selection was strongest in the Capital Markets sector, where the
portfolio manager added substantial value against the benchmark. In
particular, an overweight position in Capital One Financial benefited
returns, as the credit card stock rebounded strongly following news of a
management restructuring, along with its announcement of record quarterly
earnings. Additionally, adept stock selection in the Pharmaceutical/Medical
Technology sector, where the resurgence of Guidant and Amgen, aided the
Fund's relative performance.
While the Fund is managed to be largely sector neutral, within the Energy
sector, the portfolio manager favored the Exploration and Production (E&P)
stocks. This position was based on the premise that natural gas prices would
remain structurally high and would drive demand for new exploration in North
America. While this bet detracted from the Fund's performance in 2003, we
remain optimistic on our stance as we head into 2004.
Q: HOW WAS THE FUND MANAGED?
A: The Fund seeks to have sector and style characteristics similar to those of
its benchmark, the S&P 500 Index. As such, the portfolio manager seeks to
generate excess returns relative to the benchmark through stock selection. As
such, over the year, our focus was on identifying companies that are
attractively priced relative to their future earnings prospects, as focused
by our team of equity research analysts.
15
<Page>
[CHART]
PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS
<Table>
Consumer Goods & Services 22.4%
Finance & Insurance 19.2%
Technology 17.9%
Industrial Products & Services 12.5%
Pharmaceuticals 10.0%
Energy 6.0%
Telecommunications 3.3%
Health Services & Systems 3.1%
Utilities 2.9%
Short-Term Investments 2.7%
</Table>
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO
<Table>
1. Citigroup, Inc. 4.2%
2. General Electric Co. 2.9%
3. Pfizer, Inc. 2.5%
4. Viacom, Inc., Class B 2.4%
5. Tyco International LTD
(Bermuda) 2.2%
6. The Coca-Cola Co. 2.2%
7. Procter & Gamble Co. 2.1%
8. Microsoft Corp. 2.0%
9. Cisco Systems, Inc. 2.0%
10. U.S. Bancorp 1.9%
</Table>
Top 10 equity holdings comprised 24.4% of the Portfolio's market value of
investments ($114,775 in thousands). As of December 31, 2003 the Fund held 114
equity holdings. Portfolio holdings are subject to change at any time.
16
<Page>
AVERAGE ANNUAL TOTAL RETURNS
<Table>
<Caption>
1 YEAR 3 YEARS 5 YEARS 10 YEARS
-------------------------------------------------
CLASS A SHARES
Without Sales Charge 32.32% (4.41%) (1.35%) 9.06%
With Sales Charge* 24.77% (6.27%) (2.51%) 8.42%
CLASS B SHARES
Without CDSC 31.29% (4.94%) (1.68%) 8.88%
With CDSC** 26.29% (6.06%) (1.86%) 8.88%
CLASS C SHARES
Without CDSC 31.29% (4.93%) (1.67%) 8.88%
With CDSC*** 30.29% (4.93%) (1.67%) 8.88%
INSTITUTIONAL SHARES 32.63% (4.02%) (1.00%) 9.37%
SELECT SHARES 32.42% (4.17%) (1.17%) 9.16%
</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.
*** Assumes 1% CDSC for the one year period and 0% CDSC thereafter.
[CHART]
TEN-YEAR FUND PERFORMANCE (12/31/93 TO 12/31/03)
<Table>
<Caption>
JPMORGAN U.S. EQUITY FUND
(INSTITUTIONAL SHARES) S&P 500 INDEX LIPPER LARGE-CAP CORE FUNDS INDEX
Dec-1993 $ 3,000,000.00 $ 3,000,000.00 $ 3,000,000.00
Jan-1994 $ 3,130,200.00 $ 3,102,000.00 $ 3,096,600.00
Feb-1994 $ 3,063,526.74 $ 3,017,935.80 $ 3,038,383.92
Mar-1994 $ 2,937,615.79 $ 2,886,353.80 $ 2,898,618.26
Apr-1994 $ 3,006,943.52 $ 2,923,299.13 $ 2,926,444.99
May-1994 $ 3,037,614.35 $ 2,971,241.23 $ 2,949,563.91
Jun-1994 $ 2,943,144.54 $ 2,898,445.82 $ 2,871,695.42
Jul-1994 $ 3,042,328.51 $ 2,993,514.85 $ 2,957,846.29
Aug-1994 $ 3,149,418.48 $ 3,116,248.95 $ 3,063,441.40
Sep-1994 $ 3,076,037.03 $ 3,039,900.86 $ 2,999,109.13
Oct-1994 $ 3,104,336.57 $ 3,108,298.62 $ 3,047,394.79
Nov-1994 $ 2,960,605.78 $ 2,995,156.55 $ 2,940,126.49
Dec-1994 $ 2,989,915.78 $ 3,039,484.87 $ 2,967,469.67
Jan-1995 $ 3,056,291.91 $ 3,118,207.53 $ 3,019,697.13
Feb-1995 $ 3,186,489.95 $ 3,239,817.62 $ 3,123,574.71
Mar-1995 $ 3,302,159.53 $ 3,335,392.24 $ 3,201,351.72
Apr-1995 $ 3,374,476.82 $ 3,433,786.31 $ 3,271,781.46
May-1995 $ 3,498,657.57 $ 3,571,137.77 $ 3,377,460.00
Jun-1995 $ 3,553,586.50 $ 3,653,988.16 $ 3,466,287.20
Jul-1995 $ 3,663,392.32 $ 3,775,300.57 $ 3,584,487.59
Aug-1995 $ 3,690,501.42 $ 3,784,738.82 $ 3,589,864.33
Sep-1995 $ 3,791,252.11 $ 3,944,454.80 $ 3,724,125.25
Oct-1995 $ 3,693,437.81 $ 3,930,254.76 $ 3,706,994.28
Nov-1995 $ 3,901,009.01 $ 4,102,792.95 $ 3,851,937.75
Dec-1995 $ 3,971,227.17 $ 4,181,976.85 $ 3,910,102.01
Jan-1996 $ 4,074,479.08 $ 4,324,164.06 $ 4,025,059.01
Feb-1996 $ 4,159,228.24 $ 4,364,378.79 $ 4,074,164.73
Mar-1996 $ 4,237,421.74 $ 4,406,276.83 $ 4,111,239.63
Apr-1996 $ 4,328,102.56 $ 4,471,049.10 $ 4,170,852.60
May-1996 $ 4,387,830.38 $ 4,586,402.16 $ 4,253,852.57
Jun-1996 $ 4,337,809.11 $ 4,603,830.49 $ 4,259,807.96
Jul-1996 $ 4,109,206.57 $ 4,400,341.18 $ 4,085,581.82
Aug-1996 $ 4,252,206.96 $ 4,493,188.38 $ 4,178,324.53
Sep-1996 $ 4,447,383.26 $ 4,746,154.89 $ 4,394,761.74
Oct-1996 $ 4,511,425.58 $ 4,877,148.76 $ 4,482,217.50
Nov-1996 $ 4,895,347.89 $ 5,245,861.21 $ 4,772,665.19
Dec-1996 $ 4,814,085.12 $ 5,141,993.16 $ 4,684,848.15
Jan-1997 $ 5,091,376.42 $ 5,463,367.73 $ 4,941,109.34
Feb-1997 $ 5,112,251.06 $ 5,505,982.00 $ 4,935,180.01
Mar-1997 $ 4,940,479.43 $ 5,279,686.14 $ 4,723,954.31
Apr-1997 $ 5,144,027.18 $ 5,594,883.40 $ 4,985,661.38
May-1997 $ 5,494,849.83 $ 5,935,611.80 $ 5,288,291.02
Jun-1997 $ 5,663,541.72 $ 6,201,527.21 $ 5,517,802.85
Jul-1997 $ 6,158,535.27 $ 6,695,168.77 $ 5,953,709.28
Aug-1997 $ 5,939,907.27 $ 6,320,239.32 $ 5,650,665.48
Sep-1997 $ 6,207,797.09 $ 6,666,588.44 $ 5,941,674.75
Oct-1997 $ 5,962,589.10 $ 6,443,924.38 $ 5,758,671.16
Nov-1997 $ 6,100,324.91 $ 6,742,278.08 $ 5,946,979.71
Dec-1997 $ 6,189,999.69 $ 6,858,245.26 $ 6,055,214.74
Jan-1998 $ 6,227,758.68 $ 6,934,371.79 $ 6,115,161.37
Feb-1998 $ 6,691,103.93 $ 7,434,339.99 $ 6,548,726.31
Mar-1998 $ 6,981,497.84 $ 7,814,978.20 $ 6,872,888.26
Apr-1998 $ 7,129,505.60 $ 7,893,909.48 $ 6,942,304.43
May-1998 $ 7,061,775.29 $ 7,758,134.24 $ 6,823,591.03
Jun-1998 $ 7,159,227.79 $ 8,073,114.49 $ 7,147,711.60
Jul-1998 $ 7,002,440.70 $ 7,987,539.47 $ 7,089,815.14
Aug-1998 $ 5,884,851.17 $ 6,832,541.27 $ 6,028,469.81
Sep-1998 $ 6,359,170.17 $ 7,270,507.16 $ 6,328,084.76
Oct-1998 $ 6,833,564.27 $ 7,861,599.39 $ 6,802,691.12
Nov-1998 $ 7,367,265.63 $ 8,338,012.32 $ 7,207,451.24
Dec-1998 $ 7,723,841.29 $ 8,818,281.83 $ 7,686,026.00
Jan-1999 $ 7,957,101.30 $ 9,186,886.01 $ 7,955,036.91
Feb-1999 $ 7,640,408.67 $ 8,901,173.85 $ 7,709,226.27
Mar-1999 $ 7,984,991.10 $ 9,257,220.81 $ 8,019,137.17
Apr-1999 $ 8,468,083.06 $ 9,615,475.25 $ 8,234,050.04
May-1999 $ 8,379,168.19 $ 9,388,550.04 $ 8,015,847.72
Jun-1999 $ 8,863,484.11 $ 9,909,614.56 $ 8,463,132.02
Jul-1999 $ 8,524,012.67 $ 9,600,434.59 $ 8,215,162.25
Aug-1999 $ 8,312,617.15 $ 9,552,432.41 $ 8,131,367.60
Sep-1999 $ 7,966,812.28 $ 9,290,695.77 $ 7,911,007.54
Oct-1999 $ 8,312,571.93 $ 9,878,796.81 $ 8,395,952.30
Nov-1999 $ 8,518,723.72 $ 10,079,336.38 $ 8,601,653.13
Dec-1999 $ 8,873,102.62 $ 10,673,009.30 $ 9,173,663.06
Jan-2000 $ 8,503,981.55 $ 10,137,224.23 $ 8,803,047.07
Feb-2000 $ 8,288,830.82 $ 9,945,630.69 $ 8,800,406.16
Mar-2000 $ 9,194,800.03 $ 10,918,313.37 $ 9,565,161.45
Apr-2000 $ 8,771,839.23 $ 10,589,672.14 $ 9,252,380.68
May-2000 $ 8,584,121.87 $ 10,372,583.86 $ 9,016,444.97
Jun-2000 $ 8,791,857.62 $ 10,627,749.43 $ 9,346,446.85
Jul-2000 $ 8,771,636.34 $ 10,461,956.53 $ 9,200,642.28
Aug-2000 $ 9,417,228.78 $ 11,111,644.04 $ 9,835,486.60
Sep-2000 $ 9,006,637.60 $ 10,524,949.23 $ 9,312,238.71
Oct-2000 $ 9,006,637.60 $ 10,480,744.44 $ 9,204,216.74
Nov-2000 $ 8,199,642.88 $ 9,654,861.78 $ 8,394,245.67
Dec-2000 $ 8,307,058.20 $ 9,702,170.60 $ 8,496,655.47
Jan-2001 $ 8,709,119.81 $ 10,046,597.66 $ 8,737,110.82
Feb-2001 $ 7,804,242.26 $ 9,130,347.95 $ 7,923,685.80
Mar-2001 $ 7,236,873.85 $ 8,551,483.89 $ 7,437,171.49
Apr-2001 $ 7,897,600.43 $ 9,215,934.19 $ 8,002,396.53
May-2001 $ 7,983,684.28 $ 9,277,680.95 $ 8,047,209.95
Jun-2001 $ 7,825,607.33 $ 9,052,233.30 $ 7,833,154.16
Jul-2001 $ 7,768,480.40 $ 8,963,521.42 $ 7,719,573.43
Aug-2001 $ 7,265,082.87 $ 8,402,404.98 $ 7,264,890.55
Sep-2001 $ 6,596,695.24 $ 7,724,330.90 $ 6,713,485.36
Oct-2001 $ 6,783,381.72 $ 7,871,865.62 $ 6,871,923.61
Nov-2001 $ 7,415,592.90 $ 8,475,637.71 $ 7,322,034.61
Dec-2001 $ 7,533,500.82 $ 8,550,223.32 $ 7,404,773.60
Jan-2002 $ 7,273,595.04 $ 8,425,390.06 $ 7,287,778.18
Feb-2002 $ 7,056,841.91 $ 8,262,780.03 $ 7,165,343.50
Mar-2002 $ 7,392,041.90 $ 8,573,460.56 $ 7,408,965.18
Apr-2002 $ 6,864,250.11 $ 8,053,908.85 $ 7,021,476.30
May-2002 $ 6,770,209.88 $ 7,994,309.92 $ 6,970,219.53
Jun-2002 $ 6,225,207.99 $ 7,425,115.06 $ 6,488,577.36
Jul-2002 $ 5,725,946.31 $ 6,845,956.08 $ 6,006,476.06
Aug-2002 $ 5,762,019.77 $ 6,891,139.39 $ 6,055,729.16
Sep-2002 $ 5,100,539.90 $ 6,142,072.54 $ 5,467,717.86
Oct-2002 $ 5,485,120.61 $ 6,682,574.93 $ 5,892,559.54
Nov-2002 $ 5,898,698.70 $ 7,076,178.59 $ 6,155,956.95
Dec-2002 $ 5,536,518.60 $ 6,660,806.91 $ 5,831,538.02
Jan-2003 $ 5,390,908.16 $ 6,486,293.76 $ 5,678,751.72
Feb-2003 $ 5,311,122.72 $ 6,388,999.36 $ 5,603,224.33
Mar-2003 $ 5,389,727.34 $ 6,450,972.65 $ 5,650,291.41
Apr-2003 $ 5,885,582.25 $ 6,982,532.80 $ 6,066,717.89
May-2003 $ 6,286,978.96 $ 7,350,512.28 $ 6,360,953.71
Jun-2003 $ 6,363,680.11 $ 7,444,598.83 $ 6,423,927.15
Jul-2003 $ 6,436,862.43 $ 7,575,623.77 $ 6,525,425.20
Aug-2003 $ 6,546,289.09 $ 7,723,348.44 $ 6,651,365.90
Sep-2003 $ 6,495,882.66 $ 7,641,480.94 $ 6,565,563.28
Oct-2003 $ 6,884,336.45 $ 8,073,988.76 $ 6,886,619.33
Nov-2003 $ 6,972,455.95 $ 8,145,039.87 $ 6,944,466.93
Dec-2003 $ 7,347,238.00 $ 8,571,840.00 $ 7,278,496.00
</Table>
Source: Lipper Analytical Services, Inc. Past performance is no guarantee of
future results. Investment returns and principal value will fluctuate so that an
investor's shares, when redeemed, may be worth more or less than the original
cost.
The Fund commenced operations on 9/17/93.
Returns for the Institutional Shares prior to 9/10/01 (offering date of the
Institutional Shares) are calculated using the historical expenses of the J.P.
Morgan Institutional U.S. Equity Fund, which are similar to the expenses of the
Institutional Shares. The returns presented prior to 9/17/93 are based on the
historical expenses of the J.P. Morgan U.S. Equity Fund which are higher than
the expenses of the Institutional Shares.
Returns for the Select Shares prior to 9/10/01 (offering date of the Select
Shares) are calculated using the historical expenses of the J.P. Morgan U.S.
Equity Fund, which are similar to the expenses of the Select Shares.
Returns for the Class A, Class B, and Class C Shares prior to 9/10/01 (offering
date of the Class A, Class B, and Class C Shares) are calculated using the
historical expenses of the J.P. Morgan U.S. Equity Fund-Advisor Series, which
are similar to the expenses of the Class A Shares, but are lower than Class B
and C Shares. The returns presented prior to 9/15/00 are based on the historical
expenses of the J.P. Morgan U.S. Equity Fund which are lower than the expenses
of the Class A, Class B, and Class C Shares.
The graph illustrates comparative performance for $3,000,000 invested in
Institutional Shares of the JPMorgan U.S. Equity Fund, S&P 500 Index and Lipper
Large-Cap Core Funds Index from December 31, 1993 to December 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 S&P
500 Index is an unmanaged broad-based index that replicates the U.S. stock
markets. The Lipper Large-Cap Core Funds Index represents the total returns of
the funds in the indicated category, as defined by Lipper, Inc. Investors cannot
invest directly in an index.
Institutional Shares have a $3,000,000 minimum initial deposit and carry no
sales charge.
Certain fees and expenses of the Fund are currently being waived and reimbursed
as described in the prospectus. Had the expenses not been subsidized or waived,
returns would have been lower. Also all performance shown in this section does
not reflect the deduction of taxes that a shareholder would pay on fund
distributions or redemption of fund shares.
17
<Page>
JPMORGAN DISCIPLINED EQUITY FUND
PORTFOLIO OF INVESTMENTS AS OF DECEMBER 31, 2003
(Amounts in thousands)
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- 98.9%
COMMON STOCKS -- 98.9%
AEROSPACE -- 2.2%
68 Lockheed Martin Corp. $ 3,470
18 Northrop Grumman Corp. 1,759
102 Raytheon Co. 3,073
55 United Technologies Corp. 5,165
-----------------------------------------------------------------------------
13,467
-----------------------------------------------------------------------------
APPAREL -- 0.9%
79 Jones Apparel Group, Inc. 2,787
43 Nike, Inc., Class B 2,909
-----------------------------------------------------------------------------
5,696
-----------------------------------------------------------------------------
AUTOMOTIVE -- 1.9%
1 Dana Corp. 15
117 Ford Motor Co. 1,869
27 General Motors Corp. 1,431
66 Harley-Davidson, Inc. 3,123
28 Johnson Controls, Inc. 3,193
26 Lear Corp. 1,619
-----------------------------------------------------------------------------
11,250
-----------------------------------------------------------------------------
BANKING -- 5.5%
68 Bank of America Corp. 5,461
18 First Tennessee National Corp. 811
93 FleetBoston Financial Corp. 4,055
52 GreenPoint Financial Corp. 1,833
12 Hibernia Corp., Class A 282
84 KeyCorp 2,466
4 Mellon Financial Corp. 135
82 SunTrust Banks, Inc. 5,892
310 U.S. Bancorp 9,217
66 Wachovia Corp. 3,075
2 Wells Fargo & Co. 141
-----------------------------------------------------------------------------
33,368
-----------------------------------------------------------------------------
BIOTECHNOLOGY -- 1.4%
92 Amgen, Inc.* 5,691
23 Gilead Sciences, Inc.* 1,320
22 Human Genome Sciences, Inc.* 293
53 MedImmune, Inc.* 1,339
-----------------------------------------------------------------------------
8,643
-----------------------------------------------------------------------------
BUSINESS SERVICES -- 2.1%
1 Affiliated Computer Services, Inc.,
Class A* $ 49
19 Cendant Corp.* 423
3 Cintas Corp. 140
68 Computer Sciences Corp.* 3,021
24 Concord EFS, Inc.* 362
131 First Data Corp. 5,367
1 Moody's Corp. 30
123 SunGard Data Systems, Inc.* 3,395
-----------------------------------------------------------------------------
12,787
-----------------------------------------------------------------------------
CHEMICALS -- 1.3%
28 Air Products & Chemicals, Inc. 1,479
3 E.I. DuPont de Nemours & Co. 133
54 Eastman Chemical Co. 2,131
87 Praxair, Inc. 3,331
18 Rohm & Haas Co. 752
-----------------------------------------------------------------------------
7,826
-----------------------------------------------------------------------------
COMPUTER NETWORKS -- 2.5%
579 Cisco Systems, Inc.* 14,067
50 Juniper Networks, Inc.* 941
-----------------------------------------------------------------------------
15,008
-----------------------------------------------------------------------------
COMPUTER SOFTWARE -- 3.8%
21 BMC Software, Inc.* 386
54 Mercury Interactive Corp.* 2,612
597 Microsoft Corp. 16,431
136 Oracle Corp.* 1,791
32 Take-Two Interactive Software, Inc.* 913
24 VERITAS Software Corp.* 877
-----------------------------------------------------------------------------
23,010
-----------------------------------------------------------------------------
COMPUTERS/COMPUTER HARDWARE -- 3.7%
127 Dell, Inc.* 4,320
156 EMC Corp.* 2,016
279 Hewlett-Packard Co. 6,397
78 International Business Machines Corp. 7,228
2 Lexmark International, Inc.* 126
52 NCR Corp.* 2,033
-----------------------------------------------------------------------------
22,120
-----------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
18
<Page>
ANNUAL REPORT DECEMBER 31 2003
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
CONSTRUCTION -- 0.3%
17 Centex Corp. $ 1,798
CONSTRUCTION MATERIALS -- 0.3%
64 Masco Corp. 1,751
CONSUMER PRODUCTS -- 4.8%
176 Altria Group, Inc. 9,594
7 Black & Decker Corp. 355
137 Procter & Gamble Co. 13,644
144 The Gillette Co. 5,289
-----------------------------------------------------------------------------
28,882
-----------------------------------------------------------------------------
DIVERSIFIED -- 4.7%
710 General Electric Co. 22,005
246 Tyco International LTD (Bermuda) 6,514
-----------------------------------------------------------------------------
28,519
-----------------------------------------------------------------------------
ENTERTAINMENT/LEISURE -- 0.2%
34 Carnival Corp. 1,347
FINANCIAL SERVICES -- 10.0%
36 Capital One Financial Corp. 2,188
45 CIT Group, Inc. 1,618
429 Citigroup, Inc. 20,832
54 Countrywide Financial Corp. 4,104
77 Fannie Mae 5,780
83 Freddie Mac 4,835
58 Goldman Sachs Group, Inc. 5,707
11 Legg Mason, Inc. 864
49 MBNA Corp. 1,213
156 Morgan Stanley 9,004
117 The Charles Schwab Corp. 1,390
53 Washington Mutual, Inc. 2,134
-----------------------------------------------------------------------------
59,669
-----------------------------------------------------------------------------
FOOD/BEVERAGE PRODUCTS -- 2.9%
0^^ Archer Daniels Midland Co. 6
9 Coca-Cola Enterprises, Inc. 186
10 General Mills, Inc. 439
11 Kellogg Co. 407
25 PepsiCo, Inc. 1,170
58 Sara Lee Corp. 1,253
19 Sysco Corp. $ 689
261 The Coca-Cola Co. 13,226
-----------------------------------------------------------------------------
17,376
-----------------------------------------------------------------------------
HEALTH CARE/HEALTH CARE SERVICES -- 3.6%
30 Aetna, Inc. 2,034
49 Anthem, Inc.* 3,660
99 Baxter International, Inc. 3,025
25 Boston Scientific Corp.* 901
42 CIGNA Corp. 2,398
122 Guidant Corp. 7,331
45 HCA, Inc. 1,929
11 UnitedHealth Group, Inc. 623
2 WellPoint Health Networks, Inc.* 204
-----------------------------------------------------------------------------
22,105
-----------------------------------------------------------------------------
INDUSTRIAL COMPONENTS -- 0.1%
6 SPX Corp.* 323
INSURANCE -- 4.6%
59 AMBAC Financial Group, Inc. 4,066
55 American International Group, Inc. 3,632
74 Hartford Financial Services Group, Inc. 4,374
43 MBIA, Inc. 2,529
15 Protective Life Corp. 491
18 St. Paul Companies, Inc. 722
190 The Allstate Corp. 8,156
14 Torchmark Corp. 619
124 Travelers Property Casualty Corp., Class A 2,076
57 UnumProvident Corp. 893
-----------------------------------------------------------------------------
27,558
-----------------------------------------------------------------------------
INTERNET SERVICES/SOFTWARE -- 0.6%
61 eBay, Inc.* 3,914
MACHINERY & ENGINEERING EQUIPMENT -- 0.1%
12 Ingersoll-Rand Co., LTD (Bermuda), Class A 794
MANUFACTURING -- 1.4%
38 3M Co. 3,240
34 Cooper Industries LTD, Class A 1,958
13 Eaton Corp. 1,361
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
19
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
MANUFACTURING -- CONTINUED
24 ITT Industries, Inc. $ 1,751
-----------------------------------------------------------------------------
8,310
-----------------------------------------------------------------------------
METALS/MINING -- 0.8%
133 Alcoa, Inc. 5,058
MULTI-MEDIA -- 4.3%
111 Fox Entertainment Group, Inc., Class A* 3,227
38 Gannett Co., Inc. 3,424
1 Knight Ridder, Inc. 39
45 Liberty Media Corp., Class A* 534
21 The E.W. Scripps Co., Class A 1,977
154 The Walt Disney Co. 3,597
86 Time Warner, Inc.* 1,554
25 Tribune Co. 1,295
235 Viacom, Inc., Class B 10,443
-----------------------------------------------------------------------------
26,090
-----------------------------------------------------------------------------
OIL & GAS -- 5.8%
56 Anadarko Petroleum Corp. 2,836
58 Baker Hughes, Inc. 1,868
75 ChevronTexaco Corp. 6,497
103 ConocoPhillips 6,727
37 Cooper Cameron Corp.* 1,734
36 Devon Energy Corp. 2,061
235 Exxon Mobil Corp. 9,644
60 Pride International, Inc.* 1,120
72 Rowan Companies, Inc.* 1,668
15 Unocal Corp. 563
12 Valero Energy Corp. 561
-----------------------------------------------------------------------------
35,279
-----------------------------------------------------------------------------
PAPER/FOREST PRODUCTS -- 0.4%
33 Bowater, Inc. 1,524
23 Georgia-Pacific Corp. 702
-----------------------------------------------------------------------------
2,226
-----------------------------------------------------------------------------
PHARMACEUTICALS -- 8.0%
34 Abbott Laboratories 1,584
41 Bristol-Myers Squibb Co. 1,173
118 Eli Lilly & Co. 8,292
68 Forest Laboratories, Inc.* 4,221
111 Johnson & Johnson $ 5,734
105 Merck & Co., Inc. 4,851
452 Pfizer, Inc. 15,976
38 Sepracor, Inc.* 909
1 Watson Pharmaceuticals, Inc.* 60
132 Wyeth 5,616
-----------------------------------------------------------------------------
48,416
-----------------------------------------------------------------------------
PIPELINES -- 0.1%
122 Dynegy, Inc., Class A 523
46 El Paso Corp. 375
-----------------------------------------------------------------------------
898
-----------------------------------------------------------------------------
PRINTING & PUBLISHING -- 0.1%
7 The McGraw-Hill Companies, Inc. 489
REAL ESTATE INVESTMENT TRUST -- 0.4%
16 CarrAmerica Realty Corp. 479
4 Equity Office Properties Trust 109
1 Highwoods Properties, Inc. 23
36 ProLogis 1,159
6 The Mills Corp. 242
10 The Rouse Co. 479
-----------------------------------------------------------------------------
2,491
-----------------------------------------------------------------------------
RESTAURANTS/FOOD SERVICES -- 0.9%
146 McDonald's Corp. 3,618
51 Yum! Brands, Inc.* 1,737
-----------------------------------------------------------------------------
5,355
-----------------------------------------------------------------------------
RETAILING -- 6.1%
46 Abercrombie & Fitch Co., Class A* 1,142
19 Bed Bath & Beyond, Inc.* 837
110 CVS Corp. 3,959
19 Family Dollar Stores 696
38 Federated Department Stores, Inc. 1,796
214 Home Depot, Inc. 7,580
61 Kohl's Corp.* 2,759
52 Lowe's Companies, Inc. 2,897
100 Target Corp. 3,844
39 The Gap, Inc. 908
9 The May Department Stores Co. 253
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
20
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
RETAILING -- CONTINUED
196 Wal-Mart Stores, Inc. $ 10,397
-----------------------------------------------------------------------------
37,068
-----------------------------------------------------------------------------
SEMI-CONDUCTORS -- 4.2%
134 Altera Corp.* 3,035
55 Analog Devices, Inc. 2,511
211 Intel Corp. 6,792
24 Intersil Corp., Class A 606
79 Micron Technology, Inc.* 1,060
49 Novellus Systems, Inc.* 2,060
21 QLogic Corp.* 1,094
131 Texas Instruments, Inc. 3,837
112 Xilinx, Inc.* 4,335
-----------------------------------------------------------------------------
25,330
-----------------------------------------------------------------------------
SHIPPING/TRANSPORTATION -- 0.7%
12 Burlington Northern Santa Fe Corp. 375
11 CSX Corp. 399
0^^ FedEx Corp. 7
52 Norfolk Southern Corp. 1,223
13 Union Pacific Corp. 931
21 United Parcel Service, Inc., Class B 1,543
-----------------------------------------------------------------------------
4,478
-----------------------------------------------------------------------------
STEEL -- 0.5%
90 United States Steel Corp. 3,145
TELECOMMUNICATIONS -- 3.6%
39 AT&T Wireless Services, Inc.* + 311
22 BellSouth Corp. 614
55 Nextel Communications, Inc., Class A* 1,555
77 Qwest Communications
International, Inc.* 334
237 SBC Communications, Inc. 6,173
278 Sprint Corp. - PCS Group* 1,561
138 Tellabs, Inc.* 1,161
292 Verizon Communications, Inc. 10,229
-----------------------------------------------------------------------------
21,938
-----------------------------------------------------------------------------
TELECOMMUNICATIONS EQUIPMENT -- 0.7%
172 Lucent Technologies, Inc.* 490
67 QUALCOMM, Inc. $ 3,624
-----------------------------------------------------------------------------
4,114
-----------------------------------------------------------------------------
TOYS & GAMES -- 0.8%
66 Hasbro, Inc. 1,413
189 Mattel, Inc. 3,636
-----------------------------------------------------------------------------
5,049
-----------------------------------------------------------------------------
UTILITIES -- 2.6%
45 American Electric Power Co., Inc. 1,370
21 Consolidated Edison, Inc. 886
72 Edison International 1,583
20 Entergy Corp. 1,143
127 PG&E Corp.* 3,519
61 Pinnacle West Capital Corp. 2,457
39 PPL Corp. 1,706
11 SCANA Corp. 360
11 Wisconsin Energy Corp. 358
151 XCEL Energy, Inc. 2,557
-----------------------------------------------------------------------------
15,939
-----------------------------------------------------------------------------
Total Common Stocks
(Cost $431,601) 598,884
-----------------------------------------------------------------------------
<Caption>
PRINCIPAL
AMOUNT
- --------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS -- 1.1%
U.S. TREASURY SECURITIES -- 0.1%
U.S. Treasury Notes & Bonds,
$ 450 2.13%, 02/29/04 @ + 453
350 3.00%, 08/31/04 @ + 351
-----------------------------------------------------------------------------
Total U.S. Treasury Securities
(Cost $804) 804
-----------------------------------------------------------------------------
<Caption>
SHARES
- --------------------------------------------------------------------------------------------
MONEY MARKET FUND -- 1.0%
5,970 JPMorgan Prime Money Market Fund (a) +
(Cost $5,970) 5,970
-----------------------------------------------------------------------------
Total Short-Term Investments
(Cost $6,774) 6,774
-----------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100.0%
(COST $438,375) $ 605,658
-----------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
21
<Page>
FUTURES CONTRACTS
(Amounts in thousands, except number of contracts)
<Table>
<Caption>
NOTIONAL UNREALIZED
NUMBER OF VALUE AT APPRECIATION/
CONTRACTS DESCRIPTION EXPIRATION DATE 12/31/03 (USD) (DEPRECIATION) (USD)
- ----------------------------------------------------------------------------------------------------------------
LONG FUTURES OUTSTANDING
22 S&P 500 Index March, 2004 $ 6,108 $ 154
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
22
<Page>
JPMORGAN DIVERSIFIED FUND
PORTFOLIO OF INVESTMENTS AS OF DECEMBER 31, 2003
(Amounts in thousands)
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- 91.7%
COMMON STOCKS -- 62.4%
ADVERTISING -- 0.0% ^
14 WPP Group PLC (United Kingdom) (f) $ 141
AEROSPACE -- 1.1%
26 Lockheed Martin Corp. 1,357
4 Northrop Grumman Corp. 354
43 Raytheon Co. 1,283
2 The Boeing Co. 67
5 Triumph Group, Inc.* 165
29 United Technologies Corp. 2,705
-----------------------------------------------------------------------------
5,931
-----------------------------------------------------------------------------
AIRLINES -- 0.2%
1 Airtran Holdings, Inc.* 9
374 Cathay Pacific Airways LTD (Hong Kong) (f) 711
16 Northwest Airlines Corp.* (l) 196
-----------------------------------------------------------------------------
916
-----------------------------------------------------------------------------
APPAREL -- 0.5%
1 Carter's, Inc.* 31
0^^ Columbia Sportswear Co.* 25
33 Jones Apparel Group, Inc. 1,151
1 K-Swiss, Inc., Class A 34
20 Nike, Inc., Class B 1,387
-----------------------------------------------------------------------------
2,628
-----------------------------------------------------------------------------
APPLIANCES & HOUSEHOLD DURABLES -- 0.0% ^
3 Jacuzzi Brands, Inc.* 22
AUTOMOTIVE -- 1.3%
26 Ford Motor Co. 418
15 General Motors Corp. 790
23 Harley-Davidson, Inc. 1,084
30 Honda Motor Co., LTD (Japan) (f) 1,366
14 Johnson Controls, Inc. 1,570
9 Lear Corp. 558
2 Lithia Motors, Inc., Class A 44
1 Oshkosh Truck Corp. 49
1 Superior Industries International, Inc. 63
38 TI Automotive LTD (United Kingdom),
Class A* (f) 0
11 Volkswagen AG (Germany) (f) 620
1 Wabash National Corp.* 42
-----------------------------------------------------------------------------
6,604
-----------------------------------------------------------------------------
BANKING -- 4.2%
19 ABN AMRO Holding NV
(The Netherlands) (f) $ 445
1 Allegiant Bancorp, Inc. 22
42 Bangkok Bank PCL (Thailand)* (f) 122
19 Bank of America Corp. 1,528
1 Bank of Hawaii Corp. 40
3 Banner Corp. 67
31 Bayerische Hypo-und Vereinsbank AG
(Germany) (f) 721
24 BNP Paribas (France) (f) 1,524
1 City National Corp. 50
3 Columbia Banking Systems, Inc. 64
2 Community Bank System, Inc. 114
8 Credit Suisse Group (Switzerland) (f) 294
3 Cullen/Frost Bankers, Inc. 116
34 DBS Group Holdings LTD (Singapore) (f) 294
2 Doral Financial Corp. (Puerto Rico) 70
1 First Financial Bancorp 24
2 First Niagara Financial Group, Inc. 27
2 First State Bancorporation 78
4 First Tennessee National Corp. 185
42 FleetBoston Financial Corp. 1,843
17 GreenPoint Financial Corp. 593
54 HSBC Holdings PLC (United Kingdom) (f) 856
5 Irwin Financial Corp. 162
40 KeyCorp 1,179
4 R & G Financial Corp. (Puerto Rico),
Class B 148
59 Royal Bank of Scotland Group PLC
(United Kingdom) (f) 1,729
2 Santander BanCorp (Puerto Rico) 51
1 Silicon Valley Bancshares* 31
1 Southwest Bancorp of Texas, Inc. 21
4 Sterling Bancshares, Inc. 47
1 Sterling Financial Corp. 50
29 SunTrust Banks, Inc. 2,078
2 Taylor Capital Group, Inc. 44
1 The South Financial Group, Inc. 17
145 U.S. Bancorp 4,332
9 UBS AG (Switzerland) (f) 619
156 UniCredito Italiano SPA (Italy) (f) 841
22 Wachovia Corp. 1,011
1 Waypoint Financial Corp. 15
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
23
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
BANKING -- CONTINUED
5 Wells Fargo & Co. $ 312
2 West Coast Bancorp 49
1 Westamerica Bancorporation 59
-----------------------------------------------------------------------------
21,872
-----------------------------------------------------------------------------
BIOTECHNOLOGY -- 0.8%
45 Amgen, Inc.* 2,798
4 Cytogen Corp.* 41
6 Encysive Pharmaceuticals, Inc.* 52
33 Genelabs Technologies* 94
9 Gilead Sciences, Inc.* 543
11 Human Genome Sciences, Inc.* (l) 151
17 MedImmune, Inc.* 431
4 Myogen, Inc.* 61
4 Telik, Inc.* 86
-----------------------------------------------------------------------------
4,257
-----------------------------------------------------------------------------
BROADCASTING/CABLE -- 0.0% ^
1 Pulitzer, Inc. 63
2 Sinclair Broadcast Group, Inc., Class A* 34
-----------------------------------------------------------------------------
97
-----------------------------------------------------------------------------
BUSINESS SERVICES -- 1.4%
27 Accenture LTD (Bermuda), Class A* 710
10 Adecco SA (Switzerland) (f) 625
2 Affiliated Computer Services, Inc.,
Class A* 98
0^^ Alliance Data Systems Corp.* 13
10 BearingPoint, Inc.* 99
4 Cendant Corp.* 82
3 Cintas Corp. 135
1 Cognizant Technology Solutions Corp.* 39
21 Computer Sciences Corp.* 916
8 Concord EFS, Inc.* 120
58 First Data Corp. 2,382
2 G&K Services, Inc., Class A 66
152 Hays PLC (United Kingdom) (f) 326
10 Quanta Services, Inc.* 75
13 Spherion Corp.* 129
56 SunGard Data Systems, Inc.* 1,543
-----------------------------------------------------------------------------
7,358
-----------------------------------------------------------------------------
CHEMICALS -- 1.2%
13 Air Products & Chemicals, Inc. $ 692
7 Akzo Nobel NV (The Netherlands) (f) 280
8 Ciba Specialty Chemicals AG
(Switzerland)* 591
1 E.I. DuPont de Nemours & Co. 50
27 Eastman Chemical Co. 1,055
6 Lonza Group AG (Switzerland) 324
8 Millennium Chemicals, Inc. 97
48 Praxair, Inc. 1,837
53 Reliance Industries LTD (India), GDR, # 1,325
3 Rohm & Haas Co. 111
2 Symyx Technologies, Inc.* 39
-----------------------------------------------------------------------------
6,401
-----------------------------------------------------------------------------
COMPUTER NETWORKS -- 1.2%
4 Brocade Communications Systems, Inc.* 21
237 Cisco Systems, Inc.* 5,749
11 Enterasys Networks, Inc.* 40
1 Foundry Networks, Inc.* 26
23 Juniper Networks, Inc.* 432
-----------------------------------------------------------------------------
6,268
-----------------------------------------------------------------------------
COMPUTER SOFTWARE -- 2.0%
2 Ascential Software Corp.* 53
1 CACI International, Inc., Class A* 56
1 Cognos, Inc. (Canada)* 17
2 CompuCom Systems, Inc.* 10
1 Computer Programs & Systems, Inc. 27
4 Electronic Arts, Inc.* 172
2 Embarcadero Technologies, Inc.* 28
1 Hyperion Solutions Corp.* 37
14 Informatica Corp.* 145
0^^ Kronos, Inc.* 15
1 Lexar Media, Inc.* 23
1 ManTech International Corp., Class A* 26
24 Mercury Interactive Corp.* 1,158
244 Microsoft Corp. 6,725
37 Oracle Corp.* 490
2 Perot Systems Corp., Class A* 28
3 Progress Software Corp.* 71
8 SAP AG (Germany), ADR 337
3 Secure Computing Corp.* 54
10 Take-Two Interactive Software, Inc.* (l) 290
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
24
<Page>
ANNUAL REPORT DECEMBER 31 2003
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
COMPUTER SOFTWARE -- CONTINUED
4 Tier Technologies, Inc., Class B* $ 31
13 VERITAS Software Corp.* 498
-----------------------------------------------------------------------------
10,291
-----------------------------------------------------------------------------
COMPUTERS/COMPUTER HARDWARE -- 2.1%
53 Dell, Inc.* 1,802
3 Electronics for Imaging, Inc.* 81
55 EMC Corp.* 704
181 Fujitsu LTD (Japan)* (f) 1,072
116 Hewlett-Packard Co. 2,667
30 International Business Machines Corp. 2,810
0^^ Lexmark International, Inc.* 16
13 Maxtor Corp.* 143
18 NCR Corp.* 695
2 PEC Solutions, Inc.* 32
6 Synaptics, Inc.* 95
25 Tietoenator OYJ (Finland) (f) 682
10 Western Digital Corp.* 113
4 Zebra Technologies Corp., Class A* 248
-----------------------------------------------------------------------------
11,160
-----------------------------------------------------------------------------
CONSTRUCTION -- 0.2%
11 Apogee Enterprises, Inc. 123
5 Centex Corp. 549
23 Champion Enterprises, Inc.* 163
2 Dycom Industries, Inc.* 57
3 Technip SA (France) (f) 373
-----------------------------------------------------------------------------
1,265
-----------------------------------------------------------------------------
CONSTRUCTION MATERIALS -- 0.2%
6 ElkCorp 160
4 Louisiana-Pacific Corp.* 74
25 Masco Corp. 694
2 Universal Forest Products, Inc. 78
-----------------------------------------------------------------------------
1,006
-----------------------------------------------------------------------------
CONSUMER PRODUCTS -- 2.6%
74 Altria Group, Inc. 4,008
2 Black & Decker Corp. 104
15 British American Tobacco PLC
(United Kingdom) (f) 212
2 Central Garden & Pet Co.* 62
16 Imperial Tobacco Group PLC
(United Kingdom) (f) $ 311
2 Jarden Corp.* 55
56 Procter & Gamble Co. 5,579
31 Reckitt Benckiser PLC (United Kingdom) (f) 711
68 The Gillette Co. 2,509
-----------------------------------------------------------------------------
13,551
-----------------------------------------------------------------------------
CONSUMER SERVICES -- 0.0% ^
0^^ Arbitron, Inc.* 14
0^^ Corrections Corp of America* 1
8 Integrated Alarm Services Group, Inc.* 69
-----------------------------------------------------------------------------
84
-----------------------------------------------------------------------------
DISTRIBUTION -- 0.1%
50 Mitsubishi Corp. (Japan) (f) 533
DIVERSIFIED -- 2.7%
304 General Electric Co. 9,412
129 Tyco International LTD (Bermuda) 3,427
339 Wharf Holdings LTD (Hong Kong) (f) 943
-----------------------------------------------------------------------------
13,782
-----------------------------------------------------------------------------
ELECTRONICS/ELECTRICAL EQUIPMENT -- 0.8%
2 Agilent Technologies, Inc.* 64
2 Belden, Inc. 33
2 Cable Design Technologies Corp.* 20
0^^ Electro Scientific Industries, Inc.* 7
4 Encore Wire Corp.* 74
7 GrafTech International LTD* 96
7 Integrated Electrical Services, Inc.* 66
12 Koninklijke Philips Electronics NV
(The Netherlands) (f) 346
10 Kyocera Corp. (Japan) (f) 689
36 Matsushita Electric Works LTD (Japan) (f) 324
114 Minebea Co., LTD (Japan) (f) 584
1 Photon Dynamics, Inc.* 38
2 Samsung Electronics Co., LTD
(South Korea) (f) 696
2 Samsung SDI Co., LTD (South Korea) (f) 196
23 Sony Corp. (Japan) (f) 801
6 Thomson SA (France) (f) 136
-----------------------------------------------------------------------------
4,170
-----------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
25
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
ENGINEERING SERVICES -- 0.0%^
3 Chicago Bridge & Iron Co., N.Y.
Registered Shares (The Netherlands) $ 98
ENTERTAINMENT/LEISURE -- 0.3%
4 Boyd Gaming Corp. 70
14 Carnival Corp. 569
14 Carnival PLC (United Kingdom) (f) 570
1 Penn National Gaming, Inc.* 18
26 TUI AG (Germany) 545
-----------------------------------------------------------------------------
1,772
-----------------------------------------------------------------------------
FINANCIAL SERVICES -- 5.7%
2 Accredited Home Lenders Holding Co.* 72
13 Aiful Corp. (Japan) (f) 941
1 American Capital Strategies LTD 41
15 Capital One Financial Corp. 895
1 CapitalSource, Inc.* 24
25 CIT Group, Inc. 885
190 Citigroup, Inc. 9,197
25 Countrywide Financial Corp. 1,872
116 Daiwa Securities Group, Inc. (Japan) (f) 799
4 E*TRADE Group, Inc.* (l) 51
3 eSpeed, Inc., Class A* 79
27 Fannie Mae 2,049
1 Farmer Mac, Class C* 24
48 Freddie Mac 2,782
3 Friedman, Billings, Ramsey
Group, Inc., Class A 61
20 Goldman Sachs Group, Inc. 2,017
32 Grupo Financiero BBVA Bancomer
SA de CV(Mexico), ADR* 551
6 Legg Mason, Inc. 432
24 Man Group PLC (United Kingdom) (f) 640
1 Marlin Business Services, Inc.* 16
15 MBNA Corp. 373
8 Merrill Lynch & Co., Inc. 481
60 Morgan Stanley 3,456
1 Portfolio Recovery Associates, Inc.* 35
56 The Charles Schwab Corp. 667
15 Washington Mutual, Inc. 606
-----------------------------------------------------------------------------
29,046
-----------------------------------------------------------------------------
FOOD/BEVERAGE PRODUCTS -- 1.9%
30 Asahi Breweries LTD (Japan) $ 275
4 Chiquita Brands International, Inc.* 83
2 Coca-Cola Enterprises, Inc. 35
93 Diageo PLC (United Kingdom) (f) 1,223
2 General Mills, Inc. 82
4 Kellogg Co. 145
16 PepsiCo, Inc. 755
16 Sara Lee Corp. 356
6 Sysco Corp. 238
176 Tesco PLC (United Kingdom) 812
111 The Coca-Cola Co. 5,632
-----------------------------------------------------------------------------
9,636
-----------------------------------------------------------------------------
HEALTH CARE/HEALTH CARE SERVICES -- 1.9%
1 Accredo Health, Inc.* 28
1 Advanced Neuromodulation Systems, Inc.* 25
15 Aetna, Inc. 1,000
17 Anthem, Inc.* 1,278
31 Baxter International, Inc. 955
3 Boston Scientific Corp.* 103
3 Centene Corp.* 81
19 CIGNA Corp. 1,079
2 Conceptus, Inc.* (l) 18
2 Cyberonics, Inc.* 50
2 Cytyc Corp.* 29
5 Encore Medical Corp.* 43
52 Guidant Corp. 3,149
19 HCA, Inc. 829
3 Inveresk Research Group, Inc.* 71
1 Kindred Healthcare, Inc.* 38
1 LifePoint Hospitals, Inc.* 25
4 Mariner Health Care, Inc.* 99
1 Omnicare, Inc. 52
15 Orthovita, Inc.* 47
1 PacifiCare Health Systems* 41
0^^ Pediatrix Medical Group, Inc.* 18
6 STAAR Surgical Co.* 64
0^^ Synthes-Stratec, Inc. (Switzerland) 196
5 United Surgical Partners International, Inc.* 161
5 UnitedHealth Group, Inc. 288
1 WellPoint Health Networks, Inc.* 58
-----------------------------------------------------------------------------
9,825
-----------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
26
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
HOTELS/OTHER LODGING -- 0.1%
29 Intercontinental Hotels Group PLC
(United Kingdom) $ 276
5 La Quinta Corp.* 33
-----------------------------------------------------------------------------
309
-----------------------------------------------------------------------------
INDUSTRIAL COMPONENTS -- 0.1%
16 SKF AB, Class B (Sweden) 614
1 SPX Corp.* 65
-----------------------------------------------------------------------------
679
-----------------------------------------------------------------------------
INSURANCE -- 2.9%
72 Aegon NV (The Netherlands) (f) 1,079
35 AMBAC Financial Group, Inc. 2,419
18 American International Group, Inc. 1,180
2 Argonaut Group, Inc.* 29
80 China Life Insurance Co., LTD (China)* 65
1 Direct General Corp. 36
21 Hartford Financial Services Group, Inc. 1,216
1 HCC Insurance Holdings, Inc. 44
18 ING Groep NV (The Netherlands) (f) 422
16 MBIA, Inc. 971
6 Protective Life Corp. 219
98 Prudential PLC (United Kingdom) (f) 830
15 Renaissance Re Holdings LTD (Bermuda) 741
1 Scottish Re Group LTD (Bermuda) 11
4 St. Paul Companies, Inc. 139
1 StanCorp Financial Group, Inc. 57
6 Swiss Reinsurance Co. (Switzerland) (f) 403
60 The Allstate Corp. 2,590
6 Torchmark Corp. 269
67 Travelers Property Casualty Corp., Class A 1,128
14 UnumProvident Corp. 227
2 W.R. Berkley Corp. 65
14 Willis Group Holdings LTD (United Kingdom) 480
3 Zurich Financial Services AG
(Switzerland)* (f) 390
-----------------------------------------------------------------------------
15,010
-----------------------------------------------------------------------------
INTERNET SERVICES/SOFTWARE -- 0.4%
3 At Road, Inc.* 40
5 CNET Networks, Inc.* 32
1 EarthLink, Inc.* 10
30 eBay, Inc.* $ 1,936
2 Lionbridge Technologies, Inc.* 23
7 Network Associates, Inc.* 99
-----------------------------------------------------------------------------
2,140
-----------------------------------------------------------------------------
LEASING -- 0.0% ^
1 GATX Corp. 34
MACHINERY & ENGINEERING EQUIPMENT -- 0.5%
3 Applied Industrial Technologies, Inc. 65
17 Atlas Copco AB (Sweden), Class A (f) 602
0^^ Deere & Co. 26
2 Ingersoll-Rand Co., LTD (Bermuda),
Class A 163
2 Kennametal, Inc. 60
280 Kubota Corp. (Japan) (f) 1,161
6 Nordson Corp. 190
5 UNOVA, Inc.* 126
-----------------------------------------------------------------------------
2,393
-----------------------------------------------------------------------------
MANUFACTURING -- 0.6%
6 3M Co. 544
47 BBA Group PLC (United Kingdom) (f) 211
10 Cooper Industries LTD, Class A 602
6 Eaton Corp. 670
6 General Cable Corp.* 51
2 Honeywell International, Inc. 57
12 ITT Industries, Inc. 880
2 Joy Global, Inc. 45
7 Walter Industries, Inc. 88
1 Wilson Greatbatch Technologies, Inc.* 42
-----------------------------------------------------------------------------
3,190
-----------------------------------------------------------------------------
METALS/MINING -- 0.6%
53 Alcoa, Inc. 1,995
4 Arch Coal, Inc. 132
4 Commercial Metals Co. 110
2 Mueller Industries, Inc.* 79
2 Precision Castparts Corp. 94
1 Valmont Industries, Inc. 34
108 WMC Resources LTD (Australia)* (f) 458
-----------------------------------------------------------------------------
2,902
-----------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
27
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
MULTI-MEDIA -- 2.4%
3 Emmis Communications Corp., Class A* $ 78
48 Fox Entertainment Group, Inc., Class A* 1,399
17 Gannett Co., Inc. 1,489
3 Gray Television, Inc. 48
3 Insight Communications Co., Inc.* (l) 35
2 Journal Register Co.* 45
15 Liberty Media Corp., Class A* 178
1 Media General, Inc., Class A 67
94 News Corp., LTD (Australia) 710
9 Sirius Satellite Radio, Inc.* (l) 29
9 Societe Television Francaise 1 (France) (f) 332
10 The E.W. Scripps Co., Class A 924
57 The Walt Disney Co. 1,318
28 Time Warner, Inc.* 504
12 Tribune Co. 630
106 Viacom, Inc., Class B 4,719
0^^ Young Broadcasting, Inc., Class A* 10
-----------------------------------------------------------------------------
12,515
-----------------------------------------------------------------------------
OFFICE/BUSINESS EQUIPMENT -- 0.1%
1 Global Imaging Systems, Inc.* 16
1 Herman Miller, Inc. 33
21 Ricoh Co., LTD (Japan) (f) 416
-----------------------------------------------------------------------------
465
-----------------------------------------------------------------------------
OIL & GAS -- 3.7%
31 Anadarko Petroleum Corp. 1,577
15 Baker Hughes, Inc. 470
26 ChevronTexaco Corp. 2,282
264 CNOOC LTD (Hong Kong) (f) 521
39 ConocoPhillips 2,544
27 Cooper Cameron Corp.* 1,251
23 Devon Energy Corp. 1,336
2 Energen Corp. 69
20 ENI-Ente Nazionale Idrocarburi SPA (Italy) (f) 388
2 ENSCO International, Inc.* 65
92 Exxon Mobil Corp. 3,774
2 FMC Technologies, Inc.* 37
6 Global Industries LTD* 30
3 Gulf Island Fabrication, Inc.* 48
1 Lone Star Technologies* 17
3 LUKOIL (Russia), ADR 240
1 Maverick Tube Corp.* $ 24
1 ONEOK, Inc. 28
1 Patterson-UTI Energy, Inc.* 20
34 Petroleo Brasileiro SA (Brazil), ADR 909
2 Premcor, Inc.* 61
12 Pride International, Inc.* 227
35 Rowan Companies, Inc.* 804
2 Spinnaker Exploration Co.* 60
2 Stone Energy Corp.* 76
9 Total SA (France) (f) 1,656
8 Unocal Corp. 309
4 Valero Energy Corp. 199
2 W-H Energy Services, Inc.* 25
0^^ Westport Resources Corp.* 10
-----------------------------------------------------------------------------
19,057
-----------------------------------------------------------------------------
PACKAGING -- 0.1%
47 Crown Holdings, Inc.* 428
3 Silgan Holdings, Inc.* 145
-----------------------------------------------------------------------------
573
-----------------------------------------------------------------------------
PAPER/FOREST PRODUCTS -- 0.2%
15 Bowater, Inc. 672
5 Caraustar Industries, Inc.* 69
3 Georgia-Pacific Corp. 86
-----------------------------------------------------------------------------
827
-----------------------------------------------------------------------------
PHARMACEUTICALS -- 5.2%
19 Abbott Laboratories 890
3 Able Laboratories, Inc.* 49
11 Adolor Corp.* 211
1 Amylin Pharmaceuticals, Inc.* 28
18 AstraZeneca PLC (United Kingdom) (f) 880
10 AtheroGenics, Inc.* 155
22 Bristol-Myers Squibb Co. 638
4 Cubist Pharmaceuticals, Inc.* 54
5 Cypress Bioscience, Inc.* 77
53 Eli Lilly & Co. 3,703
2 Esperion Therapeutics, Inc.* 85
31 Forest Laboratories, Inc.* 1,945
43 Fujisawa Pharmaceutical Co., LTD (Japan) 917
58 GlaxoSmithKline PLC (United Kingdom) (f) 1,328
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
28
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
PHARMACEUTICALS -- CONTINUED
43 Johnson & Johnson $ 2,228
5 Ligand Pharmaceuticals, Inc.,
Class B* (l) 73
3 Medicines Co.* 98
44 Merck & Co., Inc. 2,019
0^^ NBTY, Inc.* 10
1 Neurocrine Biosciences, Inc.* 28
188 Pfizer, Inc. 6,652
11 Roche Holding AG (Switzerland) (f) 1,090
4 Sanofi-Synthelabo SA (France) (f) 330
12 Schering AG (Germany) 626
21 Sepracor, Inc.* 499
1 Taro Pharmaceutical Industries LTD (Israel)* 52
57 Wyeth 2,405
-----------------------------------------------------------------------------
27,070
-----------------------------------------------------------------------------
PIPELINES -- 0.1%
70 Dynegy, Inc., Class A (l) 297
18 El Paso Corp. 147
-----------------------------------------------------------------------------
444
-----------------------------------------------------------------------------
PRINTING & PUBLISHING -- 0.0% ^
2 The McGraw-Hill Companies, Inc. 112
REAL ESTATE -- 0.0%
41 City Developments LTD (Singapore) (f) 146
REAL ESTATE INVESTMENT TRUST -- 0.3%
1 Agree Realty Corp. 18
0^^ Alexandria Real Estate Equities, Inc. 14
2 American Home Mortgage Investment Corp. 38
2 Annaly Mortgage Management, Inc. 38
2 Anworth Mortgage Asset Corp. 22
1 Capital Automotive Real Estate
Investment Trust 35
5 CarrAmerica Realty Corp. (l) 155
0^^ Chelsea Property Group, Inc. 23
0^^ Cousins Properties, Inc. 12
0^^ Developers Diversified Realty Corp. 15
2 Equity Office Properties Trust 52
1 General Growth Properties, Inc. 29
2 Highwoods Properties, Inc. 53
4 Lexington Corporate Properties Trust 75
4 MFA Mortgage Investments, Inc. $ 40
2 Post Properties, Inc. 45
2 Prentiss Properties Trust 73
13 ProLogis 418
0^^ Regency Centers Corp. 15
4 The Rouse Co. 166
2 United Dominion Realty Trust, Inc. 37
2 Ventas, Inc. 43
1 Weingarten Realty Investors 25
-----------------------------------------------------------------------------
1,441
-----------------------------------------------------------------------------
RESTAURANTS/FOOD SERVICES -- 0.4%
2 Landry's Restaurants, Inc. 39
52 McDonald's Corp. 1,300
22 Yum! Brands, Inc.* 763
-----------------------------------------------------------------------------
2,102
-----------------------------------------------------------------------------
RETAILING -- 3.5%
15 Abercrombie & Fitch Co., Class A* (l) 371
4 AnnTaylor Stores Corp.* 173
9 Bed Bath & Beyond, Inc.* 394
4 BJ's Wholesale Club, Inc.* 99
1 Chico's FAS, Inc.* 20
44 Compagnie Financiere Richemont AG
(Switzerland), Class A (f) 1,066
3 CSK Auto Corp.* 52
52 CVS Corp. 1,866
104 Dixons Group PLC (United Kingdom) (f) 259
14 Family Dollar Stores 504
19 Federated Department Stores, Inc. 907
2 Fred's, Inc. 47
93 Home Depot, Inc. 3,306
4 Ito-Yokado Co., LTD (Japan) (f) 127
10 Kirkland's, Inc.* 168
30 Kohl's Corp.* 1,351
1 Linens 'N Things, Inc.* 37
16 Lowe's Companies, Inc. 892
1 Michaels Stores, Inc. 31
13 Pier 1 Imports, Inc. 286
1 School Specialty, Inc.* 38
39 Target Corp. 1,515
14 The Gap, Inc. 318
82 Wal-Mart Stores, Inc. 4,360
-----------------------------------------------------------------------------
18,187
-----------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
29
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
SEMI-CONDUCTORS -- 2.4%
55 Altera Corp.* $ 1,258
26 Analog Devices, Inc. 1,191
6 ASE Test LTD (Taiwan)* 92
11 ChipPAC, Inc., Class A* 82
14 Credence Systems Corp.* 185
97 Intel Corp. 3,120
20 Intersil Corp., Class A 499
4 Kulicke & Soffa Industries, Inc.* 62
1 Lam Research Corp.* 34
0^^ Linear Technology Corp. 13
29 Micron Technology, Inc.* 388
21 Novellus Systems, Inc.* 896
3 O2Micro International LTD
(Cayman Islands)* 65
1 Photronics, Inc.* 10
10 QLogic Corp.* 490
4 Semtech Corp.* 94
11 STMicroelectronics NV (Switzerland) (f) 309
58 Texas Instruments, Inc. 1,695
107 United Microelectronics Corp.
(Taiwan), ADR* 529
1 Varian Semiconductor Equipment
Associates, Inc.* 35
40 Xilinx, Inc.* 1,557
-----------------------------------------------------------------------------
12,604
-----------------------------------------------------------------------------
SHIPPING/TRANSPORTATION -- 0.4%
3 Burlington Northern Santa Fe Corp. 97
4 Canadian National Railway Co. (Canada) 221
3 CSX Corp. 108
24 Norfolk Southern Corp. 561
4 Union Pacific Corp. 264
12 United Parcel Service, Inc., Class B 929
-----------------------------------------------------------------------------
2,180
-----------------------------------------------------------------------------
STEEL -- 0.4%
13 Acerinox SA (Spain) (f) 601
9 POSCO (South Korea), ADR 311
1 Reliance Steel & Aluminum Co. 31
1 Schnitzer Steel Industries, Inc., Class A 39
32 United States Steel Corp. (l) 1,130
-----------------------------------------------------------------------------
2,112
-----------------------------------------------------------------------------
TELECOMMUNICATIONS -- 3.0%
90 Advanced Info Service PCL
(Thailand) (f) $ 193
14 Aeroflex, Inc.* 161
16 Alcatel SA (France)* (f) 201
4 AT&T Corp. 80
16 BellSouth Corp. 464
2 Cincinnati Bell, Inc.* 9
7 Citizens Communications Co.* 83
6 Extreme Networks, Inc.* 47
4 France Telecom SA (France)* (f) 128
127 Koninklijke KPN NV (The Netherlands)* (f) 980
4 MasTec, Inc.* 53
10 Nextel Communications, Inc., Class A* 267
0^^ Nippon Telegraph & Telephone Corp.
(Japan) (f) 532
96 Nokia OYJ (Finland) (f) 1,638
5 Nokia OYJ (Finland), ADR 78
26 Qwest Communications International, Inc.* 111
100 SBC Communications, Inc. 2,597
217 Singapore Telecommunications LTD
(Singapore) (f) 251
128 Sprint Corp. - PCS Group* (l) 722
67 Tellabs, Inc.* 564
121 Verizon Communications, Inc. 4,235
800 Vodafone Group PLC (United Kingdom) (f) 1,986
1 Western Wireless Corp., Class A* 12
-----------------------------------------------------------------------------
15,392
-----------------------------------------------------------------------------
TELECOMMUNICATIONS EQUIPMENT -- 0.3%
2 Advanced Fibre Communications, Inc.* 35
1 Andrew Corp.* 12
8 Corning, Inc.* 83
60 Lucent Technologies, Inc.* 169
12 Motorola, Inc. 170
23 QUALCOMM, Inc. 1,214
1 Spirent PLC (United Kingdom)* (f) 1
4 Sycamore Networks, Inc.* 23
-----------------------------------------------------------------------------
1,707
-----------------------------------------------------------------------------
TOYS & GAMES -- 0.4%
34 Hasbro, Inc. 726
63 Mattel, Inc. 1,214
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
30
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
TOYS & GAMES -- CONTINUED
2 Nintendo Co., LTD (Japan) (f) $ 205
-----------------------------------------------------------------------------
2,145
-----------------------------------------------------------------------------
TRANSPORTATION -- 0.0% ^
3 Kirby Corp.* 112
4 Overnite Corp.* 82
2 Werner Enterprises, Inc. 34
-----------------------------------------------------------------------------
228
-----------------------------------------------------------------------------
UTILITIES -- 1.9%
6 American Electric Power Co., Inc. 186
4 Atmos Energy Corp. 92
87 Centrica PLC (United Kingdom) 329
15 Consolidated Edison, Inc. 632
5 E.ON AG (Germany) 296
26 Edison International 575
2 Entergy Corp. 137
27 Iberdrola SA (Spain) (f) 534
56 PG&E Corp.* 1,566
41 Pinnacle West Capital Corp. 1,661
25 PPL Corp. 1,072
6 Public Power Corp. (Greece) 142
4 SCANA Corp. 127
71 Scottish Power PLC (United Kingdom) (f) 473
11 Sierra Pacific Resources* (l) 83
1 UniSource Energy Corp. 28
30 Veolia Environnement (France) 805
3 Westar Energy, Inc. 58
53 XCEL Energy, Inc. 905
-----------------------------------------------------------------------------
9,701
-----------------------------------------------------------------------------
WHOLESALING -- 0.0% ^
0^^ W.W. Grainger, Inc.* 5
-----------------------------------------------------------------------------
Total Common Stocks 324,384
(Cost $232,715)
-----------------------------------------------------------------------------
PREFERRED STOCKS -- 0.0% ^
ENTERTAINMENT/LEISURE -- 0.0% ^
2 Six Flags, Inc. 54
(Cost $31)
U.S. TREASURY SECURITIES -- 4.7%
U.S. Treasury Notes & Bonds,
$ 500 6.00%, 08/15/04 @ $ 515
5,000 1.50%, 07/31/05 + 4,996
6,500 2.63%, 11/15/06 + 6,558
345 3.38%, 11/15/08 + 348
995 4.25%, 11/15/13 + 994
1,400 7.25%, 05/15/16 + 1,746
1,750 7.88%, 02/15/21 + 2,328
3,000 6.88%, 08/15/25 + 3,670
595 6.13%, 08/15/29 + 674
2,635 5.38%, 02/15/31 + 2,748
-----------------------------------------------------------------------------
Total U.S. Treasury Securities 24,577
(Cost $24,739)
-----------------------------------------------------------------------------
U.S. GOVERNMENT AGENCY SECURITIES -- 0.7%
Federal Home Loan Mortgage Corp.,
295 4.25%, 06/15/05 306
250 6.25%, 07/15/32 272
Federal National Mortgage Association,
530 6.40%, 05/14/09 539
1,875 7.13%, 01/15/30 2,259
-----------------------------------------------------------------------------
Total U.S. Government Agency Securities 3,376
(Cost $3,114)
-----------------------------------------------------------------------------
FOREIGN GOVERNMENT SECURITIES -- 0.7%
Federal Republic of Brazil (Brazil),
320 10.00%, 08/07/11 354
314 8.00%, 04/15/14 309
165 12.75%, 01/15/20 210
179 Republic of Colombia (Colombia),
9.75%, 04/09/11 201
Russian Federation (Russia),
370 8.75%, 07/24/05, Regulation S 399
800 5.00%, 03/31/30, Regulation S, SUB 770
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
31
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT
(USD) ISSUER VALUE
- --------------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
FOREIGN GOVERNMENT SECURITIES -- CONTINUED
United Mexican States (Mexico),
$ 290 8.38%, 01/14/11 $ 344
100 7.50%, 01/14/12 113
160 6.38%, 01/16/13, MTN 166
175 5.88%, 01/15/14 173
135 11.38%, 09/15/16 191
75 8.13%, 12/30/19 84
80 8.13%, 12/30/19 89
175 8.30%, 08/15/31, MTN 196
-----------------------------------------------------------------------------
Total Foreign Government Securities 3,599
(Cost $3,403)
-----------------------------------------------------------------------------
STATE AND MUNICIPAL OBLIGATION -- 0.1%
505 Illinois State, Taxable Pension, GO,
5.10%, 06/01/33 464
(Cost $505)
-----------------------------------------------------------------------------
CORPORATE NOTES & BONDS -- 10.3%
AEROSPACE -- 0.0% ^
115 The Boeing Co., 6.13%, 02/15/33 115
AUTOMOTIVE -- 1.2%
DaimlerChrysler N.A. Holding Corp.,
375 4.05%, 06/04/08 372
345 6.50%, 11/15/13 363
10 8.50%, 01/18/31 12
355 Delphi Corp., 6.50%, 08/15/13 373
Ford Motor Credit Co.,
1,065 7.88%, 06/15/10 1,190
725 7.00%, 10/01/13 765
935 General Motors Acceptance Corp.,
7.25%, 03/02/11 1,026
General Motors Corp.,
200 8.25%, 07/15/23 227
500 8.38%, 07/15/33 580
425 Hyundai Motor Manufacturing Alabama LLC,
5.30%, 12/19/08, # 426
170 Lear Corp., 8.11%, 05/15/09, Ser. B 200
95 TRW Automotive, Inc., 9.38%, 02/15/13 109
-----------------------------------------------------------------------------
5,643
-----------------------------------------------------------------------------
BANKING -- 2.3%
$ 565 ABN-AMRO North American Holding
Preferred Capital Repackage Trust I,
6.52%, 12/29/49, FRN, # $ 611
805 ANZ Capital Trust I, 5.36%, 12/15/53, # 804
525 Bank of America Corp., 3.25%, 08/15/08 519
290 Bank One Corp., 7.88%, 08/01/10 348
395 BNP Paribas Capital Trust, 9.00%,
12/31/49, FRN, # 494
220 Branch Banking & Trust Co., 5.20%,
12/23/15 218
250 Cadets Trust, 4.80%, 07/15/13,
Ser. 2003-1, # 239
125 Den Norske Bank ASA (Norway), 7.73%,
12/31/49, FRN, # 146
1,060 HBOS PLC (United Kingdom), 5.38%,
12/31/99, FRN, # 1,064
280 KBC Bank Fund Trust III, 9.86%,
11/29/49, FRN, # 355
460 KFW International Finance, Inc., 4.75%,
01/24/07 493
340 Nordbanken AB (Sweden), 8.95%,
12/31/49, FRN, # 417
235 Popular North America, Inc., 4.25%,
04/01/08 239
680 Rabobank Capital Funding II, 5.26%,
12/31/49, # 681
560 RBS Capital Trust I, 4.71%, 12/29/49, FRN 534
10 RBS Capital Trust II, 6.43%, 12/29/49, FRN 10
Royal Bank of Scotland Group PLC
(United Kingdom),
85 7.65%, 08/31/49, FRN 101
685 7.82%, 12/31/49, Ser. 3 753
295 Sovereign Bank, 4.38%, 08/01/13, FRN 297
210 Standard Chartered Bank (United Kingdom),
8.00%, 05/30/31, # 254
500 SunTrust Bank, 2.50%, 11/01/06 501
230 Swedbank (Sweden), 9.00%,
12/29/49, FRN, # 283
545 U.S. Bank N.A., 2.85%, 11/15/06 548
515 Washington Mutual, Inc., 4.00%, 01/15/09 516
145 Wells Fargo & Co., 5.00%, 11/15/14 144
40 Wells Fargo Bank N.A., 6.45%, 02/01/11 45
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
32
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT
(USD) ISSUER VALUE
- --------------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
BANKING -- CONTINUED
$ 595 Westpac Capital Trust III, 5.82%,
12/31/49, FRN, # $ 614
270 Zions Bancorp, 6.00%, 09/15/15 283
-----------------------------------------------------------------------------
11,511
-----------------------------------------------------------------------------
BROADCASTING/CABLE -- 0.1%
75 British Sky Broadcasting PLC
(United Kingdom) (Yankee), 8.20%, 07/15/09 89
95 COX Communications, Inc., 7.75%, 11/01/10 113
75 Mediacom LLC/Mediacom Capital Corp.,
9.50%, 01/15/13 80
-----------------------------------------------------------------------------
282
-----------------------------------------------------------------------------
CHEMICALS -- 0.2%
75 Huntsman International LLC, 9.88%, 03/01/09 82
325 ICI Wilmington, Inc., 5.63%, 12/01/13 327
115 Lyondell Chemical Co., 10.88%, 05/01/09 118
115 PolyOne Corp., 10.63%, 05/15/10 115
The Dow Chemical Co.,
270 6.00%, 10/01/12 284
80 7.38%, 11/01/29 89
-----------------------------------------------------------------------------
1,015
-----------------------------------------------------------------------------
COMPUTER SOFTWARE -- 0.0% ^
95 Unisys Corp., 6.88%, 03/15/10 103
COMPUTERS/COMPUTER HARDWARE -- 0.0% ^
200 Electronic Data Systems Corp., 6.00%,
08/01/13, Ser. B 197
CONSTRUCTION -- 0.0% ^
70 D.R. Horton, Inc., 9.75%, 09/15/10 83
35 Pulte Homes, Inc., 6.38%, 05/15/33 34
100 Standard-Pacific Corp., 6.88%, 05/15/11 104
-----------------------------------------------------------------------------
221
-----------------------------------------------------------------------------
CONSUMER PRODUCTS -- 0.0% ^
200 Altria Group, Inc., 7.00%, 11/04/13 213
CONSUMER SERVICES -- 0.1%
75 Iron Mountain, Inc., 6.63%, 01/01/16 73
$ 380 Quebecor World, Inc. (Canada), 6.13%,
11/15/13, # $ 384
Von Hoffmann Corp.
40 10.25%, 03/15/09, # 43
40 10.25%, 03/15/09 43
-----------------------------------------------------------------------------
543
-----------------------------------------------------------------------------
DIVERSIFIED -- 0.3%
General Electric Capital Corp.,
520 5.88%, 02/15/12, Ser. A, MTN 559
80 6.75%, 03/15/32, Ser. A, MTN 89
315 Hutchison Whampoa International LTD
(Hong Kong), 6.25%, 01/24/14, # 320
580 Tyco International Group SA (Luxembourg),
6.00%, 11/15/13, # 597
-----------------------------------------------------------------------------
1,565
-----------------------------------------------------------------------------
FINANCIAL SERVICES -- 2.1%
American General Finance Corp.,
575 3.00%, 11/15/06, Ser. H, MTN 579
315 4.50%, 11/15/07, Ser. H, MTN 329
95 Arch Western Finance LLC, 6.75%, 07/01/13, # 98
300 Capital One Bank, 4.88%, 05/15/08 309
Citigroup, Inc.,
585 7.25%, 10/01/10 682
55 6.63%, 06/15/32 60
Goldman Sachs Group, Inc.,
140 6.60%, 01/15/12 156
470 4.75%, 07/15/13 458
400 Household Finance Corp., 4.13%, 12/15/08 403
HSBC Capital Funding LP (Channel Islands),
210 4.61%, 12/31/49, FRN, # 197
765 9.55%, 12/31/49, FRN, # 972
235 ING Capital Funding Trust III, 8.44%,
12/31/49, FRN 284
465 Mantis Reef LTD (Australia), 4.69%,
11/14/08, # 467
280 Merrill Lynch & Co., Inc., 4.00%, 11/15/07,
Ser. B, MTN 287
Morgan Stanley,
95 5.80%, 04/01/07 103
675 3.63%, 04/01/08 676
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
33
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT
(USD) ISSUER VALUE
- --------------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
FINANCIAL SERVICES -- CONTINUED
$ 2,520 Special Purpose Accounts Receivable
Cooperative Corp. Trust (SPARCS),
1.49%, 05/23/05, Ser. 2003-6, FRN, # $ 2,520
1,532 Targeted Return Index (TRAINS), 8.68%,
05/15/13, Ser. 2003-1, FRN, # 1,695
150 UFJ Finance AEC (Aruba), 6.75%, 07/15/13 160
-----------------------------------------------------------------------------
10,435
-----------------------------------------------------------------------------
HEALTH CARE/HEALTH CARE SERVICES -- 0.2%
95 Fresenius Medical Care Capital Trust II,
7.88%, 02/01/08 102
520 HCA, Inc., 5.25%, 11/06/08 529
35 Medex, Inc., 8.88%, 05/15/13, # 38
115 Tenet Healthcare Corp., 5.00%, 07/01/07 111
320 UnitedHealth Group, Inc., 3.30%, 01/30/08 319
-----------------------------------------------------------------------------
1,099
-----------------------------------------------------------------------------
HOTELS/OTHER LODGING -- 0.0% ^
145 Harrah's Operating Co., Inc., 5.38%,
12/15/13, # 144
INSURANCE -- 0.3%
415 AXA (France), 8.60%, 12/15/30 523
305 Commerce Group, Inc., 5.95%, 12/09/13 309
Nationwide Financial Services, Inc.,
130 6.25%, 11/15/11 139
110 5.90%, 07/01/12 115
220 Prudential Holdings LLC, 8.70%, 12/18/23, # 281
205 QBE Insurance Group LTD (Australia),
5.65%, 07/01/23, FRN, # 195
-----------------------------------------------------------------------------
1,562
-----------------------------------------------------------------------------
MANUFACTURING -- 0.0% ^
130 Bombardier, Inc. (Canada), 6.75%,
05/01/12, # 142
METALS/MINING -- 0.0% ^
65 Peabody Energy Corp., 6.88%,
03/15/13, Ser. B 69
MULTI-MEDIA -- 0.3%
$ 419 Comcast Cable Communications
Holdings, Inc., 8.38%, 03/15/13 $ 513
80 Comcast Corp., 7.05%, 03/15/33 87
80 Echostar DBS Corp., 6.38%, 10/01/11, # 82
105 Liberty Media Corp., 5.70%, 05/15/13 106
90 MediaNews Group, Inc., 6.88%, 10/01/13, # 92
115 News America Holdings, Inc.,
7.75%, 12/01/45 136
Time Warner, Inc.,
470 7.63%, 04/15/31 542
115 7.70%, 05/01/32 134
-----------------------------------------------------------------------------
1,692
-----------------------------------------------------------------------------
OFFICE/BUSINESS EQUIPMENT -- 0.0% ^
Xerox Corp.,
40 7.13%, 06/15/10 43
55 7.63%, 06/15/13 59
-----------------------------------------------------------------------------
102
-----------------------------------------------------------------------------
OIL & GAS -- 0.4%
Amerada Hess Corp.,
190 6.65%, 08/15/11 206
70 7.30%, 08/15/31 72
Anadarko Finance Co. (Canada),
225 6.75%, 05/01/11, Ser. B 255
40 7.50%, 05/01/31, Ser. B 47
365 BP Capital Markets PLC (United Kingdom),
2.75%, 12/29/06 366
75 Chesapeake Energy Corp., 8.13%, 04/01/11 83
160 Conoco Funding Co. (Canada),
7.25%, 10/15/31 189
85 Devon Financing Corp. ULC, 7.88%, 09/30/31 102
380 Enterprise Products Partners LP,
7.50%, 02/01/11 424
75 Occidental Petroleum Corp., 6.75%, 01/15/12 85
150 Transocean, Inc., 6.63%, 04/15/11 167
60 Valero Energy Corp., 6.88%, 04/15/12 66
260 Weatherford International LTD (Bermuda),
4.95%, 10/15/13 256
-----------------------------------------------------------------------------
2,318
-----------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
34
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT
(USD) ISSUER VALUE
- --------------------------------------------------------------------------------------------
PACKAGING -- 0.1%
$ 90 Crown European Holdings SA (France),
9.50%, 03/01/11 $ 102
Owens-Brockway Glass Container, Inc.,
150 8.88%, 02/15/09 164
65 7.75%, 05/15/11 70
-----------------------------------------------------------------------------
336
-----------------------------------------------------------------------------
PAPER/FOREST PRODUCTS -- 0.1%
185 Abitibi-Consolidated, Inc. (Canada) (Yankee),
6.00%, 06/20/13 177
345 Domtar, Inc. (Canada) (Yankee),
5.38%, 12/01/13 341
20 Georgia-Pacific Corp., 7.38%, 07/15/08 22
160 Tembec Industries, Inc. (Canada), 8.50%,
02/01/11 166
50 Westvaco Corp., 8.20%, 01/15/30 59
-----------------------------------------------------------------------------
765
-----------------------------------------------------------------------------
PHARMACEUTICALS -- 0.1%
195 Schering-Plough Corp., 5.30%, 12/01/13 198
Wyeth,
275 5.50%, 02/01/14 279
170 6.45%, 02/01/24 174
-----------------------------------------------------------------------------
651
-----------------------------------------------------------------------------
PIPELINES -- 0.2%
150 Duke Capital Corp., 6.25%, 02/15/13 158
Kinder Morgan Energy Partners LP
65 7.40%, 03/15/31 74
120 7.30%, 08/15/33 136
330 Plains All American Pipeline LP/PAA
Finance Corp., 5.63%, 12/15/13, # 334
38 Transcontinental Gas Pipe LN,
8.88%, 07/15/12, Ser. B 45
37 Williams Companies, Inc., 8.13%, 03/15/12 41
-----------------------------------------------------------------------------
788
-----------------------------------------------------------------------------
REAL ESTATE INVESTMENT TRUST -- 0.0% ^
210 iStar Financial, Inc., 6.00%, 12/15/10 214
RETAILING -- 0.2%
$ 95 Federated Department Stores, Inc.,
7.00%, 02/15/28 $ 104
90 Kroger Co., 8.00%, 09/15/29 108
540 Safeway, Inc., 4.13%, 11/01/08 538
50 The May Department Stores Co.,
6.90%, 01/15/32 54
245 Toys R US, Inc., 7.38%, 10/15/18 245
110 Wal-Mart Stores, Inc., 6.55%, 08/10/04 113
-----------------------------------------------------------------------------
1,162
-----------------------------------------------------------------------------
SHIPPING/TRANSPORTATION -- 0.0% ^
15 Burlington Northern Santa Fe Corp.,
7.08%, 05/13/29 17
95 Teekay Shipping Corp. (Bahamas),
8.88%, 07/15/11 108
-----------------------------------------------------------------------------
125
-----------------------------------------------------------------------------
STEEL -- 0.0% ^
115 United States Steel Corp., 9.75%, 05/15/10 129
TELECOMMUNICATIONS -- 1.0%
AT&T Corp.,
5 6.00%, 03/15/09 5
260 8.00%, 11/15/31 304
AT&T Wireless Services, Inc.,
290 7.88%, 03/01/11 336
10 8.13%, 05/01/12 12
125 British Telecom PLC (United Kingdom),
8.38%, 12/15/10 152
250 Citizens Communications Co.,
9.25%, 05/15/11 296
Deutsche Telekom International Finance BV
(The Netherlands),
265 8.50%, 06/15/10 320
155 5.25%, 07/22/13 157
125 8.75%, 06/15/30 160
France Telecom (France),
230 7.75%, 03/01/11 276
130 9.75%, 03/01/31 173
120 Koninklijke KPN NV (The Netherlands),
8.00%, 10/01/10 144
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
35
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT
(USD) ISSUER VALUE
- --------------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
TELECOMMUNICATIONS -- CONTINUED
$ 80 Nextel Communications, Inc.,
7.38%, 08/01/15 $ 86
Sprint Capital Corp.,
455 7.63%, 01/30/11 510
350 8.75%, 03/15/32 413
255 TCI Communications, Inc., 7.88%, 02/15/26 298
645 Telecom Italia Capital SA (Luxembourg),
4.00%, 11/15/08, # 648
285 Verizon Global Funding Corp.,
7.75%, 12/01/30 335
195 Verizon New York, Inc., 6.88%,
04/01/12, Ser. A 216
170 Vodafone Group PLC (United Kingdom),
7.88%, 02/15/30 209
-----------------------------------------------------------------------------
5,050
-----------------------------------------------------------------------------
UTILITIES -- 1.1%
305 AEP Texas Central Co.,
5.50%, 02/15/13, Ser. D 312
245 Alabama Power Co., 2.80%, 12/01/06 246
190 Arizona Public Service Co., 4.65%, 05/15/15 179
95 Calpine Corp., 8.75%, 07/15/13, # 93
125 Columbus Southern Power Co.,
5.50%, 03/01/13, Ser. C 129
Constellation Energy Group, Inc.,
120 6.35%, 04/01/07 131
35 4.55%, 06/15/15 32
Consumers Energy Co.,
265 5.38%, 04/15/13, # 266
190 6.00%, 02/15/14, # 198
435 Dominion Resources, Inc.,
8.13%, 06/15/10, Ser. A 523
135 DTE Energy Co., 6.38%, 04/15/33 132
Duke Energy Corp.,
30 3.75%, 03/05/08 30
185 6.25%, 01/15/12 200
130 FirstEnergy Corp., 7.38%, 11/15/31, Ser. C 133
220 MidAmerican Energy Co., 6.75%, 12/30/31 238
National Rural Utilities Cooperative
Finance Corp.,
335 3.88%, 02/15/08 340
205 7.25%, 03/01/12, Ser. C, MTN 239
$ 285 PacifiCorp, 4.30%, 09/15/08 $ 291
Pepco Holdings, Inc.,
235 6.45%, 08/15/12 256
90 7.45%, 08/15/32 103
Progress Energy, Inc.,
15 7.10%, 03/01/11 17
100 6.85%, 04/15/12 111
115 Reliant Resources, Inc., 9.50%, 07/15/13, # 123
160 TXU Australia Holdings Partnership LP
(Australia), 166
6.15%, 11/15/13, #
275 TXU Energy Co., 7.00%, 03/15/13 304
290 Virginia Electric and Power Co., 4.50%,
12/15/10 292
-----------------------------------------------------------------------------
5,084
-----------------------------------------------------------------------------
Total Corporate Notes & Bonds 53,275
(Cost $50,906)
-----------------------------------------------------------------------------
RESIDENTIAL MORTGAGE BACKED SECURITIES -- 6.5%
COLLATERALIZED MORTGAGE OBLIGATIONS -- 1.2%
942 Countrywide Home Loans, Inc.,
5.50%, 08/25/33, Ser. 2003-29, Class A1 947
445 Federal Home Loan Mortgage Corp.,
6.00%, 02/01/33, Ser. 244, IO 89
935 Federal National Mortgage Association,
6.00%, 11/01/32, Ser. 328, Class 2, IO 185
968 MASTR Asset Securitization Trust,
5.50%, 09/25/33, Ser. 2003-8, Class 1A1 969
RESI Finance LP (Cayman Islands),
596 2.72%, 07/10/35, Ser. 2003-B, Class B3,
FRN, # 608
797 2.57%, 09/10/35, Ser. 2003-C, Class B3,
FRN, # 799
199 2.77%, 09/10/35, Ser. 2003-C, Class B4,
FRN, # 200
659 Residential Asset Securities Corp., 1.46%,
11/25/33, Ser. 2003-KS9, Class A2B, FRN 658
1,968 SACO I, Inc., 7.00%, 08/25/36, Ser. 1997-2,
Class 1A5, # 2,016
-----------------------------------------------------------------------------
6,471
-----------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
36
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT
(USD) ISSUER VALUE
- --------------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
MORTGAGE BACKED PASS-THROUGH SECURITIES -- 5.3%
Federal Home Loan Mortgage Corp.,
$ 1,525 6.90%, 12/01/10, Gold Pool W10004 $ 1,730
4,500 5.50%, 01/15/33, TBA 4,553
Federal National Mortgage Association,
3,000 5.00%, 01/25/33, TBA 2,968
2,500 5.50%, 01/25/33, TBA 2,532
9,000 6.00%, 01/25/33, TBA 9,302
6,000 Government National Mortgage Association,
5.50%, 01/15/33, TBA 6,099
-----------------------------------------------------------------------------
27,184
-----------------------------------------------------------------------------
Total Residential Mortgage
Backed Securities 33,655
(Cost $33,260)
-----------------------------------------------------------------------------
COMMERCIAL MORTGAGE BACKED SECURITIES -- 1.0%
Bear Stearns Commercial Mortgage Securities,
385 6.48%, 02/15/35, Ser. 2001-TOP2, Class A2 431
2,500 4.74%, 03/13/40, Ser. 2003-T10, Class A2 2,498
Credit Suisse First Boston Mortgage
Securities Corp.,
90 7.29%, 09/15/09, Ser. 1999-C1, Class A2 103
865 3.94%, 05/15/38, Ser. 2003-C3, Class A5 812
1,370 LB-UBS Commercial Mortgage Trust, 4.93%,
09/15/35, Ser. 2003-C7, Class A4 1,379
-----------------------------------------------------------------------------
Total Commercial Mortgage Backed Securities 5,223
(Cost $5,235)
-----------------------------------------------------------------------------
ASSET BACKED SECURITIES -- 5.3%
American Express Credit Account Master Trust,
250 1.69%, 01/15/09, Ser. 2003-4, Class A 245
600 1.27%, 09/15/09, Ser. 2002-1, Class A, FRN 601
AmeriCredit Automobile Receivables Trust,
315 2.75%, 10/09/07, Ser. 2003-CF, Class A3 318
1,040 1.39%, 12/06/07, Ser. 2003-DM,
Class A3B, FRN 1,041
510 3.48%, 05/06/10, Ser. 2003-CF, Class A4 518
430 2.84%, 08/06/10, Ser. 2003-DM, Class A4 429
Bank One Issuance Trust,
1,040 1.21%, 02/17/09, Ser. 2003-A5,
Class A5, FRN 1,041
1,025 2.30%, 12/15/10, Ser. 2003-C2,
Class C2, FRN 1,029
Capital Auto Receivables Asset Trust,
$ 970 1.20%, 02/15/07, Ser. 2003-2,
Class A3B, FRN $ 970
625 1.96%, 01/15/09, Ser. 2003-2, Class A4A 610
210 Capital One Auto Finance Trust, 3.18%,
09/15/10, Ser. 2003-B, Class A4 210
935 Capital One Master Trust, 4.60%,
08/17/09, Ser. 2001-8A, Class A 981
Capital One Multi-Asset Execution Trust,
870 2.95%, 08/17/09, Ser. 2003-A6, Class A6 876
1,145 3.65%, 07/15/11, Ser. 2003-A4, Class A4 1,145
505 Carmax Auto Owner Trust, 3.07%, 10/15/10,
Ser. 2003-2, Class A4 505
420 Citibank Credit Card Issuance Trust,
5.00%, 06/10/15, Ser. 2003-C4, Class C4 403
Countrywide Asset-Backed Certificates,
360 3.61%, 04/25/30, Ser. 2003-5, Class AF3 362
325 5.41%, 01/25/34, Ser. 2003-5, Class MF1 329
220 Daimler Chrysler Auto Trust, 2.88%,
10/08/09, Ser. 2003-A, Class A4 221
605 Discover Card Master Trust I, 1.21%,
05/16/07, Ser. 2002-5, Class A, FRN 605
69 EQCC Home Equity Loan Trust, 6.41%,
12/15/04, Ser. 1997-3, Class A8 70
890 First USA Credit Card Master Trust, 1.46%,
11/20/06, Ser. 2001- 2, Class B, FRN 890
1,730 Household Automotive Trust, 4.37%,
12/17/08, Ser. 2001-3, Class A4 1,785
1,200 Long Beach Mortgage Loan Trust, 1.48%,
08/25/33, Ser. 2003-4, Class AV3, FRN 1,199
255 M&I Auto Loan Trust, 2.97%, 04/20/09,
Ser. 2003-1, Class A4 256
885 MBNA Credit Card Master Note Trust, 5.75%,
10/15/08, Ser. 2001-A1, Class A1 952
470 Morgan Stanley Auto Loan Trust, 2.17%,
04/15/11, Ser. 2003-HB1, Class A2 464
Onyx Acceptance Grantor Trust,
320 3.20%, 03/15/10, Ser. 2003-D, Class A4 320
450 2.66%, 05/17/10, Ser. 2003-C, Class A4 448
Option One Mortgage Loan Trust,
838 1.56%, 02/25/33, Ser. 2003-1, Class A2, FRN 840
428 1.46%, 08/25/33, Ser. 2003-5, Class A2, FRN 427
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
37
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT
(USD) ISSUER VALUE
- --------------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
ASSET BACKED SECURITIES -- CONTINUED
Residential Asset Securities Corp.,
$ 376 1.39%, 07/25/32, Ser. 2002-KS4,
Class AIIB, FRN $ 376
852 1.43%, 07/25/33, Ser. 2003-KS5,
Class AIIB, FRN 850
1,790 SLM Student Loan Trust, 2.99%,
12/15/22, Ser. 2003-11, Class A5, # 1,794
525 Triad Auto Receivables Owner Trust, 3.20%,
12/13/10, Ser. 2003-B, Class A4 528
Volkswagon Auto Loan Enhanced Trust,
1,510 1.93%, 01/20/10, Ser. 2003-1, Class A4 1,479
615 2.94%, 03/22/10, Ser. 2003-2, Class A4 616
Wachovia Asset Securitization, Inc.,
512 1.57%, 12/25/32, Ser. 2002-HE2,
Class A, FRN 513
770 1.40%, 06/25/33, Ser. 2003-HE2,
Class AII1, FRN 770
335 WFS Financial Owner Trust, 3.15%,
05/20/11, Ser. 2003-4, Class A4 337
-----------------------------------------------------------------------------
Total Asset Backed Securities 27,353
(Cost $27,313)
-----------------------------------------------------------------------------
<Caption>
SHARES
- --------------------------------------------------------------------------------------------
INVESTMENT COMPANY-- 0.0% ^
2 Technology Investment Capital Corp. 30
(Cost $29)
-----------------------------------------------------------------------------
Total Long Term Investments 475,990
(Cost $381,250)
-----------------------------------------------------------------------------
<Caption>
UNITS
- --------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS - 8.3%
OPTIONS-- 0.0% ^
4,800 Call Option on Interest Rate Swap,
expiring 1/09/04, if exercised the Fund pays
Floating 3 Month LIBOR and receives
Fixed 4.53%, European Style 8
27,300 Call Option on Interest Rate Swap,
expiring 1/13/04, if exercised the Fund pays
Floating 3 Month LIBOR and receives
Fixed 2.45%, European Style $ 6
4,871 Put Option on Interest Rate Swap,
expiring 03/08/04,
if exercised the Fund pays Fixed 4.65%
and receives Floating 3 Month LIBOR,
European Style 111
-----------------------------------------------------------------------------
Total Options 125
(Cost $216)
-----------------------------------------------------------------------------
<Caption>
PRINCIPAL
AMOUNT
(USD)
- --------------------------------------------------------------------------------------------
COMMERCIAL PAPER -- 1.6%
$ 2,600 Cafco LLC, 1.08%, 02/11/04 + 2,597
2,900 Eureka Securitization, Inc., 1.09%,
01/07/04 + 2,899
2,600 Sheffield Receivables Corp., 1.09%,
01/16/04 2,599
-----------------------------------------------------------------------------
Total Commercial Paper 8,095
(Cost $8,095)
-----------------------------------------------------------------------------
<Caption>
SHARES
- --------------------------------------------------------------------------------------------
MONEY MARKET FUND -- 6.7%
35,046 JPMorgan Prime Money Market Fund (a) + 35,046
(Cost $35,046)
-----------------------------------------------------------------------------
Total Short Term Investments 43,266
(Cost $43,357)
-----------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100.0% $ 519,256
(COST $424,607)
-----------------------------------------------------------------------------
<Caption>
SHARES COLLATERAL INVESTMENTS VALUE
- --------------------------------------------------------------------------------------------
MONEY MARKET FUNDS (c)
1,359 Merrill Lynch Premier Fund $ 1,359
1,360 Reserve Primary Fund 1,360
-----------------------------------------------------------------------------
$ 2,719
-----------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
38
<Page>
SUMMARY OF INVESTMENTS BY COUNTRY, DECEMBER 31, 2003
<Table>
<Caption>
COUNTRY % OF INVESTMENT SECURITIES
----------------------------------------------------------------
United States 84.4%
United Kingdom 3.4
Japan 2.1
France 1.3
Switzerland 1.1
Bermuda 1.0
The Netherlands 0.9
Germany 0.6
Hong Kong 0.5
Other (below 0.5%) 4.7
----------------------------------------------------------------
Total 100.0%
- --------------------------------------------------------------------------
</Table>
FUTURES CONTRACTS
(Amounts in thousands, except number of contracts)
<Table>
<Caption>
NOTIONAL UNREALIZED
NUMBER OF VALUE AT APPRECIATION
CONTRACTS DESCRIPTION EXPIRATION DATE 12/31/03 (USD) (DEPRECIATION) (USD)
- --------------------------------------------------------------------------------------------------------------
SHORT FUTURES OUTSTANDING
(26) Treasury Bills March, 2004 $ (2,842) $ 4
(24) 2 Year Treasury Notes March, 2004 (5,137) (21)
(30) 5 Year Treasury Notes March, 2004 (3,349) (21)
(209) 10 Year Treasury Notes March, 2004 (23,464) (23)
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
39
<Page>
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS
<Table>
<Caption>
NET UNREALIZED
SETTLEMENT SETTLEMENT VALUE AT APPRECIATION
CONTRACTS TO BUY DATE VALUE (USD) 12/31/03 (USD) (DEPRECIATION) (USD)
- ---------------------------------------------------------------------------------------------------
EUR for
412 GBP 2/25/04 $ 520** $ 519** $ (1)
EUR for
320 SEK 2/25/04 396** 403** 7
2,174 AUD 2/25/04 1,537 1,628 91
653 EUR 2/25/04 788 822 34
889 GBP 2/25/04 1,503 1,585 82
2,989 HKD 2/25/04 386 385 (1)
123,676 JPY 2/25/04 1,139 1,155 16
2,044 NOK 2/25/04 292 307 15
2,805 SEK 2/25/04 365 389 24
- ---------------------------------------------------------------------------------------------------
$ 6,926 $ 7,193 $ 267
- ---------------------------------------------------------------------------------------------------
</Table>
<Table>
<Caption>
NET UNREALIZED
SETTLEMENT SETTLEMENT VALUE AT APPRECIATION
CONTRACTS TO SELL DATE VALUE (USD) 12/31/03 (USD) (DEPRECIATION) (USD)
- ---------------------------------------------------------------------------------------------------
1,828 CHF 2/25/04 $ 1,383 $ 1,480 $ (97)
1,048 EUR 2/25/04 1,241 1,321 (80)
274 GBP 2/25/04 469 488 (19)
13,052 HKD 2/25/04 1,686 1,684 2
73,750 JPY 2/25/04 675 689 (14)
542 SGD 2/25/04 315 319 (4)
- ---------------------------------------------------------------------------------------------------
$ 5,769 $ 5,981 $ (212)
- ---------------------------------------------------------------------------------------------------
</Table>
** For cross-currency exchange contracts, the Settlement Value is the market
value at 12/31/03 of the currency being sold and the Value at 12/31/03 is
the market value at 12/31/03 of the currency being bought.
OPTIONS
<Table>
<Caption>
UNITS VALUE
- ------------------------------------------------------------------------------------------------------------------------------
CALL OPTIONS WRITTEN
(10,000) Call Option on FNMA, 30 Year, 5.50%, strike price of 101.50, expiring 01/07/04, European Style $ (16)
(27,300) Call Option on Interest Rate Swap, expiring 1/13/04, if exercised the Fund pays Fixed 2.20% and
receives Floating 3 Month LIBOR, European Style --^^
Total Call Options Written $ (16)
- ------------------------------------------------------------------------------------------------------------------------------
PUT OPTIONS WRITTEN
- ------------------------------------------------------------------------------------------------------------------------------
(10,000) Put Option on FNMA, 30 Year, 5.50%, strike price of 100.84, expiring 03/08/04, European Style (102)
- ------------------------------------------------------------------------------------------------------------------------------
Total Put Options Written $ (102)
- ------------------------------------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
40
<Page>
SWAP CONTRACTS
<Table>
<Caption>
UNDERLYING UNREALIZED
EXPIRATION NOTIONAL APPRECIATION
DESCRIPTIONS DATE VALUE (DEPRECIATION)
- --------------------------------------------------------------------------------------------------------------------------------
Interest Rate Swap with Morgan Stanley Capital Services, swap
rate lock on 10 Year Forward Contract, rate less 4.75,
the Fund pays negative, receives positive 01/07/04 $ 3,063 $ (21)
Swap - price lock with Lehman Brothers Special Financing, on 30 Year
FNMA, 5.50%, TBA 1/04, price less 100.06, the Fund pays negative,
receives positive. 01/07/04 16,500 217
Swap - price lock with Lehman Brothers Special Financing on 30 Year
FNMA, 6.00%, TBA 1/04, price less 103.13, the Fund pays negative,
receives positive. 01/07/04 15,500 44
Swap - price lock with Credit Suisse First Boston International on
U.S. Treasury Note, 4.25%, 11/15/13, price less 99.56,
the Fund pays positive, receives negative. 01/12/04 4,770 (12)
Swap - price lock with Citibank N.A. on U.S. Treasury Note,
4.38%, 08/15/12, price less 102.64, the Fund pays positive, receives negative. 01/21/04 5,705 48
Swap - price lock with Lehman Brothers Special Financing, on
FNMA, 6.63%, 09/15/09, price less 114.15, the Fund pays negative,
receives positive. 01/22/04 4,200 (11)
Swap - price lock with Lehman Brothers Special Financing, on 15 Year
FNMA, 5.00%, TBA 2/04, price less 100.30, the Fund pays negative,
receives positive. 02/11/04 13,000 188
Total Return Swap with Citibank N.A. on Lehman AAA 8.5 CMBS Index,
Fund pays 1 month LIBOR, receives 50.00 bps. 02/27/04 3,000 195
Swap Rate Lock with Credit Suisse First Boston International on 10 Year
Forward Contract, rate less 4.78, the Fund pays negative, receives positive 03/22/04 3,200 (1)
Swap Rate Lock with Credit Suisse First Boston International on 5 Year
Forward Contract, rate less 3.90, the Fund pays positive, receives negative. 03/22/04 5,800 13
Total Return Swap with Bank of America on Bank of America AAA 10 Year
CMBS Index, Fund pays 1 month LIBOR, receives 65.00 bps. 06/30/04 5,700 (43)
Total Return Swap with UBS AG on Lehman AAA 8.5 CMBS Index, Fund pays
1 month LIBOR, receives 65.00 bps. 07/01/04 4,000 (2)
Swap -Forward Rate Agreement with Lehman Brothers Special Financing,
the Fund pays 3 Month LIBOR, receives 1.40% 09/15/04 81,700 (6)
Swap -Forward Rate Agreement with Merrill Lynch Capital Services,
the Fund pays 3 Month LIBOR, receives 1.44% 09/15/04 48,520 1
Swap -Forward Rate Agreement with Citibank N.A., the Fund pays 3 Month
LIBOR, receives 1.47% 09/15/04 32,350 3
Swap -Forward Rate Agreement with Merrill Lynch Capital Services,
the Fund pays 3 Month LIBOR, receives 1.60% 09/15/04 32,590 14
Swap -Forward Rate Agreement with Lehman Brothers Special Financing,
the Fund pays 3 Month LIBOR, receives 1.74% 12/15/04 49,000 (2)
Swap -Forward Rate Agreement with Lehman Brothers Special Financing,
the Fund pays 3 Month LIBOR, receives 1.77% 12/15/04 96,405 4
Interest Rate Swap with Lehman Brothers Special Financing on 3 Month
USD LIBOR, with semi annual payment of 3.73% on USD 30/360,
Fund pays negative, receives positive 09/15/09 4,500 (13)
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
41
<Page>
JPMORGAN EQUITY GROWTH FUND
PORTFOLIO OF INVESTMENTS AS OF DECEMBER 31, 2003
(Amounts in thousands)
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- 99.3%
COMMON STOCKS -- 99.3%
AEROSPACE -- 3.1%
23 United Technologies Corp. $ 2,161
APPAREL -- 1.3%
13 Nike, Inc., Class B 883
BANKING -- 1.5%
18 Fifth Third Bancorp 1,064
BIOTECHNOLOGY -- 4.9%
18 Amgen, Inc.* 1,088
41 Gilead Sciences, Inc.* 2,366
--------------------------------------------------------------------
3,454
--------------------------------------------------------------------
BUSINESS SERVICES -- 1.9%
32 First Data Corp. 1,315
COMPUTER NETWORKS -- 5.1%
135 Cisco Systems, Inc.* 3,276
19 Juniper Networks, Inc.* 359
--------------------------------------------------------------------
3,635
--------------------------------------------------------------------
COMPUTER SOFTWARE -- 9.4%
4 Adobe Systems, Inc. 173
15 Mercury Interactive Corp.* 744
95 Microsoft Corp. 2,616
57 Oracle Corp.* 754
20 Red Hat, Inc.* 374
23 Take-Two Interactive Software, Inc.* 654
36 VERITAS Software Corp.* 1,319
--------------------------------------------------------------------
6,634
--------------------------------------------------------------------
COMPUTERS/COMPUTER HARDWARE -- 3.1%
64 Dell, Inc.* 2,180
CONSUMER PRODUCTS -- 1.7%
24 Colgate-Palmolive Co. 1,206
CONSUMER SERVICES -- 3.6%
3 Career Education Corp.* 128
4 Regis Corp. $ 174
58 Weight Watchers International, Inc.* 2,237
--------------------------------------------------------------------
2,539
--------------------------------------------------------------------
DIVERSIFIED -- 4.1%
94 General Electric Co. 2,912
FINANCIAL SERVICES -- 6.4%
15 Goldman Sachs Group, Inc. 1,481
20 Legg Mason, Inc. 1,505
61 MBNA Corp. 1,523
--------------------------------------------------------------------
4,509
--------------------------------------------------------------------
FOOD/BEVERAGE PRODUCTS -- 2.2%
31 The Coca-Cola Co. 1,588
HEALTH CARE/HEALTH CARE SERVICES -- 3.0%
36 Guidant Corp. 2,137
INSURANCE -- 2.0%
20 AMBAC Financial Group, Inc. 1,388
INTERNET SERVICES/SOFTWARE -- 5.5%
76 InterActiveCorp* 2,592
38 Symantec Corp.* 1,310
--------------------------------------------------------------------
3,902
--------------------------------------------------------------------
MANUFACTURING -- 2.6%
22 Illinois Tool Works, Inc. 1,829
MULTI-MEDIA -- 3.6%
24 The Walt Disney Co. 565
45 Viacom, Inc., Class B 2,010
--------------------------------------------------------------------
2,575
--------------------------------------------------------------------
PHARMACEUTICALS -- 12.7%
28 Eli Lilly & Co. 1,952
57 Johnson & Johnson 2,956
13 Millennium Pharmaceuticals, Inc.* 233
80 Pfizer, Inc. 2,833
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
42
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
PHARMACEUTICALS -- CONTINUED
14 Sepracor, Inc.* $ 330
15 Wyeth 637
--------------------------------------------------------------------
8,941
--------------------------------------------------------------------
RESTAURANTS/FOOD SERVICES -- 1.2%
25 Yum! Brands, Inc.* 843
RETAILING -- 10.3%
7 Advanced Auto Parts, Inc.* 537
43 Bed Bath & Beyond, Inc.* 1,860
13 CDW Corp. 739
45 Family Dollar Stores 1,611
48 Wal-Mart Stores, Inc. 2,542
--------------------------------------------------------------------
7,289
--------------------------------------------------------------------
SEMI-CONDUCTORS -- 9.2%
46 Altera Corp.* 1,049
124 Intel Corp. 3,993
26 Linear Technology Corp. 1,085
9 Novellus Systems, Inc.* 370
--------------------------------------------------------------------
6,497
--------------------------------------------------------------------
TELECOMMUNICATIONS -- 0.9%
39 Nokia OYJ (Finland), ADR 656
--------------------------------------------------------------------
Total Common Stocks 70,137
(Cost $67,204)
--------------------------------------------------------------------
SHORT-TERM INVESTMENTS - 0.7%
MONEY MARKET FUND -- 0.7%
484 JPMorgan Prime Money Market Fund (a) $ 484
(Cost $484)
TOTAL INVESTMENTS -- 100.0% $ 70,621
(COST $67,688)
--------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
43
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- 98.7%
COMMON STOCKS -- 98.7%
AGRICULTURAL PRODUCTION/SERVICES -- 1.4%
14 Monsanto Co. $ 397
14 UST, Inc. 503
--------------------------------------------------------------------
900
--------------------------------------------------------------------
APPAREL -- 1.7%
26 VF Corp. 1,129
APPLIANCES & HOUSEHOLD DURABLES -- 0.5%
5 Whirlpool Corp. 363
AUTOMOTIVE -- 1.1%
22 Genuine Parts Co. 714
BANKING -- 18.7%
26 Bank of America Corp. 2,091
17 BB&T Corp. 668
29 Compass Bancshares, Inc. 1,140
5 FleetBoston Financial Corp. 218
16 New York Community Bancorp, Inc. 624
20 North Fork Bancorporation, Inc. 801
38 SouthTrust Corp. 1,227
21 SunTrust Banks, Inc. 1,495
25 TCF Financial Corp. 1,284
42 The Bank of New York Co., Inc. 1,404
45 U.S. Bancorp 1,328
--------------------------------------------------------------------
12,280
--------------------------------------------------------------------
BUSINESS SERVICES -- 1.6%
25 Deluxe Corp. 1,033
CHEMICALS -- 0.6%
6 PPG Industries, Inc. 365
COMPUTERS/COMPUTER HARDWARE -- 1.2%
36 Hewlett-Packard Co. 817
CONSTRUCTION MATERIALS -- 1.0%
14 Vulcan Materials Co. 680
CONSUMER PRODUCTS -- 3.8%
35 Altria Group, Inc. $ 1,916
8 Fortune Brands, Inc. 572
--------------------------------------------------------------------
2,488
--------------------------------------------------------------------
DIVERSIFIED -- 0.7%
15 General Electric Co. 465
ELECTRONICS/ELECTRICAL EQUIPMENT -- 0.5%
6 Emerson Electric Co. 356
FINANCIAL SERVICES -- 7.4%
22 Charter One Financial, Inc. 743
51 Citigroup, Inc. 2,499
18 Freddie Mac 1,050
15 Washington Mutual, Inc. 618
--------------------------------------------------------------------
4,910
--------------------------------------------------------------------
FOOD/BEVERAGE PRODUCTS -- 2.0%
24 Kellogg Co. 914
18 Sara Lee Corp. 391
--------------------------------------------------------------------
1,305
--------------------------------------------------------------------
INSURANCE -- 7.5%
21 Chubb Corp. 1,417
8 Hartford Financial Services Group, Inc. 490
17 IPC Holdings LTD (Bermuda) 654
14 Marsh & McLennan Companies, Inc. 666
15 SAFECO Corp. 596
19 The Allstate Corp. 800
10 Willis Group Holdings LTD (United Kingdom) 330
--------------------------------------------------------------------
4,953
--------------------------------------------------------------------
MANUFACTURING -- 2.0%
10 Cooper Industries LTD, Class A 597
22 Honeywell International, Inc. 735
--------------------------------------------------------------------
1,332
--------------------------------------------------------------------
MULTI-MEDIA -- 1.2%
4 Gannett Co., Inc. 374
6 Knight Ridder, Inc. 434
--------------------------------------------------------------------
808
--------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
44
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
OIL & GAS -- 12.4%
24 ChevronTexaco Corp. $ 2,093
27 ConocoPhillips 1,757
12 Equitable Resources, Inc. 511
73 Exxon Mobil Corp. 2,988
25 Questar Corp. 879
--------------------------------------------------------------------
8,228
--------------------------------------------------------------------
PAPER/FOREST PRODUCTS -- 1.7%
19 Plum Creek Timber Co., Inc. 579
13 Rayonier, Inc. 554
--------------------------------------------------------------------
1,133
--------------------------------------------------------------------
PHARMACEUTICALS -- 1.2%
17 Merck & Co., Inc. 776
PIPELINES -- 0.5%
6 Kinder Morgan, Inc. 355
REAL ESTATE -- 1.6%
17 Brascan Corp. (Canada), Class A (l) 528
18 Brookfield Properties Corp. (Canada) 514
--------------------------------------------------------------------
1,042
--------------------------------------------------------------------
REAL ESTATE INVESTMENT TRUST -- 6.7%
8 Boston Properties, Inc. 390
9 iStar Financial, Inc. 350
9 Kimco Realty Corp. 380
16 Manufactured Home Communities, Inc. 587
28 ProLogis 906
10 PS Business Parks, Inc. (l) 413
7 Public Storage, Inc. 317
15 Regency Centers Corp. 582
14 Shurgard Storage Centers, Inc., Class A 523
--------------------------------------------------------------------
4,448
--------------------------------------------------------------------
RETAILING -- 1.1%
26 The May Department Stores Co. 756
TELECOMMUNICATIONS -- 7.7%
34 Alltel Corp. 1,593
42 BellSouth Corp. 1,186
27 SBC Communications, Inc. $ 706
46 Verizon Communications, Inc. 1,600
--------------------------------------------------------------------
5,085
--------------------------------------------------------------------
TOYS & GAMES -- 1.1%
38 Mattel, Inc. 732
UTILITIES -- 11.8%
27 AGL Resources, Inc. 786
16 Dominion Resources, Inc. 1,027
37 DPL, Inc. 779
11 DTE Energy Co. 441
16 Energy East Corp. 365
14 Entergy Corp. 783
20 KeySpan Corp. 736
17 Pepco Holdings, Inc. 332
20 Pinnacle West Capital Corp. 812
18 PPL Corp. 788
17 SCANA Corp. 575
12 Wisconsin Energy Corp. 385
--------------------------------------------------------------------
7,809
--------------------------------------------------------------------
Total Common Stocks 65,262
(Cost $54,818)
--------------------------------------------------------------------
SHORT-TERM INVESTMENTS - 1.3%
MONEY MARKET FUND -- 1.3%
845 JPMorgan Prime Money Market Fund (a) 845
(Cost $845)
--------------------------------------------------------------------
TOTAL INVESTMENTS -- 100.0% $ 66,107
(COST $55,663)
--------------------------------------------------------------------
<Caption>
SHARES COLLATERAL INVESTMENTS VALUE
- --------------------------------------------------------------------------------
MONEY MARKET FUNDS (c)
24 Merrill Lynch Premier Fund $ 24
23 Reserve Primary Fund 23
--------------------------------------------------------------------
$ 47
--------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
45
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------
LONG-TERM INVESTMENTS - 97.3%
COMMON STOCKS -- 97.3%
AEROSPACE -- 1.7%
63 Lockheed Martin Corp. $ 3,218
49 United Technologies Corp. 4,671
--------------------------------------------------------------------
7,889
--------------------------------------------------------------------
APPAREL -- 1.1%
47 Jones Apparel Group, Inc. 1,657
49 Nike, Inc., Class B 3,347
--------------------------------------------------------------------
5,004
--------------------------------------------------------------------
AUTOMOTIVE -- 1.2%
54 General Motors Corp. 2,883
23 Johnson Controls, Inc. 2,693
--------------------------------------------------------------------
5,576
--------------------------------------------------------------------
BANKING -- 3.8%
54 FleetBoston Financial Corp. 2,353
62 KeyCorp 1,806
33 SunTrust Banks, Inc. 2,349
308 U.S. Bancorp 9,160
41 Wells Fargo & Co. 2,409
--------------------------------------------------------------------
18,077
--------------------------------------------------------------------
BIOTECHNOLOGY -- 1.7%
80 Amgen, Inc.* 4,926
39 Gilead Sciences, Inc.* 2,281
32 MedImmune, Inc.* 803
--------------------------------------------------------------------
8,010
--------------------------------------------------------------------
BUSINESS SERVICES -- 3.1%
226 Accenture LTD (Bermuda), Class A* 5,945
101 First Data Corp. 4,130
161 SunGard Data Systems, Inc.* 4,450
--------------------------------------------------------------------
14,525
--------------------------------------------------------------------
CHEMICALS -- 1.8%
62 Eastman Chemical Co. 2,431
160 Praxair, Inc. 6,127
--------------------------------------------------------------------
8,558
--------------------------------------------------------------------
COMPUTER NETWORKS -- 2.3%
385 Cisco Systems, Inc.* $ 9,348
77 Juniper Networks, Inc.* 1,440
--------------------------------------------------------------------
10,788
--------------------------------------------------------------------
COMPUTER SOFTWARE -- 3.7%
30 Electronic Arts, Inc.* 1,429
76 Mercury Interactive Corp.* 3,677
349 Microsoft Corp. 9,615
68 SAP AG (Germany), ADR 2,834
--------------------------------------------------------------------
17,555
--------------------------------------------------------------------
COMPUTERS/COMPUTER HARDWARE -- 3.0%
115 Dell, Inc.* 3,908
262 Hewlett-Packard Co. 6,018
48 International Business Machines Corp. 4,403
--------------------------------------------------------------------
14,329
--------------------------------------------------------------------
CONSUMER PRODUCTS -- 4.8%
141 Altria Group, Inc. 7,684
97 Procter & Gamble Co. 9,656
146 The Gillette Co. 5,354
--------------------------------------------------------------------
22,694
--------------------------------------------------------------------
DIVERSIFIED -- 5.1%
440 General Electric Co. 13,644
383 Tyco International LTD (Bermuda) 10,156
--------------------------------------------------------------------
23,800
--------------------------------------------------------------------
ENTERTAINMENT/LEISURE -- 0.4%
48 Carnival Corp. 1,895
FINANCIAL SERVICES -- 11.0%
24 Capital One Financial Corp. 1,465
98 CIT Group, Inc. 3,533
410 Citigroup, Inc. 19,920
50 Countrywide Financial Corp. 3,774
155 Freddie Mac 9,055
36 Goldman Sachs Group, Inc. 3,514
35 Legg Mason, Inc. 2,701
91 Morgan Stanley 5,255
162 The Charles Schwab Corp. 1,920
--------------------------------------------------------------------
51,137
--------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
46
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
FOOD/BEVERAGE PRODUCTS -- 2.6%
48 PepsiCo, Inc. $ 2,244
200 The Coca-Cola Co. 10,129
--------------------------------------------------------------------
12,373
--------------------------------------------------------------------
HEALTH CARE/HEALTH CARE SERVICES -- 3.1%
14 Aetna, Inc. 973
24 Anthem, Inc.* 1,799
37 Baxter International, Inc. 1,132
27 CIGNA Corp. 1,544
96 Guidant Corp. 5,756
42 HCA, Inc. 1,813
28 UnitedHealth Group, Inc. 1,641
--------------------------------------------------------------------
14,658
--------------------------------------------------------------------
INSURANCE -- 4.4%
118 AMBAC Financial Group, Inc. 8,162
126 RenaissanceRe Holdings LTD
(Bermuda) (l) 6,185
149 Travelers Property Casualty Corp.,
Class A 2,503
119 Willis Group Holdings LTD
(United Kingdom) 4,044
--------------------------------------------------------------------
20,894
--------------------------------------------------------------------
INTERNET SERVICES/SOFTWARE -- 0.8%
61 eBay, Inc.* 3,959
MANUFACTURING -- 1.6%
42 Cooper Industries LTD, Class A 2,427
23 Eaton Corp. 2,505
35 ITT Industries, Inc. 2,575
--------------------------------------------------------------------
7,507
--------------------------------------------------------------------
METALS/MINING -- 0.8%
104 Alcoa, Inc. 3,967
MULTI-MEDIA -- 4.5%
93 Fox Entertainment Group, Inc., Class A* 2,699
22 Gannett Co., Inc. 1,953
41 The E.W. Scripps Co., Class A 3,879
57 The Walt Disney Co. 1,323
252 Viacom, Inc., Class B 11,202
--------------------------------------------------------------------
21,056
--------------------------------------------------------------------
OIL & GAS -- 6.0%
83 Anadarko Petroleum Corp. $ 4,240
32 ChevronTexaco Corp. 2,804
45 ConocoPhillips 2,971
105 Cooper Cameron Corp.* 4,898
85 Devon Energy Corp. 4,848
126 Exxon Mobil Corp. 5,146
71 Rowan Companies, Inc.* (l) 1,647
52 Unocal Corp. 1,904
--------------------------------------------------------------------
28,458
--------------------------------------------------------------------
PAPER/FOREST PRODUCTS -- 0.3%
28 Bowater, Inc. (l) 1,287
PHARMACEUTICALS -- 8.3%
101 Eli Lilly & Co. 7,103
61 Forest Laboratories, Inc.* 3,764
150 Johnson & Johnson 7,741
42 Merck & Co., Inc. 1,931
338 Pfizer, Inc. 11,945
57 Sepracor, Inc.* 1,364
116 Wyeth 4,923
--------------------------------------------------------------------
38,771
--------------------------------------------------------------------
RESTAURANTS/FOOD SERVICES -- 0.8%
83 McDonald's Corp. 2,071
47 Yum! Brands, Inc.* 1,629
--------------------------------------------------------------------
3,700
--------------------------------------------------------------------
RETAILING -- 6.1%
65 CVS Corp. 2,344
64 Family Dollar Stores 2,302
54 Federated Department Stores, Inc. 2,531
193 Home Depot, Inc. 6,858
69 Kohl's Corp.* 3,101
126 Target Corp. 4,833
128 Wal-Mart Stores, Inc. 6,790
--------------------------------------------------------------------
28,759
--------------------------------------------------------------------
SEMI-CONDUCTORS -- 4.1%
110 Altera Corp.* 2,488
56 Analog Devices, Inc. 2,548
165 Intel Corp. 5,304
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
47
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
SEMI-CONDUCTORS -- CONTINUED
88 Intersil Corp., Class A (l) $ 2,184
60 Novellus Systems, Inc.* 2,531
146 Texas Instruments, Inc. 4,281
--------------------------------------------------------------------
19,336
--------------------------------------------------------------------
SHIPPING/TRANSPORTATION -- 1.2%
29 Canadian National Railway Co. (Canada) 1,854
36 Norfolk Southern Corp. 851
38 United Parcel Service, Inc., Class B 2,833
--------------------------------------------------------------------
5,538
--------------------------------------------------------------------
TELECOMMUNICATIONS -- 3.3%
33 AT&T Corp. + 665
39 Nokia OYJ (Finland), ADR 656
175 SBC Communications, Inc. 4,557
350 Sprint Corp. - PCS Group* (l) 1,966
169 Tellabs, Inc.* 1,426
184 Verizon Communications, Inc. 6,444
--------------------------------------------------------------------
15,714
--------------------------------------------------------------------
TELECOMMUNICATIONS EQUIPMENT -- 0.9%
67 Corning, Inc.* 701
101 Motorola, Inc. 1,424
40 QUALCOMM, Inc. 2,135
--------------------------------------------------------------------
4,260
--------------------------------------------------------------------
TOYS & GAMES -- 0.9%
134 Hasbro, Inc. 2,852
69 Mattel, Inc. 1,328
--------------------------------------------------------------------
4,180
--------------------------------------------------------------------
UTILITIES -- 2.9%
81 Consolidated Edison, Inc. $ 3,467
155 Pinnacle West Capital Corp. 6,205
88 PPL Corp. 3,863
--------------------------------------------------------------------
13,535
--------------------------------------------------------------------
Total Common Stocks 457,789
(Cost $361,705)
--------------------------------------------------------------------
<Caption>
PRINCIPAL
AMOUNT
- --------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS - 2.7%
U.S. TREASURY SECURITY -- 0.2%
$ 950 U.S. Treasury Notes & Bonds, 1.75%, 955
12/31/04 @ +
(Cost $954)
<Caption>
SHARES
- --------------------------------------------------------------------------------
MONEY MARKET FUND -- 2.5%
11,777 JPMorgan Prime Money Market Fund (a) + 11,777
(Cost $11,777)
Total Short-Term Investments 12,732
(Cost $12,731)
--------------------------------------------------------------------
TOTAL INVESTMENTS -- 100.0% $ 470,521
(COST $374,436)
--------------------------------------------------------------------
<Caption>
SHARES COLLATERAL INVESTMENTS VALUE
- --------------------------------------------------------------------------------
MONEY MARKET FUNDS (c)
1,877 Merrill Lynch Premier Fund $ 1,877
1,878 AIM Short Term Investment Co. 1,878
--------------------------------------------------------------------
$ 3,755
--------------------------------------------------------------------
</Table>
FUTURES CONTRACTS
(Amounts in thousands, except number of contracts)
<Table>
<Caption>
NOTIONAL UNREALIZED
NUMBER OF VALUE AT APPRECIATION/
CONTRACTS DESCRIPTION EXPIRATION DATE 12/31/03 (USD) (DEPRECIATION) (USD)
- -----------------------------------------------------------------------------------------------------------------------
LONG FUTURES OUTSTANDING
51 S&P 500 Index March, 2004 $ 14,160 $ 477
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
48
<Page>
Abbreviations:
* -- Non-income producing security.
^ -- Amount rounds to less than 0.1%.
^^ -- Amount rounds to less than one thousand.
+ -- All or a portion of this security is segregated with the custodian for
TBA, when issued, options, futures, delayed delivery securities or
swaps.
# -- All or a portion of this security is a 144A or private placement
security and can only be sold to qualified institutional buyers.
@ -- Security is fully or partially segregated with the broker 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.
(c) -- Investment of cash collateral for portfolio securities on loan.
(f) -- Fair valued investment. The following are apporximatley the market
value and percentage of the investments that are fair valued (amounts
in thousands):
<Table>
<Caption>
FUND MARKET VALUE PERCENTAGE
---------------------------------------
DF $ 46,423 8.94%
</Table>
(l) -- Security, or a portion of the security, has been delivered to a
counterparty as part of a security lending transaction.
ADR -- American Depositary Receipt.
AUD -- Australian Dollar.
CHF -- Swiss Franc.
CMBS -- Collateralized Mortgage Backed Security.
EUR -- Euro.
FNMA -- Federal National Mortgage Association.
FRA -- Forward Rate Agreement
FRN -- Floating Rate Note. The interest rate shown is the rate in effect as
of December 31, 2003.
GBP -- Great Britain Pound.
GDR -- Global Depositary Receipt.
GO -- General Obligation Bond.
HKD -- Hong Kong Dollar.
IO -- Interest Only.
JPY -- Japanese Yen.
LIBOR -- London Interbank Offered Rate.
MTN -- Medium Term Note.
NOK -- Norwegian Krone.
SEK -- Swedish Krona.
Ser. -- Series.
SGD -- Singapore Dollar.
SUB -- Step-Up Bond. The rate shown is the rate in effect as of December 31,
2003.
TBA -- To Be Announced.
USD -- United States Dollar.
SEE NOTES TO FINANCIAL STATEMENTS.
49
<Page>
JPMORGAN FUNDS
STATEMENT OF ASSETS AND LIABILITIES AS OF DECEMBER 31, 2003
(Amounts in thousands, except per share amounts)
<Table>
<Caption>
DISCIPLINED
EQUITY DIVERSIFIED
FUND FUND
ASSETS
Investment securities, at value $ 605,658 $ 519,256
Investments held as collateral for
securities lending program -- 2,719
Cash 65 489
Foreign currency, at value -- 7
Receivables:
Investment securities sold -- 41,539
Fund shares sold 262 2,017
Interest and dividends 884 1,704
Foreign tax reclaim -- 172
Variation margin 16 --
Unrealized appreciation on forward
foreign currency exchange contracts -- 271
Unrealized appreciation on open
swap contracts -- 727
Securities lending (net) 1 --^
Expense reimbursements 3 1
- ------------------------------------------------------------------------------
Total Assets 606,889 568,902
- ------------------------------------------------------------------------------
LIABILITIES
Payables:
Investment securities purchased -- 66,610
Collateral for securities
lending program -- 2,719
Fund shares redeemed 1,007 16,869
Variation margin -- 40
Unrealized depreciation on forward
foreign currency exchange contracts -- 216
Outstanding options written,
at fair value -- 118
Unrealized depreciation on open
swap contracts -- 111
Accrued liabilities:
Investment advisory fees 127 186
Administration fees -- 8
Shareholder servicing fees 51 35
Distribution fees -- 19
Custodian fees 35 57
Trustees' fees - deferred
compensation plan 2 32
Other 158 143
- ------------------------------------------------------------------------------
Total Liabilities 1,380 87,163
- ------------------------------------------------------------------------------
NET ASSETS 605,509 481,739
- ------------------------------------------------------------------------------
</Table>
^ Amount rounds to less than one thousand.
SEE NOTES TO FINANCIAL STATEMENTS.
50
<Page>
<Table>
<Caption>
DISCIPLINED
EQUITY DIVERSIFIED
FUND FUND
NET ASSETS
Paid in capital 970,461 499,131
Accumulated undistributed
(overdistributed) net investment income 13 (365)
Accumulated net realized gain (loss)
on investments, futures, foreign
exchange transactions, options
and swaps (532,402) (112,382)
Net unrealized appreciation
(depreciation) of investments, futures,
foreign exchange translations, options
and swaps 167,437 95,355
- ------------------------------------------------------------------------------
Total Net Assets $ 605,509 $ 481,739
- ------------------------------------------------------------------------------
Shares of beneficial interest outstanding ($0.001
par value; unlimited number of shares authorized):
Class A 142 3,596
Class B -- 1,131
Class C -- 56
Institutional 30,975 21,955
Select 5,736 10,889
Ultra 8,011 --
Net Asset Value:
Class A (and redemption price) $ 13.50 $ 12.79
Class B* $ -- $ 12.79
Class C* $ -- $ 12.80
Institutional (and redemption price) $ 13.49 $ 12.80
Select (and redemption price) $ 13.51 $ 12.81
Ultra Shares (and redemption price) $ 13.50 $ --
Class A Maximum Public Offering
Price Per Share (net asset value per
share/94.25%) $ 14.32 $ 13.57
Cost of investments $ 438,375 $ 424,607
Cost of foreign currency $ -- $ 7
- ------------------------------------------------------------------------------
Premiums received from options written $ -- $ 176
- ------------------------------------------------------------------------------
</Table>
* Redemption price may be reduced by contingent deferred sales charge.
SEE NOTES TO FINANCIAL STATEMENTS.
51
<Page>
<Table>
<Caption>
EQUITY EQUITY
GROWTH INCOME U.S. EQUITY
FUND FUND FUND
ASSETS
Investment securities, at value $ 70,621 $ 66,107 $ 470,521
Investments held as collateral for
securities lending program -- 47 3,755
Cash -- 26 65
Receivables:
Investment securities sold 164 1,059 2,151
Fund shares sold 81 20 389
Interest and dividends 55 141 543
Variation margin -- -- 37
Securities lending (net) -- --^ --^
Expense reimbursements -- 3 1
- ------------------------------------------------------------------------------------------
Total Assets 70,921 67,403 477,462
- ------------------------------------------------------------------------------------------
LIABILITIES
Payables:
Distributions --^ -- 155
Investment securities purchased 393 610 644
Collateral for securities
lending program -- 47 3,755
Fund shares redeemed 57 85 272
Accrued liabilities:
Investment advisory fees 21 17 156
Administration fees 5 3 23
Shareholder servicing fees 9 11 67
Distribution fees 6 7 32
Custodian fees 11 11 19
Trustees' fees - deferred
compensation plan 23 26 47
Other 77 72 156
- ------------------------------------------------------------------------------------------
Total Liabilities 602 889 5,326
- ------------------------------------------------------------------------------------------
NET ASSETS 70,319 66,514 472,136
- ------------------------------------------------------------------------------------------
</Table>
^ Amount rounds to less than one thousand.
SEE NOTES TO FINANCIAL STATEMENTS.
52
<Page>
<Table>
<Caption>
EQUITY EQUITY
GROWTH INCOME U.S. EQUITY
FUND FUND FUND
NET ASSETS
Paid in capital 131,217 75,656 488,464
Accumulated undistributed
(overdistributed) net investment income (23) (5) (48)
Accumulated net realized gain (loss)
on investments and futures (63,808) (19,581) (112,842)
Net unrealized appreciation
(depreciation) of investments and futures 2,933 10,444 96,562
- ------------------------------------------------------------------------------------------
Total Net Assets $ 70,319 $ 66,514 $ 472,136
- ------------------------------------------------------------------------------------------
Shares of beneficial interest outstanding ($0.001
par value; unlimited number of shares authorized):
Class A 726 536 4,983
Class B 334 310 2,963
Class C 33 117 521
Institutional -- -- 7,562
Select 1,444 1,415 31,221
Net Asset Value:
Class A (and redemption price) $ 27.56 $ 27.99 $ 10.01
Class B* $ 27.00 $ 27.95 $ 9.95
Class C* $ 26.98 $ 27.93 $ 9.95
Institutional (and redemption price) $ -- $ -- $ 9.99
Select (and redemption price) $ 27.99 $ 27.97 $ 9.99
Class A Maximum Public Offering
Price Per Share (net asset value per
share/94.25%) $ 29.24 $ 29.70 $ 10.62
- ------------------------------------------------------------------------------------------
Cost of investments $ 67,688 $ 55,663 $ 374,436
- ------------------------------------------------------------------------------------------
</Table>
* Redemption price may be reduced by contingent deferred sales charge.
SEE NOTES TO FINANCIAL STATEMENTS.
53
<Page>
JPMORGAN FUNDS
STATEMENT OF OPERATIONS FOR THE YEAR ENDED DECEMBER 31, 2003
(Amounts in thousands)
<Table>
<Caption>
DISCIPLINED
EQUITY DIVERSIFIED
FUND FUND
INVESTMENT INCOME
Interest $ 18 $ 6,028
Dividend 14,133 6,657
Dividend income from affiliated
investments* 115 423
Securities lending (net) 12 8
Other income -- --
Foreign taxes withheld -- (286)
- ------------------------------------------------------------------------------
Total investment income 14,278 12,830
- ------------------------------------------------------------------------------
EXPENSES
Investment advisory fees 2,329 3,036
Administration fees 1,272 828
Shareholder servicing fees 886 977
Distribution fees 6 166
Custodian fees 202 382
Interest expense -- 10
Printing and postage 67 44
Professional fees 98 134
Registration expenses 161 57
Transfer agent fees 100 229
Trustees' fees 10 7
Other 61 48
- ------------------------------------------------------------------------------
Total expenses 5,192 5,918
- ------------------------------------------------------------------------------
Less amounts waived 1,319 1,320
Less earnings credits 1 1
Less expense reimbursements 27 24
- ------------------------------------------------------------------------------
Net expenses 3,845 4,573
- ------------------------------------------------------------------------------
Net investment income (loss) 10,433 8,257
- ------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
54
<Page>
<Table>
<Caption>
DISCIPLINED
EQUITY DIVERSIFIED
FUND FUND
REALIZED AND UNREALIZED
GAIN (LOSS) ON INVESTMENTS
Net realized gain (loss) on
transactions from:
Investments 11,124 21,886
Futures 1,834 (716)
Foreign exchange contracts -- 545
Options -- 144
Swaps -- (279)
Change in net unrealized
appreciation/depreciation of:
Investments 196,821 74,931
Futures 277 454
Foreign currency translations -- 137
Options -- (96)
Swaps -- 851
Net realized and unrealized gain (loss)
on investments, futures, foreign
exchange transactions, options
and swaps 210,056 97,857
- ------------------------------------------------------------------------------
Net increase (decrease) in net assets
from operations $ 220,489 $ 106,114
- ------------------------------------------------------------------------------
* Includes reimbursements of
investment advisory, administration
and shareholder servicing fees: $ 17 $ 64
- ------------------------------------------------------------------------------
</Table>
^ Amount rounds to less than one thousand.
SEE NOTES TO FINANCIAL STATEMENTS.
55
<Page>
<Table>
<Caption>
EQUITY EQUITY
GROWTH INCOME U.S. EQUITY
FUND FUND FUND
INVESTMENT INCOME
Interest $ -- $ -- $ 14
Dividend 721 2,366 6,259
Dividend income from affiliated
investments* 9 7 94
Securities lending (net) -- 2 16
Other income -- -- --
Foreign taxes withheld (6) (1) --
- ------------------------------------------------------------------------------------------
Total investment income 724 2,374 6,383
- ------------------------------------------------------------------------------------------
EXPENSES
Investment advisory fees 338 256 1,645
Administration fees 101 96 617
Shareholder servicing fees 169 160 919
Distribution fees 118 117 314
Custodian fees 75 64 98
Printing and postage 12 10 47
Professional fees 50 51 101
Registration expenses 42 41 80
Transfer agent fees 193 168 393
Trustees' fees 1 1 5
Other 9 8 35
- ------------------------------------------------------------------------------------------
Total expenses 1,108 972 4,254
- ------------------------------------------------------------------------------------------
Less amounts waived 238 194 624
Less earnings credits -- --^ --^
Less expense reimbursements 55 58 115
- ------------------------------------------------------------------------------------------
Net expenses 815 720 3,515
- ------------------------------------------------------------------------------------------
Net investment income (loss) (91) 1,654 2,868
- ------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
56
<Page>
<Table>
<Caption>
EQUITY EQUITY
GROWTH INCOME U.S. EQUITY
FUND FUND FUND
REALIZED AND UNREALIZED
GAIN (LOSS) ON INVESTMENTS
Net realized gain (loss) on
transactions from:
Investments (11,740) (95) 11,985
Futures -- -- 1,888
Change in net unrealized
appreciation/depreciation of:
Investments 24,434 12,073 102,186
Futures -- -- 643
Net realized and unrealized gain (loss)
on investments and futures 12,694 11,978 116,702
- ------------------------------------------------------------------------------------------
Net increase (decrease) in net assets
from operations $ 12,603 $ 13,632 $ 119,570
- ------------------------------------------------------------------------------------------
* Includes reimbursements of
investment advisory, administration
and shareholder servicing fees : $ 1 $ 1 $ 14
- ------------------------------------------------------------------------------------------
</Table>
^ Amount rounds to less than one thousand.
SEE NOTES TO FINANCIAL STATEMENTS.
57
<Page>
JPMORGAN FUNDS
STATEMENT OF CHANGES IN NET ASSETS FOR THE PERIODS INDICATED
(Amounts in thousands)
<Table>
<Caption>
DISCIPLINED EQUITY FUND DIVERSIFIED FUND
----------------------- -----------------------
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
12/31/03 12/31/02 12/31/03 12/31/02
INCREASE (DECREASE) IN NET
ASSETS FROM OPERATIONS
Net investment income (loss) $ 10,433 $ 12,035 $ 8,257 $ 11,171
Net realized gain (loss) on
investments, futures, foreign exchange
transactions, options and swaps 12,958 (192,436) 21,580 (48,600)
Change in net unrealized appreciation
(depreciation) of investments, futures,
foreign exchange translations, options
and swaps 197,098 (143,492) 76,277 (46,496)
- ------------------------------------------------------------------------------------------------------
Increase (decrease) in net assets
from operations 220,489 (323,893) 106,114 (83,925)
- ------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO
SHAREHOLDERS FROM
Net investment income (10,377) (12,444) (8,975) (12,137)
Return of capital (90) -- -- --
- ------------------------------------------------------------------------------------------------------
Total distributions to shareholders (10,467) (12,444) (8,975) (12,137)
- ------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS
Increase (decrease) from capital
share transactions (595,745) 31,126 (140,046) (227,717)
- ------------------------------------------------------------------------------------------------------
Total increase (decrease) in
net assets (385,723) (305,211) (42,907) (323,779)
- ------------------------------------------------------------------------------------------------------
NET ASSETS
Beginning of period 991,232 1,296,443 524,646 848,425
- ------------------------------------------------------------------------------------------------------
End of period $ 605,509 $ 991,232 $ 481,739 $ 524,646
- ------------------------------------------------------------------------------------------------------
Accumulated undistributed
(overdistributed) net
investment income $ 13 $ 1 $ (365) $ 31
- ------------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
58
<Page>
<Table>
<Caption>
EQUITY GROWTH FUND EQUITY INCOME FUND
----------------------- -----------------------
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
12/31/03 12/31/02 12/31/03 12/31/02
INCREASE (DECREASE) IN NET
ASSETS FROM OPERATIONS
Net investment income $ (91) $ (132) $ 1,654 $ 920
Net realized gain (loss) on investments (11,740) (17,649) (95) (19,323)
Change in net unrealized appreciation
(depreciation) of investments 24,434 (14,593) 12,073 (2,718)
- ------------------------------------------------------------------------------------------------------
Increase (decrease) in net assets
from operations 12,603 (32,374) 13,632 (21,121)
- ------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO
SHAREHOLDERS FROM
Net investment income -- -- (1,573) (984)
Net realized gain on
investment transactions -- -- -- (1,815)
Return of capital -- -- (80) --
- ------------------------------------------------------------------------------------------------------
Total distributions to shareholders -- -- (1,653) (2,799)
- ------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS
Increase (decrease) from capital
share transactions (9,898) (35,293) (12,681) (22,644)
- ------------------------------------------------------------------------------------------------------
Total increase (decrease) in
net assets 2,705 (67,667) (702) (46,564)
- ------------------------------------------------------------------------------------------------------
NET ASSETS
Beginning of period 67,614 135,281 67,216 113,780
- ------------------------------------------------------------------------------------------------------
End of period $ 70,319 $ 67,614 $ 66,514 $ 67,216
- ------------------------------------------------------------------------------------------------------
Accumulated undistributed
(overdistributed) net
investment income $ (23) $ (26) $ (5) $ (24)
- ------------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
59
<Page>
<Table>
<Caption>
U.S. EQUITY FUND
-----------------------
YEAR ENDED YEAR ENDED
12/31/03 12/31/02
INCREASE (DECREASE) IN NET
ASSETS FROM OPERATIONS
Net investment income $ 2,868 $ 2,223
Net realized gain (loss) on
investments and futures 13,873 (48,552)
Change in net unrealized appreciation
(depreciation) of investments and futures 102,829 (85,270)
- ----------------------------------------------------------------------------
Increase (decrease) in net assets
from operations 119,570 (131,599)
- ----------------------------------------------------------------------------
DISTRIBUTIONS TO
SHAREHOLDERS FROM
Net investment income (3,368) (2,461)
- ----------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS
Increase (decrease) from capital
share transactions 10,622 (33,060)
- ----------------------------------------------------------------------------
Total increase (decrease) in
net assets 126,824 (167,120)
- ----------------------------------------------------------------------------
NET ASSETS
Beginning of period 345,312 512,432
- ----------------------------------------------------------------------------
End of period $ 472,136 $ 345,312
- ----------------------------------------------------------------------------
Accumulated undistributed
(overdistributed) net
investment income $ (48) $ 13
- ----------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
60
<Page>
JPMORGAN FUNDS
NOTES TO FINANCIAL STATEMENTS
1. ORGANIZATION
J.P. Morgan Institutional Funds ("JPMIF") and J.P. Morgan Mutual Fund Investment
Trust ("JPMMFIT") were organized on November 4, 1992, and September 23, 1997,
respectively, as Massachusetts business trusts and are registered under the
Investment Company Act of 1940, as amended, (the "1940 Act"), as open-end
management investment companies.
The following are five separate portfolios
(collectively, the "Funds") of the JPMIF and JPMMFIT (the "Trusts"):
<Table>
<Caption>
FUND CLASSES OFFERED
JPMorgan Disciplined Equity Fund ("DEF") Class A, Institutional, Select and Ultra
JPMorgan Diversified Fund ("DF") Class A, Class B, Class C, Institutional and Select
JPMorgan Equity Growth Fund ("EGF") Class A, Class B, Class C and Select
JPMorgan Equity Income Fund ("EIF") Class A, Class B, Class C and Select
JPMorgan U.S. Equity Fund ("USEF") Class A, Class B, Class C, Institutional and Select
</Table>
JPMMFIT was formerly named Mutual Fund Investment Trust. The name change went
into effect on May 1, 2003.
DEF, DF and USEF are separate series of JPMIF. EGF and EIF are separate series
of JPMMFIT.
On September 12, 2003, Class B shares of DEF were closed.
Class A shares generally provide for a front-end sales charge while Class B and
Class C shares provide for a contingent deferred sales charge. Class B shares
automatically convert to Class A shares after eight years. No sales charges are
assessed with respect to the Institutional Class, Select Class and the Ultra
Class. All classes of shares have equal rights as to earnings, assets and voting
privileges except that each class may bear different transfer agent,
distribution and shareholder servicing fees and each class has exclusive voting
rights with respect to its distribution plan and shareholder servicing
agreements. Class A shares, for which front-end sales charges have been waived,
may be subject to redemption charges as described in the Funds' prospectus.
During the fiscal year ended December 31, 2003, DEF delivered securities
(Redemption in-kind) in exchange for the redemption of shares. Securities were
transferred at market value, which resulted in no realized gain or loss to the
Fund for federal tax purposes, as detailed below (amounts in thousands):
<Table>
<Caption>
DATE MARKET VALUE
FUND
DEF 6/26/03 $ 167,788
7/1/03 238,160
11/18/03 6,291
</Table>
61
<Page>
2. REORGANIZATIONS
Prior to the open of business on March 24, 2003, USEF acquired all the net
assets of JPMorgan Core Equity Fund ("CEF") and JPMorgan Focus Fund ("FF"), DF
acquired all the net assets of JPMorgan Balanced Fund ("BF") and DEF acquired
all the net assets of JPMorgan SmartIndex(TM) Fund ("SF"). DEF, DF and USEF are
hereafter collectively referred to as the "Acquiring Funds". CEF, FF, BF and SF
are hereafter collectively referred to as the "Target Funds". These
reorganizations were pursuant to Reorganization Plans approved by the Target
Funds' shareholders on February 13, 2003. The transactions were structured for
tax purposes to qualify as tax-free reorganizations under the Internal Revenue
Code. Under each Reorganization Plan, shareholders of the Target Funds received
shares in the Acquiring Funds with a value equal to their holdings in the Target
Funds. Shareholders of the Acquiring Funds retained the same amount of shares
that they currently owned prior to the Reorganization Plans.
The reorganization of SF into DEF resulted in the creation of a new share class.
The DEF-Ultra Class assumed all of the net assets of the SmartIndex(TM) Fund.
The following is a summary of Shares Outstanding, Net Assets, Net Asset Values
Per Share and Net Unrealized Appreciation (Depreciation) immediately before and
after the reorganization (amounts in thousands, except per share
amounts):
JPMORGAN DISCIPLINED EQUITY FUND REORGANIZATION
<Table>
<Caption>
NET ASSET NET UNREALIZED
SHARES VALUE APPRECIATION
OUTSTANDING NET ASSETS PER SHARE (DEPRECIATION)
TARGET FUND
JPMorgan SmartIndex(TM) Fund $ 4,742
Institutional 17,766 $ 186,589 $ 10.50
ACQUIRING FUND
JPMorgan Disciplined Equity Fund $ 21,666
Class A 207 $ 2,227 $ 10.75
Class B 33 $ 354 $ 10.74
Select Class 5,690 $ 61,307 $ 10.77
Institutional Class 81,334 $ 875,880 $ 10.77
POST REORGANIZATION
JPMorgan Disciplined Equity Fund $ 26,408
Class A 207 $ 2,227 $ 10.75
Class B 33 $ 354 $ 10.74
Select Class 5,690 $ 61,307 $ 10.77
Institutional Class 81,334 $ 875,880 $ 10.77
Ultra Class 17,321 $ 186,589 $ 10.77
</Table>
62
<Page>
<Table>
<Caption>
JPMORGAN DIVERSIFIED FUND REORGANIZATION
NET
NET ASSET UNREALIZED
SHARES VALUE APPRECIATION
OUTSTANDING NET ASSETS PER SHARE (DEPRECIATION)
TARGET FUND
JPMorgan Balanced Fund $ (3,247)
Class A 1,766 $ 41,788 $ 23.67
Class B 527 $ 12,459 $ 23.62
Class C 28 $ 668 $ 23.62
Select 391 $ 9,290 $ 23.76
ACQUIRING FUND
JPMorgan Diversified Fund $ 29,817
Institutional 23,466 $ 252,713 $ 10.77
Select 22,946 $ 247,123 $ 10.77
POST REORGANIZATION
JPMorgan Diversified Fund $ 26,570
Class A 3,881 $ 41,788 $ 10.77
Class B 1,157 $ 12,459 $ 10.77
Class C 62 $ 668 $ 10.77
Institutional 23,466 $ 252,713 $ 10.77
Select 23,809 $ 256,413 $ 10.77
</Table>
63
<Page>
<Table>
<Caption>
NET
NET ASSET UNREALIZED
SHARES VALUE APPRECIATION
OUTSTANDING NET ASSETS PER SHARE (DEPRECIATION)
TARGET FUNDS
JPMorgan Focus Fund $ (1,015)
Class A 756 $ 3,466 $ 4.58
Class B 1,012 $ 4,512 $ 4.46
Class C 229 $ 1,021 $ 4.46
Select Class 8 $ 38 $ 4.63
JPMorgan Core Equity Fund $ (3,567)
Class A 679 $ 11,566 $ 17.03
Class B 646 $ 10,842 $ 16.78
Class C 181 $ 3,045 $ 16.78
Select Class 1,805 $ 31,030 $ 17.19
ACQUIRING FUND
JPMorgan U.S. Equity Fund $ 13,511
Class A 3,657 $ 28,544 $ 7.81
Class B 1,370 $ 10,643 $ 7.77
Class C 76 $ 594 $ 7.77
Select Class 28,662 $ 223,532 $ 7.80
Institutional Class 10,698 $ 83,440 $ 7.80
POST REORGANIZATION
JPMorgan U.S. Equity Fund $ 8,929
Class A 5,582 $ 43,576 $ 7.81
Class B 3,346 $ 25,997 $ 7.77
Class C 600 $ 4,660 $ 7.77
Select Class 32,646 $ 254,600 $ 7.80
Institutional Class 10,698 $ 83,440 $ 7.80
</Table>
3. SIGNIFICANT ACCOUNTING POLICIES
THE FOLLOWING IS A SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES FOLLOWED BY THE
FUNDS:
The preparation of financial statements in accordance with accounting principles
generally accepted in the United States of America requires management to make
estimates and assumptions that affect the reported amounts and disclosures in
the financial statements. Actual results could differ from those estimates.
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
64
<Page>
of 61 days or more at the purchase date 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. 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. In accordance with
procedures adopted by the Trustees, the Fund applies fair value pricing on a
daily basis for all non-U.S. and non-Canadian equity securities held in its
portfolio by utilizing the quotations of an independent pricing service, unless
the Fund's advisor, J.P. Morgan Investment Management Inc. ("JPMIM" or the
"Advisor"), determines that use of another valuation methodology is appropriate.
The pricing service uses statistical analyses and quantitative models to adjust
local market prices using factors such as subsequent movements and changes in
the prices of indices, securities, and exchange rates in other markets, in
determining fair value as of the time a Fund calculates its net asset value.
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, at which time a realized
gain or loss is recognized.
Index futures contracts are used to control the asset mix of the portfolios in
the most efficient manner. Short index futures contracts are used for hedging
purposes, i.e., to reduce the exposure to equities. Long index futures contracts
are used to gain exposure to equities, when it is anticipated that this will be
more efficient than buying stocks directly.
Use of long futures contracts subjects the Fund to risk of loss in excess of
amounts shown on the Statement of Assets and Liabilities, up to the notional
value of the futures contract. Use of short futures contracts subject the Fund
to unlimited risk. The Funds may enter into futures contracts only on exchanges
or boards of trade. The exchange or board of trade acts as the counterparty to
each futures transaction; therefore, the Fund's credit risk is limited to
failure of the exchange or board of trade.
As of December 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
65
<Page>
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 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 Funds record a realized gain or loss equal to the difference between
the proceeds from (or cost of) the closing transaction and the Funds' 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 December 31, 2003, the Funds had outstanding forward foreign currency
contracts as listed on the Funds' Portfolio of Investments.
E. WRITTEN OPTIONS -- When the Fund writes an option, an amount equal to the
premium received by the Fund is included in the Fund's Statement of Assets and
Liabilities as an asset and corresponding liability. The amount of the liability
is adjusted daily to reflect the current market value of the written option and
the change is recorded in a corresponding unrealized gain or loss account. When
a written option expires on its stipulated expiration date, or when a closing
transaction is entered into, the related liability is extinguished and the fund
realizes a gain or loss contingent on whether the cost of the closing
transaction exceeds the premium received when the option was written.
The 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 by
paying the premium at the inception of the contract.
As of December 31, 2003, the Funds had written options contracts outstanding as
listed on the Funds' Portfolio of Investments.
Transactions in options written during the period ended December 31, 2003, were
as follows (amounts in thousands):
<Table>
<Caption>
DF
-----------------------
NUMBER OF PREMIUMS
UNITS RECEIVED
Options outstanding at
December 31, 2002 (40,800) $ 432
Options written (369,800) 2,017
Options terminated in closing
purchase transactions 363,300 (2,273)
Options exercised -- --
Options outstanding at
December 31, 2003 (47,300) $ 176
</Table>
66
<Page>
F. SWAPS -- The Funds may engage in various swap transactions, including forward
rate agreements, interest rate, currency, fixed income, index and total return
swaps in order to obtain a desired return at a lower cost than if the Funds had
invested directly in the asset that yielded the desired return. Unrealized gains
are reported as an asset and unrealized losses are reported as a liability on
the Statement of Assets and Liabilities. The change in the value of the swaps,
including the periodic amounts of 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 payment or receipt of a periodic payment
or termination of swap agreement. 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 December 31, 2003, the Funds had outstanding swap agreements as listed on
the Funds' Portfolio of investments. Swap transactions present risk of loss in
excess of the related amounts included in the Statement of Assets & Liabilities.
G. COMMITMENTS -- The Funds may enter into commitments to buy and sell
investments to settle on future dates as part of their normal investment
activities. These commitments are reported at market value in the financial
statements. Credit risk exists on these commitments to the extent of any
unrealized gains on the underlying securities purchased and any realized gains
on the underlying securities sold. Market risk exists on commitments to buy to
the same extent as if the securities were owned on a settled basis and gains and
losses are recorded and reported in the same manner. However, during the
commitment period, these investments earn no interest or dividends.
H. DOLLAR ROLLS -- The 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. The Funds 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 December 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 its TBA
Dollar Rolls.
I. 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.
J. SECURITIES ON LOAN -- For all the Funds, the Board of Trustees has approved
the lending of securities, through its custodian JPMorgan Chase Bank ("JPMCB")
an affiliate of the Funds, acting as lending agent to certain borrowers. By
lending investment securities, the 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, in the case of fixed income securities, any accrued
but unpaid
67
<Page>
interest thereon. 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 December 31, 2003, the market value of securities loaned and the amount of
collateral received were as follows (amounts in thousands):
<Table>
<Caption>
MARKET VALUE OF MARKET VALUE OF
SECURITIES LOANED COLLATERAL RECEIVED
FUND
DEF $ -- $ --
DF 2,635 2,719
EGF -- --
EIF 46 47
USEF 3,653 3,755
</Table>
JPMCB as lending agent receives a fee of 0.06% of the average dollar value of
loans of U.S. securities outstanding during a given month and 0.1142% of the
average dollar value of loans on non-U.S. securities outstanding during a given
month from the Funds as detailed below (amounts in thousands):
<Table>
FUND
DEF $ 8
DF 4
EGF --
EIF 2
USEF 9
</Table>
Risks of delay in recovery of securities or even loss of rights in the
securities 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 collateral received. JPMCB will indemnify the
Fund from any loss resulting from a borrower's failure to return a loaned
security when due.
K. SECURITY TRANSACTIONS AND INVESTMENT INCOME -- Investment transactions are
accounted for on the trade date (the date the order to buy or sell is executed).
Securities gains and losses are calculated on the identified cost basis.
Interest income is determined on the basis of coupon interest accrued using the
interest method adjusted for amortization of premiums and accretion of
discounts. Dividend income less foreign taxes withheld (if any) is recorded on
the ex-dividend date or when the Fund first learns of the dividend.
L. 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.
M. FEDERAL INCOME TAXES -- Each Fund is treated as a separate taxable entity for
Federal income tax purposes. The Fund's policy is to comply with the provisions
of the Internal Revenue Code applicable to regulated investment companies and to
distribute to shareholders all of its distributable net investment income and
net realized gain on investments. In addition, the Funds intend to make
distributions as required to avoid excise taxes. Accordingly, no provision for
Federal income or excise tax is necessary.
N. FOREIGN TAXES -- The 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 its
current interpretation of tax rules and regulations that exist in the markets in
which it invests.
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<Page>
O. DISTRIBUTIONS TO SHAREHOLDERS -- Dividends and distributions paid to
shareholders are recorded on the ex-dividend date. The amount of dividends and
distributions from net investment income and net realized capital gains is
determined in accordance with Federal income tax regulations, which may differ
from accounting principles generally accepted in the United States of America.
To the extent these "book/tax" differences are permanent in nature (i.e., that
they result from other than timing of recognition -- "temporary differences")
such amounts are reclassified within the capital accounts based on their Federal
tax-basis treatment.
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
DEF $ 85,249 $ 46 $ (85,295)
DF 17,897 322 (18,219)
EGF (94) 94 --
EIF (80) 18 62
USEF 28,670 439 (29,109)
</Table>
The reclassifications for DEF relate primarily to the character for the tax
purposes of redemptions-in-kind, the acquired funds temporary differences, the
distributions received from investments in REITs, and return of capital. The
reclassifications for DF relate primarily to the character for the tax purposes
of foreign currency gain/loss, PFIC sale adjustments, the acquired funds
temporary differences, paydown gain/loss and distributions received from REITs.
The reclassifications for EGF relate primarily to the character for the tax
purposes of current year non-deductible net operating losses. The
reclassifications for EIF relate primarily to the character for the tax purposes
of distributions received from investments in REITs. The reclassifications for
USEF relate primarily to the character for the tax purposes of dividends paid
and the acquired funds temporary differences.
P. OTHER EXPENSES -- Other expenses in the Statement of Operations include fees
related to line of credit, insurance, pricing and reporting services.
4. FEES AND OTHER TRANSACTIONS WITH AFFILIATES
A. INVESTMENT ADVISORY FEE -- Pursuant to the Investment Advisory Agreement,
JPMIM 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 EGF and EIF. 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.
69
<Page>
The annual fee for each Fund is as follows:
<Table>
<Caption>
INVESTMENT
ADVISORY FEE (%)
FUND
DEF 0.25%*
DF 0.55%
EGF 0.50%
EIF 0.40%
USEF 0.40%
</Table>
* Effective March 21, 2003, the Investment Advisor fee was changed from 0.35%
to 0.25%.
The Advisors waived fees as outlined in Note 4.F.
The Funds may invest in one or more of the affiliated JPMorgan Money Market
Funds. The Advisor has agreed to waive and/or reimburse its advisory fee from
the Funds in an amount sufficient to offset any doubling up of investment
advisory, administration and shareholder servicing fees related to each Fund's
investment in an affiliated money market fund.
B. DISTRIBUTION FEE -- Pursuant to a Distribution Agreement, J.P. Morgan Fund
Distributors, Inc. ("JPMFD" or "Distributor"), a wholly-owned subsidiary of The
BISYS Group, Inc., serves as the Trusts' exclusive underwriter and promotes and
arranges for the sale of each Fund's shares. JPMFD receives no compensation in
its capacity as the Funds' underwriter.
The Trustees have adopted Distribution Plans (the "Distribution Plans") for
Class A, B, and C Shares of the Funds in accordance with Rule 12b-1 under the
1940 Act. The Distribution Plans provide that each Fund shall pay distribution
fees, including payments to the Distributor, at annual rates of the average
daily net assets as shown in the table below (%):
<Table>
<Caption>
CLASS A CLASS B CLASS C
FUND
DEF 0.25 n/a n/a
DF 0.25 0.75 0.75
EGF 0.25 0.75 0.75
EIF 0.25 0.75 0.75
USEF 0.25 0.75 0.75
</Table>
In addition, JPMFD is entitled to receive the contingent deferred sales charge
("CDSC") from redemptions of Class B and C shares.
The Distributor waived fees as outlined in 4.F.
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<Page>
C. SHAREHOLDER SERVICING FEE -- 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 shareholders. For performing these services, JPMCB
receives a fee that is computed daily and paid monthly equal to a percentage of
the average daily net assets as shown in the table below (%):
<Table>
<Caption>
INSTITUTIONAL SELECT ULTRA
CLASS A CLASS B CLASS C CLASS CLASS CLASS
- ------------------------------------------------------------------------------------------
FUND
DEF 0.25 n/a n/a 0.10 0.25 0.05
DF 0.25 0.25 0.25 0.10 0.25 n/a
EGF 0.25 0.25 0.25 n/a 0.25 n/a
EIF 0.25 0.25 0.25 n/a 0.25 n/a
USEF 0.25 0.25 0.25 0.10 0.25 n/a
</Table>
JPMCB may enter into services contracts with certain entities under which it
will pay all or a portion of the annual fee to such entities for performing
shareholdings and administrative services.
In addition, JPMCB, Charles Schwab & Co. ("Schwab"), and JPMIF and JPMMFIT are
parties to separate services 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 relationship between JPMIF and JPMMFIT with
JPMCB is terminated, the Funds would be responsible for the ongoing payments to
Schwab with respect to pre-termination shares.
The Shareholder Servicing Agents waived fees as outlined in Note 4.F.
D. CUSTODIAN AND ACCOUNTING FEES -- JPMCB provides portfolio custody and
portfolio accounting services for all the Funds, except for EGF. Compensation
for such services is presented in the Statement of Operations as custodian fees.
The custodian fees may be reduced by credits earned by each Fund, based on the
uninvested cash balances held by the custodian. Such earning credits are
presented separately in the Statement of Operations.
E. ADMINISTRATION FEE -- Pursuant to the Administration Agreement, JPMCB (the
"Administrator") provides certain administration services to the Funds. In
consideration of these services, the Administrator receives a fee computed daily
and paid monthly at the annual rate equal to 0.15% of the first $25 billion of
the average daily net assets of all non-money market funds in the JPMorgan Fund
Complex and 0.075% of the average daily net assets in excess of $25 billion for
all of the Funds.
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,
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<Page>
extraordinary expenses and expenses related to the deferred compensation plan)
exceed the percentages of their respective average daily net assets as shown in
the table below (%):
<Table>
<Caption>
INSTITUTIONAL SELECT ULTRA
CLASS A CLASS B CLASS C CLASS CLASS CLASS
FUND
DEF 0.95 n/a n/a 0.45 0.75 0.35
DF 1.25 1.93 1.93 0.65 0.98 n/a
EGF 1.25 1.98 1.98 n/a 1.00 n/a
EIF 1.25 1.75 1.75 n/a 0.90 n/a
USEF 1.05 1.75 1.75 0.64 0.79 n/a
</Table>
The expense limitation percentages in the table above are due to expire as
follows:
<Table>
<Caption>
INSTITUTIONAL SELECT ULTRA
CLASS A CLASS B CLASS C CLASS CLASS CLASS
FUND
DEF 4/30/05 n/a n/a 4/30/05 4/30/05 4/30/05
DF 4/30/06 4/30/06 4/30/06 4/30/05 4/30/06 n/a
EGF 4/30/05 4/30/05 4/30/05 n/a 4/30/05 n/a
EIF 4/30/05 4/30/05 4/30/05 n/a 4/30/05 n/a
USEF 4/30/05 4/30/05 4/30/05 4/30/05 4/30/05 n/a
</Table>
The Administrator waived fees and reimbursed expenses as outlined in Note 4.F.
F. WAIVERS AND REIMBURSEMENTS -- For the year ended December 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 DISTRIBUTION TOTAL REIMBURSEMENTS
FUND
DEF $ 13 $ 991 $ 264 $ -- $ 1,268 $ 27
DF 552 263 351 -- 1,166 24
EGF 101 36 55 46 238 55
EIF 64 67 27 36 194 58
USEF -- 367 257 -- 624 115
Total $ 730 $ 1,724 $ 954 $ 82 $ 3,490 $ 279
</Table>
72
<Page>
<Table>
<Caption>
VOLUNTARY WAIVERS
----------------------------------------------------------
INVESTMENT SHAREHOLDER
ADVISORY ADMINISTRATION SERVICING DISTRIBUTION TOTAL
FUND
DEF $ -- $ 51 $ -- $ -- $ 51
DF -- 154 -- -- 154
Total $ -- $ 205 $ -- $ -- $ 205
</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 were affiliated with the Advisors.
The Funds may use related party broker dealers. For the year ended December 31,
2003, DF and USEF incurred approximately (in thousands) $--^ and $2,
respectively, as brokerage 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.
^ Amount rounds to less than one thousand.
73
<Page>
5. CLASS SPECIFIC EXPENSES
The Funds' class specific expenses for the year ended December 31, 2003, are as
follows (amounts in thousands):
<Table>
<Caption>
SHAREHOLDER
FUND SERVICING DISTRIBUTION TRANSFER AGENT
DEF
Class A $ 4 $ 4 $ 23
Class B^^ 1 2 3
Institutional 651 -- 26
Select 166 -- 36
Ultra 64 -- 12
- ---------------------------------------------------------------------------------------------
Total $ 886 $ 6 $ 100
DF
Class A $ 85 $ 85 $ 125
Class B 26 77 38
Class C 1 4 2
Institutional 269 -- 18
Select 596 -- 46
- ---------------------------------------------------------------------------------------------
Total $ 977 $ 166 $ 229
EGF
Class A $ 46 $ 46 $ 121
Class B 22 65 57
Class C 2 7 6
Select 99 -- 9
- ---------------------------------------------------------------------------------------------
Total $ 169 $ 118 $ 193
EIF
Class A $ 36 $ 36 $ 88
Class B 20 60 49
Class C 7 21 17
Select 97 -- 14
- ---------------------------------------------------------------------------------------------
Total $ 160 $ 117 $ 168
USEF
Class A $ 105 $ 105 $ 170
Class B 60 179 96
Class C 10 30 16
Institutional 73 -- 19
Select 671 -- 92
- ---------------------------------------------------------------------------------------------
Total $ 919 $ 314 $ 393
- ---------------------------------------------------------------------------------------------
</Table>
^^ Class ceased operations as of September 12, 2003.
74
<Page>
6. CLASS SPECIFIC DISTRIBUTIONS
The Funds' class specific distributions from net investment income and realized
gain on investment transactions for the year ended December 31, 2003, and the
year ended December 31, 2002, are as follows (amounts in thousands):
<Table>
<Caption>
YEAR ENDED 12/31/03 YEAR ENDED 12/31/02
---------------------------------- ----------------------------------
NET NET
INVESTMENT INCOME REALIZED GAIN INVESTMENT INCOME REALIZED GAIN
DEF
Class A $ 13 $ -- $ 16 $ --
Class B^^ -- -- 1 --
Institutional 8,027 -- 11,734 --
Select 730 -- 693 --
Ultra 1,697 -- -- --
- ---------------------------------------------------------------------------------------------------------
Total $ 10,467 $ -- $ 12,444 $ --
DF
Class A $ 463 $ -- $ -- $ --
Class B 77 -- -- --
Class C 4 -- -- --
Institutional 5,104 -- 6,452 --
Select 3,327 -- 5,685 --
- ---------------------------------------------------------------------------------------------------------
Total $ 8,975 $ -- $ 12,137 $ --
EIF
Class A $ 346 $ -- $ 204 $ 427
Class B 149 -- 66 234
Class C 55 -- 21 66
Select 1,103 -- 693 1,088
- ---------------------------------------------------------------------------------------------------------
Total $ 1,653 $ -- $ 984 $ 1,815
USEF
Class A $ 248 $ -- $ 127 $ --
Class B 1 -- 2 --
Class C 1 -- -- --
Institutional 740 -- 655 --
Select 2,378 -- 1,677 --
- ---------------------------------------------------------------------------------------------------------
Total $ 3,368 $ -- $ 2,461 $ --
- ---------------------------------------------------------------------------------------------------------
</Table>
^^ Class ceased operations as of September 12, 2003.
75
<Page>
7. INVESTMENT TRANSACTIONS
For the year ended December 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
DEF $ 645,631 $ 1,246,317 $ -- $ --
DF 190,326 272,036 910,911 981,734
EGF 54,023 63,885 -- --
EIF 10,418 23,641 -- --
USEF 416,520 404,388 954 790
</Table>
8. FEDERAL INCOME TAX MATTERS
For Federal income tax purposes, the cost and unrealized appreciation
(depreciation) in value of the investment securities at December 31, 2003, were
as follows (amounts in thousands):
<Table>
<Caption>
GROSS GROSS NET UNREALIZED
AGGREGATE UNREALIZED UNREALIZED APPRECIATION/
COST APPRECIATION DEPRECIATION (DEPRECIATION)
FUND
DEF $ 464,277 $ 142,725 $ (1,344) $ 141,381
DF 436,393 86,590 (3,727) 82,863
EGF 72,719 1,854 (3,952) (2,098)
EIF 55,766 11,101 (760) 10,341
USEF 384,331 93,753 (7,563) 86,190
</Table>
The tax character of distributions paid during the years ended December 31, 2003
and December 31, 2002 were as follows (amounts in thousands):
YEAR ENDED 12/31/03
<Table>
<Caption>
ORDINARY LONG-TERM RETURN OF TOTAL
INCOME CAPITAL GAIN CAPITAL DISTRIBUTIONS
DEF $ 10,377 $ -- $ 90 $ 10,467
DF 8,975 -- -- 8,975
EGF -- -- -- --
EIF 1,573 -- 80 1,653
USEF 3,368 -- -- 3,368
</Table>
76
<Page>
YEAR ENDED 12/31/02
<Table>
<Caption>
ORDINARY LONG-TERM RETURN OF TOTAL
INCOME CAPITAL GAIN CAPITAL DISTRIBUTIONS
DEF $ 12,444 $ -- $ -- $ 12,444
DF 12,137 -- -- 12,137
EGF -- -- -- --
EIF 984 1,815 -- 2,799
USEF 2,461 -- -- 2,461
</Table>
At December 31, 2003, the components of net assets (excluding paid in capital)
on a tax basis are as follows (amounts in thousands):
<Table>
<Caption>
DEF DF EGF EIF USEF
Current distributable ordinary income $ -- $ 189 $ -- $ -- $ --
Plus/Less: cumulative timing differences (2) (32) (23) (26) (47)
Undistributed ordinary income or
overdistribution of ordinary income $ (2) $ 157 $ (23) $ (26) $ (47)
Current distributable long-term capital
gain or tax basis capital loss carryover (506,332) (101,060) (58,777) (19,458) (102,471)
Plus/Less: cumulative timing differences -- -- -- -- --
Undistributed long-term gains/
accumulated capital loss (506,332) (101,060) (58,777) (19,458) (102,471)
Unrealized appreciation (depreciation) $ 141,382 $ 83,511 $ (2,098) $ 10,342 $ 86,190
</Table>
For USEF, the differences between book and tax basis unrealized
appreciation/depreciation are primarily attributable to wash sales and the mark
to market of futures. For DEF, the difference between book and tax basis
unrealized appreciation/depreciation are primarily attributable to wash sales,
REIT basis adjustment and mark to market futures. For DF, the difference between
book and tax basis unrealized appreciation/depreciation are primarily
attributable to mark to market of futures, mark to market of forward foreign
currency exchange contracts, mark to market of passive foreign investment
companies, current year straddle loss deferrals, wash sales, and REIT basis
adjustments. For EGF, the difference between book and tax basis unrealized
appreciation/depreciation are primarily attributable to wash sales. For EIF, the
difference between book and tax basis unrealized appreciation/depreciation are
primarily attributable to wash sales and REIT basis adjustments. For EIF, the
difference between book and tax basis unrealized appreciation/depreciation are
primarily attributable to wash sales and mark to market futures.
For DEF, DF, EGF, EIF and USEF, the cumulative timing difference account
primarily consists of Trustees' deferred compensation.
77
<Page>
At December 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
DEF $ 4,772 December 31, 2007
59,182 December 31, 2008
199,716 December 31, 2009
198,549 December 31, 2010
44,113 December 31, 2011
- ----------------------------------------------------------------------------------------------
506,332(a) Total
- ----------------------------------------------------------------------------------------------
DF $ 663 December 31, 2008
45,581 December 31, 2009
54,816 December 31, 2010
- ----------------------------------------------------------------------------------------------
101,060(b) Total
- ----------------------------------------------------------------------------------------------
EGF $ 17 December 31, 2006
710 December 31, 2007
6,334 December 31, 2008
20,694 December 31, 2009
16,150 December 31, 2010
14,872 December 31, 2011
- ----------------------------------------------------------------------------------------------
58,777(c) Total
- ----------------------------------------------------------------------------------------------
EIF 6,018 December 31, 2010
13,440 December 31, 2011
- ----------------------------------------------------------------------------------------------
19,458 Total
- ----------------------------------------------------------------------------------------------
USEF $ 23,442 December 31, 2009
79,029 December 31, 2010
- ----------------------------------------------------------------------------------------------
102,471(d) Total
- ----------------------------------------------------------------------------------------------
</Table>
(a) Includes $66,953 (in thousands) of losses acquired from JPMorgan SmartIndex
Fund.
(b) Includes $13,086 (in thousands) of losses acquired from JPMorgan Balanced
Fund.
(c) Includes $7,017 (in thousands) of losses acquired from JPMorgan Chase Vista
Equity Growth Fund.
(d) Includes $18,188 (in thousands) of losses acquired from JPMorgan Core Equity
Fund and $2,931 (in thousands) of losses acquired from JPMorgan Focus Fund.
Utilization of these losses will be subject to an annual limitation as
prescribed by the Internal Revenue Code.
During the year ended December 31, 2003, DF and USEF utilized capital loss
carryovers of $11,512 and $13,635, respectively (amounts in thousands).
78
<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 could borrow money for temporary or emergency
purposes. The Funds had entered into an agreement, enabling them to participate
with other JPMorgan Funds in an unsecured line of credit with a syndicate of
banks, which permitted borrowings up to $400 million, collectively. Interest was
charged to the Fund based on its borrowings at an annual rate equal to the sum
of the Federal Funds Rate plus 0.50%. The Funds also paid a commitment fee of
0.10% per annum on the average daily amount of the available commitment, which
was allocated on a pro-rata basis to the Fund. This agreement expired on April
16, 2003.
The Funds had no borrowings outstanding at December 31, 2003. During the period
ended December 31, 2003, DF borrowed against the Line of Credit Agreement. The
details of the borrowing are as follows (amounts in thousands):
<Table>
<Caption>
AVERAGE
AMOUNT AVERAGE
OUTSTANDING* INTEREST RATE
$ 627 1.54%
</Table>
* The average amount outstanding is calculated based upon the daily balances
during the period from January 1, 2003 though December 31, 2003.
10. CONCENTRATIONS AND INDEMNIFICATIONS
From time to time, the Funds may have a concentration of several shareholders
which may be a related party, holding a significant percentage of shares
outstanding. Investment activities of these shareholders could have a material
impact on the Funds.
In the normal course of business the Funds enter into contracts that contain a
variety of representations which provide general indemnifications. Each Fund's
maximum exposure under these arrangements is unknown, as this would involve
future claims that may be made against each Fund that have not yet occurred.
However, based on experience, the Funds expect the risk of loss to be remote.
11. SUBSEQUENT EVENT
On January 14, 2004, J. P. Morgan Chase and Co. and Bank One Corp. announced
they have entered into an agreement and plan of merger. The merger is subject to
the approval of the shareholders of both institutions as well as U.S. federal
and state and foreign regulatory authorities. Completion of the transaction is
expected to occur in mid-2004.
79
<Page>
12. CAPITAL SHARE TRANSACTIONS
<Table>
<Caption>
DISCIPLINED EQUITY FUND
--------------------------------------
YEAR ENDED YEAR ENDED
DECEMBER 31, 2003 DECEMBER 31, 2002
CLASS A
AMOUNT
Shares sold $ 872 $ 865
Shares issued in connection with
Fund Reorganization (Note 2) -- --
In-kind transfers -- --
Shares issued in reinvestment
of distributions 10 6
Shares redeemed (1,588) (19)
- ------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ (706) $ 852
- ------------------------------------------------------------------------------------------------
SHARES
Shares sold 72 68
Shares issued in connection with
Fund Reorganization (Note 2) --
In-kind transfers -- --
Shares issued in reinvestment
of distributions 1 1
Shares redeemed (137) (2)
- ------------------------------------------------------------------------------------------------
Net increase (decrease) in
Fund shares outstanding (64) 67
- ------------------------------------------------------------------------------------------------
CLASS B ^^
AMOUNT
Shares sold $ 120 $ 473
Shares issued in connection with
Fund Reorganization (Note 2) --
In-kind transfer -- --
Shares issued in reinvestment
of distributions --^ 1
Shares redeemed (507) (111)
- ------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ (387) $ 363
- ------------------------------------------------------------------------------------------------
SHARES
Shares sold 11 36
Shares issued in connection with
Fund Reorganization (Note 2) --
In-kind transfers -- --
Shares issued in reinvestment
of distributions --^ --^
Shares redeemed (42) (10)
- ------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding (31) 26
- ------------------------------------------------------------------------------------------------
</Table>
^ Amount rounds to less than one thousand.
^^ Class ceased operations as of September 12, 2003.
80
<Page>
<Table>
<Caption>
YEAR ENDED YEAR ENDED
DECEMBER 31, 2003 DECEMBER 31, 2002
INSTITUTIONAL SHARES
AMOUNT
Shares sold $ 73,548 $ 257,802
Shares issued in connection with
Fund Reorganization (Note 2) --
In-kind transfers (412,239) 197,097
Shares issued in reinvestment
of distributions 7,321 10,768
Shares redeemed (333,275) (397,621)
- ------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ (664,645) $ 68,046
- ------------------------------------------------------------------------------------------------
SHARES
Shares sold 6,397 20,776
Shares issued in connection with
Fund Reorganization (Note 2) --
In-kind transfers (34,677) 16,846
Shares issued in reinvestment
of distributions 633 954
Shares redeemed (28,959) (32,930)
- ------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding (56,606) 5,646
- ------------------------------------------------------------------------------------------------
SELECT SHARES
AMOUNT
Shares sold $ 20,033 $ 39,336
Shares issued in connection with
Fund Reorganization (Note 2) --
In-kind transfers -- --
Shares issued in reinvestment
of distributions 649 637
Shares redeemed (24,611) (78,108)
- ------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ (3,929) $ (38,135)
- ------------------------------------------------------------------------------------------------
SHARES
Shares sold 1,763 3,323
Shares issued in connection with
Fund Reorganization (Note 2) --
In-kind transfers -- --
Shares issued in reinvestment of
distributions 54 56
Shares redeemed (2,215) (6,524)
- ------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding (398) (3,145)
- ------------------------------------------------------------------------------------------------
</Table>
81
<Page>
<Table>
<Caption>
YEAR ENDED
DECEMBER 31, 2003*
ULTRA
AMOUNT
Shares sold $ 10,914
Shares issued in connection with
Fund Reorganization (Note 2) 186,589
In-kind transfer --
Shares issued in reinvestment
of distributions 1,693
Shares redeemed (125,274)
- ------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ 73,922
- ------------------------------------------------------------------------------------------------
SHARES
Shares sold 888
Shares issued in connection with
Fund Reorganization (Note 2) 17,321
In-kind transfer --
Shares issued in reinvestment
of distributions 139
Shares redeemed (10,337)
- ------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding 8,011
- ------------------------------------------------------------------------------------------------
</Table>
* For Ultra Shares, from commencement of offering on March 24, 2003.
82
<Page>
<Table>
<Caption>
DIVERSIFIED FUND
------------------
YEAR ENDED
DECEMBER 31, 2003*
CLASS A
AMOUNT
Shares sold $ 2,723
Shares issued in connection with
Fund Reorganization (Note 2) 41,788
Shares issued in reinvestment
of distributions 382
Shares redeemed (6,448)
- ------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ 38,445
- ------------------------------------------------------------------------------------------------
SHARES
Shares sold 236
Shares issued in connection with
Fund Reorganization (Note 2) 3,881
Shares issued in reinvestment
of distributions 32
Shares redeemed (553)
- ------------------------------------------------------------------------------------------------
Net increase (decrease) in
Fund shares outstanding 3,596
- ------------------------------------------------------------------------------------------------
CLASS B
AMOUNT
Shares sold $ 1,425
Shares issued in connection with
Fund Reorganization (Note 2) 12,459
Shares issued in reinvestment
of distributions 68
Shares redeemed (1,757)
- ------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ 12,195
- ------------------------------------------------------------------------------------------------
SHARES
Shares sold 121
Shares issued in connection with
Fund Reorganization (Note 2) 1,157
Shares issued in reinvestment
of distributions 6
Shares redeemed (153)
- ------------------------------------------------------------------------------------------------
Net increase (decrease) in
Fund shares outstanding 1,131
- ------------------------------------------------------------------------------------------------
</Table>
* For Class A , Class B and Class C, from commencement of offering on
March 24, 2003.
83
<Page>
<Table>
<Caption>
YEAR ENDED YEAR ENDED
DECEMBER 31, 2003* DECEMBER 31, 2002
CLASS C
AMOUNT
Shares sold $ 95
Shares issued in connection with
Fund Reorganization (Note 2) 668
Shares issued in reinvestment
of distributions 2
Shares redeemed (162)
- ------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ 603
- ------------------------------------------------------------------------------------------------
SHARES
Shares sold 8
Shares issued in connection with
Fund Reorganization (Note 2) 62
Shares issued in reinvestment
of distributions --^
Shares redeemed (14)
- ------------------------------------------------------------------------------------------------
Net increase (decrease) in
Fund shares outstanding 56
- ------------------------------------------------------------------------------------------------
INSTITUTIONAL
AMOUNT
Shares sold $ 42,734 $ 53,015
Shares issued in connection with
Fund Reorganization (Note 2) --
Shares issued in reinvestment
of distributions 4,509 5,710
Shares redeemed (69,087) (258,625)
- ------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ (21,844) $ (199,900)
- ------------------------------------------------------------------------------------------------
SHARES
Shares sold 3,777 4,424
Shares issued in connection with
Fund Reorganization (Note 2) --
Shares issued in reinvestment
of distributions 384 506
Shares redeemed (5,920) (21,182)
- ------------------------------------------------------------------------------------------------
Net increase (decrease) in
Fund shares outstanding (1,759) (16,252)
- ------------------------------------------------------------------------------------------------
</Table>
* For Class A , Class B and Class C, from commencement of offering on
March 24, 2003.
^ Amount rounds to less than one thousand.
84
<Page>
<Table>
<Caption>
DIVERSIFIED FUND (CONTINUED)
--------------------------------------
YEAR ENDED YEAR ENDED
DECEMBER 31, 2003 DECEMBER 31, 2002
SELECT
AMOUNT
Shares sold $ 24,755 $ 107,949
Shares issued in connection with
Fund Reorganization (Note 2) 9,290
Shares issued in reinvestment
of distributions 3,271 5,611
Shares redeemed (206,761) (141,377)
- ------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ (169,445) $ (27,817)
- ------------------------------------------------------------------------------------------------
SHARES
Shares sold 2,163 9,956
Shares issued in connection with
Fund Reorganization (Note 2) 862
Shares issued in reinvestment
of distributions 283 499
Shares redeemed (17,477) (12,518)
- ------------------------------------------------------------------------------------------------
Net increase (decrease) in
Fund shares outstanding (14,169) (2,063)
- ------------------------------------------------------------------------------------------------
</Table>
85
<Page>
<Table>
<Caption>
EQUITY GROWTH FUND
--------------------------------------
YEAR ENDED YEAR ENDED
DECEMBER 31, 2003 DECEMBER 31, 2002
CLASS A
AMOUNT
Shares sold $ 5,867 $ 13,641
Shares redeemed (7,222) (19,524)
- ------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ (1,355) $ (5,883)
- ------------------------------------------------------------------------------------------------
SHARES
Shares sold 236 470
Shares redeemed (294) (677)
- ------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding (58) (207)
- ------------------------------------------------------------------------------------------------
CLASS B
AMOUNT
Shares sold $ 907 $ 887
Shares redeemed (1,885) (3,529)
- ------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ (978) $ (2,642)
- ------------------------------------------------------------------------------------------------
SHARES
Shares sold 37 32
Shares redeemed (77) (137)
- ------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding (40) (105)
- ------------------------------------------------------------------------------------------------
CLASS C
AMOUNT
Shares sold $ 65 $ 109
Shares redeemed (366) (794)
- ------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ (301) $ (685)
- ------------------------------------------------------------------------------------------------
SHARES
Shares sold 3 4
Shares redeemed (16) (30)
- ------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding (13) (26)
- ------------------------------------------------------------------------------------------------
SELECT
AMOUNT
Shares sold $ 7,281 $ 5,297
Shares redeemed (14,545) (31,380)
- ------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ (7,264) $ (26,083)
- ------------------------------------------------------------------------------------------------
SHARES
Shares sold 284 191
Shares redeemed (575) (1,134)
- ------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding (291) (943)
- ------------------------------------------------------------------------------------------------
</Table>
86
<Page>
<Table>
<Caption>
EQUITY INCOME FUND
--------------------------------------
YEAR ENDED YEAR ENDED
DECEMBER 31, 2003 DECEMBER 31, 2002
CLASS A
AMOUNT
Shares sold $ 1,430 $ 2,132
Shares issued in reinvestment
of distributions 302 536
Shares redeemed (4,411) (10,468)
- ------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ (2,679) $ (7,800)
- ------------------------------------------------------------------------------------------------
SHARES
Shares sold 58 77
Shares issued in reinvestment
of distributions 12 21
Shares redeemed (178) (380)
- ------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding (108) (282)
- ------------------------------------------------------------------------------------------------
CLASS B
AMOUNT
Shares sold $ 718 $ 650
Shares issued in reinvestment
of distributions 128 256
Shares redeemed (1,928) (3,804)
- ------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ (1,082) $ (2,898)
- ------------------------------------------------------------------------------------------------
SHARES
Shares sold 29 25
Shares issued in reinvestment
of distributions 5 11
Shares redeemed (80) (144)
- ------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding (46) (108)
- ------------------------------------------------------------------------------------------------
</Table>
87
<Page>
<Table>
<Caption>
EQUITY INCOME FUND(CONTINUED)
--------------------------------------
YEAR ENDED YEAR ENDED
DECEMBER 31, 2003 DECEMBER 31, 2002
CLASS C
AMOUNT
Shares sold $ 617 $ 380
Shares issued in reinvestment
of distributions 48 75
Shares redeemed (597) (661)
- ------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ 68 $ (206)
- ------------------------------------------------------------------------------------------------
SHARES
Shares sold 25 15
Shares issued in reinvestment
of distributions 2 3
Shares redeemed (25) (26)
- ------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding 2 (8)
- ------------------------------------------------------------------------------------------------
SELECT
AMOUNT
Shares sold $ 2,050 $ 13,820
Shares issued in reinvestment
of distributions 750 1,656
Shares redeemed (11,788) (27,216)
- ------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ (8,988) $ (11,740)
- ------------------------------------------------------------------------------------------------
SHARES
Shares sold 82 537
Shares issued in reinvestment
of distributions 31 65
Shares redeemed (475) (1,034)
- ------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding (362) (432)
- ------------------------------------------------------------------------------------------------
</Table>
88
<Page>
<Table>
<Caption>
U.S. EQUITY FUND
--------------------------------------
YEAR ENDED YEAR ENDED
DECEMBER 31, 2003 DECEMBER 31, 2002
CLASS A
AMOUNT
Shares sold $ 5,585 $ 14,197
Shares Issued in connection with
Fund Reorganization (Note 2) 15,032
Shares issued in reinvestment
of distributions 177 89
Shares redeemed (12,297) (27,001)
- ------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ 8,497 $ (12,715)
- ------------------------------------------------------------------------------------------------
SHARES
Shares sold 650 1,566
Shares Issued in connection with
Fund Reorganization (Note 2) 1,925
Shares issued in reinvestment
of distributions 20 11
Shares redeemed (1,437) (2,943)
- ------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding 1,158 (1,366)
- ------------------------------------------------------------------------------------------------
CLASS B
AMOUNT
Shares sold $ 937 $ 756
Shares Issued in connection with
Fund Reorganization (Note 2) 15,354
Shares issued in reinvestment
of distributions 1 1
Shares redeemed (4,945) (3,790)
- ------------------------------------------------------------------------------------------------
Net increase (decrease) in
Fund shares outstanding $ 11,347 $ (3,033)
- ------------------------------------------------------------------------------------------------
SHARES
Shares sold 107 85
Shares Issued in connection with
Fund Reorganization (Note 2) 1,976
Shares issued in reinvestment
of distributions --^ --
Shares redeemed (579) (432)
- ------------------------------------------------------------------------------------------------
Net increase (decrease) in
Fund shares outstanding 1,504 (347)
- ------------------------------------------------------------------------------------------------
</Table>
^ Amount rounds to less than one thousand.
89
<Page>
<Table>
<Caption>
U.S. EQUITY FUND(CONTINUED)
--------------------------------------
YEAR ENDED YEAR ENDED
DECEMBER 31, 2003 DECEMBER 31, 2002
CLASS C
AMOUNT
Shares sold $ 158 $ 90
Shares Issued in connection with
Fund Reorganization (Note 2) 4,066
Shares issued in reinvestment
of distributions --^ --
Shares redeemed (877) (452)
- ------------------------------------------------------------------------------------------------
Net increase (decrease) in
Fund shares outstanding $ 3,347 $ (362)
- ------------------------------------------------------------------------------------------------
SHARES
Shares sold 19 11
Shares Issued in connection with
Fund Reorganization (Note 2) 524
Shares issued in reinvestment
of distributions --^ --
Shares redeemed (102) (55)
- ------------------------------------------------------------------------------------------------
Net increase (decrease) in
Fund shares outstanding 441 (44)
- ------------------------------------------------------------------------------------------------
INSTITUTIONAL
AMOUNT
Shares sold $ 12,339 $ 25,783
Shares Issued in connection with
Fund Reorganization (Note 2) --
Shares issued in reinvestment
of distributions 611 539
Shares redeemed (36,570) (11,587)
- ------------------------------------------------------------------------------------------------
Net increase (decrease) in
Fund shares outstanding $ (23,620) $ 14,735
- ------------------------------------------------------------------------------------------------
SHARES
Shares sold 1,478 2,997
Shares Issued in connection with
Fund Reorganization (Note 2) --
Shares issued in reinvestment
of distributions 71 66
Shares redeemed (4,389) (1,332)
- ------------------------------------------------------------------------------------------------
Net increase (decrease) in
Fund shares outstanding (2,840) 1,731
- ------------------------------------------------------------------------------------------------
</Table>
^ Amount rounds to less than one thousand.
90
<Page>
<Table>
<Caption>
U.S. EQUITY FUND(CONTINUED)
--------------------------------------
YEAR ENDED YEAR ENDED
DECEMBER 31, 2003 DECEMBER 31, 2002
SELECT
AMOUNT
Shares sold $ 42,770 $ 32,907
Shares Issued in connection with
Fund Reorganization (Note 2) 31,068
Shares issued in reinvestment
of distributions 2,083 1,535
Shares redeemed (64,870) (66,127)
- ------------------------------------------------------------------------------------------------
Net increase (decrease) in
Fund shares outstanding $ 11,051 $ (31,685)
- ------------------------------------------------------------------------------------------------
SHARES
Shares sold 4,894 3,767
Shares Issued in connection with
Fund Reorganization (Note 2) 3,984
Shares issued in reinvestment
of distributions 237 188
Shares redeemed (7,523) (7,601)
- ------------------------------------------------------------------------------------------------
Net increase (decrease) in
Fund shares outstanding 1,592 (3,646)
- ------------------------------------------------------------------------------------------------
</Table>
91
<Page>
JPMORGAN FUNDS
FINANCIAL HIGHLIGHTS
<Table>
<Caption>
CLASS A SHARES
- ------------------------------------------------------------------------------
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
DISCIPLINED EQUITY FUND
Year Ended 12/31/03 $ 10.54 0.05 2.99 3.04
Year Ended 12/31/02 $ 14.17 0.07@ (3.62) (3.55)
9/28/01** Through 1/1/06 $ 12.85 0.01@ 1.39 1.40
DIVERSIFIED FUND
3/24/03** Through 12/31/03 $ 10.77 0.09@ 2.06 2.15
EQUITY GROWTH FUND
Year Ended 12/31/03 $ 22.87 (0.04)@ 4.73 4.69
Year Ended 12/31/02 $ 31.87 (0.06)@ (8.94) (9.00)
Year Ended 12/31/01 $ 43.12 (0.18)@ (8.03) (8.21)
Year Ended 12/31/00 $ 67.85 (0.42)@ (16.14) (16.56)
Year Ended 12/31/99 $ 52.30 (0.29)@ 16.75 16.46
EQUITY INCOME FUND
Year Ended 12/31/03 $ 23.25 0.60@ 4.75 5.35
Year Ended 12/31/02 $ 30.57 0.25@ (6.71) (6.46)
Year Ended 12/31/01 $ 35.35 0.10@ (4.62) (4.52)
Year Ended 12/31/00 $ 49.83 0.17@ (2.66) (2.49)
Year Ended 12/31/99 $ 46.23 0.20@ 5.63 5.83
U.S. EQUITY FUND~
Year Ended 12/31/03 $ 7.61 0.04@ 2.41 2.45
Year Ended 12/31/02 $ 10.45 0.03 (2.84) (2.81)
6/1/01 Through 12/31/01^ $ 11.16 0.02@ (0.69) (0.67)
9/15/00** Through 5/31/01 $ 12.86 0.03 (1.72) (1.69)
<Caption>
CLASS A SHARES
- ---------------------------------------------------------------------------------
PER SHARE OPERATING PERFORMANCE:
---------------------------------------------------
LESS DISTRIBUTIONS:
---------------------------------------------------
DIVIDENDS
FROM NET DISTRIBUTIONS
INVESTMENT FROM CAPITAL RETURN OF TOTAL
INCOME GAINS CAPITAL DISTRIBUTIONS
DISCIPLINED EQUITY FUND
Year Ended 12/31/03 0.08 -- --+ 0.08
Year Ended 12/31/02 0.08 -- -- 0.08
9/28/01** Through 1/1/06 0.08 -- -- 0.08
DIVERSIFIED FUND
3/24/03** Through 12/31/03 0.13 -- -- 0.13
EQUITY GROWTH FUND
Year Ended 12/31/03 -- -- -- --
Year Ended 12/31/02 -- -- -- --
Year Ended 12/31/01 -- 3.04 -- --
Year Ended 12/31/00 -- 8.17 -- --
Year Ended 12/31/99 -- 0.91 -- --
EQUITY INCOME FUND
Year Ended 12/31/03 0.58 -- 0.03 0.61
Year Ended 12/31/02 0.29 0.57 -- 0.86
Year Ended 12/31/01 0.09 0.17 -- 0.26
Year Ended 12/31/00 0.18 11.81 -- 11.99
Year Ended 12/31/99 0.23 2.00 -- 2.23
U.S. EQUITY FUND~
Year Ended 12/31/03 0.05 -- -- 0.05
Year Ended 12/31/02 0.03 -- -- 0.03
6/1/01 Through 12/31/01^ 0.02 0.02 -- 0.04
9/15/00** Through 5/31/01 0.01 -- -- 0.01
</Table>
** Commencement of offering of class of shares.
~ Prior to the open of business on September 10, 2001, the class underwent a
split of shares in connection with a Fund reorganization. Prior periods
have been restated to reflect the split.
^ The Fund changed its fiscal year end from May 31 to December 31.
@ Calculated based upon average shares outstanding.
+ Amount rounds to less than $.005.
(a) Not annualized for periods less than one year.
(1) Total return figures do not include the effect of any front-end or deferred
sales load.
# Short periods have been annualized.
SEE NOTES TO FINANCIAL STATEMENTS.
92
<Page>
<Table>
<Caption>
CLASS A SHARES
- --------------------------------------------------------------
PER SHARE OPERATING PERFORMANCE:
--------------------------------
NET ASSET
VALUE, END TOTAL
OF PERIOD RETURN (a)(1)
DISCIPLINED EQUITY FUND
Year Ended 12/31/03 $ 13.50 28.96%
Year Ended 12/31/02 $ 10.54 (25.07%)
9/28/01** Through 1/1/06 $ 14.17 10.93%
DIVERSIFIED FUND
3/24/03** Through 12/31/03 $ 12.79 20.00%
EQUITY GROWTH FUND
Year Ended 12/31/03 $ 27.56 20.51%
Year Ended 12/31/02 $ 22.87 (28.24%)
Year Ended 12/31/01 $ 31.87 (19.06%)
Year Ended 12/31/00 $ 43.12 (23.85%)
Year Ended 12/31/99 $ 67.85 31.54%
EQUITY INCOME FUND
Year Ended 12/31/03 $ 27.99 23.38%
Year Ended 12/31/02 $ 23.25 (21.34%)
Year Ended 12/31/01 $ 30.57 (12.76%)
Year Ended 12/31/00 $ 35.35 (4.09%)
Year Ended 12/31/99 $ 49.83 12.70%
U.S. EQUITY FUND~
Year Ended 12/31/03 $ 10.01 32.32%
Year Ended 12/31/02 $ 7.61 (26.89%)
6/1/01 Through 12/31/01^ $ 10.45 (5.96%)
9/15/00** Through 5/31/01 $ 11.16 (13.10%)
<Caption>
CLASS A SHARES
- ------------------------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA:
------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
---------------------------------------------------------------------
NET INVESTMENT
NET ASSETS, NET EXPENSES INCOME (LOSS)
END OF INVESTMENT WITHOUT WAIVERS, WITHOUT WAIVERS, PORTFOLIO
PERIOD NET INCOME REIMBURSEMENTS REIMBURSEMENTS TURNOVER
(MILLIONS) EXPENSES (LOSS) AND EARNINGS CREDITS AND EARNINGS CREDITS RATE (a)
DISCIPLINED EQUITY FUND
Year Ended 12/31/03 $ 2 0.95% 0.74% 2.31% (0.62%) 77%
Year Ended 12/31/02 $ 2 0.95% 0.60% 2.23% (0.68%) 74%
9/28/01** Through 1/1/06 $ 2 0.95% 0.42% 11.02%!! (9.65%)!! 33%
DIVERSIFIED FUND
3/24/03** Through 12/31/03 $ 46 1.25% 1.04% 1.70% 0.59% 210%
EQUITY GROWTH FUND
Year Ended 12/31/03 $ 20 1.25% (0.18%) 2.09% (1.02%) 81%
Year Ended 12/31/02 $ 18 1.25% (0.20%) 2.26% (1.21%) 50%
Year Ended 12/31/01 $ 32 1.24% (0.50%) 1.58% (0.84%) 98%
Year Ended 12/31/00 $ 24 1.24% (0.65%) 1.64% (1.05%) 58%(g)
Year Ended 12/31/99 $ 15 1.24% (0.48%) 2.34% (1.58%) 15%(g)
EQUITY INCOME FUND
Year Ended 12/31/03 $ 15 1.25% 2.46% 1.94% 1.77% 17%
Year Ended 12/31/02 $ 15 1.25% 0.95% 1.91% 0.29% 167%
Year Ended 12/31/01 $ 28 1.25% 0.30% 1.55% 0.00% 4%
Year Ended 12/31/00 $ 5 1.25% 0.34% 1.94% (0.35%) 15%
Year Ended 12/31/99 $ 4 1.24% 0.42% 3.33%!! (1.67%) 16%
U.S. EQUITY FUND~
Year Ended 12/31/03 $ 50 1.05% 0.50% 1.54% 0.01% 101%
Year Ended 12/31/02 $ 29 1.05% 0.30% 1.44% (0.09%) 83%
6/1/01 Through 12/31/01^ $ 54 1.05% 0.30% 1.44% (0.09%) 48%
9/15/00** Through 5/31/01 $ 3 1.05% 0.22% 7.05%!! (5.78%)!! 81%(u)
</Table>
!! Due to the size of net assets and fixed expenses, ratios may appear
disproportionate.
(g) Portfolio turnover reflects the rate of the Fund for the period January 1,
1999 to August 11, 1999. From August 11, 1999 to September 9, 2001, all of
the Fund's investable assets were invested in The Equity Growth Portfolio,
and the portfolio turnover rate is disclosed at the Portfolio level.
Effective the opening of business September 10, 2001, the portfolio
turnover reflects the rate of the Fund.
(u) Prior to September 10, 2001, USEF invested all of its investable assets in
The U.S. Equity Portfolio ("USEP"). The portfolio turnover rate disclosed
prior to September 10, 2001, is the turnover rate of USEP.
SEE NOTES TO FINANCIAL STATEMENTS.
93
<Page>
<Table>
<Caption>
CLASS B SHARES
- ------------------------------------------------------------------------------
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
DIVERSIFIED FUND
3/24/03** Through 12/31/03 $ 10.77 0.03@ 2.06 2.09
EQUITY GROWTH FUND
Year Ended 12/31/03 $ 22.58 (0.22)@ 4.64 4.42
Year Ended 12/31/02 $ 31.68 (0.26)@ (8.84) (9.10)
2/16/01** Through 12/31/01 $ 41.84 (0.36)@ (6.76) (7.12)
EQUITY INCOME FUND
Year Ended 12/31/03 $ 23.21 0.48@ 4.73 5.21
Year Ended 12/31/02 $ 30.54 0.12@ (6.70) (6.58)
2/16/01** Through 12/31/01 $ 34.41 (0.06)@ (3.64) (3.70)
U.S. EQUITY FUND
Year Ended 12/31/03 $ 7.58 (0.02)@ 2.39 2.37
Year Ended 12/31/02 $ 10.43 (0.04) (2.81) (2.85)
9/10/01** Through 12/31/01 $ 9.67 (0.01)@ 0.79 0.78
<Caption>
CLASS B SHARES
- ---------------------------------------------------------------------------------
PER SHARE OPERATING PERFORMANCE:
---------------------------------------------------
LESS DISTRIBUTIONS:
---------------------------------------------------
DIVIDENDS
FROM NET DISTRIBUTIONS
INVESTMENT FROM CAPITAL RETURN OF TOTAL
INCOME GAINS CAPITAL DISTRIBUTIONS
DIVERSIFIED FUND
3/24/03** Through 12/31/03 0.07 -- -- 0.07
EQUITY GROWTH FUND
Year Ended 12/31/03 -- -- -- --
Year Ended 12/31/02 -- -- -- --
2/16/01** Through 12/31/01 -- 3.04 -- --
EQUITY INCOME FUND
Year Ended 12/31/03 0.44 -- 0.03 0.47
Year Ended 12/31/02 0.18 0.57 -- 0.75
2/16/01** Through 12/31/01 -- 0.17 -- 0.17
U.S. EQUITY FUND
Year Ended 12/31/03 --+ -- -- --+
Year Ended 12/31/02 -- -- -- --
9/10/01** Through 12/31/01 -- 0.02 -- 0.02
</Table>
** Commencement of offering of class of shares.
@ Calculated based upon average shares outstanding.
+ Amount is less than $.005.
(a) Not annualized for periods less than one year.
SEE NOTES TO FINANCIAL STATEMENTS.
94
<Page>
<Table>
<Caption>
CLASS B SHARES
- --------------------------------------------------------------
PER SHARE OPERATING PERFORMANCE:
--------------------------------
NET ASSET
VALUE, END TOTAL
OF PERIOD RETURN (a)(1)
DIVERSIFIED FUND
3/24/03** Through 12/31/03 $ 12.79 19.42%
EQUITY GROWTH FUND
Year Ended 12/31/03 $ 27.00 19.57%
Year Ended 12/31/02 $ 22.58 (28.72%)
2/16/01** Through 12/31/01 $ 31.68 (17.07%)
EQUITY INCOME FUND
Year Ended 12/31/03 $ 27.95 22.70%
Year Ended 12/31/02 $ 23.21 (21.74%)
2/16/01** Through 12/31/01 $ 30.54 (10.74%)
U.S. EQUITY FUND
Year Ended 12/31/03 $ 9.95 31.29%
Year Ended 12/31/02 $ 7.58 (27.31%)
9/10/01** Through 12/31/01 $ 10.43 8.07%
<Caption>
CLASS B SHARES
- ------------------------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA:
------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
---------------------------------------------------------------------
NET INVESTMENT
NET ASSETS, NET EXPENSES INCOME (LOSS)
END OF INVESTMENT WITHOUT WAIVERS, WITHOUT WAIVERS, PORTFOLIO
PERIOD NET INCOME REIMBURSEMENTS REIMBURSEMENTS TURNOVER
(MILLIONS) EXPENSES (LOSS) AND EARNINGS CREDITS AND EARNINGS CREDITS RATE (a)
DIVERSIFIED FUND
3/24/03** Through 12/31/03 $ 14 1.93% 0.35% 2.20% 0.08% 210%
EQUITY GROWTH FUND
Year Ended 12/31/03 $ 9 1.98% (0.91%) 2.59% (1.52%) 81%
Year Ended 12/31/02 $ 9 1.98% (0.92%) 2.75% (1.69%) 50%
2/16/01** Through 12/31/01 $ 15 1.99% (1.24%) 2.10% (1.35%) 98%
EQUITY INCOME FUND
Year Ended 12/31/03 $ 9 1.75% 1.95% 2.43% 1.27% 17%
Year Ended 12/31/02 $ 8 1.75% 0.45% 2.42% (0.22%) 167%
2/16/01** Through 12/31/01 $ 14 1.75% (0.20%) 2.06% (0.51%) 4%
U.S. EQUITY FUND
Year Ended 12/31/03 $ 29 1.75% (0.20%) 2.04% (0.49%) 101%
Year Ended 12/31/02 $ 11 1.75% (0.40%) 1.93% (0.58%) 83%
9/10/01** Through 12/31/01 $ 19 1.75% (0.40%) 1.85% (0.50%) 48%
</Table>
(1) Total return figures do not include the effect of any front-end or deferred
sales load.
# Short periods have been annualized.
SEE NOTES TO FINANCIAL STATEMENTS.
95
<Page>
<Table>
<Caption>
CLASS C SHARES
- ------------------------------------------------------------------------------
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
DIVERSIFIED FUND
3/24/03** Through 12/31/03 $ 10.77 0.03@ 2.07 2.10
EQUITY GROWTH FUND
Year Ended 12/31/03 $ 22.56 (0.22)@ 4.64 4.42
Year Ended 12/31/02 $ 31.64 (0.28)@ (8.80) (9.08)
2/16/01** Through 12/31/01 $ 41.84 (0.37)@ (6.79) (7.16)
EQUITY INCOME FUND
Year Ended 12/31/03 $ 23.20 0.48@ 4.73 5.21
Year Ended 12/31/02 $ 30.53 0.13@ (6.71) (6.58)
2/16/01** Through 12/31/01 $ 34.41 (0.05)@ (3.66) (3.71)
U.S. EQUITY FUND
Year Ended 12/31/03 $ 7.58 (0.02)@ 2.39 2.37
Year Ended 12/31/02 $ 10.44 (0.05) (2.81) (2.86)
9/10/01** Through 12/31/01 $ 9.67 (0.01)@ 0.80 0.79
<Caption>
CLASS C SHARES
- ---------------------------------------------------------------------------------
PER SHARE OPERATING PERFORMANCE:
---------------------------------------------------
LESS DISTRIBUTIONS:
---------------------------------------------------
DIVIDENDS
FROM NET DISTRIBUTIONS
INVESTMENT FROM CAPITAL RETURN OF TOTAL
INCOME GAINS CAPITAL DISTRIBUTIONS
DIVERSIFIED FUND
3/24/03** Through 12/31/03 0.07 -- -- 0.07
EQUITY GROWTH FUND
Year Ended 12/31/03 -- -- -- --
Year Ended 12/31/02 -- -- -- --
2/16/01** Through 12/31/01 -- 3.04 -- --
EQUITY INCOME FUND
Year Ended 12/31/03 0.45 -- 0.03 0.48
Year Ended 12/31/02 0.18 0.57 -- 0.75
2/16/01** Through 12/31/01 -- 0.17 -- 0.17
U.S. EQUITY FUND
Year Ended 12/31/03 --+ -- -- --+
Year Ended 12/31/02 -- -- -- --
9/10/01** Through 12/31/01 -- 0.02 -- 0.02
</Table>
** Commencement of offering of class of shares.
@ Calculated based upon average shares outstanding.
+ Amount rounds to less than $.005.
SEE NOTES TO FINANCIAL STATEMENTS.
96
<Page>
<Table>
<Caption>
CLASS C SHARES
- --------------------------------------------------------------
PER SHARE OPERATING PERFORMANCE:
--------------------------------
NET ASSET
VALUE, END TOTAL
OF PERIOD RETURN (a)(1)
DIVERSIFIED FUND
3/24/03** Through 12/31/03 $ 12.80 19.48%
EQUITY GROWTH FUND
Year Ended 12/31/03 $ 26.98 19.59%
Year Ended 12/31/02 $ 22.56 (28.70%)
2/16/01** Through 12/31/01 $ 31.64 (17.17%)
EQUITY INCOME FUND
Year Ended 12/31/03 $ 27.93 22.72%
Year Ended 12/31/02 $ 23.20 (21.74%)
2/16/01** Through 12/31/01 $ 30.53 (10.76%)
U.S. EQUITY FUND
Year Ended 12/31/03 $ 9.95 31.29%
Year Ended 12/31/02 $ 7.58 (27.37%)
9/10/01** Through 12/31/01 $ 10.44 8.18%
<Caption>
CLASS C SHARES
- ------------------------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA:
------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
---------------------------------------------------------------------
NET INVESTMENT
NET ASSETS, NET EXPENSES INCOME (LOSS)
END OF INVESTMENT WITHOUT WAIVERS, WITHOUT WAIVERS, PORTFOLIO
PERIOD NET INCOME REIMBURSEMENTS REIMBURSEMENTS TURNOVER
(MILLIONS) EXPENSES (LOSS) AND EARNINGS CREDITS AND EARNINGS CREDITS RATE (a)
DIVERSIFIED FUND
3/24/03** Through 12/31/03 $ 1 1.93% 0.36% 2.20% 0.09% 210%
EQUITY GROWTH FUND
Year Ended 12/31/03 $ 1 1.98% (0.90%) 2.59% (1.51%) 81%
Year Ended 12/31/02 $ 1 1.98% (0.92%) 2.56% (1.50%) 50%
2/16/01** Through 12/31/01 $ 2 1.99% (1.25%) 2.10% (1.36%) 98%
EQUITY INCOME FUND
Year Ended 12/31/03 $ 3 1.75% 1.95% 2.43% 1.27% 17%
Year Ended 12/31/02 $ 3 1.75% 0.48% 2.41% (0.18%) 167%
2/16/01** Through 12/31/01 $ 4 1.75% (0.20%) 2.06% (0.51%) 4%
U.S. EQUITY FUND
Year Ended 12/31/03 $ 5 1.75% (0.20%) 2.04% (0.49%) 101%
Year Ended 12/31/02 $ 1 1.75% (0.42%) 1.93% (0.60%) 83%
9/10/01** Through 12/31/01 $ 1 1.75% (0.39%) 1.85% (0.49%) 48%
</Table>
(a) Not annualized for periods less than one year.
(1) Total return figures do not include the effect of any front-end or deferred
sales load.
# Short periods have been annualized.
SEE NOTES TO FINANCIAL STATEMENTS.
97
<Page>
<Table>
<Caption>
INSTITUTIONAL CLASS SHARES
- ------------------------------------------------------------------------------
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
DISCIPLINED EQUITY FUND
Year Ended 12/31/03 $ 10.55 0.18 2.92 3.10
Year Ended 12/31/02 $ 14.19 0.13@ (3.63) (3.50)
6/1/01 Through 12/31/01^ $ 15.65 0.07@ (1.44) (1.37)
Year Ended 5/31/01 $ 17.54 0.14 (1.89) (1.75)
Year Ended 5/31/00 $ 17.57 0.17 0.81 0.98
Year Ended 5/31/99 $ 14.96 0.17 3.18 3.35
DIVERSIFIED FUND
Year Ended 12/31/03 $ 10.76 0.19@ 2.07 2.26
Year Ended 12/31/02 $ 12.65 0.25@ (1.89) (1.64)
7/1/01 Through 12/31/01* $ 13.20 0.14@ (0.50) (0.36)
Year Ended 6/30/01 $ 14.93 0.39 (1.38) (0.99)
Year Ended 6/30/00 $ 14.69 0.38 0.61 0.99
Year Ended 6/30/99 $ 14.18 0.38 1.44 1.82
U.S. EQUITY FUND
Year Ended 12/31/03 $ 7.61 0.09@ 2.38 2.47
Year Ended 12/31/02 $ 10.44 0.06 (2.82) (2.76)
6/1/01 Through 12/31/01^ $ 11.12 0.03@ (0.66) (0.63)
Year Ended 5/31/01 $ 12.79 0.08 (0.96) (0.88)
Year Ended 5/31/00 $ 15.08 0.11 0.26 0.37
Year Ended 5/31/99 $ 16.73 0.16 2.39 2.55
<Caption>
INSTITUTIONAL CLASS SHARES
- ---------------------------------------------------------------------------------
PER SHARE OPERATING PERFORMANCE:
---------------------------------------------------
LESS DISTRIBUTIONS:
---------------------------------------------------
DIVIDENDS
FROM NET DISTRIBUTIONS
INVESTMENT FROM CAPITAL RETURN OF TOTAL
INCOME GAINS CAPITAL DISTRIBUTIONS
DISCIPLINED EQUITY FUND
Year Ended 12/31/03 0.16 -- --+ 0.16
Year Ended 12/31/02 0.14 -- -- 0.14
6/1/01 Through 12/31/01^ 0.09 -- -- 0.09
Year Ended 5/31/01 0.14 -- -- 0.14
Year Ended 5/31/00 0.18 0.83 -- 1.01
Year Ended 5/31/99 0.15 0.59 -- 0.74
DIVERSIFIED FUND
Year Ended 12/31/03 0.22 -- -- 0.22
Year Ended 12/31/02 0.25 -- -- 0.25
7/1/01 Through 12/31/01* 0.19 -- -- 0.19
Year Ended 6/30/01 0.38 0.36 -- 0.74
Year Ended 6/30/00 0.27 0.48 -- 0.75
Year Ended 6/30/99 0.39 0.92 -- 1.31
U.S. EQUITY FUND
Year Ended 12/31/03 0.09 -- -- 0.09
Year Ended 12/31/02 0.07 -- -- 0.07
6/1/01 Through 12/31/01^ 0.03 0.02 -- 0.05
Year Ended 5/31/01 0.08 0.71 -- 0.79
Year Ended 5/31/00 0.11 2.55 -- 2.66
Year Ended 5/31/99 0.17 4.03 -- 4.20
</Table>
^ The Fund changed its fiscal year end from May 31 to December 31.
* The Fund changed its fiscal year end from June 30 to December 31.
@ Calculated based upon average shares outstanding.
+ Amount rounds to less than $.005.
(a) Not annualized for periods less than one year.
# Short periods have been annualized.
SEE NOTES TO FINANCIAL STATEMENTS.
98
<Page>
<Table>
<Caption>
INSTITUTIONAL CLASS SHARES
- --------------------------------------------------------------
PER SHARE OPERATING PERFORMANCE:
--------------------------------
NET ASSET
VALUE, END TOTAL
OF PERIOD RETURN (a)
DISCIPLINED EQUITY FUND
Year Ended 12/31/03 $ 13.49 29.60%
Year Ended 12/31/02 $ 10.55 (24.76%)
6/1/01 Through 12/31/01^ $ 14.19 (8.73%)
Year Ended 5/31/01 $ 15.65 (9.99%)
Year Ended 5/31/00 $ 17.54 5.54%
Year Ended 5/31/99 $ 17.57 23.07%
DIVERSIFIED FUND
Year Ended 12/31/03 $ 12.80 21.20%
Year Ended 12/31/02 $ 10.76 (13.00%)
7/1/01 Through 12/31/01* $ 12.65 (2.71%)
Year Ended 6/30/01 $ 13.20 (6.69%)
Year Ended 6/30/00 $ 14.93 6.88%
Year Ended 6/30/99 $ 14.69 13.77%
U.S. EQUITY FUND
Year Ended 12/31/03 $ 9.99 32.63%
Year Ended 12/31/02 $ 7.61 (26.50%)
6/1/01 Through 12/31/01^ $ 10.44 (5.63%)
Year Ended 5/31/01 $ 11.12 (6.99%)
Year Ended 5/31/00 $ 12.79 2.45%
Year Ended 5/31/99 $ 15.08 18.66%
<Caption>
INSTITUTIONAL CLASS SHARES
- ------------------------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA:
------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
---------------------------------------------------------------------
NET INVESTMENT
NET ASSETS, NET EXPENSES INCOME (LOSS)
END OF INVESTMENT WITHOUT WAIVERS, WITHOUT WAIVERS, PORTFOLIO
PERIOD NET INCOME REIMBURSEMENTS REIMBURSEMENTS TURNOVER
(MILLIONS) EXPENSES (LOSS) AND EARNINGS CREDITS AND EARNINGS CREDITS RATE (a)
DISCIPLINED EQUITY FUND
Year Ended 12/31/03 $ 418 0.45% 1.24% 0.60% 1.09% 77%
Year Ended 12/31/02 $ 924 0.45% 1.09% 0.65% 0.89% 74%
6/1/01 Through 12/31/01^ $ 1,162 0.45% 0.86% 0.60% 0.71% 33%
Year Ended 5/31/01 $ 1,210 0.45% 0.85% 0.55% 0.75% 72%(e)
Year Ended 5/31/00 $ 1,476 0.45% 1.04% 0.55% 0.94% 56%(e)
Year Ended 5/31/99 $ 1,008 0.45% 1.14% 0.60% 0.99% 51%(e)
DIVERSIFIED FUND
Year Ended 12/31/03 $ 281 0.65% 1.68% 0.93% 1.40% 210%
Year Ended 12/31/02 $ 255 0.65% 1.98% 0.91% 1.72% 232%
7/1/01 Through 12/31/01* $ 505 0.65% 2.21% 0.87% 1.99% 107%
Year Ended 6/30/01 $ 582 0.65% 2.75% 0.83% 2.57% 185%(d)
Year Ended 6/30/00 $ 622 0.65% 2.48% 0.80% 2.33% 217%(d)
Year Ended 6/30/99 $ 609 0.65% 2.55% 0.84% 2.36% 144%(d)
U.S. EQUITY FUND
Year Ended 12/31/03 $ 76 0.64% 0.91% 0.76% 0.79% 101%
Year Ended 12/31/02 $ 79 0.64% 0.74% 0.77% 0.61% 83%
6/1/01 Through 12/31/01^ $ 90 0.65% 0.55% 0.70% 0.50% 48%
Year Ended 5/31/01 $ 151 0.62% 0.57% 0.64% 0.55% 81%(u)
Year Ended 5/31/00 $ 241 0.60% 0.76% 0.63% 0.73% 89%(u)
Year Ended 5/31/99 $ 278 0.60% 0.89% 0.63% 0.86% 84%(u)
</Table>
(e) Prior to September 10, 2001, DEF invested all of its investable assets in
The Disciplined Equity Portfolio ("DEP"). The portfolio turnover rate
disclosed prior to September 10, 2001, is the turnover rate of DEP.
(d) Prior to September 10, 2001, DF invested all of its investable assets in
The Diversified Portfolio ("DP"). The portfolio turnover rate disclosed
prior to September 10, 2001, is the turnover rate of DP.
(u) Prior to September 10, 2001, USEF invested all of its investable assets in
The U.S. Equity Portfolio ("USEP"). The portfolio turnover rate disclosed
prior to September 10, 2001, is the turnover rate of USEP.
SEE NOTES TO FINANCIAL STATEMENTS.
99
<Page>
<Table>
<Caption>
SELECT CLASS SHARES
- ------------------------------------------------------------------------------
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
DISCIPLINED EQUITY FUND+
Year Ended 12/31/03 $ 10.55 0.11 2.98 3.09
Year Ended 12/31/02 $ 14.19 0.10@ (3.64) (3.54)
6/1/01 Through 12/31/01^ $ 15.70 0.05@ (1.44) (1.39)
Year Ended 5/31/01 $ 17.85 0.09 (1.94) (1.85)
Year Ended 5/31/00 $ 17.42 0.12 0.78 0.90
Year Ended 5/31/99 $ 14.30 0.11 3.14 3.25
DIVERSIFIED FUND+
Year Ended 12/31/03 $ 10.76 0.16@ 2.07 2.23
Year Ended 12/31/02 $ 12.65 0.20@ (1.87) (1.67)
7/1/01 Through 12/31/01* $ 13.36 0.13@ (0.52) (0.39)
Year Ended 6/30/01 $ 15.15 0.35 (1.41) (1.06)
Year Ended 6/30/00 $ 14.92 0.33 0.63 0.96
Year Ended 6/30/99 $ 13.74 0.31 1.47 1.78
EQUITY GROWTH FUND
Year Ended 12/31/03 $ 23.18 0.02@ 4.79 4.81
Year Ended 12/31/02 $ 32.21 0.02@ (9.05) (9.03)
Year Ended 12/31/01 $ 43.44 (0.10)@ (8.09) (8.19)
Year Ended 12/31/00 $ 68.09 (0.26)@ (16.22) (16.48)
Year Ended 12/31/99 $ 52.36 (0.14)@ 16.78 16.64
EQUITY INCOME FUND
Year Ended 12/31/03 $ 23.26 0.69@ 4.74 5.43
Year Ended 12/31/02 $ 30.57 0.35@ (6.72) (6.37)
Year Ended 12/31/01 $ 35.33 0.22@ (4.62) (4.40)
Year Ended 12/31/00 $ 49.80 0.29@ (2.66) (2.37)
Year Ended 12/31/99 $ 46.14 0.32@ 5.65 5.97
<Caption>
SELECT CLASS SHARES
- ---------------------------------------------------------------------------------
PER SHARE OPERATING PERFORMANCE:
---------------------------------------------------
LESS DISTRIBUTIONS:
---------------------------------------------------
DIVIDENDS
FROM NET DISTRIBUTIONS
INVESTMENT FROM CAPITAL RETURN OF TOTAL
INCOME GAINS CAPITAL DISTRIBUTIONS
DISCIPLINED EQUITY FUND+
Year Ended 12/31/03 0.13 -- -- 0.13
Year Ended 12/31/02 0.10 -- -- 0.10
6/1/01 Through 12/31/01^ 0.12 -- -- 0.12
Year Ended 5/31/01 0.11 0.19 -- 0.30
Year Ended 5/31/00 0.12 0.35 -- 0.47
Year Ended 5/31/99 0.09 0.04 -- 0.13
DIVERSIFIED FUND+
Year Ended 12/31/03 0.18 -- -- 0.18
Year Ended 12/31/02 0.22 -- -- 0.22
7/1/01 Through 12/31/01* 0.32 -- -- 0.32
Year Ended 6/30/01 0.35 0.38 -- 0.73
Year Ended 6/30/00 0.24 0.49 -- 0.73
Year Ended 6/30/99 0.33 0.27 -- 0.60
EQUITY GROWTH FUND
Year Ended 12/31/03 -- -- -- --
Year Ended 12/31/02 -- -- -- --
Year Ended 12/31/01 -- 3.04 -- --
Year Ended 12/31/00 -- 8.17 -- --
Year Ended 12/31/99 -- 0.91 -- --
EQUITY INCOME FUND
Year Ended 12/31/03 0.69 -- 0.03 0.72
Year Ended 12/31/02 0.37 0.57 -- 0.94
Year Ended 12/31/01 0.19 0.17 -- 0.36
Year Ended 12/31/00 0.29 11.81 -- 12.10
Year Ended 12/31/99 0.31 2.00 -- 2.31
</Table>
+ Prior to the open of business on September 10, 2001, the class underwent a
split of shares in connection with a Fund reorganization. Prior periods
have been restated to reflect the split.
^ The Fund changed its fiscal year end from May 31 to December 31.
* The Fund changed its fiscal year end from June 30 to December 31.
@ Calculated based upon average shares outstanding.
(a) Not annualized for periods less than one year.
# Short periods have been annualized.
SEE NOTES TO FINANCIAL STATEMENTS.
100
<Page>
<Table>
<Caption>
SELECT CLASS SHARES
- --------------------------------------------------------------
PER SHARE OPERATING PERFORMANCE:
--------------------------------
NET ASSET
VALUE, END TOTAL
OF PERIOD RETURN (a)
DISCIPLINED EQUITY FUND+
Year Ended 12/31/03 $ 13.51 29.45%
Year Ended 12/31/02 $ 10.55 (24.98%)
6/1/01 Through 12/31/01^ $ 14.19 (8.88%)
Year Ended 5/31/01 $ 15.70 (10.43%)
Year Ended 5/31/00 $ 17.85 5.19%
Year Ended 5/31/99 $ 17.42 22.86%
DIVERSIFIED FUND+
Year Ended 12/31/03 $ 12.81 20.90%
Year Ended 12/31/02 $ 10.76 (13.22%)
7/1/01 Through 12/31/01* $ 12.65 (2.90%)
Year Ended 6/30/01 $ 13.36 (7.01%)
Year Ended 6/30/00 $ 15.15 6.61%
Year Ended 6/30/99 $ 14.92 13.35%
EQUITY GROWTH FUND
Year Ended 12/31/03 $ 27.99 20.75%
Year Ended 12/31/02 $ 23.18 (28.03%)
Year Ended 12/31/01 $ 32.21 (18.86%)
Year Ended 12/31/00 $ 43.44 (23.65%)
Year Ended 12/31/99 $ 68.09 31.85%
EQUITY INCOME FUND
Year Ended 12/31/03 $ 27.97 23.76%
Year Ended 12/31/02 $ 23.26 (21.06%)
Year Ended 12/31/01 $ 30.57 (12.43%)
Year Ended 12/31/00 $ 35.33 (3.85%)
Year Ended 12/31/99 $ 49.80 13.06%
<Caption>
SELECT CLASS SHARES
- ------------------------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA:
------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
---------------------------------------------------------------------
NET INVESTMENT
NET ASSETS, NET EXPENSES INCOME (LOSS)
END OF INVESTMENT WITHOUT WAIVERS, WITHOUT WAIVERS, PORTFOLIO
PERIOD NET INCOME REIMBURSEMENTS REIMBURSEMENTS TURNOVER
(MILLIONS) EXPENSES (LOSS) AND EARNINGS CREDITS AND EARNINGS CREDITS RATE (a)
DISCIPLINED EQUITY FUND+
Year Ended 12/31/03 $ 78 0.67% 1.02% 0.80% 0.89% 77%
Year Ended 12/31/02 $ 65 0.73% 0.77% 0.84% 0.66% 74%
6/1/01 Through 12/31/01^ $ 132 0.72% 0.56% 0.77% 0.51% 33%
Year Ended 5/31/01 $ 128 0.77% 0.53% 0.77% 0.53% 72%(e)
Year Ended 5/31/00 $ 160 0.75% 0.76% 0.78% 0.73% 56%(e)
Year Ended 5/31/99 $ 121 0.75% 0.89% 0.86% 0.78% 51%(e)
DIVERSIFIED FUND+
Year Ended 12/31/03 $ 140 0.91% 1.42% 1.09% 1.24% 210%
Year Ended 12/31/02 $ 270 0.91% 1.72% 1.08% 1.55% 232%
7/1/01 Through 12/31/01* $ 343 0.93% 1.96% 1.03% 1.86% 107%
Year Ended 6/30/01 $ 360 0.98% 2.42% 1.01% 2.39% 185%(d)
Year Ended 6/30/00 $ 359 0.96% 2.19% 0.98% 2.17% 217%(d)
Year Ended 6/30/99 $ 266 0.98% 2.22% 1.01% 2.19% 144%(d)
EQUITY GROWTH FUND
Year Ended 12/31/03 $ 40 1.00% 0.07% 1.20% (0.13%) 81%
Year Ended 12/31/02 $ 40 1.00% 0.06% 1.15% (0.09%) 50%
Year Ended 12/31/01 $ 86 1.00% (0.28%) 1.05% (0.33%) 98%(g)
Year Ended 12/31/00 $ 179 1.00% (0.40%) 1.02% (0.42%) 58%(g)
Year Ended 12/31/99 $ 320 1.00% (0.24%) 1.03% (0.27%) 15%(g)
EQUITY INCOME FUND
Year Ended 12/31/03 $ 40 0.90% 2.80% 1.10% 2.60% 17%
Year Ended 12/31/02 $ 41 0.90% 1.30% 1.07% 1.13% 167%
Year Ended 12/31/01 $ 68 0.92% 0.69% 0.98% 0.63% 4%
Year Ended 12/31/00 $ 97 1.00% 0.59% 1.03% 0.56% 15%
Year Ended 12/31/99 $ 170 1.00% 0.66% 1.09% 0.57% 16%
</Table>
(e) Prior to September 10, 2001, DEF invested all of its investable assets in
The Disciplined Equity Portfolio ("DEP"). The portfolio turnover rate
disclosed prior to September 10, 2001, is the turnover rate of DEP.
(d) Prior to September 10, 2001, DF invested all of its investable assets in
The Diversified Portfolio ("DP"). The portfolio turnover rate disclosed
prior to September 10, 2001, is the turnover rate of DP.
(g) Portfolio turnover reflects the rate of the Fund for the period January 1,
1999 to August 11, 1999. From August 11, 1999 to September 9, 2001, all of
the Fund's investable assets were invested in The Equity Growth Portfolio,
and the portfolio turnover rate is disclosed at the Portfolio level.
Effective the opening of business September 10, 2001, the portfolio
turnover reflects the rate of the Fund.
SEE NOTES TO FINANCIAL STATEMENTS.
101
<Page>
<Table>
<Caption>
SELECT CLASS SHARES
- ------------------------------------------------------------------------------
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
U.S. EQUITY FUND+
Year Ended 12/31/03 $ 7.61 0.07@ 2.39 2.46
Year Ended 12/31/02 $ 10.44 0.05 (2.83) (2.78)
6/1/01 Through 12/31/01^ $ 11.21 0.03@ (0.68) (0.65)
Year Ended 5/31/01 $ 12.66 0.05 (0.94) (0.89)
Year Ended 5/31/00 $ 14.62 0.09 0.24 0.33
Year Ended 5/31/99 $ 14.96 0.10 2.28 2.38
<Caption>
SELECT CLASS SHARES
- ---------------------------------------------------------------------------------
PER SHARE OPERATING PERFORMANCE:
---------------------------------------------------
LESS DISTRIBUTIONS:
---------------------------------------------------
DIVIDENDS
FROM NET DISTRIBUTIONS
INVESTMENT FROM CAPITAL RETURN OF TOTAL
INCOME GAINS CAPITAL DISTRIBUTIONS
U.S. EQUITY FUND+
Year Ended 12/31/03 0.08 -- -- 0.08
Year Ended 12/31/02 0.05 -- -- 0.05
6/1/01 Through 12/31/01^ 0.04 0.08 -- 0.12
Year Ended 5/31/01 0.05 0.51 -- 0.56
Year Ended 5/31/00 0.09 2.20 -- 2.29
Year Ended 5/31/99 0.11 2.61 -- 2.72
</Table>
+ Prior to the open of business on September 10, 2001, the class underwent a
split of shares in connection with a Fund reorganization. Prior periods
have been restated to reflect the split.
^ The Fund changed its fiscal year end from May 31 to December 31.
@ Calculated based upon average shares outstanding.
SEE NOTES TO FINANCIAL STATEMENTS.
102
<Page>
<Table>
<Caption>
SELECT CLASS SHARES
- --------------------------------------------------------------
PER SHARE OPERATING PERFORMANCE:
--------------------------------
NET ASSET
VALUE, END TOTAL
OF PERIOD RETURN (a)
U.S. EQUITY FUND+
Year Ended 12/31/03 $ 9.99 32.42%
Year Ended 12/31/02 $ 7.61 (26.62%)
6/1/01 Through 12/31/01^ $ 10.44 (5.76%)
Year Ended 5/31/01 $ 11.21 (7.10%)
Year Ended 5/31/00 $ 12.66 2.20%
Year Ended 5/31/99 $ 14.62 18.39%
<Caption>
SELECT CLASS SHARES
- ------------------------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA:
------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
---------------------------------------------------------------------
NET INVESTMENT
NET ASSETS, NET EXPENSES INCOME (LOSS)
END OF INVESTMENT WITHOUT WAIVERS, WITHOUT WAIVERS, PORTFOLIO
PERIOD NET INCOME REIMBURSEMENTS REIMBURSEMENTS TURNOVER
(MILLIONS) EXPENSES (LOSS) AND EARNINGS CREDITS AND EARNINGS CREDITS RATE (a)
U.S. EQUITY FUND+
Year Ended 12/31/03 $ 312 0.79% 0.76% 0.92% 0.63% 101%
Year Ended 12/31/02 $ 225 0.79% 0.57% 0.92% 0.44% 83%
6/1/01 Through 12/31/01^ $ 348 0.79% 0.44% 0.85% 0.38% 48%
Year Ended 5/31/01 $ 312 0.79% 0.41% 0.79% 0.41% 81%(u)
Year Ended 5/31/00 $ 387 0.78% 0.59% 0.78% 0.59% 89%(u)
Year Ended 5/31/99 $ 441 0.79% 0.70% 0.79% 0.70% 84%(u)
</Table>
(a) Not annualized for periods less than one year.
# Short periods have been annualized.
(u) Prior to September 10, 2001, USEF invested all of its investable assets in
The U.S. Equity Portfolio ("USEP"). The portfolio turnover rate disclosed
prior to September 10, 2001, is the turnover rate of USEP.
SEE NOTES TO FINANCIAL STATEMENTS.
103
<Page>
<Table>
<Caption>
ULTRA CLASS SHARES
- ------------------------------------------------------------------------------
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
DISCIPLINED EQUITY FUND
3/24/03** Through 12/31/03 $ 10.77 0.12 2.75 2.87
<Caption>
ULTRA CLASS SHARES
- ---------------------------------------------------------------------------------
PER SHARE OPERATING PERFORMANCE:
---------------------------------------------------
LESS DISTRIBUTIONS:
---------------------------------------------------
DIVIDENDS
FROM NET DISTRIBUTIONS
INVESTMENT FROM CAPITAL RETURN OF TOTAL
INCOME GAINS CAPITAL DISTRIBUTIONS
DISCIPLINED EQUITY FUND
3/24/03** Through 12/31/03 0.14 -- --+ 0.14
</Table>
** Commencement of offering of class of shares.
+ Amount rounds to less than $.005.
SEE NOTES TO FINANCIAL STATEMENTS.
104
<Page>
<Table>
<Caption>
ULTRA CLASS SHARES
- --------------------------------------------------------------
PER SHARE OPERATING PERFORMANCE:
--------------------------------
NET ASSET
VALUE, END TOTAL
OF PERIOD RETURN (a)
DISCIPLINED EQUITY FUND
3/24/03** Through 12/31/03 $ 13.50 26.75%
<Caption>
ULTRA CLASS SHARES
- ------------------------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA:
------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
---------------------------------------------------------------------
NET INVESTMENT
NET ASSETS, NET EXPENSES INCOME (LOSS)
END OF INVESTMENT WITHOUT WAIVERS, WITHOUT WAIVERS, PORTFOLIO
PERIOD NET INCOME REIMBURSEMENTS REIMBURSEMENTS TURNOVER
(MILLIONS) EXPENSES (LOSS) AND EARNINGS CREDITS AND EARNINGS CREDITS RATE (a)
DISCIPLINED EQUITY FUND
3/24/03** Through 12/31/03 $ 108 0.35% 1.28% 0.54% 1.09% 77%
</Table>
# Short periods have been annualized.
(a) Not annualized for periods less than one year.
SEE NOTES TO FINANCIAL STATEMENTS.
105
<Page>
JPMORGAN FUNDS
REPORT OF INDEPENDENT AUDITORS
To the Trustees and Shareholders of
J.P. Morgan Institutional Funds and
J.P. Morgan Mutual Fund Investment Trust
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 Disciplined Equity Fund,
JPMorgan Diversified Fund and JPMorgan U.S. Equity Fund (separate portfolios of
J.P. Morgan Institutional Funds) and JPMorgan Equity Growth Fund and JPMorgan
Equity Income Fund (separate portfolios of J.P. Morgan Mutual Fund Investment
Trust), (hereafter collectively referred to as the "Funds"), at December 31,
2003, the results of each of their operations for the year then ended, the
changes in each of their net assets for each of the two years in the period then
ended 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 December 31, 2003 by
correspondence with the custodian and brokers, provide a reasonable basis for
our opinion.
PricewaterhouseCoopers LLP
New York, New York
February 24, 2004
106
<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 DATE OF BIRTH TRUST TIME SERVED 5 YEARS BY TRUSTEE COMPLEX
- ------------------------------------------------------------------------------------------------------------------------------------
NON-INTERESTED TRUSTEE(S)
William J. Armstrong; Trustee Trustee of Funds that Retired; Vice 69 None
522 Fifth Avenue, are series of JPMIF President and
New York, NY 10036; since 2001, and Funds Treasurer of
1941 that are a series of Ingersoll-Rand
JPMMFIT since 1997. Company (manufacturer
of industrial
equipment)
(1972-2000)
Roland R. Eppley, Jr.; Trustee Trustee of Funds that Retired 69 Director, Janel Hydro,
522 Fifth Avenue, are series of JPMIF Inc. (1993-Present)
New York, NY 10036; since 2001, and Funds
1932 that are series of
JPMMFIT since 1997.
Ann Maynard Gray; Trustee Since 2001 Vice President of 69 Director of Duke Energy
522 Fifth Avenue, Capital Cities/ABC, Corporation (1997-
New York, NY 10036; Inc. (communications) Present); Director of
1945 (1986-1998); Elan Corporation, Plc
President of (pharmaceuticals) (2001-
Diversified Present); Director of The
Publishing Group Phoenix Companies (wealth
(1991-1997) management)
(2002-Present)
Matthew Healey; Trustee and Trustee of Funds that Retired; Chief 69 None
522 Fifth Avenue, President of are series of JPMIF Executive Officer of
New York, NY 10036; the Board of since 1992 and Funds certain J.P. Morgan
1937 Trustees that are a series of Fund Trusts (1982-
JPMMFIT since 2001. 2001)
Fergus Reid, III; Trustee and Trustee of Funds that Chairman of Lumelite 69 Trustee of 16 Morgan
522 Fifth Avenue, Chairman of are series of JPMIF Corporation (plastics Stanley Funds (1995-
New York, NY 10036; the Board of since 2001 and Funds manufacturing) Present)
1932 Trustees that are a series of (1985-Present)
JPMMFIT since 1997.
James J. Schonbachler; Trustee Since 2001 Retired; Managing 69 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)
</Table>
107
<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 DATE OF BIRTH TRUST TIME SERVED 5 YEARS BY TRUSTEE COMPLEX
- ------------------------------------------------------------------------------------------------------------------------------------
NON-INTERESTED TRUSTEE(S) (CONTINUED)
Dr. Matthew Goldstein; Trustee Since 2003 Chancellor of the 69 Trustee of the Albert
522 Fifth Avenue, City University of Einstein School of
New York, NY 10036; New York, since Medicine (1998-Present);
1941 September 1, 1999; Trustee of Bronx Lebanon
President, Adelphi Hospital Center
University (New York) (1992-Present); Director
(1998-1999). 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).
Robert J. Higgins; Trustee Since 2002 Director of 69 Director of Providian
522 Fifth Avenue, Administration of the Financial Corp. (banking)
New York, NY 10036; State of Rhode Island (2002-Present)
1945 (2003-Present);
President - Consumer
Banking and
Investment Services
Fleet Boston
Financial (1971-2002)
William G. Morton, Jr.; Trustee Since 2003 Formerly Chairman 69 Director of Radio Shack
522 Fifth Avenue, Emeritus (March Corporation (electronics)
New York, NY 10036; 2001-October 2002), (1987-Present); Director
1937 and Chairman and of the Griswold Company
Chief Executive (securities brokerage)
Officer, Boston Stock (2002-Present); Director
Exchange (June 1985- of The National Football
March 2001). 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).
</Table>
108
<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 DATE OF BIRTH TRUST TIME SERVED 5 YEARS BY TRUSTEE COMPLEX
- ------------------------------------------------------------------------------------------------------------------------------------
NON-INTERESTED TRUSTEE(S) (CONTINUED)
Leonard M. Spalding* Trustee Trustee of Funds that Retired; Chief 69 Director of Glenview
522 Fifth Avenue, are series of JPMIF Executive Officer of Trust; Director of Pizza
New York, NY 10036; since 2001 and Funds Chase Mutual Funds Magia; Trustee of St.
1935 that are a series of (investment company) Catherine College Trust;
JPMMFIT since 1998. (1989-1998); Chief Trustee of Bellarmine
Investment Executive University Trust;
of Chase Manhattan Director of Marion
Private Bank Washington Airport Board
(investment Trust; Director of
management) (1990- Springfield Washington
1995) 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 13 investment companies.
109
<Page>
JPMORGAN FUNDS
TRUSTEE AND OFFICER INFORMATION (UNAUDITED)
<Table>
<Caption>
POSITIONS HELD TERM OF OFFICE
NAME, CONTACT ADDRESS WITH EACH AND LENGTH OF PRINCIPAL OCCUPATIONS
AND DATE OF BIRTH JPMORGAN TRUST TIME SERVED DURING PAST 5 YEARS
- ----------------------------------------------------------------------------------------------------------------------------------
George Gatch; President Since 2001 Managing Director, J.P. Morgan Investment Management
522 Fifth Avenue, Inc.; 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
522 Fifth Avenue, Inc.; since joining J.P. Morgan Chase in 1996, she has
New York, NY 10036; held numerous positions throughout the asset management
1959 business in mutual funds marketing, legal and product
development.
Stephen M. Ungerman; Vice President and Assistant Since 2001 Vice President, J.P. Morgan Investment Management Inc.;
522 Fifth Avenue, Treasurer Business Head for Vehicle Services Group within Fund
New York, NY 10036; Administration; prior to joining J.P. Morgan Chase in
1953 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.
Judy R. Bartlett; Vice President and Assistant Since 2001 Vice President and Assistant General Counsel, J.P. Morgan
522 Fifth Avenue, 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 Assistant Since 2001 Vice President and Assistant General Counsel, J.P. Morgan
522 Fifth Avenue, Secretary Investment Management Inc.
New York, NY 10036;
1965
Wayne H. Chan; Vice President and Assistant Since 2003 Vice President and Assistant General Counsel, J.P. Morgan
522 Fifth Avenue, Secretary Investment Management, Inc., since September 2002; Mr.
New York, NY 10036; Chan was an associate at the law firm of Shearman and
1965 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.
</Table>
110
<Page>
<Table>
<Caption>
POSITIONS HELD TERM OF OFFICE
NAME, CONTACT ADDRESS WITH EACH AND LENGTH OF PRINCIPAL OCCUPATIONS
AND DATE OF BIRTH JPMORGAN TRUST TIME SERVED DURING PAST 5 YEARS
- ----------------------------------------------------------------------------------------------------------------------------------
Thomas J. Smith Vice President and Assistant Since 2002 Managing Director, Head of Compliance for J.P. Morgan
522 Fifth Avenue, Secretary Chase & Co.'s asset management business in the Americas.
New York, NY 10036;
1955
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.
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,
3435 Stelzer Rd. Inc.; 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.
60 State Street, since 2000; formerly Attorney at Hill, Farrer & Burrill
Suite 1300 Boston, LLP from 1999 to 2000 and Knapp Peterson Clarke, PC from
MA 02109; 1997 to 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.
111
<Page>
JPMORGAN FUNDS
TAX LETTER (UNAUDITED)
JPMORGAN DISCIPLINED EQUITY FUND ("DEF")
JPMORGAN DIVERSIFIED FUND ("DF")
JPMORGAN EQUITY GROWTH FUND ("EGF")
JPMORGAN EQUITY INCOME FUND ("EIF")
JPMORGAN U.S. EQUITY FUND ("USEF")
Certain tax information for the JPMorgan Funds is required to be provided to
shareholders based upon the Funds' income and distributions for the taxable year
ended December 31, 2003. The information and distributions reported in this
letter may differ from the information and taxable distributions reported 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.
The following represents the percentage of ordinary income distributions
eligible for the dividends received deduction by the Funds for the fiscal year
ended December 31, 2003.
<Table>
<Caption>
DIVIDENDS
RECEIVED
DEDUCTION
FUND
DEF 100.00%
DF 54.71%
EGF 0.00%
EIF 100.00%
USEF 100.00%
</Table>
For the fiscal year ended December 31, 2003, certain dividends paid by the Funds
may be subject to a maximum tax rate of 15% as provided for by the Jobs and
Growth Tax Relief Reconciliation Act of 2003. The Funds intend to designate the
maximum amount allowable as taxed at a maximum rate of 15%. Complete information
will be reported in conjunction with your 2003 Form 1099-DIV.
For the fiscal year ended December 31, 2003, the following represents the
percentage of ordinary income distributions treated as qualified dividends:
<Table>
<Caption>
PERCENTAGE OF
DISTRIBUTIONS
FUND
DEF 100.00%
DF 53.40%
EGF 100.00%
EIF 99.88%
USEF 98.67%
</Table>
112
<Page>
JPMORGAN FAMILY OF FUNDS
U.S. EQUITY FUNDS
CAPITAL GROWTH FUND
DISCIPLINED EQUITY 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.
113
<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 (Chase). Chase and its respective
affiliates receive compensation from JPMorgan Funds for providing services to
the Funds.
This report is submitted for the general information of the shareholders of the
funds. It is not authorized for distribution to prospective investors in the
funds unless preceded or accompanied by a prospectus.
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., 2004 All rights reserved. February 2004. AN-LCE-1203
<Page>
JPMORGAN FUNDS
ANNUAL REPORT DECEMBER 31 2003
U.S. EQUITY MID/SMALL CAP FUNDS
DYNAMIC SMALL CAP FUND
MID CAP EQUITY FUND
MID CAP GROWTH FUND
MID CAP VALUE FUND
SMALL CAP EQUITY FUND
SMALL CAP GROWTH FUND
TRUST SMALL CAP EQUITY FUND
U.S. SMALL COMPANY FUND
U.S. SMALL COMPANY OPPORTUNITIES FUND
[JPMORGAN FLEMING ASSET MANAGEMENT LOGO]
<Page>
[JPMORGAN FLEMING ASSET MANAGEMENT LOGO]
JPMORGAN FLEMING ASSET MANAGEMENT is a premier global wealth manager that has
been working with affluent investors for over a hundred years. 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 a worldwide investment presence. 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
marketplace. JPMorgan Fleming Asset Management is an EXPERIENCED PARTNER
dedicated to working with your financial advisor to help provide you with a
broad array of WEALTH SOLUTIONS.
CONTENTS
<Table>
President's Letter 1
Fund Commentaries: 3
Dynamic Small Cap Fund 3
Mid Cap Equity Fund 6
Mid Cap Growth Fund 9
Mid Cap Value Fund 12
Small Cap Equity Fund 15
Small Cap Growth Fund 18
Trust Small Cap Equity 21
U.S. Small Company Fund 24
U.S. Small Company Opportunities Fund 27
Portfolios of Investments 30
Financial Statements 60
Notes to Financial Statements 77
Financial Highlights 102
</Table>
HIGHLIGHTS
- - Military action and revival in corporate profits drive market recovery
- - Economic growth surprisingly strong
- - Technology stocks and small caps outperform
- - Positive backdrop for equities
Investments in a Fund are not bank deposits or obligations of, or guaranteed or
endorsed by, any bank and are not insured or guaranteed by the FDIC, the Federal
Reserve Board or any other government agency. You could lose money if you sell
when the Fund's share price is lower than when you invested.
Past performance is no guarantee for future performance. The general market
views expressed in this report are opinions based on current market conditions
and are subject to change without notice. These views are not intended to
predict the future performance of a Fund or the securities markets. References
to specific securities and their issuers are for illustrative purposes only and
are not intended to be, and should not be interpreted as, recommendations to
purchase or sell such securities. Such views are not meant as investment advice
and may not be relied on as an indication of trading intent on behalf of any
Fund.
Prospective investors should refer to the Fund's prospectus for a discussion of
the Fund's investment objective, strategies and risks. Call JPMorgan Funds
Service Center at (800) 348-4782 for a prospectus containing more complete
information about a Fund including management fees and other expenses. Please
read it carefully before investing.
JPMorgan Funds are distributed by J.P. Morgan Fund Distributors, Inc.
<Page>
JPMORGAN U.S. MID AND SMALL CAP EQUITY FUNDS
PRESIDENT'S LETTER FEBRUARY 17, 2004
[PHOTO OF GEORGE C.W. GATCH]
"BETTER-THAN-EXPECTED CORPORATE PROFITS, LOW INTEREST RATES, AND POSITIVE
ECONOMIC DATA - ALL HELPED TO SUSTAIN THE RALLY."
DEAR SHAREHOLDER:
We are pleased to present this annual report for the JPMorgan Mid and Small Cap
Equity Funds. Inside, you will find information detailing the performance of the
Funds for the year ended December 31, 2003, along with reports from the
Portfolio Managers.
PROFIT INCREASES END THREE-YEAR BEAR MARKET
While the market declined throughout most of the first quarter of 2003 due to
geo-political and economic uncertainty, by mid-March it began a rally that would
continue until the end of the year. The rally began as coalition forces prepared
to take military action in Iraq and acquired momentum in the following months.
Utterances by the U.S. Federal Reserve confirming its determination to avoid
deflation and to nurture growth (leading ultimately to a 1/4-point rate cut in
late June) fueled the rally. In addition, Congress approved the Bush
Administration's $350 billion package of tax cuts in an attempt to boost
consumer demand. By the fourth quarter, there was a clear trend of recovering
economic growth, with third-quarter GDP growth reported at a surprisingly
buoyant 7.2%. Better-than-expected corporate profits, low interest rates, and
positive economic data -- including evidence of manufacturing growth and
business spending -- all helped to sustain the rally.
DIVERGENT PERFORMANCES
The market's rise was far from uniform, however. While the broad-based S&P 500
Index rose 28.7% during the year, the greatest gains were among the technology
and small cap stocks that surged on a wave of market liquidity. The
technology-laden NASDAQ climbed 50.8% and the Russell 2000 Index of small stocks
47.3%. What the indices do not show is that the biggest increases of all were
among low quality, non-earning stocks that investors had chosen not to own in
the bear market. For fund managers, 2003 was a year when great gains were made
for investors, although it was sometimes difficult to outperform benchmark
indices. Fund managers prefer to invest in the higher quality stocks, with
sustainable earnings growth, which tend to outperform over time.
OUTLOOK
As we enter 2004, investors who stayed invested through the trough of the bear
market have good reason to feel vindicated. The question now is whether equities
will continue their upward path. Our view is that they will, although we do not
anticipate gains of the same magnitude as 2003. From an economic perspective,
there is a hint of a "Goldilocks" economy (not too hot, not too cold, but just
right), with a healthy combination of strong earnings growth and low inflation.
Furthermore, election years have historically seen substantial rises in equity
prices, with small company stocks outperforming. In this case, 2003's enormous
fiscal and monetary stimuli have primed the economy.
<Page>
IMPORTANT MERGER NEWS
As you may know, JPMorgan Chase and Bank One have agreed to merge by mid-2004,
subject to approval by the Firms' shareholders and certain regulatory agencies.
We feel the merger is compelling both strategically and financially. The new
JPMorgan Chase will have top-tier positions in both wholesale and retail
financial services, an extensive client base and greater scale. We will have an
extraordinarily talented team that shares common values and a strong client
orientation.
All of us at JPMorgan Fleming Asset Management would like to thank you for your
investment. Should you have any questions, please contact us at 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 DYNAMIC SMALL CAP FUND
AS OF DECEMBER 31, 2003 (UNAUDITED)
FUND FACTS
<Table>
Fund Inception 5/19/1997
Fiscal Year End DECEMBER 31
Net Assets as of 12/31/2003
(In Millions) $ 191.4
Primary Benchmark S&P SMALL CAP 600
BARRA GROWTH INDEX
</Table>
Q: HOW DID THE FUND PERFORM?
A: JPMorgan Dynamic Small Cap Fund, which seeks capital growth over the long
term, rose 39.04% (Select shares) in the year ended December 31, 2003. This
compares with an appreciation of 37.32% for the S&P Small Cap 600 BARRA
Growth Index, the Fund's benchmark.
Q: WHY DID THE FUND PERFORM IN THIS WAY?
A: The Fund outperformed its S&P Small Cap 600 BARRA Growth Index during an
exceptionally strong year for small cap stocks. Strong stock selection
drove performance relative to the benchmark, with the Health Services and
Systems, Consumer Cyclical and Pharmaceutical sectors having the largest
positive impact.
In Health Services & Systems, Odyssey Healthcare, a provider of hospice
services to terminally ill patients, surged during the year. The stock has
benefited from strong fundamentals and positive Medicare Drug Benefit
legislation that allowed hospice care to be maintained as a Medicare
benefit. VCA Antech, an owner and operator of veterinary hospitals and
labs, performed well as positive underlying fundamentals in the pet
healthcare market led to robust earnings growth. Advanced Neuromodulation
Systems Inc. ("ANSI"), a company that makes implanted medical devices that
treat chronic pain, outperformed the sector, as measured by the benchmark.
ANSI has benefited from several successful product cycles that have enabled
the company to deliver better than expected earnings, record sales, and
increased guidance.
In the Pharmaceutical sector, a number of biotechnology companies performed
well. Celgene Corporation, a maker of drugs to treat cancer and
immunological diseases, was a positive contributor. The stock rallied
following the release of positive results of a clinical study published in
the Journal of Clinical Oncology regarding Celgene's lead cancer drug,
Thalomid. Martek Biosciences benefited from its infant formula product
cycle. Scios, a manufacturer of cardiovascular drugs, was acquired by
Johnson & Johnson in February at a significant premium to its share price.
In the Consumer Cyclical sector, post-secondary education providers, Career
Education Corp. and Education Management Corp., led performance as they
benefited from strong enrollment and tuition growth. Leather accessory
manufacturer, Coach Inc., also outperformed the sector, as it continued to
deliver strong sales.
Two of the weakest sectors relative to the benchmark were Retail and
Software and Services, where companies such as California Pizza Kitchen,
Too Inc., Verisity Ltd., and Pinnacle Systems fell after reporting
disappointing earnings.
In Semiconductors, portfolio holdings rose substantially, but still trailed
the sector, as the portfolio tended not to hold the low quality,
non-earning stocks in the sector that led the rally.
Q: HOW WAS THE FUND MANAGED?
A: During the year, we increased our weightings in areas that we believe are
positioned to benefit from an economic and market recovery. We increased
weightings in technology, biotechnology and industrial manufacturing stocks
throughout the 12 months. At year-end, the Fund had significant overweights
in the Systems Hardware, Energy, Pharmaceuticals and Industrial Cyclical
sectors. We funded these increases by reducing weightings in the Health
Services and Systems and Finance sectors.
3
<Page>
[CHART]
PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS
<Table>
Consumer Goods & Services 27.0%
Technology 26.3%
Health Services & Systems 13.1%
Industrial Products & Services 10.2%
Pharmaceuticals 7.3%
Finance & Insurance 7.1%
Energy 6.0%
Short-Term Investments 1.3%
Telecommunications 0.8%
REITs 0.5%
Utilities 0.4%
</Table>
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO
<Table>
1. Engineered Support
Systems, Inc. 1.9%
2. Mid Atlantic Medical
Servives 1.8%
3. Harman International
Industries, Inc. 1.6%
4. Ansys, Inc. 1.6%
5. Wabash National Corp. 1.6%
6. East-West Bancorp, Inc. 1.5%
7. ROFIN-SINAR
Technologies, Inc. 1.5%
8. Advanced Neuromodulation
Systems 1.5%
9. Regis Corp. 1.4%
10. Hot Topic, Inc. 1.4%
</Table>
Top 10 equity holdings comprised 15.9% of the Portfolio's market value of
investments ($30,454 in thousands). As of December 31, 2003 the Fund held 115
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 (5/19/97)
-------------------------------------------------------------------
CLASS A SHARES
Without Sales Charge 38.47% (2.88%) 5.84% 11.16%
With Sales Charge* 30.51% (4.78%) 4.59% 10.17%
-------------------------------------------------------------------
CLASS B SHARES
Without CDSC 37.66% (3.49%) 5.15% 10.43%
With CDSC** 32.66% (4.46%) 4.83% 10.43%
-------------------------------------------------------------------
CLASS C SHARES
Without CDSC 37.64% (3.50%) 5.14% 10.42%
With CDSC*** 36.64% (3.50%) 5.14% 10.42%
-------------------------------------------------------------------
SELECT SHARES 39.04% (2.46%) 6.22% 11.46%
</Table>
* Sales Charge for Class A Shares is 5.75%.
** Assumes 5% CDSC (contingent deferred sales charge) for the one year period,
3% CDSC for the three year period, 2% CDSC for the five year period and 1%
for the period since inception.
*** Assumes a 1% CDSC for the one year period and 0% CDSC thereafter.
[CHART]
LIFE OF FUND PERFORMANCE (05/19/97 TO 12/31/03)
<Table>
<Caption>
JPMORGAN DYNAMIC SMALL CAP FUND (CLASS A SHARES) S&P SMALLCAP 600/BARRA GROWTH INDEX LIPPER SMALL-CAP GROWTH FUNDS INDEX
------------------------------------------------ ----------------------------------- -----------------------------------
May-97 $ 9,425 $ 10,000 $ 10,000
May-97 $ 9,925 $ 10,000 $ 10,000
Jun-97 $ 10,962 $ 10,357 $ 10,535
Jul-97 $ 12,083 $ 10,977 $ 11,169
Aug-97 $ 12,497 $ 11,317 $ 11,347
Sep-97 $ 13,384 $ 12,036 $ 12,302
Oct-97 $ 13,054 $ 11,372 $ 11,674
Nov-97 $ 12,545 $ 11,157 $ 11,410
Dec-97 $ 12,602 $ 11,289 $ 11,258
Jan-98 $ 12,442 $ 11,083 $ 11,091
Feb-98 $ 13,676 $ 12,177 $ 11,988
Mar-98 $ 14,778 $ 12,500 $ 12,529
Apr-98 $ 14,938 $ 12,565 $ 12,621
May-98 $ 13,892 $ 11,779 $ 11,727
Jun-98 $ 14,353 $ 11,856 $ 12,071
Jul-98 $ 13,468 $ 11,132 $ 11,163
Aug-98 $ 10,490 $ 8,847 $ 8,725
Sep-98 $ 11,630 $ 9,463 $ 9,192
Oct-98 $ 12,055 $ 9,929 $ 9,554
Nov-98 $ 12,950 $ 10,621 $ 10,331
Dec-98 $ 14,299 $ 11,546 $ 11,366
Jan-99 $ 14,148 $ 11,389 $ 11,641
Feb-99 $ 12,905 $ 10,269 $ 10,521
Mar-99 $ 13,216 $ 10,565 $ 10,997
Apr-99 $ 13,706 $ 11,049 $ 11,426
May-99 $ 13,640 $ 11,146 $ 11,488
Jun-99 $ 15,082 $ 11,739 $ 12,564
Jul-99 $ 15,102 $ 11,711 $ 12,520
Aug-99 $ 14,828 $ 11,174 $ 12,345
Sep-99 $ 15,008 $ 11,438 $ 12,793
Oct-99 $ 15,065 $ 11,611 $ 13,538
Nov-99 $ 16,366 $ 12,281 $ 15,247
Dec-99 $ 18,610 $ 13,806 $ 18,321
Jan-00 $ 18,327 $ 13,616 $ 18,130
Feb-00 $ 22,673 $ 16,456 $ 23,442
Mar-00 $ 22,144 $ 14,955 $ 21,602
Apr-00 $ 22,249 $ 14,385 $ 18,932
May-00 $ 20,411 $ 13,770 $ 17,383
Jun-00 $ 23,276 $ 15,021 $ 20,445
Jul-00 $ 21,919 $ 13,994 $ 19,114
Aug-00 $ 25,021 $ 15,680 $ 21,169
Sep-00 $ 23,757 $ 14,846 $ 20,121
Oct-00 $ 23,135 $ 14,962 $ 18,612
Nov-00 $ 19,637 $ 12,718 $ 15,442
Dec-00 $ 20,735 $ 13,886 $ 16,807
Jan-01 $ 20,679 $ 13,897 $ 17,320
Feb-01 $ 18,148 $ 12,718 $ 15,103
Mar-01 $ 16,418 $ 12,061 $ 13,636
Apr-01 $ 17,751 $ 13,231 $ 15,109
May-01 $ 18,350 $ 13,382 $ 15,519
Jun-01 $ 18,689 $ 13,812 $ 15,910
Jul-01 $ 18,136 $ 13,477 $ 15,023
Aug-01 $ 17,311 $ 13,076 $ 14,134
Sep-01 $ 15,242 $ 11,416 $ 11,928
Oct-01 $ 16,056 $ 12,111 $ 12,802
Nov-01 $ 16,778 $ 12,910 $ 13,794
Dec-01 $ 17,762 $ 13,722 $ 14,630
Jan-02 $ 17,479 $ 13,703 $ 14,188
Feb-02 $ 17,186 $ 13,279 $ 13,330
Mar-02 $ 18,169 $ 14,214 $ 14,420
Apr-02 $ 18,338 $ 14,419 $ 14,040
May-02 $ 17,604 $ 13,761 $ 13,477
Jun-02 $ 16,351 $ 12,943 $ 12,475
Jul-02 $ 14,328 $ 11,395 $ 10,706
Aug-02 $ 14,294 $ 11,622 $ 10,690
Sep-02 $ 13,423 $ 11,048 $ 10,042
Oct-02 $ 13,955 $ 11,528 $ 10,471
Nov-02 $ 14,452 $ 12,107 $ 11,349
Dec-02 $ 13,717 $ 11,615 $ 10,591
Jan-03 $ 13,266 $ 11,297 $ 10,311
Feb-03 $ 12,984 $ 10,991 $ 9,989
Mar-03 $ 13,198 $ 11,201 $ 10,195
Apr-03 $ 14,147 $ 12,001 $ 11,037
May-03 $ 15,085 $ 12,813 $ 12,163
Jun-03 $ 15,447 $ 13,093 $ 12,575
Jul-03 $ 16,329 $ 13,815 $ 13,311
Aug-03 $ 17,075 $ 14,496 $ 14,016
Sep-03 $ 16,703 $ 14,119 $ 13,672
Oct-03 $ 18,263 $ 15,309 $ 14,910
Nov-03 $ 19,110 $ 15,834 $ 15,307
Dec-03 $ 18,990 $ 15,950 $ 15,328
</Table>
Source: Lipper Analytical Services, Inc. Past performance is no guarantee of
future results. Investment returns and principal value will fluctuate so that an
investor's shares, when redeemed, may be worth more or less than the original
cost.
The Fund commenced operations on 5/19/97.
Class A and Class B Shares were introduced on 5/19/97.
Returns for the Select Shares prior to 4/5/99 (offering date of the Select
Shares) are calculated using the historical expenses of the Class A Shares,
which are higher than the expenses of the Select Shares.
Returns for the Class C Shares prior to 1/7/98 (offering date of the Class C
Shares) are calculated using the historical expenses of the Class A Shares,
which are lower than the expenses of the Class C Shares.
The graph illustrates comparative performance for $10,000 invested in Class A
Shares of the JPMorgan Dynamic Small Cap Fund, S&P SmallCap 600/BARRA Growth
Index, and Lipper Small-Cap Growth Funds Index from May 19, 1997 to December 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 S&P SmallCap 600/BARRA Growth Index is a
capitalization-weighted index of all the stocks in the S&P SmallCap 600 Index
with higher price-to-book ratios. The Lipper Small-Cap Growth Funds Index
represents the total returns of the funds in the indicated category, as defined
by Lipper, Inc. Investors cannot invest directly in an index.
Class A Shares have a $2,500 minimum initial deposit and carry a 5.75% sales
charge.
Certain fees and expenses of the fund are currently being waived and reimbursed
as described in the prospectus. Had the expenses not been subsidized or waived,
returns would have been lower. Also all performance shown in this section does
not reflect the deduction of taxes that a shareholder would pay on fund
distributions or redemption of fund shares.
5
<Page>
JPMORGAN MID CAP EQUITY FUND
AS OF DECEMBER 31, 2003 (UNAUDITED)
FUND FACTS
<Table>
Fund Inception 1/1/1997
Fiscal Year End DECEMBER 31
Net Assets as of 12/31/2003
(In Millions) $ 194.1
Primary Benchmark RUSSELL MID CAP
EQUITY
</Table>
Q. HOW DID THE FUND PERFORM?
A. JPMorgan Mid Cap Equity Fund, which seeks long-term capital growth, rose
32.29% during the year ended December 31, 2003. This compares to a return
of 40.08% return from the Russell Midcap(R) Index, the Fund's benchmark.
Q. WHY DID THE FUND PERFORM THIS WAY?
A. Against a backdrop of a quick end to formal war activity in Iraq,
better-than-expected earnings results, substantial government tax cuts and
evidence of a strong recovery, 2003 turned out to be a strong year for
equity returns. The Fund participated in the market's rapid ascent,
although results trailed the benchmark index, which recorded its best-ever
calendar year return. All sectors posted positive returns in the period,
with particularly strong stock selection in the Financials sector. Weaker
stock selection in the Information Technology and Consumer Discretionary
sectors, however, offset the stronger results and led to the Fund's
underperformance.
The portfolio's top detractors were Jones Apparel, a leading manufacturer
of brand name clothing and accessories, and Brinker International, operator
of Chili's Grill & Bar and other restaurant chains. Shares of Jones Apparel
declined after management announced in January that they were in
discussions regarding a possible restructuring of its license agreements
with Polo Ralph Lauren. We sold our position in the company due to the
uncertainty over how the issue will be resolved, and the potential
financial impact of the resolution. Shares of Brinker International
declined as investor sentiment turned negative due to rising industry costs
and adverse weather conditions earlier in the year. Following this
announcement we eliminated our position.
The portfolio's top contributor was T. Rowe Price Group, a leading provider
of no-load mutual funds. As the equity markets rebounded and mutual fund
inflows turned strongly positive, investors bid up the price of many asset
management companies. We believe increased fund inflows, plus the
appreciation of existing fund assets, will have a direct, positive impact
on T. Rowe's revenues, which are tied to the overall level of assets under
management.
Q. HOW WAS THE FUND MANAGED?
A. The portfolio managers' focus remains on stock selection, believing that
quality companies -- regardless of their economic sector -- trading at
attractive valuations will outperform in the long-term. The portfolio
managers sought to maintain significant sector diversification in the
portfolio and to avoid any large bets contingent on macroeconomic or sector
trends.
6
<Page>
[CHART]
PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS
<Table>
Consumer Goods & Services 23.0%
Technology 21.2%
Finance & Insurance 17.8%
Industrial Products & Services 8.4%
Energy 6.5%
Health Services & Systems 6.2%
REITs 4.5%
Pharmaceuticals 3.7%
Utilities 3.5%
Telecommunications 3.3%
Short-Term Investments 1.9%
</Table>
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO
<Table>
1. T. Rowe Price Group, Inc. 1.6%
2. Outback Steakhouse, Inc. 1.6%
3. Golden West Financial Corp. 1.5%
4. MGIC Investment Corp. 1.3%
5. Devon Energy Corp. 1.2%
6. AutoZone, Inc. 1.2%
7. NBTY, Inc. 1.1%
8. Gannett Co., Inc. 1.1%
9. VF Corp. 1.1%
10. Republic Services, Inc. 1.1%
</Table>
Top 10 equity holdings comprised 12.8% of the Portfolio's market value of
investments ($25,298 in thousands). As of December 31, 2003, the Fund held 191
equity holdings. Portfolio holdings are subject to change at any time.
7
<Page>
AVERAGE ANNUAL TOTAL RETURNS
<Table>
<Caption>
1 YEAR 3 YEARS 5 YEARS 10 YEARS
-------------------------------------------------------
SELECT SHARES 32.29% 3.24% 9.56% 10.73%
</Table>
[CHART]
TEN YEAR FUND PERFORMANCE (12/31/93 TO 12/31/03)
<Table>
<Caption>
JPMORGAN MID CAP EQUITY FUND RUSSELL MIDCAP INDEX LIPPER MID-CAP CORE FUNDS INDEX
---------------------------- -------------------- -------------------------------
Dec-93 $ 1,000,000 $ 1,000,000 $ 1,000,000
Jan-94 $ 1,035,300 $ 1,027,600 $ 1,027,600
Feb-94 $ 1,037,060 $ 1,013,625 $ 1,020,304
Mar-94 $ 987,177 $ 970,444 $ 967,044
Apr-94 $ 983,722 $ 977,140 $ 971,879
May-94 $ 970,049 $ 978,508 $ 959,245
Jun-94 $ 943,372 $ 949,544 $ 920,683
Jul-94 $ 962,900 $ 982,114 $ 941,859
Aug-94 $ 1,006,134 $ 1,028,666 $ 996,016
Sep-94 $ 1,011,567 $ 1,003,567 $ 997,211
Oct-94 $ 1,008,027 $ 1,011,194 $ 1,008,380
Nov-94 $ 971,637 $ 966,600 $ 971,171
Dec-94 $ 980,868 $ 979,166 $ 993,216
Jan-95 $ 968,214 $ 999,239 $ 980,205
Feb-95 $ 1,007,524 $ 1,050,999 $ 1,018,139
Mar-95 $ 1,053,165 $ 1,081,058 $ 1,039,215
Apr-95 $ 1,057,483 $ 1,097,382 $ 1,038,591
May-95 $ 1,088,573 $ 1,133,486 $ 1,053,443
Jun-95 $ 1,119,924 $ 1,171,571 $ 1,118,335
Jul-95 $ 1,195,743 $ 1,228,392 $ 1,189,573
Aug-95 $ 1,207,222 $ 1,247,186 $ 1,205,513
Sep-95 $ 1,234,022 $ 1,275,373 $ 1,234,566
Oct-95 $ 1,175,159 $ 1,246,804 $ 1,194,813
Nov-95 $ 1,215,585 $ 1,308,771 $ 1,231,135
Dec-95 $ 1,222,635 $ 1,316,362 $ 1,245,170
Jan-96 $ 1,224,469 $ 1,344,137 $ 1,258,743
Feb-96 $ 1,247,367 $ 1,375,724 $ 1,308,337
Mar-96 $ 1,257,595 $ 1,395,672 $ 1,323,383
Apr-96 $ 1,296,706 $ 1,435,169 $ 1,396,301
May-96 $ 1,322,900 $ 1,456,841 $ 1,432,047
Jun-96 $ 1,285,065 $ 1,434,988 $ 1,382,355
Jul-96 $ 1,167,096 $ 1,346,162 $ 1,278,402
Aug-96 $ 1,261,047 $ 1,410,240 $ 1,347,435
Sep-96 $ 1,370,127 $ 1,479,905 $ 1,418,041
Oct-96 $ 1,310,527 $ 1,491,745 $ 1,403,151
Nov-96 $ 1,322,977 $ 1,582,592 $ 1,464,609
Dec-96 $ 1,313,055 $ 1,566,449 $ 1,468,125
Jan-97 $ 1,348,376 $ 1,625,035 $ 1,514,664
Feb-97 $ 1,291,474 $ 1,622,597 $ 1,473,162
Mar-97 $ 1,191,256 $ 1,553,637 $ 1,403,482
Apr-97 $ 1,197,570 $ 1,592,322 $ 1,412,604
May-97 $ 1,335,769 $ 1,708,562 $ 1,558,385
Jun-97 $ 1,402,558 $ 1,764,432 $ 1,614,799
Jul-97 $ 1,488,394 $ 1,911,585 $ 1,728,158
Aug-97 $ 1,458,329 $ 1,890,749 $ 1,732,651
Sep-97 $ 1,560,412 $ 1,998,711 $ 1,850,124
Oct-97 $ 1,495,654 $ 1,920,961 $ 1,775,749
Nov-97 $ 1,482,343 $ 1,966,680 $ 1,773,441
Dec-97 $ 1,510,063 $ 2,020,764 $ 1,794,368
Jan-98 $ 1,515,499 $ 1,982,773 $ 1,762,787
Feb-98 $ 1,673,111 $ 2,137,826 $ 1,912,976
Mar-98 $ 1,769,650 $ 2,239,159 $ 2,006,138
Apr-98 $ 1,813,714 $ 2,244,757 $ 2,029,209
May-98 $ 1,695,460 $ 2,175,394 $ 1,924,704
Jun-98 $ 1,779,215 $ 2,205,414 $ 1,946,646
Jul-98 $ 1,670,683 $ 2,100,216 $ 1,835,882
Aug-98 $ 1,301,963 $ 1,764,392 $ 1,461,729
Sep-98 $ 1,432,811 $ 1,878,548 $ 1,589,192
Oct-98 $ 1,485,252 $ 2,006,665 $ 1,679,617
Nov-98 $ 1,580,753 $ 2,101,781 $ 1,763,934
Dec-98 $ 1,755,269 $ 2,225,155 $ 1,933,624
Jan-99 $ 1,783,879 $ 2,221,372 $ 1,924,536
Feb-99 $ 1,640,099 $ 2,147,401 $ 1,788,856
Mar-99 $ 1,707,179 $ 2,214,614 $ 1,840,912
Apr-99 $ 1,779,392 $ 2,378,274 $ 1,946,580
May-99 $ 1,760,531 $ 2,371,377 $ 1,969,745
Jun-99 $ 1,908,415 $ 2,455,087 $ 2,077,096
Jul-99 $ 1,862,232 $ 2,387,817 $ 2,036,592
Aug-99 $ 1,831,505 $ 2,325,973 $ 1,980,382
Sep-99 $ 1,856,413 $ 2,244,099 $ 1,943,349
Oct-99 $ 1,925,658 $ 2,350,469 $ 2,039,739
Nov-99 $ 2,027,140 $ 2,418,162 $ 2,192,924
Dec-99 $ 2,195,190 $ 2,630,961 $ 2,479,100
Jan-00 $ 2,098,162 $ 2,543,876 $ 2,452,822
Feb-00 $ 2,244,194 $ 2,739,500 $ 2,860,481
Mar-00 $ 2,404,879 $ 2,896,473 $ 2,838,455
Apr-00 $ 2,379,628 $ 2,759,470 $ 2,645,440
May-00 $ 2,279,921 $ 2,686,344 $ 2,536,713
Jun-00 $ 2,341,707 $ 2,765,860 $ 2,743,201
Jul-00 $ 2,334,448 $ 2,734,882 $ 2,664,471
Aug-00 $ 2,594,505 $ 2,996,884 $ 2,924,524
Sep-00 $ 2,542,096 $ 2,954,029 $ 2,846,731
Oct-00 $ 2,521,505 $ 2,908,537 $ 2,745,672
Nov-00 $ 2,319,028 $ 2,646,768 $ 2,442,001
Dec-00 $ 2,518,233 $ 2,848,187 $ 2,633,942
Jan-01 $ 2,536,868 $ 2,894,043 $ 2,711,644
Feb-01 $ 2,410,024 $ 2,717,796 $ 2,498,780
Mar-01 $ 2,233,129 $ 2,549,293 $ 2,332,111
Apr-01 $ 2,417,362 $ 2,767,257 $ 2,557,626
May-01 $ 2,463,050 $ 2,818,728 $ 2,618,242
Jun-01 $ 2,443,345 $ 2,792,232 $ 2,625,049
Jul-01 $ 2,403,275 $ 2,712,374 $ 2,542,360
Aug-01 $ 2,327,331 $ 2,607,948 $ 2,432,784
Sep-01 $ 2,067,135 $ 2,293,429 $ 2,121,875
Oct-01 $ 2,136,591 $ 2,384,249 $ 2,227,968
Nov-01 $ 2,274,615 $ 2,584,049 $ 2,396,403
Dec-01 $ 2,418,826 $ 2,687,928 $ 2,504,481
Jan-02 $ 2,372,142 $ 2,671,800 $ 2,475,929
Feb-02 $ 2,327,783 $ 2,643,479 $ 2,433,096
Mar-02 $ 2,458,837 $ 2,802,088 $ 2,597,330
Apr-02 $ 2,455,641 $ 2,747,728 $ 2,554,474
May-02 $ 2,435,996 $ 2,716,678 $ 2,502,618
Jun-02 $ 2,277,412 $ 2,534,661 $ 2,321,679
Jul-02 $ 2,094,536 $ 2,287,278 $ 2,086,261
Aug-02 $ 2,113,597 $ 2,299,858 $ 2,110,044
Sep-02 $ 1,970,717 $ 2,087,581 $ 1,941,662
Oct-02 $ 2,071,421 $ 2,193,004 $ 2,032,921
Nov-02 $ 2,158,835 $ 2,345,198 $ 2,171,159
Dec-02 $ 2,094,934 $ 2,252,798 $ 2,069,549
Jan-03 $ 2,065,814 $ 2,207,291 $ 2,028,572
Feb-03 $ 2,028,010 $ 2,178,155 $ 1,985,769
Mar-03 $ 2,065,325 $ 2,199,719 $ 1,990,733
Apr-03 $ 2,191,723 $ 2,359,418 $ 2,141,034
May-03 $ 2,358,513 $ 2,575,305 $ 2,320,881
Jun-03 $ 2,380,919 $ 2,601,315 $ 2,361,728
Jul-03 $ 2,445,442 $ 2,687,159 $ 2,434,942
Aug-03 $ 2,521,250 $ 2,803,782 $ 2,542,810
Sep-03 $ 2,482,675 $ 2,768,734 $ 2,500,090
Oct-03 $ 2,646,532 $ 2,979,989 $ 2,683,597
Nov-03 $ 2,710,313 $ 3,063,726 $ 2,756,859
Dec-03 $ 2,775,638 $ 3,155,638 $ 2,826,883
</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 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 the
JPMorgan Mid Cap Equity Fund, Russell MidCap Index, and Lipper Mid-Cap Core
Funds Index from December 31, 1993 to December 31, 2003. The performance of the
Fund assumes reinvestment of all dividends and capital gains. The performance of
the indices does not include a sales charge and has been adjusted to reflect
reinvestment of all dividends and capital gains of the securities included in
the benchmark. The Russell MidCap Index measures the performance of the smallest
800 companies of the Russell 1000 Index, which represents approximately 25% of
the total market capitalization of the Russell 1000 Index. The Lipper Mid-Cap
Core Funds Index represents the total returns of the funds in the indicated
category, as defined by Lipper, Inc. Investors cannot invest directly in an
Index.
Select Shares have a $1,000,000 minimum initial deposit and carry no sales
charge.
Certain fees and expenses of the Fund are currently being waived and reimbursed
as described in the prospectus. Had the expenses not been subsidized or waived,
returns would have been lower. Also all performance shown in this section does
not reflect the deduction of taxes that a shareholder would pay on fund
distributions or redemption of fund shares.
8
<Page>
JPMORGAN MID CAP GROWTH FUND
AS OF DECEMBER 31, 2003 (UNAUDITED)
FUND FACTS
<Table>
Fund Inception 10/29/1999
Fiscal Year End DECEMBER 31
Net Assets as of 12/31/2003
(In Millions) $ 60.6
Primary Benchmark RUSSELL MID CAP
GROWTH INDEX
</Table>
Q. HOW DID THE FUND PERFORM?
A. JPMorgan Mid Cap Growth Fund, which seeks to provide long-term growth from
a portfolio of mid-capitalization stocks, rose 37.53% (Class A shares,
without sales charge) in the year ended December 31, 2003. This compares
with a gain of 42.72% for the Russell Midcap(R) Growth Index, the Fund's
benchmark.
Q. WHY DID THE FUND PERFORM IN THIS WAY?
A. The Fund posted a solid gain for the period, but results trailed its
benchmark. All sectors posted positive returns in the period, with
particularly strong stock selection in the Producer Durable and Auto and
Transportation sectors. Weaker stock selection in the Consumer
Discretionary and Health Care sectors, however, offset the stronger results
in those sectors and led to the Fund's underperformance.
The portfolio's top detractors were casino operator Harrah's Entertainment,
and hospital operator Triad Hospitals. Shares of Harrah's Entertainment
declined early in 2003 after management reported disappointing quarterly
earnings. The casino operator said market and weather-related sales
weakness in certain areas negatively impacted earnings. Shares of Triad
Hospitals declined as investor sentiment turned negative after the company
withdrew its previously issued earnings forecasts and increased its bad
debt provision. Following these announcements, we eliminated our positions
in both companies.
The portfolio's top contributor for the period was Omnicare, the provider
of pharmacy services to long-term care institutions. Omnicare posted higher
profit on strong demand and the acquisition of NCS Healthcare. The company
is uniquely positioned as a comprehensive provider of pharmaceutical care
to the nation's growing elderly population. Electronic components
manufacturer Vishay Intertechnology also contributed strongly to the Fund's
total return as the sector rebounded on signs of a recovery. Vishay's
breadth of product offering should benefit it considerably as trends
improve further in 2004.
Q. HOW WAS THE FUND MANAGED?
A. Given the range of events the market encountered in 2003, the portfolio
manager has sought to maintain significant sector diversification in the
portfolio and to avoid any large bets contingent on macroeconomic or sector
trends. The portfolio manager's focus remains on stock selection, believing
that quality growth companies -- regardless of their economic sector --
will perform well over the long-term.
During the period we did increase the Fund's weighting in the Technology
sector, where we added names such as Lucent Technologies, Corning and
Juniper Networks. To fund these new names we reduced the portfolio's
exposure in the Consumer Discretionary sector, by eliminating Retail stocks
that had disappointed such as TJX, Circuit City, and Office Depot.
9
<Page>
[CHART]
PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS
<Table>
Technology 39.4%
Consumer Goods & Services 25.5%
Health Services & Systems 10.6%
Pharmaceuticals 7.3%
Finance & Insurance 6.7%
Energy 5.2%
Industrial Products & Services 2.8%
Telecommunications 2.3%
Short-Term Investments 0.2%
</Table>
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO
<Table>
1. Omnicare, Inc. 1.7%
2. Zimmer Holdings, Inc. 1.7%
3. NBTY, Inc. 1.6%
4. Vishay Intertechnology, Inc. 1.6%
5. T. Rowe Price Group, Inc. 1.6%
6. Dollar General Corp. 1.6%
7. Medicis Pharmaceutical
Corp., Class A 1.5%
8. KLA-Tencor Corp. 1.5%
9. Amphenol Corp., Class A 1.5%
10. Fairmont Hotels & Resorts,
Inc. (Canada) 1.5%
</Table>
Top 10 equity holdings comprised 15.8% of the Portfolio's market value of
investments ($9,543 in thousands). As of December 31, 2003, the Fund held 104
equity holdings. Portfolio holdings are subject to change at any time.
10
<Page>
AVERAGE ANNUAL TOTAL RETURNS
<Table>
<Caption>
SINCE
INCEPTION
1 YEAR 3 YEAR (10/29/99)
---------------------------------------------------
CLASS A SHARES
Without Sales Charge 37.53% (11.39%) (15.21%)
With Sales Charge* 29.55% (13.12%) (16.41%)
---------------------------------------------------
CLASS B SHARES
Without CDSC 36.68% (11.99%) (15.81%)
With CDSC** 31.68% (12.86%) (16.20%)
</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 period since inception.
[CHART]
LIFE OF FUND PERFORMANCE (10/29/99 TO 12/31/03)
<Table>
<Caption>
JPMORGAN MID CAP GROWTH FUND (CLASS A SHARES) RUSSELL MIDCAP GROWTH INDEX LIPPER MID-CAP GROWTH FUNDS INDEX
--------------------------------------------- --------------------------- ---------------------------------
Oct-99 $ 9,425 $ 10,000 $ 10,000
Oct-99 $ 9,425 $ 10,000 $ 10,000
Nov-99 $ 11,657 $ 11,036 $ 11,254
Dec-99 $ 13,354 $ 12,947 $ 13,602
Jan-00 $ 13,617 $ 12,945 $ 13,368
Feb-00 $ 18,326 $ 15,666 $ 16,718
Mar-00 $ 15,190 $ 15,682 $ 15,541
Apr-00 $ 11,273 $ 14,159 $ 13,491
May-00 $ 9,493 $ 13,127 $ 12,278
Jun-00 $ 12,582 $ 14,519 $ 14,186
Jul-00 $ 11,734 $ 13,600 $ 13,597
Aug-00 $ 12,939 $ 15,651 $ 15,376
Sep-00 $ 11,781 $ 14,886 $ 14,636
Oct-00 $ 9,484 $ 13,868 $ 13,452
Nov-00 $ 6,423 $ 10,854 $ 10,639
Dec-00 $ 6,795 $ 11,426 $ 11,406
Jan-01 $ 7,096 $ 12,079 $ 11,562
Feb-01 $ 5,604 $ 9,989 $ 9,827
Mar-01 $ 5,093 $ 8,560 $ 8,785
Apr-01 $ 5,661 $ 9,987 $ 9,942
May-01 $ 5,777 $ 9,940 $ 10,024
Jun-01 $ 5,517 $ 9,945 $ 9,985
Jul-01 $ 5,112 $ 9,274 $ 9,460
Aug-01 $ 4,766 $ 8,602 $ 8,826
Sep-01 $ 4,111 $ 7,180 $ 7,553
Oct-01 $ 4,381 $ 7,935 $ 7,974
Nov-01 $ 4,689 $ 8,789 $ 8,629
Dec-01 $ 4,871 $ 9,123 $ 9,003
Jan-02 $ 4,727 $ 8,827 $ 8,659
Feb-02 $ 4,390 $ 8,326 $ 8,229
Mar-02 $ 4,698 $ 8,962 $ 8,747
Apr-02 $ 4,525 $ 8,487 $ 8,457
May-02 $ 4,361 $ 8,235 $ 8,174
Jun-02 $ 3,957 $ 7,325 $ 7,440
Jul-02 $ 3,572 $ 6,613 $ 6,638
Aug-02 $ 3,495 $ 6,590 $ 6,559
Sep-02 $ 3,264 $ 6,066 $ 6,152
Oct-02 $ 3,466 $ 6,536 $ 6,462
Nov-02 $ 3,629 $ 7,048 $ 6,846
Dec-02 $ 3,437 $ 6,623 $ 6,441
Jan-03 $ 3,389 $ 6,558 $ 6,346
Feb-03 $ 3,312 $ 6,501 $ 6,248
Mar-03 $ 3,408 $ 6,622 $ 6,337
Apr-03 $ 3,601 $ 7,072 $ 6,782
May-03 $ 3,918 $ 7,753 $ 7,343
Jun-03 $ 3,995 $ 7,864 $ 7,458
Jul-03 $ 4,130 $ 8,144 $ 7,752
Aug-03 $ 4,322 $ 8,593 $ 8,133
Sep-03 $ 4,188 $ 8,426 $ 7,860
Oct-03 $ 4,544 $ 9,106 $ 8,476
Nov-03 $ 4,659 $ 9,350 $ 8,678
Dec-03 $ 4,732 $ 9,452 $ 8,722
</Table>
Source: Lipper Analytical Services, Inc. Past performance is no guarantee of
future results. Investment returns and principal value will fluctuate so that an
investor's shares, when redeemed, may be worth more or less than the original
cost.
The JPMorgan MidCap Growth Fund (formerly J.P. Morgan H&Q IPO & Emerging Company
Fund) commenced operations on 10/29/99.
All Share Classes were introduced on 10/29/99.
The graph illustrates comparative performance for $10,000 invested in Class A
Shares of the JPMorgan Mid Cap Growth Fund, Russell MidCap Growth Index, and
Lipper Mid-Cap Growth Funds Index from October 29, 1999 to December 31, 2003.
The performance of the Fund assumes reinvestment of all dividends and capital
gains and assumes a sales charge. The performance of the indices reflects an
initial investment at the end of the month following the Fund's inception. The
performance of the indices does not include a sales charge and has been adjusted
to reflect reinvestment of all dividends and capital gains of the securities
included in the benchmark. The Russell MidCap Growth Index measures the
performance of those Russell MidCap companies with higher price-to-book ratios
and higher forecasted growth values. The Lipper Mid-Cap Growth Funds Index
represents the total returns of the funds in the indicated category, as defined
by Lipper, Inc. Investors cannot invest directly in an index.
Class A Shares have a $2,500 minimum initial deposit and carry a 5.75% sales
charge.
Certain fees and expenses of the Fund are currently being waived and reimbursed
as described in the prospectus. Had the expenses not been subsidized or waived,
returns would have been lower. Also all performance shown in this section does
not reflect the deduction of taxes that a shareholder would pay on fund
distributions or redemption of fund shares.
11
<Page>
JPMORGAN MID CAP VALUE FUND
AS OF DECEMBER 31, 2003 (UNAUDITED)
FUND FACTS
<Table>
Fund Inception 11/13/1997
Fiscal Year End DECEMBER 31
Net Assets as of 12/31/2003
(In Millions) $ 856.3
Primary Benchmark RUSSELL MID CAP
VALUE INDEX
</Table>
Q. HOW DID THE FUND PERFORM?
A. JPMorgan Mid Cap Value Fund, which seeks growth from capital appreciation,
rose 30.62% (Institutional shares) during the year ended December 31, 2003.
This compares with a gain of 38.06% for the Russell MidCap(R) Value Index,
the Fund's benchmark.
Q. WHY DID THE FUND PERFORM THIS WAY?
A. Although the Fund participated in the market's climb, results trailed the
benchmark for the period. In a period when all sectors of the fund and
benchmark registered gains, it was the more aggressive, high beta stocks
that led the benchmark higher. The Fund's underweight position in the
Information Technology sector and large cash position were the primary
drags on performance. Additionally, the Fund's Consumer Discretionary
holdings, which rose sharply during the period, performed poorly.
On the plus side many of the Fund's core Financial Service holdings
performed well during the year as improving economic conditions, net
interest margin stabilization, rebounding equity markets and expectations
of industry consolidation, aided the sector. Even though the asset
management companies have enjoyed the vibrant recovery, the regional banks
and mortgage companies have also managed to keep pace. In particular,
Golden West Financial, MGIC Investment, T. Rowe Price, North Fork Bancorp,
and TCF Financial were amongst the top contributors to the portfolio's
total return during the year.
Despite the Fund's strong performance a few of the portfolio's holdings did
not fare well. The top detractor to the Fund's total return was Black &
Decker, which continues to face a number of challenges including increased
private label competition in its power tool business. As a result of these
issues, we sold our position in the company early in the year before the
market recovery.
Q. HOW WAS THE FUND MANAGED?
A. Despite the Fund's solid gains for the period, performance relative to the
market was somewhat muted by lack of exposure to the highly cyclical and/or
highly leveraged segments of the market that were the driving force behind
the rally in U.S. equities in 2003. As is often the case, our overriding
focus on quality and value -- which generally avoids investments in highly
cyclical and leveraged companies -- works to smooth out portfolio
performance at sharp inflection points in the market such as the one just
experienced.
12
<Page>
[CHART]
PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS
<Table>
Finance & Insurance 25.7%
Consumer Goods & Services 23.0%
Industrial Products & Services 12.7%
Energy 8.3%
Technology 7.2%
Short-Term Investments 6.1%
Telecommunications 4.3%
Utilities 4.3%
REITs 4.1%
Health Services & Systems 3.1%
Pharmaceuticals 1.2%
</Table>
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO
<Table>
1. Kinder Morgan, Inc. 2.5%
2. VF Corp. 2.5%
3. Golden West Financial Corp. 2.4%
4. AutoZone, Inc. 2.4%
5. Wilmington Trust Corp. 2.1%
6. Gannett Co., Inc. 2.0%
7. Outback Steakhouse, Inc. 2.0%
8. North Fork
Bancorporation, Inc. 2.0%
9. MGIC Investment Corp. 2.0%
10. Devon Energy Corp. 1.9%
</Table>
Top 10 equity holdings comprised 21.8% of the Portfolio's market value of
investments ($186,422 in thousands). As of December 31, 2003 the Fund held 90
equity holdings. Portfolio holdings are subject to change at any time.
13
<Page>
AVERAGE ANNUAL TOTAL RETURNS
<Table>
<Caption>
SINCE
INCEPTION
1 YEAR 3 YEARS 5 YEARS (11/13/97)
----------------------------------------------------------------
CLASS A SHARES
Without Sales Charge 30.07% 13.51% 17.64% 18.49%
With Sales Charge* 22.60% 11.29% 16.25% 17.35%
----------------------------------------------------------------
CLASS B SHARES
Without CDSC 29.06% 12.76% 17.17% 18.11%
With CDSC** 24.06% 11.97% 16.96% 18.11%
----------------------------------------------------------------
CLASS C SHARES
Without CDSC 29.09% 12.84% 17.22% 18.15%
With CDSC*** 28.09% 12.84% 17.22% 18.15%
----------------------------------------------------------------
INSTITUTIONAL SHARES 30.62% 14.01% 17.95% 18.75%
----------------------------------------------------------------
SELECT SHARES 30.34% 13.80% 17.82% 18.64%
</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 (11/13/97 TO 12/31/03)
<Table>
<Caption>
JPMORGAN MID CAP VALUE FUND
(INSTITUTIONAL SHARES) RUSSELL MIDCAP VALUE INDEX S&P MIDCAP 400/BARRA VALUE INDEX LIPPER MID-CAP VALUE FUNDS INDEX
--------------------------- -------------------------- -------------------------------- --------------------------------
Nov-97 $ 3,000,000 $ 3,000,000 $ 3,000,000 $ 3,000,000
Nov-97 $ 3,060,000 $ 3,000,000 $ 3,000,000 $ 3,000,000
Dec-97 $ 3,146,904 $ 3,114,900 $ 3,180,000 $ 3,031,200
Jan-98 $ 3,170,820 $ 3,054,471 $ 3,107,178 $ 2,992,098
Feb-98 $ 3,321,117 $ 3,258,510 $ 3,337,109 $ 3,200,048
Mar-98 $ 3,579,832 $ 3,426,323 $ 3,493,286 $ 3,333,810
Apr-98 $ 3,597,732 $ 3,407,135 $ 3,515,643 $ 3,372,149
May-98 $ 3,555,638 $ 3,327,408 $ 3,373,611 $ 3,240,973
Jun-98 $ 3,591,906 $ 3,338,056 $ 3,348,646 $ 3,228,009
Jul-98 $ 3,408,359 $ 3,168,817 $ 3,202,980 $ 3,045,949
Aug-98 $ 3,050,482 $ 2,723,281 $ 2,678,332 $ 2,536,057
Sep-98 $ 3,194,769 $ 2,882,048 $ 2,886,706 $ 2,608,588
Oct-98 $ 3,423,515 $ 3,068,805 $ 3,114,467 $ 2,764,843
Nov-98 $ 3,637,142 $ 3,176,520 $ 3,187,034 $ 2,866,865
Dec-98 $ 3,768,807 $ 3,273,086 $ 3,329,176 $ 2,978,673
Jan-99 $ 3,699,084 $ 3,196,823 $ 3,155,060 $ 2,958,716
Feb-99 $ 3,683,917 $ 3,126,493 $ 3,004,564 $ 2,804,567
Mar-99 $ 3,701,969 $ 3,171,202 $ 3,061,050 $ 2,860,378
Apr-99 $ 4,002,198 $ 3,471,515 $ 3,357,359 $ 3,081,199
May-99 $ 4,226,722 $ 3,486,095 $ 3,412,084 $ 3,107,389
Jun-99 $ 4,366,203 $ 3,525,837 $ 3,518,200 $ 3,227,334
Jul-99 $ 4,461,387 $ 3,437,691 $ 3,471,408 $ 3,167,952
Aug-99 $ 4,243,225 $ 3,318,747 $ 3,339,842 $ 3,060,241
Sep-99 $ 4,166,423 $ 3,150,818 $ 3,175,521 $ 2,990,162
Oct-99 $ 4,316,830 $ 3,243,767 $ 3,239,032 $ 3,018,867
Nov-99 $ 4,299,131 $ 3,184,406 $ 3,304,136 $ 3,127,245
Dec-99 $ 4,291,393 $ 3,269,749 $ 3,406,565 $ 3,333,330
Jan-00 $ 4,204,707 $ 3,074,218 $ 3,259,401 $ 3,158,997
Feb-00 $ 3,944,015 $ 2,945,715 $ 3,139,781 $ 3,247,133
Mar-00 $ 4,540,350 $ 3,302,736 $ 3,620,167 $ 3,470,536
Apr-00 $ 4,500,849 $ 3,315,947 $ 3,587,224 $ 3,415,701
May-00 $ 4,737,594 $ 3,372,981 $ 3,690,536 $ 3,390,766
Jun-00 $ 4,698,272 $ 3,247,169 $ 3,523,724 $ 3,398,904
Jul-00 $ 4,844,388 $ 3,323,153 $ 3,663,263 $ 3,422,697
Aug-00 $ 5,010,066 $ 3,526,862 $ 3,925,187 $ 3,642,434
Sep-00 $ 5,156,360 $ 3,560,720 $ 3,983,279 $ 3,610,745
Oct-00 $ 5,377,568 $ 3,628,374 $ 3,945,438 $ 3,584,386
Nov-00 $ 5,389,398 $ 3,581,205 $ 3,950,567 $ 3,391,188
Dec-00 $ 5,805,999 $ 3,897,067 $ 4,354,315 $ 3,686,560
Jan-01 $ 5,878,574 $ 3,883,038 $ 4,548,518 $ 3,815,590
Feb-01 $ 5,925,602 $ 3,866,729 $ 4,397,962 $ 3,683,570
Mar-01 $ 5,755,538 $ 3,759,620 $ 4,204,451 $ 3,544,331
Apr-01 $ 6,049,070 $ 3,966,400 $ 4,584,954 $ 3,776,840
May-01 $ 6,214,815 $ 4,079,045 $ 4,675,736 $ 3,882,213
Jun-01 $ 6,299,958 $ 4,024,794 $ 4,683,218 $ 3,914,048
Jul-01 $ 6,385,007 $ 4,008,695 $ 4,683,686 $ 3,900,348
Aug-01 $ 6,231,767 $ 3,935,336 $ 4,588,607 $ 3,809,860
Sep-01 $ 5,733,849 $ 3,559,905 $ 4,073,765 $ 3,433,065
Oct-01 $ 5,737,862 $ 3,578,772 $ 4,137,723 $ 3,499,323
Nov-01 $ 6,061,478 $ 3,829,286 $ 4,389,297 $ 3,762,122
Dec-01 $ 6,381,524 $ 3,988,202 $ 4,665,823 $ 3,934,804
Jan-02 $ 6,385,991 $ 4,028,482 $ 4,664,890 $ 3,918,671
Feb-02 $ 6,566,714 $ 4,093,744 $ 4,775,447 $ 3,933,170
Mar-02 $ 6,841,860 $ 4,302,934 $ 5,128,831 $ 4,180,173
Apr-02 $ 6,963,645 $ 4,299,922 $ 5,205,763 $ 4,168,887
May-02 $ 7,045,119 $ 4,293,472 $ 5,115,183 $ 4,107,604
Jun-02 $ 6,679,478 $ 4,101,983 $ 4,827,709 $ 3,817,197
Jul-02 $ 6,278,709 $ 3,700,399 $ 4,327,076 $ 3,443,111
Aug-02 $ 6,455,141 $ 3,743,324 $ 4,365,154 $ 3,452,752
Sep-02 $ 6,089,134 $ 3,365,248 $ 3,935,623 $ 3,150,982
Oct-02 $ 6,459,354 $ 3,472,263 $ 4,093,048 $ 3,257,800
Nov-02 $ 6,703,517 $ 3,691,016 $ 4,355,822 $ 3,520,378
Dec-02 $ 6,587,546 $ 3,603,169 $ 4,194,221 $ 3,358,441
Jan-03 $ 6,492,027 $ 3,503,362 $ 4,049,101 $ 3,276,831
Feb-03 $ 6,414,772 $ 3,445,206 $ 3,963,665 $ 3,203,758
Mar-03 $ 6,510,352 $ 3,456,920 $ 3,950,981 $ 3,216,573
Apr-03 $ 6,923,108 $ 3,719,645 $ 4,271,801 $ 3,463,284
May-03 $ 7,367,572 $ 4,046,974 $ 4,689,156 $ 3,774,633
Jun-03 $ 7,403,673 $ 4,075,303 $ 4,708,850 $ 3,833,140
Jul-03 $ 7,603,572 $ 4,202,045 $ 4,850,586 $ 3,953,884
Aug-03 $ 7,794,422 $ 4,351,218 $ 5,097,966 $ 4,131,018
Sep-03 $ 7,735,184 $ 4,317,278 $ 5,048,006 $ 4,069,879
Oct-03 $ 8,175,316 $ 4,634,166 $ 5,461,438 $ 4,351,921
Nov-03 $ 8,356,808 $ 4,768,557 $ 5,677,165 $ 4,487,701
Dec-03 $ 8,604,660 $ 4,974,559 $ 5,880,975 $ 4,670,799
</Table>
Source: Lipper Analytical Services, Inc. Past performance is no guarantee of
future results. Investment returns and principal value will fluctuate so that an
investor's shares, when redeemed, may be worth more or less than the original
cost.
The Fund commenced operations on 11/13/97.
Returns for the Select Shares prior to 10/31/01 (offering date of the Select
Shares) are calculated using the historical expenses of the Institutional
Shares, which are lower than the expenses of the Select Shares.
Returns for the Class A, Class B, and Class C Shares prior to 4/30/01 (offering
date of the Class A, Class B, and Class C Shares) are calculated using the
historical expenses of the Institutional Shares, which are lower than the
expenses of the Class A Shares, Class B and C Shares.
The graph illustrates comparative performance for $3,000,000 invested in
Institutional Shares of the JPMorgan Mid Cap Value Fund, Russell MidCap Value
Index, S&P MidCap 400/BARRA Value Index, and Lipper Mid-Cap Value Funds Index
from November 13, 1997 to December 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
Russell MidCap Value Index is an unmanaged, capitalization weighted, price only
index that measures the performance of those companies included in the Russell
MidCap Index that have lower price-to-book ratios and lower forecasted growth
rates. The S&P MidCap 400/BARRA Value Index is an unmanaged, capitalization
weighted, price only index of 400 stocks that measure performance of the
mid-sized company segment of the U.S. market. The S&P MidCap 400/BARRA Value
Index is a subset of the MidCap 400 Index, which contains companies with lower
price-to-book ratios. The Lipper Mid-Cap Value Funds Index represents the total
returns of the funds in the indicated category, as defined by Lipper, Inc.
Investors cannot invest directly in an index.
Institutional Shares have a $3,000,000 minimum initial deposit and carry no
sales charge.
Certain fees and expenses of the Fund are currently being waived and reimbursed
as described in the prospectus. Had the expenses not been subsidized or waived,
returns would have been lower. Also all performance shown in this section does
not reflect the deduction of taxes that a shareholder would pay on fund
distributions or redemption of fund shares.
14
<Page>
JP MORGAN SMALL CAP EQUITY FUND
AS OF DECEMBER 31, 2003 (UNAUDITED)
FUND FACTS
<Table>
Fund Inception 12/20/1994
Fiscal Year End DECEMBER 31
Net Assets as of 12/31/2003
(In Millions) $ 746.5
Primary Benchmark S&P SMALL CAP
600 INDEX
</Table>
Q: HOW DID THE FUND PERFORM?
A: JPMorgan Small Cap Equity Fund, which seeks capital growth over the long
term, rose 36.37% (Class A shares, net of fees) during the year ended
December 31, 2003. This compares with an appreciation of 38.78% by the S&P
Small Cap 600 Index, the Fund's benchmark.
Q: WHY DID THE FUND PERFORM THIS WAY?
A: The Fund delivered strong absolute performance in 2003, although it trailed
its benchmark. In the rally that dominated the 2003 equity market, it was
low-quality, non-earning, micro-cap stocks that led the market for most of
the year. Our bias toward owning high-quality, profitable, relatively large
small cap companies hurt relative performance during the year.
Stock selection added to relative performance in a number of areas, most
significantly in the Health Services and Systems and Pharmaceuticals
sectors. In Health Services and Systems, our holdings gained 60% during the
year. Key holdings such as managed care provider, Coventry Health Care,
medical device manufacturer, Inamed Corp, and contact lens maker, Cooper
Companies, drove the sector's outperformance. In Pharmaceuticals, Scios, a
biotechnology company that makes drugs to treat cardiovascular diseases and
chronic pain, contributed to performance when it was acquired by Johnson &
Johnson.
Stock selection in the Industrial Cyclical and Basic Materials sectors
detracted from relative performance. As the most cyclical stocks led the
rally, our less cyclical holdings underperformed. Our less cyclical
holdings included Alliant Techsystems, a maker of defense equipment; Waste
Connections, a waste collection company; and EMCOR Group, a provider of
construction and facilities services.
In the Basic Materials sector, the portfolio suffered from being
underweight in the metals and mining industry as rising commodity prices
and the weak dollar drove a robust rally. In addition, our holdings in the
Specialty Chemical industry sector such as Scotts Company, Georgia Gulf
Corp., Spartech Corp. and Albemarle Corp. all underperformed. The stock
price of Cambrex Corp., a manufacturer of specialty chemicals used to make
pharmaceuticals, was the largest detractor, declining 16% during the year
after reducing its profit forecast in early April.
Q: HOW WAS THE FUND MANAGED?
A: During the year, we increased our weightings in areas that we believe are
positioned to benefit from an economic and market recovery, such as
technology and industrial cyclical stocks. At year-end, the Fund had
significant overweights in the Systems Hardware and Industrial Cyclical
sectors. We were underweight in the Basic Materials and Finance sectors.
15
<Page>
[CHART]
PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS
<Table>
Consumer Goods & Services 28.6%
Technology 19.5%
Industrial Products & Services 18.1%
Finance & Insurance 11.5%
Health Services & Systems 8.9%
Energy 6.3%
Utilities 2.5%
Pharmaceuticals 2.0%
REITs 1.7%
Telecommunications 0.5%
Short-Term Investments 0.4%
</Table>
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO
<Table>
1. CACI International, Inc.,
Class A 1.7%
2. International
Rectifier Corp. 1.7%
3. East-West Bancorp., Inc. 1.5%
4. Cooper Companies, Inc. 1.4%
5. Patina Oil & Gas Corp. 1.4%
6. Winnebago Industries, Inc. 1.4%
7. Oshkosh Truck Corp. 1.3%
8. AnnTaylor Stores Corp. 1.3%
9. Chico's FAS, Inc. 1.3%
10. Church & Dwight Co., Inc. 1.3%
</Table>
Top 10 equity holdings comprised 14.3% of the Portfolio's market value of
investments ($106,917 in thousands). As of December 31, 2003 the Fund held 114
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 (12/20/94)
-------------------------------------------------------------
CLASS A SHARES
Without Sales Charge 36.37% 1.88% 6.55% 14.67%
With Sales Charge* 28.52% (0.11%) 5.30% 13.93%
-------------------------------------------------------------
CLASS B SHARES
Without CDSC 35.39% 1.09% 5.75% 13.93%
With CDSC** 30.39% 0.10% 5.43% 13.93%
-------------------------------------------------------------
SELECT SHARES 37.07% 2.43% 7.13% 15.14%
</Table>
* Sales Charge for Class A Shares is 5.75%.
** Assumes 5% CDSC (contingent deferred sales charge) for the one year period,
3% CDSC for the three year period, 2% CDSC for the five year period and 0%
CDSC for the period since inception.
[CHART]
LIFE OF FUND PERFORMANCE (12/20/94 TO 12/31/03)
<Table>
<Caption>
JPMORGAN SMALL CAP EQUITY FUND (CLASS A SHARES) S&P SMALLCAP 600 INDEX LIPPER SMALL-CAP CORE FUNDS INDEX
----------------------------------------------- ---------------------- ---------------------------------
Dec-94 $ 9,425 $ 10,000 $ 10,000
Dec-94 $ 9,791 $ 10,000 $ 10,000
Jan-95 $ 9,489 $ 9,858 $ 10,103
Feb-95 $ 10,045 $ 10,264 $ 10,505
Mar-95 $ 10,838 $ 10,471 $ 10,728
Apr-95 $ 11,225 $ 10,705 $ 10,908
May-95 $ 11,583 $ 10,872 $ 11,040
Jun-95 $ 12,449 $ 11,469 $ 11,479
Jul-95 $ 13,424 $ 12,346 $ 12,114
Aug-95 $ 13,906 $ 12,614 $ 12,518
Sep-95 $ 14,322 $ 12,936 $ 12,732
Oct-95 $ 14,256 $ 12,297 $ 12,281
Nov-95 $ 14,653 $ 12,739 $ 12,648
Dec-95 $ 15,081 $ 12,950 $ 13,073
Jan-96 $ 15,149 $ 12,978 $ 13,169
Feb-96 $ 15,714 $ 13,403 $ 13,635
Mar-96 $ 16,165 $ 13,689 $ 13,976
Apr-96 $ 17,699 $ 14,475 $ 14,940
May-96 $ 18,466 $ 14,989 $ 15,614
Jun-96 $ 18,283 $ 14,401 $ 14,905
Jul-96 $ 16,692 $ 13,411 $ 13,695
Aug-96 $ 17,909 $ 14,239 $ 14,393
Sep-96 $ 18,733 $ 14,864 $ 14,998
Oct-96 $ 18,398 $ 14,762 $ 14,717
Nov-96 $ 18,867 $ 15,528 $ 15,248
Dec-96 $ 19,423 $ 15,710 $ 15,518
Jan-97 $ 20,035 $ 15,971 $ 15,864
Feb-97 $ 19,228 $ 15,627 $ 15,449
Mar-97 $ 18,061 $ 14,794 $ 14,670
Apr-97 $ 17,526 $ 14,975 $ 14,674
May-97 $ 19,647 $ 16,734 $ 16,239
Jun-97 $ 20,873 $ 17,474 $ 17,156
Jul-97 $ 22,087 $ 18,573 $ 18,189
Aug-97 $ 22,456 $ 19,041 $ 18,635
Sep-97 $ 23,887 $ 20,300 $ 20,032
Oct-97 $ 22,924 $ 19,423 $ 19,235
Nov-97 $ 22,729 $ 19,281 $ 18,989
Dec-97 $ 22,870 $ 19,670 $ 18,968
Jan-98 $ 22,690 $ 19,287 $ 18,691
Feb-98 $ 24,691 $ 21,044 $ 20,087
Mar-98 $ 26,352 $ 21,848 $ 21,033
Apr-98 $ 26,052 $ 21,977 $ 21,235
May-98 $ 24,580 $ 20,814 $ 20,133
Jun-98 $ 25,101 $ 20,874 $ 20,061
Jul-98 $ 23,540 $ 19,278 $ 18,614
Aug-98 $ 18,396 $ 15,557 $ 15,016
Sep-98 $ 19,798 $ 16,511 $ 15,648
Oct-98 $ 20,418 $ 17,277 $ 16,290
Nov-98 $ 21,708 $ 18,249 $ 17,199
Dec-98 $ 23,634 $ 19,416 $ 18,279
Jan-99 $ 22,979 $ 19,171 $ 18,142
Feb-99 $ 20,831 $ 17,444 $ 16,660
Mar-99 $ 21,143 $ 17,669 $ 16,735
Apr-99 $ 22,232 $ 18,837 $ 17,864
May-99 $ 22,132 $ 19,294 $ 18,234
Jun-99 $ 23,717 $ 20,392 $ 19,288
Jul-99 $ 23,747 $ 20,213 $ 19,182
Aug-99 $ 23,232 $ 19,323 $ 18,478
Sep-99 $ 23,232 $ 19,404 $ 18,463
Oct-99 $ 22,970 $ 19,356 $ 18,624
Nov-99 $ 24,210 $ 20,165 $ 19,825
Dec-99 $ 26,885 $ 21,823 $ 21,964
Jan-00 $ 26,162 $ 21,146 $ 21,542
Feb-00 $ 29,673 $ 23,978 $ 24,580
Mar-00 $ 29,661 $ 23,090 $ 24,231
Apr-00 $ 29,955 $ 22,696 $ 22,884
May-00 $ 28,181 $ 22,024 $ 21,911
Jun-00 $ 30,427 $ 23,325 $ 23,844
Jul-00 $ 29,445 $ 22,752 $ 23,102
Aug-00 $ 32,436 $ 24,767 $ 25,160
Sep-00 $ 31,622 $ 24,094 $ 24,514
Oct-00 $ 31,486 $ 24,245 $ 23,776
Nov-00 $ 28,098 $ 21,721 $ 21,408
Dec-00 $ 30,692 $ 24,398 $ 23,487
Jan-01 $ 29,568 $ 25,444 $ 24,323
Feb-01 $ 27,469 $ 23,892 $ 22,778
Mar-01 $ 26,214 $ 22,795 $ 21,701
Apr-01 $ 28,326 $ 24,533 $ 23,430
May-01 $ 28,740 $ 25,001 $ 24,283
Jun-01 $ 29,062 $ 25,916 $ 25,034
Jul-01 $ 29,262 $ 25,483 $ 24,453
Aug-01 $ 28,393 $ 24,902 $ 23,768
Sep-01 $ 25,333 $ 21,536 $ 20,654
Oct-01 $ 26,255 $ 22,683 $ 21,881
Nov-01 $ 27,391 $ 24,342 $ 23,507
Dec-01 $ 28,783 $ 25,989 $ 25,157
Jan-02 $ 28,970 $ 26,216 $ 24,860
Feb-02 $ 28,689 $ 25,765 $ 24,197
Mar-02 $ 29,986 $ 27,800 $ 26,055
Apr-02 $ 30,493 $ 28,587 $ 26,183
May-02 $ 29,825 $ 27,403 $ 25,206
Jun-02 $ 28,059 $ 25,987 $ 23,795
Jul-02 $ 24,703 $ 22,317 $ 20,561
Aug-02 $ 24,891 $ 22,529 $ 20,670
Sep-02 $ 23,584 $ 21,150 $ 19,206
Oct-02 $ 23,921 $ 21,827 $ 19,888
Nov-02 $ 24,649 $ 22,962 $ 21,356
Dec-02 $ 23,801 $ 22,188 $ 20,318
Jan-03 $ 23,020 $ 21,425 $ 19,725
Feb-03 $ 22,723 $ 20,740 $ 19,109
Mar-03 $ 22,709 $ 20,903 $ 19,270
Apr-03 $ 24,338 $ 22,599 $ 20,875
May-03 $ 25,912 $ 24,420 $ 22,708
Jun-03 $ 26,371 $ 25,055 $ 23,230
Jul-03 $ 27,597 $ 26,358 $ 24,422
Aug-03 $ 29,104 $ 27,642 $ 25,479
Sep-03 $ 28,336 $ 26,829 $ 24,926
Oct-03 $ 30,841 $ 29,155 $ 26,886
Nov-03 $ 31,689 $ 30,257 $ 27,854
Dec-03 $ 32,468 $ 30,793 $ 28,628
</Table>
Source: Lipper Analytical Services, Inc. Past performance is no guarantee of
future results. Investment returns and principal value will fluctuate so that an
investor's shares, when redeemed, may be worth more or less than the original
cost.
The Fund commenced operations on 12/20/94.
Returns for the Select Shares prior to 5/7/96 (offering date of the Select
Shares) are calculated using the historical expenses of the Class A Shares,
which are higher than the expenses of the Select Shares.
Returns for the Class B Shares prior to 3/28/95 (offering date of the Class B
Shares) are calculated using the historical expenses of the Class A Shares,
which are lower than the expenses of the Class B Shares.
The graph illustrates comparative performance for $10,000 invested in Class A
Shares of the JPMorgan Small Cap Equity Fund, S&P SmallCap 600 Index and Lipper
Small-Cap Core Funds Index from December 20, 1994 to December 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 S&P SmallCap 600 Index includes 600 stocks of
small U.S. Companies chosen for market size, liquidity and industry group
representation. The Lipper Small-Cap Core Funds Index represents the total
returns of the funds in the indicated category, as defined by Lipper, Inc.
Investors cannot invest directly in an index.
Class A Shares have a $2,500 minimum initial deposit and carry a 5.75% sales
charge.
Certain fees and expenses of the Fund are currently being waived and reimbursed
as described in the prospectus. Had the expenses not been subsidized or waived,
returns would have been lower. Also all performance shown in this section does
not reflect the deduction of taxes that a shareholder would pay on fund
distributions or redemption of fund shares.
17
<Page>
JPMORGAN SMALL CAP GROWTH FUND
AS OF DECEMBER 31, 2003 (UNAUDITED)
FUND FACTS
<Table>
Fund Inception 11/14/1997
Fiscal Year End DECEMBER 31
Net Assets as of 12/31/2003
(In Millions) $ 4.4
Primary Benchmark RUSSSELL 2000
GROWTH INDEX
</Table>
Q: HOW DID THE FUND PERFORM?
A: JPMorgan Small Cap Growth Fund, which seeks growth from capital
appreciation, rose 40.25% (Institutional shares) during the year ended
December 31, 2003. This compares with a gain of 48.53% for the Russell
2000(R) Growth Index, the Fund's benchmark.
Q: WHY DID THE FUND PERFORM THIS WAY?
A: The Fund participated in the market's rapid ascent, although results
trailed the benchmark index. All sectors posted positive returns in the
period, with particularly strong stock selection in the Utilities sector.
Weaker stock selection in the Healthcare sector, however, offset the
stronger results and led to the Fund's underperformance.
Medcath was the portfolio's top detractor in the period, disappointing
investors with lackluster results earlier in the year. The company, which
develops hospitals focused on providing cardiovascular care, reported
earnings that met expectations but reflected moderate deterioration in
several important operating trends. We believed the lower-quality earnings
raised the possibility that it may become increasingly difficult for the
company to achieve ongoing operational efficiencies. Additionally, Daisytek
International, the leading wholesale distributor of consumable computer and
non-paper office supplies, also detracted from the portfolio's performance.
The company reported lower than expected profits for its fiscal third
quarter, citing a heavy cost burden associated with the company's growth
initiatives and a looming shortfall in working capital. As a result of
these announcements, both positions were sold from the portfolio.
Global Imaging Systems was the portfolio's top contributor for the period.
Shares rose strongly after the company reported its eleventh consecutive
quarter in which earnings per share exceeded consensus estimates, driven by
a combination of strong revenues and gross margins. The company provides
sales, service, and support of copiers, faxes, PCs and PC networks,
printers, and document imaging and storage equipment. Another top
contributor was Packeteer, the provider of bandwidth management software.
The sluggish economy has been a key driver of growth for the bandwidth
management industry as customers seek low-cost solutions to improve network
capacity in a time when expensive network upgrades are not possible.
Q: HOW WAS THE FUND MANAGED?
A: We continue to focus on maintaining our longstanding philosophy of making
long-term investments in small cap growth companies with leading
competitive positions and strong management.
During the period, we did increase the Fund's weighting in the Technology
sector, where we added names such as Artisan Components, Aeroflex and
Lawson Software. To fund these new names we reduced the portfolio's
exposure in the Financial Services sector, by eliminating stocks that had
disappointed such as AmeriCredit and Brown & Brown as well as taking
profits from those that performed extremely well such as Checkfree and
Chelsea Properties.
18
<Page>
[CHART]
PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS
<Table>
Technology 29.6%
Consumer Goods & Services 20.0%
Health Services & Systems 11.3%
Industrial Products & Services 9.2%
Finance & Insurance 7.8%
Pharmaceuticals 7.6%
Energy 5.2%
Telecommunications 4.5%
Short-Term Investments 3.8%
REITs 1.0%
</Table>
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO
<Table>
1. Global Imaging
Systems, Inc. 2.5%
2. Electronics for Imaging, Inc. 1.9%
3. Ruby Tuesday, Inc. 1.8%
4. Mettler-Toledo
International, Inc.
(Switzerland) 1.7%
5. UTI Worldwide, Inc.
(Virgin Islands) 1.7%
6. Gray Television, Inc. 1.6%
7. Nextel Partners, Inc., Class A 1.6%
8. United Surgical Partners
International, Inc. 1.6%
9. VCA Antech, Inc. 1.6%
10. Ritchie Bros.
Auctioneers, Inc. (Canada) 1.6%
</Table>
Top 10 equity holdings comprised 17.6% of the Portfolio's market value of
investments ($786 in thousands). As of December 31, 2003 the Fund held 89 equity
holdings. Portfolio holdings are subject to change at any time.
19
<Page>
AVERAGE ANNUAL TOTAL RETURNS
<Table>
<Caption>
SINCE
INCEPTION
1 YEAR 3 YEARS 5 YEARS (11/14/97)
---------------------------------------------------------------
CLASS A SHARES
Without Sales Charge 39.45% (9.82%) (0.18%) 2.47%
With Sales Charge* 31.34% (11.59%) (1.36%) 1.49%
---------------------------------------------------------------
INSTITUTIONAL SHARES 40.25% (9.16%) 0.25% 2.84%
---------------------------------------------------------------
SELECT SHARES 40.11% (9.36%) 0.13% 2.73%
</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 (11/14/97 TO 12/31/03)
<Table>
<Caption>
JPMORGAN SMALL CAP GROWTH FUND
(INSTITUTIONAL SHARES) RUSSELL 2000 INDEX RUSSELL 2000 GROWTH INDEX LIPPER SMALL-CAP GROWTH FUNDS INDEX
------------------------------ ------------------ ------------------------- -----------------------------------
Nov-97 $ 3,000,000 $ 3,000,000 $ 3,000,000 $ 3,000,000
Nov-97 $ 2,991,000 $ 3,000,000 $ 3,000,000 $ 3,000,000
Dec-97 $ 3,061,887 $ 3,052,500 $ 3,001,800 $ 2,960,100
Jan-98 $ 3,116,082 $ 3,004,271 $ 2,961,876 $ 2,916,291
Feb-98 $ 3,278,430 $ 3,226,286 $ 3,223,410 $ 3,151,927
Mar-98 $ 3,485,627 $ 3,359,209 $ 3,358,471 $ 3,294,394
Apr-98 $ 3,524,666 $ 3,377,685 $ 3,378,957 $ 3,318,443
May-98 $ 3,389,319 $ 3,195,628 $ 3,133,645 $ 3,083,497
Jun-98 $ 3,482,525 $ 3,202,338 $ 3,165,608 $ 3,173,844
Jul-98 $ 3,233,176 $ 2,942,949 $ 2,901,280 $ 2,935,171
Aug-98 $ 2,599,150 $ 2,371,428 $ 2,231,664 $ 2,294,129
Sep-98 $ 2,845,550 $ 2,557,111 $ 2,457,955 $ 2,416,865
Oct-98 $ 3,019,697 $ 2,661,441 $ 2,586,261 $ 2,512,090
Nov-98 $ 3,193,934 $ 2,800,901 $ 2,786,954 $ 2,716,323
Dec-98 $ 3,516,521 $ 2,974,276 $ 3,039,174 $ 2,988,498
Jan-99 $ 3,590,016 $ 3,013,834 $ 3,175,937 $ 3,060,820
Feb-99 $ 3,427,748 $ 2,769,714 $ 2,885,338 $ 2,766,369
Mar-99 $ 3,461,340 $ 2,812,921 $ 2,988,056 $ 2,891,409
Apr-99 $ 3,819,588 $ 3,064,959 $ 3,251,902 $ 3,004,174
May-99 $ 3,969,698 $ 3,109,707 $ 3,257,105 $ 3,020,697
Jun-99 $ 4,118,562 $ 3,250,266 $ 3,428,754 $ 3,303,434
Jul-99 $ 4,338,905 $ 3,161,209 $ 3,322,806 $ 3,291,872
Aug-99 $ 4,090,720 $ 3,044,244 $ 3,198,533 $ 3,245,786
Sep-99 $ 4,171,307 $ 3,044,853 $ 3,260,264 $ 3,363,608
Oct-99 $ 4,286,018 $ 3,057,032 $ 3,343,727 $ 3,559,706
Nov-99 $ 4,599,754 $ 3,239,537 $ 3,697,159 $ 4,008,941
Dec-99 $ 5,152,645 $ 3,606,253 $ 4,348,968 $ 4,817,144
Jan-00 $ 4,814,116 $ 3,548,192 $ 4,308,523 $ 4,767,045
Feb-00 $ 5,118,849 $ 4,133,999 $ 5,311,116 $ 6,163,790
Mar-00 $ 5,393,220 $ 3,861,568 $ 4,752,918 $ 5,679,932
Apr-00 $ 5,272,951 $ 3,629,102 $ 4,272,873 $ 4,977,892
May-00 $ 5,020,904 $ 3,417,525 $ 3,898,570 $ 4,570,701
Jun-00 $ 5,746,927 $ 3,715,533 $ 4,402,265 $ 5,375,601
Jul-00 $ 5,468,775 $ 3,595,893 $ 4,024,991 $ 5,025,650
Aug-00 $ 5,991,590 $ 3,870,260 $ 4,448,420 $ 5,565,907
Sep-00 $ 5,687,217 $ 3,756,474 $ 4,227,333 $ 5,290,395
Oct-00 $ 5,367,596 $ 3,588,936 $ 3,884,074 $ 4,893,615
Nov-00 $ 4,524,883 $ 3,220,711 $ 3,178,726 $ 4,060,232
Dec-00 $ 4,751,580 $ 3,497,370 $ 3,373,264 $ 4,419,157
Jan-01 $ 5,014,817 $ 3,679,583 $ 3,646,161 $ 4,553,941
Feb-01 $ 4,283,657 $ 3,438,202 $ 3,146,272 $ 3,971,037
Mar-01 $ 3,683,945 $ 3,270,074 $ 2,860,276 $ 3,585,449
Apr-01 $ 4,265,272 $ 3,525,794 $ 3,210,374 $ 3,972,678
May-01 $ 4,460,621 $ 3,612,528 $ 3,284,855 $ 4,080,337
Jun-01 $ 4,705,955 $ 3,737,161 $ 3,374,531 $ 4,183,162
Jul-01 $ 4,228,771 $ 3,534,980 $ 3,086,684 $ 3,950,159
Aug-01 $ 3,915,419 $ 3,420,800 $ 2,893,766 $ 3,716,310
Sep-01 $ 3,102,187 $ 2,960,361 $ 2,426,712 $ 3,136,194
Oct-01 $ 3,529,048 $ 3,133,542 $ 2,660,162 $ 3,366,077
Nov-01 $ 3,951,475 $ 3,376,078 $ 2,882,285 $ 3,626,948
Dec-01 $ 4,233,215 $ 3,584,382 $ 3,061,852 $ 3,846,741
Jan-02 $ 4,165,060 $ 3,547,104 $ 2,952,850 $ 3,730,570
Feb-02 $ 3,688,161 $ 3,449,914 $ 2,761,800 $ 3,504,870
Mar-02 $ 3,947,070 $ 3,727,287 $ 3,001,801 $ 3,791,568
Apr-02 $ 3,674,722 $ 3,761,205 $ 2,936,962 $ 3,691,471
May-02 $ 3,356,858 $ 3,594,207 $ 2,765,150 $ 3,543,443
Jun-02 $ 3,007,074 $ 3,415,935 $ 2,530,665 $ 3,280,165
Jul-02 $ 2,534,662 $ 2,900,129 $ 2,141,702 $ 2,815,038
Aug-02 $ 2,548,350 $ 2,892,588 $ 2,140,631 $ 2,810,815
Sep-02 $ 2,298,611 $ 2,684,900 $ 1,986,077 $ 2,640,480
Oct-02 $ 2,471,237 $ 2,771,086 $ 2,086,573 $ 2,753,228
Nov-02 $ 2,721,079 $ 3,018,267 $ 2,293,352 $ 2,983,949
Dec-02 $ 2,539,311 $ 2,850,149 $ 2,135,111 $ 2,784,621
Jan-03 $ 2,475,828 $ 2,771,200 $ 2,077,036 $ 2,711,107
Feb-03 $ 2,380,509 $ 2,687,510 $ 2,021,579 $ 2,626,521
Mar-03 $ 2,421,454 $ 2,722,179 $ 2,052,105 $ 2,680,627
Apr-03 $ 2,621,466 $ 2,980,241 $ 2,246,234 $ 2,902,047
May-03 $ 2,884,923 $ 3,300,021 $ 2,499,385 $ 3,198,055
Jun-03 $ 2,944,064 $ 3,359,751 $ 2,547,623 $ 3,306,469
Jul-03 $ 3,103,043 $ 3,570,072 $ 2,740,223 $ 3,499,898
Aug-03 $ 3,289,226 $ 3,733,581 $ 2,887,373 $ 3,685,393
Sep-03 $ 3,171,143 $ 3,664,510 $ 2,814,322 $ 3,594,732
Oct-03 $ 3,434,665 $ 3,972,329 $ 3,057,480 $ 3,920,415
Nov-03 $ 3,507,480 $ 4,113,346 $ 3,157,154 $ 4,024,698
Dec-03 $ 3,561,680 $ 4,196,847 $ 3,171,361 $ 4,030,332
</Table>
Source: Lipper Analytical Services, Inc. Past performance is no guarantee of
future results. Investment returns and principal value will fluctuate so that an
investor's shares, when redeemed, may be worth more or less than their original
cost.
The Fund commenced operations on 11/14/97.
Returns for the Select Shares prior to 10/31/01 (offering date of the Select
Shares) are calculated using the historical expenses of the Institutional
Shares, which are lower than the expenses of the Select Shares.
Returns for the Class A, Class B, and Class C Shares prior to 4/30/01 (offering
date of the Class A, Class B, and Class C Shares) are calculated using the
historical expenses of the Institutional Shares, which are lower than the
expenses of the Class A, Class B, and Class C Shares.
The graph illustrates comparative performance for $3,000,000 invested in
Institutional Shares of the JPMorgan Small Cap Growth Fund, Russell 2000 Index,
Russell 2000 Growth Index and Lipper Small-Cap Growth Funds Index from November
14, 1997 to December 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
Russell 2000 Index is an unmanaged, capitalization weighted price only index,
which is comprised of 2000 of the smallest stocks (on the basis of
capitalization) in the Russell 3000 Index. The Russell 2000 Growth Index
measures the performance of those Russell 2000 companies with higher
price-to-book ratios and higher forecasted growth rates. The Lipper Small-Cap
Growth Funds Index represents the total returns of the funds in the indicated
category, as defined by Lipper, Inc. Investors cannot invest directly in an
index.
Institutional Shares have a $3,000,000 minimum initial deposit and carry no
sales charge.
Certain fees and expenses of the Fund are currently being waived and reimbursed
as described in the prospectus. Had the expenses not been subsidized or waived,
returns would have been lower. Also all performance shown in this section does
not reflect the deduction of taxes that a shareholder would pay on fund
distributions or redemption of fund shares.
20
<Page>
JPMORGAN TRUST SMALL CAP EQUITY FUND
AS OF DECEMBER 31, 2003 (UNAUDITED)
FUND FACTS
<Table>
Fund Inception 1/1/1997
Fiscal Year End DECEMBER 31
Net Assets as of 12/31/2003
(In Millions) $ 386.0
Primary Benchmark S&P SMALL CAP
600 INDEX
</Table>
Q: HOW DID THE FUND PERFORM?
A: JPMorgan Trust Small Cap Equity Fund, which seeks capital growth over the
long term, rose 35.20% during the year ended December 31, 2003. This
compares with an appreciation of 38.78% by the S&P Small Cap 600 Index, the
Fund's benchmark.
Q: WHY DID THE FUND PERFORM THIS WAY?
A: The Fund delivered strong absolute performance in 2003, although it trailed
its benchmark. In the rally that dominated the 2003 equity market, it was
low-quality, non-earning, micro-cap stocks that led the market for most of
the year. Our bias toward owning high-quality, profitable, relatively large
small cap companies hurt relative performance during the year.
Stock selection added to relative performance in a number of areas, most
significantly in the Health Services and Systems and Pharmaceuticals
sectors. In Health Services and Systems, our holdings gained 60% during the
year. Key holdings such as managed care provider, Coventry Health Care,
medical device manufacturer, Inamed Corp, and contact lens maker, Cooper
Companies, drove this outperformance. In Pharmaceuticals, Scios, a
biotechnology company that makes drugs to treat cardiovascular diseases and
chronic pain, contributed to performance when it was acquired by Johnson &
Johnson.
Given the strong rally in the market, our large cash position was a major
detractor from relative performance. Stock selection in the Industrial
Cyclical and Basic Materials sectors also negatively impacted relative
performance. As the most cyclical stocks led the rally, our less cyclical
holdings underperformed. Our less cyclical holdings included Alliant
Techsystems, a maker of defense equipment; Waste Connections, a waste
collection company; and EMCOR Group, a provider of construction and
facilities services.
In the Basic Materials sector, the portfolio suffered from being
underweight in the metals and mining industry stocks as rising commodity
prices and the weak dollar drove a robust rally. In addition, our holdings
in the specialty chemical industry sector, such as Scotts Company, Georgia
Gulf Corp., Spartech Corp. and Albemarle Corp. all underperformed. The
stock price of Cambrex Corp., a manufacturer of specialty chemicals used to
make pharmaceuticals, was the largest detractor, declining 16% during the
year after reducing its profit forecast in early April.
Q: HOW WAS THE FUND MANAGED?
A: During the year, we increased our weightings in areas that we believe are
positioned to benefit from an economic and market recovery, such as
technology and industrial cyclical stocks. At year-end, the Fund had
significant overweights in the Systems Hardware and Industrial Cyclical
sectors. We were underweight in the Basic Materials and Finance sectors.
21
<Page>
[CHART]
PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS
<Table>
Consumer Goods & Services 27.7%
Technology 19.9%
Industrial Products & Services 18.4%
Finance & Insurance 11.8%
Health Services & Systems 9.2%
Energy 5.9%
Utilities 2.5%
Pharmaceuticals 1.8%
REITs 1.7%
Short-Term Investments 1.1%
</Table>
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO
<Table>
1. International Rectifier Corp. 1.6%
2. CACI International, Inc., 1.5%
3. East-West Bancorp, Inc. 1.5%
4. West Marine, Inc. 1.3%
5. Cooper Companies, Inc. 1.3%
6. Chico's FAS, Inc. 1.3%
7. Patina Oil & Gas Corp. 1.3%
8. AnnTaylor Stores Corp. 1.3%
9. Winnebago Industries, Inc. 1.2%
10. Oshkosh Truck Corp. 1.2%
</Table>
Top 10 equity holdings comprised 13.5% of the Portfolio's market value of
investments ($52,633 in thousands). As of December 31, 2003 the Fund held 118
equity holdings. Portfolio holdings are subject to change at any time.
22
<Page>
AVERAGE ANNUAL TOTAL RETURNS
<Table>
<Caption>
1 YEAR 3 YEARS 5 YEARS 10 YEARS
--------------------------------------------------------------
SELECT SHARES 35.20% 2.41% 2.97% 6.75%
</Table>
[CHART]
LIFE OF FUND PERFORMANCE (12/31/93 TO 12/31/03)
<Table>
<Caption>
JPMORGAN TRUST SMALL CAP EQUITY S&P SMALLCAP 600 INDEX LIPPER SMALL-CAP CORE FUNDS INDEX
------------------------------- ---------------------- ---------------------------------
Dec-93 $ 1,000,000 $ 1,000,000 $ 1,000,000
Jan-94 $ 1,007,100 $ 1,023,600 $ 1,026,400
Feb-94 $ 1,007,301 $ 1,020,632 $ 1,024,450
Mar-94 $ 957,138 $ 947,452 $ 984,599
Apr-94 $ 931,678 $ 961,664 $ 982,925
May-94 $ 947,330 $ 942,623 $ 985,382
Jun-94 $ 954,719 $ 907,652 $ 953,357
Jul-94 $ 956,629 $ 918,907 $ 967,086
Aug-94 $ 996,711 $ 981,484 $ 1,011,668
Sep-94 $ 998,406 $ 976,381 $ 1,013,489
Oct-94 $ 1,012,683 $ 966,617 $ 1,018,759
Nov-94 $ 971,872 $ 929,692 $ 992,985
Dec-94 $ 982,563 $ 952,283 $ 1,001,624
Jan-95 $ 995,925 $ 938,761 $ 1,011,941
Feb-95 $ 1,021,421 $ 977,438 $ 1,052,216
Mar-95 $ 1,029,797 $ 997,182 $ 1,074,523
Apr-95 $ 1,037,211 $ 1,019,419 $ 1,092,575
May-95 $ 1,054,222 $ 1,035,322 $ 1,105,795
Jun-95 $ 1,102,294 $ 1,092,162 $ 1,149,806
Jul-95 $ 1,146,606 $ 1,175,712 $ 1,213,390
Aug-95 $ 1,168,506 $ 1,201,225 $ 1,253,796
Sep-95 $ 1,195,382 $ 1,231,856 $ 1,275,236
Oct-95 $ 1,152,468 $ 1,171,002 $ 1,230,092
Nov-95 $ 1,188,655 $ 1,213,158 $ 1,266,872
Dec-95 $ 1,177,601 $ 1,233,176 $ 1,309,439
Jan-96 $ 1,177,365 $ 1,235,889 $ 1,318,998
Feb-96 $ 1,202,326 $ 1,276,302 $ 1,365,690
Mar-96 $ 1,246,932 $ 1,303,615 $ 1,399,833
Apr-96 $ 1,303,792 $ 1,378,442 $ 1,496,421
May-96 $ 1,315,656 $ 1,427,377 $ 1,563,910
Jun-96 $ 1,299,605 $ 1,371,424 $ 1,492,908
Jul-96 $ 1,243,073 $ 1,277,070 $ 1,371,684
Aug-96 $ 1,298,762 $ 1,355,993 $ 1,441,640
Sep-96 $ 1,342,011 $ 1,415,521 $ 1,502,189
Oct-96 $ 1,313,695 $ 1,405,754 $ 1,474,098
Nov-96 $ 1,367,819 $ 1,478,713 $ 1,527,313
Dec-96 $ 1,364,399 $ 1,496,014 $ 1,554,346
Jan-97 $ 1,341,750 $ 1,520,847 $ 1,589,008
Feb-97 $ 1,339,603 $ 1,488,149 $ 1,547,376
Mar-97 $ 1,288,431 $ 1,408,831 $ 1,469,388
Apr-97 $ 1,296,934 $ 1,426,019 $ 1,469,829
May-97 $ 1,426,498 $ 1,593,576 $ 1,626,513
Jun-97 $ 1,510,233 $ 1,664,012 $ 1,718,411
Jul-97 $ 1,589,370 $ 1,768,678 $ 1,821,859
Aug-97 $ 1,586,986 $ 1,813,249 $ 1,866,495
Sep-97 $ 1,657,130 $ 1,933,105 $ 2,006,482
Oct-97 $ 1,607,416 $ 1,849,594 $ 1,926,624
Nov-97 $ 1,572,375 $ 1,836,092 $ 1,901,963
Dec-97 $ 1,605,552 $ 1,873,181 $ 1,899,871
Jan-98 $ 1,572,477 $ 1,836,654 $ 1,872,133
Feb-98 $ 1,692,615 $ 2,003,974 $ 2,011,981
Mar-98 $ 1,778,092 $ 2,080,525 $ 2,106,745
Apr-98 $ 1,775,247 $ 2,092,801 $ 2,126,970
May-98 $ 1,707,610 $ 1,982,091 $ 2,016,580
Jun-98 $ 1,694,461 $ 1,987,839 $ 2,009,321
Jul-98 $ 1,625,836 $ 1,835,770 $ 1,864,449
Aug-98 $ 1,383,911 $ 1,481,466 $ 1,504,051
Sep-98 $ 1,424,737 $ 1,572,280 $ 1,567,371
Oct-98 $ 1,470,471 $ 1,645,234 $ 1,631,634
Nov-98 $ 1,565,316 $ 1,737,860 $ 1,722,679
Dec-98 $ 1,660,487 $ 1,848,910 $ 1,830,863
Jan-99 $ 1,649,030 $ 1,825,614 $ 1,817,131
Feb-99 $ 1,523,704 $ 1,661,126 $ 1,668,672
Mar-99 $ 1,499,629 $ 1,682,554 $ 1,676,181
Apr-99 $ 1,617,500 $ 1,793,771 $ 1,789,323
May-99 $ 1,677,994 $ 1,837,360 $ 1,826,362
Jun-99 $ 1,726,824 $ 1,941,906 $ 1,931,926
Jul-99 $ 1,695,569 $ 1,924,817 $ 1,921,300
Aug-99 $ 1,579,422 $ 1,840,125 $ 1,850,788
Sep-99 $ 1,485,604 $ 1,847,853 $ 1,849,308
Oct-99 $ 1,408,799 $ 1,843,234 $ 1,865,397
Nov-99 $ 1,494,172 $ 1,920,281 $ 1,985,715
Dec-99 $ 1,601,453 $ 2,078,128 $ 2,199,974
Jan-00 $ 1,523,623 $ 2,013,706 $ 2,157,734
Feb-00 $ 1,662,730 $ 2,283,341 $ 2,461,975
Mar-00 $ 1,689,333 $ 2,198,858 $ 2,427,015
Apr-00 $ 1,713,998 $ 2,161,257 $ 2,292,073
May-00 $ 1,638,753 $ 2,097,284 $ 2,194,659
Jun-00 $ 1,773,295 $ 2,221,233 $ 2,388,228
Jul-00 $ 1,715,840 $ 2,166,591 $ 2,313,954
Aug-00 $ 1,894,802 $ 2,358,551 $ 2,520,128
Sep-00 $ 1,837,390 $ 2,294,398 $ 2,455,361
Oct-00 $ 1,833,531 $ 2,308,853 $ 2,381,454
Nov-00 $ 1,634,776 $ 2,068,502 $ 2,144,261
Dec-00 $ 1,789,426 $ 2,323,341 $ 2,352,469
Jan-01 $ 1,732,880 $ 2,423,012 $ 2,436,217
Feb-01 $ 1,613,485 $ 2,275,208 $ 2,281,517
Mar-01 $ 1,545,234 $ 2,170,776 $ 2,173,601
Apr-01 $ 1,662,672 $ 2,336,190 $ 2,346,838
May-01 $ 1,685,950 $ 2,380,811 $ 2,432,262
Jun-01 $ 1,705,169 $ 2,467,948 $ 2,507,419
Jul-01 $ 1,715,230 $ 2,426,734 $ 2,449,247
Aug-01 $ 1,666,174 $ 2,371,404 $ 2,380,668
Sep-01 $ 1,491,893 $ 2,050,790 $ 2,068,801
Oct-01 $ 1,549,778 $ 2,160,097 $ 2,191,687
Nov-01 $ 1,625,872 $ 2,318,001 $ 2,354,530
Dec-01 $ 1,711,230 $ 2,474,929 $ 2,519,818
Jan-02 $ 1,729,027 $ 2,496,461 $ 2,490,084
Feb-02 $ 1,712,947 $ 2,453,522 $ 2,423,599
Mar-02 $ 1,793,970 $ 2,647,350 $ 2,609,731
Apr-02 $ 1,826,620 $ 2,722,270 $ 2,622,519
May-02 $ 1,787,713 $ 2,609,568 $ 2,524,699
Jun-02 $ 1,683,489 $ 2,474,654 $ 2,383,316
Jul-02 $ 1,483,827 $ 2,125,233 $ 2,059,423
Aug-02 $ 1,496,143 $ 2,145,422 $ 2,070,338
Sep-02 $ 1,412,808 $ 2,014,122 $ 1,923,758
Oct-02 $ 1,430,327 $ 2,078,574 $ 1,992,052
Nov-02 $ 1,472,092 $ 2,186,660 $ 2,139,065
Dec-02 $ 1,421,305 $ 2,112,970 $ 2,035,106
Jan-03 $ 1,373,549 $ 2,040,284 $ 1,975,681
Feb-03 $ 1,357,341 $ 1,974,994 $ 1,914,040
Mar-03 $ 1,355,848 $ 1,990,597 $ 1,930,118
Apr-03 $ 1,451,707 $ 2,152,034 $ 2,090,897
May-03 $ 1,544,180 $ 2,325,488 $ 2,274,478
Jun-03 $ 1,571,667 $ 2,385,951 $ 2,326,791
Jul-03 $ 1,642,078 $ 2,510,020 $ 2,446,155
Aug-03 $ 1,731,242 $ 2,632,258 $ 2,552,073
Sep-03 $ 1,678,786 $ 2,554,870 $ 2,496,693
Oct-03 $ 1,828,869 $ 2,776,377 $ 2,692,933
Nov-03 $ 1,884,650 $ 2,881,324 $ 2,789,879
Dec-03 $ 1,922,493 $ 2,932,324 $ 2,867,438
</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 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 the
JPMorgan Trust Small Cap Equity Fund, S&P SmallCap 600 Index, and Lipper
Small-Cap Core Funds Index from December 31, 1993 to December 31, 2003. The
performance of the Fund assumes reinvestment of all dividends and capital gains.
The performance of the indices does not include a sales charge and has been
adjusted to reflect reinvestment of all dividends and capital gains of the
securities included in the benchmark. The S&P SmallCap 600 Index includes 600
stocks of small U.S. Companies chosen for market size, liquidity and industry
group representation. The Lipper Small-Cap Core Funds Index represents the total
returns of the funds in the indicated category, as defined by Lipper, Inc.
Investor's cannot invest directly in an index.
Select Shares have a $1,000,000 minimum initial deposit and carry no sales
charge.
Certain fees and expenses of the Fund are currently being waived and reimbursed
as described in the prospectus. Had the expenses not been subsidized or waived,
returns would have been lower. Also all performance shown in this section does
not reflect the deduction of taxes that a shareholder would pay on fund
distributions or redemption of fund shares.
23
<Page>
JPMORGAN U.S. SMALL COMPANY FUND
AS OF DECEMBER 31, 2003 (UNAUDITED)
FUND FACTS
<Table>
Fund Inception 11/4/1993
Fiscal Year End DECEMBER 31
Net Assets as of 12/31/2003
(In Millions) $ 339.5
Primary Benchmark RUSSELL 2000 INDEX
</Table>
Q: HOW DID THE FUND PERFORM?
A: JPMorgan U.S. Small Company Fund, which seeks to provide high total return
from a portfolio of small company stocks, had a return of 40.03%
(Institutional shares) during the year ended December 31, 2003. This
compares to a 47.25% return from the Russell 2000 Index, the Fund's
benchmark.
Q: WHY DID THE FUND PERFORM THIS WAY?
A: The Fund underperformed its benchmark for the year, as both stock selection
and sector weightings detracted from performance. Stock selection within
Finance, Industrial Cyclical and Pharmaceuticals positively contributed to
performance, while Software and Services, Health Services and Systems and
Systems Hardware detracted from it. An overweight in Pharmaceuticals
contributed, while an underweight in Basic Materials sectors had a negative
impact on performance. Main stock contributors for the year were Unova
Inc., Wabash National Corp. and Doral Financial Corp., while main
detractors included Emcor Group Inc., CTI Molecular Imaging and First
Horizon Pharmaceuticals.
Q: HOW WAS THE FUND MANAGED?
A: The Fund utilizes active stock selection, within a systematic valuation
process. This strategy invests in a diversified portfolio of 200 to 250
U.S. small capitalization stocks, with the aim of limiting the style or
theme volatility that characterizes many small-cap fund competitors. As
such, it is managed to maintain risk characteristics similar to those of
the Russell 2000 index. The portfolio management team continued to focus on
the bottom-up selection of attractively valued small-cap companies with
strong fundamentals. Investment decisions are made based on market
conditions, analysts' input and the portfolio managers' own quantitative
and qualitative analysis.
24
<Page>
[CHART]
PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS
<Table>
Technology 22.0%
Consumer Goods & Services 18.0%
Industrial Products & Services 17.3%
Finance & Insurance 14.6%
Pharmaceuticals 8.5%
Health Services & Systems 5.7%
REITs 5.4%
Energy 3.7%
Telecommunications 2.5%
Utilities 1.9%
Short-Term Investments 0.3%
Fixed Income 0.1%
</Table>
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO
<Table>
1. Crown Holdings, Inc. 2.1%
2. Adolor Corp. 1.5%
3. Maxtor Corp. 1.4%
4. Zebra Technologies Corp.,
Class A 1.3%
5. Pier 1 Imports, Inc. 1.3%
6. Silgan Holdings, Inc. 1.3%
7. Precision Castparts Corp. 1.2%
8. Credence Systems Corp. 1.2%
9. Western Digital Corp. 1.1%
10. AtheroGenics, Inc. 1.0%
</Table>
Top 10 equity holdings comprised 13.5% of the Portfolio's market value of
investments ($46,897 in thousands). As of December 31, 2003 the Fund held 245
equity holdings. Portfolio holdings are subject to change at any time.
25
<Page>
AVERAGE ANNUAL TOTAL RETURNS
<Table>
<Caption>
1 YEAR 3 YEARS 5 YEARS 10 YEARS
---------------------------------------------------------------
INSTITUTIONAL SHARES 40.03% 0.55% 5.81% 8.75%
---------------------------------------------------------------
SELECT SHARES 39.72% 0.38% 5.61% 8.61%
</Table>
[CHART]
LIFE OF FUND PERFORMANCE (12/31/93 TO 12/31/03)
<Table>
<Caption>
JPMORGAN U.S. SMALL COMPANY FUND
(INSTITUTIONAL SHARES) RUSSELL 2000 INDEX LIPPER SMALL-CAP CORE FUNDS INDEX
-------------------------------- ------------------ ---------------------------------
Dec-93 $ 3,000,000 $ 3,000,000 $ 3,000,000
Jan-94 $ 3,081,300 $ 3,093,900 $ 3,079,200
Feb-94 $ 3,039,086 $ 3,082,762 $ 3,073,350
Mar-94 $ 2,907,190 $ 2,920,300 $ 2,953,796
Apr-94 $ 2,884,804 $ 2,937,530 $ 2,948,775
May-94 $ 2,814,704 $ 2,904,630 $ 2,956,147
Jun-94 $ 2,710,841 $ 2,806,744 $ 2,860,072
Jul-94 $ 2,766,413 $ 2,852,774 $ 2,901,257
Aug-94 $ 2,898,648 $ 3,011,674 $ 3,035,005
Sep-94 $ 2,873,430 $ 3,001,434 $ 3,040,468
Oct-94 $ 2,893,256 $ 2,989,429 $ 3,056,278
Nov-94 $ 2,766,532 $ 2,868,656 $ 2,978,955
Dec-94 $ 2,825,736 $ 2,945,536 $ 3,004,871
Jan-95 $ 2,820,084 $ 2,908,422 $ 3,035,822
Feb-95 $ 2,953,192 $ 3,029,412 $ 3,156,647
Mar-95 $ 3,046,513 $ 3,081,215 $ 3,223,568
Apr-95 $ 3,120,239 $ 3,149,618 $ 3,277,724
May-95 $ 3,159,866 $ 3,203,792 $ 3,317,385
Jun-95 $ 3,324,179 $ 3,370,068 $ 3,449,417
Jul-95 $ 3,494,044 $ 3,564,184 $ 3,640,169
Aug-95 $ 3,564,973 $ 3,637,963 $ 3,761,387
Sep-95 $ 3,625,934 $ 3,703,082 $ 3,825,707
Oct-95 $ 3,506,641 $ 3,537,555 $ 3,690,277
Nov-95 $ 3,652,167 $ 3,686,132 $ 3,800,616
Dec-95 $ 3,726,671 $ 3,783,446 $ 3,928,317
Jan-96 $ 3,751,267 $ 3,779,284 $ 3,956,993
Feb-96 $ 3,886,312 $ 3,897,198 $ 4,097,071
Mar-96 $ 3,941,498 $ 3,976,700 $ 4,199,498
Apr-96 $ 4,144,091 $ 4,189,454 $ 4,489,263
May-96 $ 4,284,990 $ 4,354,518 $ 4,691,729
Jun-96 $ 4,110,163 $ 4,175,548 $ 4,478,724
Jul-96 $ 3,824,917 $ 3,811,022 $ 4,115,052
Aug-96 $ 4,026,490 $ 4,032,443 $ 4,324,919
Sep-96 $ 4,188,758 $ 4,190,111 $ 4,506,566
Oct-96 $ 4,211,377 $ 4,125,584 $ 4,422,293
Nov-96 $ 4,367,198 $ 4,295,558 $ 4,581,938
Dec-96 $ 4,503,018 $ 4,408,101 $ 4,663,038
Jan-97 $ 4,599,383 $ 4,496,263 $ 4,767,024
Feb-97 $ 4,499,576 $ 4,387,004 $ 4,642,128
Mar-97 $ 4,279,997 $ 4,179,938 $ 4,408,165
Apr-97 $ 4,253,461 $ 4,191,641 $ 4,409,487
May-97 $ 4,689,441 $ 4,658,171 $ 4,879,539
Jun-97 $ 4,908,906 $ 4,858,007 $ 5,155,233
Jul-97 $ 5,225,040 $ 5,083,904 $ 5,465,578
Aug-97 $ 5,329,541 $ 5,200,325 $ 5,599,484
Sep-97 $ 5,662,104 $ 5,580,989 $ 6,019,446
Oct-97 $ 5,424,296 $ 5,335,984 $ 5,779,872
Nov-97 $ 5,448,705 $ 5,301,300 $ 5,705,889
Dec-97 $ 5,524,987 $ 5,394,073 $ 5,699,613
Jan-98 $ 5,362,000 $ 5,308,846 $ 5,616,398
Feb-98 $ 5,865,492 $ 5,701,170 $ 6,035,943
Mar-98 $ 6,172,257 $ 5,936,058 $ 6,320,236
Apr-98 $ 6,122,879 $ 5,968,706 $ 6,380,911
May-98 $ 5,793,468 $ 5,646,993 $ 6,049,741
Jun-98 $ 5,755,810 $ 5,658,852 $ 6,027,962
Jul-98 $ 5,256,206 $ 5,200,485 $ 5,593,346
Aug-98 $ 4,223,887 $ 4,190,551 $ 4,512,152
Sep-98 $ 4,512,379 $ 4,518,671 $ 4,702,114
Oct-98 $ 4,649,104 $ 4,703,033 $ 4,894,901
Nov-98 $ 4,876,910 $ 4,949,471 $ 5,168,036
Dec-98 $ 5,233,412 $ 5,255,844 $ 5,492,589
Jan-99 $ 5,241,785 $ 5,325,746 $ 5,451,394
Feb-99 $ 4,788,895 $ 4,894,361 $ 5,006,015
Mar-99 $ 4,978,535 $ 4,970,713 $ 5,028,543
Apr-99 $ 5,245,883 $ 5,416,089 $ 5,367,969
May-99 $ 5,168,244 $ 5,495,164 $ 5,479,086
Jun-99 $ 5,556,379 $ 5,743,545 $ 5,795,777
Jul-99 $ 5,530,264 $ 5,586,172 $ 5,763,901
Aug-99 $ 5,448,416 $ 5,379,484 $ 5,552,365
Sep-99 $ 5,603,696 $ 5,380,560 $ 5,547,923
Oct-99 $ 5,858,664 $ 5,402,082 $ 5,596,190
Nov-99 $ 6,601,542 $ 5,724,586 $ 5,957,145
Dec-99 $ 7,551,504 $ 6,372,609 $ 6,599,921
Jan-00 $ 7,512,992 $ 6,270,010 $ 6,473,202
Feb-00 $ 8,990,046 $ 7,305,189 $ 7,385,924
Mar-00 $ 8,178,245 $ 6,823,777 $ 7,281,044
Apr-00 $ 7,012,027 $ 6,412,986 $ 6,876,217
May-00 $ 6,523,990 $ 6,039,109 $ 6,583,978
Jun-00 $ 7,594,577 $ 6,565,719 $ 7,164,685
Jul-00 $ 7,210,291 $ 6,354,303 $ 6,941,863
Aug-00 $ 8,035,869 $ 6,839,136 $ 7,560,383
Sep-00 $ 7,815,687 $ 6,638,065 $ 7,366,082
Oct-00 $ 7,253,739 $ 6,342,008 $ 7,144,363
Nov-00 $ 6,142,466 $ 5,691,318 $ 6,432,784
Dec-00 $ 6,827,965 $ 6,180,202 $ 7,057,407
Jan-01 $ 6,921,508 $ 6,502,190 $ 7,308,651
Feb-01 $ 6,200,979 $ 6,075,647 $ 6,844,552
Mar-01 $ 5,751,408 $ 5,778,548 $ 6,520,804
Apr-01 $ 6,338,627 $ 6,230,430 $ 7,040,513
May-01 $ 6,585,200 $ 6,383,699 $ 7,296,787
Jun-01 $ 6,709,001 $ 6,603,936 $ 7,522,258
Jul-01 $ 6,343,361 $ 6,246,663 $ 7,347,742
Aug-01 $ 6,056,641 $ 6,044,896 $ 7,142,005
Sep-01 $ 5,192,358 $ 5,231,253 $ 6,206,402
Oct-01 $ 5,473,784 $ 5,537,281 $ 6,575,062
Nov-01 $ 5,854,212 $ 5,965,867 $ 7,063,590
Dec-01 $ 6,223,027 $ 6,333,961 $ 7,559,454
Jan-02 $ 6,094,211 $ 6,268,088 $ 7,470,252
Feb-02 $ 5,980,249 $ 6,096,342 $ 7,270,796
Mar-02 $ 6,440,728 $ 6,586,488 $ 7,829,193
Apr-02 $ 6,385,982 $ 6,646,425 $ 7,867,556
May-02 $ 6,118,409 $ 6,351,324 $ 7,574,097
Jun-02 $ 5,806,370 $ 6,036,298 $ 7,149,947
Jul-02 $ 4,998,704 $ 5,124,817 $ 6,178,269
Aug-02 $ 5,048,191 $ 5,111,493 $ 6,211,014
Sep-02 $ 4,740,757 $ 4,744,487 $ 5,771,274
Oct-02 $ 4,815,187 $ 4,896,785 $ 5,976,155
Nov-02 $ 5,132,507 $ 5,333,579 $ 6,417,195
Dec-02 $ 4,955,436 $ 5,036,498 $ 6,105,319
Jan-03 $ 4,736,406 $ 4,896,987 $ 5,927,044
Feb-03 $ 4,517,110 $ 4,749,098 $ 5,742,120
Mar-03 $ 4,536,985 $ 4,810,362 $ 5,790,354
Apr-03 $ 4,930,342 $ 5,266,384 $ 6,272,690
May-03 $ 5,448,521 $ 5,831,467 $ 6,823,433
Jun-03 $ 5,583,099 $ 5,937,017 $ 6,980,372
Jul-03 $ 5,837,130 $ 6,308,674 $ 7,338,465
Aug-03 $ 6,130,738 $ 6,597,611 $ 7,656,220
Sep-03 $ 5,956,625 $ 6,475,555 $ 7,490,080
Oct-03 $ 6,579,092 $ 7,019,502 $ 8,078,800
Nov-03 $ 6,738,306 $ 7,268,694 $ 8,369,637
Dec-03 $ 6,940,757 $ 7,416,249 $ 8,602,313
</Table>
Source: Lipper Analytical Services, Inc. Past performance is no guarantee of
future results. Investment returns and principal value will fluctuate so that an
investor's shares, when redeemed, may be worth more or less than the original
cost.
The Fund commenced operations on 11/4/93.
Returns for the Institutional Shares prior to 9/10/01 (offering date of the
Institutional Shares) are calculated using the historical expenses of the J.P.
Morgan Institutional U.S. Small Company Fund, which are similar to the expenses
of the Institutional Shares.
Returns for the Select Shares prior to 9/10/01 (offering date of the Select
Shares) are calculated using the historical expenses of the J.P. Morgan U.S.
Small Company Fund, which are similar to the expenses of the Select Shares.
The graph illustrates comparative performance for $3,000,000 invested in
Institutional Shares of the JPMorgan U.S. Small Company Fund, Russell 2000
Index, and Lipper Small-Cap Core Funds Index from December 31, 1993 to December
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 2000 Index is an unmanaged, capitalization weighted price only index,
which is comprised of 2000 of the smallest stocks (on the basis of
capitalization) in the Russell 3000 Index. The Lipper Small-Cap Core Funds Index
represents the total returns of the funds in the indicated category, as defined
by Lipper, Inc. Investors cannot invest directly in an index.
Institutional Shares have a $3,000,000 minimum initial deposit and carry no
sales charge.
Certain fees and expenses of the Fund are currently being waived and reimbursed
as described in the prospectus. Had the expenses not been subsidized or waived,
returns would have been lower. Also all performance shown in this section does
not reflect the deduction of taxes that a shareholder would pay on fund
distributions or redemption of fund shares.
26
<Page>
JPMORGAN U.S. SMALL COMPANY OPPORTUNITIES FUND
AS OF DECEMBER 31, 2003 (UNAUDITED)
FUND FACTS
<Table>
Fund Inception 6/16/1997
Fiscal Year End DECEMBER 31
Net Assets as of 12/31/2003
(In Millions) $ 9.7
Primary Benchmark RUSSELL 2000
GROWTH INDEX
</Table>
Q: HOW DID THE FUND PERFORM?
A: JPMorgan U.S. Small Company Opportunities Fund, which seeks to provide
long-term growth through a portfolio of small company growth stocks, rose
28.13% during the year ended December 31, 2003. This compares with a gain
of 48.53% for the Russell 2000(R) Growth Index, the Fund's benchmark.
Q: WHY DID THE FUND PERFORM THIS WAY?
A: The Fund participated in the market's rapid ascent, although results
trailed the benchmark index. All sectors posted positive returns in the
period, however, weaker stock selection in the Consumer Discretionary
sector led to the Fund's underperformance.
Alloy Online was the portfolio's top detractor in the period, disappointing
investors with lackluster results earlier in the year. The company, which
operates a retail catalog and online presence, reported earnings that fell
short of expectations due to higher expenses in its retail business.
Additionally shares of the semiconductor company Monolithic Systems
declined when its major customer, Nintendo, slashed the sales forecast of
its Gamecube. As a result of these announcements, both positions were sold
from the portfolio.
Global Imaging Systems was the portfolio's top contributor for the period.
Shares rose strongly after the company reported its eleventh consecutive
quarter in which earnings per share exceeded consensus estimates, driven by
a combination of strong revenues and gross margins. The company provides
sales, service, and support of copiers, faxes, PCs and PC networks,
printers, and document imaging and storage equipment.
Q: HOW WAS THE FUND MANAGED?
A: During the year, management of the portfolio was transitioned to a new team
that currently manages the JPMorgan Small Cap Growth Fund. The portfolio
managers utilize a "bottom up" approach to construct the fund's portfolio,
basing their stock selection on a combination of proprietary company
research complemented by research derived from third-party sources. The
research process is designed to identify companies with predictable and
durable business models deemed capable of achieving sustainable growth.
Potential investments are subjected to rigorous financial analysis and a
disciplined approach to valuation.
As a result of the transition, the number of holdings in the Fund was
reduced. Additionally, the portfolio's exposure to the Consumer
Discretionary sector was increased and to fund these new names the
portfolio's exposure in the Materials and Processing sector was eliminated.
27
<Page>
[CHART]
PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS
<Table>
Technology 30.5%
Consumer Goods & Services 20.9%
Health Services & Systems 11.7%
Industrial Products & Services 9.6%
Finance & Insurance 8.2%
Pharmaceuticals 7.8%
Energy 5.4%
Telecommunications 4.7%
REITs 1.0%
Short-Term Investments 0.2%
</Table>
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO
<Table>
1. Global Imaging
Systems, Inc. 2.7%
2. Mettler-Toledo
International, Inc.
(Switzerland) 1.9%
3. Electronics for Imaging, Inc 1.9%
4. Ruby Tuesday, Inc. 1.8%
5. UTI Worldwide, Inc.
(Virgin Islands) 1.7%
6. Ritchien Bros.
Auctioneers, Inc. (Canada) 1.7%
7. Gray Television, Inc. 1.7%
8. Nextel Partners, Inc.,
Class A 1.7%
9. ProAssurance Corp. 1.6%
10. United Surgical Partners
International, Inc. 1.6%
</Table>
Top 10 equity holdings comprised 18.3% of the Portfolio's market value of
investments ($2,050 in thousands). As of December 31, 2003 the Fund held 89
equity holdings. Portfolio holdings are subject to change at any time.
28
<Page>
AVERAGE ANNUAL TOTAL RETURNS
<Table>
<Caption>
SINCE
INCEPTION
1 YEAR 3 YEARS 5 YEARS (5/19/97)
---------------------------------------------------------------
SELECT SHARES 28.13% (13.49%) (3.89%) 0.33%
</Table>
[CHART]
LIFE OF FUND PERFORMANCE (06/16/97 TO 12/31/03)
<Table>
<Caption>
JPMORGAN U.S. SMALL COMPANY OPPORTUNITIES FUND
(SELECT SHARES) RUSSELL 2000 GROWTH INDEX LIPPER SMALL-CAP GROWTH FUNDS INDEX
---------------------------------------------- ------------------------- -----------------------------------
Jun-97 $ 1,000,000 $ 1,000,000 $ 1,000,000
Jun-97 $ 1,028,000 $ 1,000,000 $ 1,000,000
Jul-97 $ 1,092,970 $ 1,051,200 $ 1,060,200
Aug-97 $ 1,114,938 $ 1,082,736 $ 1,077,057
Sep-97 $ 1,222,976 $ 1,169,138 $ 1,167,745
Oct-97 $ 1,151,921 $ 1,098,873 $ 1,108,074
Nov-97 $ 1,136,946 $ 1,072,720 $ 1,083,031
Dec-97 $ 1,183,902 $ 1,073,364 $ 1,068,627
Jan-98 $ 1,182,955 $ 1,059,088 $ 1,052,811
Feb-98 $ 1,288,947 $ 1,152,605 $ 1,137,878
Mar-98 $ 1,363,964 $ 1,200,899 $ 1,189,310
Apr-98 $ 1,360,963 $ 1,208,225 $ 1,197,992
May-98 $ 1,256,986 $ 1,120,508 $ 1,113,175
Jun-98 $ 1,268,047 $ 1,131,937 $ 1,145,791
Jul-98 $ 1,186,005 $ 1,037,420 $ 1,059,627
Aug-98 $ 905,040 $ 797,984 $ 828,205
Sep-98 $ 1,012,016 $ 878,899 $ 872,513
Oct-98 $ 1,045,008 $ 924,778 $ 906,890
Nov-98 $ 1,131,012 $ 996,540 $ 980,621
Dec-98 $ 1,245,696 $ 1,086,727 $ 1,078,879
Jan-99 $ 1,303,248 $ 1,135,630 $ 1,104,988
Feb-99 $ 1,189,213 $ 1,031,720 $ 998,688
Mar-99 $ 1,229,290 $ 1,068,449 $ 1,043,829
Apr-99 $ 1,274,528 $ 1,162,793 $ 1,084,538
May-99 $ 1,250,949 $ 1,164,654 $ 1,090,503
Jun-99 $ 1,389,679 $ 1,226,031 $ 1,192,574
Jul-99 $ 1,384,537 $ 1,188,147 $ 1,188,400
Aug-99 $ 1,361,969 $ 1,143,710 $ 1,171,762
Sep-99 $ 1,412,362 $ 1,165,784 $ 1,214,297
Oct-99 $ 1,485,381 $ 1,195,628 $ 1,285,091
Nov-99 $ 1,688,879 $ 1,322,005 $ 1,447,269
Dec-99 $ 2,013,650 $ 1,555,075 $ 1,739,039
Jan-00 $ 2,083,524 $ 1,540,613 $ 1,720,953
Feb-00 $ 2,616,906 $ 1,899,113 $ 2,225,192
Mar-00 $ 2,220,183 $ 1,699,517 $ 2,050,514
Apr-00 $ 1,849,190 $ 1,527,865 $ 1,797,071
May-00 $ 1,634,314 $ 1,394,024 $ 1,650,070
Jun-00 $ 2,042,403 $ 1,574,132 $ 1,940,648
Jul-00 $ 1,863,488 $ 1,439,229 $ 1,814,312
Aug-00 $ 2,193,512 $ 1,590,636 $ 2,009,350
Sep-00 $ 2,084,494 $ 1,511,582 $ 1,909,887
Oct-00 $ 1,851,239 $ 1,388,841 $ 1,766,646
Nov-00 $ 1,401,018 $ 1,136,628 $ 1,465,786
Dec-00 $ 1,577,967 $ 1,206,189 $ 1,595,362
Jan-01 $ 1,607,475 $ 1,303,770 $ 1,644,020
Feb-01 $ 1,341,277 $ 1,125,023 $ 1,433,585
Mar-01 $ 1,155,510 $ 1,022,758 $ 1,294,384
Apr-01 $ 1,349,173 $ 1,147,944 $ 1,434,178
May-01 $ 1,380,879 $ 1,174,576 $ 1,473,044
Jun-01 $ 1,385,436 $ 1,206,642 $ 1,510,165
Jul-01 $ 1,261,994 $ 1,103,716 $ 1,426,049
Aug-01 $ 1,179,333 $ 1,034,733 $ 1,341,627
Sep-01 $ 940,282 $ 867,727 $ 1,132,199
Oct-01 $ 1,021,805 $ 951,203 $ 1,215,189
Nov-01 $ 1,123,781 $ 1,030,628 $ 1,309,366
Dec-01 $ 1,187,274 $ 1,094,836 $ 1,388,713
Jan-02 $ 1,119,244 $ 1,055,860 $ 1,346,774
Feb-02 $ 1,040,001 $ 987,546 $ 1,265,294
Mar-02 $ 1,138,593 $ 1,073,364 $ 1,368,796
Apr-02 $ 1,085,307 $ 1,050,179 $ 1,332,659
May-02 $ 1,011,723 $ 988,744 $ 1,279,220
Jun-02 $ 933,517 $ 904,898 $ 1,184,174
Jul-02 $ 796,477 $ 765,815 $ 1,016,258
Aug-02 $ 808,902 $ 765,433 $ 1,014,733
Sep-02 $ 761,338 $ 710,168 $ 953,241
Oct-02 $ 780,600 $ 746,103 $ 993,944
Nov-02 $ 836,101 $ 820,042 $ 1,077,237
Dec-02 $ 797,557 $ 763,459 $ 1,005,277
Jan-03 $ 752,255 $ 742,693 $ 978,738
Feb-03 $ 703,509 $ 722,863 $ 948,201
Mar-03 $ 722,785 $ 733,778 $ 967,734
Apr-03 $ 768,104 $ 803,193 $ 1,047,669
May-03 $ 850,829 $ 893,713 $ 1,154,531
Jun-03 $ 863,251 $ 910,962 $ 1,193,670
Jul-03 $ 888,199 $ 979,831 $ 1,263,499
Aug-03 $ 931,277 $ 1,032,448 $ 1,330,465
Sep-03 $ 898,403 $ 1,006,327 $ 1,297,736
Oct-03 $ 975,485 $ 1,093,273 $ 1,415,310
Nov-03 $ 1,003,775 $ 1,128,914 $ 1,452,958
Dec-03 $ 1,021,679 $ 1,133,994 $ 1,454,992
</Table>
Source: Lipper Analytical Services, Inc. Past performance is no guarantee of
future results. Investment returns and principal value will fluctuate so that an
investor's shares, when redeemed, may be worth more or less than the original
cost.
The Fund commenced operations on 6/16/97.
Returns for the Select Shares prior to 9/10/01 (offering date of the Select
Shares) are calculated using the historical expenses of the J.P. Morgan U.S.
Small Company Opportunities Fund, which are similar to the expenses of the
Select Shares.
The graph illustrates comparative performance for $1,000,000 invested in Select
Shares of the JPMorgan U.S. Small Company Opportunities Fund, Russell 2000
Growth Index, and Lipper Small-Cap Growth Funds Index from June 16, 1997 to
December 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 2000 Growth measures the performance of those Russell
2000 companies with higher price-to-book ratios and higher forecasted growth
rates. The Lipper Small-Cap Growth Funds Index represents the total returns of
the funds in the indicated category, as defined by Lipper, Inc. Investors cannot
invest directly in an index.
Select Shares have a $1,000,000 minimum initial deposit and carry no sales
charge.
Certain fees and expenses of the Fund are currently being waived and reimbursed
as described in the prospectus. Had the expenses not been subsidized or waived,
returns would have been lower. Also all performance shown in this section does
not reflect the deduction of taxes that a shareholder would pay on fund
distributions or redemption of fund shares.
29
<Page>
JPMORGAN DYNAMIC SMALL CAP FUND
PORTFOLIO OF INVESTMENTS AS OF DECEMBER 31, 2003
(Amounts in thousands)
<Table>
<Caption>
SHARES ISSUER VALUE
- ---------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- 98.7%
COMMON STOCKS -- 98.7%
AEROSPACE -- 3.0%
37 Alliant Techsystems, Inc.* $ 2,134
66 Engineered Support Systems, Inc. 3,627
---------------------------------------------------------------------
5,761
---------------------------------------------------------------------
APPAREL -- 1.2%
64 Coach, Inc.* 2,397
AUTOMOTIVE -- 5.1%
42 Gentex Corp. 1,848
29 Lithia Motors, Inc., Class A 721
59 O'Reilly Automotive, Inc.* 2,259
106 Wabash National Corp.* 3,112
28 Winnebago Industries, Inc. 1,925
---------------------------------------------------------------------
9,865
---------------------------------------------------------------------
BANKING -- 5.4%
50 CVB Financial Corp. 968
55 East-West Bancorp, Inc. 2,926
45 Southwest Bancorp of Texas, Inc. 1,744
40 Texas Regional Bancshares, Class A 1,468
53 UCBH Holdings, Inc. 2,065
62 Umpqua Holdings Corp. 1,285
---------------------------------------------------------------------
10,456
---------------------------------------------------------------------
BIOTECHNOLOGY -- 1.7%
31 Integra LifeSciences Holdings Corp.* 899
37 Martek Biosciences Corp.* 2,384
---------------------------------------------------------------------
3,283
---------------------------------------------------------------------
BUSINESS SERVICES -- 1.6%
114 Administaff, Inc.* 1,976
28 Iron Mountain, Inc.* 1,117
---------------------------------------------------------------------
3,093
---------------------------------------------------------------------
COMPUTER NETWORKS -- 1.2%
65 Avocent Corp.* 2,390
COMPUTER SOFTWARE -- 11.8%
79 Ansys, Inc.* 3,153
41 BARRA, Inc. 1,462
40 Cerner Corp.* (l) $ 1,503
46 Global Payments, Inc. 2,186
25 Kronos, Inc.* 982
52 Manhattan Associates, Inc.* 1,425
161 MAPICS, Inc.* 2,106
123 MRO Software, Inc.* 1,653
30 National Instruments Corp. 1,364
75 Progress Software Corp.* 1,537
151 RSA Security, Inc.,* 2,137
71 Serena Software, Inc.* (l) 1,296
50 THQ, Inc.* 846
59 Trident Microsystems, Inc.* 1,019
---------------------------------------------------------------------
22,669
---------------------------------------------------------------------
COMPUTERS/COMPUTER HARDWARE -- 1.1%
33 Zebra Technologies Corp., Class A* 2,197
CONSTRUCTION -- 0.5%
2 NVR, Inc.* 1,025
CONSUMER PRODUCTS -- 3.8%
21 Ethan Allen Interiors, Inc. 867
49 Fossil, Inc.* 1,364
43 Harman International Industries, Inc. 3,167
32 The Scotts Co., Class A* 1,875
---------------------------------------------------------------------
7,273
---------------------------------------------------------------------
CONSUMER SERVICES -- 2.4%
45 Arbitron, Inc.* 1,886
69 Regis Corp. 2,731
---------------------------------------------------------------------
4,617
---------------------------------------------------------------------
ELECTRONICS/ELECTRICAL EQUIPMENT -- 4.9%
16 Amphenol Corp., Class A* 1,036
41 DSP Group, Inc.* 1,009
63 FEI Co.* 1,406
151 Integrated Electrical Services, Inc.* 1,394
83 ROFIN-SINAR Technologies, Inc.* 2,872
40 Varian, Inc.* 1,669
---------------------------------------------------------------------
9,386
---------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
30
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- ---------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
ENTERTAINMENT/LEISURE -- 1.9%
76 Alliance Gaming Corp.* $ 1,878
77 Penn National Gaming, Inc.* 1,768
---------------------------------------------------------------------
3,646
---------------------------------------------------------------------
ENVIRONMENTAL SERVICES -- 1.4%
34 Stericycle, Inc.* 1,583
29 Waste Connections, Inc.* 1,109
---------------------------------------------------------------------
2,692
---------------------------------------------------------------------
FINANCIAL SERVICES -- 0.8%
93 Investment Technology Group, Inc.* 1,499
FOOD/BEVERAGE PRODUCTS -- 1.2%
29 Performance Food Group Co.* (l) 1,034
34 United Natural Foods, Inc.* (l) 1,218
---------------------------------------------------------------------
2,252
---------------------------------------------------------------------
HEALTH CARE/HEALTH CARE SERVICES -- 13.1%
62 Advanced Neuromodulation
Systems, Inc.* 2,837
101 Arthrocare Corp.* (l) 2,472
38 ICU Medical, Inc.* (l) 1,313
49 Idexx Laboratories, Inc.* 2,249
107 Merit Medical Systems, Inc.* 2,386
53 Mid Atlantic Medical Services* 3,427
77 Odyssey Healthcare, Inc.* 2,241
25 Pediatrix Medical Group, Inc.* 1,397
73 Possis Medical, Inc.* 1,434
29 Respironics, Inc.* 1,326
25 TECHNE Corp.* 946
58 VCA Antech, Inc.* (l) 1,800
39 Wright Medical Group, Inc.* 1,181
---------------------------------------------------------------------
25,009
---------------------------------------------------------------------
HOTELS/OTHER LODGING -- 1.5%
61 Extended Stay America, Inc. 885
118 Orient-Express Hotels LTD (Bermuda),
Class A 1,934
---------------------------------------------------------------------
2,819
---------------------------------------------------------------------
INSURANCE -- 0.9%
54 ProAssurance Corp.* (l) 1,730
MACHINERY & ENGINEERING EQUIPMENT -- 1.8%
53 Graco, Inc. $ 2,125
50 Lindsay Manufacturing Co. 1,263
---------------------------------------------------------------------
3,388
---------------------------------------------------------------------
MANUFACTURING -- 0.6%
24 Clarcor, Inc. 1,063
MULTI-MEDIA -- 1.7%
63 Lin TV Corp., Class A* 1,623
90 Radio One, Inc., Class D* (l) 1,732
---------------------------------------------------------------------
3,355
---------------------------------------------------------------------
OIL & GAS -- 6.0%
29 Evergreen Resources, Inc.* (l) 956
66 Key Energy Services, Inc.* 675
22 Patina Oil & Gas Corp. 1,083
21 Penn Virginia Corp. 1,180
88 Pride International, Inc.* 1,640
62 Spinnaker Exploration Co.* 1,994
41 Varco International, Inc.* 850
79 W-H Energy Services, Inc.* 1,278
63 Westport Resources Corp.* 1,890
---------------------------------------------------------------------
11,546
---------------------------------------------------------------------
PHARMACEUTICALS -- 5.6%
72 Medicines Co.* 2,124
24 Medicis Pharmaceutical Corp., Class A 1,676
39 MGI Pharma, Inc.* 1,609
80 NBTY, Inc.* 2,135
16 Neurocrine Biosciences, Inc.* 867
35 Pharmaceutical Resources, Inc.* 2,306
---------------------------------------------------------------------
10,717
---------------------------------------------------------------------
REAL ESTATE INVESTMENT TRUST -- 0.5%
19 Pan Pacific Retail Properties, Inc. 910
RESTAURANTS/FOOD SERVICES -- 2.9%
35 P.F. Chang's China Bistro, Inc.* (l) 1,786
49 Panera Bread Co., Class A* 1,921
63 Sonic Corp.* 1,938
---------------------------------------------------------------------
5,645
---------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
31
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- ---------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
RETAILING -- 4.9%
47 Aeropostale, Inc.* $ 1,291
81 Haverty Furniture Co., Inc. 1,617
70 Hibbett Sporting Goods, Inc.* 2,083
88 Hot Topic, Inc.* 2,602
60 The J. Jill Group, Inc.* 766
66 Too, Inc.* (l) 1,111
---------------------------------------------------------------------
9,470
---------------------------------------------------------------------
SEMI-CONDUCTORS -- 5.2%
34 Cymer, Inc.* 1,566
57 Genesis Microchip, Inc.* 1,032
87 Pixelworks, Inc.* 956
27 Power Integrations, Inc.* 897
55 Rudolph Technologies, Inc.* (l) 1,351
62 Semtech Corp.* 1,407
31 Silicon Laboratories, Inc.* 1,335
32 Varian Semiconductor Equipment
Associates, Inc.* 1,411
---------------------------------------------------------------------
9,955
---------------------------------------------------------------------
TELECOMMUNICATIONS -- 0.8%
83 Viasat, Inc.* 1,585
TELECOMMUNICATIONS EQUIPMENT -- 0.4%
72 C-COR.net Corp.* 802
TOYS & GAMES -- 0.4%
36 RC2 Corp.* 737
TRANSPORTATION -- 3.0%
100 Heartland Express, Inc. $ 2,421
66 Knight Transportation, Inc.* 1,680
78 Pacer International, Inc.* 1,577
---------------------------------------------------------------------
5,678
---------------------------------------------------------------------
UTILITIES -- 0.4%
30 American States Water Co. 741
---------------------------------------------------------------------
Total Common Stocks 189,651
(Cost $142,446)
---------------------------------------------------------------------
SHORT-TERM INVESTMENT -- 1.3%
MONEY MARKET FUND -- 1.3%
2,432 JPMorgan Prime Money Market Fund (a) 2,432
(Cost $2,432)
---------------------------------------------------------------------
TOTAL INVESTMENTS -- 100.0% $ 192,083
(COST $144,878)
---------------------------------------------------------------------
<Caption>
SHARES COLLATERAL INVESTMENTS VALUE
- ---------------------------------------------------------------------------------
MONEY MARKET FUNDS (c)
3,298 Merrill Lynch Premier Institution
Money Market Fund $ 3,298
3,382 Reserve Primary Money Market Fund 3,382
2,723 AIM Short Term Investment Co. 2,723
---------------------------------------------------------------------
$ 9,403
---------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
32
<Page>
JPMORGAN MID CAP EQUITY FUND
PORTFOLIO OF INVESTMENTS AS OF DECEMBER 31, 2003
(Amounts in thousands)
<Table>
<Caption>
SHARES ISSUER VALUE
- ---------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- 98.1%
COMMON STOCKS -- 98.1%
AEROSPACE -- 0.3%
21 United Defense Industries, Inc.* $ 676
AGRICULTURAL PRODUCTION/SERVICES -- 0.4%
20 UST, Inc. 714
AIRLINES -- 0.4%
47 SkyWest, Inc. 856
APPAREL -- 1.6%
16 Columbia Sportswear Co.* 877
52 VF Corp. 2,227
---------------------------------------------------------------------
3,104
---------------------------------------------------------------------
AUTOMOTIVE -- 1.2%
41 Genuine Parts Co. 1,371
10 Polaris Industries, Inc. (l) 899
---------------------------------------------------------------------
2,270
---------------------------------------------------------------------
BANKING -- 8.1%
38 Banknorth Group, Inc. 1,236
26 BB&T Corp. 1,016
21 BOK Financial Corp.* 819
15 Commerce Bancorp, Inc. 809
30 Compass Bancshares, Inc. 1,179
30 Cullen/Frost Bankers, Inc. 1,225
18 M&T Bank Corp. 1,809
20 New York Community Bancorp, Inc. 761
50 North Fork Bancorporation, Inc. 2,023
38 TCF Financial Corp. 1,951
19 Washington Federal, Inc. 551
19 Webster Financial Corp. 848
52 Wilmington Trust Corp. 1,876
---------------------------------------------------------------------
16,103
---------------------------------------------------------------------
BIOTECHNOLOGY -- 1.2%
31 Biogen Idec, Inc.* 1,122
9 Gilead Sciences, Inc.* 538
17 ICOS Corp.* (l) 704
---------------------------------------------------------------------
2,364
---------------------------------------------------------------------
BROADCASTING/CABLE -- 0.5%
23 Univision Communications, Inc., Class A* $ 911
BUSINESS SERVICES -- 5.3%
36 Accenture LTD (Bermuda), Class A* 936
15 Affiliated Computer Services, Inc., Class A* 828
15 ChoicePoint, Inc.* (l) 584
8 Cintas Corp. 414
37 Deluxe Corp. 1,512
17 Equifax, Inc. 407
13 Fair Isaac Corp. 632
47 Hewitt Associates, Inc., Class A* 1,412
45 IMS Health, Inc. 1,109
59 Interactive Data Corp.* 972
22 Iron Mountain, Inc.* 852
12 Moody's Corp. 696
---------------------------------------------------------------------
10,354
---------------------------------------------------------------------
CHEMICALS -- 1.1%
18 Sigma-Aldrich Corp. 1,024
30 The Sherwin-Williams Co. 1,056
---------------------------------------------------------------------
2,080
---------------------------------------------------------------------
COMPUTER NETWORKS -- 1.0%
58 Juniper Networks, Inc.* 1,074
47 Network Appliance, Inc.* 966
---------------------------------------------------------------------
2,040
---------------------------------------------------------------------
COMPUTER SOFTWARE -- 4.7%
21 Adobe Systems, Inc. 808
13 Cognos, Inc. (Canada)* 393
71 Computer Associates International, Inc. 1,938
36 DST Systems, Inc.* 1,487
20 Electronic Arts, Inc.* 932
9 Intuit, Inc.* 468
13 Mercury Interactive Corp.* (l) 625
17 National Instruments Corp. 782
17 Synopsys, Inc.* 572
27 Take-Two Interactive Software, Inc.* 785
15 VERITAS Software Corp.* 557
---------------------------------------------------------------------
9,347
---------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
33
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- ---------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
COMPUTERS/COMPUTER HARDWARE -- 2.3%
31 Apple Computer, Inc.* $ 671
18 Lexmark International, Inc.* 1,431
59 Maxtor Corp.* 651
19 Tech Data Corp.* 741
16 Zebra Technologies Corp., Class A* 1,090
---------------------------------------------------------------------
4,584
---------------------------------------------------------------------
CONSTRUCTION -- 0.6%
1 Lennar Corp., B Shares 117
12 Lennar Corp., Class A 1,138
---------------------------------------------------------------------
1,255
---------------------------------------------------------------------
CONSTRUCTION MATERIALS -- 1.2%
28 Florida Rock Industries, Inc. 1,525
19 Vulcan Materials Co. 899
---------------------------------------------------------------------
2,424
---------------------------------------------------------------------
CONSUMER PRODUCTS -- 0.8%
12 Fortune Brands, Inc. 872
47 Tempur-Pedic International, Inc.* 729
---------------------------------------------------------------------
1,601
---------------------------------------------------------------------
CONSUMER SERVICES -- 0.4%
26 Rent-A-Center, Inc.* 774
ELECTRONICS/ELECTRICAL EQUIPMENT -- 2.4%
20 Amphenol Corp., Class A* 1,253
19 Fisher Scientific International* (l) 801
25 Jabil Circuit, Inc.* 700
17 Mettler-Toledo International, Inc.
(Switzerland)* 734
58 Vishay Intertechnology, Inc.* (l) 1,332
---------------------------------------------------------------------
4,820
---------------------------------------------------------------------
ENTERTAINMENT/LEISURE -- 1.0%
28 International Game Technology 1,010
32 Station Casinos, Inc. 973
---------------------------------------------------------------------
1,983
---------------------------------------------------------------------
ENVIRONMENTAL SERVICES -- 1.1%
85 Republic Services, Inc. 2,179
FINANCIAL SERVICES -- 4.5%
25 Charter One Financial, Inc. $ 864
29 Golden West Financial Corp. 2,962
11 H & R Block, Inc. 620
17 Legg Mason, Inc. 1,343
65 T. Rowe Price Group, Inc. 3,064
---------------------------------------------------------------------
8,853
---------------------------------------------------------------------
FOOD/BEVERAGE PRODUCTS -- 2.1%
7 Brown-Forman Corp., Class B 653
11 Constellation Brands, Inc., Class A* 362
36 Dean Foods Co.* 1,184
45 Hormel Foods Corp. 1,161
17 The J.M. Smucker Co. 763
---------------------------------------------------------------------
4,123
---------------------------------------------------------------------
HEALTH CARE/HEALTH CARE SERVICES -- 6.2%
14 Anthem, Inc.* 1,069
28 Caremark Rx, Inc.* 704
10 Dentsply International, Inc. 470
37 Health Management Associates, Inc.,
Class A 876
19 Hillenbrand Industries, Inc. 1,148
18 Laboratory Corp. of America Holdings* 652
23 Lincare Holdings, Inc.* 682
34 Omnicare, Inc. 1,359
14 Renal Care Group, Inc.* 593
20 Steris Corp.* 455
10 Stryker Corp. 888
20 WellPoint Health Networks, Inc.* 1,960
20 Zimmer Holdings, Inc.* 1,376
---------------------------------------------------------------------
12,232
---------------------------------------------------------------------
HOTELS/OTHER LODGING -- 0.6%
43 Fairmont Hotels & Resorts, Inc. (Canada) 1,167
INSURANCE -- 5.2%
24 Cincinnati Financial Corp. 997
21 HCC Insurance Holdings, Inc. 681
48 IPC Holdings LTD (Bermuda) 1,857
46 MGIC Investment Corp. 2,591
26 Old Republic International Corp. 650
12 PartnerRe LTD (Bermuda) 679
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
34
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- ---------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
INSURANCE -- CONTINUED
24 Principal Financial Group, Inc. $ 804
31 SAFECO Corp. 1,195
23 Willis Group Holdings LTD
(United Kingdom) 773
---------------------------------------------------------------------
10,227
---------------------------------------------------------------------
INTERNET SERVICES/SOFTWARE -- 0.5%
13 CheckFree Corp.* (l) 361
24 Orbitz, Inc., Class A* (l) 545
---------------------------------------------------------------------
906
---------------------------------------------------------------------
MACHINERY & ENGINEERING EQUIPMENT -- 0.4%
18 IDEX Corp. 757
MANUFACTURING -- 2.1%
7 Carlisle Companies, Inc. 426
25 Cooper Industries LTD, Class A 1,448
41 Crane Co. 1,251
24 Harsco Corp. 1,030
---------------------------------------------------------------------
4,155
---------------------------------------------------------------------
MULTI-MEDIA -- 2.6%
25 Gannett Co., Inc. 2,229
11 Knight Ridder, Inc. 843
21 The E.W. Scripps Co., Class A 2,015
---------------------------------------------------------------------
5,087
---------------------------------------------------------------------
OIL & GAS -- 5.5%
28 Burlington Resources, Inc. 1,562
42 Devon Energy Corp. 2,410
23 Equitable Resources, Inc. 1,000
23 FMC Technologies, Inc.* 535
15 Murphy Oil Corp. 999
13 Nabors Industries LTD (Barbados)* 546
14 Patterson-UTI Energy, Inc.* 444
25 Pioneer Natural Resources Co.* 798
25 Premcor, Inc.* 637
29 Pride International, Inc.* (l) 539
12 Talisman Energy, Inc. (Canada) 699
27 XTO Energy, Inc. 763
---------------------------------------------------------------------
10,932
---------------------------------------------------------------------
PAPER/FOREST PRODUCTS -- 1.0%
18 Plum Creek Timber Co., Inc. $ 560
33 Rayonier, Inc. 1,375
---------------------------------------------------------------------
1,935
---------------------------------------------------------------------
PHARMACEUTICALS -- 2.5%
6 AmerisourceBergen Corp. 320
18 Medicis Pharmaceutical Corp., Class A 1,301
29 Millennium Pharmaceuticals, Inc.* 538
83 NBTY, Inc.* 2,236
24 Sepracor, Inc.* 571
---------------------------------------------------------------------
4,966
---------------------------------------------------------------------
PIPELINES -- 1.0%
33 Kinder Morgan, Inc. 1,938
PRINTING & PUBLISHING -- 0.8%
2 Washington Post Co., Class B 1,488
REAL ESTATE -- 1.2%
42 Brookfield Properties Corp. (Canada) 1,200
25 LNR Property Corp. 1,223
---------------------------------------------------------------------
2,423
---------------------------------------------------------------------
REAL ESTATE INVESTMENT TRUST -- 3.2%
25 AMB Property Corp. 822
28 Equity Residential 826
29 Kimco Realty Corp. 1,276
20 Manufactured Home Communities, Inc. 753
29 PS Business Parks, Inc. 1,201
10 Public Storage, Inc. 425
20 Vornado Realty Trust 1,095
---------------------------------------------------------------------
6,398
---------------------------------------------------------------------
RESTAURANTS/FOOD SERVICES -- 3.1%
29 CBRL Group, Inc. 1,127
69 Outback Steakhouse, Inc. 3,056
18 Ruby Tuesday, Inc. 506
22 Wendy's International, Inc. 844
18 Yum! Brands, Inc.* 602
---------------------------------------------------------------------
6,135
---------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
35
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- ---------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
RETAILING -- 6.7%
11 Advanced Auto Parts, Inc.* $ 916
28 AutoZone, Inc.* 2,344
54 Big Lots, Inc.* 769
23 CarMax, Inc.* 710
18 CDW Corp. 1,028
19 Chico's FAS, Inc.* 713
62 Dollar General Corp. 1,302
17 Fastenal Co. 841
47 Foot Locker, Inc. 1,107
32 PETsMART, Inc. 772
40 Staples, Inc.* 1,104
38 The TJX Companies, Inc. 838
11 Whole Foods Market, Inc.* 710
---------------------------------------------------------------------
13,154
---------------------------------------------------------------------
SEMI-CONDUCTORS -- 4.2%
46 Altera Corp.* 1,033
21 Amkor Technology, Inc.* 385
28 Broadcom Corp., Class A* 943
16 Intersil Corp., Class A 388
21 KLA-Tencor Corp.* 1,252
19 Maxim Integrated Products, Inc. 921
43 MEMC Electronics Materials, Inc.* (l) 416
21 Microchip Technology, Inc. 712
28 Novellus Systems, Inc.* 1,160
52 PMC-Sierra, Inc.* 1,045
---------------------------------------------------------------------
8,255
---------------------------------------------------------------------
TELECOMMUNICATIONS -- 3.3%
35 Alltel Corp. 1,639
40 CenturyTel, Inc. 1,305
33 Nextel Communications, Inc., Class A* (l) 929
72 Nextel Partners, Inc., Class A* (l) 967
25 Telephone & Data Systems, Inc. 1,564
---------------------------------------------------------------------
6,404
---------------------------------------------------------------------
TELECOMMUNICATIONS EQUIPMENT -- 0.7%
67 Corning, Inc.* 696
96 JDS Uniphase Corp.* 351
132 Lucent Technologies, Inc.* (l) 375
---------------------------------------------------------------------
1,422
---------------------------------------------------------------------
TEXTILES -- 0.9%
26 Mohawk Industries, Inc.* $ 1,848
TOYS & GAMES -- 0.5%
49 Mattel, Inc. 948
TRANSPORTATION -- 0.2%
6 Teekay Shipping Corp. (Bahamas) 342
UTILITIES -- 3.5%
20 Dominion Resources, Inc. 1,246
46 Energy East Corp. 1,030
16 FirstEnergy Corp. 563
28 Nicor, Inc. 953
49 Pepco Holdings, Inc. 965
14 Pinnacle West Capital Corp. 548
29 SCANA Corp. 980
18 Sempra Energy 535
---------------------------------------------------------------------
6,820
---------------------------------------------------------------------
Total Common Stocks 193,354
(Cost $149,958)
---------------------------------------------------------------------
SHORT-TERM INVESTMENT -- 1.9%
MONEY MARKET FUND -- 1.9%
3,679 JPMorgan Prime Money Market Fund (a) 3,679
(Cost $3,679)
---------------------------------------------------------------------
TOTAL INVESTMENTS -- 100.0% $ 197,033
(COST $153,637)
---------------------------------------------------------------------
<Caption>
SHARES COLLATERAL INVESTMENTS VALUE
- ---------------------------------------------------------------------------------
MONEY MARKET FUNDS (c)
3,084 Merrill Lynch Premier Institution
Money Market Fund $ 3,084
3,084 Reserve Primary Money Market Fund 3,084
---------------------------------------------------------------------
$ 6,168
---------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
36
<Page>
JPMORGAN MID CAP GROWTH FUND
PORTFOLIO OF INVESTMENTS AS OF DECEMBER 31, 2003
(Amounts in thousands)
<Table>
<Caption>
SHARES ISSUER VALUE
- ---------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- 99.8%
COMMON STOCKS -- 99.8%
AIRLINES -- 1.0%
35 SkyWest, Inc. $ 625
AUTOMOTIVE -- 1.1%
7 Polaris Industries, Inc. 655
BANKING -- 3.7%
15 BOK Financial Corp.* 599
11 Commerce Bancorp, Inc. 585
6 M&T Bank Corp. 592
9 TCF Financial Corp. 436
---------------------------------------------------------------------
2,212
---------------------------------------------------------------------
BIOTECHNOLOGY -- 2.8%
22 Biogen Idec, Inc.* 815
7 Gilead Sciences, Inc.* 395
12 ICOS Corp.* (l) 510
---------------------------------------------------------------------
1,720
---------------------------------------------------------------------
BROADCASTING/CABLE -- 1.1%
17 Univision Communications, Inc., Class A* 663
BUSINESS SERVICES -- 6.5%
26 Accenture LTD (Bermuda), Class A* 686
11 Affiliated Computer Services, Inc., Class A* 602
11 ChoicePoint, Inc.* 427
6 Cintas Corp. 303
9 Fair Isaac Corp. 462
10 Hewitt Associates, Inc., Class A* 303
16 Iron Mountain, Inc.* 645
8 Moody's Corp. 500
---------------------------------------------------------------------
3,928
---------------------------------------------------------------------
COMPUTER NETWORKS -- 2.4%
42 Juniper Networks, Inc.* (l) 779
34 Network Appliance, Inc.* 702
---------------------------------------------------------------------
1,481
---------------------------------------------------------------------
COMPUTER SOFTWARE -- 8.3%
15 Adobe Systems, Inc. 591
9 Cognos, Inc. (Canada)* 288
26 Computer Associates International, Inc. 700
14 Electronic Arts, Inc.* $ 674
7 Intuit, Inc.* 360
9 Mercury Interactive Corp.* 457
12 National Instruments Corp. (l) 548
13 Synopsys, Inc.* 432
20 Take-Two Interactive Software, Inc.* (l) 573
11 VERITAS Software Corp.* 392
---------------------------------------------------------------------
5,015
---------------------------------------------------------------------
COMPUTERS/COMPUTER HARDWARE -- 4.5%
22 Apple Computer, Inc.* 469
5 Lexmark International, Inc.* 417
42 Maxtor Corp.* 471
13 Tech Data Corp.* 521
12 Zebra Technologies Corp., Class A* 828
---------------------------------------------------------------------
2,706
---------------------------------------------------------------------
CONSTRUCTION -- 1.5%
1 Lennar Corp., B Shares 108
9 Lennar Corp., Class A 821
---------------------------------------------------------------------
929
---------------------------------------------------------------------
CONSUMER PRODUCTS -- 0.9%
34 Tempur-Pedic International, Inc.* (l) 532
CONSUMER SERVICES -- 0.9%
19 Rent-A-Center, Inc.* 565
ELECTRONICS/ELECTRICAL EQUIPMENT -- 4.9%
14 Amphenol Corp., Class A* 914
14 Fisher Scientific International* 587
18 Jabil Circuit, Inc.* 511
42 Vishay Intertechnology, Inc.* (l) 973
---------------------------------------------------------------------
2,985
---------------------------------------------------------------------
ENTERTAINMENT/LEISURE -- 2.5%
22 International Game Technology 781
23 Station Casinos, Inc. 711
---------------------------------------------------------------------
1,492
---------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
37
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- ---------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
FINANCIAL SERVICES -- 2.3%
5 Legg Mason, Inc. $ 417
20 T. Rowe Price Group, Inc. 955
---------------------------------------------------------------------
1,372
---------------------------------------------------------------------
HEALTH CARE/HEALTH CARE SERVICES -- 10.6%
10 Anthem, Inc.* 776
20 Caremark Rx, Inc.* (l) 507
27 Health Management Associates, Inc.,
Class A 637
13 Laboratory Corp. of America Holdings* 469
25 Omnicare, Inc. 1,028
11 Renal Care Group, Inc.* 433
15 Steris Corp.* 331
7 Stryker Corp. 633
6 WellPoint Health Networks, Inc.* 606
14 Zimmer Holdings, Inc.* 1,007
---------------------------------------------------------------------
6,427
---------------------------------------------------------------------
HOTELS/OTHER LODGING -- 1.5%
32 Fairmont Hotels & Resorts, Inc. (Canada) 879
INSURANCE -- 0.8%
15 HCC Insurance Holdings, Inc. 480
INTERNET SERVICES/SOFTWARE -- 1.1%
10 CheckFree Corp.* 263
17 Orbitz, Inc., Class A* (l) 401
---------------------------------------------------------------------
664
---------------------------------------------------------------------
MANUFACTURING -- 1.2%
17 Harsco Corp. 754
MULTI-MEDIA -- 0.7%
4 The E.W. Scripps Co., Class A 405
OIL & GAS -- 5.2%
17 FMC Technologies, Inc.* 391
9 Nabors Industries LTD (Barbados)* 384
10 Patterson-UTI Energy, Inc.* 319
18 Pioneer Natural Resources Co.* 579
21 Pride International, Inc.* (l) 390
9 Talisman Energy, Inc. (Canada) (l) $ 507
20 XTO Energy, Inc. 558
---------------------------------------------------------------------
3,128
---------------------------------------------------------------------
PHARMACEUTICALS -- 4.5%
13 Medicis Pharmaceutical Corp., Class A 938
21 Millennium Pharmaceuticals, Inc.* 392
37 NBTY, Inc.* 986
17 Sepracor, Inc.* 416
---------------------------------------------------------------------
2,732
---------------------------------------------------------------------
RESTAURANTS/FOOD SERVICES -- 3.8%
21 CBRL Group, Inc. 820
12 Outback Steakhouse, Inc. 513
13 Ruby Tuesday, Inc. 365
16 Wendy's International, Inc. 616
---------------------------------------------------------------------
2,314
---------------------------------------------------------------------
RETAILING -- 12.0%
8 Advanced Auto Parts, Inc.* 667
40 Big Lots, Inc.* 562
17 CarMax, Inc.* 518
13 CDW Corp. 742
14 Chico's FAS, Inc.* 521
45 Dollar General Corp. 947
13 Fastenal Co. 647
34 Foot Locker, Inc. 804
23 PETsMART, Inc. 558
29 Staples, Inc.* 804
8 Whole Foods Market, Inc.* 519
---------------------------------------------------------------------
7,289
---------------------------------------------------------------------
SEMI-CONDUCTORS -- 10.0%
33 Altera Corp.* 751
16 Amkor Technology, Inc.* (l) 282
21 Broadcom Corp., Class A* 712
11 Intersil Corp., Class A 282
16 KLA-Tencor Corp.* 916
13 Maxim Integrated Products, Inc. 667
32 MEMC Electronics Materials, Inc.* (l) 303
15 Microchip Technology, Inc. 514
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
38
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- ---------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
SEMI-CONDUCTORS -- CONTINUED
19 Novellus Systems, Inc.* $ 810
39 PMC-Sierra, Inc.* 788
---------------------------------------------------------------------
6,025
---------------------------------------------------------------------
TELECOMMUNICATIONS -- 2.3%
24 Nextel Communications, Inc., Class A* 673
53 Nextel Partners, Inc., Class A* (l) 713
---------------------------------------------------------------------
1,386
---------------------------------------------------------------------
TELECOMMUNICATIONS EQUIPMENT -- 1.7%
49 Corning, Inc.* 510
69 JDS Uniphase Corp.* 253
96 Lucent Technologies, Inc.* (l) 272
---------------------------------------------------------------------
1,035
---------------------------------------------------------------------
Total Common Stocks 60,398
(Cost $48,372)
---------------------------------------------------------------------
SHORT-TERM INVESTMENT -- 0.2%
MONEY MARKET FUND -- 0.2%
92 JPMorgan Prime Money Market Fund (a) $ 92
(Cost $92)
---------------------------------------------------------------------
TOTAL INVESTMENTS -- 100.0% $ 60,490
(COST $48,464)
---------------------------------------------------------------------
<Caption>
SHARES COLLATERAL INVESTMENTS VALUE
- ---------------------------------------------------------------------------------
MONEY MARKET FUNDS (c)
215 Merrill Lynch Premier Institution
Money Market Fund $ 215
216 Reserve Primary Money Market Fund 216
<Caption>
PRINCIPAL
AMOUNT
(USD)
- ---------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCY SECURITIES (c)
$ 4,992 Federal Home Loan Mortgage Corp.,
1.07%, 01/20/04 4,992
---------------------------------------------------------------------
$ 5,423
---------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
39
<Page>
JPMORGAN MID CAP VALUE FUND
PORTFOLIO OF INVESTMENTS AS OF DECEMBER 31, 2003
(Amounts in thousands)
<Table>
<Caption>
SHARES ISSUER VALUE
- ---------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- 93.9%
COMMON STOCKS -- 93.9%
AEROSPACE -- 0.6%
158 United Defense Industries, Inc.* $ 5,024
---------------------------------------------------------------------
APPAREL -- 3.5%
168 Columbia Sportswear Co.* (l) 9,140
485 VF Corp. 20,980
---------------------------------------------------------------------
30,120
---------------------------------------------------------------------
AUTOMOTIVE -- 0.9%
234 Genuine Parts Co. 7,782
---------------------------------------------------------------------
BANKING -- 10.5%
145 Banknorth Group, Inc. 4,730
282 BB&T Corp. 10,908
102 Compass Bancshares, Inc. 3,994
176 Cullen/Frost Bankers, Inc. 7,157
62 M&T Bank Corp. 6,124
419 North Fork Bancorporation, Inc. 16,961
252 TCF Financial Corp. 12,956
93 Washington Federal, Inc. 2,633
150 Webster Financial Corp. 6,865
507 Wilmington Trust Corp. 18,248
---------------------------------------------------------------------
90,576
---------------------------------------------------------------------
BUSINESS SERVICES -- 3.9%
251 Deluxe Corp. 10,378
77 Equifax, Inc. 1,894
225 Hewitt Associates, Inc., Class A* 6,733
263 IMS Health, Inc. 6,541
455 Interactive Data Corp.* 7,541
---------------------------------------------------------------------
33,087
---------------------------------------------------------------------
CHEMICALS -- 2.6%
204 Sigma-Aldrich Corp. 11,682
301 The Sherwin-Williams Co. 10,439
---------------------------------------------------------------------
22,121
---------------------------------------------------------------------
COMPUTER SOFTWARE -- 2.0%
184 Computer Associates International, Inc. 5,028
281 DST Systems, Inc.* 11,751
---------------------------------------------------------------------
16,779
---------------------------------------------------------------------
COMPUTERS/COMPUTER HARDWARE -- 0.7%
79 Lexmark International, Inc.* $ 6,189
CONSTRUCTION MATERIALS -- 2.4%
185 Florida Rock Industries, Inc. 10,142
211 Vulcan Materials Co. 10,042
---------------------------------------------------------------------
20,184
---------------------------------------------------------------------
CONSUMER PRODUCTS -- 0.4%
44 Fortune Brands, Inc. 3,117
ELECTRONICS/ELECTRICAL EQUIPMENT -- 0.6%
123 Mettler-Toledo International, Inc.
(Switzerland)* 5,204
ENVIRONMENTAL SERVICES -- 1.3%
443 Republic Services, Inc. 11,349
FINANCIAL SERVICES -- 6.4%
186 Charter One Financial, Inc. 6,433
200 Golden West Financial Corp. 20,638
160 H & R Block, Inc. 8,881
102 Legg Mason, Inc. 7,880
235 T. Rowe Price Group, Inc. 11,118
---------------------------------------------------------------------
54,950
---------------------------------------------------------------------
FOOD/BEVERAGE PRODUCTS -- 4.2%
77 Brown-Forman Corp., Class B 7,192
156 Constellation Brands, Inc., Class A* 5,121
428 Dean Foods Co.* 14,052
214 Hormel Foods Corp. 5,521
97 The J.M. Smucker Co. 4,372
---------------------------------------------------------------------
36,258
---------------------------------------------------------------------
HEALTH CARE/HEALTH CARE SERVICES -- 3.1%
51 Dentsply International, Inc. 2,297
120 Hillenbrand Industries, Inc. 7,460
153 Lincare Holdings, Inc.* 4,595
126 WellPoint Health Networks, Inc.* 12,239
---------------------------------------------------------------------
26,591
---------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
40
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- ---------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
INSURANCE -- 8.8%
257 Cincinnati Financial Corp. $ 10,746
385 IPC Holdings LTD (Bermuda) 14,973
294 MGIC Investment Corp. 16,753
226 Old Republic International Corp. 5,736
128 PartnerRe LTD (Bermuda) 7,407
246 Principal Financial Group, Inc. 8,135
145 SAFECO Corp. 5,649
179 Willis Group Holdings LTD
(United Kingdom) 6,105
---------------------------------------------------------------------
75,504
---------------------------------------------------------------------
MACHINERY & ENGINEERING EQUIPMENT -- 0.6%
131 IDEX Corp. 5,440
MANUFACTURING -- 2.9%
120 Carlisle Companies, Inc. 7,321
152 Cooper Industries LTD, Class A 8,788
287 Crane Co. 8,823
---------------------------------------------------------------------
24,932
---------------------------------------------------------------------
MULTI-MEDIA -- 4.5%
197 Gannett Co., Inc. 17,601
110 Knight Ridder, Inc. 8,495
128 The E.W. Scripps Co., Class A 12,012
---------------------------------------------------------------------
38,108
---------------------------------------------------------------------
OIL & GAS -- 5.7%
149 Burlington Resources, Inc. 8,241
284 Devon Energy Corp. 16,274
174 Equitable Resources, Inc. 7,472
80 Murphy Oil Corp. 5,231
316 Premcor, Inc.* 8,219
133 XTO Energy, Inc. 3,772
---------------------------------------------------------------------
49,209
---------------------------------------------------------------------
PAPER/FOREST PRODUCTS -- 1.9%
201 Plum Creek Timber Co., Inc. 6,108
253 Rayonier, Inc. 10,502
---------------------------------------------------------------------
16,610
---------------------------------------------------------------------
PHARMACEUTICALS -- 1.2%
69 AmerisourceBergen Corp. $ 3,891
243 NBTY, Inc.* 6,527
---------------------------------------------------------------------
10,418
---------------------------------------------------------------------
PIPELINES -- 2.5%
366 Kinder Morgan, Inc. 21,642
PRINTING & PUBLISHING -- 1.3%
15 Washington Post Co., Class B 11,475
REAL ESTATE -- 2.8%
294 Brookfield Properties Corp. (Canada) 8,435
308 LNR Property Corp. (l) 15,224
---------------------------------------------------------------------
23,659
---------------------------------------------------------------------
REAL ESTATE INVESTMENT TRUST -- 1.4%
85 Kimco Realty Corp. 3,822
143 PS Business Parks, Inc. 5,879
44 Public Storage, Inc. 1,922
---------------------------------------------------------------------
11,623
---------------------------------------------------------------------
RESTAURANTS/FOOD SERVICES -- 2.6%
387 Outback Steakhouse, Inc. 17,096
154 Yum! Brands, Inc.* 5,298
---------------------------------------------------------------------
22,394
---------------------------------------------------------------------
RETAILING -- 3.4%
237 AutoZone, Inc.* 20,229
394 The TJX Companies, Inc. 8,694
---------------------------------------------------------------------
28,923
---------------------------------------------------------------------
TELECOMMUNICATIONS -- 4.3%
290 Alltel Corp. 13,494
440 CenturyTel, Inc. 14,360
139 Telephone & Data Systems, Inc. 8,688
---------------------------------------------------------------------
36,542
---------------------------------------------------------------------
TEXTILES -- 1.4%
172 Mohawk Industries, Inc.* 12,098
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
41
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- ---------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
TOYS & GAMES -- 0.8%
346 Mattel, Inc. $ 6,673
TRANSPORTATION -- 0.4%
54 Teekay Shipping Corp. (Bahamas) 3,102
UTILITIES -- 4.3%
143 Dominion Resources, Inc. 9,140
340 Energy East Corp. 7,612
368 Pepco Holdings, Inc. 7,189
239 SCANA Corp. 8,179
149 Sempra Energy 4,476
---------------------------------------------------------------------
36,596
---------------------------------------------------------------------
Total Common Stocks 804,279
(Cost $698,844)
---------------------------------------------------------------------
SHORT-TERM INVESTMENT -- 6.1%
MONEY MARKET FUND -- 6.1%
51,985 JPMorgan Prime
Money Market Fund (a) $ 51,985
(Cost $51,985)
---------------------------------------------------------------------
TOTAL INVESTMENTS -- 100.0% $ 856,264
(COST $750,829)
---------------------------------------------------------------------
<Caption>
SHARES COLLATERAL INVESTMENTS VALUE
- ---------------------------------------------------------------------------------
MONEY MARKET FUNDS (c)
3,145 Merrill Lynch Premier Institution
Money Market Fund $ 3,145
3,145 Reserve Primary Money Market Fund 3,145
---------------------------------------------------------------------
$ 6,290
---------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
42
<Page>
JPMORGAN SMALL CAP EQUITY FUND
PORTFOLIO OF INVESTMENTS AS OF DECEMBER 31, 2003
(Amounts in thousands)
<Table>
<Caption>
SHARES ISSUER VALUE
- ---------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- 99.6%
COMMON STOCKS -- 99.6%
AEROSPACE -- 2.4%
154 Alliant Techsystems, Inc.* (l) $ 8,876
201 Curtiss-Wright Corp. (l) 9,056
---------------------------------------------------------------------
17,932
---------------------------------------------------------------------
APPAREL -- 1.9%
392 Quiksilver, Inc.* 6,957
135 Timberland Co., Class A* 7,035
---------------------------------------------------------------------
13,992
---------------------------------------------------------------------
AUTOMOTIVE -- 6.1%
86 BorgWarner, Inc. (l) 7,350
161 Lithia Motors, Inc., Class A 4,054
127 O'Reilly Automotive, Inc.* (l) 4,860
197 Oshkosh Truck Corp. (l) 10,063
102 Polaris Industries, Inc. (l) 9,017
148 Winnebago Industries, Inc. (l) 10,182
---------------------------------------------------------------------
45,526
---------------------------------------------------------------------
BANKING -- 7.1%
71 Downey Financial Corp. 3,476
212 East-West Bancorp, Inc. (l) 11,359
107 Hancock Holding Co. (l) 5,828
137 Hudson United Bancorp 5,073
83 MB Financial, Inc. 3,029
137 The South Financial Group, Inc. 3,822
180 UCBH Holdings, Inc. 7,026
220 United Bankshares, Inc. (l) 6,848
158 Wintrust Financial Corp. (l) 7,135
---------------------------------------------------------------------
53,596
---------------------------------------------------------------------
BIOTECHNOLOGY -- 0.5%
213 Serologicals Corp.* 3,962
BROADCASTING/CABLE -- 0.8%
415 Sinclair Broadcast Group, Inc., Class A* 6,198
BUSINESS SERVICES -- 1.7%
146 Banta Corp. 5,909
767 MPS Group, Inc.* (l) 7,175
---------------------------------------------------------------------
13,084
---------------------------------------------------------------------
CHEMICALS -- 2.6%
232 Albemarle Corp. (l) $ 6,962
243 Georgia Gulf Corp. (l) 7,006
220 Spartech Corp. 5,422
---------------------------------------------------------------------
19,390
---------------------------------------------------------------------
COMPUTER NETWORKS -- 1.9%
172 Avocent Corp.* 6,263
179 Micros Systems, Inc.* 7,779
---------------------------------------------------------------------
14,042
---------------------------------------------------------------------
COMPUTER SOFTWARE -- 4.3%
261 CACI International, Inc., Class A* 12,699
265 FileNET Corp.* (l) 7,176
141 Hyperion Solutions Corp.* 4,235
292 Intergraph Corp.* 6,973
42 Transaction Systems Architects, Inc.,
Class A* 944
---------------------------------------------------------------------
32,027
---------------------------------------------------------------------
COMPUTERS/COMPUTER HARDWARE -- 3.0%
214 Hutchinson Technology, Inc.* 6,581
190 Imation Corp. 6,664
136 Zebra Technologies Corp., Class A* 9,011
---------------------------------------------------------------------
22,256
---------------------------------------------------------------------
CONSTRUCTION -- 1.1%
18 NVR, Inc.* (l) 8,551
CONSUMER PRODUCTS -- 6.1%
244 Church & Dwight Co., Inc. (l) 9,659
215 Fossil, Inc.* (l) 6,015
111 Harman International Industries, Inc. 8,242
271 Jarden Corp.* (l) 7,406
119 The Scotts Co., Class A* (l) 7,010
175 Toro Co. (l) 8,101
---------------------------------------------------------------------
46,433
---------------------------------------------------------------------
CONSUMER SERVICES -- 0.8%
145 Regis Corp. 5,719
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
43
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- ---------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
DISTRIBUTION -- 0.7%
102 Hughes Supply, Inc. (l) $ 5,036
ELECTRONICS/ELECTRICAL EQUIPMENT -- 2.4%
187 Ametek, Inc. (l) 9,025
99 Brady Corp., Class A 4,026
113 Varian, Inc.* 4,701
---------------------------------------------------------------------
17,752
---------------------------------------------------------------------
ENGINEERING SERVICES -- 0.4%
61 Jacobs Engineering Group, Inc.* (l) 2,933
ENTERTAINMENT/LEISURE -- 0.9%
419 Boyd Gaming Corp. (l) 6,768
ENVIRONMENTAL SERVICES -- 0.9%
188 Waste Connections, Inc.* (l) 7,114
FINANCIAL SERVICES -- 2.2%
109 Affiliated Managers Group, Inc.* (l) 7,575
229 Raymond James Financial, Inc. 8,618
---------------------------------------------------------------------
16,193
---------------------------------------------------------------------
FOOD/BEVERAGE PRODUCTS -- 1.5%
346 Hain Celestial Group, Inc.* (l) 8,033
83 Performance Food Group Co.* (l) 2,988
---------------------------------------------------------------------
11,021
---------------------------------------------------------------------
HEALTH CARE/HEALTH CARE SERVICES -- 8.9%
93 AMERIGROUP Corp.* (l) 3,971
221 Cooper Companies, Inc. (l) 10,396
128 Coventry Health Care, Inc.* (l) 8,235
105 Datascope Corp. (l) 3,764
85 Idexx Laboratories, Inc.* (l) 3,915
181 Invacare Corp. (l) 7,319
135 Kindred Healthcare, Inc.* (l) 7,007
137 Ocular Sciences, Inc.* (l) 3,945
765 PSS World Medical, Inc.* 9,227
74 Respironics, Inc.* (l) 3,355
223 Sybron Dental Specialties, Inc.* (l) 6,275
---------------------------------------------------------------------
67,409
---------------------------------------------------------------------
HOTELS/OTHER LODGING -- 0.8%
439 Extended Stay America, Inc. (l) $ 6,353
INSURANCE -- 2.2%
117 HCC Insurance Holdings, Inc. 3,717
23 Markel Corp.* (l) 5,704
243 Platinum Underwriters Holdings LTD
(Bermuda) (l) 7,299
---------------------------------------------------------------------
16,720
---------------------------------------------------------------------
MACHINERY & ENGINEERING EQUIPMENT -- 3.4%
186 IDEX Corp. (l) 7,748
143 Kennametal, Inc. (l) 5,700
223 Regal-Beloit Corp. 4,906
405 Wabtec Corp. (l) 6,903
---------------------------------------------------------------------
25,257
---------------------------------------------------------------------
MANUFACTURING -- 3.0%
251 Actuant Corp., Class A* (l) 9,086
176 AptarGroup, Inc. (l) 6,856
241 Kaydon Corp. 6,215
---------------------------------------------------------------------
22,157
---------------------------------------------------------------------
METALS/MINING -- 0.3%
120 Century Aluminum Co.* (l) 2,281
MULTI-MEDIA -- 1.1%
291 Emmis Communications Corp.,
Class A* (l) 7,880
OIL & GAS -- 6.3%
210 Patina Oil & Gas Corp. 10,286
495 Pride International, Inc.* (l) 9,219
394 Southwestern Energy Co.* (l) 9,424
227 St. Mary Land & Exploration Co. (l) 6,478
276 Swift Energy Co.* (l) 4,649
165 Tetra Technologies, Inc.* (l) 3,996
181 Varco International, Inc.* (l) 3,736
---------------------------------------------------------------------
47,788
---------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
44
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- ---------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
PHARMACEUTICALS -- 1.5%
248 Medicines Co.* $ 7,297
67 Neurocrine Biosciences, Inc.* (l) 3,649
---------------------------------------------------------------------
10,946
---------------------------------------------------------------------
REAL ESTATE INVESTMENT TRUST-- 1.7%
107 Alexandria Real Estate Equities, Inc. 6,213
122 Chelsea Property Group, Inc. (l) 6,681
---------------------------------------------------------------------
12,894
---------------------------------------------------------------------
RESTAURANTS/FOOD SERVICES-- 2.0%
187 Applebee's International, Inc. 7,340
321 Lone Star Steakhouse & Saloon 7,443
---------------------------------------------------------------------
14,783
---------------------------------------------------------------------
RETAILING -- 5.9%
256 AnnTaylor Stores Corp.* (l) 9,996
267 Chico's FAS, Inc.* (l) 9,881
165 Genesco, Inc.* (l) 2,497
189 Luby's, Inc.* (l) 696
191 Men's Wearhouse, Inc.* (l) 4,774
370 Pier 1 Imports, Inc. 8,084
248 School Specialty, Inc.* 8,433
---------------------------------------------------------------------
44,361
---------------------------------------------------------------------
SEMI-CONDUCTORS -- 4.6%
90 Cymer, Inc.* (l) 4,139
328 Integrated Circuit Systems, Inc.* 9,356
251 International Rectifier Corp.* 12,396
188 Varian Semiconductor Equipment
Associates, Inc.* (l) 8,214
---------------------------------------------------------------------
34,105
---------------------------------------------------------------------
SHIPPING/TRANSPORTATION -- 0.9%
169 UTI Worldwide, Inc. (Virgin Islands) 6,395
TELECOMMUNICATIONS -- 0.5%
259 Tekelec* 4,020
TELECOMMUNICATIONS EQUIPMENT-- 1.6%
467 CommScope, Inc.* (l) 7,618
167 Inter-Tel, Inc. 4,172
---------------------------------------------------------------------
11,790
---------------------------------------------------------------------
TRANSPORTATION -- 3.1%
206 Arkansas Best Corp. (l) $ 6,460
215 Landstar System, Inc.* 8,194
435 Werner Enterprises, Inc. 8,468
---------------------------------------------------------------------
23,122
---------------------------------------------------------------------
UTILITIES -- 2.5%
174 American States Water Co. (l) 4,352
134 Atmos Energy Corp. (l) 3,263
126 New Jersey Resources Corp. 4,860
282 Philadelphia Suburban Corp. (l) 6,230
---------------------------------------------------------------------
18,705
---------------------------------------------------------------------
Total Common Stocks 746,491
(Cost $561,967)
---------------------------------------------------------------------
SHORT-TERM INVESTMENT -- 0.4%
MONEY MARKET FUND -- 0.4%
2,693 JPMorgan Prime Money Market Fund (a) 2,693
(Cost $2,693)
---------------------------------------------------------------------
TOTAL INVESTMENTS-- 100.0% $ 749,184
(COST $564,660)
---------------------------------------------------------------------
<Caption>
SHARES COLLATERAL INVESTMENTS VALUE
- ---------------------------------------------------------------------------------
MONEY MARKET FUNDS (c)
20,001 Merrill Lynch Premier Institution
Money Market Fund $ 20,001
15,000 Reserve Primary Money Market Fund 15,000
<Caption>
PRINCIPAL
AMOUNT
(USD)
- ---------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCY SECURITIES (c)
$ 24,960 Federal Home Loan Mortgage
Corp., 1.06%, 01/13/04 24,960
11,182 Federal Home Loan Mortgage
Corp., 1.07%, 01/20/04 11,182
REPURCHASE AGREEMENT (c)
49,530 Bear Stearns, 1.00%, due 01/02/04,
dated 12/31/03, proceeds $1,376,
secured by U.S. Government
Agency Securities 49,530
---------------------------------------------------------------------
$ 120,673
---------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
45
<Page>
JPMORGAN SMALL CAP GROWTH FUND
PORTFOLIO OF INVESTMENTS (CONTINUED) AS OF DECEMBER 31, 2003
(Amounts in thousands)
<Table>
<Caption>
SHARES ISSUER VALUE
- ---------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- 96.2%
COMMON STOCKS -- 96.2%
AIRLINES -- 1.3%
3 SkyWest, Inc. $ 56
BANKING -- 2.2%
1 East-West Bancorp, Inc. 30
1 Southwest Bancorp of Texas, Inc. 31
1 Texas Regional Bancshares, Class A 38
---------------------------------------------------------------------
99
---------------------------------------------------------------------
BIOTECHNOLOGY -- 1.9%
2 Myogen, Inc.* 31
2 Nektar Therapeutics* 30
1 Telik, Inc.* 24
---------------------------------------------------------------------
85
---------------------------------------------------------------------
BROADCASTING/CABLE -- 1.4%
2 Salem Communications Corp., Class A* 62
BUSINESS SERVICES -- 2.4%
2 Alliance Data Systems Corp.* 58
2 Sylvan Learning Systems, Inc.* 49
---------------------------------------------------------------------
107
---------------------------------------------------------------------
COMPUTER NETWORKS -- 0.9%
10 Enterasys Networks, Inc.* 39
COMPUTER SOFTWARE -- 7.3%
1 Hyperion Solutions Corp.* 39
7 Lawson Software, Inc.* 58
1 National Instruments Corp. 65
4 Serena Software, Inc.* (l) 69
2 Verint Systems, Inc.* 44
5 Witness Systems, Inc.* 50
---------------------------------------------------------------------
325
---------------------------------------------------------------------
COMPUTERS/COMPUTER HARDWARE -- 4.6%
3 Electronics for Imaging, Inc.* 83
5 Maxtor Corp.* 58
2 Tech Data Corp.* 64
---------------------------------------------------------------------
205
---------------------------------------------------------------------
CONSUMER PRODUCTS -- 0.9%
1 Ethan Allen Interiors, Inc. $ 40
CONSUMER SERVICES -- 2.8%
1 Ritchie Bros. Auctioneers, Inc. (Canada) 69
3 United Rentals, Inc.* 57
---------------------------------------------------------------------
126
---------------------------------------------------------------------
ELECTRONICS/ELECTRICAL EQUIPMENT-- 4.2%
2 DSP Group, Inc.* 46
5 GrafTech International LTD* 63
2 Mettler-Toledo International, Inc.
(Switzerland)* 78
---------------------------------------------------------------------
187
---------------------------------------------------------------------
ENTERTAINMENT/LEISURE -- 3.1%
2 Alliance Gaming Corp.* 49
1 Multimedia Games, Inc.* 41
4 Pegasus Solutions, Inc.* 46
---------------------------------------------------------------------
136
---------------------------------------------------------------------
FINANCIAL SERVICES -- 2.9%
1 Affiliated Managers Group, Inc.* 58
2 National Financial Partners Corp. 41
1 Nelnet, Inc., Class A* (l) 31
---------------------------------------------------------------------
130
---------------------------------------------------------------------
HEALTH CARE/HEALTH CARE SERVICES-- 11.3%
1 Cooper Companies, Inc. 49
3 Covance, Inc.* 68
1 Diagnostic Products Corp. 32
3 NDCHealth Corp. 64
1 Sunrise Assisted Living, Inc.* (l) 53
2 United Surgical Partners International, Inc.* 72
2 VCA Antech, Inc.* 71
1 Ventana Medical Systems, Inc.* 33
2 Wright Medical Group, Inc.* 60
---------------------------------------------------------------------
502
---------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
46
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- ---------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
INSURANCE -- 2.7%
2 Infinity Property & Casualty Corp. $ 55
2 ProAssurance Corp.* 67
---------------------------------------------------------------------
122
---------------------------------------------------------------------
INTERNET SERVICES/SOFTWARE -- 2.7%
3 DoubleClick, Inc.* 33
2 Orbitz, Inc., Class A* (l) 35
3 United Online, Inc.* 51
---------------------------------------------------------------------
119
---------------------------------------------------------------------
MANUFACTURING -- 3.2%
1 Albany International Corp., Class A 49
2 Applied Films Corp.* 51
5 General Cable Corp.* 41
---------------------------------------------------------------------
141
---------------------------------------------------------------------
METALS/MINING -- 1.0%
1 Arch Coal, Inc. 46
MULTI-MEDIA -- 1.6%
5 Gray Television, Inc. 73
OFFICE/BUSINESS EQUIPMENT -- 2.6%
1 Falcon Products, Inc.* 5
4 Global Imaging Systems, Inc.* 113
---------------------------------------------------------------------
118
---------------------------------------------------------------------
OIL & GAS -- 5.2%
2 Headwaters, Inc.* 48
3 Key Energy Services, Inc.* 32
1 Newfield Exploration Co.* 43
2 Unit Corp.* 56
2 Universal Compression Holding, Inc.* 51
---------------------------------------------------------------------
230
---------------------------------------------------------------------
PHARMACEUTICALS -- 5.7%
2 Adolor Corp.* 35
2 Alkermes, Inc.* 24
2 AtheroGenics, Inc.* 30
2 Connetics Corp.* 37
2 Cubist Pharmaceuticals, Inc.* 23
2 ILEX Oncology, Inc.* 37
2 NBTY, Inc.* 44
1 OSI Pharmaceuticals, Inc.* 25
---------------------------------------------------------------------
255
---------------------------------------------------------------------
PRINTING & PUBLISHING -- 1.0%
2 Information Holdings, Inc.* 44
REAL ESTATE INVESTMENT TRUST -- 1.0%
3 American Financial Realty Trust 44
RESTAURANTS/FOOD SERVICES -- 1.8%
3 Ruby Tuesday, Inc. 79
RETAILING -- 6.1%
1 AnnTaylor Stores Corp.* 44
1 CDW Corp. 39
1 Cost Plus, Inc.* 33
1 Men's Wearhouse, Inc.* 28
2 PETCO Animal Supplies, Inc.* 51
1 Tuesday Morning Corp.* 43
1 Urban Outfitters, Inc.* 33
---------------------------------------------------------------------
271
---------------------------------------------------------------------
SEMI-CONDUCTORS -- 6.5%
2 Artisan Components, Inc.* 48
3 Credence Systems Corp.* 40
4 Entegris, Inc.* 45
8 GlobespanVirata, Inc.* 49
2 MKS Instruments, Inc.* 51
3 Photronics, Inc.* 55
---------------------------------------------------------------------
288
---------------------------------------------------------------------
SHIPPING/TRANSPORTATION -- 1.7%
2 UTI Worldwide, Inc. (Virgin Islands) 75
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
47
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- ---------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
TELECOMMUNICATIONS-- 4.5%
4 Aeroflex, Inc.* $ 42
7 LCC International, Inc.* 35
5 Nextel Partners, Inc., Class A* 73
3 Tekelec* 52
---------------------------------------------------------------------
202
---------------------------------------------------------------------
TELECOMMUNICATIONS EQUIPMENT -- 1.0%
2 Inter-Tel, Inc. 45
TRANSPORTATION -- 0.7%
1 Knight Transportation, Inc.* 33
---------------------------------------------------------------------
Total Common Stocks 4,284
(Cost $3,491)
---------------------------------------------------------------------
SHORT-TERM INVESTMENT-- 3.8%
MONEY MARKET FUND -- 3.8%
169 JPMorgan Prime Money Market Fund (a) $ 169
(Cost $169)
---------------------------------------------------------------------
TOTAL INVESTMENTS-- 100.0% $ 4,453
(COST $3,660)
---------------------------------------------------------------------
<Caption>
SHARES COLLATERAL INVESTMENTS VALUE
- ---------------------------------------------------------------------------------
MONEY MARKET FUNDS (c)
46 Merrill Lynch Premier Institution
Money Market Fund $ 46
45 Reserve Primary Money Market Fund 45
---------------------------------------------------------------------
$ 91
---------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
48
<Page>
JPMORGAN TRUST SMALL CAP EQUITY FUND
PORTFOLIO OF INVESTMENTS AS OF DECEMBER 31, 2003
(Amounts in thousands)
<Table>
<Caption>
SHARES ISSUER VALUE
- ---------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- 98.9%
COMMON STOCKS -- 98.9%
AEROSPACE -- 2.2%
70 Alliant Techsystems, Inc.* $ 4,030
102 Curtiss-Wright Corp. 4,582
---------------------------------------------------------------------
8,612
---------------------------------------------------------------------
APPAREL -- 1.8%
192 Quiksilver, Inc.* 3,406
66 Timberland Co., Class A* 3,447
---------------------------------------------------------------------
6,853
---------------------------------------------------------------------
AUTOMOTIVE -- 5.2%
44 BorgWarner, Inc. 3,722
96 Lithia Motors, Inc., Class A 2,420
95 Oshkosh Truck Corp. 4,848
52 Polaris Industries, Inc. (l) 4,624
71 Winnebago Industries, Inc. (l) 4,867
---------------------------------------------------------------------
20,481
---------------------------------------------------------------------
BANKING -- 7.0%
35 Downey Financial Corp. 1,706
107 East-West Bancorp, Inc. 5,717
54 Hancock Holding Co. 2,925
69 Hudson United Bancorp 2,553
43 MB Financial, Inc. 1,563
69 The South Financial Group, Inc. 1,911
91 UCBH Holdings, Inc. 3,538
122 United Bankshares, Inc. 3,819
78 Wintrust Financial Corp. (l) 3,500
---------------------------------------------------------------------
27,232
---------------------------------------------------------------------
BIOTECHNOLOGY -- 0.5%
107 Serologicals Corp.* 1,983
BROADCASTING/CABLE -- 0.7%
193 Sinclair Broadcast Group, Inc., Class A* (l) 2,886
BUSINESS SERVICES -- 1.6%
65 Banta Corp. 2,645
370 MPS Group, Inc.* 3,458
---------------------------------------------------------------------
6,103
---------------------------------------------------------------------
CHEMICALS -- 2.3%
115 Albemarle Corp. $ 3,450
120 Georgia Gulf Corp. 3,471
79 Spartech Corp. 1,951
---------------------------------------------------------------------
8,872
---------------------------------------------------------------------
COMPUTER NETWORKS -- 1.7%
68 Avocent Corp.* 2,491
93 Micros Systems, Inc.* 4,015
---------------------------------------------------------------------
6,506
---------------------------------------------------------------------
COMPUTER SOFTWARE -- 4.3%
118 CACI International, Inc., Class A* 5,752
134 FileNET Corp.* 3,629
114 Hyperion Solutions Corp.* 3,433
148 Intergraph Corp.* 3,528
22 Transaction Systems Architects, Inc.,
Class A* 507
---------------------------------------------------------------------
16,849
---------------------------------------------------------------------
COMPUTERS/COMPUTER HARDWARE-- 3.7%
148 Electronics for Imaging, Inc.* 3,846
107 Hutchinson Technology, Inc.* 3,298
95 Imation Corp. 3,332
61 Zebra Technologies Corp., Class A* 4,029
---------------------------------------------------------------------
14,505
---------------------------------------------------------------------
CONSTRUCTION -- 1.1%
9 NVR, Inc.* 4,241
CONSTRUCTION MATERIALS -- 0.5%
76 NCI Building Systems, Inc.* 1,814
CONSUMER PRODUCTS -- 5.4%
72 Church & Dwight Co., Inc. 2,847
103 Fossil, Inc.* 2,896
58 Harman International Industries, Inc. 4,262
139 Jarden Corp.* 3,798
58 The Scotts Co., Class A* 3,431
86 Toro Co. 3,967
---------------------------------------------------------------------
21,201
---------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
49
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- ---------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
CONSUMER SERVICES -- 0.7%
71 Regis Corp. $ 2,798
DISTRIBUTION -- 0.7%
52 Hughes Supply, Inc. 2,580
ELECTRONICS/ELECTRICAL EQUIPMENT-- 3.6%
90 Ametek, Inc. 4,357
57 Benchmark Electronics, Inc.* 1,995
50 Brady Corp., Class A 2,021
129 Cubic Corp. 2,965
62 Varian, Inc.* 2,594
---------------------------------------------------------------------
13,932
---------------------------------------------------------------------
ENGINEERING SERVICES -- 0.6%
45 Jacobs Engineering Group, Inc.* 2,175
ENTERTAINMENT/LEISURE -- 0.8%
201 Boyd Gaming Corp. 3,239
ENVIRONMENTAL SERVICES -- 0.5%
48 Waste Connections, Inc.* (l) 1,802
FINANCIAL SERVICES -- 2.1%
56 Affiliated Managers Group, Inc.* (l) 3,890
119 Raymond James Financial, Inc. 4,475
---------------------------------------------------------------------
8,365
---------------------------------------------------------------------
HEALTH CARE/HEALTH CARE SERVICES-- 9.2%
84 AMERIGROUP Corp.* 3,587
109 Cooper Companies, Inc. 5,138
66 Coventry Health Care, Inc.* 4,269
53 Datascope Corp. 1,882
41 Idexx Laboratories, Inc.* 1,916
93 Invacare Corp. 3,742
72 Kindred Healthcare, Inc.* 3,743
68 Ocular Sciences, Inc.* 1,955
378 PSS World Medical, Inc.* 4,560
39 Respironics, Inc.* 1,754
139 Sybron Dental Specialties, Inc.* 3,909
---------------------------------------------------------------------
36,455
---------------------------------------------------------------------
INSURANCE -- 2.7%
59 HCC Insurance Holdings, Inc. $ 1,860
11 Markel Corp.* (l) 2,865
122 Platinum Underwriters Holdings LTD
(Bermuda) 3,672
70 ProAssurance Corp.* 2,234
---------------------------------------------------------------------
10,631
---------------------------------------------------------------------
MACHINERY & ENGINEERING EQUIPMENT-- 3.8%
94 IDEX Corp. 3,894
71 Kennametal, Inc. 2,838
112 Regal-Beloit Corp. 2,457
54 Thomas Industries, Inc. 1,854
215 Wabtec Corp. 3,662
---------------------------------------------------------------------
14,705
---------------------------------------------------------------------
MANUFACTURING -- 3.3%
126 Actuant Corp., Class A* 4,550
57 Albany International Corp., Class A 1,926
89 AptarGroup, Inc. 3,487
122 Kaydon Corp. 3,142
---------------------------------------------------------------------
13,105
---------------------------------------------------------------------
METALS/MINING -- 0.5%
68 Commercial Metals Co. 2,061
MULTI-MEDIA -- 1.5%
146 Emmis Communications Corp., Class A* 3,938
125 Gray Television, Inc. 1,892
---------------------------------------------------------------------
5,830
---------------------------------------------------------------------
OIL & GAS -- 5.9%
70 Holly Corp. 1,928
103 Patina Oil & Gas Corp. 5,054
104 Pride International, Inc.* (l) 1,930
198 Southwestern Energy Co.* 4,720
145 St. Mary Land & Exploration Co. 4,127
69 Swift Energy Co.* 1,154
177 Tetra Technologies, Inc.* 4,288
---------------------------------------------------------------------
23,201
---------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
50
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- ---------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
PHARMACEUTICALS -- 1.3%
118 Medicines Co.* $ 3,461
32 Neurocrine Biosciences, Inc.* 1,729
---------------------------------------------------------------------
5,190
---------------------------------------------------------------------
PRINTING & PUBLISHING -- 0.5%
93 Thomas Nelson, Inc. 1,790
REAL ESTATE INVESTMENT TRUST-- 1.7%
55 Alexandria Real Estate Equities, Inc. 3,156
61 Chelsea Property Group, Inc. 3,337
---------------------------------------------------------------------
6,493
---------------------------------------------------------------------
RESTAURANTS/FOOD SERVICES-- 1.8%
93 Applebee's International, Inc. 3,668
153 Lone Star Steakhouse & Saloon 3,553
---------------------------------------------------------------------
7,221
---------------------------------------------------------------------
RETAILING -- 8.6%
161 Aaron Rents, Inc. 3,249
126 AnnTaylor Stores Corp.* 4,906
265 Charlotte Russe Holding, Inc.* 3,673
137 Chico's FAS, Inc.* (l) 5,066
131 Men's Wearhouse, Inc.* 3,286
184 Pier 1 Imports, Inc. 4,020
124 School Specialty, Inc.* (l) 4,214
185 West Marine, Inc.* (l) 5,148
---------------------------------------------------------------------
33,562
---------------------------------------------------------------------
SEMI-CONDUCTORS -- 3.5%
125 Integrated Circuit Systems, Inc.* 3,558
124 International Rectifier Corp.* 6,137
91 Varian Semiconductor Equipment
Associates, Inc.* 3,967
---------------------------------------------------------------------
13,662
---------------------------------------------------------------------
SHIPPING/TRANSPORTATION -- 0.8%
83 UTI Worldwide, Inc. (Virgin Islands) 3,129
TELECOMMUNICATIONS EQUIPMENT-- 1.4%
233 CommScope, Inc.* $ 3,798
75 Inter-Tel, Inc. 1,864
---------------------------------------------------------------------
5,662
---------------------------------------------------------------------
TRANSPORTATION -- 2.9%
101 Arkansas Best Corp. 3,167
105 Landstar System, Inc.* 4,009
219 Werner Enterprises, Inc. 4,272
---------------------------------------------------------------------
11,448
---------------------------------------------------------------------
UTILITIES -- 2.5%
92 American States Water Co. 2,299
67 Atmos Energy Corp. 1,631
68 New Jersey Resources Corp. 2,619
147 Philadelphia Suburban Corp. 3,257
---------------------------------------------------------------------
9,806
---------------------------------------------------------------------
Total Common Stocks 386,980
(Cost $297,939)
---------------------------------------------------------------------
SHORT-TERM INVESTMENT -- 1.1%
MONEY MARKET FUND -- 1.1%
4,280 JPMorgan Prime Money Market Fund (a) 4,280
(Cost $4,280)
---------------------------------------------------------------------
TOTAL INVESTMENTS-- 100.0% $ 391,260
(COST $302,219)
---------------------------------------------------------------------
<Caption>
SHARES COLLATERAL INVESTMENTS VALUE
- ---------------------------------------------------------------------------------
MONEY MARKET FUNDS (c)
3,668 Merrill Lynch Premier
Money Market Fund $ 3,668
3,667 AIM Short Term Investment Co. 3,667
<Caption>
PRINCIPAL
AMOUNT
(USD)
- ---------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCY SECURITIES (c)
$ 9,984 Federal Home Loan Mortgage
Corp., 1.04%, 02/12/04 9,984
- ---------------------------------------------------------------------------------
$ 17,319
- ---------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
51
<Page>
JPMORGAN U.S. SMALL COMPANY FUND
PORTFOLIO OF INVESTMENTS (CONTINUED) AS OF DECEMBER 31, 2003
(Amounts in thousands)
<Table>
<Caption>
SHARES ISSUER VALUE
- ---------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- 99.6%
COMMON STOCKS -- 98.8%
AEROSPACE -- 0.8%
75 Triumph Group, Inc.* $ 2,724
AIRLINES -- 1.0%
27 Airtran Holdings, Inc.* 320
258 Northwest Airlines Corp.* (l) 3,260
---------------------------------------------------------------------
3,580
---------------------------------------------------------------------
APPAREL -- 0.5%
20 Carter's, Inc.* 504
10 Columbia Sportswear Co.* 518
35 K-Swiss, Inc., Class A 832
---------------------------------------------------------------------
1,854
---------------------------------------------------------------------
APPLIANCES & HOUSEHOLD DURABLES-- 0.2%
75 Jacuzzi Brands, Inc.* 534
AUTOMOTIVE -- 1.5%
59 Lithia Motors, Inc., Class A 1,484
32 Oshkosh Truck Corp. 1,633
36 Superior Industries International, Inc. 1,571
17 Wabash National Corp.* 492
---------------------------------------------------------------------
5,180
---------------------------------------------------------------------
BANKING -- 8.6%
24 Bank of Hawaii Corp. 1,017
37 Banner Corp. 940
33 City National Corp. 2,072
56 Columbia Banking Systems, Inc. 1,205
45 Community Bank System, Inc. 2,188
54 Cullen/Frost Bankers, Inc. 2,194
75 Doral Financial Corp. (Puerto Rico) 2,426
24 First Financial Bancorp 380
38 First Niagara Financial Group, Inc. 561
39 First State Bancorporation 1,342
68 Irwin Financial Corp. 2,124
63 R & G Financial Corp. (Puerto Rico), Class B 2,521
34 Santander BanCorp (Puerto Rico) 836
31 Silicon Valley Bancshares* 1,128
19 Southwest Bancorp of Texas, Inc. 734
84 Sterling Bancshares, Inc. 1,122
34 Sterling Financial Corp. 1,166
29 Taylor Capital Group, Inc. 763
16 The South Financial Group, Inc. 450
30 Waypoint Financial Corp. $ 652
91 West Coast Bancorp 1,944
46 Westamerica Bancorporation 2,265
---------------------------------------------------------------------
30,030
---------------------------------------------------------------------
BIOTECHNOLOGY -- 2.1%
91 Cytogen Corp.* 992
142 Encysive Pharmaceuticals, Inc.* 1,267
539 Genelabs Technologies* 1,510
103 Myogen, Inc.* 1,474
87 Telik, Inc.* (l) 2,010
---------------------------------------------------------------------
7,253
---------------------------------------------------------------------
BROADCASTING/CABLE -- 0.5%
20 Pulitzer, Inc. 1,061
53 Sinclair Broadcast Group, Inc., Class A* 791
---------------------------------------------------------------------
1,852
---------------------------------------------------------------------
BUSINESS SERVICES -- 2.8%
40 Alliance Data Systems Corp.* 1,118
205 BearingPoint, Inc.* 2,065
20 Cognizant Technology Solutions Corp.* 893
44 G&K Services, Inc., Class A 1,611
249 Quanta Services, Inc.* (l) 1,817
227 Spherion Corp.* 2,223
---------------------------------------------------------------------
9,727
---------------------------------------------------------------------
CHEMICALS -- 0.8%
186 Millennium Chemicals, Inc. (l) 2,363
18 Symyx Technologies, Inc.* 366
---------------------------------------------------------------------
2,729
---------------------------------------------------------------------
COMPUTER NETWORKS -- 0.6%
53 Brocade Communications Systems, Inc.* 306
240 Enterasys Networks, Inc.* 899
35 Foundry Networks, Inc.* 945
---------------------------------------------------------------------
2,150
---------------------------------------------------------------------
COMPUTER SOFTWARE -- 3.9%
36 Ascential Software Corp.* (l) 943
27 CACI International, Inc., Class A* 1,332
15 Cognos, Inc. (Canada)* 466
66 CompuCom Systems, Inc.* 347
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
52
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- ---------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
COMPUTER SOFTWARE -- CONTINUED
48 Computer Programs & Systems, Inc. $ 969
29 Embarcadero Technologies, Inc.* 463
27 Hyperion Solutions Corp.* (l) 823
234 Informatica Corp.* 2,410
13 Kronos, Inc.* 518
30 Lexar Media, Inc.* 526
30 ManTech International Corp., Class A* (l) 739
51 Perot Systems Corp., Class A* 692
55 Progress Software Corp.* 1,119
48 Secure Computing Corp.* 858
17 Take-Two Interactive Software, Inc.* 501
89 Tier Technologies, Inc., Class B* 727
---------------------------------------------------------------------
13,433
---------------------------------------------------------------------
COMPUTERS/COMPUTER HARDWARE-- 5.0%
48 Electronics for Imaging, Inc.* 1,239
445 Maxtor Corp.* 4,936
32 PEC Solutions, Inc.* (l) 534
147 Synaptics, Inc.* 2,208
329 Western Digital Corp.* 3,885
68 Zebra Technologies Corp., Class A* 4,512
---------------------------------------------------------------------
17,314
---------------------------------------------------------------------
CONSTRUCTION -- 2.0%
212 Apogee Enterprises, Inc. 2,410
426 Champion Enterprises, Inc.* 2,980
54 Dycom Industries, Inc.* 1,445
---------------------------------------------------------------------
6,835
---------------------------------------------------------------------
CONSTRUCTION MATERIALS -- 1.8%
113 ElkCorp 3,008
65 Louisiana-Pacific Corp.* 1,167
65 Universal Forest Products, Inc. 2,098
---------------------------------------------------------------------
6,273
---------------------------------------------------------------------
CONSUMER PRODUCTS -- 0.5%
35 Central Garden & Pet Co.* 993
33 Jarden Corp.* 907
---------------------------------------------------------------------
1,900
---------------------------------------------------------------------
CONSUMER SERVICES -- 0.5%
13 Arbitron, Inc.* 549
142 Integrated Alarm Services Group, Inc.* (l) 1,204
---------------------------------------------------------------------
1,753
---------------------------------------------------------------------
ELECTRONICS/ELECTRICAL EQUIPMENT-- 2.7%
37 Belden, Inc. $ 783
52 Cable Design Technologies Corp.* (l) 467
7 Electro Scientific Industries, Inc.* 167
154 Encore Wire Corp.* 2,720
173 GrafTech International LTD* 2,340
174 Integrated Electrical Services, Inc.* 1,614
35 Photon Dynamics, Inc.* (l) 1,411
---------------------------------------------------------------------
9,502
---------------------------------------------------------------------
ENGINEERING SERVICES -- 0.5%
63 Chicago Bridge & Iron Co., N.Y. Registered
Shares (The Netherlands) 1,821
ENTERTAINMENT/LEISURE -- 0.7%
113 Boyd Gaming Corp. 1,822
26 Penn National Gaming, Inc.* 604
---------------------------------------------------------------------
2,426
---------------------------------------------------------------------
FINANCIAL SERVICES -- 3.0%
41 Accredited Home Lenders Holding Co.* 1,249
47 American Capital Strategies LTD 1,395
41 CapitalSource, Inc.* 880
110 eSpeed, Inc., Class A* 2,587
30 Farmer Mac, Class C* 974
95 Friedman, Billings, Ramsey Group, Inc.,
Class A 2,200
24 Marlin Business Services, Inc.* 412
23 Portfolio Recovery Associates, Inc.* (l) 601
---------------------------------------------------------------------
10,298
---------------------------------------------------------------------
FOOD/BEVERAGE PRODUCTS -- 0.6%
93 Chiquita Brands International, Inc.* 2,094
HEALTH CARE/HEALTH CARE SERVICES-- 5.7%
30 Accredo Health, Inc.* 949
18 Advanced Neuromodulation Systems, Inc.* 839
78 Centene Corp.* (l) 2,172
49 Conceptus, Inc.* (l) 518
27 Cyberonics, Inc.* 871
73 Cytyc Corp.* 1,001
129 Encore Medical Corp.* 1,048
76 Inveresk Research Group, Inc.* (l) 1,889
19 Kindred Healthcare, Inc.* 989
20 LifePoint Hospitals, Inc.* 580
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
53
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- ---------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
HEALTH CARE/HEALTH CARE SERVICES -- CONTINUED
69 Mariner Health Care, Inc.* $ 1,546
44 Omnicare, Inc. 1,767
234 Orthovita, Inc.* (l) 752
15 PacifiCare Health Systems* 1,002
11 Pediatrix Medical Group, Inc.* (l) 602
98 STAAR Surgical Co.* (l) 1,104
63 United Surgical Partners
International, Inc.* (l) 2,109
---------------------------------------------------------------------
19,738
---------------------------------------------------------------------
HOTELS/OTHER LODGING -- 0.2%
102 La Quinta Corp.* 652
INSURANCE -- 2.5%
45 Argonaut Group, Inc.* 699
26 Direct General Corp. 869
50 HCC Insurance Holdings, Inc. 1,582
49 Protective Life Corp. 1,644
22 Scottish Re Group LTD (Bermuda) 452
30 StanCorp Financial Group, Inc. 1,876
43 W.R. Berkley Corp. 1,499
---------------------------------------------------------------------
8,621
---------------------------------------------------------------------
INTERNET SERVICES/SOFTWARE-- 1.2%
65 At Road, Inc.* 861
169 CNET Networks, Inc.* 1,153
38 EarthLink, Inc.* 380
37 Lionbridge Technologies, Inc.* 354
103 Network Associates, Inc.* 1,551
---------------------------------------------------------------------
4,299
---------------------------------------------------------------------
LEASING -- 0.3%
38 GATX Corp. 1,074
MACHINERY & ENGINEERING EQUIPMENT-- 3.0%
93 Applied Industrial Technologies, Inc. 2,219
61 Kennametal, Inc. 2,437
95 Nordson Corp. 3,282
103 UNOVA, Inc.* 2,367
---------------------------------------------------------------------
10,305
---------------------------------------------------------------------
MANUFACTURING -- 1.5%
102 General Cable Corp.* $ 831
59 Joy Global, Inc. 1,553
143 Walter Industries, Inc. 1,903
24 Wilson Greatbatch Technologies, Inc.* (l) 994
---------------------------------------------------------------------
5,281
---------------------------------------------------------------------
METALS/MINING -- 3.8%
85 Arch Coal, Inc. 2,643
82 Commercial Metals Co. 2,497
76 Mueller Industries, Inc.* 2,624
96 Precision Castparts Corp. 4,345
52 Valmont Industries, Inc. 1,205
---------------------------------------------------------------------
13,314
---------------------------------------------------------------------
MULTI-MEDIA -- 2.2%
62 Emmis Communications Corp., Class A* 1,676
53 Gray Television, Inc. 801
26 Hearst-Argyle Television, Inc. 719
91 Insight Communications Co., Inc.* (l) 935
72 Journal Register Co.* 1,491
16 Media General, Inc., Class A 1,032
285 Sirius Satellite Radio, Inc.* (l) 901
8 Young Broadcasting, Inc., Class A* 162
---------------------------------------------------------------------
7,717
---------------------------------------------------------------------
OFFICE/BUSINESS EQUIPMENT-- 0.2%
31 Herman Miller, Inc. 763
OIL & GAS -- 3.7%
43 Energen Corp. 1,752
22 FMC Technologies, Inc.* 518
128 Global Industries LTD* 658
48 Gulf Island Fabrication, Inc.* 813
54 Lone Star Technologies* 867
23 Maverick Tube Corp.* 440
49 ONEOK, Inc. 1,081
19 Patterson-UTI Energy, Inc.* 634
62 Premcor, Inc.* 1,600
63 Spinnaker Exploration Co.* 2,044
37 Stone Energy Corp.* (l) 1,578
33 W-H Energy Services, Inc.* 538
15 Westport Resources Corp.* (l) 445
---------------------------------------------------------------------
12,968
---------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
54
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- ---------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
PACKAGING -- 3.4%
818 Crown Holdings, Inc.* $ 7,412
103 Silgan Holdings, Inc.* 4,384
---------------------------------------------------------------------
11,796
---------------------------------------------------------------------
PAPER/FOREST PRODUCTS -- 0.6%
162 Caraustar Industries, Inc.* 2,241
PHARMACEUTICALS -- 6.4%
66 Able Laboratories, Inc.* + 1,190
257 Adolor Corp.* 5,142
30 Amylin Pharmaceuticals, Inc.* (l) 664
244 AtheroGenics, Inc.* (l) 3,647
77 Cubist Pharmaceuticals, Inc.* 941
124 Cypress Bioscience, Inc.* 1,873
34 Esperion Therapeutics, Inc.* 1,166
121 Ligand Pharmaceuticals, Inc.,
Class B* (l) 1,777
58 Medicines Co.* 1,696
13 NBTY, Inc.* 341
17 Neurocrine Biosciences, Inc.* 923
49 Sepracor, Inc.* 1,164
26 Taro Pharmaceutical Industries LTD
(Israel)* 1,662
---------------------------------------------------------------------
22,186
---------------------------------------------------------------------
REAL ESTATE INVESTMENT TRUST-- 5.4%
13 Agree Realty Corp. 359
4 Alexandria Real Estate Equities, Inc. 236
83 American Home Mortgage Investment Corp. 1,876
36 Annaly Mortgage Management, Inc. 661
27 Anworth Mortgage Asset Corp. 381
27 Capital Automotive Real Estate
Investment Trust 851
14 Chelsea Property Group, Inc. 786
30 Cousins Properties, Inc. 922
15 Developers Diversified Realty Corp. 498
35 General Growth Properties, Inc. 977
29 Highwoods Properties, Inc. 748
68 Lexington Corporate Properties Trust 1,379
84 MFA Mortgage Investments, Inc. 815
42 Post Properties, Inc. 1,166
101 Prentiss Properties Trust 3,319
14 Regency Centers Corp. 552
63 United Dominion Realty Trust, Inc. $ 1,204
57 Ventas, Inc. 1,256
16 Weingarten Realty Investors 720
---------------------------------------------------------------------
18,706
---------------------------------------------------------------------
RESTAURANTS/FOOD SERVICES-- 0.2%
31 Landry's Restaurants, Inc. 800
RETAILING -- 5.4%
87 AnnTaylor Stores Corp.* 3,387
70 BJ's Wholesale Club, Inc.* 1,604
20 Chico's FAS, Inc.* (l) 724
92 CSK Auto Corp.* 1,727
35 Fred's, Inc. 1,094
168 Kirkland's, Inc.* 2,969
28 Linens `N Things, Inc.* 837
15 Michaels Stores, Inc. 684
205 Pier 1 Imports, Inc. 4,478
37 School Specialty, Inc.* (l) 1,263
---------------------------------------------------------------------
18,767
---------------------------------------------------------------------
SEMI-CONDUCTORS -- 5.2%
91 ASE Test LTD (Taiwan)* 1,368
255 ChipPAC, Inc., Class A* (l) 1,936
316 Credence Systems Corp.* (l) 4,156
63 Intersil Corp., Class A 1,572
159 Kulicke & Soffa Industries, Inc.* (l) 2,281
35 Lam Research Corp.* 1,126
50 O2Micro International LTD
(Cayman Islands)* 1,120
18 Photronics, Inc.* 357
146 Semtech Corp.* 3,314
19 Varian Semiconductor Equipment
Associates, Inc.* 835
---------------------------------------------------------------------
18,065
---------------------------------------------------------------------
STEEL -- 0.9%
42 Reliance Steel & Aluminum Co. 1,382
12 Schnitzer Steel Industries, Inc., Class A 738
27 United States Steel Corp. 934
---------------------------------------------------------------------
3,054
---------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
55
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- ---------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
TELECOMMUNICATIONS -- 2.5%
277 Aeroflex, Inc.* $ 3,239
63 Cincinnati Bell, Inc.* 317
157 Citizens Communications Co.* 1,946
178 Extreme Networks, Inc.* 1,283
90 MasTec, Inc.* 1,340
23 Western Wireless Corp., Class A* 421
---------------------------------------------------------------------
8,546
---------------------------------------------------------------------
TELECOMMUNICATIONS EQUIPMENT-- 0.6%
62 Advanced Fibre Communications, Inc.* 1,254
36 Andrew Corp.* (l) 410
64 Sycamore Networks, Inc.* 335
---------------------------------------------------------------------
1,999
---------------------------------------------------------------------
TRANSPORTATION -- 1.4%
66 Kirby Corp.* 2,310
56 Overnite Corp.* 1,274
63 Werner Enterprises, Inc. 1,223
---------------------------------------------------------------------
4,807
---------------------------------------------------------------------
UTILITIES -- 1.9%
108 Atmos Energy Corp. 2,625
429 Sierra Pacific Resources* (l) 3,147
43 Westar Energy, Inc. 871
---------------------------------------------------------------------
6,643
---------------------------------------------------------------------
Total Common Stocks 343,604
(Cost $247,918)
---------------------------------------------------------------------
PREFERRED STOCKS -- 0.6%
ENTERTAINMENT/LEISURE -- 0.6%
86 Six Flags, Inc. 1,969
(Cost $1,122)
INVESTMENT COMPANY -- 0.2%
50 Technology Investment Capital Corp. 782
(Cost $755)
---------------------------------------------------------------------
Total Long-Term Investments 346,355
(Cost $249,795)
---------------------------------------------------------------------
<Caption>
PRINCIPAL
AMOUNT
(USD) ISSUER VALUE
- ---------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS -- 0.4%
U.S. TREASURY SECURITY-- 0.1%
$ 300 U.S. Treasury Note, 2.13%, 10/31/04 @ + $ 302
(Cost $302)
<Caption>
SHARES
- ---------------------------------------------------------------------------------
MONEY MARKET FUND -- 0.3%
940 JPMorgan Prime Money Market Fund (a) 940
(Cost $940)
---------------------------------------------------------------------
Total Short-Term Investments 1,242
(Cost $1,242)
---------------------------------------------------------------------
TOTAL INVESTMENTS-- 100.0% $ 347,597
(COST $251,037)
---------------------------------------------------------------------
<Caption>
SHARES COLLATERAL INVESTMENTS VALUE
- ---------------------------------------------------------------------------------
MONEY MARKET FUNDS (c)
4,181 Merrill Lynch Premier Money Market Fund $ 4,181
4,181 AIM Short Term Investment Co. 4,181
<Caption>
PRINCIPAL
AMOUNT
(USD)
- ---------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCY SECURITIES (c)
$ 4,992 Federal Home Loan Mortgage Corp.,
1.07%, 01/20/04 4,992
9,984 Federal Home Loan Mortgage Corp.,
1.04%, 02/12/04 9,984
---------------------------------------------------------------------
$ 23,338
---------------------------------------------------------------------
</Table>
FUTURES CONTRACTS
(Amounts in thousands, except number of contracts)
<Table>
<Caption>
NOTIONAL UNREALIZED
NUMBER OF VALUE AT APPRECIATION
CONTRACTS DESCRIPTION EXPIRATION DATE 12/31/03 (USD) (DEPRECIATION) (USD)
- --------------------------------------------------------------------------------------------------------------------------
LONG FUTURES OUTSTANDING
18 Russell 2000 March, 2004 $ 5,015 $ (39)
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
56
<Page>
JPMORGAN U.S. SMALL COMPANY OPPORTUNITIES FUND
PORTFOLIO OF INVESTMENTS AS OF DECEMBER 31, 2003
(Amounts in thousands)
<Table>
<Caption>
SHARES ISSUER VALUE
- ---------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- 99.8%
COMMON STOCKS -- 99.8%
AIRLINES -- 1.3%
8 SkyWest, Inc. $ 144
BANKING -- 2.3%
2 East-West Bancorp, Inc. 83
2 Southwest Bancorp of Texas, Inc. 82
3 Texas Regional Bancshares, Class A 98
---------------------------------------------------------------------
263
---------------------------------------------------------------------
BIOTECHNOLOGY -- 2.0%
6 Myogen, Inc.* 79
6 Nektar Therapeutics* 80
3 Telik, Inc.* 64
---------------------------------------------------------------------
223
---------------------------------------------------------------------
BROADCASTING/CABLE -- 1.4%
6 Salem Communications Corp., Class A* 159
BUSINESS SERVICES -- 2.5%
5 Alliance Data Systems Corp.* 149
5 Sylvan Learning Systems, Inc.* 134
---------------------------------------------------------------------
283
---------------------------------------------------------------------
COMPUTER NETWORKS -- 0.9%
27 Enterasys Networks, Inc.* 100
COMPUTER SOFTWARE -- 7.5%
3 Hyperion Solutions Corp.* 101
18 Lawson Software, Inc.* 148
4 National Instruments Corp. 165
10 Serena Software, Inc.* 176
5 Verint Systems, Inc.* 114
14 Witness Systems, Inc.* 133
---------------------------------------------------------------------
837
---------------------------------------------------------------------
COMPUTERS/COMPUTER HARDWARE-- 4.7%
8 Electronics for Imaging, Inc.* 212
13 Maxtor Corp.* 148
4 Tech Data Corp.* 166
---------------------------------------------------------------------
526
---------------------------------------------------------------------
CONSUMER PRODUCTS -- 1.0%
3 Ethan Allen Interiors, Inc. 111
CONSUMER SERVICES -- 3.0%
4 Ritchie Bros. Auctioneers, Inc. (Canada) $ 189
8 United Rentals, Inc.* 147
---------------------------------------------------------------------
336
---------------------------------------------------------------------
ELECTRONICS/ELECTRICAL EQUIPMENT-- 4.5%
5 DSP Group, Inc.* 118
13 GrafTech International LTD* 173
5 Mettler-Toledo International, Inc.
(Switzerland)* 214
---------------------------------------------------------------------
505
---------------------------------------------------------------------
ENTERTAINMENT/LEISURE -- 3.3%
5 Alliance Gaming Corp.* 126
3 Multimedia Games, Inc.* 113
12 Pegasus Solutions, Inc.* 130
---------------------------------------------------------------------
369
---------------------------------------------------------------------
FINANCIAL SERVICES -- 3.0%
2 Affiliated Managers Group, Inc.* 144
4 National Financial Partners Corp. 106
4 Nelnet, Inc., Class A* 81
---------------------------------------------------------------------
331
---------------------------------------------------------------------
HEALTH CARE/HEALTH CARE SERVICES-- 11.7%
3 Cooper Companies, Inc. 133
6 Covance, Inc.* 172
2 Diagnostic Products Corp. 87
6 NDCHealth Corp. 165
4 Sunrise Assisted Living, Inc.* 138
5 United Surgical Partners International, Inc.* 181
6 VCA Antech, Inc.* 180
2 Ventana Medical Systems, Inc.* 93
5 Wright Medical Group, Inc.* 154
---------------------------------------------------------------------
1,303
---------------------------------------------------------------------
INSURANCE -- 2.9%
4 Infinity Property & Casualty Corp. 140
6 ProAssurance Corp.* 184
---------------------------------------------------------------------
324
---------------------------------------------------------------------
INTERNET SERVICES/SOFTWARE -- 2.8%
8 DoubleClick, Inc.* 86
4 Orbitz, Inc., Class A* 92
8 United Online, Inc.* 130
---------------------------------------------------------------------
308
---------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
57
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- ----------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- 99.8%
MANUFACTURING -- 3.3%
4 Albany International Corp., Class A $ 140
4 Applied Films Corp.* 130
13 General Cable Corp.* 104
---------------------------------------------------------------------
374
---------------------------------------------------------------------
METALS/MINING -- 1.0%
4 Arch Coal, Inc. 117
MULTI-MEDIA -- 1.7%
12 Gray Television, Inc. 187
OFFICE/BUSINESS EQUIPMENT -- 2.7%
10 Global Imaging Systems, Inc.* 302
OIL & GAS -- 5.4%
6 Headwaters, Inc.* 124
9 Key Energy Services, Inc.* 88
3 Newfield Exploration Co.* 118
6 Unit Corp.* 144
5 Universal Compression Holding, Inc.* 132
0^^ XTO Energy, Inc. 0^^
---------------------------------------------------------------------
606
---------------------------------------------------------------------
PHARMACEUTICALS -- 5.9%
4 Adolor Corp.* 88
5 Alkermes, Inc.* 61
5 AtheroGenics, Inc.* 75
5 Connetics Corp.* 95
5 Cubist Pharmaceuticals, Inc.* 59
5 ILEX Oncology, Inc.* 97
4 NBTY, Inc.* 116
2 OSI Pharmaceuticals, Inc.* 64
---------------------------------------------------------------------
655
---------------------------------------------------------------------
PRINTING & PUBLISHING -- 1.0%
5 Information Holdings, Inc.* 114
REAL ESTATE INVESTMENT TRUST-- 1.0%
7 American Financial Realty Trust 113
RESTAURANTS/FOOD SERVICES -- 1.8%
7 Ruby Tuesday, Inc. 202
RETAILING -- 6.4%
3 AnnTaylor Stores Corp.* $ 112
2 CDW Corp. 107
2 Cost Plus, Inc.* 88
3 Men's Wearhouse, Inc.* 70
4 PETCO Animal Supplies, Inc.* 133
4 Tuesday Morning Corp.* 110
3 Urban Outfitters, Inc.* 93
---------------------------------------------------------------------
713
---------------------------------------------------------------------
SEMI-CONDUCTORS -- 6.6%
6 Artisan Components, Inc.* 123
8 Credence Systems Corp.* 104
9 Entegris, Inc.* 116
22 GlobespanVirata, Inc.* 129
5 MKS Instruments, Inc.* 132
7 Photronics, Inc.* 137
---------------------------------------------------------------------
741
---------------------------------------------------------------------
SHIPPING/TRANSPORTATION -- 1.7%
5 UTI Worldwide, Inc. (Virgin Islands) 193
TELECOMMUNICATIONS -- 4.7%
9 Aeroflex, Inc.* 108
18 LCC International, Inc.* 94
14 Nextel Partners, Inc., Class A* 186
9 Tekelec* 135
---------------------------------------------------------------------
523
---------------------------------------------------------------------
TELECOMMUNICATIONS EQUIPMENT-- 1.0%
5 Inter-Tel, Inc. 116
TRANSPORTATION -- 0.8%
4 Knight Transportation, Inc.* 91
---------------------------------------------------------------------
Total Common Stocks 11,169
(Cost $9,549)
---------------------------------------------------------------------
SHORT-TERM INVESTMENT -- 0.2%
MONEY MARKET FUND -- 0.2%
23 JPMorgan Prime Money Market Fund (a) 23
(Cost $23)
---------------------------------------------------------------------
TOTAL INVESTMENTS-- 100.0% $ 11,192
(COST $9,572)
---------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
58
<Page>
Abbreviations:
* -- Non-income producing security.
^^ -- Amount rounds to less than one thousand.
@ -- Security is fully or partially segregated with brokers as initial
margin for futures contracts.
+ -- All or portion of this security is segregated with the custodian for
futures contracts.
(a) -- Affiliated. Money market fund registered under the Investment Company
Act of 1940, as amended and advised by J. P. Morgan Investment
Management, Inc.
(c) -- Investment of cash collateral for portfolio securities on loan.
(l) -- Security, or portion of a security, has been delivered to counterparty
as part of security lending transaction.
USD -- United States Dollar.
SEE NOTES TO FINANCIAL STATEMENTS.
59
<Page>
JPMORGAN FUNDS
STATEMENT OF ASSETS
AND LIABILITIES AS OF DECEMBER 31, 2003
(Amounts in thousands, except per share amounts)
<Table>
<Caption>
DYNAMIC MID CAP MID CAP
SMALL CAP EQUITY GROWTH
FUND FUND FUND
- ------------------------------------------------------------------------------------------
ASSETS
Investment securities, at value $ 192,083 $ 197,033 $ 60,490
Investments held as collateral for
securities lending program 9,403 6,168 5,423
Cash -- -- --^
Receivables:
Investment securities sold 2,002 622 470
Fund shares sold 600 5 17
Interest and dividends 63 171 15
Securities lending (net) 2 1 --^
- ------------------------------------------------------------------------------------------
Total Assets 204,153 204,000 66,415
- ------------------------------------------------------------------------------------------
LIABILITIES
Payables:
Due to custodian 1 176 --
Distributions -- 210 --
Investment securities purchased 2,634 -- --
Collateral for securities
lending program 9,403 6,168 5,423
Fund shares redeemed 321 3,181 308
Accrued liabilities:
Investment advisory fees 106 108 26
Administration fees 16 17 3
Shareholder servicing fees 17 8 3
Distribution fees 73 -- 14
Custodian fees 15 6 8
Trustees' fees - deferred
compensation plan 24 21 1
Other 178 39 62
- ------------------------------------------------------------------------------------------
Total Liabilities 12,788 9,934 5,848
- ------------------------------------------------------------------------------------------
NET ASSETS $ 191,365 $ 194,066 $ 60,567
- ------------------------------------------------------------------------------------------
</Table>
^ Amount rounds to less than one thousand.
60
<Page>
<Table>
<Caption>
DYNAMIC MID CAP MID CAP
SMALL CAP EQUITY GROWTH
FUND FUND FUND
- ------------------------------------------------------------------------------------------
NET ASSETS
Paid in capital $ 185,457 $ 150,508 $ 312,088
Accumulated undistributed
(overdistributed) net investment income (24) (10) (1)
Accumulated net realized gain (loss)
on investments (41,273) 172 (263,546)
Net unrealized appreciation
(depreciation) of investments 47,205 43,396 12,026
- ------------------------------------------------------------------------------------------
Total Net Assets $ 191,365 $ 194,066 $ 60,567
- ------------------------------------------------------------------------------------------
Shares of beneficial interest outstanding
($0.001 par value; unlimited
number of shares authorized):
Class A 5,303 -- 11,746
Class B 3,911 -- 618
Class C 1,454 -- --
Select 953 6,224 --
Net Asset Value:
Class A (and redemption price) $ 16.81 $ -- $ 4.91
Class B* $ 16.01 $ -- $ 4.77
Class C* $ 15.98 $ -- $ --
Select (and redemption price) $ 17.13 $ 31.18 $ --
Class A Maximum Public Offering
Price Per Share (net asset value per
share/94.25%) $ 17.84 $ -- $ 5.21
- ------------------------------------------------------------------------------------------
Cost of investments $ 144,878 $ 153,637 $ 48,464
- ------------------------------------------------------------------------------------------
</Table>
* Redemption price may be reduced by contingent deferred sales charge.
SEE NOTES TO FINANCIAL STATEMENTS.
61
<Page>
<Table>
<Caption>
MID CAP SMALL CAP SMALL CAP
VALUE EQUITY GROWTH
FUND FUND FUND
- ------------------------------------------------------------------------------------------
ASSETS
Investment securities, at value $ 856,264 $ 749,184 $ 4,453
Investments held as collateral for
securities lending program 6,290 120,673 91
Cash 240 68 --^
Receivables:
Investment securities sold 1,216 -- 25
Fund shares sold 20,223 1,136 --
Interest and dividends 751 381 1
Securities lending (net) 1 14 --^
Expense reimbursements -- -- 6
- ------------------------------------------------------------------------------------------
Total Assets 884,985 871,456 4,576
- ------------------------------------------------------------------------------------------
LIABILITIES
Payables:
Investment securities purchased 19,825 622 13
Collateral for securities
lending program 6,290 120,673 91
Fund shares redeemed 1,666 2,879 --
Accrued liabilities:
Investment advisory fees 356 409 --
Administration fees 67 76 --
Shareholder servicing fees 69 18 --
Distribution fees 155 30 --^
Custodian fees 26 25 16
Trustees' fees - deferred
compensation plan 1 96 --^
Other 201 163 60
- ------------------------------------------------------------------------------------------
Total Liabilities 28,656 124,991 180
- ------------------------------------------------------------------------------------------
NET ASSETS $ 856,329 $ 746,465 $ 4,396
- ------------------------------------------------------------------------------------------
</Table>
^ Amount rounds to less than one thousand.
SEE NOTES TO FINANCIAL STATEMENTS.
62
<Page>
<Table>
<Caption>
MID CAP SMALL CAP SMALL CAP
VALUE EQUITY GROWTH
FUND FUND FUND
- ------------------------------------------------------------------------------------------
NET ASSETS
Paid in capital $ 751,584 $ 549,228 $ 5,047
Accumulated undistributed
(overdistributed) net investment income (1) (90) --^
Accumulated net realized gain (loss)
on investments (689) 12,803 (1,444)
Net unrealized appreciation
(depreciation) of investments 105,435 184,524 793
- ------------------------------------------------------------------------------------------
Total Net Assets $ 856,329 $ 746,465 $ 4,396
- ------------------------------------------------------------------------------------------
Shares of beneficial interest outstanding
($0.001 par value; unlimited
number of shares authorized):
Class A 14,745 3,663 132
Class B 3,727 990 --
Class C 5,581 -- --
Institutional 17,801 -- 406
Select 4,084 25,260 26
Net Asset Value:
Class A (and redemption price) $ 18.62 $ 24.11 $ 7.67
Class B* $ 18.37 $ 22.34 $ --
Class C* $ 18.41 $ -- $ --
Institutional (and redemption price) $ 18.77 $ -- $ 7.84
Select (and redemption price) $ 18.70 $ 25.18 $ 7.79
Class A Maximum Public Offering
Price Per Share (net asset value per
share/94.25%) $ 19.76 $ 25.58 $ 8.14
- ------------------------------------------------------------------------------------------
Cost of investments $ 750,829 $ 564,660 $ 3,660
- ------------------------------------------------------------------------------------------
</Table>
* Redemption price may be reduced by contingent deferred sales charge.
^ Amount rounds to less than one thousand.
SEE NOTES TO FINANCIAL STATEMENTS.
63
<Page>
<Table>
<Caption>
U.S. SMALL
TRUST SMALL U.S. SMALL COMPANY
CAP EQUITY COMPANY OPPORTUNITIES
FUND FUND FUND
- ------------------------------------------------------------------------------------------
ASSETS
Investment securities, at value $ 391,260 $ 347,597 $ 11,192
Investments held as collateral for
securities lending program 17,319 23,338 --
Cash 37 23 --^
Receivables:
Investment securities sold -- 8,115 64
Fund shares sold 125 1,929 668
Interest and dividends 220 314 3
Securities lending (net) 5 7 --^
Expense reimbursements -- -- 5
- ------------------------------------------------------------------------------------------
Total Assets 408,966 381,323 11,932
- ------------------------------------------------------------------------------------------
LIABILITIES
Payables:
Dividends 32 -- --
Investment securities purchased 321 2,233 36
Collateral for securities
lending program 17,319 23,338 --
Fund shares redeemed 5,043 15,874 2,112
Variation margin -- 61 --
Accrued liabilities:
Investment advisory fees 144 182 --
Administration fees 34 39 --^
Shareholder servicing fees -- 30 --^
Custodian fees 7 17 6
Trustees' fees - deferred
compensation plan 67 1 1
Other 46 90 44
- ------------------------------------------------------------------------------------------
Total Liabilities 23,013 41,865 2,199
- ------------------------------------------------------------------------------------------
NET ASSETS $ 385,953 $ 339,458 $ 9,733
- ------------------------------------------------------------------------------------------
</Table>
^ Amount rounds to less than one thousand.
SEE NOTES TO FINANCIAL STATEMENTS.
64
<Page>
<Table>
<Caption>
TRUST SMALL U.S. SMALL COMPANY
CAP EQUITY COMPANY OPPORTUNITIES
FUND FUND FUND
- ------------------------------------------------------------------------------------------
NET ASSETS
Paid in capital $ 290,658 $ 300,932 $ 166,746
Accumulated undistributed
(overdistributed) net investment income (61) (1) (1)
Accumulated net realized gain (loss)
on investments and futures 6,315 (57,994) (158,632)
Net unrealized appreciation
(depreciation) of investments and futures 89,041 96,521 1,620
- ------------------------------------------------------------------------------------------
Total Net Assets $ 385,953 $ 339,458 $ 9,733
- ------------------------------------------------------------------------------------------
Shares of beneficial interest outstanding
($0.001 par value; unlimited
number of shares authorized):
Institutional -- 11,264 --
Select 8,694 13,171 1,079
Net Asset Value:
Institutional (and redemption price) $ -- $ 13.88 $ --
Select (and redemption price) $ 44.39 $ 13.90 $ 9.02
- ------------------------------------------------------------------------------------------
Cost of investments $ 302,219 $ 251,037 $ 9,572
- ------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
65
<Page>
STATEMENT OF
OPERATIONS FOR THE YEAR ENDED DECEMBER 31, 2003
(Amounts in thousands)
<Table>
<Caption>
DYNAMIC MID CAP MID CAP
SMALL CAP EQUITY GROWTH
FUND FUND FUND
INVESTMENT INCOME
Dividend $ 422 $ 2,159 $ 152
Dividend income from affiliated
investments* 34 74 11
Securities lending (net) 39 11 10
Foreign taxes withheld -- -- (1)
- --------------------------------------------------------------------
Total investment income 495 2,244 172
- --------------------------------------------------------------------
EXPENSES
Investment advisory fees 1,045 1,058 376
Administration fees 241 244 87
Shareholder servicing fees 402 407 100
Distribution fees 703 -- 170
Custodian fees 71 46 50
Printing and postage 61 10 38
Professional fees 67 51 61
Registration expenses 55 11 26
Transfer agent fees 540 21 121
Trustees' fees 2 2 1
Other 56 13 8
- --------------------------------------------------------------------
Total expenses 3,243 1,863 1,038
- --------------------------------------------------------------------
Less amounts waived 470 398 237
Less earnings credits --^ --^ --^
- --------------------------------------------------------------------
Net expenses 2,773 1,465 801
- --------------------------------------------------------------------
Net investment income (loss) (2,278) 779 (629)
- --------------------------------------------------------------------
</Table>
^ Amount rounds to less than one thousand.
SEE NOTES TO FINANCIAL STATEMENTS.
66
<Page>
<Table>
<Caption>
DYNAMIC MID CAP MID CAP
SMALL CAP EQUITY GROWTH
FUND FUND FUND
REALIZED AND UNREALIZED
GAIN (LOSS) ON INVESTMENTS
Net realized gain (loss) on
transactions from:
Investments $ 6,539 $ 6,558 $ (1,935)
Change in net unrealized
appreciation/depreciation of:
Investments 47,379 39,408 21,065
Net realized and unrealized
gain (loss) on investments 53,918 45,966 19,130
- --------------------------------------------------------------------
Net increase (decrease) in net
assets from operations $ 51,640 $ 46,745 $ 18,501
- --------------------------------------------------------------------
* Includes reimbursements of
investment advisory,
administration and
shareholder servicing fees: $ 5 $ 11 $ 2
- --------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
67
<Page>
<Table>
<Caption>
MID CAP SMALL CAP SMALL CAP
VALUE EQUITY GROWTH
FUND FUND FUND
INVESTMENT INCOME
Dividend $ 6,108 $ 3,830 $ 6
Dividend income from affiliated
investments* 391 108 1
Securities lending (net) 11 125 --^
- --------------------------------------------------------------------
Total investment income 6,510 4,063 7
- --------------------------------------------------------------------
EXPENSES
Investment advisory fees 2,600 4,175 21
Administration fees 530 963 4
Shareholder servicing fees 593 1,555 3
Distribution fees 847 347 3
Custodian fees 116 122 84
Printing and postage 53 83 --^
Professional fees 70 84 65
Registration expenses 134 72 61
Transfer agent fees 485 388 66
Trustees' fees 5 9 --^
Other 43 48 13
- --------------------------------------------------------------------
Total expenses 5,476 7,846 320
- --------------------------------------------------------------------
Less amounts waived 1,191 1,716 27
Less earnings credits 1 --^ --^
Less expense reimbursements -- -- 265
- --------------------------------------------------------------------
Net expenses 4,284 6,130 28
- --------------------------------------------------------------------
Net investment income (loss) 2,226 (2,067) (21)
- --------------------------------------------------------------------
</Table>
^ Amount rounds to less than one thousand.
SEE NOTES TO FINANCIAL STATEMENTS.
68
<Page>
<Table>
<Caption>
MID CAP SMALL CAP SMALL CAP
VALUE EQUITY GROWTH
FUND FUND FUND
REALIZED AND UNREALIZED
GAIN (LOSS) ON INVESTMENTS
Net realized gain (loss) on
transactions from:
Investments $ 5,402 $ 34,654 $ (334)
Change in net unrealized
appreciation/depreciation of:
Investments 102,487 173,648 1,296
Net realized and unrealized
gain (loss) on investments 107,889 208,302 962
- --------------------------------------------------------------------
Net increase (decrease) in net
assets from operations $ 110,115 $ 206,235 $ 941
- --------------------------------------------------------------------
* Includes reimbursements of
investment advisory,
administration and
shareholder servicing fees: $ 62 $ 16 $ --^
- --------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
69
<Page>
<Table>
<Caption>
U.S. SMALL
TRUST SMALL U.S. SMALL COMPANY
CAP EQUITY COMPANY OPPORTUNITIES
FUND FUND FUND
INVESTMENT INCOME
Interest $ -- $ 3 $ --
Dividend 1,781 4,000 67
Dividend income from affiliated
investments* 116 80 14
Securities lending (net) 63 110 9
Foreign taxes withheld -- (6) (1)
- -----------------------------------------------------------------------------
Total investment income 1,960 4,187 89
- -----------------------------------------------------------------------------
EXPENSES
Investment advisory fees 1,992 2,163 133
Administration fees 460 541 33
Shareholder servicing fees 766 645 55
Custodian fees 50 105 34
Interest expense -- 1 1
Printing and postage 14 29 6
Professional fees 54 81 61
Registration expenses 3 32 12
Transfer agent fees 20 105 29
Trustees' fees 4 4 --^
Other 18 32 7
- -----------------------------------------------------------------------------
Total expenses 3,381 3,738 371
- -----------------------------------------------------------------------------
Less amounts waived 1,542 403 136
Less earnings credits --^ 1 4
Less expense reimbursements -- -- 5
- -----------------------------------------------------------------------------
Net expenses 1,839 3,334 226
- -----------------------------------------------------------------------------
Net investment income (loss) 121 853 (137)
- -----------------------------------------------------------------------------
</Table>
^ Amount rounds to less than one thousand.
SEE NOTES TO FINANCIAL STATEMENTS.
70
<Page>
<Table>
<Caption>
U.S. SMALL
TRUST SMALL U.S. SMALL COMPANY
CAP EQUITY COMPANY OPPORTUNITIES
FUND FUND FUND
REALIZED AND UNREALIZED
GAIN (LOSS) ON INVESTMENTS
Net realized gain (loss) on
transactions from:
Investments $ 18,926 $ 6,552 $ (3,387)
Futures -- 655 --
Change in net unrealized
appreciation/depreciation of:
Investments 77,999 105,517 3,777
Futures -- (39) --
Net realized and unrealized
gain (loss) on investments and
futures 96,925 112,685 390
- ------------------------------------------------------------------------------
Net increase (decrease) in
net assets from operations $ 97,046 $ 113,538 $ 253
- ------------------------------------------------------------------------------
* Includes reimbursements of
investment advisory,
administration and
shareholder servicing fees: $ 18 $ 12 $ 2
- ------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
71
<Page>
STATEMENT OF CHANGES
IN NET ASSETS FOR THE PERIODS INDICATED
(Amounts in thousands)
<Table>
<Caption>
DYNAMIC SMALL CAP FUND MID CAP EQUITY FUND
------------------------ ------------------------
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
12/31/03 12/31/02 12/31/03 12/31/02
INCREASE (DECREASE) IN NET
ASSETS FROM OPERATIONS
Net investment income (loss) $ (2,278) $ (2,560) $ 779 $ 752
Net realized gain (loss) on
investments 6,539 (21,721) 6,558 4,503
Change in net unrealized appreciation/
depreciation of investments 47,379 (21,184) 39,408 (27,236)
- ----------------------------------------------------------------------------------------------
Increase (decrease) in net assets
from operations 51,640 (45,465) 46,745 (21,981)
- ----------------------------------------------------------------------------------------------
DISTRIBUTIONS TO
SHAREHOLDERS FROM
Net investment income -- -- (782) (747)
Net realized gain on
investment transactions -- -- (5,709) (5,775)
- ----------------------------------------------------------------------------------------------
Total distributions to shareholders -- -- (6,491) (6,522)
- ----------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS
Increase (decrease) (12,619) (17,744) 15,181 12,071
- ----------------------------------------------------------------------------------------------
NET ASSETS
Total increase (decrease) in net assets 39,021 (63,209) 55,435 (16,432)
- ----------------------------------------------------------------------------------------------
Beginning of period 152,344 215,553 138,631 155,063
- ----------------------------------------------------------------------------------------------
End of period $ 191,365 $ 152,344 $ 194,066 $ 138,631
- ----------------------------------------------------------------------------------------------
Accumulated undistributed
(overdistributed) net
investment income $ (24) $ (27) $ (10) $ (19)
- ----------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
72
<Page>
<Table>
<Caption>
MID CAP GROWTH FUND MID CAP VALUE FUND
------------------------ ------------------------
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
12/31/03 12/31/02 12/31/03 12/31/02
INCREASE (DECREASE) IN NET
ASSETS FROM OPERATIONS
Net investment income (loss) $ (629) $ (916) $ 2,226 $ 323
Net realized gain (loss) on investments (1,935) (15,898) 5,402 (1,295)
Change in net unrealized appreciation/
depreciation of investments 21,065 (11,548) 102,487 1,704
- ----------------------------------------------------------------------------------------------
Increase (decrease) in net assets
from operations 18,501 (28,362) 110,115 732
- ----------------------------------------------------------------------------------------------
DISTRIBUTIONS TO
SHAREHOLDERS FROM
Net investment income -- -- (2,288) (337)
Net realized gain on
investment transactions -- -- (4,605) (50)
- ----------------------------------------------------------------------------------------------
Total distributions to shareholders -- -- (6,893) (387)
- ----------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS
Increase (decrease) (14,090) (21,856) 631,214 106,270
- ----------------------------------------------------------------------------------------------
NET ASSETS
Total increase (decrease) in net assets 4,411 (50,218) 734,436 106,615
- ----------------------------------------------------------------------------------------------
Beginning of period 56,156 106,374 121,893 15,278
- ----------------------------------------------------------------------------------------------
End of period $ 60,567 $ 56,156 $ 856,329 $ 121,893
- ----------------------------------------------------------------------------------------------
Accumulated undistributed
(overdistributed) net
investment income $ (1) $ (1) $ (1) $ --
- ----------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
73
<Page>
<Table>
<Caption>
SMALL CAP EQUITY FUND SMALL CAP GROWTH FUND
------------------------ ------------------------
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
12/31/03 12/31/02 12/31/03 12/31/02
INCREASE (DECREASE) IN NET
ASSETS FROM OPERATIONS
Net investment income (loss) $ (2,067) $ (2,218) $ (21) $ (19)
Net realized gain (loss) on investments 34,654 (21,869) (334) (761)
Change in net unrealized appreciation/
depreciation of investments 173,648 (97,620) 1,296 (394)
- ----------------------------------------------------------------------------------------------
Increase (decrease) in net assets
from operations 206,235 (121,707) 941 (1,174)
- ----------------------------------------------------------------------------------------------
DISTRIBUTIONS TO
SHAREHOLDERS FROM
Net realized gain on
investment transactions -- (4,099) -- --
- ----------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS
Increase (decrease) (62,159) 82,821 1,655 441
- ----------------------------------------------------------------------------------------------
NET ASSETS
Total increase (decrease) in net assets 144,076 (42,985) 2,596 (733)
- ----------------------------------------------------------------------------------------------
Beginning of period 602,389 645,374 1,800 2,533
- ----------------------------------------------------------------------------------------------
End of period $ 746,465 $ 602,389 $ 4,396 $ 1,800
- ----------------------------------------------------------------------------------------------
Accumulated undistributed
(overdistributed) net
investment income $ (90) $ (110) $ --^ $ --
- ----------------------------------------------------------------------------------------------
</Table>
^ Amount rounds to less than one thousand.
SEE NOTES TO FINANCIAL STATEMENTS.
74
<Page>
<Table>
<Caption>
TRUST SMALL CAP EQUITY FUND U.S. SMALL COMPANY FUND
---------------------------- ----------------------------
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
12/31/03 12/31/02 12/31/03 12/31/02
INCREASE (DECREASE) IN NET
ASSETS FROM OPERATIONS
Net investment income (loss) $ 121 $ 286 $ 853 $ 1,655
Net realized gain (loss) on
investments and futures 18,926 (6,774) 7,207 (62,722)
Change in net unrealized appreciation
(depreciation) of investments
and futures 77,999 (49,269) 105,478 (57,422)
- ------------------------------------------------------------------------------------------------------
Increase (decrease) in net assets
from operations 97,046 (55,757) 113,538 (118,489)
- ------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO
SHAREHOLDERS FROM
Net investment income (111) (268) (1,000) (1,956)
Net realized gain on
investment transactions (5,840) (2,129) -- --
- ------------------------------------------------------------------------------------------------------
Total distributions to shareholders (5,951) (2,397) (1,000) (1,956)
- ------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS
Increase (decrease) 35,795 (109) (186,555) (21,015)
- ------------------------------------------------------------------------------------------------------
NET ASSETS
Total increase (decrease) in net assets 126,890 (58,263) (74,017) (141,460)
- ------------------------------------------------------------------------------------------------------
Beginning of period 259,063 317,326 413,475 554,935
- ------------------------------------------------------------------------------------------------------
End of period $ 385,953 $ 259,063 $ 339,458 $ 413,475
- ------------------------------------------------------------------------------------------------------
Accumulated undistributed
(overdistributed) net
investment income $ (62) $ (71) $ (1) $ (1)
- ------------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
75
<Page>
<Table>
<Caption>
U.S. SMALL COMPANY OPPORTUNITIES FUND
--------------------------------------
YEAR ENDED YEAR ENDED
12/31/03 12/31/02
INCREASE (DECREASE) IN NET
ASSETS FROM OPERATIONS
Net investment income (loss) $ (137) $ (693)
Net realized gain (loss) on investments (3,387) (53,436)
Change in net unrealized appreciation
(depreciation) of investments 3,777 8,085
- --------------------------------------------------------------------------------
Increase (decrease) in net assets
from operations 253 (46,044)
- --------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS
Increase (decrease) (45,370) (93,714)
- --------------------------------------------------------------------------------
NET ASSETS
Total increase (decrease) in net assets (45,117) (139,758)
- --------------------------------------------------------------------------------
Beginning of period 54,850 194,608
- --------------------------------------------------------------------------------
End of period $ 9,733 $ 54,850
- --------------------------------------------------------------------------------
Accumulated undistributed
(overdistributed) net
investment income $ (1) $ (1)
- --------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
76
<Page>
JPMORGAN FUNDS
NOTES TO FINANCIAL
STATEMENTS
1. ORGANIZATION
J.P. Morgan Funds ("JPMF"), J.P. Morgan Institutional Funds ("JPMIF"), J.P.
Morgan Mutual Fund Group ("JPMMFG"), J.P. Morgan Mutual Fund Select Group
("JPMMFSG") and the J.P. Morgan Mutual Fund Investment Trust ("JPMMFIT") were
organized as Massachusetts business trusts and J.P. Morgan Fleming Mutual Fund
Group, Inc. ("JPMFMFG") was organized as a Maryland corporation. JPMF, JPMIF,
JPMMFG, JPMMFSG, JPMMFIT and JPMFMFG (collectively, the "Trusts") are registered
under the Investment Company Act of 1940 as amended (the "1940 Act"), as
open-end management investment companies. The Trusts were organized on the
following dates:
<Table>
JPMF November 4, 1992
JPMIF November 4, 1992
JPMMFG May 11, 1987
JPMMFSG October 1, 1996
JPMMFIT September 23, 1997
JPMFMFG August 19, 1997
</Table>
The following are nine separate portfolios of the Trusts (collectively, the
"Funds"):
<Table>
<Caption>
FUND CLASSES OFFERED
JPMorgan Dynamic Small Cap Fund ("DSCF") Class A, Class B, Class C and Select
JPMorgan Mid Cap Equity Fund ("MCEF") Select
JPMorgan Mid Cap Growth Fund ("MCGF") Class A and Class B
JPMorgan Mid Cap Value Fund ("MCVF") Class A, Class B, Class C, Institutional and Select
JPMorgan Small Cap Equity Fund ("SCEF") Class A, Class B and Select
JPMorgan Small Cap Growth Fund ("SCGF") Class A, Institutional and Select
JPMorgan Trust Small Cap Equity Fund ("TSCEF") Select
JPMorgan U.S. Small Company Fund ("USSCF") Institutional and Select
JPMorgan U.S. Small Company Opportunities Fund ("USSCOF") Select
</Table>
JPMMFG, JPMMFSG, JPMMFIT and JPMFMFG were formerly named Mutual Fund Group,
Mutual Fund Select Group, Mutual Fund Investment Trust and The Fleming Mutual
Fund Group, Inc., respectively. The name changes went into effect on May 1,
2003.
MCEF and TSCEF were formerly named JPMorgan Select Mid Cap Equity Fund and
JPMorgan Select Small Cap Equity Fund, respectively. The name changes went into
effect on April 30, 2003.
USSCOF is a separate series of JPMF. USSCF is a separate series of JPMIF. SCEF
and DSCF are separate series of JPMMFG. MCEF and TSCEF are separate series of
JPMMFSG. MCGF is a separate series of JPMMFIT. MCVF and SCGF are separate series
of JPMFMFG.
On September 12, 2003, SCGF Class B and Class C shares merged into Class A
shares and Class B and Class C shares closed.
77
<Page>
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 shares and Select Class shares.
All classes of shares have equal rights as to earnings, assets and voting
privileges except that each class may bear different transfer agent,
distribution and shareholder servicing fees and each class has exclusive voting
rights with respect to its distribution plan and shareholder servicing
agreements. Class A shares for which front-end charges have been waived may be
subject to redemption charges as described in the Funds' prospectus.
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. 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. In accordance with
procedures adopted by the Trustees, the Funds apply fair value pricing on a
daily basis for all non-U.S. and non-Canadian equity securities held in its
portfolio by utilizing the quotations of an independent pricing service, unless
the Fund's advisor, J.P. Morgan Investment Management Inc. ("JPMIM" or the
"Advisor"), determines that use of another valuation methodology is appropriate.
The pricing service uses statistical analyses and quantitative models to adjust
local market prices using factors such as subsequent movements and changes in
the prices of indices, securities and exchange rates in other markets, in
determining fair value as of the time a Fund calculates its net asset value.
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, at which time a realized
gain or loss is recognized.
Index futures contracts are used to control the asset mix of the portfolios in
the most efficient manner. Short index
78
<Page>
futures contracts are used for hedging purposes; i.e., to reduce the exposure to
equities. Long index futures contracts are used to gain exposure to equities,
when it is anticipated that this will be more efficient than buying stocks
directly.
Use of long futures contracts subjects the Fund to risk of loss in excess of
amounts shown on the Statement of Assets and Liabilities, up to the notional
value of the futures contract. Use of short futures contracts subjects the 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 December 31, 2003, USSCF had outstanding futures contracts as listed on
the Fund's Portfolio of Investments.
C. RESTRICTED AND ILLIQUID SECURITIES -- The Funds may invest in securities that
are subject to legal or contractual restrictions on resale or are illiquid.
Restricted securities generally may be resold in transactions exempt from
registration. A security may be considered illiquid if it lacks a readily
available market or if its valuation has not changed for a certain period of
time. Disposal of these securities may involve time-consuming negotiations and
expense, and prompt sale at the current valuation may be difficult.
D. SECURITIES ON LOAN -- For all of the Funds, the Board of Trustees has
approved the lending of securities through its custodian JPMorgan Chase Bank
("JPMCB"), an affiliate of the Funds, acting as lending agent to certain
borrowers. By lending investment securities, the Funds attempt to increase 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 in the case of fixed income securities, any
accrued but unpaid interest thereon. 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 December
31, 2003, the market value of securities loaned and the amount of collateral
received were as follows (amounts in thousands):
<Table>
<Caption>
MARKET VALUE OF MARKET VALUE OF
SECURITIES LOANED COLLATERAL RECEIVED
DSCF $ 9,054 $ 9,403
MCEF 6,057 6,168
MCGF 5,346 5,423
MCVF 6,130 6,290
SCEF 117,020 120,673
SCGF 89 91
TSCEF 16,942 17,319
USSCF 22,653 23,338
USSCOF -- --
</Table>
JPMCB as lending agent receives a fee equal to 0.06% of the average dollar value
of U.S. securities out on loan
79
<Page>
during a given month and 0.1142% of the average dollar value of loans on
non-U.S. securities outstanding during a given month from the Funds as detailed
below (amounts in thousands):
<Table>
DSCF $ 14
MCEF 6
MCGF 5
MCVF 6
SCEF 53
SCGF --^
TSCEF 22
USSCF 35
USSCOF 3
</Table>
^ Amount rounds to less the one thousand.
Risks of delay in recovery of securities or even loss of rights in the
securities 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 collateral received. JPMCB will indemnify the
Fund from any loss resulting from a borrower's failure to return a loaned
security when due.
E. SECURITY TRANSACTIONS AND INVESTMENT INCOME -- Investment transactions are
accounted for on the trade date (the date the order to buy or sell is executed).
Securities gains and losses are calculated on the identified cost basis.
Interest income is determined on the basis of coupon interest accrued using the
interest method adjusted for amortization of premiums and accretion of
discounts. Dividend income less foreign taxes withheld, if any, is recorded on
the ex-dividend date or when the fund first learns of the dividend.
F. ALLOCATION OF INCOME AND EXPENSES -- Expenses directly attributable to a Fund
are charged to that Fund; other expenses of the Trusts are allocated
proportionately among each of the Funds within the Trusts in relation to the net
assets of each Fund or on another reasonable basis. Expenses directly
attributable to a particular class are charged directly to such class. In
calculating the net asset value per share of each class, investment income,
realized and unrealized gains and losses and expenses other than class specific
expenses are allocated daily to each class of shares based upon the proportion
of net assets of each class at the beginning of each day.
G. FEDERAL INCOME TAXES -- Each Fund is treated as a separate taxable entity for
Federal income tax purposes. The Fund's policy is to comply with the provisions
of the Internal Revenue Code applicable to regulated investment companies and to
distribute to shareholders all of its distributable net investment income and
net realized gain on investments. In addition, the Funds intend to make
distributions as required to avoid excise taxes. Accordingly, no provision for
Federal income or excise tax is necessary.
H. DISTRIBUTIONS TO SHAREHOLDERS -- Dividends and distributions paid to
shareholders are recorded on the ex-dividend date. The amount of dividends and
distributions from net investment income and net realized capital gains is
determined in accordance with Federal income tax regulations, which may differ
from accounting principles generally accepted in the United States of America.
To the extent these "book/tax" differences are permanent in nature (i.e., that
they result from other than timing of recognition -- "temporary differences"),
such amounts are reclassified within the capital accounts based on their Federal
tax-basis treatment.
80
<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
DSCF $ (2,281) $ 2,281 $ --
MCEF --^ 12 (12)
MCGF (629) 629 --
MCVF -- 61 (61)
SCEF (2,129) 2,087 42
SCGF (21) 21 --^
TSCEF -- --^ --^
USSCF (472) 147 325
USSCOF (138) 137 1
</Table>
^ Amount rounds to less than one thousand.
The reclassifications for DSCF and MCGF relate primarily to the character for
the tax purposes of current year non-deductible net operating losses. The
reclassifications for MCEF, MCVF, TSCEF and USSCF relate primarily to the
character for tax purposes of distributions received from investments in REITs
and the character for tax purposes of dividends paid. The reclassifications for
SCEF, SCGF and USSCOF relate primarily to the character for the tax purposes of
current year non-deductible net operating losses and the character for tax
purposes of distributions received from investments in REITs.
I. OTHER EXPENSES -- Other expenses in the Statement of Operations include fees
related to line of credit, insurance, pricing and reporting services.
3. FEES AND OTHER TRANSACTIONS WITH AFFILIATES
A. INVESTMENT ADVISORY FEE -- Pursuant to the Investment Advisory Agreements,
JPMIM 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 DSCF, MCEF, MCGF, SCEF and TSCEF. Robert Fleming Inc. ("Fleming"), a wholly
owned subsidiary of JPMCB, was the Advisor for MCVF and SCGF. On September 1,
2003, JPMFAM and Fleming 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
81
<Page>
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 (%)
DSCF 0.65%
MCEF 0.65%
MCGF 0.65%
MCVF 0.70%
SCEF 0.65%
SCGF 0.80%
TSCEF 0.65%
USSCF 0.60%
USSCOF 0.60%
</Table>
The Advisors waived fees as outlined in Note 3.F.
The Funds may invest in one or more of the affiliated JPMorgan Money Market
Funds. The Adviser has agreed to waive and/or reimburse its advisory fee from
the Funds in an amount sufficient to offset any doubling up of investment
advisory, administration and shareholder servicing fees related to each Fund's
investment in an affiliated money market fund.
B. DISTRIBUTION FEE -- Pursuant to a Distribution Agreement, J.P. Morgan Fund
Distributors, Inc. ("JPMFD" or "Distributor"), a wholly-owned subsidiary of The
BISYS Group, Inc., serves as the Trusts' exclusive underwriter and promotes and
arranges for the sale of each Fund's shares. JPMFD receives no compensation in
its capacity as the Funds' underwriter.
The Trustees have adopted Distribution Plans (the "Distribution Plans") for
Class A, B, and C Shares of the Funds in accordance with Rule 12b-1 under the
1940 Act.
The Distribution Plans provide that each Fund shall pay distribution fees,
including payments to the Distributor, at annual rates of the average daily net
assets as shown in the table below (%):
<Table>
<Caption>
CLASS A CLASS B CLASS C
FUND
DSCF 0.25 0.75 0.75
MCEF n/a n/a n/a
MCGF 0.25^ 0.75^ n/a
MCVF 0.25 0.75^ 0.75^
SCEF 0.25 0.75 n/a
SCGF 0.25 n/a n/a
TSCEF n/a n/a n/a
USSCF n/a n/a n/a
USSCOF n/a n/a n/a
</Table>
^ Prior to May 1, 2003, MCGF Class B and MCVF Classes B and C paid the
Distributor a fee computed daily and paid monthly at an annual rate equal
to 1.00% of the respective Fund Class average daily net assets. MCGF Class
A paid 0.30%.
82
<Page>
In addition, JPMFD receives the contingent deferred sales charge ("CDSC") from
redemptions of Class B and C shares.
The Distributor waived fees as outlined in 3.F.
C. SHAREHOLDER SERVICING FEE -- The Trusts have entered into Shareholder
Servicing Agreements on behalf of the Funds with JPMCB under which JPMCB
provides account administration and personal account maintenance services 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
DSCF 0.25 0.25 0.25 n/a 0.25
MCEF n/a n/a n/a n/a 0.25
MCGF 0.25 0.25 n/a n/a n/a
MCVF 0.25 0.25 0.25 0.10 0.25
SCEF 0.25 0.25 n/a n/a 0.25
SCGF 0.25 n/a n/a 0.10 0.25
TSCEF n/a n/a n/a n/a 0.25
USSCF n/a n/a n/a 0.10 0.25
USSCOF n/a n/a n/a n/a 0.25
</Table>
JPMCB may enter into services contracts with certain entities under which it
will pay all or a portion of the annual fee to such entities for performing
shareholder and administrative services
Effective May 1, 2003, a shareholder servicing fee of 0.25% of average daily net
assets was implemented for Class A and Class B shares of the MCGF, Class A,
Class B and Class C shares of the MCVF and Class A shares of the SCGF. Also
effective May 1, 2003, a shareholder servicing fee of 0.10% of average daily net
assets was implemented for the Institutional Class of MCVF and SCGF. In
addition, the shareholder servicing fee for Class A shares of the SCEF changed
from 0.10% to 0.25%.
In addition, JPMCB, Charles Schwab & Co. ("Schwab") and the Trusts are parties
to separate services and operating agreements (the "Schwab Agreements") whereby
Schwab makes shares of the Funds available to customers of investment advisers
and other financial intermediaries who are Schwab's clients. The Funds are not
responsible for payments to Schwab under the Schwab Agreements; however, in the
event the servicing agreement with Schwab is terminated for reasons other than a
breach by Schwab and the relationship between the Trusts and JPMCB is
terminated, the Funds would be responsible for the ongoing payments to Schwab
with respect to pre-termination shares.
JPMCB waived fees as outlined in Note 3.F.
D. CUSTODIAN AND ACCOUNTING FEES -- JPMCB provides portfolio custody services
for all the Funds. Compensation for such services is presented in the Statement
of Operations as custodian fees. The custodian fees may be reduced by credits
earned by each Fund, based on the uninvested cash balances held by the
custodian. Such earning credits are presented separately in the Statement of
Operations.
83
<Page>
E. ADMINISTRATION FEE -- Pursuant to the Administration Agreement, JPMCB (the
"Administrator") provides certain administration services to the Funds. In
consideration of these services, the Administrator receives a fee computed daily
and paid monthly at the annual rate equal to 0.15% of the first $25 billion of
the average daily net assets of all non-money market funds in the JPMorgan Fund
Complex and 0.075% of the average daily net assets in excess of $25 billion.
Effective May 1, 2003 MCVF and SCGF pay administrative fees as stated above.
Prior to May 1, 2003, MCVF and SCGF paid the Administrator a fee computed daily
and paid monthly at an annual rate equal to 0.10% of the respective Fund's
average daily net assets.
BISYS Fund Services, LP ("BISYS") serves as the Funds' sub-administrator. For
its services as sub-administrator, BISYS receives a portion of the fees payable
to JPMCB as Administrator.
The Administrator has contractually agreed to reimburse the Funds to the extent
that total operating expenses (excluding interest, taxes, extraordinary expenses
and expenses related to the deferred compensation plan) exceed the percentages
of their respective average daily net assets as shown in the table below (%):
<Table>
<Caption>
INSTITUTIONAL SELECT
CLASS A CLASS B CLASS C CLASS CLASS
FUND
DSCF 1.50 2.12 2.12 n/a 1.10
MCEF n/a n/a n/a n/a 1.00^
MCGF 1.35 2.05 n/a n/a n/a
MCVF 1.25 2.00 2.00 0.75 1.00
SCEF 1.38 2.12 n/a n/a 0.85
SCGF 1.60 n/a n/a 0.85 1.10
USSCF n/a n/a n/a 0.83 1.01
USSCOF n/a n/a n/a n/a 1.02
</Table>
^ Effective May 1, 2003, the contractual cap for MCEF was established at
1.00%.
The contractual expense limitation agreements were in effect for the year ended
December 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
DSCF 4/30/05 4/30/05 4/30/05 n/a 4/30/05
MCEF n/a n/a n/a n/a 4/30/05
MCGF 4/30/05 4/30/05 n/a n/a n/a
MCVF 4/30/05 4/30/05 4/30/05 4/30/05 4/30/05
SCEF 4/30/05 4/30/05 n/a n/a 4/30/05
SCGF 4/30/05 n/a n/a 4/30/05 4/30/05
USSCF n/a n/a n/a 4/30/05 4/30/05
USSCOF n/a n/a n/a n/a 4/30/05
</Table>
The Administrator waived fees and reimbursed expenses as outlined in Note 3.F.
84
<Page>
F. WAIVERS AND REIMBURSEMENTS -- For the year ended December 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 DISTRIBUTION TOTAL REIMBURSEMENTS
FUND
DSCF $ 57 $ 153 $ 260 $ -- $ 470 $ --
MCEF -- -- 160 -- 160 --
MCGF 87 74 76 -- 237 --
MCVF 712 137 304 -- 1,153 --
SCEF -- 590 1,102 24 1,716 --
SCGF 21 3 3 -- 27 265
USSCF -- 72 331 -- 403 --
USSCOF 70 25 41 -- 136 5
Total $ 947 $ 1,054 $ 2,277 $ 24 $ 4,302 $ 270
</Table>
<Table>
<Caption>
VOLUNTARY WAIVERS
---------------------------------------------------------------------------------------
INVESTMENT SHAREHOLDER
ADVISORY ADMINISTRATION SERVICING DISTRIBUTION TOTAL
FUND
MCEF $ -- $ 66 $ 172 $ -- $ 238
MCVF 17 21 -- -- 38
TSCEF 646 130 766 -- 1,542
Total $ 663 $ 217 $ 938 $ -- $ 1,818
</Table>
G. OTHER -- Certain officers of the Trusts are officers of JPMorgan Chase & Co.
or of BISYS or their subsidiaries.
During the year, the Funds may have purchased securities from an underwriting
syndicate in which the principal underwriter or members of the syndicate were
affiliated with the Advisors.
The Funds may use related party broker/dealers. For the year ended December 31,
2003, MCEF, USSCF and USSCOF incurred approximately (in thousands) $4, $2 and
$1, respectively, as brokerage 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.
85
<Page>
4. CLASS SPECIFIC EXPENSES
The Funds' class specific expenses for the year ended December 31, 2003 are as
follows (amounts in thousands):
<Table>
<Caption>
SHAREHOLDER
SERVICING DISTRIBUTION TRANSFER AGENT
DSCF
Class A $ 205 $ 205 $ 297
Class B 130 389 187
Class C 36 109 51
Select 31 -- 5
$ 402 $ 703 $ 540
MCEF
Select $ 407 $ -- $ 21
MCGF
Class A $ 95 $ 146 $ 115
Class B 5 24 6
$ 100 $ 170 $ 121
MCVF
Class A $ 233 $ 261 $ 234
Class B 75 285 85
Class C 87 301 88
Institutional 131 -- 54
Select 67 -- 24
$ 593 $ 847 $ 485
SCEF
Class A $ 146 $ 198 $ 274
Class B 50 149 70
Select 1,359 -- 44
$ 1,555 $ 347 $ 388
SCGF
Class A 1 2 27
Class B* --^ 1 9
Class C* --^ --^ 3
Institutional 2 -- 12
Select --^ -- 15
$ 3 $ 3 $ 66
</Table>
* For the period 1/1/03 to 9/12/03.
^ Amount rounds to less than one thousand.
86
<Page>
<Table>
<Caption>
SHAREHOLDER
SERVICING DISTRIBUTION TRANSFER AGENT
TSCEF
Select $ 766 $ -- $ 20
USSCF
Institutional $ 171 $ -- $ 32
Select 474 -- 73
$ 645 $ -- $ 105
USSCOF
Select $ 55 $ -- $ 29
</Table>
5. CLASS SPECIFIC DISTRIBUTIONS
The Funds' class specific distributions from net investment income and realized
gain on investment transactions for the years ended December 31, 2003 and
December 31, 2002, respectively, are as follows (amounts in thousands):
<Table>
<Caption>
YEAR ENDED 12/31/03 YEAR ENDED 12/31/02
------------------------------------- -------------------------------------
NET NET
INVESTMENT INCOME REALIZED GAIN INVESTMENT INCOME REALIZED GAIN
MCEF
Select $ 782 $ 5,709 $ 747 $ 5,775
- ---------------------------------------------------------------------------------------------
MCVF
Class A $ 669 $ 1,468 $ 39 $ 11
Class B -- 389 -- 10
Class C 20 561 -- 5
Institutional 1,392 1,820 247 21
Select 207 367 51 3
- ---------------------------------------------------------------------------------------------
$ 2,288 $ 4,605 $ 337 $ 50
SCEF
Class A $ -- $ -- $ -- $ 487
Class B -- -- -- 220
Select -- -- -- 3,392
- ---------------------------------------------------------------------------------------------
$ -- $ -- $ -- $ 4,099
TSCEF
Select $ 111 $ 5,840 $ 268 $ 2,129
- ---------------------------------------------------------------------------------------------
USSCF
Institutional $ 587 $ -- $ 1,414 $ --
Select 413 -- 542 --
- ---------------------------------------------------------------------------------------------
$ 1,000 $ -- $ 1,956 $ --
- ---------------------------------------------------------------------------------------------
</Table>
87
<Page>
6. INVESTMENT TRANSACTIONS
For the year ended December 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
DSCF $ 86,563 $ 101,868 $ -- $ --
MCEF 108,490 97,329 -- --
MCGF 39,056 53,468 -- --
MCVF 700,183 112,438 -- --
SCEF 240,768 287,486 -- --
SCGF 5,168 3,564 -- --
TSCEF 178,319 145,113 -- --
USSCF 276,824 446,487 -- --
USSCOF 42,206 84,581 -- --
</Table>
88
<Page>
7. FEDERAL INCOME TAX MATTERS
For Federal income tax purposes, the cost and unrealized appreciation
(depreciation) in value of the investment securities at December 31, 2003, were
as follows (amounts in thousands):
<Table>
<Caption>
GROSS GROSS NET UNREALIZED
AGGREGATE UNREALIZED UNREALIZED APPRECIATION/
COST APPRECIATION (DEPRECIATION) (DEPRECIATION)
FUND
DSCF $ 145,298 $ 51,434 $ (4,649) $ 46,785
MCEF 153,941 44,052 (960) 43,092
MCGF 48,563 12,626 (699) 11,927
MCVF 752,739 104,119 (594) 103,525
SCEF 564,682 192,137 (7,635) 184,502
SCGF 3,757 742 (46) 696
TSCEF 302,224 92,343 (3,307) 89,036
USSCF 253,560 97,453 (3,416) 94,037
USSCOF 9,663 1,742 (213) 1,529
</Table>
The tax character of distributions paid during the periods indicated were as
follows (amounts in thousands):
<Table>
<Caption>
ORDINARY LONG-TERM RETURN OF TOTAL
INCOME CAPITAL GAIN CAPITAL DISTRIBUTIONS
YEAR ENDED
12/31/03
DSCF $ -- $ -- $ -- $ --
MCEF 3,523 2,968 -- 6,491
MCGF -- -- -- --
MCVF 6,591 302 -- 6,893
SCEF -- -- -- --
SCGF -- -- -- --
TSCEF 103 5,848 -- 5,951
USSCF 1,000 -- -- 1,000
USSCOF -- -- -- --
</Table>
89
<Page>
<Table>
<Caption>
ORDINARY LONG-TERM RETURN OF TOTAL
INCOME CAPITAL GAIN CAPITAL DISTRIBUTIONS
YEAR ENDED
12/31/02
DSCF $ -- $ -- $ -- $ --
MCEF 1,017 5,505 -- 6,522
MCGF -- -- -- --
MCVF 361 26 -- 387
SCEF -- 4,099 -- 4,099
SCGF -- -- -- --
TSCEF 268 2,129 -- 2,397
USSCF 1,956 -- -- 1,956
USSCOF -- -- -- --
</Table>
At December 31, 2003, the components of net assets (excluding paid in capital)
on a tax basis were as follows (amounts in thousands):
<Table>
<Caption>
DSCF MCEF MCGF
Current distributable ordinary income $ -- $ 300 $ --
Plus/Less: cumulative timing differences (24) (21) (1)
Undistributed ordinary income or
(overdistribution of ordinary income) $ (24) $ 279 $ (1)
Current distributable long-term capital
gain or (tax basis capital loss carryover) $ (40,853) $ 187 $ (263,448)
Plus/Less: cumulative timing differences -- -- --
Undistributed long-term gains/
accumulated capital loss $ (40,853) $ 187 $ (263,448)
- ---------------------------------------------------------------------------------------
Unrealized appreciation (depreciation) $ 46,785 $ 43,092 $ 11,928
<Caption>
MCVF SCEF SCGF
Current distributable ordinary income $ 1,134 $ -- $ --
Plus/Less: cumulative timing differences (1) (96) --^
Undistributed ordinary income or
(overdistribution of ordinary income) $ 1,133 $ (96) $ --^
Current distributable long-term capital
gain or (tax basis capital loss carryover) $ 87 $ 12,828 $ (1,347)
Plus/Less: cumulative timing differences -- -- --
Undistributed long-term gains/
accumulated capital loss $ 87 $ 12,828 $ (1,347)
- ---------------------------------------------------------------------------------------
Unrealized appreciation (depreciation) $ 103,525 $ 184,505 $ 696
</Table>
^ Amount rounds to less than one thousand.
90
<Page>
<Table>
<Caption>
TSCEF USSCF USSCOF
Current distributable ordinary income $ -- $ -- $ --
Plus/Less: cumulative timing differences (67) (1) (1)
Undistributed ordinary income or
overdistribution of ordinary income $ (67) $ (1) $ (1)
Current distributable long-term capital
gain or tax basis capital loss carryover $ 6,326 $ (55,510) $ (158,417)
Plus/Less: cumulative timing differences -- -- (124)
Undistributed long-term gains/
accumulated capital loss $ 6,326 $ (55,510) $ (158,541)
- ---------------------------------------------------------------------------------------
Unrealized appreciation (depreciation) $ 89,036 $ 94,037 $ 1,529
</Table>
For DSCF, MCGF, MCVF and SCGF, the difference between book and tax basis
unrealized appreciation/(depreciation) is primarily attributed to wash sale loss
deferrals. For USSCF, the difference between book and tax basis unrealized
appreciation/(depreciation) is due to wash sale loss deferrals, the mark to
market of futures contracts, REIT basis adjustments and allocation of tax basis
on "Master/Feeder" takedown. For MCEF, SCEF, TSCEF and USSCOF, the difference
between book and tax basis unrealized appreciation (depreciation) is primarily
attributed to wash sale loss deferrals and REIT basis adjustments. For DSCF,
MCEF, MCGF, MCVF, SCEF, SCGF, TSCEF and USSCF, the cumulative timing difference
account primarily consists of deferred compensation. For USSCOF, the cumulative
timing difference account primarily consists of deferred compensation and
current year post-October loss deferrals.
91
<Page>
At December 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
DSCF $ 23,298 December 31, 2008
298 December 31, 2009
17,257 December 31, 2010
- -----------------------------------------------
$ 40,853
- -----------------------------------------------
MCGF $ 8,120 December 31, 2008
224,437 December 31, 2009
28,364 December 31, 2010
2,527 December 31, 2011
- -----------------------------------------------
$ 263,448
- -----------------------------------------------
SCGF $ 158 December 31, 2009
636 December 31, 2010
553 December 31, 2011
- -----------------------------------------------
$ 1,347
- -----------------------------------------------
USSCF $ 767 December 31, 2009
54,743 December 31, 2010
- -----------------------------------------------
$ 55,510
- -----------------------------------------------
USSCOF $ 10,363 December 31, 2008
79,872 December 31, 2009
62,976 December 31, 2010
5,206 December 31, 2011
- -----------------------------------------------
$ 158,417 Total
- -----------------------------------------------
</Table>
During the year ended December 31, 2003, DSCF, MCVF, SCEF, TSCEF and USSCF
utilized capital loss carryforwards of (in thousands) $2,496, $448, $21,837,
$6,751 and $15,612, respectively.
Capital losses incurred after October 31, within a Fund's fiscal year, are
deemed to arise on the first business day of the following fiscal year for tax
purposes. USSCOF incurred a post-October realized capital loss of $124 (amount
in thousands).
8. BANK BORROWINGS
Pursuant to a Line of Credit Agreement, dated April 17, 2003, the Funds may
borrow money for temporary or emergency purposes. The Funds had entered into the
agreement, enabling them to participate with other JPMorgan Funds in a line of
credit with JPMCB, as administrative agent, and with a syndicate of banks, which
permits borrowings up to $250 million, collectively. Interest is charged to each
Fund based on its borrowings at an annual rate equal to the sum of the Federal
Funds
92
<Page>
Rate plus 0.50%. The Funds also pay a commitment fee of 0.09% per annum on the
average daily amount of the available commitment, which is allocated on a
pro-rata basis to the Funds. The commitment fee is included in Other expenses on
the Statement of Operations. This agreement will expire on April 15, 2004.
Prior to April 17, 2003, the Funds could borrow money for temporary or emergency
purposes. The Funds had entered into an agreement, enabling it to participate
with other JPMorgan Funds in an unsecured line of credit with a syndicate of
banks, which permitted borrowings up to $400 million, collectively. Interest was
charged to each Fund based on its borrowings at an annual rate equal to the sum
of the Federal Funds Rate plus 0.50%. The Funds also paid a commitment fee of
0.10% 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.
During the year ended December 31, 2003, USSCF and USSCOF had borrowed against
the Line of Credit Agreement. The details of the borrowing were as follows
(amounts in thousands):
<Table>
<Caption>
AVERAGE AVERAGE
AMOUNT OUTSTANDING* INTEREST RATE
FUND
USSCF $ 70 1.63%
USSCOF 37 1.63%
</Table>
* The average amount outstanding was calculated based on the daily balances
during the period from January 1, 2003 through December 31, 2003.
9. CONCENTRATIONS AND INDEMNIFICATIONS
From time to time, the Funds may have a concentration of several shareholders
which may be a related party, holding a significant percentage of shares
outstanding. Investment activities of these shareholders could have a material
impact on the Funds.
In the normal course of business, the Funds enter into contracts that contain a
variety of representations which provide general indemnifications. Each Fund's
maximum exposure under these arrangements is unknown as this would involve
future claims that may be made against each Fund that have not yet occurred.
However, based on experience, the Funds expect the risk of loss to be remote.
10. SUBSEQUENT EVENT
On January 14, 2004, J. P. Morgan Chase and Co. and Bank One Corp. announced
they have entered into an agreement and plan of merger. The merger is subject to
the approval of the shareholders of both institutions as well as U.S. federal
and state and foreign regulatory authorities. Completion of the transaction is
expected to occur in mid-2004.
93
<Page>
11. CAPITAL SHARE TRANSACTIONS
Capital share transactions were as follows for the periods presented (amounts in
thousands):
<Table>
<Caption>
DYNAMIC SMALL CAP FUND
------------------------------------------
YEAR ENDED YEAR ENDED
DECEMBER 31, 2003 DECEMBER 31, 2002
CLASS A SHARES
AMOUNT
Shares sold $ 33,709 $ 90,038
Shares redeemed (53,209) (108,289)
- --------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ (19,500) $ (18,251)
- --------------------------------------------------------------------------------
SHARES
Shares sold 2,294 6,338
Shares redeemed (3,769) (7,485)
- --------------------------------------------------------------------------------
Net increase (decrease) in
Fund shares outstanding (1,475) (1,147)
- --------------------------------------------------------------------------------
CLASS B SHARES
AMOUNT
Shares sold $ 10,241 $ 6,717
Shares redeemed (12,042) (15,379)
- --------------------------------------------------------------------------------
Net increase (decrease) in
Fund shares outstanding $ (1,801) $ (8,662)
- --------------------------------------------------------------------------------
SHARES
Shares sold 756 498
Shares redeemed (932) (1,173)
- --------------------------------------------------------------------------------
Net increase (decrease) in
Fund shares outstanding (176) (675)
- --------------------------------------------------------------------------------
CLASS C SHARES
AMOUNT
Shares sold $ 11,002 $ 5,293
Shares redeemed (2,766) (2,731)
- --------------------------------------------------------------------------------
Net increase (decrease) in
Fund shares outstanding $ 8,236 $ 2,562
- --------------------------------------------------------------------------------
SHARES
Shares sold 789 392
Shares redeemed (209) (207)
- --------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding 580 185
- --------------------------------------------------------------------------------
SELECT SHARES
AMOUNT
Shares sold $ 11,103 $ 9,610
Shares redeemed (10,657) (3,003)
- --------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ 446 $ 6,607
- --------------------------------------------------------------------------------
SHARES
Shares sold 806 691
Shares redeemed (861) (210)
- --------------------------------------------------------------------------------
Net increase (decrease) in
Fund shares outstanding (55) 481
- --------------------------------------------------------------------------------
</Table>
94
<Page>
<Table>
<Caption>
MID CAP EQUITY FUND
------------------------------------------
YEAR ENDED YEAR ENDED
DECEMBER 31, 2003 DECEMBER 31, 2002
SELECT SHARES
AMOUNT
Shares sold $ 38,236 $ 25,152
Shares issued in reinvestment
of distributions 4,884 5,252
Shares redeemed (27,939) (18,333)
- --------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ 15,181 $ 12,071
- --------------------------------------------------------------------------------
SHARES
Shares sold 1,383 902
Shares issued in reinvestment
of distributions 160 210
Shares redeemed (1,002) (684)
- --------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding 541 428
- --------------------------------------------------------------------------------
</Table>
<Table>
<Caption>
MID CAP GROWTH FUND
------------------------------------------
YEAR ENDED YEAR ENDED
DECEMBER 31, 2003 DECEMBER 31, 2002
CLASS A SHARES
AMOUNT
Shares sold $ 829 $ 583
Shares redeemed (14,203) (21,296)
- --------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ (13,374) $ (20,713)
- --------------------------------------------------------------------------------
SHARES
Shares sold 191 131
Shares redeemed (3,409) (5,120)
- --------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding (3,218) (4,989)
- --------------------------------------------------------------------------------
CLASS B SHARES
AMOUNT
Shares sold $ 351 $ 79
Shares redeemed (1,067) (1,222)
- --------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ (716) $ (1,143)
- --------------------------------------------------------------------------------
SHARES
Shares sold 85 20
Shares redeemed (255) (300)
- --------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding (170) (280)
- --------------------------------------------------------------------------------
</Table>
95
<Page>
<Table>
<Caption>
MID CAP VALUE FUND
------------------------------------------
YEAR ENDED YEAR ENDED
DECEMBER 31, 2003 DECEMBER 31, 2002
CLASS A SHARES
AMOUNT
Shares sold $ 251,409 $ 26,683
Shares issued in reinvestment
of distributions 1,676 39
Shares redeemed (33,488) (5,570)
- --------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ 219,597 $ 21,152
- --------------------------------------------------------------------------------
SHARES
Shares sold 14,916 1,848
Shares issued in reinvestment
of distributions 92 3
Shares redeemed (2,080) (389)
- --------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding 12,928 1,462
- --------------------------------------------------------------------------------
CLASS B SHARES
AMOUNT
Shares sold $ 46,760 $ 14,094
Shares issued in reinvestment
of distributions 317 9
Shares redeemed (2,807) (2,597)
- --------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ 44,270 $ 11,506
- --------------------------------------------------------------------------------
SHARES
Shares sold 2,882 967
Shares issued in reinvestment
of distributions 18 1
Shares redeemed (177) (188)
- --------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding 2,723 780
- --------------------------------------------------------------------------------
CLASS C SHARES
AMOUNT
Shares sold $ 84,896 $ 6,343
Shares issued in reinvestment
of distributions 404 2
Shares redeemed (2,423) (502)
- --------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ 82,877 $ 5,843
- --------------------------------------------------------------------------------
SHARES
Shares sold 5,088 439
Shares issued in reinvestment
of distributions 23 --^
Shares redeemed (152) (37)
- --------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding 4,959 402
- --------------------------------------------------------------------------------
</Table>
^ Amount rounds to less than one thousand.
96
<Page>
<Table>
<Caption>
MID CAP VALUE FUND (CONTINUED)
------------------------------------------
YEAR ENDED YEAR ENDED
DECEMBER 31, 2003 DECEMBER 31, 2002
INSTITUTIONAL SHARES
AMOUNT
Shares sold $ 281,596 $ 64,698
Shares issued in reinvestment
of distributions 2,657 234
Shares redeemed (53,554) (11,126)
- --------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ 230,699 $ 53,806
- --------------------------------------------------------------------------------
SHARES
Shares sold 16,975 4,507
Shares issued in reinvestment
of distributions 145 16
Shares redeemed (3,357) (769)
- --------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding 13,763 3,754
- --------------------------------------------------------------------------------
SELECT SHARES
AMOUNT
Shares sold $ 61,454 $ 16,044
Shares issued in reinvestment
of distributions 528 48
Shares redeemed (8,211) (2,129)
- --------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ 53,771 $ 13,963
- --------------------------------------------------------------------------------
SHARES
Shares sold 3,598 1,092
Shares issued in reinvestment
of distributions 29 3
Shares redeemed (490) (149)
- --------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding 3,137 946
- --------------------------------------------------------------------------------
</Table>
97
<Page>
<Table>
<Caption>
SMALL CAP EQUITY FUND
------------------------------------------
YEAR ENDED YEAR ENDED
DECEMBER 31, 2003 DECEMBER 31, 2002
CLASS A SHARES
AMOUNT
Shares sold $ 16,547 $ 56,894
Shares issued in reinvestment
of distributions -- 424
Shares redeemed (29,997) (36,553)
- --------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ (13,450) $ 20,765
- --------------------------------------------------------------------------------
SHARES
Shares sold 857 2,807
Shares issued in reinvestment
of distributions -- 23
Shares redeemed (1,535) (1,790)
- --------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding (678) 1,040
- --------------------------------------------------------------------------------
CLASS B SHARES
AMOUNT
Shares sold $ 2,152 $ 2,257
Shares issued in reinvestment
of distributions -- 200
Shares redeemed (8,560) (14,892)
- --------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ (6,408) $ (12,435)
- --------------------------------------------------------------------------------
SHARES
Shares sold 119 122
Shares issued in reinvestment
of distributions -- 12
Shares redeemed (502) (815)
- --------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding (383) (681)
- --------------------------------------------------------------------------------
SELECT SHARES
AMOUNT
Shares sold $ 86,699 $ 179,771
Shares issued in reinvestment
of distributions -- 3,005
Shares redeemed (129,000) (108,285)
- --------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ (42,301) $ 74,491
- --------------------------------------------------------------------------------
SHARES
Shares sold 4,330 8,666
Shares issued in reinvestment
of distributions -- 158
Shares redeemed (6,457) (5,380)
- --------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding (2,127) 3,444
- --------------------------------------------------------------------------------
</Table>
98
<Page>
<Table>
<Caption>
SMALL CAP GROWTH FUND
------------------------------------------
YEAR ENDED YEAR ENDED
DECEMBER 31, 2003 DECEMBER 31, 2002
CLASS A SHARES
AMOUNT
Shares sold $ 718 $ 328
Shares redeemed (156) (138)
- --------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ 562 $ 190
- --------------------------------------------------------------------------------
SHARES
Shares sold 104 41
Shares redeemed (22) (22)
- --------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding 82 19
- --------------------------------------------------------------------------------
CLASS B SHARES
AMOUNT
Shares sold $ 75 $ 137
Shares redeemed (275) (34)
- --------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ (200) $ 103
- --------------------------------------------------------------------------------
SHARES
Shares sold 12 22
Shares redeemed (42) (6)
- --------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding (30) 16
- --------------------------------------------------------------------------------
CLASS C SHARES
AMOUNT
Shares sold $ 52 $ 27
Shares redeemed (97) (5)
- --------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ (45) $ 22
- --------------------------------------------------------------------------------
SHARES
Shares sold 9 4
Shares redeemed (15) (1)
- --------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding (6) 3
- --------------------------------------------------------------------------------
INSTITUTIONAL SHARES
AMOUNT
Shares sold $ 1,620 $ 16
Shares redeemed (374) (21)
- --------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ 1,246 $ (5)
- --------------------------------------------------------------------------------
SHARES
Shares sold 232 2
Shares redeemed (48) (3)
- --------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding 184 (1)
- --------------------------------------------------------------------------------
</Table>
99
<Page>
<Table>
<Caption>
SMALL CAP GROWTH FUND (CONTINUED)
------------------------------------------
YEAR ENDED YEAR ENDED
DECEMBER 31, 2003 DECEMBER 31, 2002
SELECT SHARES
AMOUNT
Shares sold $ 155 $ 133
Shares redeemed (63) (2)
- --------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ 92 $ 131
- --------------------------------------------------------------------------------
SHARES
Shares sold 22 15
Shares redeemed (12) --^
- --------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding 10 15
- --------------------------------------------------------------------------------
</Table>
^ Amount rounds to less than one thousand.
<Table>
<Caption>
TRUST SMALL CAP EQUITY FUND
------------------------------------------
YEAR ENDED YEAR ENDED
DECEMBER 31, 2003 DECEMBER 31, 2002
SELECT SHARES
AMOUNT
Shares sold $ 78,208 $ 62,285
Shares issued in reinvestment
of distributions 4,679 1,864
Shares redeemed (47,092) (64,258)
- --------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ 35,795 $ (109)
- --------------------------------------------------------------------------------
SHARES
Shares sold 2,037 1,634
Shares issued in reinvestment
of distributions 107 47
Shares redeemed (1,219) (1,754)
- --------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding 925 (73)
- --------------------------------------------------------------------------------
</Table>
100
<Page>
<Table>
<Caption>
US SMALL COMPANY FUND
------------------------------------------
YEAR ENDED YEAR ENDED
DECEMBER 31, 2003 DECEMBER 31, 2002
INSTITUTIONAL SHARES
AMOUNT
Shares sold $ 44,698 $ 175,305
Shares issued in reinvestment
of distributions 272 641
Shares redeemed (153,678) (168,386)
- --------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ (108,708) $ 7,560
- --------------------------------------------------------------------------------
SHARES
Shares sold 3,883 14,949
Shares issued in reinvestment
of distributions 21 64
Shares redeemed (14,211) (14,859)
- --------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding (10,307) 154
- --------------------------------------------------------------------------------
SELECT SHARES
AMOUNT
Shares sold $ 35,591 $ 95,072
Shares issued in reinvestment
of distributions 368 469
Shares redeemed (113,806) (124,116)
- --------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ (77,847) $ (28,575)
- --------------------------------------------------------------------------------
SHARES
Shares sold 3,163 8,028
Shares issued in reinvestment
of distributions 28 47
Shares redeemed (9,973) (10,851)
- --------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding (6,782) (2,776)
- --------------------------------------------------------------------------------
</Table>
<Table>
<Caption>
US SMALL COMPANY OPPORTUNITIES FUND
------------------------------------------
YEAR ENDED YEAR ENDED
DECEMBER 31, 2003 DECEMBER 31, 2002
SELECT SHARES
AMOUNT
Shares sold $ 12,334 $ 97,467
Shares redeemed (57,704) (191,181)
- --------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ (45,370) $ (93,714)
- --------------------------------------------------------------------------------
SHARES
Shares sold 1,667 10,913
Shares redeemed (8,376) (21,694)
- --------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding (6,709) (10,781)
- --------------------------------------------------------------------------------
</Table>
101
<Page>
JPMORGAN FUNDS
FINANCIAL HIGHLIGHTS
CLASS A SHARES
<Table>
<Caption>
PER SHARE OPERATING PERFORMANCE:
--------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
----------------------------------------------
NET GAINS
OR LOSSES ON
NET ASSET NET SECURITIES
VALUE, INVESTMENT (BOTH TOTAL FROM
BEGINNING INCOME REALIZED AND INVESTMENT
OF PERIOD (LOSS) UNREALIZED) OPERATIONS
DYNAMIC SMALL CAP FUND
Year Ended 12/31/03 $ 12.14 (0.16)@ 4.83 4.67
Year Ended 12/31/02 $ 15.72 (0.18) (3.40) (3.58)
11/1/01 Through 12/31/01^ $ 14.21 (0.03) 1.54 1.51
Year Ended 10/31/01 $ 24.54 (0.24) (6.71) (6.95)
Year Ended 10/31/00 $ 15.98 (0.22)@ 8.78 8.56
Year Ended 10/31/99 $ 12.79 (0.15) 3.34 3.19
MID CAP GROWTH FUND
Year Ended 12/31/03 $ 3.57 (0.04)@ 1.38 1.34
Year Ended 12/31/02 $ 5.06 (0.05)@ (1.44) (1.49)
10/1/01 Through 12/31/01^^ $ 4.27 (0.01) 0.80 0.79
Year Ended 9/30/01 $ 12.51 (0.02)@ (8.06) (8.08)
10/29/99* Through 9/30/00 $ 10.00 (0.09) 2.60 2.51
MID CAP VALUE FUND
Year Ended 12/31/03 $ 14.44 0.09@ 4.25 4.34
Year Ended 12/31/02 $ 14.10 0.07@ 0.31 0.38
10/1/01 Through 12/31/01^^ $ 13.43 0.02@ 1.48 1.50
4/30/01** Through 9/30/01 $ 14.24 0.04@ (0.85) (0.81)
<Caption>
PER SHARE OPERATING PERFORMANCE:
---------------------------------------------
LESS DISTRIBUTIONS:
---------------------------------------------
DIVIDENDS
FROM NET DISTRIBUTIONS
INVESTMENT FROM CAPITAL TOTAL
INCOME GAINS DISTRIBUTIONS
DYNAMIC SMALL CAP FUND
Year Ended 12/31/03 -- -- --
Year Ended 12/31/02 -- -- --
11/1/01 Through 12/31/01^ -- -- --
Year Ended 10/31/01 -- 3.38 3.38
Year Ended 10/31/00 -- -- --
Year Ended 10/31/99 -- -- --
MID CAP GROWTH FUND
Year Ended 12/31/03 -- -- --
Year Ended 12/31/02 -- -- --
10/1/01 Through 12/31/01^^ -- -- --
Year Ended 9/30/01 -- 0.16 0.16
10/29/99* Through 9/30/00 -- -- --
MID CAP VALUE FUND
Year Ended 12/31/03 0.05 0.11 0.16
Year Ended 12/31/02 0.03 0.01 0.04
10/1/01 Through 12/31/01^^ 0.08 0.75 0.83
4/30/01** Through 9/30/01 -- -- --
</Table>
* Commencement of operations.
** Commencement of offering of class of shares.
^ The Fund changed its fiscal year end from October 31 to December 31.
^^ The Fund changed its fiscal year end from September 30 to December 31.
@ Calculated based upon average shares outstanding.
SEE NOTES TO FINANCIAL STATEMENTS.
102
<Page>
<Table>
<Caption>
RATIOS/SUPPLEMENTAL
PER SHARE OPERATING PERFORMANCE: DATA:
-------------------------------- -------------------
NET ASSETS,
NET ASSET END OF
VALUE, END TOTAL PERIOD
OF PERIOD RETURN (1)(a) (MILLIONS)
DYNAMIC SMALL CAP FUND
Year Ended 12/31/03 $ 16.81 38.47% $ 89
Year Ended 12/31/02 $ 12.14 (22.77%) $ 82
11/1/01 Through 12/31/01^ $ 15.72 10.63% $ 125
Year Ended 10/31/01 $ 14.21 (30.60%) $ 120
Year Ended 10/31/00 $ 24.54 53.57% $ 154
Year Ended 10/31/99 $ 15.98 24.94% $ 78
MID CAP GROWTH FUND
Year Ended 12/31/03 $ 4.91 37.53% $ 58
Year Ended 12/31/02 $ 3.57 (29.45%) $ 53
10/1/01 Through 12/31/01^^ $ 5.06 18.50% $ 101
Year Ended 9/30/01 $ 4.27 (65.10%) $ 94
10/29/99* Through 9/30/00 $ 12.51 25.12% $ 33
MID CAP VALUE FUND
Year Ended 12/31/03 $ 18.62 30.07% $ 275
Year Ended 12/31/02 $ 14.44 2.68% $ 26
10/1/01 Through 12/31/01^^ $ 14.10 11.20% $ 5
4/30/01** Through 9/30/01 $ 13.43 (5.69%) $ 2
<Caption>
RATIOS/SUPPLEMENTAL DATA:
-------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
--------------------------------------------------------------------------------
NET INVESTMENT
NET EXPENSES INCOME (LOSS)
INVESTMENT WITHOUT WAIVERS, WITHOUT WAIVERS, PORTFOLIO
NET INCOME REIMBURSEMENTS REIMBURSEMENTS TURNOVER
EXPENSES (LOSS) AND EARNINGS CREDITS AND EARNINGS CREDITS RATE (a)
DYNAMIC SMALL CAP FUND
Year Ended 12/31/03 1.50% (1.19%) 1.86% (1.54%) 55%
Year Ended 12/31/02 1.50% (1.20%) 1.82% (1.52%) 52%
11/1/01 Through 12/31/01^ 1.50% (1.21%) 1.63% (1.34%) 8%
Year Ended 10/31/01 1.50% (1.13%) 1.64% (1.27%) 57%
Year Ended 10/31/00 1.50% (0.99%) 1.76% (1.25%) 87%
Year Ended 10/31/99 1.49% (0.95%) 1.89% (1.35%) 92%
MID CAP GROWTH FUND
Year Ended 12/31/03 1.35% (1.05%) 1.77% (1.47%) 69%
Year Ended 12/31/02 1.35% (1.15%) 1.62% (1.42%) 39%
10/1/01 Through 12/31/01^^ 1.35% (0.84%) 1.35% (0.84%) 135%
Year Ended 9/30/01 1.30% (0.54%) 1.30% (0.54%) 159%
10/29/99* Through 9/30/00 1.16% (0.68%) 1.20% (0.72%) 147%
MID CAP VALUE FUND
Year Ended 12/31/03 1.25% 0.51% 1.65% 0.11% 32%
Year Ended 12/31/02 1.25% 0.50% 1.70% 0.05% 51%
10/1/01 Through 12/31/01^^ 1.25% 0.47% 3.72%!! (2.00%) 15%
4/30/01** Through 9/30/01 1.30% 0.71% 15.30%!! (13.29%)!! 98%
</Table>
(1) Total return figures do not include the effect of any front-end sales load.
(a) Not annualized for periods less than one year.
# Short periods have been annualized.
!! Due to the size of net assets and fixed expenses, ratios may appear
disproportionate.
SEE NOTES TO FINANCIAL STATEMENTS.
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
SMALL CAP EQUITY FUND
Year Ended 12/31/03 $ 17.68 (0.15)@ 6.58 6.43
Year Ended 12/31/02 $ 21.53 (0.15)@ (3.57) (3.72)
11/1/01 Through 12/31/01^ $ 19.64 (0.03)@ 1.92 1.89
Year Ended 10/31/01 $ 27.89 (0.10) (4.26) (4.36)
Year Ended 10/31/00 $ 22.77 (0.20)@ 7.97 7.77
Year Ended 10/31/99 $ 20.40 (0.13)@ 2.67 2.54
SMALL CAP GROWTH FUND
Year Ended 12/31/03 $ 5.50 (0.09)@ 2.26 2.17
Year Ended 12/31/02 $ 9.25 (0.09)@ (3.66) (3.75)
10/1/01 Through 12/31/01^^ $ 6.80 (0.01) 2.46 2.45
4/30/01** Through 9/30/01 $ 9.20 (0.05)@ (2.35) (2.40)
<Caption>
PER SHARE OPERATING PERFORMANCE:
---------------------------------------------
LESS DISTRIBUTIONS:
---------------------------------------------
DIVIDENDS
FROM NET DISTRIBUTIONS
INVESTMENT FROM CAPITAL TOTAL
INCOME GAINS DISTRIBUTIONS
SMALL CAP EQUITY FUND
Year Ended 12/31/03 -- -- --
Year Ended 12/31/02 -- 0.13 0.13
11/1/01 Through 12/31/01^ -- -- --
Year Ended 10/31/01 -- 3.89 3.89
Year Ended 10/31/00 -- 2.65 2.65
Year Ended 10/31/99 -- 0.17 0.17
SMALL CAP GROWTH FUND
Year Ended 12/31/03 -- -- --
Year Ended 12/31/02 -- -- --
10/1/01 Through 12/31/01^^ -- -- --
4/30/01** Through 9/30/01 -- -- --
</Table>
** Commencement of offering of class of shares.
^ The Fund changed its fiscal year end from October 31 to December 31.
^^ The Fund changed its fiscal year end from September 30 to December 31.
@ Calculated based upon average shares outstanding.
SEE NOTES TO FINANCIAL STATEMENTS.
104
<Page>
<Table>
<Caption>
PER SHARE OPERATING PERFORMANCE:
--------------------------------
NET ASSET
VALUE, END TOTAL
OF PERIOD RETURN (1)(a)
SMALL CAP EQUITY FUND
Year Ended 12/31/03 $ 24.11 36.37%
Year Ended 12/31/02 $ 17.68 (17.30%)
11/1/01 Through 12/31/01^ $ 21.53 9.62%
Year Ended 10/31/01 $ 19.64 (16.62%)
Year Ended 10/31/00 $ 27.89 37.10%
Year Ended 10/31/99 $ 22.77 12.49%
SMALL CAP GROWTH FUND
Year Ended 12/31/03 $ 7.67 39.45%
Year Ended 12/31/02 $ 5.50 (40.54%)
10/1/01 Through 12/31/01^^ $ 9.25 (36.03%)
4/30/01** Through 9/30/01 $ 6.80 (26.09%)
<Caption>
RATIOS/SUPPLEMENTAL DATA:
-----------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
-------------------------------------------------------------------------------
NET INVESTMENT
NET ASSETS, NET EXPENSES INCOME (LOSS)
END OF INVESTMENT WITHOUT WAIVERS, WITHOUT WAIVERS,
PERIOD NET INCOME REIMBURSEMENTS REIMBURSEMENTS
(MILLIONS) EXPENSES (LOSS) AND EARNINGS CREDITS AND EARNINGS CREDITS
SMALL CAP EQUITY FUND
Year Ended 12/31/03 $ 88 1.38% (0.75%) 1.65% (1.02%)
Year Ended 12/31/02 $ 77 1.38% (0.74%) 1.40% (0.76%)
11/1/01 Through 12/31/01^ $ 71 1.38% (0.81%) 1.38% (0.81%)
Year Ended 10/31/01 $ 67 1.39% (0.80%) 1.40% (0.81%)
Year Ended 10/31/00 $ 93 1.44% (0.77%) 1.44% (0.77%)
Year Ended 10/31/99 $ 98 1.40% (0.59%) 1.40% (0.59%)
SMALL CAP GROWTH FUND
Year Ended 12/31/03 $ 1 1.60% (1.30%) 15.48%!! (15.18%)!!
Year Ended 12/31/02 $ 1 1.60% (1.39%) 21.25%!! (21.04%)!!
10/1/01 Through 12/31/01^^ $ --+ 1.54% (1.27%) 12.17%!! (11.90%)!!
4/30/01** Through 9/30/01 $ --+ 1.60% (1.37%) 11.04%!! (10.81%)!!
<Caption>
RATIOS/SUPPLEMENTAL DATA:
-------------------------
PORTFOLIO
TURNOVER
RATE (a)
SMALL CAP EQUITY FUND
Year Ended 12/31/03 38%
Year Ended 12/31/02 51%
11/1/01 Through 12/31/01^ 6%
Year Ended 10/31/01 47%
Year Ended 10/31/00 75%
Year Ended 10/31/99 92%
SMALL CAP GROWTH FUND
Year Ended 12/31/03 143%
Year Ended 12/31/02 76%
10/1/01 Through 12/31/01^^ 25%
4/30/01** Through 9/30/01 71%
</Table>
(1) Total return figures do not include the effect of any front-end sales load.
(a) Not annualized for periods less than one year.
+ Amount rounds to less than one million.
# Short periods have been annualized.
!! Due to the size of net assets and fixed expenses, ratios may appear
disproportionate.
SEE NOTES TO FINANCIAL STATEMENTS.
105
<Page>
CLASS B SHARES
<Table>
<Caption>
PER SHARE OPERATING PERFORMANCE:
--------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
----------------------------------------------
NET GAINS
OR LOSSES ON
NET ASSET NET SECURITIES
VALUE, INVESTMENT (BOTH TOTAL FROM
BEGINNING INCOME REALIZED AND INVESTMENT
OF PERIOD (LOSS) UNREALIZED) OPERATIONS
DYNAMIC SMALL CAP FUND
Year Ended 12/31/03 $ 11.63 (0.24)@ 4.62 4.38
Year Ended 12/31/02 $ 15.16 (0.27) (3.26) (3.53)
11/1/01 Through 12/31/01^ $ 13.72 (0.04) 1.48 1.44
Year Ended 10/31/01 $ 23.96 (0.23) (6.63) (6.86)
Year Ended 10/31/00 $ 15.71 (0.40)@ 8.65 8.25
Year Ended 10/31/99 $ 12.67 (0.27) 3.31 3.04
MID CAP GROWTH FUND
Year Ended 12/31/03 $ 3.49 (0.07)@ 1.35 1.28
Year Ended 12/31/02 $ 4.99 (0.08)@ (1.42) (1.50)
10/1/01 Through 12/31/01^^ $ 4.22 (0.02) 0.79 0.77
Year Ended 9/30/01 $ 12.43 (0.07)@ (7.98) (8.05)
10/29/99* Through 9/30/00 $ 10.00 (0.17) 2.60 2.43
MID CAP VALUE FUND
Year Ended 12/31/03 $ 14.32 (0.03)@ 4.19 4.16
Year Ended 12/31/02 $ 14.06 (0.04)@ 0.31 0.27
10/1/01 Through 12/31/01^^ $ 13.40 (0.01)@ 1.47 1.46
4/30/01** Through 9/30/01 $ 14.24 --@ (0.84) (0.84)
<Caption>
PER SHARE OPERATING PERFORMANCE:
---------------------------------------------
LESS DISTRIBUTIONS:
---------------------------------------------
DIVIDENDS
FROM NET DISTRIBUTIONS
INVESTMENT FROM CAPITAL TOTAL
INCOME GAINS DISTRIBUTIONS
DYNAMIC SMALL CAP FUND
Year Ended 12/31/03 -- -- --
Year Ended 12/31/02 -- -- --
11/1/01 Through 12/31/01^ -- -- --
Year Ended 10/31/01 -- 3.38 3.38
Year Ended 10/31/00 -- -- --
Year Ended 10/31/99 -- -- --
MID CAP GROWTH FUND
Year Ended 12/31/03 -- -- --
Year Ended 12/31/02 -- -- --
10/1/01 Through 12/31/01^^ -- -- --
Year Ended 9/30/01 -- 0.16 0.16
10/29/99* Through 9/30/00 -- -- --
MID CAP VALUE FUND
Year Ended 12/31/03 -- 0.11 0.11
Year Ended 12/31/02 -- 0.01 0.01
10/1/01 Through 12/31/01^^ 0.05 0.75 0.80
4/30/01** Through 9/30/01 -- -- --
</Table>
* Commencement of operations.
** Commencement of offering of class of shares.
^ The Fund changed its fiscal year end from October 31 to December 31.
^^ The Fund changed its fiscal year end from September 30 to December 31.
@ Calculated based upon average shares outstanding.
SEE NOTES TO FINANCIAL STATEMENTS.
106
<Page>
<Table>
<Caption>
PER SHARE OPERATING PERFORMANCE:
--------------------------------
NET ASSET
VALUE, END TOTAL
OF PERIOD RETURN (1)(a)
DYNAMIC SMALL CAP FUND
Year Ended 12/31/03 $ 16.01 37.66%
Year Ended 12/31/02 $ 11.63 (23.28%)
11/1/01 Through 12/31/01^ $ 15.16 10.50%
Year Ended 10/31/01 $ 13.72 (31.02%)
Year Ended 10/31/00 $ 23.96 52.51%
Year Ended 10/31/99 $ 15.71 23.99%
MID CAP GROWTH FUND
Year Ended 12/31/03 $ 4.77 36.68%
Year Ended 12/31/02 $ 3.49 (30.06%)
10/1/01 Through 12/31/01^^ $ 4.99 18.25%
Year Ended 9/30/01 $ 4.22 (65.30%)
10/29/99* Through 9/30/00 $ 12.43 24.31%
MID CAP VALUE FUND
Year Ended 12/31/03 $ 18.37 29.06%
Year Ended 12/31/02 $ 14.32 1.94%
10/1/01 Through 12/31/01^^ $ 14.06 10.94%
4/30/01** Through 9/30/01 $ 13.40 (5.90%)
<Caption>
RATIOS/SUPPLEMENTAL DATA:
-----------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
-------------------------------------------------------------------------------
NET INVESTMENT
NET ASSETS, NET EXPENSES INCOME (LOSS)
END OF INVESTMENT WITHOUT WAIVERS, WITHOUT WAIVERS,
PERIOD NET INCOME REIMBURSEMENTS REIMBURSEMENTS
(MILLIONS) EXPENSES (LOSS) AND EARNINGS CREDITS AND EARNINGS CREDITS
DYNAMIC SMALL CAP FUND
Year Ended 12/31/03 $ 63 2.12% (1.81%) 2.35% (2.05%)
Year Ended 12/31/02 $ 48 2.12% (1.82%) 2.32% (2.02%)
11/1/01 Through 12/31/01^ $ 72 2.12% (1.83%) 2.12% (1.83%)
Year Ended 10/31/01 $ 67 2.13% (1.75%) 2.14% (1.76%)
Year Ended 10/31/00 $ 110 2.20% (1.69%) 2.26% (1.75%)
Year Ended 10/31/99 $ 66 2.23% (1.69%) 2.39% (1.85%)
MID CAP GROWTH FUND
Year Ended 12/31/03 $ 3 2.05% (1.75%) 2.33% (2.03%)
Year Ended 12/31/02 $ 3 2.05% (1.85%) 2.32% (2.12%)
10/1/01 Through 12/31/01^^ $ 5 2.05% (1.53%) 2.05% (1.53%)
Year Ended 9/30/01 $ 6 2.00% (1.22%) 2.00% (1.22%)
10/29/99* Through 9/30/00 $ 25 1.86% (1.38%) 1.91% (1.43%)
MID CAP VALUE FUND
Year Ended 12/31/03 $ 68 1.95% (0.21%) 2.19% (0.45%)
Year Ended 12/31/02 $ 14 2.00% (0.27%) 2.49% (0.76%)
10/1/01 Through 12/31/01^^ $ 3 1.99% (0.27%) 4.47%!! (2.75%)
4/30/01** Through 9/30/01 $ 1 2.03% 0.01% 16.00%!! (13.96%)!!
<Caption>
RATIOS/SUPPLEMENTAL DATA:
-------------------------
PORTFOLIO
TURNOVER
RATE (a)
DYNAMIC SMALL CAP FUND
Year Ended 12/31/03 55%
Year Ended 12/31/02 52%
11/1/01 Through 12/31/01^ 8%
Year Ended 10/31/01 57%
Year Ended 10/31/00 87%
Year Ended 10/31/99 92%
MID CAP GROWTH FUND
Year Ended 12/31/03 69%
Year Ended 12/31/02 39%
10/1/01 Through 12/31/01^^ 135%
Year Ended 9/30/01 159%
10/29/99* Through 9/30/00 147%
MID CAP VALUE FUND
Year Ended 12/31/03 32%
Year Ended 12/31/02 51%
10/1/01 Through 12/31/01^^ 15%
4/30/01** Through 9/30/01 98%
</Table>
(1) Total return figures do not include the effect of any deferred sales load.
(a) Not annualized for periods less than one year.
# Short periods have been annualized.
!! Due to the size of net assets and fixed expenses, ratios may appear
disproportionate.
SEE NOTES TO FINANCIAL STATEMENTS.
107
<Page>
<Table>
<Caption>
PER SHARE OPERATING PERFORMANCE:
--------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
----------------------------------------------
NET GAINS
OR LOSSES ON
NET ASSET NET SECURITIES
VALUE, INVESTMENT (BOTH TOTAL FROM
BEGINNING INCOME REALIZED AND INVESTMENT
OF PERIOD (LOSS) UNREALIZED) OPERATIONS
SMALL CAP EQUITY FUND
Year Ended 12/31/03 $ 16.50 (0.27)@ 6.11 5.84
Year Ended 12/31/02 $ 20.26 (0.29)@ (3.34) (3.63)
11/1/01 Through 12/31/01^ $ 18.50 (0.05)@ 1.81 1.76
Year Ended 10/31/01 $ 26.73 (0.09) (4.25) (4.34)
Year Ended 10/31/00 $ 22.06 (0.37)@ 7.69 7.32
Year Ended 10/31/99 $ 19.91 (0.28)@ 2.60 2.32
<Caption>
PER SHARE OPERATING PERFORMANCE:
---------------------------------------------
LESS DISTRIBUTIONS:
---------------------------------------------
DIVIDENDS
FROM NET DISTRIBUTIONS
INVESTMENT FROM CAPITAL TOTAL
INCOME GAINS DISTRIBUTIONS
SMALL CAP EQUITY FUND
Year Ended 12/31/03 -- -- --
Year Ended 12/31/02 -- 0.13 0.13
11/1/01 Through 12/31/01^ -- -- --
Year Ended 10/31/01 -- 3.89 3.89
Year Ended 10/31/00 -- 2.65 2.65
Year Ended 10/31/99 -- 0.17 0.17
</Table>
^ The Fund changed its fiscal year end from October 31 to December 31.
@ Calculated based upon average shares outstanding.
SEE NOTES TO FINANCIAL STATEMENTS.
108
<Page>
<Table>
<Caption>
PER SHARE OPERATING PERFORMANCE:
--------------------------------
NET ASSET
VALUE, END TOTAL
OF PERIOD RETURN (1)(a)
SMALL CAP EQUITY FUND
Year Ended 12/31/03 $ 22.34 35.39%
Year Ended 12/31/02 $ 16.50 (17.94%)
11/1/01 Through 12/31/01^ $ 20.26 9.51%
Year Ended 10/31/01 $ 18.50 (17.37%)
Year Ended 10/31/00 $ 26.73 36.17%
Year Ended 10/31/99 $ 22.06 11.69%
<Caption>
RATIOS/SUPPLEMENTAL DATA:
-----------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
-------------------------------------------------------------------------------
NET INVESTMENT
NET ASSETS, NET EXPENSES INCOME (LOSS)
END OF INVESTMENT WITHOUT WAIVERS, WITHOUT WAIVERS,
PERIOD NET INCOME REIMBURSEMENTS REIMBURSEMENTS
(MILLIONS) EXPENSES (LOSS) AND EARNINGS CREDITS AND EARNINGS CREDITS
SMALL CAP EQUITY FUND
Year Ended 12/31/03 $ 22 2.12% (1.49%) 2.21% (1.58%)
Year Ended 12/31/02 $ 23 2.12% (1.50%) 2.16% (1.54%)
11/1/01 Through 12/31/01^ $ 42 2.12% (1.55%) 2.12% (1.55%)
Year Ended 10/31/01 $ 39 2.13% (1.54%) 2.14% (1.55%)
Year Ended 10/31/00 $ 57 2.17% (1.50%) 2.17% (1.50%)
Year Ended 10/31/99 $ 57 2.12% (1.31%) 2.12% (1.31%)
<Caption>
RATIOS/SUPPLEMENTAL DATA:
-------------------------
PORTFOLIO
TURNOVER
RATE (a)
SMALL CAP EQUITY FUND
Year Ended 12/31/03 38%
Year Ended 12/31/02 51%
11/1/01 Through 12/31/01^ 6%
Year Ended 10/31/01 47%
Year Ended 10/31/00 75%
Year Ended 10/31/99 92%
</Table>
(1) Total return figures do not include the effect of any deferred sales load.
(a) Not annualized for periods less than one year.
# Short periods have been annualized.
SEE NOTES TO FINANCIAL STATEMENTS.
109
<Page>
CLASS C SHARES
<Table>
<Caption>
PER SHARE OPERATING PERFORMANCE:
--------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
----------------------------------------------
NET GAINS
OR LOSSES ON
NET ASSET NET SECURITIES
VALUE, INVESTMENT (BOTH TOTAL FROM
BEGINNING INCOME REALIZED AND INVESTMENT
OF PERIOD (LOSS) UNREALIZED) OPERATIONS
DYNAMIC SMALL CAP FUND
Year Ended 12/31/03 $ 11.61 (0.25)@ 4.62 4.37
Year Ended 12/31/02 $ 15.13 (0.21) (3.31) (3.52)
11/1/01 Through 12/31/01^ $ 13.70 (0.04) 1.47 1.43
Year Ended 10/31/01 $ 23.93 (0.23) (6.62) (6.85)
Year Ended 10/31/00 $ 15.69 (0.35)@ 8.59 8.24
Year Ended 10/31/99 $ 12.66 (0.26) 3.29 3.03
MID CAP VALUE FUND
Year Ended 12/31/03 $ 14.35 (0.03)@ 4.20 4.17
Year Ended 12/31/02 $ 14.09 (0.04)@ 0.31 0.27
10/1/01 Through 12/31/01^^ $ 13.41 (0.01)@ 1.48 1.47
4/30/01** Through 9/30/01 $ 14.24 --@ (0.83) (0.83)
<Caption>
PER SHARE OPERATING PERFORMANCE:
---------------------------------------------
LESS DISTRIBUTIONS:
---------------------------------------------
DIVIDENDS
FROM NET DISTRIBUTIONS
INVESTMENT FROM CAPITAL TOTAL
INCOME GAINS DISTRIBUTIONS
DYNAMIC SMALL CAP FUND
Year Ended 12/31/03 -- -- --
Year Ended 12/31/02 -- -- --
11/1/01 Through 12/31/01^ -- -- --
Year Ended 10/31/01 -- 3.38 3.38
Year Ended 10/31/00 -- -- --
Year Ended 10/31/99 -- -- --
MID CAP VALUE FUND
Year Ended 12/31/03 --(b) 0.11 0.11
Year Ended 12/31/02 -- 0.01 0.01
10/1/01 Through 12/31/01^^ 0.04 0.75 0.79
4/30/01** Through 9/30/01 -- -- --
</Table>
** Commencement of offering of class of shares.
^ The Fund changed its fiscal year end from October 31 to December 31.
^^ The Fund changed its fiscal year end from September 30 to December 31.
@ Calculated based upon average shares outstanding.
(b) Amount is less than .005.
SES NOTES TO FINANCIAL STATEMENTS.
110
<Page>
<Table>
<Caption>
PER SHARE OPERATING PERFORMANCE:
--------------------------------
NET ASSET
VALUE, END TOTAL
OF PERIOD RETURN (1)(a)
DYNAMIC SMALL CAP FUND
Year Ended 12/31/03 $ 15.98 37.64%
Year Ended 12/31/02 $ 11.61 (23.26%)
11/1/01 Through 12/31/01^ $ 15.13 10.44%
Year Ended 10/31/01 $ 13.70 (31.02%)
Year Ended 10/31/00 $ 23.93 52.52%
Year Ended 10/31/99 $ 15.69 23.93%
MID CAP VALUE FUND
Year Ended 12/31/03 $ 18.41 29.09%
Year Ended 12/31/02 $ 14.35 1.94%
10/1/01 Through 12/31/01^^ $ 14.09 11.05%
4/30/01** Through 9/30/01 $ 13.41 (5.83%)
<Caption>
RATIOS/SUPPLEMENTAL DATA:
-----------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
-------------------------------------------------------------------------------
NET INVESTMENT
NET ASSETS, NET EXPENSES INCOME (LOSS)
END OF INVESTMENT WITHOUT WAIVERS, WITHOUT WAIVERS,
PERIOD NET INCOME REIMBURSEMENTS REIMBURSEMENTS
(MILLIONS) EXPENSES (LOSS) AND EARNINGS CREDITS AND EARNINGS CREDITS
DYNAMIC SMALL CAP FUND
Year Ended 12/31/03 $ 23 2.12% (1.82%) 2.35% (2.04%)
Year Ended 12/31/02 $ 10 2.12% (1.82%) 2.32% (2.02%)
11/1/01 Through 12/31/01^ $ 11 2.12% (1.83%) 2.12% (1.83%)
Year Ended 10/31/01 $ 10 2.13% (1.76%) 2.14% (1.77%)
Year Ended 10/31/00 $ 14 2.20% (1.69%) 2.26% (1.75%)
Year Ended 10/31/99 $ 6 2.23% (1.69%) 2.39% (1.85%)
MID CAP VALUE FUND
Year Ended 12/31/03 $ 103 1.95% (0.19%) 2.19% (0.43%)
Year Ended 12/31/02 $ 9 2.00% (0.28%) 2.51% (0.79%)
10/1/01 Through 12/31/01^^ $ 3 1.99% (0.30%) 4.48%!! (2.79%)
4/30/01** Through 9/30/01 $ 2 2.04% 0.03% 15.95%!! (13.88%)!!
<Caption>
RATIOS/SUPPLEMENTAL DATA:
-------------------------
PORTFOLIO
TURNOVER
RATE (a)
DYNAMIC SMALL CAP FUND
Year Ended 12/31/03 55%
Year Ended 12/31/02 52%
11/1/01 Through 12/31/01^ 8%
Year Ended 10/31/01 57%
Year Ended 10/31/00 87%
Year Ended 10/31/99 92%
MID CAP VALUE FUND
Year Ended 12/31/03 32%
Year Ended 12/31/02 51%
10/1/01 Through 12/31/01^^ 15%
4/30/01** Through 9/30/01 98%
</Table>
(1) Total return figures do not include the effect of any front-end or deferred
sales load.
(a) Not annualized for periods less than one year.
# Short periods have been annualized.
!! Due to the size of net assets and fixed expenses, ratios may appear
disproportionate.
SEE NOTES TO FINANCIAL STATEMENTS.
111
<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
MID CAP VALUE FUND
Year Ended 12/31/03 $ 14.52 0.17@ 4.27 4.44
Year Ended 12/31/02 $ 14.14 0.15@ 0.30 0.45
10/1/01 Through 12/31/01^ $ 13.47 0.03@ 1.48 1.51
Year Ended 9/30/01 $ 13.06 0.15@ 1.28 1.43
Year Ended 9/30/00 $ 13.56 0.11 2.59 2.70
Year Ended 9/30/99 $ 10.62 0.02 3.20 3.22
SMALL CAP GROWTH FUND
Year Ended 12/31/03 $ 5.59 (0.04)@ 2.29 2.25
Year Ended 12/31/02 $ 9.32 (0.04)@ (3.69) (3.73)
10/1/01 Through 12/31/01^ $ 6.83 -- 2.49 2.49
Year Ended 9/30/01 $ 15.12 (0.07)@ (6.07) (6.14)
Year Ended 9/30/00 $ 13.45 (0.08) 4.34 4.26
Year Ended 9/30/99 $ 9.47 0.08 4.28 4.36
US SMALL COMPANY FUND
Year Ended 12/31/03 $ 9.95 0.04@ 3.94 3.98
Year Ended 12/31/02 $ 12.57 0.05 (2.61) (2.56)
6/1/01 Through 12/31/01^^ $ 13.34 0.05@ (0.78) (0.73)
Year Ended 5/31/01 $ 15.11 0.08 0.03 0.11
Year Ended 5/31/00 $ 11.98 0.04 3.10 3.14
Year Ended 5/31/99 $ 15.30 0.08 (1.83) (1.75)
<Caption>
PER SHARE OPERATING PERFORMANCE:
---------------------------------------------
LESS DISTRIBUTIONS:
---------------------------------------------
DIVIDENDS
FROM NET DISTRIBUTIONS
INVESTMENT FROM CAPITAL TOTAL
INCOME GAINS DISTRIBUTIONS
MID CAP VALUE FUND
Year Ended 12/31/03 0.08 0.11 0.19
Year Ended 12/31/02 0.06 0.01 0.07
10/1/01 Through 12/31/01^ 0.09 0.75 0.84
Year Ended 9/30/01 0.15 0.87 1.02
Year Ended 9/30/00 0.09 3.11 3.20
Year Ended 9/30/99 0.10 0.18 0.28
SMALL CAP GROWTH FUND
Year Ended 12/31/03 -- -- --
Year Ended 12/31/02 -- -- --
10/1/01 Through 12/31/01^ -- -- --
Year Ended 9/30/01 -- 2.15 2.15
Year Ended 9/30/00 0.04 2.55 2.59
Year Ended 9/30/99 0.09 0.29 0.38
US SMALL COMPANY FUND
Year Ended 12/31/03 0.05 -- 0.05
Year Ended 12/31/02 0.06 -- 0.06
6/1/01 Through 12/31/01^^ 0.04 -- 0.04
Year Ended 5/31/01 0.09 1.79 1.88
Year Ended 5/31/00 0.01 -- 0.01
Year Ended 5/31/99 0.08 1.49 1.57
</Table>
^ The Fund changed its fiscal year end from September 30 to December 31.
^^ The fund changed its fiscal year end from May 31 to December 31.
@ Calculated based upon average shares outstanding.
(a) Not annualized for periods less than one year.
SEE NOTES TO FINANCIAL STATEMENTS.
112
<Page>
<Table>
<Caption>
PER SHARE OPERATING PERFORMANCE:
--------------------------------
NET ASSET
VALUE, END TOTAL
OF PERIOD RETURN (a)
MID CAP VALUE FUND
Year Ended 12/31/03 $ 18.77 30.62%
Year Ended 12/31/02 $ 14.52 3.23%
10/1/01 Through 12/31/01^ $ 14.14 11.30%
Year Ended 9/30/01 $ 13.47 11.19%
Year Ended 9/30/00 $ 13.06 23.76%
Year Ended 9/30/99 $ 13.56 30.41%
SMALL CAP GROWTH FUND
Year Ended 12/31/03 $ 7.84 40.25%
Year Ended 12/31/02 $ 5.59 (40.02%)
10/1/01 Through 12/31/01^ $ 9.32 36.46%
Year Ended 9/30/01 $ 6.83 (45.44%)
Year Ended 9/30/00 $ 15.12 36.33%
Year Ended 9/30/99 $ 13.45 46.61%
US SMALL COMPANY FUND
Year Ended 12/31/03 $ 13.88 40.03%
Year Ended 12/31/02 $ 9.95 (20.36%)
6/1/01 Through 12/31/01^^ $ 12.57 (5.50%)
Year Ended 5/31/01 $ 13.34 0.94%
Year Ended 5/31/00 $ 15.11 26.23%
Year Ended 5/31/99 $ 11.98 (10.79%)
<Caption>
RATIOS/SUPPLEMENTAL DATA:
-----------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
-------------------------------------------------------------------------------
NET INVESTMENT
NET ASSETS, NET EXPENSES INCOME (LOSS)
END OF INVESTMENT WITHOUT WAIVERS, WITHOUT WAIVERS,
PERIOD NET INCOME REIMBURSEMENTS REIMBURSEMENTS
(MILLIONS) EXPENSES (LOSS) AND EARNINGS CREDITS AND EARNINGS CREDITS
MID CAP VALUE FUND
Year Ended 12/31/03 $ 334 0.75% 1.00% 1.07% 0.68%
Year Ended 12/31/02 $ 59 0.75% 1.01% 1.22% 0.54%
10/1/01 Through 12/31/01^ $ 4 0.75% 0.94% 3.30%!! (1.61%)
Year Ended 9/30/01 $ 4 0.75% 1.07% 3.25%!! (1.43%)
Year Ended 9/30/00 $ 5 0.97% 0.84% 4.24%!! (2.43%)
Year Ended 9/30/99 $ 4 1.25% 0.06% 5.11%!! (3.80%)!!
SMALL CAP GROWTH FUND
Year Ended 12/31/03 $ 3 0.85% (0.58%) 10.08%!! (9.81%)!!
Year Ended 12/31/02 $ 1 0.85% (0.64%) 8.07%!! (7.86%)!!
10/1/01 Through 12/31/01^ $ 2 0.85% (0.62%) 6.66%!! (6.43%)!!
Year Ended 9/30/01 $ 2 0.85% (0.53%) 5.82%!! (5.50%)!!
Year Ended 9/30/00 $ 4 1.05% (0.61%) 5.47%!! (5.03%)!!
Year Ended 9/30/99 $ 2 1.35% (0.68%) 10.19%!! (9.52%)!!
US SMALL COMPANY FUND
Year Ended 12/31/03 $ 183 0.83% 0.33% 0.95% 0.21%
Year Ended 12/31/02 $ 214 0.83% 0.41% 0.93% 0.31%
6/1/01 Through 12/31/01^^ $ 269 0.82% 0.57% 0.86% 0.53%
Year Ended 5/31/01 $ 410 0.82% 0.54% 0.82% 0.54%
Year Ended 5/31/00 $ 358 0.80% 0.26% 0.82% 0.24%
Year Ended 5/31/99 $ 345 0.80% 0.55% 0.85% 0.50%
<Caption>
RATIOS/SUPPLEMENTAL DATA:
-------------------------
PORTFOLIO
TURNOVER
RATE (a)
MID CAP VALUE FUND
Year Ended 12/31/03 32%
Year Ended 12/31/02 51%
10/1/01 Through 12/31/01^ 15%
Year Ended 9/30/01 98%
Year Ended 9/30/00 99%
Year Ended 9/30/99 109%
SMALL CAP GROWTH FUND
Year Ended 12/31/03 143%
Year Ended 12/31/02 76%
10/1/01 Through 12/31/01^ 25%
Year Ended 9/30/01 71%
Year Ended 9/30/00 88%
Year Ended 9/30/99 71%
US SMALL COMPANY FUND
Year Ended 12/31/03 78%
Year Ended 12/31/02 90%
6/1/01 Through 12/31/01^^ 48%~
Year Ended 5/31/01 110%~
Year Ended 5/31/00 104%~
Year Ended 5/31/99 104%~
</Table>
# Short periods have been annualized.
!! Due to the size of net assets and fixed expenses, ratios may appear
disproportionate.
~ Prior to September 10, 2001, USSCF invested all of its investable assets in
The U.S. Small Company Portfolio ("USSCP").
The portfolio turnover rate disclosed prior to September 10, 2001 is the
turnover rate of USSCP.
SEE NOTES TO FINANCIAL STATEMENTS.
113
<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
DYNAMIC SMALL CAP FUND
Year Ended 12/31/03 $ 12.32 (0.11)@ 4.92 4.81
Year Ended 12/31/02 $ 15.89 (0.08) (3.49) (3.57)
11/1/01 Through 12/31/01^ $ 14.37 (0.02) 1.54 1.52
Year Ended 10/31/01 $ 24.65 (0.21) (6.69) (6.90)
Year Ended 10/31/00 $ 15.98 (0.13)@ 8.80 8.67
4/15/99** Through
10/31/99 $ 14.11 (0.05) 1.92 1.87
MID CAP EQUITY FUND
Year Ended 12/31/03 $ 24.39 0.13 7.71 7.84
Year Ended 12/31/02 $ 29.51 0.13 (4.07) (3.94)
11/1/01 Through 12/31/01^ $ 26.17 0.02 3.43 3.45
Year Ended 10/31/01 $ 37.85 0.12 (5.30) (5.18)
Year Ended 10/31/00 $ 37.55 0.17 9.34 9.51
Year Ended 10/31/99 $ 29.63 0.15 8.52 8.67
MID CAP VALUE FUND
Year Ended 12/31/03 $ 14.48 0.12@ 4.27 4.39
Year Ended 12/31/02 $ 14.14 0.14@ 0.27 0.41
10/31/01** Through
12/31/01^ $ 13.48 0.01@ 1.49 1.50
<Caption>
PER SHARE OPERATING PERFORMANCE:
---------------------------------------------
LESS DISTRIBUTIONS:
---------------------------------------------
DIVIDENDS
FROM NET DISTRIBUTIONS
INVESTMENT FROM CAPITAL TOTAL
INCOME GAINS DISTRIBUTIONS
DYNAMIC SMALL CAP FUND
Year Ended 12/31/03 -- -- --
Year Ended 12/31/02 -- -- --
11/1/01 Through 12/31/01^ -- -- --
Year Ended 10/31/01 -- 3.38 3.38
Year Ended 10/31/00 -- -- --
4/15/99** Through
10/31/99 -- -- --
MID CAP EQUITY FUND
Year Ended 12/31/03 0.13 0.92 1.05
Year Ended 12/31/02 0.13 1.05 1.18
11/1/01 Through 12/31/01^ 0.02 0.09 0.11
Year Ended 10/31/01 0.12 6.38 6.50
Year Ended 10/31/00 0.20 9.01 9.21
Year Ended 10/31/99 0.14 0.61 0.75
MID CAP VALUE FUND
Year Ended 12/31/03 0.06 0.11 0.17
Year Ended 12/31/02 0.06 0.01 0.07
10/31/01** Through
12/31/01^ 0.09 0.75 0.84
</Table>
^ The Fund changed its fiscal year end from October 31 to December 31.
** Commencement of offering of class of shares.
@ Calculated based upon average shares outstanding.
(a) Not annualized for periods less than one year.
SEE NOTES TO FINANCIAL STATEMENTS.
114
<Page>
<Table>
<Caption>
PER SHARE OPERATING PERFORMANCE:
--------------------------------
NET ASSET
VALUE, END TOTAL
OF PERIOD RETURN (a)
DYNAMIC SMALL CAP FUND
Year Ended 12/31/03 $ 17.13 39.04%
Year Ended 12/31/02 $ 12.32 (22.47%)
11/1/01 Through 12/31/01^ $ 15.89 10.58%
Year Ended 10/31/01 $ 14.37 (30.20%)
Year Ended 10/31/00 $ 24.65 54.26%
4/15/99** Through
10/31/99 $ 15.98 13.25%
MID CAP EQUITY FUND
Year Ended 12/31/03 $ 31.18 32.29%
Year Ended 12/31/02 $ 24.39 (13.39%)
11/1/01 Through 12/31/01^ $ 29.51 13.20%
Year Ended 10/31/01 $ 26.17 (15.27%)
Year Ended 10/31/00 $ 37.85 30.94%
Year Ended 10/31/99 $ 37.55 29.65%
MID CAP VALUE FUND
Year Ended 12/31/03 $ 18.70 30.34%
Year Ended 12/31/02 $ 14.48 2.90%
10/31/01** Through
12/31/01^ $ 14.14 11.18%
<Caption>
RATIOS/SUPPLEMENTAL DATA:
-----------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
-------------------------------------------------------------------------------
NET INVESTMENT
NET ASSETS, NET EXPENSES INCOME (LOSS)
END OF INVESTMENT WITHOUT WAIVERS, WITHOUT WAIVERS,
PERIOD NET INCOME REIMBURSEMENTS REIMBURSEMENTS
(MILLIONS) EXPENSES (LOSS) AND EARNINGS CREDITS AND EARNINGS CREDITS
DYNAMIC SMALL CAP FUND
Year Ended 12/31/03 $ 16 1.10% (0.79%) 1.28% (0.97%)
Year Ended 12/31/02 $ 12 1.10% (0.79%) 1.22% (0.91%)
11/1/01 Through 12/31/01^ $ 8 1.10% (0.82%) 10.33%!! (10.05%)!!
Year Ended 10/31/01 $ --+ 1.12% (0.76%) 12.21%!! (11.86%)!!
Year Ended 10/31/00 $ --+ 1.10% (0.59%) 15.48%!! (14.97%)!!
4/15/99** Through
10/31/99 $ --+ 1.91% (0.96%) 34.70%!! (33.75%)!!
MID CAP EQUITY FUND
Year Ended 12/31/03 $ 194 0.90% 0.48% 1.14% 0.24%
Year Ended 12/31/02 $ 139 0.77% 0.51% 1.14% 0.14%
11/1/01 Through 12/31/01^ $ 155 0.60% 0.38% 1.15% (0.17%)
Year Ended 10/31/01 $ 133 0.55% 0.38% 1.15% (0.22%)
Year Ended 10/31/00 $ 164 0.41% 0.52% 1.14% (0.21%)
Year Ended 10/31/99 $ 129 0.07% 0.44% 0.93% (0.42%)
MID CAP VALUE FUND
Year Ended 12/31/03 $ 76 1.00% 0.74% 1.24% 0.50%
Year Ended 12/31/02 $ 14 1.00% 0.96% 1.71% 0.25%
10/31/01** Through
12/31/01^ $ --+ 0.99% 0.58% 3.68%!! (2.11%)
<Caption>
RATIOS/SUPPLEMENTAL DATA:
-------------------------
PORTFOLIO
TURNOVER
RATE (a)
DYNAMIC SMALL CAP FUND
Year Ended 12/31/03 55%
Year Ended 12/31/02 52%
11/1/01 Through 12/31/01^ 8%
Year Ended 10/31/01 57%
Year Ended 10/31/00 87%
4/15/99** Through
10/31/99 92%
MID CAP EQUITY FUND
Year Ended 12/31/03 62%
Year Ended 12/31/02 84%
11/1/01 Through 12/31/01^ 2%
Year Ended 10/31/01 55%
Year Ended 10/31/00 84%
Year Ended 10/31/99 101%
MID CAP VALUE FUND
Year Ended 12/31/03 32%
Year Ended 12/31/02 51%
10/31/01** Through
12/31/01^ 15%
</Table>
+ Amounts round to less than one million.
# Short periods have been annualized.
!! Due to the size of net assets and fixed expenses, ratios may appear
disproportionate.
SEE NOTES TO FINANCIAL STATEMENTS.
115
<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
SMALL CAP EQUITY FUND
Year Ended 12/31/03 $ 18.37 (0.04)@ 6.85 6.81 -- -- --
Year Ended 12/31/02 $ 22.25 (0.04)@ (3.71) (3.75) -- 0.13 0.13
11/1/01 Through 12/31/01^ $ 20.27 (0.01)@ 1.99 1.98 -- -- --
Year Ended 10/31/01 $ 28.52 (0.10) (4.26) (4.36) -- 3.89 3.89
Year Ended 10/31/00 $ 23.10 (0.05)@ 8.12 8.07 -- 2.65 2.65
Year Ended 10/31/99 $ 20.59 (0.02)@ 2.70 2.68 -- 0.17 0.17
SMALL CAP GROWTH FUND
Year Ended 12/31/03 $ 5.56 (0.05)@ 2.28 2.23 -- -- --
Year Ended 12/31/02 $ 9.30 (0.06)@ (3.68) (3.74) -- -- --
10/31/01** Through 12/31/01^^ $ 7.77 (0.01) 1.54 1.53 -- -- --
TRUST SMALL CAP EQUITY FUND
Year Ended 12/31/03 $ 33.35 0.02 11.70 11.72 0.01 0.67 0.68
Year Ended 12/31/02 $ 40.46 0.04 (6.86) (6.82) 0.03 0.26 0.29
11/1/01 Through 12/31/01^ $ 36.65 0.01 3.81 3.82 0.01 -- 0.01
Year Ended 10/31/01 $ 51.12 0.10 (7.61) (7.51) 0.14 6.82 6.96
Year Ended 10/31/00 $ 47.66 0.08 12.44 12.52 0.08 8.98 9.06
Year Ended 10/31/99 $ 52.73 0.64 (2.50) (1.86) 0.64 2.57 3.21
</Table>
** Commencement of offering of class of shares.
^ The Fund changed its fiscal year end from October 31 to December 31.
^^ The Fund changed its fiscal year end from September 30 to December 31.
@ Calculated based upon average shares outstanding.
SEE NOTES TO FINANCIAL STATEMENTS.
116
<Page>
<Table>
<Caption>
PER SHARE OPERATING PERFORMANCE:
--------------------------------
NET ASSET
VALUE, END TOTAL
OF PERIOD RETURN (a)
SMALL CAP EQUITY FUND
Year Ended 12/31/03 $ 25.18 37.07%
Year Ended 12/31/02 $ 18.37 (16.87%)
11/1/01 Through 12/31/01^ $ 22.25 9.77%
Year Ended 10/31/01 $ 20.27 (16.19%)
Year Ended 10/31/00 $ 28.52 37.94%
Year Ended 10/31/99 $ 23.10 13.06%
SMALL CAP GROWTH FUND
Year Ended 12/31/03 $ 7.79 40.11%
Year Ended 12/31/02 $ 5.56 (40.22%)
10/31/01** Through 12/31/01^^ $ 9.30 19.69%
TRUST SMALL CAP EQUITY FUND
Year Ended 12/31/03 $ 44.39 35.20%
Year Ended 12/31/02 $ 33.35 (16.94%)
11/1/01 Through 12/31/01^ $ 40.46 10.42%
Year Ended 10/31/01 $ 36.65 (15.47%)
Year Ended 10/31/00 $ 51.12 30.16%
Year Ended 10/31/99 $ 47.66 (4.20%)
</Table>
<Table>
<Caption>
RATIOS/SUPPLEMENTAL DATA:
------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
--------------------------------------------------------------------
NET INVESTMENT
NET ASSETS, NET EXPENSES INCOME (LOSS)
END OF INVESTMENT WITHOUT WAIVERS, WITHOUT WAIVERS, PORTFOLIO
PERIOD NET INCOME REIMBURSEMENTS REIMBURSEMENTS TURNOVER
(MILLIONS) EXPENSES (LOSS) AND EARNINGS CREDITS AND EARNINGS CREDITS RATE (a)
SMALL CAP EQUITY FUND
Year Ended 12/31/03 $ 636 0.85% (0.22%) 1.12% (0.49%) 38%
Year Ended 12/31/02 $ 502 0.85% (0.22%) 1.09% (0.46%) 51%
11/1/01 Through 12/31/01^ $ 532 0.88% (0.31%) 1.10% (0.53%) 6%
Year Ended 10/31/01 $ 390 0.88% (0.30%) 1.12% (0.54%) 47%
Year Ended 10/31/00 $ 383 0.88% (0.20%) 1.13% (0.45%) 75%
Year Ended 10/31/99 $ 269 0.88% (0.07%) 1.13% (0.32%) 92%
SMALL CAP GROWTH FUND
Year Ended 12/31/03 $ --+ 1.10% (0.81%) 24.96%!! (24.67%)!! 143%
Year Ended 12/31/02 $ --+ 1.10% (0.89%) 24.20%!! (23.99%)!! 76%
10/31/01** Through 12/31/01^^ $ --+ 1.10% (0.88%) 9.40%!! (9.18%)!! 25%
TRUST SMALL CAP EQUITY FUND
Year Ended 12/31/03 $ 386 0.60% 0.04% 1.10% (0.46%) 45%
Year Ended 12/31/02 $ 259 0.51% 0.10% 1.11% (0.50%) 52%
11/1/01 Through 12/31/01^ $ 317 0.40% 0.09% 1.12% (0.63%) 7%
Year Ended 10/31/01 $ 299 0.34% 0.28% 1.13% (0.51%) 50%
Year Ended 10/31/00 $ 380 0.50% 0.19% 1.07% (0.38%) 76%
Year Ended 10/31/99 $ 339 0.04% 1.16% 0.86% 0.34% 55%
</Table>
(a) Not annualized for periods less than one year.
+ Amount rounds to less than one million.
# Short periods have been annualized.
!! Due to the size of net assets and fixed expenses, ratios may appear
disproportionate.
SEE NOTES TO FINANCIAL STATEMENTS.
117
<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
US SMALL COMPANY FUND+
Year Ended 12/31/03 $ 9.97 0.02@ 3.94 3.96 0.03 -- 0.03
Year Ended 12/31/02 $ 12.57 0.03 (2.60) (2.57) 0.03 -- 0.03
6/1/01 Through 12/31/01^ $ 13.43 0.04@ (0.79) (0.75) 0.05 0.06 0.11
Year Ended 5/31/01 $ 14.45 0.05 0.04 0.09 0.03 1.08 1.11
Year Ended 5/31/00 $ 11.49 -- 2.97 2.97 0.01 -- 0.01
Year Ended 5/31/99 $ 14.76 0.04 (1.76) (1.72) 0.04 1.51 1.55
US SMALL COMPANY
OPPORTUNITIES FUND
Year Ended 12/31/03 $ 7.04 (0.13) 2.11 1.98 -- -- --
Year Ended 12/31/02 $ 10.48 (0.09) (3.35) (3.44) -- -- --
6/1/01 Through 12/31/01^ $ 12.19 (0.04) (1.67) (1.71) -- -- --
Year Ended 5/31/01 $ 15.90 (0.07) (2.29) (2.36) -- 1.35 1.35
Year Ended 5/31/00 $ 12.17 -- 3.73 3.73 -- -- --
Year Ended 5/31/99 $ 12.57 (0.01) (0.08) (0.09) -- 0.31 0.31
</Table>
+ On September 10, 2001, the class underwent a split of shares. Prior periods
have been restated to reflect the split
^ The fund changed its fiscal year end from May 31 to December 31.
@ Calculated based upon average shares outstanding.
118
<Page>
<Table>
<Caption>
PER SHARE OPERATING PERFORMANCE:
-------------------------------
NET ASSET
VALUE, END TOTAL
OF PERIOD RETURN (a)
US SMALL COMPANY FUND+
Year Ended 12/31/03 $ 13.90 39.72%
Year Ended 12/31/02 $ 9.97 (20.48%)
6/1/01 Through 12/31/01^ $ 12.57 (5.56%)
Year Ended 5/31/01 $ 13.43 0.75%
Year Ended 5/31/00 $ 14.45 25.90%
Year Ended 5/31/99 $ 11.49 (10.95%)
US SMALL COMPANY
OPPORTUNITIES FUND
Year Ended 12/31/03 $ 9.02 28.13%
Year Ended 12/31/02 $ 7.04 (32.82%)
6/1/01 Through 12/31/01^ $ 10.48 (14.03%)
Year Ended 5/31/01 $ 12.19 (15.51%)
Year Ended 5/31/00 $ 15.90 30.65%
Year Ended 5/31/99 $ 12.17 (0.49%)
</Table>
<Table>
<Caption>
RATIOS/SUPPLEMENTAL DATA:
------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
------------------------------------------------------------------------
NET INVESTMENT
NET ASSETS, NET EXPENSES INCOME (LOSS)
END OF INVESTMENT WITHOUT WAIVERS, WITHOUT WAIVERS, PORTFOLIO
PERIOD NET INCOME REIMBURSEMENTS REIMBURSEMENTS TURNOVER
(MILLIONS) EXPENSES (LOSS) AND EARNINGS CREDITS AND EARNINGS CREDITS RATE (a)
US SMALL COMPANY FUND+
Year Ended 12/31/03 $ 156 1.01% 0.15% 1.11% 0.05% 78%
Year Ended 12/31/02 $ 199 1.01% 0.23% 1.10% 0.14% 90%
6/1/01 Through 12/31/01^ $ 286 1.01% 0.39% 1.04% 0.36% 48%~
Year Ended 5/31/01 $ 296 1.01% 0.35% 1.01% 0.35% 110%~
Year Ended 5/31/00 $ 285 1.00% 0.05% 1.00% 0.05% 104%~
Year Ended 5/31/99 $ 187 1.02% 0.34% 1.02% 0.34% 104%~
US SMALL COMPANY
OPPORTUNITIES FUND
Year Ended 12/31/03 $ 10 1.02% (0.62%) 1.68% (1.28%) 207%
Year Ended 12/31/02 $ 55 1.02% (0.66%) 1.17% (0.81%) 100%
6/1/01 Through 12/31/01^ $ 195 1.02% (0.50%) 1.07% (0.55%) 55%
Year Ended 5/31/01 $ 339 0.99% (0.35%) 0.99% (0.35%) 117%
Year Ended 5/31/00 $ 529 0.99% (0.47%) 0.99% (0.47%) 132%
Year Ended 5/31/99 $ 286 1.07% (0.42%) 1.07% (0.42%) 116%
</Table>
(a) Not annualized for periods less than one year.
# Short periods have been annualized.
~ Prior to September 10, 2001, USSCF invested all of its investable assets in
The U.S. Small Company Portfolio ("USSCP"). The portfolio turnover rate
disclosed prior to September 10, 2001 is the turnover rate of USSCP.
SEE NOTES TO FINANCIAL STATEMENTS.
119
<Page>
JP MORGAN FUNDS
REPORT OF INDEPENDENT AUDITORS
To the Trustees and Shareholders of
J.P. Morgan Funds, J.P. Morgan Institutional Funds, J.P Morgan Mutual
Fund Group, J.P. Morgan Mutual Fund Select Group, J.P. Morgan Fleming Mutual
Fund Group, Inc., and J.P. Morgan Mutual Fund Investment Trust
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 Dynamic Small Cap Fund and
JPMorgan Small Cap Equity Fund (separate portfolios of J.P. Morgan Mutual Fund
Group), JPMorgan Mid Cap Equity Fund and JPMorgan Trust Small Cap Equity Fund
(separate portfolios of J.P. Morgan Mutual Fund Select Group), JPMorgan Mid Cap
Growth Fund (a separate portfolio of J.P. Morgan Mutual Fund Investment Trust),
JPMorgan Mid Cap Value Fund and JPMorgan Small Cap Growth Fund (separate
portfolios of J.P. Morgan Fleming Mutual Fund Group, Inc.), JPMorgan U.S. Small
Company Fund (a separate portfolio of J.P. Morgan Institutional Funds) and
JPMorgan U.S. Small Company Opportunities Fund (a separate portfolio of J.P.
Morgan Funds) (hereafter collectively referred to as the "Funds"), at December
31, 2003, the results of each of their operations for the year then ended, the
changes in each of their net assets for each of the two years in the period then
ended and the financial highlights for each of the periods presented (for the
JPMorgan Mid Cap Value Fund and the JPMorgan Small Cap Growth Fund, for the
years ended December 31, 2003 and December 31, 2002, for the 3 months ended
December 31, 2001 and for the year ended September 30, 2001), 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 December 31, 2003 by correspondence with the
custodian and brokers, provide a reasonable basis for our opinion. The financial
highlights for each of the two years in the period ended September 30, 2000 for
JPMorgan Mid Cap Value Fund and JPMorgan Small Cap Growth Fund were audited by
other independent auditors whose report dated November 15, 2000 expressed an
unqualified opinion on those statements.
PricewaterhouseCoopers LLP
New York, New York
February 24, 2004
120
<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>
NUMBER OF
POSITIONS PORTFOLIOS IN OTHER
HELD WITH PRINCIPAL JPMORGAN FUND DIRECTORSHIPS
EACH TERM OF OFFICE OCCUPATIONS COMPLEX(1) HELD OUTSIDE
NAME, CONTACT ADDRESS JPMORGAN AND LENGTH OF DURING PAST OVERSEEN BY JPMORGAN FUND
AND YEAR OF BIRTH TRUST TIME SERVED 5 YEARS TRUSTEE COMPLEX
- ----------------------------------------------------------------------------------------------------------------------------------
NON-INTERESTED TRUSTEE(S)
William J. Armstrong; Trustee Trustee of Funds Retired; Vice 69 None
522 Fifth Avenue, that are series of President and
New York, NY 10036; JPMIF since 2001, Treasurer of
1941 Funds that are Ingersoll-Rand
series of MFSG since Company
1996 and Funds that (manufacturer of
are series of MFG industrial
since 1987. equipment)
(1972-2000)
Roland R. Eppley, Jr.; Trustee Trustee of Funds Retired 69 Director, Janel Hydro, Inc.
522 Fifth Avenue, that are series of (1993-Present)
New York, NY 10036; JPMIF since 2001,
1932 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 69 Director of Duke Energy
522 Fifth Avenue, Capital Corporation (1997-
New York, NY 10036; Cities/ABC, Inc. Present); Director of Elan
1945 (communications) Corporation, Plc
(1986-1998); (pharmaceuticals) (2001-
President of Present); Director of The
Diversified Phoenix Companies (wealth
Publishing Group management) (2002-Present)
(1991-1997)
Matthew Healey; Trustee and Trustee of Funds Retired; Chief 69 None
522 Fifth Avenue, President that are series of Executive Officer
New York, NY 10036; of the of JPMIF since 1992 of certain J.P.
1937 Board of and Funds that are Morgan Fund Trusts
Trustees series of MFG since (1982-2001)
2001 and MFSG since
2001.
Fergus Reid, III; Trustee and Trustee of Funds Chairman of 69 Trustee of 16 Morgan
522 Fifth Avenue, Chairman of that are series of Lumelite Stanley Funds (1995-
New York, NY 10036; the Board JPMIF since 2001, Corporation Present)
1932 of Trustees Funds that are (plastics
series of MFSG since manufacturing)
1996 and Funds that (1985-Present)
are series of MFG
since 1987.
</Table>
121
<Page>
<Table>
<Caption>
NUMBER OF
POSITIONS PORTFOLIOS IN OTHER
HELD WITH PRINCIPAL JPMORGAN FUND DIRECTORSHIPS
EACH TERM OF OFFICE OCCUPATIONS COMPLEX(1) HELD OUTSIDE
NAME, CONTACT ADDRESS JPMORGAN AND LENGTH OF DURING PAST OVERSEEN BY JPMORGAN FUND
AND YEAR OF BIRTH TRUST TIME SERVED 5 YEARS TRUSTEE COMPLEX
- ----------------------------------------------------------------------------------------------------------------------------------
NON-INTERESTED TRUSTEE(S)
(CONTINUED)
James J. Schonbachler; Trustee Since 2001 Retired; Managing 69 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 69 Director of Providian
522 Fifth Avenue, Administration of Financial Corp. (banking)
New York, NY 10036; the State of Rhode (2002- Present)
1945 Island
(2003-Present);
President -
Consumer Banking
and Investment
Services Fleet
Boston Financial
(1971-2002)
Dr. Matthew Goldstein; Trustee Since 2003 Chancellor of the 69 Trustee of the Albert
522 Fifth Avenue, City University of Einstein School of Medicine
New York, NY 10036; New York, since (1998- Present); Trustee of
1941 September 1, 1999; Bronx Lebanon Hospital
President, Adelphi Center (1992-Present);
University (New Director of New Plan Excel
York) (1998-1999). 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>
122
<Page>
<Table>
<Caption>
NUMBER OF
POSITIONS PORTFOLIOS IN OTHER
HELD WITH PRINCIPAL JPMORGAN FUND DIRECTORSHIPS
EACH TERM OF OFFICE OCCUPATIONS COMPLEX(1) HELD OUTSIDE
NAME, CONTACT ADDRESS JPMORGAN AND LENGTH OF DURING PAST OVERSEEN BY JPMORGAN FUND
AND YEAR OF BIRTH TRUST TIME SERVED 5 YEARS TRUSTEE COMPLEX
- ----------------------------------------------------------------------------------------------------------------------------------
William G. Morton, Jr.; Trustee Since 2003 Formerly Chairman 69 Director of Radio Shack
522 Fifth Avenue, Emeritus (March Corporation (electronics)
New York, NY 10036; 2001-October 2002), (1987-Present); Director
1937 and Chairman and of the Griswold
Chief Executive Company (securities
Officer, Boston brokerage) (2002-
Stock Exchange Present); Director of The
(June1985- National Football
March2001). 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 that Retired; Chief 69 Director of Glenview
522 Fifth Avenue, are series of JPMIF Executive Officer Trust; Director of Pizza
New York, NY 10036; since 2001, Funds of Chase Mutual Magia; Trustee of
1935 that are series of Funds (investment St. Catherine College
MFSG since 1996 and company) Trust; Trustee of
Funds that are series (1989-1998); Chief Bellarmine University
of MFG since 1998. Investment Trust; Director of
Executive of Chase Marion Washington
Manhattan Private Airport Board Trust;
Bank (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 13 investment companies.
123
<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
- --------------------------------------------------------------------------------------------------------------------------------
George Gatch; President Since 2001 Managing Director, J.P. Morgan Investment Management
522 Fifth Avenue, Inc. (JPMIM); Head of J.P. Morgan Fleming's U.S.
New York, NY 10036; Mutual Funds and Financial Intermediaries Business
1962 ("FFI"); he has held numerous positions throughout
the firm in business management, marketing and sales.
Patricia A. Maleski; Treasurer Since 2003 Vice President, JPMIM; Head of FFI and U.S.
522 Fifth Avenue, Institutional Funds Administration and Board
New York, NY 10036; Liaison. Prior to joining J.P. Morgan Chase in 2001,
1960 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, JPMIM; since joining J.P. Morgan
522 Fifth Avenue, Chase in 1996, she has held numerous positions
New York, NY 10036; throughout the asset management business in mutual
1959 funds marketing, legal and product development.
Stephen M. Ungerman; Vice President and Since 2001 Vice President, JPMIM; Business Head for Vehicle
522 Fifth Avenue, Assistant Treasurer Services Group within Fund Administration; prior to
New York, NY 10036; joining J.P. Morgan Chase in 2000, he held a number
1953 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.
Judy R. Bartlett; Vice President and Since 2001 Vice President and Assistant General Counsel, JPMIM,
522 Fifth Avenue, Assistant Secretary since September2000; from August1998 through
New York, NY 10036; August2000, she was an attorney at New York Life
1965 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, JPMIM.
522 Fifth Avenue, Assistant Secretary
New York, NY 10036;
1965
Wayne H. Chan; Vice President and Since 2003 Vice President and Assistant General Counsel, JPMIM,
522 Fifth Avenue, Assistant Secretary since September2002; Mr.Chan was an associate at the
New York, NY 10036; law firm of Shearman and Sterling LLP from May2001
1965 through September2002; Swidler Berlin Shereff
Friedman LLP from June1999 through May2001 and
Whitman Breed Abbott & Morgan LLP from September1997
through May1999.
Thomas J. Smith Vice President and Since 2002 Managing Director, Head of Compliance for J.P.
522 Fifth Avenue, Assistant Secretary Morgan Chase& Co.'s asset management business in the
New York, NY 10036; Americas.
1955
</Table>
124
<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
Paul M. DeRusso Assistant Treasurer Since 2001 Vice President, JPMIM; Manger of the Budgeting and
522 Fifth Avenue, Expense Group of Funds Administration Group.
New York, NY 10036;
1954
Lai Ming Fung Assistant Treasurer Since 2001 Associate, JPMIM; Budgeting Analyst for the Budgeting
522 Fifth Avenue, and Expense Group of Funds Administration Group.
New York, NY 10036;
1974
Mary D. Squires Assistant Treasurer Since 2001 Vice President, JPMIM; Ms. Squires has held numerous
522 Fifth Avenue, financial and operations positions supporting the
New York, NY 10036; J.P. Morgan Chase organization complex.
1955
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
Columbus, OH 43219 Manager of Northern Trust Company and Accounting
1966 Supervisor at 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,
3435 Stelzer Rd. Inc.; formerly, Supervisor of the Blue Sky Department
Columbus, OH 43219 of Alliance Capital Management, L.P.
1967
Ryan M. Louvar; Assistant Secretary Since 2003 Counsel of Legal Services, BISYS Fund Services, Inc.
60 State Street, since 2000; formerly Attorney at Hill, Farrer & Burrill
Suite 1300 Boston, LLP from 1999 to 2000 and Knapp Peterson Clarke, PC
MA 02109; from 1997 to 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.
125
<Page>
TAX LETTER (UNAUDITED)
JPMORGAN DYNAMIC SMALL CAP FUND ("DSCF")
JPMORGAN MID CAP EQUITY FUND ("MCEF")
JPMORGAN MID CAP GROWTH FUND ("MCGF")
JPMORGAN MID CAP VALUE FUND ("MCVF")
JPMORGAN SMALL CAP EQUITY FUND ("SCEF")
JPMORGAN SMALL CAP GROWTH FUND ("SCGF")
JPMORGAN TRUST SMALL CAP EQUITY FUND ("TSCEF")
JPMORGAN U.S. SMALL COMPANY FUND ("USSCF")
JPMORGAN U.S. SMALL COMPANY OPPORTUNITIES FUND ("USSCOF")
Certain tax information for the JPMorgan Funds is required to be provided to
shareholders based upon the Funds' income and distributions for the taxable year
ended December 31, 2003. The information and distributions reported in this
letter may differ from the information and taxable distributions reported 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.
The following represents the percentage of ordinary income distributions
eligible for dividends received deduction and the dollar amount of long-term
capital gains distributed by the Funds for the fiscal year ended December 31,
2003:
<Table>
<Caption>
DIVIDENDS LONG-TERM
RECEIVED CAPITAL GAINS
DEDUCTION DISTRIBUTION
FUND
MCEF 55.63% $ 2,968,577
MCGF -- 301,756
MCVF 78.53% --
TSCEF 100.00% 5,847,675
USSCF 100.00% --
</Table>
For the fiscal year ended December 31, 2003, certain dividends paid by the Fund
may be subject to a maximum tax rate of 15% as provided for by the Jobs and
Growth Tax Relief Reconciliation Act of 2003. The Fund intends to designate the
maximum amount allowable as taxed at a maximum rate of 15%. Complete information
will be reported in conjunction with your 2003 Form 1099-DIV.
For the fiscal year ended December 31, 2003, the following represents the
percentage of ordinary income distributions treated as qualified dividends:
<Table>
<Caption>
PERCENTAGE OF
DISTRIBUTIONS
FUND
MCEF 58.55%
MCVF 74.79%
TSCEF 100.00%
USSCF 100.00%
</Table>
126
<Page>
JPMORGAN FAMILY OF FUNDS
U.S. EQUITY FUNDS
CAPITAL GROWTH FUND
DISCIPLINED EQUITY 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.
127
<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 yourJPMorgan 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., 2004 All rights reserved.
February 2004. AN-SMC-1203
<Page>
ITEM 2. CODE OF ETHICS.
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 OF AUDIT COMMITTEE FINANCIAL EXPERT
DETERMINATIONS.
(3) If the registrant provides the disclosure required by paragraph
(a)(1)(ii) of this Item, it must explain why it does not have an
audit committee financial expert.
NOT APPLICABLE.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
(a) AUDIT FEES. The aggregate fees billed for each of the last two fiscal years
(the "Reporting Periods") for professional services rendered by the Registrant's
principal accountant (the "Auditor") for the audit of the Registrant's annual
financial statements, or services that are normally provided by the Auditor in
connection with the statutory and regulatory filings or engagements for the
Reporting Periods, were $169,713 in 2002 and $229,928 in 2003.
(b) AUDIT-RELATED FEES. There were no audit-related fees for the Registrant
during the Reporting Periods.
The aggregate fees billed in the Reporting Periods for assurance and related
services by the Auditor 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 investment adviser
that provides ongoing services to the Registrant ("Service Affiliates"), that
were reasonably related to the performance of the annual audit of the Service
Affiliates, which required pre-approval by the Audit Committee were $8,277,000
from May 6, 2003 to December 31, 2003 (prior to May 6, 2003 services provided by
the Auditor were not required to be pre-approved).
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(c) TAX FEES. The aggregate fees billed to the Registrant in the Reporting
Periods for professional services rendered by the Auditor for tax compliance,
tax advice and tax planning ("Tax Services") were $30,480 in 2002 and $33,600 in
2003. These services consisted of review or preparation of U.S. federal, state,
local and excise tax returns.
There were no fees billed for Tax Services by the Auditor to Service Affiliates
which required pre-approval by the Audit Committee for the period May 6, 2003
through December 31, 2003.
(d) ALL OTHER FEES. There were no other fees billed in the Reporting Periods for
products and services provided by the Auditor to the Registrant, or services
provided to Service Affiliates which were required to be pre-approved on or
after May 6, 2003 until December 31, 2003, other than the services reported
above.
(E) AUDIT COMMITTEE PRE-APPROVAL POLICIES AND PROCEDURES. In addition to
pre-approving any services to be provided by the Auditor to the Registrant, the
Audit Committee considers and approves any non-audit services to be provided to
the Service Affiliates by the Auditor and the fees to be charged for such
non-audit services. Pre-approval considerations include whether the proposed
services are compatible with maintaining the Auditor's independence. The
Chairman of the Audit Committee has been given the authority to pre-approve
permissible non-audit services.
(G) NON-AUDIT FEES. The aggregate non-audit fees billed by the Auditor for
services rendered to the Registrant, and rendered to Service Affiliates, for the
Reporting Periods were $46.4 million in 2002 and $28.3 million in 2003.
(H) AUDITOR INDEPENDENCE. The Registrant's Audit Committee has considered
whether the provision of non-audit services that were rendered to Service
Affiliates that were not pre-approved (not requiring pre-approval) is compatible
with maintaining the Auditor's independence. All services provided by the
Auditor to the Registrant or to Service Affiliates that were required to be
pre-approved were pre-approved as required.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
(a) If the registrant is a listed issuer as defined in Rule 10A-3 under
the Exchange Act (17CFR 240.10A-3), state whether or not the
registrant has a separately-designated standing audit committee
established in accordance with Section 3(a)(58)(A) of the Exchange
Act (15 U.S.C. 78c(a)(58)(A)). If the registrant has such a
committee, however designated, identify each committee member. If
the entire board of directors is acting as the registrant's audit
committee as specified in Section 3(a)(58)(B) of the Exchange Act
(15 U.S.C. 78c(a)(58)(B)), so state.
(b) If applicable, provide the disclosure required by Rule 10A-3(d)
under the Exchange Act (17CFR 240.10A-3(d)) regarding an exemption
from the listing standards for all audit committees.
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. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT
COMPANY AND AFFILIATED PURCHASERS.
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(a) If the registrant is a closed-end management investment company,
provide the information specified in paragraph (b) of this Item with
respect to any purchase made by or on behalf of the registrant or any
"affiliated purchaser," as defined in Rule 10b-18(a)(3) under the
Exchange Act (17 CFR 240.10b-18(a)(3)), of shares or other units of any
class of the registrant's equity securities that is registered by the
registrant pursuant to Section 12 of the Exchange Act (15 U.S.C. 781).
NOT APPLICABLE.
ITEM 9. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
Describe any material changes to the procedures by which shareholders
may recommend nominees to the registrant's board of directors, where
those changes were implemented after the registrant last provided
disclosure in response to the requirements of Item 7(d)(2)(ii)(G) of
Schedule 14A (17 CFR 240.14a-101), or this Item.
NOT APPLICABLE.
ITEM 10. CONTROLS AND PROCEDURES.
(a) Disclose the conclusions of the registrant's principal executive and
principal financial officers, or persons performing similar functions, regarding
the effectiveness of the registrant's disclosure controls and procedures (as
defined in Rule 30a-3(c) under the Act (17 CFR 270.30a-3(c))) as of a date
within 90 days of the filing date of the report that includes the disclosure
required by this paragraph, based on the evaluation of these controls and
procedures required by Rule 30a-3(b) under the Act (17 CFR 270.30a-3(b)) and
Rules 13a-15(b) or 15d-15(b) under the Exchange Act (17 CFR 240.13a-15(b) or
240.15d-15(b)).
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.
(b) Disclose any change in the registrant's internal control over
financial reporting (as defined in Rule 30a-3(d) under the Act (17 CFR
270.30a-3(d)) that occurred during the registrant's last fiscal half-year (the
registrant's second fiscal half-year in the case of an annual report) that has
materially affected, or is reasonably likely to materially affect, the
registrant's internal control over financial reporting.
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 11. 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.
(a)(3) Any written solicitation to purchase securities under Rule 23c-1
under the Act (17 CFR 270.23c-1) sent or given during the period covered by the
report by or on behalf of the registrant to 10 or more persons.
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NOT APPLICABLE.
(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 Institutional Funds
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By (Signature and Title)* /s/ Patricia A. Maleski
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Patricia A. Maleski, Treasurer
Date March 5, 2004
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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
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Patricia A. Maleski, Treasurer
Date March 5, 2004
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By (Signature and Title)* /s/ George C.W. Gatch
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George C.W. Gatch, President
Date March 5, 2004
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* Print the name and title of each signing officer under his or her signature.