<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 811-05151
---------------------------------------------
J.P. Morgan Mutual Fund Group
- -------------------------------------------------------------------------------
(Exact name of registrant as specified in charter)
522 Fifth Avenue, New York, NY 10036
- -------------------------------------------------------------------------------
(Address of principal executive offices) (Zip code)
BISYS Fund Services, 3435 Stelzer Road, Columbus, OH 43219
- -------------------------------------------------------------------------------
(Name and address of agent for service)
Registrant's telephone number, including area code: 1-800-348-4782
----------------------------
Date of fiscal year end: 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
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>
JPMORGAN FUNDS
ANNUAL REPORT
DECEMBER 31 2003
U.S. EQUITY FUNDS
CAPITAL GROWTH 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
JPMorgan Capital Growth Fund
Fund Commentary 3
Portfolio of Investments 6
Financial Statements 9
Notes to Financial Statements 14
Financial Highlights 25
</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 CAPITAL GROWTH FUND
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 Capital Growth
Fund. 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.
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
<Page>
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,
/s/ George C.W. Gatch
George C.W. Gatch
President
JPMorgan Funds
2
<Page>
JPMORGAN CAPITAL GROWTH FUND
AS OF DECEMBER 31, 2003 (Unaudited)
FUND FACTS
Fund Inception 9/23/1987
Fiscal Year End DECEMBER 31
Net Assets as of 12/31/2003
(In Millions) $480.5
Primary Benchmark RUSSELL MIDCAP
GROWTH INDEX
Q. HOW DID THE FUND PERFORM?
A. JPMorgan Capital Growth Fund (Class A Shares without sales charge), which
seeks to provide capital growth over the long term, rose 36.10% during the
year ended December 31, 2003. This compares with a gain of 42.7% for the
Russell Midcap(R) Growth Index, the Fund's benchmark.
Q. WHY DID THE FUND PERFORM 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 Pepsi Cola Bottling, a manufacturer and
distributor of Pepsi-Cola beverages, and Brinker International, operator of
Chili's Grill & Bar and other restaurant chains. Shares of Pepsi Cola
Bottling declined after management cut its 2003 earnings forecast, as severe
weather earlier in the year negatively impacted sales. Shares of Brinker
International declined as investor sentiment turned negative due to rising
industry costs and adverse weather conditions earlier in the year. 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, Office Depot and Costco Wholesale.
3
<Page>
[CHART]
PERCENTAGE OF PORTFOLIO INVESTMENTS
<Table>
Technology 39.2%
Consumer Goods & Services 25.3%
Health Services & Systems 10.5%
Pharmaceuticals 7.3%
Finance & Insurance 6.7%
Energy 5.1%
Industrial Products & Services 2.7%
Telecommunications 2.3%
Short-Term Investments 0.9%
</Table>
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO
<Table>
1. Omnicare, Inc. 1.7%
2. Zimmer Holdings, Inc. 1.6%
3. NBTY, Inc. 1.6%
4. Vishay Intertechnology, Inc. 1.6%
5. T. Rowe Price Group, Inc. 1.6%
6. Medicis Pharmaceutical
Corp., Class A 1.6%
7. Dollar General Corp. 1.5%
8. Amphenol Corp., Class A 1.5%
9. KLA-Tencor Corp. 1.5%
10.Fairmont Hotels &
Resorts, Inc. (Canada) 1.4%
</Table>
Top 10 equity holdings comprised 15.6% of the Portfolio's market value of
investments ($74,675 in thousands). As of December 31, 2003, the Fund held 104
equity holdings. Portfolio holdings are subject to change at any time.
4
<Page>
AVERAGE ANNUAL TOTAL RETURNS
<Table>
<Caption>
1 YEAR 3 YEARS 5 YEARS 10 YEARS
- ---------------------------------------------------------------------------------------------
CLASS A SHARES
Without Sales Charge 36.10% (2.21%) 3.78% 8.91%
With Sales Charge* 28.30% (4.12%) 2.56% 8.27%
CLASS B SHARES
Without CDSC 35.37% (2.70%) 3.26% 8.48%
With CDSC** 30.37% (3.63%) 2.95% 8.48%
CLASS C SHARES
Without CDSC 35.17% (2.76%) 3.24% 8.27%
With CDSC*** 34.17% (2.76%) 3.24% 8.27%
SELECT SHARES 36.64% (1.67%) 4.29% 9.30%
</Table>
* Sales Charge for Class A Shares is 5.75%.
** Assumes 5% CDSC (contingent deferred sales charge) for the one year period,
3% CDSC for the three year period, 2% CDSC for the five year period and 0%
for the ten year period.
*** Assumes a 1% CDSC for the one year period and 0% CDSC thereafter.
[CHART]
TEN YEAR FUND PERFORMANCE (12/31/93 TO 12/31/03)
<Table>
<Caption>
JPMORGAN CAPITAL GROWTH FUND LIPPER MID-CAP
(CLASS A SHARES) RUSSELL MIDCAP GROWTH INDEX GROWTH FUNDS INDEX
Dec-1993 $ 9,425 $ 10,000 $ 10,000
Jan-1994 $ 9,654 $ 10,257 $ 10,246
Feb-1994 $ 9,645 $ 10,169 $ 10,208
Mar-1994 $ 9,297 $ 9,690 $ 9,508
Apr-1994 $ 9,369 $ 9,667 $ 9,430
May-1994 $ 9,277 $ 9,681 $ 9,243
Jun-1994 $ 9,019 $ 9,265 $ 8,772
Jul-1994 $ 9,218 $ 9,521 $ 8,993
Aug-1994 $ 9,647 $ 10,089 $ 9,728
Sep-1994 $ 9,603 $ 9,922 $ 9,798
Oct-1994 $ 9,570 $ 10,094 $ 10,127
Nov-1994 $ 9,138 $ 9,649 $ 9,755
Dec-1994 $ 9,302 $ 9,784 $ 10,000
Jan-1995 $ 9,238 $ 9,901 $ 9,866
Feb-1995 $ 9,643 $ 10,428 $ 10,327
Mar-1995 $ 9,957 $ 10,842 $ 10,688
Apr-1995 $ 10,045 $ 10,933 $ 10,759
May-1995 $ 10,249 $ 11,203 $ 10,929
Jun-1995 $ 10,497 $ 11,713 $ 11,824
Jul-1995 $ 11,106 $ 12,450 $ 12,823
Aug-1995 $ 11,155 $ 12,587 $ 13,038
Sep-1995 $ 11,265 $ 12,867 $ 13,549
Oct-1995 $ 10,898 $ 12,542 $ 13,282
Nov-1995 $ 11,225 $ 13,103 $ 13,787
Dec-1995 $ 11,370 $ 13,109 $ 13,918
Jan-1996 $ 11,501 $ 13,341 $ 13,825
Feb-1996 $ 11,805 $ 13,845 $ 14,415
Mar-1996 $ 12,069 $ 13,955 $ 14,752
Apr-1996 $ 12,472 $ 14,629 $ 16,017
May-1996 $ 12,710 $ 14,927 $ 16,648
Jun-1996 $ 12,319 $ 14,476 $ 15,920
Jul-1996 $ 11,653 $ 13,353 $ 14,179
Aug-1996 $ 12,357 $ 14,075 $ 15,097
Sep-1996 $ 13,102 $ 14,969 $ 16,122
Oct-1996 $ 13,239 $ 14,794 $ 15,518
Nov-1996 $ 14,002 $ 15,665 $ 15,873
Dec-1996 $ 14,121 $ 15,402 $ 15,792
Jan-1997 $ 14,596 $ 16,085 $ 16,197
Feb-1997 $ 14,243 $ 15,731 $ 15,119
Mar-1997 $ 13,625 $ 14,842 $ 13,969
Apr-1997 $ 13,864 $ 15,206 $ 13,847
May-1997 $ 14,871 $ 16,568 $ 15,650
Jun-1997 $ 15,452 $ 17,027 $ 16,309
Jul-1997 $ 16,505 $ 18,656 $ 17,306
Aug-1997 $ 16,477 $ 18,474 $ 17,257
Sep-1997 $ 17,218 $ 19,408 $ 18,493
Oct-1997 $ 16,741 $ 18,436 $ 17,457
Nov-1997 $ 17,078 $ 18,630 $ 17,178
Dec-1997 $ 17,421 $ 18,874 $ 17,580
Jan-1998 $ 17,282 $ 18,534 $ 17,248
Feb-1998 $ 18,789 $ 20,276 $ 18,712
Mar-1998 $ 19,749 $ 21,126 $ 19,681
Apr-1998 $ 19,980 $ 21,413 $ 19,766
May-1998 $ 19,081 $ 20,533 $ 18,613
Jun-1998 $ 19,464 $ 21,114 $ 19,470
Jul-1998 $ 18,440 $ 20,210 $ 18,173
Aug-1998 $ 14,903 $ 16,352 $ 14,255
Sep-1998 $ 15,655 $ 17,588 $ 15,742
Oct-1998 $ 16,473 $ 18,883 $ 16,321
Nov-1998 $ 16,961 $ 20,156 $ 17,561
Dec-1998 $ 18,386 $ 22,244 $ 19,827
Jan-1999 $ 18,114 $ 22,911 $ 20,810
Feb-1999 $ 17,244 $ 21,791 $ 19,193
Mar-1999 $ 17,394 $ 23,004 $ 20,562
Apr-1999 $ 18,370 $ 24,053 $ 21,405
May-1999 $ 18,374 $ 23,743 $ 21,315
Jun-1999 $ 19,143 $ 25,400 $ 23,033
Jul-1999 $ 18,862 $ 24,593 $ 22,717
Aug-1999 $ 18,294 $ 24,337 $ 22,601
Sep-1999 $ 18,175 $ 24,130 $ 23,261
Oct-1999 $ 18,830 $ 25,995 $ 25,318
Nov-1999 $ 19,479 $ 28,688 $ 28,493
Dec-1999 $ 20,732 $ 33,657 $ 34,436
Jan-2000 $ 19,753 $ 33,651 $ 33,844
Feb-2000 $ 21,069 $ 40,724 $ 42,325
Mar-2000 $ 22,622 $ 40,765 $ 39,345
Apr-2000 $ 22,434 $ 36,806 $ 34,156
May-2000 $ 21,474 $ 34,123 $ 31,085
Jun-2000 $ 22,032 $ 37,744 $ 35,916
Jul-2000 $ 21,933 $ 35,354 $ 34,425
Aug-2000 $ 24,389 $ 40,686 $ 38,928
Sep-2000 $ 23,880 $ 38,696 $ 37,056
Oct-2000 $ 23,686 $ 36,050 $ 34,058
Nov-2000 $ 21,763 $ 28,216 $ 26,936
Dec-2000 $ 23,667 $ 29,703 $ 28,878
Jan-2001 $ 23,814 $ 31,399 $ 29,271
Feb-2001 $ 22,609 $ 25,967 $ 24,881
Mar-2001 $ 20,940 $ 22,251 $ 22,241
Apr-2001 $ 22,630 $ 25,960 $ 25,172
May-2001 $ 23,053 $ 25,838 $ 25,378
Jun-2001 $ 22,862 $ 25,851 $ 25,279
Jul-2001 $ 22,478 $ 24,109 $ 23,950
Aug-2001 $ 21,756 $ 22,361 $ 22,345
Sep-2001 $ 19,289 $ 18,665 $ 19,123
Oct-2001 $ 19,932 $ 20,626 $ 20,188
Nov-2001 $ 21,221 $ 22,848 $ 21,846
Dec-2001 $ 22,596 $ 23,716 $ 22,794
Jan-2002 $ 21,914 $ 22,945 $ 21,923
Feb-2002 $ 20,612 $ 21,644 $ 20,833
Mar-2002 $ 21,977 $ 23,296 $ 22,146
Apr-2002 $ 21,221 $ 22,063 $ 21,411
May-2002 $ 20,578 $ 21,406 $ 20,696
Jun-2002 $ 18,695 $ 19,043 $ 18,837
Jul-2002 $ 16,867 $ 17,192 $ 16,806
Aug-2002 $ 16,548 $ 17,132 $ 16,606
Sep-2002 $ 15,371 $ 15,770 $ 15,575
Oct-2002 $ 16,383 $ 16,992 $ 16,360
Nov-2002 $ 17,117 $ 18,322 $ 17,332
Dec-2002 $ 16,259 $ 17,216 $ 16,308
Jan-2003 $ 16,038 $ 17,047 $ 16,066
Feb-2003 $ 15,629 $ 16,899 $ 15,819
Mar-2003 $ 16,021 $ 17,213 $ 16,045
Apr-2003 $ 16,896 $ 18,385 $ 17,170
May-2003 $ 18,351 $ 20,154 $ 18,590
Jun-2003 $ 18,692 $ 20,442 $ 18,882
Jul-2003 $ 19,318 $ 21,172 $ 19,626
Aug-2003 $ 20,251 $ 22,338 $ 20,591
Sep-2003 $ 19,615 $ 21,905 $ 19,899
Oct-2003 $ 21,293 $ 23,670 $ 21,459
Nov-2003 $ 21,850 $ 24,305 $ 21,970
Dec-2003 $ 22,132 $ 24,570 $ 22,082
</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 9/23/87.
Returns for the Select Shares prior to 1/25/96 (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 11/4/93 (offering date of the Class B
Shares) are calculated using the historical expenses of the Class A Shares,
which are lower than the expenses of the Class B Shares.
Returns for the Class C Shares prior to 1/2/98 (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
AShares of the JPMorgan Capital Growth Fund, Russell MidCap Growth Index, and
Lipper Mid-Cap Growth Funds Index from December 31, 1993 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 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 financial 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.
5
<Page>
JPMORGAN CAPITAL GROWTH FUND
PORTFOLIO OF INVESTMENTS AS OF DECEMBER 31, 2003
(Amounts in thousands)
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------
LONG-TERM INVESTMENTS - 99.1%
COMMON STOCKS -- 99.1%
AIRLINES -- 1.0%
271 SkyWest, Inc. $ 4,902
AUTOMOTIVE -- 1.1%
58 Polaris Industries, Inc. (l) 5,102
BANKING -- 3.7%
121 BOK Financial Corp. * (l) 4,687
88 Commerce Bancorp, Inc. 4,615
48 M&T Bank Corp. 4,728
68 TCF Financial Corp. 3,476
-------------------------------------------------------------------
17,506
-------------------------------------------------------------------
BIOTECHNOLOGY -- 2.8%
174 Biogen Idec, Inc. * 6,412
53 Gilead Sciences, Inc. * 3,076
98 ICOS Corp. * (l) 4,037
-------------------------------------------------------------------
13,525
-------------------------------------------------------------------
BROADCASTING/CABLE -- 1.1%
131 Univision Communications, Inc.,
Class A * (l) 5,180
BUSINESS SERVICES -- 6.4%
204 Accenture LTD (Bermuda), Class A * 5,357
86 Affiliated Computer Services, Inc., Class A * 4,705
88 ChoicePoint, Inc. * 3,343
47 Cintas Corp. 2,380
73 Fair Isaac Corp. 3,603
80 Hewitt Associates, Inc., Class A * 2,389
127 Iron Mountain, Inc. * 5,006
65 Moody's Corp. 3,954
-------------------------------------------------------------------
30,737
-------------------------------------------------------------------
COMPUTER NETWORKS -- 2.4%
327 Juniper Networks, Inc. * 6,112
268 Network Appliance, Inc. * 5,493
-------------------------------------------------------------------
11,605
-------------------------------------------------------------------
COMPUTER SOFTWARE -- 8.3%
118 Adobe Systems, Inc. 4,626
73 Cognos, Inc. (Canada) * 2,244
200 Computer Associates International, Inc. 5,457
111 Electronic Arts, Inc. * $ 5,294
54 Intuit, Inc. * 2,873
75 Mercury Interactive Corp. * (l) 3,643
100 National Instruments Corp. 4,529
99 Synopsys, Inc. * 3,342
156 Take-Two Interactive Software, Inc. * 4,483
88 VERITAS Software Corp. * 3,255
-------------------------------------------------------------------
39,746
-------------------------------------------------------------------
COMPUTERS/COMPUTER HARDWARE -- 4.5%
183 Apple Computer, Inc. * 3,913
40 Lexmark International, Inc. * 3,153
334 Maxtor Corp. * 3,709
103 Tech Data Corp. * 4,086
98 Zebra Technologies Corp., Class A * 6,471
-------------------------------------------------------------------
21,332
-------------------------------------------------------------------
CONSTRUCTION -- 1.5%
8 Lennar Corp., B Shares 719
67 Lennar Corp., Class A 6,471
-------------------------------------------------------------------
7,190
-------------------------------------------------------------------
CONSUMER PRODUCTS -- 0.9%
269 Tempur-Pedic International, Inc. * 4,165
CONSUMER SERVICES -- 0.9%
148 Rent-A-Center, Inc. * 4,427
ELECTRONICS/ELECTRICAL EQUIPMENT -- 4.8%
112 Amphenol Corp., Class A * 7,176
111 Fisher Scientific International * 4,584
127 Jabil Circuit, Inc. * 3,603
333 Vishay Intertechnology, Inc. * (l) 7,634
-------------------------------------------------------------------
22,997
-------------------------------------------------------------------
ENTERTAINMENT/LEISURE -- 2.4%
169 International Game Technology 6,015
182 Station Casinos, Inc. 5,569
-------------------------------------------------------------------
11,584
-------------------------------------------------------------------
FINANCIAL SERVICES -- 2.2%
42 Legg Mason, Inc. 3,249
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
6
<Page>
ANNUAL REPORT DECEMBER 31 2003
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------
LONG-TERM INVESTMENTS - CONTINUED
FINANCIAL SERVICES -- CONTINUED
158 T. Rowe Price Group, Inc. $ 7,482
-------------------------------------------------------------------
10,731
-------------------------------------------------------------------
HEALTH CARE/HEALTH CARE SERVICES -- 10.5%
81 Anthem, Inc. * 6,090
158 Caremark Rx, Inc. * (l) 4,002
209 Health Management Associates, Inc.,
Class A 5,014
100 Laboratory Corp. of America Holdings * 3,691
198 Omnicare, Inc. 7,989
83 Renal Care Group, Inc. * 3,407
115 Steris Corp. * 2,592
59 Stryker Corp. 5,016
49 WellPoint Health Networks, Inc. * 4,733
112 Zimmer Holdings, Inc. * 7,864
-------------------------------------------------------------------
50,398
-------------------------------------------------------------------
HOTELS/OTHER LODGING -- 1.4%
252 Fairmont Hotels & Resorts, Inc. (Canada) 6,839
INSURANCE -- 0.8%
121 HCC Insurance Holdings, Inc. 3,859
INTERNET SERVICES/SOFTWARE -- 1.1%
75 CheckFree Corp. * (l) 2,063
135 Orbitz, Inc., Class A * (l) 3,127
-------------------------------------------------------------------
5,190
-------------------------------------------------------------------
MANUFACTURING -- 1.2%
135 Harsco Corp. 5,896
MULTI-MEDIA -- 0.7%
34 The E.W. Scripps Co., Class A 3,229
OIL & GAS -- 5.1%
131 FMC Technologies, Inc. * 3,049
75 Nabors Industries LTD (Barbados) * 3,121
76 Patterson-UTI Energy, Inc. * 2,502
142 Pioneer Natural Resources Co. * 4,535
164 Pride International, Inc. * 3,062
71 Talisman Energy, Inc. (Canada) 3,996
154 XTO Energy, Inc. $ 4,361
-------------------------------------------------------------------
24,626
-------------------------------------------------------------------
PHARMACEUTICALS -- 4.5%
104 Medicis Pharmaceutical Corp., Class A 7,422
165 Millennium Pharmaceuticals, Inc. * 3,077
286 NBTY, Inc. * 7,687
137 Sepracor, Inc. * 3,269
-------------------------------------------------------------------
21,455
-------------------------------------------------------------------
RESTAURANTS/FOOD SERVICES -- 3.8%
167 CBRL Group, Inc. 6,401
91 Outback Steakhouse, Inc. 4,028
101 Ruby Tuesday, Inc. 2,875
123 Wendy's International, Inc. 4,830
-------------------------------------------------------------------
18,134
-------------------------------------------------------------------
RETAILING -- 12.0%
64 Advanced Auto Parts, Inc. * 5,242
310 Big Lots, Inc. * 4,401
131 CarMax, Inc. * (l) 4,047
101 CDW Corp. 5,831
110 Chico's FAS, Inc. * 4,076
353 Dollar General Corp. 7,411
102 Fastenal Co. 5,094
269 Foot Locker, Inc. 6,301
185 PETsMART, Inc. 4,398
231 Staples, Inc. * 6,293
61 Whole Foods Market, Inc. * 4,078
-------------------------------------------------------------------
57,172
-------------------------------------------------------------------
SEMI-CONDUCTORS -- 10.0%
262 Altera Corp. * 5,945
121 Amkor Technology, Inc. * 2,202
162 Broadcom Corp., Class A * 5,536
89 Intersil Corp., Class A 2,204
122 KLA-Tencor Corp. * 7,170
106 Maxim Integrated Products, Inc. 5,259
247 MEMC Electronics Materials, Inc. * 2,378
121 Microchip Technology, Inc. 4,043
162 Novellus Systems, Inc. * 6,799
305 PMC-Sierra, Inc. * 6,138
-------------------------------------------------------------------
47,674
-------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
7
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------
LONG-TERM INVESTMENTS - CONTINUED
TELECOMMUNICATIONS -- 2.3%
190 Nextel Communications, Inc., Class A * (l) $ 5,329
409 Nextel Partners, Inc., Class A * (l) 5,503
-------------------------------------------------------------------
10,832
-------------------------------------------------------------------
TELECOMMUNICATIONS EQUIPMENT-- 1.7%
382 Corning, Inc. * 3,979
547 JDS Uniphase Corp. * 1,995
758 Lucent Technologies, Inc. * (l) 2,153
-------------------------------------------------------------------
8,127
-------------------------------------------------------------------
Total Common Stocks 474,160
(Cost $365,515)
-------------------------------------------------------------------
SHORT-TERM INVESTMENT -- 0.9%
MONEY MARKET FUND -- 0.9%
4,462 JPMorgan Prime Money Market Fund (a) $ 4,462
(Cost $4,462)
Total Investments -- 100.0% $ 478,622
(Cost $369,977)
COLLATERAL INVESTMENTS
MONEY MARKET FUNDS (c)
5,480 AIM Short Term Investment Co.
Fund-Liquid $ 5,480
5,480 Merrill Lynch Premier Fund 5,480
<Caption>
PRINCIPAL
AMOUNT
(USD)
- --------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCY SECURITY (c)
$ 9,984 Federal Home Loan Mortgage Corp.,
1.04%, 2/12/04 $ 9,985
-------------------------------------------------------------------
$ 20,945
-------------------------------------------------------------------
</Table>
Abbreviations
* -- Non-income producing security.
(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.
8
<Page>
JPMORGAN CAPITAL GROWTH FUND
STATEMENT OF ASSETS AND LIABILITIES AS OF DECEMBER 31, 2003
(Amounts in thousands, except per share amounts)
<Table>
ASSETS:
Investment securities, at value $ 478,622
Investments held as collateral for
securities lending program 20,945
Cash 11
Receivables:
Investment securities sold 3,009
Fund shares sold 168
Interest and dividends 94
Securities lending (net) 9
Expense reimbursements 1
- --------------------------------------------------------------------------------
Total Assets 502,859
- --------------------------------------------------------------------------------
LIABILITIES:
Payables:
Fund shares redeemed 394
Collateral for securities
lending program 20,945
Accrued liabilities:
Investment advisory fees 160
Administration fees 36
Shareholder servicing fees 99
Distribution fees 127
Custodian fees 3
Trustees' fees - deferred
compensation plan 180
Other 384
- --------------------------------------------------------------------------------
Total Liabilities 22,328
- --------------------------------------------------------------------------------
NET ASSETS $ 480,531
- --------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
9
<Page>
<Table>
NET ASSETS:
Paid in capital $ 373,044
Accumulated undistributed
(overdistributed) net investment income (180)
Accumulated net realized gain (loss)
on investments (978)
Net unrealized appreciation
(depreciation) of investments 108,645
- --------------------------------------------------------------------------------
Total Net Assets $ 480,531
- --------------------------------------------------------------------------------
Shares of beneficial interest outstanding
($0.001 par value; unlimited
number of shares authorized):
Class A 11,000
Class B 1,727
Class C 118
Select 87
Net Asset Value:
Class A (and redemption price) $ 37.47
Class B * $ 35.27
Class C * $ 34.81
Select (and redemption price) $ 38.95
Class A Maximum Public Offering
Price Per Share (net asset value per
share/94.25%) $ 39.76
- --------------------------------------------------------------------------------
Cost of investments $ 369,977
- --------------------------------------------------------------------------------
</Table>
* Redemption price may be reduced by contingent deferred sales charge.
SEE NOTES TO FINANCIAL STATEMENTS.
10
<Page>
ANNUAL REPORT DECEMBER 31 2003
STATEMENT OF OPERATIONS FOR THE PERIOD ENDED DECEMBER 31, 2003
(Amounts in thousands)
<Table>
INVESTMENT INCOME:
Dividend $ 1,128
Dividend income from affiliated
investments* 101
Securities lending (net) 54
Foreign taxes withheld (8)
- --------------------------------------------------------------------------------
Total investment income 1,275
- --------------------------------------------------------------------------------
EXPENSES:
Investment advisory fees 1,701
Administration fees 638
Shareholder servicing fees 1,063
Distribution fees 1,352
Custodian fees 4
Accounting fees 90
Printing and postage 83
Professional fees 74
Registration expenses 60
Transfer agent fees 1,407
Trustees' fees 6
Other 31
- --------------------------------------------------------------------------------
Total expenses 6,509
- --------------------------------------------------------------------------------
Less amounts waived 478
Less earnings credits --^
Less expense reimbursements 7
- --------------------------------------------------------------------------------
Net expenses 6,024
- --------------------------------------------------------------------------------
Net investment income (loss) (4,749)
- --------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
11
<Page>
<Table>
REALIZED AND UNREALIZED
GAIN (LOSS) ON INVESTMENTS:
Net realized gain (loss) on
transactions from:
Investments $ 25,812
Change in net unrealized
appreciation/depreciation of:
Investments 111,200
- --------------------------------------------------------------------------------
Net realized and unrealized gain (loss)
on investments 137,012
- --------------------------------------------------------------------------------
Net increase (decrease) in net assets
from operations $ 132,263
- --------------------------------------------------------------------------------
* Includes reimbursements of
investment advisory, administration
and shareholder servicing fees : $ 15
- --------------------------------------------------------------------------------
</Table>
^ Amount rounds to less than one thousand.
SEE NOTES TO FINANCIAL STATEMENTS.
12
<Page>
STATEMENT OF CHANGES IN NET ASSETS FOR THE PERIODS INDICATED
(Amounts in thousands)
<Table>
<Caption>
YEAR ENDED YEAR ENDED
12/31/03 12/31/02
INCREASE (DECREASE) IN NET
ASSETS FROM OPERATIONS:
Net investment income (loss) $ (4,749) $ (6,293)
Net realized gain (loss) on investments 25,812 (5,328)
Change in net unrealized appreciation
(depreciation) of investments 111,200 (165,106)
- --------------------------------------------------------------------------------
Increase (decrease) in net assets
from operations 132,263 (176,727)
- --------------------------------------------------------------------------------
DISTRIBUTIONS TO
SHAREHOLDERS FROM:
Net realized gain on investment
transactions (17,445) (3,963)
- --------------------------------------------------------------------------------
Total distributions to shareholders (17,445) (3,963)
- --------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS:
Increase (decrease) from capital
share transactions (28,774) (97,879)
- --------------------------------------------------------------------------------
Total increase (decrease) in
net assets 86,044 (278,569)
- --------------------------------------------------------------------------------
NET ASSETS:
Beginning of period 394,487 673,056
- --------------------------------------------------------------------------------
End of period $ 480,531 $ 394,487
- --------------------------------------------------------------------------------
Accumulated undistributed
(overdistributed) net
investment income $ (180) $ (207)
- --------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
13
<Page>
JPMORGAN CAPITAL GROWTH FUND
NOTES TO FINANCIAL STATEMENTS
1. ORGANIZATION
J.P. Morgan Mutual Fund Group ("JPMMFG" or "the Trust") was organized on May 11,
1987, as a Massachusetts business trust, and is registered under the Investment
Company Act of 1940, as amended, (the "1940 Act"), as an open-end management
investment company. JPMorgan Capital Growth Fund ("CGF") ("the Fund") is a
separate series of the Trust. The Fund offers Class A, Class B, Class C and
Select Shares.
JPMMFG was formerly named Mutual Fund Group. The name change went into effect on
May 1, 2003.
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 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 sales
charges have been waived, may be subject to redemption charges as described in
the Fund's prospectus.
2. REORGANIZATIONS
Prior to the open of business on March 24, 2003, CGF acquired all the net assets
of JPMorgan H&Q Technology Fund ("HQTF"). This reorganization was pursuant to
the Reorganization Plan approved by the HQTF's shareholders on February 13,
2003. The transactions were structured for tax purposes to qualify as tax-free
reorganizations under the Internal Revenue Code. Under the Reorganization Plan,
shareholders of the HQTF received shares in the CGF with a value equal to their
holdings in the HQTF.
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 CAPITAL GROWTH FUND REORGANIZATION
<Table>
<Caption>
NET ASSET NET UNREALIZED
SHARES VALUE APPRECIATION
OUTSTANDING NET ASSETS PER SHARE (DEPRECIATION)
TARGET FUND
JPMorgan H&Q Technology Fund $ (19)
Class A 1,025 $ 1,205 $ 1.18
Class B 833 $ 968 $ 1.16
Class C 233 $ 271 $ 1.16
ACQUIRING FUND
JPMorgan Capital Growth Fund $ 1,902
Class A 11,346 $ 330,493 $ 29.13
Class B 1,895 $ 52,299 $ 27.59
Class C 108 $ 2,941 $ 27.29
Select Class 78 $ 2,358 $ 30.14
POST REORGANIZATION
JPMorgan Capital Growth Fund $ 1,883
Class A 11,387 $ 331,698 $ 29.13
Class B 1,930 $ 53,267 $ 27.59
Class C 118 $ 3,212 $ 27.29
Select Class 78 $ 2,358 $ 30.14
</Table>
14
<Page>
ANNUAL REPORT DECEMBER 31 2003
3. SIGNIFICANT ACCOUNTING POLICIES
THE FOLLOWING IS A SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES FOLLOWED FUND:
The preparation of financial statements in accordance with accounting principles
generally accepted in the United States of America requires management to make
estimates and assumptions that affect the reported amounts and disclosures in
the financial statements. Actual results could differ from those estimates.
A. VALUATION OF INVESTMENTS -- Equity securities, 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 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. RESTRICTED AND ILLIQUID SECURITIES -- The 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.
C. SECURITIES ON LOAN -- 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 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
15
<Page>
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
$ 20,508 $ 20,945
</Table>
JPMCB as lending agent received a fee of $23 (amount in thousands) from the
Fund, which is equal to 0.06% of the average dollar value of loans of U.S.
securities outstanding during a given month and 0.1142% of the average dollar
value of loans on non-U.S. securities outstanding during a given month.
Risks of delay in recovery of securities or even loss of rights in the
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.
D. SECURITY TRANSACTIONS AND INVESTMENT INCOME -- Investment transactions are
accounted for on the trade date (the date the order to buy or sell is executed).
Securities gains and losses are calculated on the identified cost basis.
Interest income is determined on the basis of coupon interest accrued using the
interest method, adjusted for amortization of premiums and accretion of
discounts. Dividend income less foreign taxes withheld (if any) is recorded on
the ex-dividend date or when the Fund first learns of the dividend.
E. ALLOCATION OF INCOME AND EXPENSES -- Expenses directly attributable to a Fund
are charged to that Fund; other expenses of the Trust are allocated
proportionately among each of the Funds within the Trust in relation to the net
assets of each Fund or on another reasonable basis. Expenses directly
attributable to a particular class are charged directly to such class. In
calculating the net asset value per share of each class, investment income,
realized and unrealized gains and losses and expenses 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.
F. FEDERAL INCOME TAXES -- The Fund is treated as a separate taxable entity for
Federal income tax purposes. The Fund's policy is to comply with the provisions
of the Internal Revenue Code applicable to regulated investment companies and to
distribute to shareholders all of its distributable net investment income and
net realized gain on investments. In addition, the Fund intends to make
distributions as required to avoid excise taxes. Accordingly, no provision for
Federal income or excise tax is necessary.
G. FOREIGN TAXES -- The Fund may be subject to foreign taxes on income, gains on
investments or currency repatriation, a portion of which may be recoverable. The
Fund will accrue such taxes and recoveries as applicable, based upon its current
interpretation of tax rules and regulations that exist in the markets in which
it invests.
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
16
<Page>
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
UNDISTRIBUTED/ ACCUMULATED
(OVERDISTRIBUTED) NET REALIZED
NET INVESTMENT GAIN (LOSS)
PAID-IN CAPITAL INCOME ON INVESTMENTS
$ (2,660) $ 4,776 $ (2,116)
</Table>
The reclassifications for CGF relate primarily to the character for the tax
purposes of current year offset with net operating losses and the temporary
difference from the acquired fund.
I. 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 Fund. Prior to September 1, 2003,
J.P. Morgan Fleming Asset Management (USA) Inc. ("JPMFAM") served as the Fund's
advisor. 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 at a rate of 0.40% of
the Fund's average daily net assets.
The Fund may invest in one or more of the affiliated JPMorgan Money Market
Funds. The Advisor has agreed to reimburse its advisory fee from the Fund in an
amount sufficient to offset any doubling up of investment advisory,
administration and shareholder servicing fees related to the Fund's investment
in an affiliated money market fund.
B. DISTRIBUTION FEE -- Pursuant to a Distribution Agreement, J.P. Morgan Fund
Distributors, Inc. ("JPMFD" or "Distributor"), a wholly-owned subsidiary of The
BISYS Group, Inc., serves as the Trust's exclusive underwriter and promotes and
arranges for the sale of the Fund's shares. JPMFD receives no compensation in
its capacity as the Fund's underwriter.
The Trustees have adopted the Distribution Plan (the "Distribution Plan") for
Class A, B, and C Shares of the Fund in accordance with Rule 12b-1 under the
1940 Act. The Distribution Plan provides that the Fund shall pay distribution
fees, including payments to the Distributor, at annual rates of the average
daily net assets of 0.25% for Class A shares and 0.75% for both Class B and
Class C shares. In addition, JPMFD receives the contingent deferred sales charge
("CDSC") from redemptions of Class B and C shares.
C. SHAREHOLDER SERVICING FEE -- The Trust has 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. For
performing these services, JPMCB receives a fee that is computed daily and paid
monthly equal to 0.25% of the average daily net assets. JPMCB may enter into
services contracts with certain
17
<Page>
entities under which it will pay all or a portion of the 0.25% annual fee to
such entities for performing shareholdings and administrative services.
In addition, JPMCB, Charles Schwab & Co. ("Schwab"), and JPMMFG 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 Fund would be responsible for the ongoing payments to Schwab
with respect to pre-termination shares.
The Shareholder Servicing Agents waived fees as outlined in Note 4.F.
D. CUSTODIAN FEES -- JPMCB provides portfolio custody services for the Fund.
Compensation for such services is presented in the Statement of Operations as
Custodian fees. The custodian fees may be reduced by credits earned by the Fund,
based on the uninvested cash balances held by the custodian. Such earning
credits are presented separately in the Statement of Operations.
E. ADMINISTRATION FEE -- Pursuant to the Administration Agreement, JPMCB (the
"Administrator") provides certain administration services to the Fund. In
consideration of these services, the Administrator receives a fee computed daily
and paid monthly at the annual rate equal to 0.15% of the first $25 billion of
the average daily net assets of all non-money market funds in the JPMorgan Fund
Complex and 0.075% of the average daily net assets in excess of $25 billion.
BISYS Fund Services, L.P. ("BISYS") serves as the Fund's sub-administrator. For
its services as sub-administrator, BISYS receives a portion of the fees payable
to JPMCB as Administrator.
The Administrator has contractually agreed to reimburse the Fund to the extent
that total operating expenses (excluding interest, taxes, extraordinary expenses
and expenses related to the deferred compensation plan) exceed the percentages
of their respective average daily net assets of 1.35% for Class A shares, 1.85%
for both Class B and Class C shares, and 0.93% for Select Class shares.
The expense limitation percentages above are due to expire on April 30, 2005.
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
Fund's vendors waived fees and the Administrator contractually reimbursed
expenses as follows (amounts in thousands):
<Table>
<Caption>
CONTRACTUAL WAIVERS
-----------------------------------------------
SHAREHOLDER CONTRACTUAL
ADMINISTRATION SERVICING TOTAL REIMBURSEMENTS
$ 471 $ 7 $ 478 $ 7
</Table>
18
<Page>
G. OTHER -- Certain officers of the Trust are officers of J.P. Morgan Chase &
Co. or of BISYS or their subsidiaries.
During the period, the Fund may have purchased securities from an underwriting
syndicate in which the principal underwriter or members of the syndicate were
affiliated with the Advisor.
The Fund may use related party broker dealers. For the year ended December 31,
2003, the Fund did not purchase any securities from brokers/dealers affiliated
with JPMCB.
The SEC has granted an exemptive order permitting the Fund to engage in
principal transactions with J.P. Morgan Securities Inc., an affiliated broker,
involving taxable money market instruments subject to certain conditions.
5. CLASS SPECIFIC EXPENSES
The Fund's class specific expenses for the year ended December 31, 2003, are as
follows (amounts in thousands):
<Table>
<Caption>
SHAREHOLDER
SERVICING DISTRIBUTION TRANSFER AGENT
Class A $ 908 $ 908 $ 1,194
Class B 139 418 184
Class C 9 26 11
Select 7 -- 18
- ---------------------------------------------------------------------------------------
$ 1,063 $ 1,352 $ 1,407
- ---------------------------------------------------------------------------------------
</Table>
6. CLASS SPECIFIC DISTRIBUTIONS
The Fund's 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
Class A $ -- $ 14,844 $ -- $ 3,170
Class B -- 2,326 -- 739
Class C -- 157 -- 32
Select -- 118 -- 22
- ----------------------------------------------------------------------------------------------------
$ -- $ 17,445 $ -- $ 3,963
- ----------------------------------------------------------------------------------------------------
</Table>
19
<Page>
7. INVESTMENT TRANSACTIONS
For the year ended December 31, 2003, purchases and sales of investments
(excluding short-term investments) are 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
$ 285,879 $ 343,370 $ -- $ --
</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)
$ 370,725 $ 112,990 $ (5,093) $ 107,897
</Table>
The tax character of distributions paid during the year ended December 31, 2002
and December 31, 2003, respectively, are as follows:
<Table>
<Caption>
YEAR ORDINARY LONG-TERM TOTAL
ENDED INCOME CAPITAL GAIN DISTRIBUTIONS
December 31, 2003 $ -- $ 17,445 $ 17,445
December 31, 2002 604 3,359 3,963
</Table>
20
<Page>
At December 31, 2003, the components of net assets (excluding paid in capital)
on a tax basis are as follows:
<Table>
Current distributable
ordinary income $ --
Plus/Less: cumulative timing
differences (180)
Undistributed ordinary income
or overdistribution of
ordinary income $ (180)
Current distributable long-term
capital gain or tax basis
capital loss carryover (231)
Plus/Less: cumulative timing
differences --
Undistributed long-term gains/
accumulated capital loss (231)
Unrealized appreciation
(depreciation) $ 107,898
</Table>
The differences between book and tax basis unrealized appreciation
(depreciation) are primarily attributable to wash sales and allocation of tax
basis on "Master/Feeder" takedown. For the Fund, the cumulative timing
difference account primarily consists of Trustees' deferred compensation.
At December 31, 2003, the Fund had 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>
AMOUNT EXPIRATION DATE
$ 789* December 31, 2010
</Table>
* Acquired from JPMorgan H&Q Technology Fund. Utilization of this loss is
subject to an annual limitation prescribed by the Internal Revenue Code.
During the year ended December 31, 2003, the Fund utilized capital loss
carryovers of $6,204 (amount in thousands).
9. BANK BORROWINGS
Pursuant to a Line of Credit Agreement dated April 17, 2003, the Fund may borrow
money for temporary or emergency purposes. The Fund has entered into the
agreement, enabling it to participate with other JPMorgan Funds in a line of
credit with JPMCB, as administrative agent, and with a syndicate of banks, which
permits borrowings up to $250 million, collectively. Interest is charged to the
Fund based on its borrowings at an annual rate equal to the sum of the Federal
Funds Rate plus 0.50%. The Fund also pays a commitment fee of 0.09% per annum on
the average daily amount of the available commitment, which is allocated on a
pro-rata basis to the Fund. The commitment fee is included in Other expenses on
the Statement of Operations. This agreement will expire on April 15, 2004.
Prior to April 17, 2003, the Fund could borrow money for temporary or emergency
purposes. The Fund had entered into an agreement, enabling it to participate
with other JPMorgan Funds in an unsecured line of credit with a syndicate of
banks, which permitted borrowings up to $400 million, collectively. Interest was
charged to the Fund based on its borrowings at an annual rate equal to the sum
of the Federal Funds Rate plus 0.50%. The Fund also paid a commitment fee of
0.10% 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 Fund had no borrowings outstanding at December 31, 2003, nor at anytime
during the period then ended.
10. CONCENTRATIONS AND INDEMNIFICATIONS
From time to time, the Fund may have a concentration of several shareholders
which may be a related party, holding a significant percentage of shares
outstanding. Investment activities of these shareholders could have a material
impact on the Fund.
21
<Page>
In the normal course of business the Fund may enter into contracts that contain
a variety of representations which provide general indemnifications. The Fund's
maximum exposure under these arrangements is unknown, as this would involve
future claims that may be made against the Fund that have not yet occurred.
However, based on experience, the Fund can expect the risk of loss to be remote.
11. SUBSEQUENT 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.
22
<Page>
12. CAPITAL SHARE TRANSACTIONS
Capital share transactions were as follows for the periods presented (amounts in
thousands):
<Table>
<Caption>
YEAR ENDED YEAR ENDED
DECEMBER 31, 2003 DECEMBER 31, 2002
CLASS A SHARES
AMOUNT
Shares sold $ 43,360 $ 133,124
Shares issued in connection with
Fund Reorganization (Note 2) 1,205 --
Shares issued in reinvestment
of distributions 13,680 2,924
Shares redeemed (74,812) 159,892
- ------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ (16,567) $ (23,844)
- ------------------------------------------------------------------------------------
SHARES
Shares sold 1,403 3,798
Shares issued in connection with
Fund Reorganization (Note 2) 42 --
Shares issued in reinvestment
of distributions 381 99
Shares redeemed (2,353) (4,723)
- ------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding (527) (826)
- ------------------------------------------------------------------------------------
CLASS B SHARES
AMOUNT
Shares sold $ 7,960 $ 22,644
Shares issued in connection with
Fund Reorganization (Note 2) 968 --
Shares issued in reinvestment
of distributions 2,111 675
Shares redeemed (23,677) (97,037)
- ------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ (12,638) $ (73,718)
- ------------------------------------------------------------------------------------
SHARES
Shares sold 269 668
Shares issued in connection with
Fund Reorganization (Note 2) 35 --
Shares issued in reinvestment
of distributions 62 24
Shares redeemed (827) (2,940)
- ------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding (461) (2,248)
- ------------------------------------------------------------------------------------
</Table>
23
<Page>
<Table>
<Caption>
YEAR ENDED YEAR ENDED
DECEMBER 31, 2003 DECEMBER 31, 2002
CLASS C SHARES
AMOUNT
Shares sold $ 649 $ 705
Shares issued in connection with
Fund Reorganization (Note 2) 270 --
Shares issued in reinvestment
of distributions 107 23
Shares redeemed (966) (914)
- ------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ 60 $ (186)
- ------------------------------------------------------------------------------------
SHARES
Shares sold 21 21
Shares issued in connection with
Fund Reorganization (Note 2) 10 --
Shares issued in reinvestment
of distributions 3 1
Shares redeemed (32) (30)
- ------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding 2 (8)
- ------------------------------------------------------------------------------------
SELECT SHARES
AMOUNT
Shares sold $ 769 $ 948
Shares issued in connection with
Fund Reorganization (Note 2) -- --
Shares issued in reinvestment
of distributions 118 22
Shares redeemed (516) (1,101)
- ------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ 371 $ (131)
- ------------------------------------------------------------------------------------
SHARES
Shares sold 22 27
Shares issued in connection with
Fund Reorganization (Note 2) -- --
Shares issued in reinvestment
of distributions 3 1
Shares redeemed (16) (33)
- ------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding 9 (5)
- ------------------------------------------------------------------------------------
</Table>
24
<Page>
JPMORGAN CAPITAL GROWTH FUND
FINANCIAL HIGHLIGHTS
CLASS A
<Table>
<Caption>
YEAR YEAR 11/1/01 YEAR YEAR YEAR
ENDED ENDED THROUGH ENDED ENDED ENDED
12/31/03 12/31/02 12/31/01^ 10/31/01 10/31/00 10/31/99
PER SHARE OPERATING PERFORMANCE:
Net asset value, beginning of period $ 28.60 $ 40.10 $ 35.37 $ 47.91 $ 42.85 $ 41.22
- -----------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) (0.34)@ (0.38)@ (0.03) (0.19)@ (0.14)@ (0.20)@
Net gains or losses on securities
(both realized and unrealized) 10.61 (10.86) 4.76 (6.87) 10.11 5.75
- -----------------------------------------------------------------------------------------------------------------------
Total from investment operations 10.27 (11.24) 4.73 (7.06) 9.97 5.55
- -----------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS:
Distributions from capital gains 1.40 0.26 -- 5.48 4.91 3.92
- -----------------------------------------------------------------------------------------------------------------------
Total distributions 1.40 0.26 -- 5.48 4.91 3.92
- -----------------------------------------------------------------------------------------------------------------------
Net asset value, end of period $ 37.47 $ 28.60 $ 40.10 $ 35.37 $ 47.91 $ 42.85
- -----------------------------------------------------------------------------------------------------------------------
TOTAL RETURN(1)(a) 36.10% (28.04%) 13.37% (15.86%) 25.81% 14.30%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (millions) $ 412 $ 330 $ 495 $ 426 $ 523 $ 577
RATIOS TO AVERAGE NET ASSETS:#
Net expenses 1.35% 1.35% 1.35% 1.35% 1.35% 1.30%
Net investment income (loss) (1.05%) (1.13%) (0.40%) (0.47%) (0.32%) (0.48%)
Expenses without waivers,
reimbursements and earnings credits 1.46% 1.38% 1.35% 1.37% 1.35% 1.30%
Net investment income (loss) without
waivers, reimbursements
and earnings credits (1.16%) (1.16%) (0.40%) (0.49%) (0.32%) (0.48%)
PORTFOLIO TURNOVER RATE(a)~ 68% 93% 2% 43% 66% 86%
- -----------------------------------------------------------------------------------------------------------------------
</Table>
^ The fund changed its fiscal year end from October 31 to December 31.
@ Calculated based upon average shares outstanding.
(1) Total return figures do not include the effect of any front-end or deferred
sales load.
(a) Not annualized for periods less than one year.
# Short periods have been annualized.
~ The portfolio turnover rates disclosed prior to September 10, 2001 are
those of the Capital Growth Portfolio, of which the Fund invested all of
its investable assets.
SEE NOTES TO FINANCIAL STATEMENTS.
25
<Page>
CLASS B
<Table>
<Caption>
YEAR YEAR 11/1/01 YEAR YEAR YEAR
ENDED ENDED THROUGH ENDED ENDED ENDED
12/31/03 12/31/02 12/31/01^ 10/31/01 10/31/00 10/31/99
PER SHARE OPERATING PERFORMANCE:
Net asset value, beginning of period $ 27.13 $ 38.24 $ 33.75 $ 46.20 $ 41.67 $ 40.38
- -----------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) (0.48)@ (0.65)@ (0.06) (0.38)@ (0.35)@ (0.40)@
Net gains or losses on securities
(both realized and unrealized) 10.02 (10.20) 4.55 (6.59) 9.79 5.61
- -----------------------------------------------------------------------------------------------------------------------
Total from investment operations 9.54 (10.85) 4.49 (6.97) 9.44 5.21
- -----------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS:
Distributions from capital gains 1.40 0.26 -- 5.48 4.91 3.92
- -----------------------------------------------------------------------------------------------------------------------
Total distributions 1.40 0.26 -- 5.48 4.91 3.92
- -----------------------------------------------------------------------------------------------------------------------
Net asset value, end of period $ 35.27 $ 27.13 $ 38.24 $ 33.75 $ 46.20 $ 41.67
- -----------------------------------------------------------------------------------------------------------------------
TOTAL RETURN(1)(a) 35.37% (28.39%) 13.30% (16.30%) 25.21% 13.71%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (millions) $ 61 $ 59 $ 170 $ 164 $ 318 $338
RATIOS TO AVERAGE NET ASSETS:#
Net expenses 1.85% 1.85% 1.85% 1.85% 1.85% 1.80%
Net investment income (loss) (1.55%) (1.64%) (0.93%) (0.97%) (0.82%) (0.98%)
Expenses without waivers,
reimbursements and earnings credits 1.96% 1.89% 1.85% 1.87% 1.85% 1.80%
Net investment income (loss) without
waivers, reimbursements
and earnings credits (1.66%) (1.68%) (0.93%) (0.99%) (0.82%) (0.98%)
PORTFOLIO TURNOVER RATE(a)~ 68% 93% 2% 43% 66% 86%
- -----------------------------------------------------------------------------------------------------------------------
</Table>
^ The fund changed its fiscal year end from October 31 to December 31.
@ Calculated based upon average shares outstanding.
(1) Total return figures do not include the effect of any front-end or deferred
sales load.
(a) Not annualized for periods less than one year.
# Short periods have been annualized.
~ The portfolio turnover rates disclosed prior to September 10, 2001 are
those of the Capital Growth Portfolio, of which the Fund invested all of
its investable assets.
SEE NOTES TO FINANCIAL STATEMENTS.
26
<Page>
ANNUAL REPORT DECEMBER 31 2003
CLASS C
<Table>
<Caption>
YEAR YEAR 11/1/01 YEAR YEAR YEAR
ENDED ENDED THROUGH ENDED ENDED ENDED
12/31/03 12/31/02 12/31/01^ 10/31/01 10/31/00 10/31/99
PER SHARE OPERATING PERFORMANCE:
Net asset value, beginning of period $ 26.83 $ 37.82 $ 33.38 $ 45.76 $ 41.31 $ 40.03
- -----------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) (0.47)@ (0.53)@ (0.05) (0.37)@ (0.35)@ (0.39)@
Net gains or losses on securities
(both realized and unrealized) 9.85 (10.20) 4.49 (6.53) 9.71 5.59
- -----------------------------------------------------------------------------------------------------------------------
Total from investment operations 9.38 (10.73) 4.44 (6.90) 9.36 5.20
- -----------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS:
Distributions from capital gains 1.40 0.26 -- 5.48 4.91 3.92
- -----------------------------------------------------------------------------------------------------------------------
Total distributions 1.40 0.26 -- 5.48 4.91 3.92
- -----------------------------------------------------------------------------------------------------------------------
Net asset value, end of period $ 34.81 $ 26.83 $ 37.82 $ 33.38 $ 45.76 $ 41.31
- -----------------------------------------------------------------------------------------------------------------------
TOTAL RETURN(1)(a) 35.17% (28.39%) 13.30% (16.30%) 25.25% 13.81%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (millions) $ 4 $ 3 $ 5 $ 4 $ 5 $ 6
RATIOS TO AVERAGE NET ASSETS:#
Net expenses 1.85% 1.85% 1.85% 1.85% 1.85% 1.80%
Net investment income (loss) (1.55%) (1.63%) (0.91%) (0.97%) (0.82%) (0.97%)
Expenses without waivers,
reimbursements and earnings credits 1.96% 1.88% 1.85% 1.87% 1.85% 1.80%
Net investment income (loss)
without waivers, reimbursements
and earnings credits (1.66%) (1.66%) (0.91%) (0.99%) (0.82%) (0.97%)
PORTFOLIO TURNOVER RATE(a)~ 68% 93% 2% 43% 66% 86%
- -----------------------------------------------------------------------------------------------------------------------
</Table>
^ The fund changed its fiscal year end from October 31 to December 31.
@ Calculated based upon average shares outstanding.
(1) Total return figures do not include the effect of any front-end or deferred
sales load.
(a) Not annualized for periods less than one year.
# Short periods have been annualized.
~ The portfolio turnover rates disclosed prior to September 10, 2001 are
those of the Capital Growth Portfolio, of which the Fund invested all of
its investable assets.
SEE NOTES TO FINANCIAL STATEMENTS.
27
<Page>
SELECT CLASS SHARES
<Table>
<Caption>
YEAR YEAR 11/1/01 YEAR YEAR YEAR
ENDED ENDED THROUGH ENDED ENDED ENDED
12/31/03 12/31/02 12/31/01^ 10/31/01 10/31/00 10/31/99
PER SHARE OPERATING PERFORMANCE:
Net asset value, beginning of period $ 29.57 $ 41.26 $ 36.37 $ 48.76 $ 43.36 $ 41.53
- -----------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) (0.21)@ (0.24)@ 0.01 --+ 0.04@ (0.05)@
Net gains or losses on securities
(both realized and unrealized) 10.99 (11.19) 4.88 (6.91) 10.27 5.80
- -----------------------------------------------------------------------------------------------------------------------
Total from investment operations 10.78 (11.43) 4.89 (6.91) 10.31 5.75
- -----------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS:
Distributions from capital gains 1.40 0.26 -- 5.48 4.91 3.92
- -----------------------------------------------------------------------------------------------------------------------
Total distributions 1.40 0.26 -- 5.48 4.91 3.92
- -----------------------------------------------------------------------------------------------------------------------
Net asset value, end of period $ 38.95 $ 29.57 $ 41.26 $ 36.37 $ 48.76 $ 43.36
- -----------------------------------------------------------------------------------------------------------------------
TOTAL RETURN(a) 36.64% (27.71%) 13.45% (15.20%) 26.34% 14.71%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (millions) $ 4 $ 2 $ 3 $ 3 $ 15 $ 18
RATIOS TO AVERAGE NET ASSETS:#
Net expenses 0.93% 0.93% 0.93% 0.93% 0.94% 0.92%
Net investment income (loss) (0.63%) (0.71%) 0.01% (0.01%) 0.09% (0.11%)
Expenses without waivers,
reimbursements and earnings credits 1.54% 1.26% 2.06% 1.18% 1.06% 0.99%
Net investment income (loss)
without waivers, reimbursements
and earnings credits (1.24%) (1.04%) (1.12%) (0.26%) (0.03%) (0.18%)
PORTFOLIO TURNOVER RATE(a)~ 68% 93% 2% 43% 66% 86%
- -----------------------------------------------------------------------------------------------------------------------
</Table>
^ The fund changed its fiscal year end from October 31 to December 31.
@ Calculated based upon average shares outstanding.
+ Amount rounds to less than one cent per share.
(a) Not annualized for periods less than one year.
# Short periods have been annualized.
~ The portfolio turnover rates disclosed prior to September 10, 2001 are
those of the Capital Growth Portfolio, of which the Fund invested all of
its investable assets.
SEE NOTES TO FINANCIAL STATEMENTS.
28
<Page>
JPMORGAN CAPITAL GROWTH FUND
REPORT OF INDEPENDENT AUDITORS
TO THE TRUSTEES OF J.P. MORGAN MUTUAL FUND GROUP
AND SHAREHOLDERS OF JPMORGAN CAPITAL GROWTH FUND:
In our opinion, the accompanying statement of assets and liabilities, including
the portfolio of investments, and the related statements of operations and of
changes in net assets and the financial highlights present fairly, in all
material respects, the financial position of JPMorgan Capital Growth Fund (the
"Fund") at December 31, 2003, the results of its operations for the year then
ended, the changes in its 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 Fund's management;
our responsibility is to express an opinion on these financial statements based
on our audits. We conducted our audits of these financial statements in
accordance with auditing standards generally accepted in the United States of
America, which require that we plan and perform the audit to obtain reasonable
assurance about whether the financial statements are free of material
misstatement. An audit includes examining, on a test basis, evidence supporting
the amounts and disclosures in the financial statements, assessing the
accounting principles used and significant estimates made by management, and
evaluating the overall financial statement presentation. We believe that our
audits, which included confirmation of securities at December 31, 2003 by
correspondence with the custodian, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
New York, New York
February 24, 2004
29
<Page>
JPMORGAN CAPITAL GROWTH FUND
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 JPMORGAN AND LENGTH OF DURING PAST COMPLEX(1) JPMORGAN FUND
AND DATE OF BIRTH TRUST TIME SERVED 5 YEARS OVERSEEN BY TRUSTEE COMPLEX
- ----------------------------------------------------------------------------------------------------------------------------------
NON-INTERESTED TRUSTEE(S)
William J. Armstrong; Trustee Since 1987 Retired; Vice 69 None
522 Fifth Avenue, President and
New York, NY 10036; Treasurer of
1941 Ingersoll-Rand
Company (manufacturer
of industrial
equipment)
(1972-2000)
Roland R. Eppley, Jr.; Trustee Since 1989 Retired 69 Director, Janel Hydro,
522 Fifth Avenue, Inc. (automotive)
New York, NY 10036; (1993 - Present)
1932
Ann Maynard Gray; Trustee Since 2001 Vice President of 69 Director of Duke
522 Fifth Avenue, Capital Cities/ABC, Energy Corporation
New York, NY 10036; Inc. (communications) (1997 - Present);
1945 (1986-1998); Director of Elan
President of Corporation, Plc
Diversified (pharmaceuticals)
Publishing Group (2001 - Present);
(1991-1997) Director of The
Phoenix Companies
(wealth management)
(2002 - Present)
Matthew Healey; Trustee and Since 2001 Retired; Chief 69 None
522 Fifth Avenue, President of Executive Officer of
New York, NY 10036; the Board of certain J.P. Morgan
1937 Trustees Fund Trusts
(1982-2001)
Fergus Reid, III; Trustee and Since 1987 Chairman of Lumelite 69 Trustee of 16 Morgan
522 Fifth Avenue, Chairman of Corporation (plastics Stanley Funds (1995 -
New York, NY 10036; the Board of manufacturing) (1985 Present)
1932 Trustees - Present)
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>
30
<Page>
ANNUAL REPORT DECEMBER 31 2003
<Table>
<Caption>
POSITIONS NUMBER OF OTHER
HELD WITH PRINCIPAL PORTFOLIOS IN DIRECTORSHIPS
EACH TERM OF OFFICE OCCUPATIONS JPMORGAN FUND HELD OUTSIDE
NAME, CONTACT ADDRESS JPMORGAN AND LENGTH OF DURING PAST COMPLEX(1) JPMORGAN FUND
AND DATE OF BIRTH TRUST TIME SERVED 5 YEARS OVERSEEN 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 -
1941 September 1, 1999; Present); Trustee of
President, Adelphi Bronx Lebanon Hospital
University (New York) Center (1992 -
(1998-1999). Present); Director of
New Plan Excel Realty
Trust, Inc. (real
estate investment
trust) (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 Retired; Director of 69 Director of Providian
522 Fifth Avenue, Administration of the Financial Corp.
New York, NY 10036; State of Rhode Island (banking) (2002 -
1945 (2003); President - Present)
Consumer Banking and
Investment Services
Fleet Boston
Financial (1971-2002)
William G. Morton, Jr.; Trustee Since 2003 Formerly Chairman 69 Director of Radio
522 Fifth Avenue, Emeritus (March 2001 - Shack Corporation
New York, NY 10036; October 2002), and (electronics) (1987 -
1937 Chairman and Chief Present); Director of
Executive Officer, the Griswold Company
Boston Stock Exchange (securities brokerage)
(June 1985 - (2002 - Present);
March 2001). Director of The
National Football
Foundation and College
Hall of Fame (1994 -
Present); Trustee of
the Berklee College of
Music (1998 -
Present); Trustee of
the Stratton Mountain
School (2001-
Present).
</Table>
31
<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 JPMORGAN AND LENGTH OF DURING PAST COMPLEX(1) JPMORGAN FUND
AND DATE OF BIRTH TRUST TIME SERVED 5 YEARS OVERSEEN BY TRUSTEE COMPLEX
- ----------------------------------------------------------------------------------------------------------------------------------
INTERESTED TRUSTEE(S)
Leonard M. Spalding* Trustee Since 1998 Retired; Chief 69 Director of Glenview
522 Fifth Avenue, Executive Officer of Trust; Director of
New York, NY 10036; Chase Mutual Funds Pizza Magia; Trustee
1935 (investment company) of St. Catherine
(1989-1998); Chief College Trust; Trustee
Investment Executive of Bellarmine
of Chase Manhattan University Trust;
Private Bank Director of Marion
(investment Washington Airport
management) Board Trust; Director
(1990-1995) of Springfield
Washington Economic
Development Board
Trust.
</Table>
* Mr. Spalding is deemed to be an "interested person" due to his ownership of
equity securities of J.P. Morgan Chase & Co.
(1) A Fund Complex means two or more investment companies that hold themselves
out to investors as related companies for purposes of investment and
investment services or have a common investment advisor or have an
investment advisor that is an affiliated person of the investment advisor
of any of the other investment companies. The JPMorgan Fund Complex for
which the Trustees serve includes 13 investment companies.
32
<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
- ----------------------------------------------------------------------------------------------------
OFFICERS
George Gatch; President Since 2001 Managing Director, J.P.
522 Fifth Avenue, Morgan Investment
New York, NY 10036; Management Inc.; Head of
1962 J.P. Morgan Fleming's
U.S. Mutual Funds and
Financial Intermediaries
Business ("FFI"); he has
held numerous positions
throughout the firm in
business management,
marketing and sales.
Patricia A. Maleski; Treasurer Since 2003 Vice President, J.P.
522 Fifth Avenue, Morgan Investment
New York, NY 10036; Management Inc.; Head of
1960 FFI and U.S. Institutional
Funds Administration and
Board Liaison. Prior to
joining J.P. Morgan Chase
in 2001, she was the Vice
President of Finance for
the Pierpont Group, Inc.,
a service provider to the
board of trustees of the
heritage JPMorgan Funds.
Sharon J. Weinberg; Secretary Since 2001 Managing Director, J.P.
522 Fifth Avenue, Morgan Investment
New York, NY 10036; Management Inc.; since
1959 joining J.P. Morgan Chase
in 1996, she has held
numerous positions
throughout the asset
management business in
mutual funds marketing,
legal and product
development.
Stephen M. Ungerman; Vice President and Since 2001 Vice President, J.P.
522 Fifth Avenue, Assistant Treasurer Morgan Investment
New York, NY 10036; Management Inc.; Business
1953 Head for Vehicle Services
Group within Fund
Administration; prior to
joining J.P. Morgan Chase
in 2000, he held a number
of senior management
positions in Prudential
Insurance Co. of America's
asset management business,
including Associate
General Counsel, Tax
Director and Co-head of
Fund Administration
Department; Mr. Ungerman
was also the Assistant
Treasurer of all mutual
funds managed by
Prudential.
Judy R. Bartlett; Vice President and Since 2001 Vice President and
522 Fifth Avenue, Assistant Secretary Assistant General Counsel,
New York, NY 10036; J.P. Morgan Investment
1965 Management Inc., since
September 2000; from
August 1998 through August
2000, she was an attorney
at New York Life Insurance
Company where she served
as Assistant Secretary for
the Mainstay Funds.
Joseph J. Bertini; Vice President and Since 2001 Vice President and
522 Fifth Avenue, Assistant Secretary Assistant General Counsel,
New York, NY 10036; J.P. Morgan Investment
1965 Management Inc.
Wayne H. Chan; Vice President and Since 2003 Vice President and
522 Fifth Avenue, Assistant Secretary Assistant General Counsel,
New York, NY 10036; J.P. Morgan Investment
1965 Management, Inc., since
September 2002; Mr. Chan
was an associate at the
law firm of Shearman and
Sterling LLP from May 2001
through September 2002;
Swidler Berlin Shereff
Friedman LLP from June
1999 through May 2001 and
Whitman Breed Abbott &
Morgan LLP from September
1997 through May 1999.
</Table>
33
<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
- ----------------------------------------------------------------------------------------------------
OFFICERS (C0NTINUED)
Thomas J. Smith Vice President and Since 2002 Managing Director, Head of
522 Fifth Avenue, Assistant Secretary Compliance for J.P. Morgan
New York, NY 10036; Chase & Co.'s asset
1955 management business in the
Americas.
Paul M. DeRusso Assistant Treasurer Since 2001 Vice President, J.P.
522 Fifth Avenue, Morgan Investment
New York, NY 10036; Management Inc.; Manger of
1954 the Budgeting and Expense
Group of Funds
Administration Group.
Lai Ming Fung Assistant Treasurer Since 2001 Associate, J.P. Morgan
522 Fifth Avenue, Investment Management
New York, NY 10036; Inc.; Budgeting Analyst
1974 for the Budgeting and
Expense Group of Funds
Administration Group.
Mary D. Squires Assistant Treasurer Since 2001 Vice President, J.P.
522 Fifth Avenue, Morgan Investment
New York, NY 10036; Management Inc.; Ms.
1955 Squires has held numerous
financial and operations
positions supporting the
J.P. Morgan Chase
organization complex.
Michael Ciotola Assistant Treasurer Since 2003 Director of Financial
3435 Stelzer Rd. Services of BISYS Fund
Columbus, OH 43219 Services, Inc. since
1968 January 2003; held various
positions within BISYS
since 1998.
Arthur A. Jensen Assistant Treasurer Since 2001 Vice President of
3435 Stelzer Rd. Financial Services of
Columbus, OH 43219 BISYS Fund Services, Inc.
1966 since June 2001; formerly
Section Manager of
Northern Trust Company and
Accounting Supervisor at
Allstate Insurance
Company.
Martin R. Dean Assistant Treasurer Since 2001 Vice President of
3435 Stelzer Rd. Regulatory Services of
Columbus, OH 43219 BISYS Fund Services, Inc.
1963
Alaina Metz Assistant Secretary Since 2001 Chief Administrative
3435 Stelzer Rd. Officer of BISYS Fund
Columbus, OH 43219 Services, Inc.; formerly,
1967 Supervisor of the Blue Sky
Department of Alliance
Capital Management, L.P.
Ryan M. Louvar; Assistant Secretary Since 2003 Counsel of Legal Services,
60 State Street, BISYS Fund Services, Inc.
Suite 1300 since 2000; formerly
Boston, MA 02109; Attorney at Hill, Farrer &
1972 Burrill LLP from 1999 to
2000 and Knapp Peterson
Clarke, PC from 1997 to
1999.
Lisa Hurley Assistant Secretary Since 2001 Executive Vice President
60 State Street, and General Counsel of
Suite 1300 BISYS Fund Services, Inc.
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.
34
<Page>
TAX LETTER (UNAUDITED)
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 and the dollar amount of long-term
capital gains distributed by the Fund for the fiscal year ended December 31,
2003.
<Table>
<Caption>
LONG-TERM
DIVIDENDS RECEIVED CAPITAL GAINS
DEDUCTION DISTRIBUTION
FUND
CGF 0.00% $ 17,445
</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.
35
<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.
36
<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. AN-CGF-1203
<Page>
JPMORGAN FUNDS
ANNUAL REPORT DECEMBER 31 2003
[GRAPHIC]
U.S. EQUITY FUNDS
GROWTH AND INCOME 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
JPMorgan Growth and Income Fund
Fund Commentary 3
Financial Statements 6
Notes to Financial Statements 10
Financial Highlights 18
Growth and Income Portfolio of Investments 29
Financial Statements 32
Notes to Financial Statements 35
Supplementary Data 39
</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 GROWTH AND INCOME FUND
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.
<Page>
In this case, 2003's enormous fiscal and monetary stimuli have primed the
economy.
IMPORTANT MERGER NEWS
As you may know, JPMorgan Chase and Bank One have agreed to combine forces by
mid-2004, subject to approval by 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,
/s/ George C.W. Gatch
George C.W. Gatch
President
JPMorgan Funds
UNAUDITED
2
<Page>
JPMORGAN GROWTH AND INCOME FUND
AS OF DECEMBER 31, 2003 (Unaudited)
FUND FACTS
Fund Inception 9/23/1987
Fiscal Year End DECEMBER 31
Net Assets as of 12/31/2003
(In Millions) $693.5
Primary Benchmark S&P 500/BARRA
VALUE INDEX
Q. HOW DID THE FUND PERFORM?
A: JPMorgan Growth and Income Fund, which seeks to provide capital growth over
the long term and earn income from dividends, gained 26.27% (Class A shares,
without sales charge) during the year ended December 31, 2003. This compares
with a 31.8% return from the Fund's benchmark, the S&P/BARRA Value Index.
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 by many companies, 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.
The primary drag on the Fund's relative performance was an underweight
position in the resurging Information Technology sector, which in turn was
propelled by the strength of semiconductor stocks. Additionally, the Fund's
Telecommunications holdings negatively impacted performance. Within the
Telecommunications sector, investors rotated out of the regulated wireline
players, where the portfolio is overweight, and into the wireless names,
where the portfolio is under weight.
There were a number of bright spots in the Fund's performance during the
year, particularly in the consumer discretionary sector where your portfolio
manager was able to add value. In particular, an overweight position in media
names such as, Liberty Media, EchoStar Communications, and Hughes
Electronics, 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 -- regardless of their economic sector -- trading at
attractive valuations will outperform in the long-term. The portfolio manager
sought to maintain significant sector diversification in the portfolio and to
avoid any large bets contingent on macroeconomic or sector trends.
During the period we did increase the Fund's weighting in the Consumer
Discretionary sector, where we added names such as Washington Post and Home
Depot.
3
<Page>
[CHART]
PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS
<Table>
Finance & Insurance 34.6%
Consumer Goods & Services 24.1%
Energy 11.6%
Industrial Products & Services 8.4%
Telecommunications 6.8%
Technology 6.6%
Utilities 3.4%
Pharmaceuticals 1.7%
REITs 1.5%
Health Services & Systems 1.0%
Short-Term Investments 0.3%
</Table>
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO AS OF DECEMBER 31, 2003
<Table>
1. Citigroup, Inc. 4.7%
2. Exxon Mobil Corp. 3.9%
3. Verizon Communications, Inc. 2.3%
4. Altria Group, Inc. 2.2%
5. American International Group, Inc. 2.1%
6. ChevronTexaco Corp. 2.1%
7. SBC Communications, Inc. 2.0%
8. Golden West Financial Corp. 2.0%
9. ConocoPhillips 2.0%
10.Freddie Mac 1.9%
</Table>
Top 10 equity holdings comprised 25.2% of the Portfolio's market value of
investments ($282,556 in thousands). As of December 31, 2003, the Fund held 92
equity holdings. Portfolio holdings are subject to change at any time.
4
<Page>
AVERAGE ANNUAL TOTAL RETURNS
<Table>
<Caption>
1 YEAR 3 YEARS 5 YEARS 10 YEARS
CLASS A SHARES
Without Sales Charge 26.27% (3.52%) (0.50%) 7.80%
With Sales Charge* 19.02% (5.41%) (1.67%) 7.17%
CLASS B SHARES
Without CDSC 25.66% (4.01%) (1.00%) 7.36%
With CDSC** 20.66% (4.96%) (1.29%) 7.36%
CLASS C SHARES
Without CDSC 25.64% (4.00%) (1.00%) 7.08%
With CDSC** 24.64% (4.00%) (1.00%) 7.08%
SELECT SHARES 26.78% (2.64%) 0.20% 8.31%
</Table>
* Sales Charge for Class A Shares is 5.75%.
** Assumes 5% CDSC (contingent deferred sales charge) for the one year period,
3% CDSC for the three year period, 2% CDSC for the five year period and 0%
for the ten year period.
*** Assumes a 1% CDSC for the one year period and 0% CDSC thereafter.
[CHART]
TEN-YEAR FUND PERFORMANCE (12/31/93 TO 12/31/03)
<Table>
<Caption>
JPMORGAN GROWTH & INCOME FUND (CLASS A) S&P 500/BARRA VALUE INDEX LIPPER LARGE-CAP VALUE FUNDS INDEX
Dec-93 $ 9,425 $ 10,000 $ 10,000
Jan-94 $ 9,714 $ 10,466 $ 10,326
Feb-94 $ 9,539 $ 10,087 $ 10,078
Mar-94 $ 9,173 $ 9,673 $ 9,660
Apr-94 $ 9,155 $ 9,877 $ 9,780
May-94 $ 9,223 $ 10,041 $ 9,921
Jun-94 $ 9,046 $ 9,762 $ 9,681
Jul-94 $ 9,216 $ 10,092 $ 9,964
Aug-94 $ 9,520 $ 10,378 $ 10,368
Sep-94 $ 9,323 $ 10,013 $ 10,097
Oct-94 $ 9,416 $ 10,231 $ 10,263
Nov-94 $ 9,080 $ 9,817 $ 9,906
Dec-94 $ 9,103 $ 9,937 $ 10,017
Jan-95 $ 9,184 $ 10,207 $ 10,198
Feb-95 $ 9,551 $ 10,603 $ 10,577
Mar-95 $ 9,817 $ 10,895 $ 10,825
Apr-95 $ 9,971 $ 11,254 $ 11,140
May-95 $ 10,308 $ 11,755 $ 11,553
Jun-95 $ 10,571 $ 11,844 $ 11,804
Jul-95 $ 11,042 $ 12,253 $ 12,177
Aug-95 $ 11,108 $ 12,357 $ 12,251
Sep-95 $ 11,307 $ 12,787 $ 12,691
Oct-95 $ 11,091 $ 12,587 $ 12,589
Nov-95 $ 11,522 $ 13,247 $ 13,134
Dec-95 $ 11,612 $ 13,614 $ 13,347
Jan-96 $ 12,024 $ 14,021 $ 13,758
Feb-96 $ 12,135 $ 14,153 $ 13,912
Mar-96 $ 12,362 $ 14,484 $ 14,063
Apr-96 $ 12,536 $ 14,632 $ 14,254
May-96 $ 12,700 $ 14,852 $ 14,517
Jun-96 $ 12,657 $ 14,781 $ 14,526
Jul-96 $ 12,084 $ 14,157 $ 13,957
Aug-96 $ 12,506 $ 14,548 $ 14,320
Sep-96 $ 13,075 $ 15,171 $ 15,021
Oct-96 $ 13,264 $ 15,685 $ 15,338
Nov-96 $ 14,120 $ 16,885 $ 16,436
Dec-96 $ 13,861 $ 16,608 $ 16,159
Jan-97 $ 14,622 $ 17,374 $ 16,975
Feb-97 $ 14,615 $ 17,501 $ 17,111
Mar-97 $ 14,041 $ 16,902 $ 16,457
Apr-97 $ 14,604 $ 17,536 $ 17,189
May-97 $ 15,451 $ 18,635 $ 18,179
Jun-97 $ 16,044 $ 19,347 $ 18,937
Jul-97 $ 17,315 $ 20,895 $ 20,365
Aug-97 $ 16,688 $ 19,951 $ 19,494
Sep-97 $ 17,571 $ 21,120 $ 20,492
Oct-97 $ 17,089 $ 20,342 $ 19,873
Nov-97 $ 17,626 $ 21,118 $ 20,525
Dec-97 $ 17,954 $ 21,586 $ 20,759
Jan-98 $ 17,864 $ 21,321 $ 20,788
Feb-98 $ 19,129 $ 22,920 $ 22,156
Mar-98 $ 20,011 $ 24,082 $ 23,139
Apr-98 $ 20,149 $ 24,366 $ 23,375
May-98 $ 19,633 $ 24,023 $ 22,978
Jun-98 $ 20,006 $ 24,205 $ 23,408
Jul-98 $ 19,386 $ 23,680 $ 23,003
Aug-98 $ 16,422 $ 19,872 $ 19,863
Sep-98 $ 17,565 $ 21,080 $ 20,818
Oct-98 $ 18,643 $ 22,731 $ 22,486
Nov-98 $ 19,173 $ 23,915 $ 23,632
Dec-98 $ 20,486 $ 24,755 $ 24,545
Jan-99 $ 20,672 $ 25,255 $ 24,952
Feb-99 $ 19,808 $ 24,712 $ 24,381
Mar-99 $ 20,478 $ 25,460 $ 25,122
Apr-99 $ 21,655 $ 27,655 $ 26,602
May-99 $ 21,454 $ 27,166 $ 26,147
Jun-99 $ 22,166 $ 28,209 $ 27,300
Jul-99 $ 21,348 $ 27,340 $ 26,524
Aug-99 $ 20,752 $ 26,648 $ 26,042
Sep-99 $ 20,026 $ 25,606 $ 25,078
Oct-99 $ 21,033 $ 27,053 $ 26,287
Nov-99 $ 21,168 $ 26,893 $ 26,379
Dec-99 $ 22,144 $ 27,905 $ 27,191
Jan-00 $ 21,615 $ 27,017 $ 26,041
Feb-00 $ 20,860 $ 25,329 $ 24,945
Mar-00 $ 22,884 $ 27,971 $ 27,230
Apr-00 $ 22,591 $ 27,783 $ 26,928
May-00 $ 22,103 $ 27,869 $ 26,946
Jun-00 $ 21,800 $ 26,768 $ 26,650
Jul-00 $ 22,195 $ 27,304 $ 26,530
Aug-00 $ 23,526 $ 29,133 $ 28,066
Sep-00 $ 22,809 $ 29,127 $ 27,623
Oct-00 $ 22,898 $ 29,672 $ 27,844
Nov-00 $ 21,615 $ 28,153 $ 26,649
Dec-00 $ 22,247 $ 29,603 $ 27,723
Jan-01 $ 22,227 $ 30,852 $ 27,953
Feb-01 $ 21,000 $ 28,806 $ 26,606
Mar-01 $ 19,990 $ 27,669 $ 25,571
Apr-01 $ 21,465 $ 29,544 $ 27,021
May-01 $ 21,697 $ 29,855 $ 27,456
Jun-01 $ 20,853 $ 28,887 $ 26,709
Jul-01 $ 20,700 $ 28,388 $ 26,527
Aug-01 $ 19,390 $ 26,747 $ 25,286
Sep-01 $ 17,870 $ 24,206 $ 23,314
Oct-01 $ 17,977 $ 24,206 $ 23,465
Nov-01 $ 18,984 $ 25,743 $ 24,969
Dec-01 $ 19,252 $ 26,134 $ 25,346
Jan-02 $ 19,051 $ 25,418 $ 24,877
Feb-02 $ 18,998 $ 25,192 $ 24,741
Mar-02 $ 19,824 $ 26,482 $ 25,832
Apr-02 $ 18,821 $ 25,155 $ 24,731
May-02 $ 19,002 $ 25,256 $ 24,763
Jun-02 $ 17,738 $ 23,662 $ 23,037
Jul-02 $ 16,137 $ 21,104 $ 21,047
Aug-02 $ 16,272 $ 21,250 $ 21,188
Sep-02 $ 14,529 $ 18,821 $ 18,739
Oct-02 $ 15,837 $ 20,385 $ 20,114
Nov-02 $ 16,610 $ 21,818 $ 21,375
Dec-02 $ 15,823 $ 20,683 $ 20,358
Jan-03 $ 15,408 $ 20,117 $ 19,873
Feb-03 $ 14,946 $ 19,570 $ 19,376
Mar-03 $ 14,914 $ 19,544 $ 19,365
Apr-03 $ 16,249 $ 21,477 $ 20,999
May-03 $ 17,353 $ 23,058 $ 22,293
Jun-03 $ 17,557 $ 23,226 $ 22,547
Jul-03 $ 17,749 $ 23,742 $ 22,860
Aug-03 $ 18,015 $ 24,255 $ 23,247
Sep-03 $ 17,716 $ 23,816 $ 22,986
Oct-03 $ 18,665 $ 25,445 $ 24,255
Nov-03 $ 18,938 $ 25,674 $ 24,553
Dec-03 $ 19,983 $ 27,260 $ 26,059
</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 9/23/87.
Returns for the Class B Shares prior to 11/4/93 (offering date of the Class B
Shares) are calculated using the historical expenses of the Class A Shares,
which are lower than the expenses of the Class B Shares.
Returns for the Select Shares prior to 1/25/96 (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 C Shares prior to 1/2/98 (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 Growth and Income Fund, S&P 500/BARRA Value Index, and
Lipper Large-Cap Value Funds Index from December 31, 1993 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 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/BARRA Value Index contains large U.S. companies with low price-to-book
ratios relative to the S&P 500 Index. The Lipper Large-Cap Value Funds Index
represents the total returns of the funds in the indicated category, as defined
by Lipper, Inc. Investors cannot invest directly in an index.
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 GROWTH AND INCOME FUND
STATEMENT OF ASSETS AND LIABILITIES AS OF DECEMBER 31, 2003
(Amounts in thousands, except per share amounts)
<Table>
ASSETS:
Investment in Growth and Income
Portfolio, at value $ 695,310
- ----------------------------------------------------------------------
Receivables:
- ----------------------------------------------------------------------
Fund shares sold 24
- ----------------------------------------------------------------------
Expense reimbursements 1
======================================================================
Total Assets 695,335
======================================================================
LIABILITIES:
Payables:
Distributions 1
- ----------------------------------------------------------------------
Fund shares redeemed 866
- ----------------------------------------------------------------------
Accrued liabilities:
- ----------------------------------------------------------------------
Shareholder servicing fees 120
- ----------------------------------------------------------------------
Distribution fees 184
- ----------------------------------------------------------------------
Trustees' fees - deferred
- ----------------------------------------------------------------------
compensation plan 156
Other 512
======================================================================
Total Liabilities 1,839
======================================================================
NET ASSETS: 693,496
======================================================================
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
6
<Page>
<Table>
NET ASSETS:
Paid in capital $ 666,801
- ----------------------------------------------------------------------
Accumulated undistributed
(overdistributed) net investment income (191)
- ----------------------------------------------------------------------
Accumulated net realized gain (loss)
on investment in Portfolio (89,726)
- ----------------------------------------------------------------------
Net unrealized appreciation
(depreciation) of investment
in Portfolio 116,612
======================================================================
Total Net Assets $ 693,496
======================================================================
Shares of beneficial interest outstanding
($0.001 par value; unlimited
number of shares authorized):
- ----------------------------------------------------------------------
Class A 20,896
- ----------------------------------------------------------------------
Class B 2,667
- ----------------------------------------------------------------------
Class C 217
- ----------------------------------------------------------------------
Select 41
- ----------------------------------------------------------------------
Net Asset Value:
- ----------------------------------------------------------------------
Class A (and redemption price) $ 29.18
- ----------------------------------------------------------------------
Class B * $ 28.67
- ----------------------------------------------------------------------
Class C * $ 27.74
- ----------------------------------------------------------------------
Select (and redemption price) $ 30.02
- ----------------------------------------------------------------------
Class A Maximum Public Offering
Price Per Share (net asset value per
share/94.25%) $ 30.96
======================================================================
</Table>
* Redemption price may be reduced by contingent deferred sales charge.
SEE NOTES TO FINANCIAL STATEMENTS.
7
<Page>
STATEMENT OF OPERATIONS FOR THE YEAR ENDED DECEMBER 31, 2003
(Amounts in thousands)
<Table>
INVESTMENT INCOME:
Allocated investment income
from Portfolio $ 14,865
- ----------------------------------------------------------------------
Allocated expenses from Portfolio (3,246)
======================================================================
Total investment income 11,619
======================================================================
EXPENSES:
Administration fees 699
- ----------------------------------------------------------------------
Shareholder servicing fees 1,747
- ----------------------------------------------------------------------
Distribution fees 2,140
- ----------------------------------------------------------------------
Printing and postage 100
- ----------------------------------------------------------------------
Professional fees 45
- ----------------------------------------------------------------------
Registration expenses 70
- ----------------------------------------------------------------------
Transfer agent fees 2,363
- ----------------------------------------------------------------------
Trustees' fees 5
- ----------------------------------------------------------------------
Accounting fees 64
- ----------------------------------------------------------------------
Other 69
======================================================================
Total expenses 7,302
======================================================================
Less amounts waived 1,049
- ----------------------------------------------------------------------
Less expense reimbursements 17
======================================================================
Net expenses 6,236
======================================================================
Net investment income (loss) 5,383
======================================================================
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
Net realized gain (loss) allocated
from Portfolio $ (52,619)
- ----------------------------------------------------------------------
Change in net unrealized
appreciation (depreciation)
allocated from Portfolio 209,514
- ----------------------------------------------------------------------
Net realized and unrealized gain (loss)
on investments 156,895
======================================================================
Net increase (decrease) in net assets
from operations $ 162,278
======================================================================
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
8
<Page>
STATEMENT OF CHANGES IN NET ASSETS FOR THE PERIODS INDICATED
(Amounts in thousands)
<Table>
<Caption>
YEAR ENDED YEAR ENDED
12/31/03 12/31/02
INCREASE (DECREASE) IN NET
ASSETS FROM OPERATIONS:
Net investment income (loss) $ 5,383 $ 6,461
- -------------------------------------------------------------------------------------------
Net realized gain (loss) allocated
from Portfolio (52,619) (35,742)
- -------------------------------------------------------------------------------------------
Change in net unrealized appreciation
(depreciation) allocated from Portfolio 209,514 (145,904)
===========================================================================================
Increase (decrease) in net assets
from operations 162,278 (175,185)
===========================================================================================
DISTRIBUTIONS TO
SHAREHOLDERS FROM:
Net investment income (5,522) (6,124)
- -------------------------------------------------------------------------------------------
Net realized gain on
investment transactions -- (7,200)
- -------------------------------------------------------------------------------------------
Total distributions to shareholders (5,522) (13,324)
- -------------------------------------------------------------------------------------------
Increase (decrease) from capital
share transactions (168,592) (171,948)
===========================================================================================
Total increase (decrease) in
net assets (11,836) (360,457)
===========================================================================================
NET ASSETS:
Beginning of period 705,332 1,065,789
===========================================================================================
End of period $ 693,496 $ 705,332
===========================================================================================
Accumulated undistributed
(overdistributed) net
investment income $ (191) $ (52)
===========================================================================================
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
9
<Page>
JPMORGAN GROWTH AND INCOME FUND
NOTES TO FINANCIAL STATEMENTS
1. ORGANIZATION
J.P. Morgan Mutual Fund Group ("JPMMFG" or the "Trust") was organized on May 11,
1987 as a Massachusetts business trust, and is registered under the Investment
Company Act of 1940 as amended (the "1940 Act"), as an open-end management
investment company. JPMorgan Growth and Income Fund ("GIF" or the "Fund") is a
separate series of the Trust. The Fund offers Class A, Class B, Class C and
Select shares.
JPMMFG was formerly named Mutual Fund Group. The name change went into effect
May 1, 2003.
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 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 sales
charges have been waived, may be subject to redemption charges as described in
the Fund's 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.
The Fund utilizes a Master Feeder Fund Structure and seeks to achieve its
investment objective by investing all of its investable assets in the Growth and
Income Portfolio (the "Portfolio") which, like the Fund, is an open-end
management investment company having the same investment objective as the Fund.
As of December 31, 2003, the Fund owned 61.9% of the net assets of the
Portfolio. The financial statements of the Portfolio, including the Portfolio of
Investments, are included elsewhere in this report and should be read in
conjunction with the financial statements of the Fund.
A. VALUATION OF INVESTMENTS -- The Fund records its investments in the Portfolio
at value. Securities of the Portfolio are recorded at value as more fully
discussed in the notes to the Portfolio's financial statements.
B. INVESTMENT INCOME AND EXPENSES -- The Fund records daily its pro rata share
of the Portfolio's income, expenses and realized and unrealized gains and
losses. In addition, the Fund accrues its own expenses daily as incurred.
Realized gains/losses and changes in unrealized appreciation/depreciation
represent the Fund's share of such elements allocated from the Portfolio.
C. ALLOCATION OF INCOME AND EXPENSES -- Expenses directly attributable to a Fund
are charged to that Fund; other expenses of the Trust are allocated
proportionately among each of the Funds within the Trust in relation to the net
assets of each Fund or on another reasonable basis. Expenses directly
attributable to a particular class are charged directly to such class. In
calculating the net asset value per share of each class, investment income,
realized and unrealized gains and losses and expenses 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.
D. FEDERAL INCOME TAXES -- The Fund is treated as a separate taxable entity for
Federal income tax purposes. The Fund's policy is to comply with the provisions
of the Internal Revenue Code applicable to regulated investment companies and to
distribute to shareholders all of its distributable net investment income, and
net
10
<Page>
realized gain on investments. In addition, the Fund intends to make
distributions as required to avoid excise taxes. Accordingly, no provision for
Federal income tax or excise tax is necessary.
E. 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.
F. OTHER EXPENSES -- Other expenses in the Statement of Operations include fees
related to line of credit, insurance and reporting services.
3. FEES AND OTHER TRANSACTIONS WITH AFFILIATES
A. 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 the 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, Class B, and Class C shares of the Fund in accordance with Rule 12b-1
under the 1940 Act. The Distribution Plans provide that the Fund shall pay
distribution fees, including payments to the Distributor, at annual rates of the
average daily net assets of 0.25% for Class A shares and 0.75% for Class B and
Class C shares, respectively.
In addition, JPMFD receives the contingent deferred sales charge ("CDSC") from
redemptions of Class B and C shares.
The Distributor waived fees as outlined in Note 3.D.
B. SHAREHOLDER SERVICING FEE -- The Trust has entered into a Shareholder
Servicing Agreement on behalf of the Fund with JPMCB under which JPMCB provides
account administration and personal account maintenance service to shareholders.
For performing these services, JPMCB receives a fee that is computed daily and
paid monthly equal to 0.25% of the average daily net assets of each share class.
JPMCB may enter into 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.
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 Fund available to customers of investment advisers
and other financial intermediaries who are Schwab's clients. The Fund is not
responsible for payments to Schwab under the Schwab Agreements; however, in the
event the servicing agreement with Schwab is terminated for reasons other than a
breach by Schwab and the relationship between the Trusts and JPMCB are
terminated, the Fund would be responsible for the ongoing payments to Schwab
with respect to pre-termination shares.
JPMCB waived fees as outlined in Note 3.D.
C. ADMINISTRATION FEE -- Pursuant to the Administration Agreement, JPMCB (the
"Administrator") provides certain administration services to the Fund. In
consideration of these services, the Administrator receives a fee computed daily
and paid monthly at the annual rate equal to 0.10% of the first $25 billion of
the average daily net assets of all non-money market funds in the JPMorgan Fund
Complex and 0.025% of the average daily net assets in excess of $25 billion.
11
<Page>
BISYS Fund Services, L.P. ("BISYS") serves as the Fund's sub-administrator. For
its services as sub-administrator, BISYS receives a portion of the fees payable
to JPMCB as Administrator.
The Administrator has contractually agreed to reimburse the Fund to the extent
that total operating expenses (excluding interest, taxes, extraordinary expenses
and expenses related to the deferred compensation plan) exceed the percentage of
its respective average daily net assets of 1.30%, 1.80%, 1.80%, and 0.90% of
class A, Class B, Class C, and Select class shares, respectively.
The expense limitation percentages are due to expire April 30, 2005.
The Administrator waived fees and reimbursed expenses as outlined in Note 3.D.
D. WAIVERS AND REIMBURSEMENTS -- For the year ended December 31, 2003, the
Fund's vendors waived fees and the Administrator contractually reimbursed
expenses as follows (amounts in thousands):
<Table>
<Caption>
CONTRACTUAL WAIVERS
---------------------------------------
SHAREHOLDER CONTRACTUAL
ADMINISTRATION SERVICING TOTAL REIMBURSEMENTS
$ 699 $ 350 $ 1,049 $ 17
- --------------------------------------------------------------------------------------------------
</Table>
E. OTHER Certain officers of the Trusts are officers of JPMorgan or of BISYS or
their subsidiaries.
4. CLASS SPECIFIC EXPENSES
The Fund's class specific expenses for the year ended December 31, 2003, are as
follows (amounts in thousands):
<Table>
<Caption>
SHAREHOLDER
SERVICING DISTRIBUTION TRANSFER AGENT
Class A $ 1,548 $ 1,548 $ 2,079
- -------------------------------------------------------------------------------------------------------------
Class B 184 552 247
- -------------------------------------------------------------------------------------------------------------
Class C 13 40 18
- -------------------------------------------------------------------------------------------------------------
Select 2 -- 19
=============================================================================================================
$ 1,747 $ 2,140 $ 2,363
- -------------------------------------------------------------------------------------------------------------
</Table>
12
<Page>
5. CLASS SPECIFIC DISTRIBUTIONS
The Fund's 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
Class A $ 5,191 $ -- $ 5,792 $ 6,083
- --------------------------------------------------------------------------------------------------------------
Class B 293 -- 283 1,041
- --------------------------------------------------------------------------------------------------------------
Class C 27 -- 21 52
- --------------------------------------------------------------------------------------------------------------
Select 11 -- 28 24
- --------------------------------------------------------------------------------------------------------------
$ 5,522 $ -- $ 6,124 $ 7,200
- --------------------------------------------------------------------------------------------------------------
</Table>
6. FEDERAL INCOME TAX MATTERS
The tax character of distributions paid during the period ended December 31,
2003 and December 31, 2002 were as follows (amounts in thousands):
<Table>
<Caption>
LONG-TERM
ORDINARY CAPITAL RETURN OF TOTAL
PERIOD ENDED INCOME GAIN CAPITAL DISTRIBUTIONS
December 31, 2003 $ 5,522 $ -- $ -- $ 5,522
- --------------------------------------------------------------------------------------------------------------
December 31, 2002 $ 6,124 $ 7,200 $ -- $ 13,324
- --------------------------------------------------------------------------------------------------------------
</Table>
13
<Page>
<Table>
Current distributable
ordinary income $ 74
- ---------------------------------------------------------
Plus/Less: cumulative timing
differences (265)
- ---------------------------------------------------------
Undistributed ordinary
income or overdistribution of
ordinary income $ (191)
- ---------------------------------------------------------
Current distributable long-term
capital gain or (tax basis
capital loss carryover) $ (78,346)
- ---------------------------------------------------------
Plus/Less: cumulative timing
differences --
- ---------------------------------------------------------
Undistributed long-term gains/
accumulated capital loss $ (78,346)
- ---------------------------------------------------------
Unrealized appreciation
(depreciation) $ *
- ---------------------------------------------------------
</Table>
* The Net Unrealized appreciation/ depreciation of the fund's investment in the
Portfolio consists of an allocated portion of the Portfolio appreciation/
depreciation.
The cummulative timing difference account primarily consists of deferred
compensation.
At December 31, 2003, the Fund had a capital loss carryover, which will be
available to offset future capital gains. To the extent that any net capital
loss carryover is used to offset future capital gains, it is probable that the
gains so offset will not be distributed to the shareholders (amounts in
thousand):
<Table>
<Caption>
AMOUNT EXPIRATION DATE
$ 7,204 12/31/2010
- ----------------------------------------------------
$ 71,142 12/31/2011
- ----------------------------------------------------
Total $ 78,346
- ----------------------------------------------------
</Table>
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. The Fund has no post-October realized losses.
7. BANK BORROWINGS
Pursuant to a Line of Credit Agreement dated April 17, 2003, the Fund may borrow
money for temporary or emergency purposes. The Fund has entered into the
agreement, enabling it to participate with other JPMorgan Funds in a line of
credit with JPMCB, as administrative agent, and with a syndicate of banks, which
permits borrowings up to $250 million, collectively. Interest is charged to the
Fund based on its borrowings at an annual rate equal to the sum of the Federal
Funds Rate plus 0.50%. The Fund also pays a commitment fee of 0.09% per annum on
the average daily amount of the available commitment, which is allocated on a
pro-rata basis to the 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 Fund had entered into an agreement, enabling them
to participate with other JPMorgan Funds in an unsecured line of credit with a
syndicate of banks, which permitted borrowings up to $400 million, collectively.
Interest was charged to each Fund based on its borrowings at an annual rate
equal to the sum of the Federal Funds Rate plus 0.50%. The Funds also paid a
commitment fee of 0.10% 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.
The Fund had no borrowings outstanding at December 31, 2003, nor at anytime
during the year then ended.
8. CONCENTRATIONS AND INDEMNIFICATIONS
From time to time, the Fund may have a concentration of several shareholders
which may be a related party, holding a significant percentage of shares
outstanding. Investment activities of these shareholders could have a material
impact on the Funds.
14
<Page>
In the normal course of business, the Fund may enter into contracts that contain
a variety of representations which provide general indemnifications. The Fund's
maximum exposure under these arrangements is unknown, as this would involve
future claims that may be made against the Fund that have not yet occurred.
However, based on experience, the Fund can expect the risk of loss to be remote.
9. 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.
15
<Page>
10. CAPITAL SHARE TRANSACTIONS
Capital share transactions were as follows for the periods presented (amounts in
thousands):
<Table>
<Caption>
YEAR ENDED YEAR ENDED
DECEMBER 31, 2003 DECEMBER 31, 2002
CLASS A SHARES
AMOUNT
Shares sold $ 21,322 $ 72,477
- ----------------------------------------------------------------------------------------------------------------
Shares issued in reinvestment
of distributions 4,804 11,008
- ----------------------------------------------------------------------------------------------------------------
Shares redeemed (170,999) (184,897)
================================================================================================================
Net increase (decrease) in Fund
shares outstanding $ (144,873) $ (101,412)
================================================================================================================
SHARES
Shares sold 894 2,747
- ----------------------------------------------------------------------------------------------------------------
Shares issued in reinvestment
of distributions 192 431
- ----------------------------------------------------------------------------------------------------------------
Shares redeemed (6,581) (7,168)
================================================================================================================
Net increase (decrease) in Fund
shares outstanding (5,495) (3,990)
================================================================================================================
CLASS B SHARES
AMOUNT
Shares sold $ 3,700 $ 4,255
- ----------------------------------------------------------------------------------------------------------------
Shares issued in reinvestment
of distributions 265 1,209
- ----------------------------------------------------------------------------------------------------------------
Shares redeemed (28,062) (73,250)
================================================================================================================
Net increase (decrease) in Fund
shares outstanding $ (24,097) $ (67,786)
================================================================================================================
SHARES
Shares sold 148 163
- ----------------------------------------------------------------------------------------------------------------
Shares issued in reinvestment
of distributions 11 48
- ----------------------------------------------------------------------------------------------------------------
Shares redeemed (1,189) (2,855)
================================================================================================================
Net increase (decrease) in Fund
shares outstanding (1,030) (2,644)
================================================================================================================
</Table>
16
<Page>
10. CAPITAL SHARE TRANSACTIONS
<Table>
<Caption>
YEAR ENDED YEAR ENDED
DECEMBER 31, 2003 DECEMBER 31, 2002
CLASS C SHARES
AMOUNT
Shares sold $ 525 $ 696
- ----------------------------------------------------------------------------------------------------------------
Shares issued in reinvestment
of distributions 24 69
- ----------------------------------------------------------------------------------------------------------------
Shares redeemed (833) (1,835)
================================================================================================================
Net increase (decrease) in Fund
shares outstanding $ (284) $ (1,070)
================================================================================================================
SHARES
Shares sold 22 28
- ----------------------------------------------------------------------------------------------------------------
Shares issued in reinvestment
of distributions 1^ 3
- ----------------------------------------------------------------------------------------------------------------
Shares redeemed (35) (74)
================================================================================================================
Net increase (decrease) in Fund
shares outstanding (12) (43)
================================================================================================================
SELECT SHARES
AMOUNT
Shares sold $ 782 $ 591
- ----------------------------------------------------------------------------------------------------------------
Shares issued in reinvestment
of distributions 11 43
- ----------------------------------------------------------------------------------------------------------------
Shares redeemed (131) (2,314)
================================================================================================================
Net increase (decrease) in Fund
shares outstanding $ 662 $ (1,680)
================================================================================================================
SHARES
Shares sold 30 20
- ----------------------------------------------------------------------------------------------------------------
Shares issued in reinvestment
of distributions --^ 2
- ----------------------------------------------------------------------------------------------------------------
Shares redeemed (5) (104)
- ----------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding 25 (82)
================================================================================================================
</Table>
^ Amount rounds to less than one thousand.
17
<Page>
JPMORGAN GROWTH AND INCOME FUND
FINANCIAL HIGHLIGHTS
CLASS A SHARES
<Table>
<Caption>
YEAR YEAR 11/1/01 YEAR ENDED
ENDED ENDED THROUGH -----------------------------------------
12/31/03 12/31/02 12/31/01^ 10/31/01 10/31/00 10/31/99
PER SHARE OPERATING PERFORMANCE:
Net asset value, beginning of period $ 23.31 $ 28.83 $ 26.95 $ 40.71 $ 43.65 $ 43.24
- ---------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.21@ 0.21@ 0.03 0.19 0.09@ 0.18@
Net gains or losses on securities
(both realized and unrealized) 5.88 (5.31) 1.88 (8.04) 3.31 5.07
=================================================================================================================================
Total from investment operations 6.09 (5.10) 1.91 (7.85) 3.40 5.25
=================================================================================================================================
LESS DISTRIBUTIONS:
Dividends from net investment income 0.22 0.21 0.03 0.21 0.03 0.17
Distributions from capital gains -- 0.21 -- 5.70 6.31 4.67
=================================================================================================================================
Total distributions 0.22 0.42 0.03 5.91 6.34 4.84
=================================================================================================================================
Net asset value, end of period $ 29.18 $ 23.31 $ 28.83 $ 26.95 $ 40.71 $ 43.65
=================================================================================================================================
TOTAL RETURN(1)(a) 26.27% (17.81)% 7.09% (21.50)% 8.88% 12.82%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (millions) $ 610 $ 615 $ 876 $ 833 $ 1,131 $ 1,385
- ---------------------------------------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS:#
- ---------------------------------------------------------------------------------------------------------------------------------
Net expenses* 1.30% 1.30% 1.30% 1.30% 1.30% 1.26%
- ---------------------------------------------------------------------------------------------------------------------------------
Net investment income (loss) 0.83% 0.81% 0.62% 0.59% 0.23% 0.41%
- ---------------------------------------------------------------------------------------------------------------------------------
Expenses without waivers
and reimbursements* 1.45% 1.44% 1.30% 1.32% 1.30% 1.26%
- ---------------------------------------------------------------------------------------------------------------------------------
Net investment income (loss)
without waivers and reimbursements 0.68% 0.67% 0.62% 0.57% 0.23% 0.41%
- ---------------------------------------------------------------------------------------------------------------------------------
PORTFOLIO TURNOVER RATE(a)~ 37% 70% 0% 12% 30% 125%
==================================================================================================================================
</Table>
^ The Fund changed its fiscal year end from October 31 to December 31.
@ Calculated based upon average shares outstanding.
(1) Total return figures do not include the effect of any front-end sales load.
(a) Not annualized for periods less than one year.
# Short periods have been annualized.
~ The percentages reflect the portfolio turnover of the Growth and Income
Portfolio, of which the Fund invested all of its investable assets.
* Includes expenses allocated from portfolio
SEE NOTES TO FINANCIAL STATEMENTS.
18
<Page>
CLASS B SHARES
<Table>
Caption>
YEAR YEAR 11/1/01 YEAR ENDED
ENDED ENDED THROUGH -----------------------------------------
12/31/03 12/31/02 12/31/01^ 10/31/01 10/31/00 10/31/99
PER SHARE OPERATING PERFORMANCE:
Net asset value, beginning of period $ 22.91 $ 28.32 $ 26.48 $ 40.09 $ 43.25 $ 42.92
- ---------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.08@ 0.08@ 0.01 0.02 (0.11)@ (0.04)@
Net gains or losses on securities
(both realized and unrealized) 5.78 (5.21) 1.83 (7.89) 3.26 5.04
=================================================================================================================================
Total from investment operations 5.86 (5.13) 1.84 (7.87) 3.15 5.00
=================================================================================================================================
LESS DISTRIBUTIONS:
Dividends from net investment income 0.10 0.07 -- 0.04 -- --
Distributions from capital gains -- 0.21 -- 5.70 6.31 4.67
=================================================================================================================================
Total distributions 0.10 0.28 -- 5.74 6.31 4.67
=================================================================================================================================
Net asset value, end of period $ 28.67 $ 22.91 $ 28.32 $ 26.48 $ 40.09 $ 43.25
=================================================================================================================================
TOTAL RETURN(1)(a) 25.66% (18.21)% 6.95% (21.90)% 8.32% 12.29%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (millions) $ 76 $ 85 $ 180 $ 185 $ 409 $ 528
- ---------------------------------------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS:#
- ---------------------------------------------------------------------------------------------------------------------------------
Net expenses* 1.80% 1.80% 1.80% 1.80% 1.80% 1.76%
- ---------------------------------------------------------------------------------------------------------------------------------
Net investment income (loss) 0.32% 0.30% 0.12% 0.10% (0.27)% (0.09)%
- ---------------------------------------------------------------------------------------------------------------------------------
Expenses without waivers
and reimbursements* 2.00% 1.95% 1.80% 1.82% 1.80% 1.76%
- ---------------------------------------------------------------------------------------------------------------------------------
Net investment income (loss)
without waivers and reimbursements 0.12% 0.15% 0.12% 0.08% (0.27)% (0.09)%
- ---------------------------------------------------------------------------------------------------------------------------------
PORTFOLIO TURNOVER RATE(a)~ 37% 70% 0% 12% 30% 125%
=================================================================================================================================
</Table>
^ The Fund changed its fiscal year end from October 31 to December 31.
@ Calculated based upon average shares outstanding.
(1) Total return figures do not include the effect of any deferred sales load.
(a) Not annualized for periods less than one year.
# Short periods have been annualized.
~ The percentages reflect the portfolio turnover of the Growth and Income
Portfolio, of which the Fund invested all of its investable assets.
* Includes expenses allocated from portfolio
SEE NOTES TO FINANCIAL STATEMENTS.
19
<Page>
CLASS C SHARES
<Table>
<Caption>
YEAR YEAR 11/1/01 YEAR ENDED
ENDED ENDED THROUGH -----------------------------------------
12/31/03 12/31/02 12/31/01^ 10/31/01 10/31/00 10/31/99
PER SHARE OPERATING PERFORMANCE:
Net asset value, beginning of period $ 22.19 $ 27.47 $ 25.68 $ 39.10 $ 42.34 $ 42.13
- ---------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.08@ 0.08@ 0.01 0.05 (0.11)@ (0.03)@
Net gains or losses on securities
(both realized and unrealized) 5.59 (5.06) 1.78 (7.70) 3.18 4.94
=================================================================================================================================
Total from investment operations 5.67 (4.98) 1.79 (7.65) 3.07 4.91
=================================================================================================================================
LESS DISTRIBUTIONS:
Dividends from net investment income 0.12 0.09 -- 0.07 -- 0.03
Distributions from capital gains -- 0.21 -- 5.70 6.31 4.67
=================================================================================================================================
Total distributions 0.12 0.30 -- 5.77 6.31 4.70
=================================================================================================================================
Net asset value, end of period $ 27.74 $ 22.19 $ 27.47 $ 25.68 $ 39.10 $ 42.34
=================================================================================================================================
TOTAL RETURN(1)(a) 25.64% (18.21%) 6.97% (21.89%) 8.31% 12.29%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (millions) $ 6 $ 5 $ 7 $ 7 $ 9 $ 10
- ---------------------------------------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS:#
- ---------------------------------------------------------------------------------------------------------------------------------
Net expenses* 1.80% 1.80% 1.80% 1.80% 1.80% 1.76%
- ---------------------------------------------------------------------------------------------------------------------------------
Net investment income (loss) 0.32% 0.31% 0.12% 0.09% (0.27%) (0.07%)
- ---------------------------------------------------------------------------------------------------------------------------------
Expenses without waivers and
reimbursements* 2.00% 1.94% 1.80% 1.82% 1.80% 1.76%
- ---------------------------------------------------------------------------------------------------------------------------------
Net investment income (loss)
without waivers and reimbursements 0.12% 0.17% 0.12% 0.07% (0.27%) (0.07%)
- ---------------------------------------------------------------------------------------------------------------------------------
PORTFOLIO TURNOVER RATE(a)~ 37% 70% 0% 12% 30% 125%
=================================================================================================================================
</Table>
^ The Fund changed its fiscal year end from October 31 to December 31.
@ Calculated based upon average shares outstanding.
(1) Total return figures do not include the effect of any deferred sales load.
(a) Not annualized for periods less than one year.
# Short periods have been annualized.
~ The percentages reflect the portfolio turnover of the Growth and Income
Portfolio, of which the Fund invested all of its investable assets.
* Includes expenses allocated from portfolio
SEE NOTES TO FINANCIAL STATEMENTS.
20
<Page>
SELECT CLASS SHARES
<Table>
<Caption>
YEAR YEAR 11/1/01 YEAR ENDED
ENDED ENDED THROUGH -----------------------------------------
12/31/03 12/31/02 12/31/01^ 10/31/01 10/31/00 10/31/99
PER SHARE OPERATING PERFORMANCE:
Net asset value, beginning of period $ 23.98 $ 29.64 $ 27.72 $ 40.99 $ 43.89 $ 43.43
- ---------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.32@ 0.32@ 0.05 0.14 0.26@ 0.35@
Net gains or losses on securities
(both realized and unrealized) 6.05 (5.46) 1.93 (7.53) 3.33 5.12
=================================================================================================================================
Total from investment operations 6.37 (5.14) 1.98 (7.39) 3.59 5.47
=================================================================================================================================
LESS DISTRIBUTIONS:
Dividends from net investment income 0.33 0.31 0.06 0.18 0.18 0.34
Distributions from capital gains -- 0.21 -- 5.70 6.31 4.67
=================================================================================================================================
Total distributions 0.33 0.52 0.06 5.88 6.49 5.01
=================================================================================================================================
Net asset value, end of period $ 30.02 $ 23.98 $ 29.64 $ 27.72 $ 40.99 $ 43.89
=================================================================================================================================
TOTAL RETURN(a) 26.78% (17.47%) 7.13% (20.01%) 9.34% 13.30%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (millions) $ 1 $ --+ $ 3 $ 3 $ 5 $ 15
- ---------------------------------------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS:#
- ---------------------------------------------------------------------------------------------------------------------------------
Net expenses* 0.90% 0.90% 0.90% 0.89% 0.89% 0.85%
- ---------------------------------------------------------------------------------------------------------------------------------
Net investment income (loss) 1.22% 1.16% 1.02% 0.93% 0.64% 0.80%
- ---------------------------------------------------------------------------------------------------------------------------------
Expenses without waivers
and reimbursements* 1.00% 1.56% 3.34% 2.07% 0.93% 0.85%
- ---------------------------------------------------------------------------------------------------------------------------------
Net investment income (loss)
without waivers and reimbursements 1.12% 0.50% (1.42%) (0.25%) 0.60% 0.80%
- ---------------------------------------------------------------------------------------------------------------------------------
PORTFOLIO TURNOVER RATE(a)~ 37% 70% 0% 12% 30% 125%
=================================================================================================================================
</Table>
^ The Fund changed its fiscal year end from October 31 to December 31.
@ Calculated based upon average shares outstanding.
(a) Not annualized for periods less than one year.
+ Amount rounds to less than one million.
# Short periods have been annualized.
~ The percentages reflect the portfolio turnover of the Growth and Income
Portfolio, of which the Fund invested all of its investable assets.
* Includes expenses allocated from portfolio
SEE NOTES TO FINANCIAL STATEMENTS.
21
<Page>
JPMORGAN GROWTH AND INCOME FUND
REPORT OF INDEPENDENT AUDITORS
To the Trustees of J.P. Morgan Mutual Fund Group and Shareholders of
JPMorgan Growth and Income Fund:
In our opinion, the accompanying statement of assets and liabilities 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 Growth and Income Fund (a portfolio of J.P. Morgan Mutual Fund
Group)(hereafter referred to as the "Fund") at December 31, 2003, the results of
its operations for the year then ended, the changes in its 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 Fund's management; our responsibility is to express an
opinion on these financial statements based on our audits. We conducted our
audits of these financial statements in accordance with auditing standards
generally accepted in the United States of America, which require that we plan
and perform the audit to obtain reasonable assurance about whether the financial
statements are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements, assessing the accounting principles used and significant estimates
made by management, and evaluating the overall financial statement presentation.
We believe that our audits provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
New York, New York
February 24, 2004
22
<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 JPMORGAN AND LENGTH OF DURING PAST COMPLEX(1) OVERSEEN JPMORGAN FUND
AND YEAR OF BIRTH TRUST TIME SERVED 5 YEARS BY TRUSTEE COMPLEX
- ------------------------------------------------------------------------------------------------------------------------------------
NON-INTERESTED TRUSTEE(S)
William J. Armstrong; Trustee Trustee of Funds that Retired; Vice 69 None
522 Fifth Avenue, are series of JPMIF President and
New York, NY 10036; since 2001, Funds that Treasurer of
1941 are series of MFSG Ingersoll-Rand Company
since 1996 and Funds (manufacturer of
that are series of MFG industrial equipment)
since 1987. (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, Funds that
1932 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 Cities/ABC, Corporation
New York, NY 10036; Inc. (communications) (1997-Present); Director
1945 (1986-1998); President of Elan Corporation, Plc
of Diversified (pharmaceuticals)
Publishing Group (2001-Present); Director
(1991-1997) of The Phoenix Companies
(wealth management)
(2002-Present)
Matthew Healey; Trustee and Trustee of Funds that Retired; Chief 69 None
522 Fifth Avenue, President are series of of JPMIF Executive Officer of
New York, NY 10036; of the since 1992 and Funds certain J.P. Morgan
1937 Board of that are series of MFG Fund Trusts
Trustees since 2001 and MFSG (1982-2001)
since 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
New York, NY 10036; the Board since 2001, Funds that manufacturing) (1995-Present)
1932 of Trustees are series of MFSG (1985-Present)
since 1996 and Funds
that are series of MFG
since 1987
</Table>
23
<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 JPMORGAN AND LENGTH OF DURING PAST COMPLEX(1) OVERSEEN JPMORGAN FUND
AND YEAR OF BIRTH TRUST TIME SERVED 5 YEARS BY TRUSTEE COMPLEX
- -----------------------------------------------------------------------------------------------------------------------------------
NON-INTERESTED TRUSTEE(S) (CONTINUED)
James J. Schonbachler; Trustee Since 2001 Retired; Managing 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.
New York, NY 10036; the State of Rhode (banking) (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 City 69 Trustee of the Albert
522 Fifth Avenue, University of New Einstein School of
New York, NY 10036; York, since Medicine (1998-
1941 September 1, 1999; Present); Trustee of
President, Adelphi Bronx Lebanon Hospital
University (New York) Center (1992-Present);
(1998-1999). Director of New Plan
Excel Realty Trust, Inc.
(real estate investment
company) (2000-
Present); Director of
Lincoln Center Institute
for the Arts in
Education
(1999-Present); Director
of Jewish Community
Relations Counsel of New
York, Inc. (2000-
Present); Director of
United Way of New York
City (2002-Present).
</Table>
24
<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 JPMORGAN AND LENGTH OF DURING PAST COMPLEX(1) OVERSEEN JPMORGAN FUND
AND YEAR OF BIRTH TRUST TIME SERVED 5 YEARS BY TRUSTEE COMPLEX
- -----------------------------------------------------------------------------------------------------------------------------------
NON-INTERESTED TRUSTEE(S) (CONTINUED)
William G. Morton, Jr.; Trustee Since 2003 Formerly Chairman 69 Director of Radio Shack
522 Fifth Avenue, Emeritus (March Corporation
New York, NY 10036; 2001-October 2002), (electronics)
1937 and Chairman and Chief (1987-Present); Director
Executive Officer, of the Griswold Company
Boston Stock Exchange (securities brokerage)
(June 1985-March (2002-Present); Director
2001). of The National Football
Foundation and College
Hall of Fame
(1994-Present); Trustee
of the Berklee College
of Music (1998-Present);
Trustee of the Stratton
Mountain School
(2001-Present).
INTERESTED TRUSTEE(S)
Leonard M. Spalding* Trustee Trustee of Funds 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, Funds that Chase Mutual Funds Magia; Trustee of
1935 are series of MFSG (investment company) St.Catherine College
since 1996 and Funds (1989-1998); Chief Trust; Trustee of
that are series of MFG Investment Executive Bellarmine University
since 1998. of Chase Manhattan Trust; Director of
Private Bank Marion Washington
(investment Airport Board Trust;
management) Director of Springfield
(1990-1995) Washington Economic
Development Board Trust.
</Table>
* Mr. Spalding is deemed to be an "interested person" due to his ownership of
equity securities of J.P. Morgan Chase & Co.
(1) A Fund Complex means two or more investment companies that hold themselves
out to investors as related companies for purposes of investment and
investment services or have a common investment advisor or have an
investment advisor that is an affiliated person of the investment advisor of
any of the other investment companies. The JPMorgan Fund Complex for which
the Trustees serve includes 13 investment companies.
25
<Page>
<Table>
<Caption>
POSITIONS HELD TERM OF OFFICE
NAME, CONTACT ADDRESS WITH EACH AND LENGTH OF PRINCIPAL OCCUPATIONS
AND YEAR OF BIRTH JPMORGAN TRUST TIME SERVED DURING PAST 5 YEARS
- ------------------------------------------------------------------------------------------------------------------------------
OFFICERS
George Gatch; President Since 2001 Managing Director, J.P. Morgan Investment Management
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; Head of Business and
522 Fifth Avenue, Product Strategy for FFI; since joining J.P. Morgan
New York, NY 10036; Chase in 1996, she has held numerous positions
1959 throughout the asset management business in mutual
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 September 2000; from August 1998 through
New York, NY 10036; August 2000, 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 September 2002; Mr. Chan was an associate at
New York, NY 10036; the law firm of Shearman and Sterling LLP from May
1965 2001 through September 2002; Swidler Berlin Shereff
Friedman LLP from June 1999 through May 2001 and
Whitman Breed Abbott & Morgan LLP from September
1997 through May 1999.
Thomas J. Smith Vice President and Since 2002 Managing Director, Head of Compliance for J.P.
522 Fifth Avenue, Assistant Secretary Morgan Chase & Co.'s asset management business in
New York, NY 10036; the Americas.
1955
</Table>
26
<Page>
<Table>
<Caption>
POSITIONS HELD TERM OF OFFICE
NAME, CONTACT ADDRESS WITH EACH AND LENGTH OF PRINCIPAL OCCUPATIONS
AND YEAR OF BIRTH JPMORGAN TRUST TIME SERVED DURING PAST 5 YEARS
- ------------------------------------------------------------------------------------------------------------------------------
OFFICERS (CONTINUED)
Paul M. DeRusso Assistant Treasurer Since 2001 Vice President, 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
522 Fifth Avenue, Budgeting and Expense Group of Funds Administration
New York, NY 10036; Group.
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
3435 Stelzer Rd. Services, Inc. since January 2003; held various
Columbus, OH 43219 positions within 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
Columbus, OH 43219 Department 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 &
Suite 1300 Burrill LLP from 1999 to 2000 and Knapp Peterson
Boston, MA 02109; Clarke, PC from 1997 to 1999.
1972
Lisa Hurley Assistant Secretary Since 2001 Executive Vice President and General Counsel of
60 State Street, BISYS Fund Services, Inc.
Suite 1300
Boston, MA 02109
1955
</Table>
Additional information concerning the Trustees is contained in the Statement of
Additional Information and is available without charge by calling
1-800-348-4782.
27
<Page>
JPMorgan Funds
TAX LETTER (UNAUDITED)
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 Fund for the fiscal year
ended December 31, 2003.
<Table>
<Caption>
DIVIDENDS
RECEIVED
FUND DEDUCTION
Growth and Income Fund 100%
</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, 95.24% of ordinary income
distributions will be treated as qualified dividends.
28
<Page>
GROWTH AND INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS AS OF DECEMBER 31, 2003
(Amounts in thousands)
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS - 99.7%
COMMON STOCKS -- 99.5%
AEROSPACE -- 2.9%
137 General Dynamics Corp. $ 12,420
218 United Technologies Corp. 20,659
=============================================================================
33,079
=============================================================================
APPAREL -- 1.5%
51 Nike, Inc., Class B 3,498
316 VF Corp. 13,673
=============================================================================
17,171
=============================================================================
AUTOMOTIVE -- 0.5%
155 Genuine Parts Co. 5,129
BANKING -- 12.3%
251 Bank of America Corp. 20,163
339 BB&T Corp. 13,080
185 FleetBoston Financial Corp. 8,053
312 North Fork Bancorporation, Inc. 12,619
110 PNC Financial Services Group, Inc. 6,031
198 SouthTrust Corp. 6,481
224 SunTrust Banks, Inc. 16,002
318 The Bank of New York Co., Inc. 10,535
563 U.S. Bancorp 16,778
278 Wachovia Corp. 12,938
256 Wells Fargo & Co. 15,058
=============================================================================
137,738
=============================================================================
BROADCASTING/CABLE -- 1.5%
328 Cablevision Systems Corp., Class A * (I) 7,672
533 Hughes Electronics Corp. * 8,826
=============================================================================
16,498
=============================================================================
BUSINESS SERVICES -- 1.2%
192 Equifax, Inc. 4,699
353 IMS Health, Inc. 8,778
=============================================================================
13,477
=============================================================================
CHEMICALS -- 1.1%
112 PPG Industries, Inc. 7,183
150 The Sherwin-Williams Co. 5,211
=============================================================================
12,394
=============================================================================
COMPUTER SOFTWARE -- 1.8%
429 Computer Associates International, Inc. $ 11,720
193 DST Systems, Inc. * (I) 8,056
=============================================================================
19,776
=============================================================================
COMPUTERS/COMPUTER HARDWARE -- 3.0%
433 Hewlett-Packard Co. 9,942
135 International Business Machines Corp. 12,474
144 Lexmark International, Inc. * 11,324
=============================================================================
33,740
=============================================================================
CONSTRUCTION MATERIALS -- 1.0%
248 Vulcan Materials Co. 11,774
CONSUMER PRODUCTS -- 2.2%
447 Altria Group, Inc. 24,326
DIVERSIFIED -- 1.0%
412 Tyco International LTD (Bermuda) 10,921
ENTERTAINMENT/LEISURE -- 0.7%
186 Carnival Corp. 7,406
ENVIRONMENTAL SERVICES -- 1.0%
377 Waste Management, Inc. 11,150
FINANCIAL SERVICES -- 13.6%
340 American Express Co. 16,393
1,084 Citigroup, Inc. 52,635
364 Freddie Mac 21,240
217 Golden West Financial Corp. 22,392
175 H & R Block, Inc. 9,684
199 Janus Capital Group, Inc. 3,262
216 Prudential Financial, Inc. 9,018
152 T. Rowe Price Group, Inc. 7,225
305 Washington Mutual, Inc. 12,221
=============================================================================
154,070
=============================================================================
FOOD/BEVERAGE PRODUCTS -- 1.6%
58 Brown-Forman Corp., Class B 5,462
150 Dean Foods Co. * 4,931
226 Kraft Foods, Inc., Class A 7,284
=============================================================================
17,677
=============================================================================
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
29
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS - CONTINUED
HEALTH CARE/HEALTH CARE SERVICES -- 1.0%
117 WellPoint Health Networks, Inc. * $ 11,309
INSURANCE -- 8.6%
358 American International Group, Inc. 23,699
213 Chubb Corp. 14,478
117 Marsh & McLennan Companies, Inc. 5,622
315 MGIC Investment Corp. 17,953
208 Principal Financial Group, Inc. 6,872
264 SAFECO Corp. 10,270
1,036 Travelers Property Casualty Corp.,
Class A 17,380
=============================================================================
96,274
=============================================================================
MANUFACTURING -- 0.8%
148 Cooper Industries LTD, Class A 8,545
METALS/MINING -- 0.7%
200 Alcoa, Inc. 7,589
MULTI-MEDIA -- 8.5%
353 Comcast Corp., Class A * 11,589
159 Gannett Co., Inc. 14,176
147 Knight Ridder, Inc. 11,373
1,608 Liberty Media Corp., Class A * 19,116
103 The E.W. Scripps Co., Class A 9,668
1,082 Time Warner, Inc. * 19,470
217 Viacom, Inc., Class B 9,647
=============================================================================
95,039
=============================================================================
OIL & GAS -- 10.0%
196 Burlington Resources, Inc. 10,871
266 ChevronTexaco Corp. 22,995
341 ConocoPhillips 22,353
214 Devon Energy Corp. 12,265
1,081 Exxon Mobil Corp. 44,338
=============================================================================
112,822
=============================================================================
PHARMACEUTICALS -- 1.7%
131 AmerisourceBergen Corp. 7,344
214 Pfizer, Inc. 7,565
110 Wyeth 4,661
=============================================================================
19,570
=============================================================================
PIPELINES -- 1.6%
299 Kinder Morgan, Inc. $ 17,689
PRINTING & PUBLISHING -- 0.6%
9 Washington Post Co., Class B 7,281
REAL ESTATE -- 0.7%
279 Brookfield Properties Corp. (Canada) 8,016
REAL ESTATE INVESTMENT TRUST -- 0.8%
220 Public Storage, Inc. 9,541
RESTAURANTS/FOOD SERVICES -- 1.2%
303 Outback Steakhouse, Inc. 13,413
RETAILING -- 4.6%
196 AutoZone, Inc. * 16,710
145 CarMax, Inc. * 4,492
404 Circuit City Stores, Inc. 4,094
308 Home Depot, Inc. 10,934
321 Kroger Co. * 5,942
409 The TJX Companies, Inc. 9,014
=============================================================================
51,186
=============================================================================
TELECOMMUNICATIONS -- 6.8%
367 Alltel Corp. 17,081
321 CenturyTel, Inc. 10,468
859 SBC Communications, Inc. 22,402
746 Verizon Communications, Inc. 26,177
=============================================================================
76,128
=============================================================================
TELECOMMUNICATIONS EQUIPMENT -- 0.6%
132 QUALCOMM, Inc. 7,103
TOYS & GAMES -- 1.0%
584 Mattel, Inc. 11,250
UTILITIES -- 3.4%
224 Consolidated Edison, Inc. 9,639
194 Dominion Resources, Inc. 12,402
180 DPL, Inc. 3,767
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
30
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS - CONTINUED
UTILITIES -- CONTINUED
304 Energy East Corp. $ 6,814
172 FirstEnergy Corp. 6,054
=============================================================================
38,676
=============================================================================
Total Common Stocks 1,117,757
(Cost $929,367)
=============================================================================
PREFERRED STOCKS -- 0.2%
MULTI-MEDIA -- 0.2%
60 News Corp. LTD, ADR, (Australia) 1,804
(Cost $1,724)
SHORT-TERM INVESTMENT -- 0.3%
MONEY MARKET FUND -- 0.3%
3,318 JPMorgan Prime Money Market Fund (a) 3,318
(Cost $3,318)
=============================================================================
Total Investments -- 100.0% $ 1,122,879
(Cost $934,409)
=============================================================================
<Caption>
SHARES COLLATERAL INVESTMENTS
- --------------------------------------------------------------------------------------------
MONEY MARKET FUNDS (c)
521 AIM Short term Investment Co.-Liquid $ 521
522 Merrill Lynch Premier Institution
Money Market Fund 522
=============================================================================
$ 1,043
=============================================================================
</Table>
Abbreviations:
* -- Non-income producing security.
(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 the security, has been delivered to a
counterparty as part of a security lending transaction.
ADR -- American Depositary Receipt
SEE NOTES TO FINANCIAL STATEMENTS.
31
<Page>
GROWTH AND INCOME PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES AS OF DECEMBER 31, 2003
(Amounts in thousands)
<Table>
ASSETS:
Investment securities, at value $ 1,122,879
- --------------------------------------------------------------------------------
Investments held as collateral for
securities lending program 1,043
- --------------------------------------------------------------------------------
Cash 32
- --------------------------------------------------------------------------------
Receivables:
- --------------------------------------------------------------------------------
Interest and dividends 1,294
- --------------------------------------------------------------------------------
Security lending (net) 4
- --------------------------------------------------------------------------------
Expense reimbursements 1
================================================================================
Total Assets 1,125,253
================================================================================
LIABILITIES:
Payables:
Collateral for securities
lending program 1,043
- --------------------------------------------------------------------------------
Accrued liabilities:
- --------------------------------------------------------------------------------
Investment advisory fees 382
- --------------------------------------------------------------------------------
Administration fees 48
- --------------------------------------------------------------------------------
Custodian fees 4
- --------------------------------------------------------------------------------
Trustees' fees - deferred
compensation plan 176
- --------------------------------------------------------------------------------
Other 50
- --------------------------------------------------------------------------------
Total Liabilities 1,703
================================================================================
NET ASSETS APPLICABLE TO
INVESTORS' BENEFICIAL INTERESTS $ 1,123,550
================================================================================
Cost of investments $ 934,409
================================================================================
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
32
<Page>
STATEMENT OF OPERATIONS FOR THE YEAR ENDED DECEMBER 31, 2003
(Amounts in thousands)
<Table>
INVESTMENT INCOME:
Dividend $ 22,423
- --------------------------------------------------------------------------------
Dividend income from affiliated
investments* 295
- --------------------------------------------------------------------------------
Securities lending (net) 41
- --------------------------------------------------------------------------------
Foreign taxes withheld (22)
================================================================================
Total investment income 22,737
================================================================================
EXPENSES:
Investment advisory fees 4,286
- --------------------------------------------------------------------------------
Administration fees 536
- --------------------------------------------------------------------------------
Custodian fees 21
- --------------------------------------------------------------------------------
Accounting fees 17
- --------------------------------------------------------------------------------
Professional fees 87
- --------------------------------------------------------------------------------
Trustees' fees 6
- --------------------------------------------------------------------------------
Other 15
================================================================================
Total expenses 4,968
================================================================================
Net investment income (loss) 17,769
================================================================================
REALIZED AND UNREALIZED
GAIN (LOSS) ON INVESTMENTS:
Net realized gain (loss) on
transactions from investments (85,558)
- --------------------------------------------------------------------------------
Change in net unrealized
appreciation (depreciation)
of investments 328,402
================================================================================
Net realized and unrealized gain
(loss) on investments 242,844
================================================================================
Net increase (decrease) in
net assets from operations $ 260,613
================================================================================
* Includes reimbursements of
investment advisory and
administration fees: $ 44
================================================================================
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
33
<Page>
STATEMENT OF CHANGES IN NET ASSETS FOR THE PERIODS INDICATED
(Amounts in thousands)
<Table>
<Caption>
YEAR ENDED YEAR ENDED
12/31/03 12/31/02
INCREASE (DECREASE) IN NET
ASSETS FROM OPERATIONS:
Net investment income (loss) $ 17,769 $ 21,760
- -------------------------------------------------------------------------------------------
Net realized gain (loss) on investments (85,558) (68,049)
- -------------------------------------------------------------------------------------------
Change in net unrealized appreciation
(depreciation) of investments 328,402 (205,933)
===========================================================================================
Increase (decrease) in net assets
from operations 260,613 (252,222)
===========================================================================================
TRANSACTIONS IN INVESTORS'
BENEFICIAL INTEREST:
Contributions 55,219 126,703
- -------------------------------------------------------------------------------------------
Withdrawals (257,032) (399,691)
- -------------------------------------------------------------------------------------------
Increase (decrease) from transactions
in investors' beneficial interest (201,813) (272,988)
===========================================================================================
Total increase (decrease) in net
assets 58,800 (525,210)
===========================================================================================
NET ASSETS:
Beginning of period 1,064,750 1,589,960
===========================================================================================
End of period $ 1,123,550 $ 1,064,750
===========================================================================================
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
34
<Page>
GROWTH AND INCOME PORTFOLIO
NOTES TO FINANCIAL STATEMENTS
1. ORGANIZATION
Growth and Income Portfolio ("GIP" or the "Portfolio") is separately registered
under the Investment Company Act of 1940 as amended (the "1940 Act"), as a
non-diversified, open end management investment company organized as a trust
under the laws of the State of New York. The declaration of trust permits the
Trustees to issue beneficial interests in the Portfolio.
2. SIGNIFICANT ACCOUNTING PRINCIPLES
THE FOLLOWING IS A SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES FOLLOWED BY THE
PORTFOLIO:
The preparation of financial statements in accordance with accounting principles
generally accepted in the United States of America requires management to make
estimates and assumptions that affect the reported amounts and disclosures in
the financial statements. Actual results could differ from those estimates.
A. VALUATION OF INVESTMENTS -- Equity securities, purchased options and futures
contracts are valued at the last sale price on the exchange on which they are
primarily traded. The value of National Market System equity securities quoted
by The Nasdaq Stock Market, Inc. shall generally be the Nasdaq Official Closing
Price. Securities for which sale prices are not available and other
over-the-counter securities are valued at the mean between the bid and asked
quotations. Fixed income securities (other than convertible bonds) with a
maturity of 61 days or more held by the Portfolio 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 Portfolio 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 Portfolio'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
prices of indices, securities and exchange rate in other markets in determining
fair value as of the time a Fund calculates its net asset value.
B. RESTRICTED AND ILLIQUID SECURITIES -- The Portfolio 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.
35
<Page>
C. SECURITIES ON LOAN -- For the Portfolio, the Board of Trustees has approved
the lending of securities, through its custodian JPMorgan Chase Bank ("JPMCB"),
an affiliate of the Portfolio, acting as lending agent to certain borrowers. By
lending investment securities, the Portfolio 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
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 Portfolio. The
Portfolio also continues to receive interest or dividends on the securities
loaned. The Portfolio 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 Portfolio 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
$ 1,034 $ 1,043
- ---------------------------------------------------------
</Table>
JPMCB as lending agent received a fee of $22 (amount in thousands) from the
Portfolio, which is equal to 0.06% of the average dollar value of loans of U.S.
securities outstanding during a given month and 0.1142% of the average dollar
value of loans on non-U.S. securities outstanding during a given month.
Risks of delay in recovery of securities or even loss of rights in the
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
Portfolio from any loss resulting from a borrower's failure to return a loaned
security when due.
D. SECURITY TRANSACTIONS AND INVESTMENT INCOME -- Investment transactions are
accounted for on the trade date (the date the order to buy or sell is executed).
Securities gains and losses are calculated on the identified cost basis.
Interest income is determined on the basis of coupon interest accrued using the
interest method adjusted for amortization of premiums and accretion of
discounts. Dividend income less foreign taxes withheld ( if any) is recorded on
the ex-dividend date or when the Portfolio first learns of the dividend.
E. EXPENSES -- Expenses directly attributable to the Portfolio are charged to
the Portfolio; other expenses are allocated on another reasonable basis.
F. OTHER EXPENSES -- Other expenses in the Statement of Operations include fees
related to line of credit and pricing services.
G. FEDERAL INCOME TAXES -- The Portfolio intends to continue to qualify as a
partnership and therefore net investment income and net realized gains are taxed
to the partners. Accordingly, no tax provisions are recorded by the Portfolio.
The investors in the Portfolio must take into account their proportionate share
of the Portfolio's income, gains, losses, deductions, credits and tax preference
items in computing their federal income tax liability, without regard to whether
they have received any cash distributions from the Portfolio. The Portfolio does
not intend to distribute to investors its net investment income or its net
realized gains, if any. It is intended that the Portfolio will be managed in
such a way
36
<Page>
that investors in the Portfolio will be able to satisfy the requirements of
subchapter M of the Internal Revenue Code to be taxed as regulated investment
companies.
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 Portfolio. Prior to September 1,
2003, J.P. Morgan Fleming Asset Management (USA) Inc. ("JPMFAM"), a wholly owned
subsidiary of JPMCB served as the Advisor to the Portfolio. On September 1,
2003, JPMFAM and Robert Fleming Inc., merged into JPMIM. Prior to October 1,
2003, JPMIM was a wholly owned subsidiary of J.P. Morgan Chase & Co. On October
1, 2003, JPMIM became a wholly owned subsidiary of J.P. Morgan Fleming Asset
Management Holdings, Inc., which is a wholly owned subsidiary of J.P. Morgan
Chase & Co. The investment advisory services and personnel providing investment
advice have not changed as a result of the merger and ownership change. Neither
the merger nor the ownership change constituted an assignment under the 1940 Act
or the Investment Advisors Act of 1940. The Advisor supervises the investments
of the Portfolio and for such services is paid a fee. The fee is accrued daily
and paid monthly at an annual rate equal to 0.40% of the Portfolio's average
daily net assets.
The Portfolio 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 Portfolio in an amount to offset any doubling up of investment advisory and
administration fees related to the Portfolio's investment in an affiliated money
market fund.
B. CUSTODIAN FEES -- JPMCB provides portfolio custody services for the
Portfolio. Compensation for such services is presented in the Statement of
Operations as custodian fees. The custodian fees may be reduced by credits
earned by the Portfolio, based on the uninvested cash balances held by the
custodian. Such earning credits are presented separately in the Statement of
Operations.
C. ADMINISTRATION FEE -- Pursuant to an Administration Agreement, JPMCB (the
"Administrator"), provides certain administration services to the Portfolio. In
consideration of these services, the Administrator receives from the Portfolio a
fee accrued daily and paid monthly at an annual rate equal to 0.05% of the
Portfolio's average daily net assets.
BISYS Fund Services, LP ("BISYS") serves as the Portfolio's sub-administrator.
For its services as sub-administrator, BISYS receives a portion of the fees
payable to JPMCB as Administrator.
D. OTHER - The Portfolio may purchase securities from an underwriting syndicate
in which the principal underwriter or members of the syndicate are affiliated
with the Advisor.
For the year ended December 31, 2003, the Portfolio did not purchase any
securities from brokers/dealers affiliated with JPMCB.
The SEC has granted an exemptive order permitting each portfolio to engage in
principal transactions with J.P. Morgan Securities Inc., an affiliated broker,
involving taxable money market instruments subject to certain conditions.
37
<Page>
4. 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
$ 383,211 $ 554,066 $ -- $ --
- ---------------------------------------------------------------------------------------------------------------
</Table>
5. 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)
$ 951,658 $ 189,405 $(18,184) $ 171,221
- ---------------------------------------------------------------------------------------------------------------
</Table>
6. BANK BORROWINGS
Pursuant to a Line of Credit Agreement, dated April 17, 2003, the Portfolio may
borrow money for temporary or emergency purposes. The Portfolio has entered into
the agreement, enabling it to participate with other JPMorgan Funds in a line of
credit with JPMCB, as administrative agent, and with a syndicate of banks, which
permits borrowings up to $250 million, collectively. Interest is charged to the
Portfolio based on its borrowings at an annual rate equal to the sum of the
Federal Funds Rate plus 0.50%. The Portfolio also pays a commitment fee of 0.10%
per annum on the average daily amount of the available commitment, which is
allocated on a pro-rata basis to the Portfolio. 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 Portfolio 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 Portfolio based on its borrowings at an
annual rate equal to the sum of the Federal Funds Rate plus 0.50%. The Portfolio
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 Portfolio.
This agreement expired on April 16, 2003. The commitment fee is included in
Other expenses on the Statement of Operations.
The Portfolio had no borrowings outstanding at December 31, 2003, nor at any
time during the period then ended.
38
<Page>
7. CONCENTRATIONS AND INDEMNIFICATIONS
In the normal course of business, the Portfolio may enter into contracts that
contain a variety of representations which provide general indemnifications. The
Portfolio's maximum exposure under these arrangements is unknown, as this would
involve future claims that may be made against the Portfolio that have not yet
occurred. However, based on experience, the Fund can expect the risk of loss to
be remote.
8. 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.
SUPPLEMENTARY DATA
<Table>
<Caption>
YEAR YEAR 11/1/01 YEAR ENDED
ENDED ENDED THROUGH ---------------------------------
12/31/03 12/31/02 12/31/01* 10/31/01 10/31/00 10/31/99
RATIOS TO AVERAGE NET ASSETS:#
Net expenses 0.46% 0.47% 0.46% 0.47% 0.47% 0.47%
- -----------------------------------------------------------------------------------------------------------------
Net investment income (loss) 1.66% 1.64% 1.45% 1.43% 1.05% 1.20%
- -----------------------------------------------------------------------------------------------------------------
Expenses without reimbursements 0.46% 0.47% 0.46% 0.48% 0.47% 0.47%
- -----------------------------------------------------------------------------------------------------------------
Net investment income (loss)
without reimbursements 1.66% 1.64% 1.45% 1.42% 1.05% 1.20%
- -----------------------------------------------------------------------------------------------------------------
PORTFOLIO TURNOVER RATE(a) 37% 70% 0% 12% 30% 125%
=================================================================================================================
TOTAL RETURN(a) 27.5% (15.9%) 7.1% (18.7%) 9.1% 14.1%
=================================================================================================================
</Table>
* The Portfolio changed its fiscal year end from October 31 to December 31.
# Short periods have been annualized.
(a) Not annualized for periods less than one year.
39
<Page>
GROWTH AND INCOME PORTFOLIO
REPORT OF INDEPENDENT AUDITORS
To the Trustees and Beneficial Unit Holders of
Growth and Income Portfolio:
In our opinion, the accompanying statement of assets and liabilities, including
the portfolio of investments, and the related statements of operations and of
changes in net assets and the supplementary data present fairly, in all material
respects, the financial position of Growth and Income Portfolio (the
"Portfolio") at December 31, 2003, the results of its operations for the year
then ended, the changes in its net assets for each of the two years in the
period then ended and the supplementary data for each of the periods presented,
in conformity with accounting principles generally accepted in the United States
of America. These financial statements and the supplementary data (hereafter
referred to as "financial statements") are the responsibility of the Portfolio's
management; our responsibility is to express an opinion on these financial
statements based on our audits. We conducted our audits of these financial
statements in accordance with auditing standards generally accepted in the
United States of America, which require that we plan and perform the audit to
obtain reasonable assurance about whether the financial statements are free of
material misstatement. An audit includes examining, on a test basis, evidence
supporting the amounts and disclosures in the financial statements, assessing
the accounting principles used and significant estimates made by management, and
evaluating the overall financial statement presentation. We believe that our
audits, which included confirmation of securities at 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
40
<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.
41
<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-GIF-1203
<Page>
JPMORGAN SELECT GROWTH AND INCOME FUND
As of December 31, 2003
PRESIDENT'S LETTER
February 17, 2004
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.
IMPORTANT MERGER NEWS
As you may know, JPMorgan Chase and Bank One have agreed to combine forces by
mid-2004, subject to approval by 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,
/s/
George C.W. Gatch
President
JPMorgan Funds
<Page>
JPMORGAN SELECT GROWTH AND INCOME FUND
<Table>
<Caption>
FUND FACTS
Fund Inception 1/6/1998
Fiscal Year End DECEMBER 31
Net Assets as of 12/31/2003 (In Millions) $427.8
Primary Benchmark S&P 500/BARRA VALUE INDEX
</Table>
Q. HOW DID THE FUND PERFORM?
A. JPMorgan Select Growth and Income Fund, which seeks to provide capital growth
over the long term and earn income from dividends, gained 27.18% during the year
ended December 31, 2003. This compares with a 31.8% return from the Fund's
benchmark, the S&P/BARRA Value Index.
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 by many companies, 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.
The primary drag on the Fund's relative performance was an underweight position
in the resurging Information Technology sector, which in turn was propelled by
the strength of semiconductor stocks. Additionally, the Fund's
Telecommunications holdings negatively impacted performance. Within the
Telecommunications sector, investors rotated out of the regulated wireline
players, where the portfolio is overweight, and into the wireless names, where
the portfolio is under weight.
There were a number of bright spots in the Fund's performance during the year,
particularly in the consumer discretionary sector where your portfolio manager
was able to add value. In particular, an overweight position in media names such
as, Liberty Media, EchoStar Communications, and Hughes Electronics, 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 - regardless of their economic sector - trading at attractive
valuations will outperform in the long-term. The portfolio manager sought to
maintain significant sector diversification in the portfolio and to avoid any
large bets contingent on macroeconomic or sector trends.
During the period we did increase the Fund's weighting in the Consumer
Discretionary sector, where we added names such as Washington Post and Home
Depot.
UNAUDITED
<Page>
JPMorgan Select Growth & Income Fund, as of December 31, 2003.
<Table>
<Caption>
SECTORS % OF INVESTMENTS
- ----------------------------------------------------------------------------
Finance & Insurance 34.6%
Consumer Goods & Services 24.1%
Energy 11.6%
Industrial Products & Services 8.4%
Telecommunications 6.8%
Technology 6.6%
Utilities 3.4%
Pharmaceuticals 1.7%
REITs 1.5%
Health Services & Systems 1.0%
Short-Term Investments 0.3%
-----
100.0%
</Table>
UNAUDITED
<Page>
JPMORGAN SELECT GROWTH AND INCOME FUND
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO
As of December 31, 2003
1. CITIGROUP, INC. (4.7%)
2. EXXON MOBIL CORP. (3.9%)
3. VERIZON COMMUNICATIONS, INC. (2.3%)
4. ALTRIA GROUP, INC. (2.2%)
5. AMERICAN INTERNATIONAL GROUP, INC. (2.1%)
6. CHEVRONTEXACO CORP. (2.1%)
7. SBC COMMUNICATIONS, INC. (2.0%)
8. GOLDEN WEST FINANCIAL CORP. (2.0%)
9. CONOCOPHILLIPS (2.0%)
10. FREDDIE MAC (1.9%)
TOP 10 EQUITY HOLDINGS COMPRISED 25.2% OF THE PORTFOLIO'S MARKET VALUE OF
INVESTMENTS ($282,556 IN THOUSANDS). AS OF DECEMBER 31, 2003, THE FUND HELD
92 EQUITY HOLDINGS. PORTFOLIO HOLDINGS ARE SUBJECT TO CHANGE AT ANY TIME.
UNAUDITED
<Page>
JPMORGAN SELECT GROWTH AND INCOME FUND
As of December 31, 2003
AVERAGE ANNUAL TOTAL RETURNS
<Table>
<Caption>
1 YEAR 3 YEARS 5 YEARS 10 YEARS
- ------------------------------------------------------------------------------------------
Select Growth and Income Fund 27.18% (2.82%) 0.20% 8.34%
</Table>
UNAUDITED
<Page>
[CHART]
TEN-YEAR PERFORMANCE (12/31/93 TO 12/31/03)*
<Table>
<Caption>
JPMORGAN SELECT GROWTH S&P 500/BARRA LIPPER LARGE-CAP
AND INCOME FUND VALUE INDEX VALUE FUNDS INDEX
12/31/93 5,000,000.00 5,000,000.00 5,000,000.00
01/31/94 5,153,500.00 5,233,000.00 5,163,000.00
02/28/94 5,060,737.00 5,043,565.40 5,039,088.00
03/31/94 4,866,404.70 4,836,274.86 4,829,965.85
04/30/94 4,856,671.89 4,938,320.26 4,889,857.42
05/31/94 4,892,611.26 5,020,296.38 4,960,271.37
06/30/94 4,799,162.39 4,881,234.17 4,840,728.83
07/31/94 4,889,386.64 5,046,219.88 4,982,078.11
08/31/94 5,050,247.46 5,189,027.91 5,183,852.28
09/30/94 4,945,707.34 5,006,374.12 5,048,553.73
10/31/94 4,995,164.41 5,115,513.08 5,131,350.01
11/30/94 4,816,837.04 4,908,334.80 4,952,779.03
12/31/94 4,829,360.82 4,968,707.32 5,008,745.44
01/31/95 4,872,342.13 5,103,359.29 5,098,902.85
02/28/95 5,066,748.58 5,301,369.63 5,288,582.04
03/31/95 5,208,110.87 5,447,687.43 5,412,334.86
04/30/95 5,289,878.21 5,626,916.34 5,569,833.80
05/31/95 5,468,676.09 5,877,314.12 5,776,474.64
06/30/95 5,608,127.33 5,921,981.71 5,901,824.14
07/31/95 5,857,689.00 6,126,290.08 6,088,321.78
08/31/95 5,892,835.13 6,178,363.54 6,125,460.54
09/30/95 5,998,316.88 6,393,370.60 6,345,364.58
10/31/95 5,883,749.03 6,293,634.01 6,294,601.66
11/30/95 6,112,626.86 6,623,420.44 6,567,157.91
12/31/95 6,160,305.35 6,806,889.18 6,673,545.87
01/31/96 6,380,844.28 7,010,415.17 6,879,091.08
02/29/96 6,441,462.31 7,076,313.07 6,956,136.90
03/31/96 6,566,426.67 7,241,898.80 7,031,263.18
04/30/96 6,660,983.22 7,315,766.16 7,126,888.36
05/31/96 6,750,240.39 7,426,234.23 7,258,735.80
06/30/96 6,727,964.60 7,390,588.31 7,263,091.04
07/31/96 6,427,224.58 7,078,705.48 6,978,377.87
08/31/96 6,652,820.17 7,274,077.75 7,159,815.69
09/30/96 6,958,184.61 7,585,408.28 7,510,646.66
10/31/96 7,062,557.38 7,842,553.62 7,669,121.31
11/30/96 7,521,623.61 8,442,508.98 8,218,230.39
12/31/96 7,384,730.06 8,304,051.83 8,079,342.30
01/31/97 7,791,628.69 8,686,868.62 8,487,349.09
02/28/97 7,789,291.20 8,750,282.76 8,555,247.88
03/31/97 7,487,066.70 8,451,023.09 8,228,437.41
04/30/97 7,792,539.02 8,767,936.45 8,594,602.87
05/31/97 8,245,285.54 9,317,686.07 9,089,652.00
06/30/97 8,564,378.09 9,673,621.68 9,468,690.49
07/31/97 9,246,959.02 10,447,511.41 10,182,629.75
08/31/97 8,914,993.19 9,975,283.90 9,746,813.20
09/30/97 9,391,053.83 10,559,835.53 10,245,850.03
10/31/97 9,136,556.27 10,171,233.58 9,936,425.36
11/30/97 9,426,185.10 10,558,757.58 10,262,340.11
12/31/97 9,604,340.00 10,793,162.00 10,379,330.79
01/31/98 9,558,239.17 10,660,406.11 10,393,861.85
02/28/98 10,239,741.62 11,459,936.57 11,077,777.96
03/31/98 10,717,937.56 12,040,955.35 11,569,631.31
04/30/98 10,796,178.50 12,183,038.62 11,687,641.55
05/31/98 10,526,274.04 12,011,257.78 11,488,951.64
06/30/98 10,731,536.38 12,102,543.34 11,703,795.03
07/31/98 10,405,297.68 11,839,918.15 11,501,319.38
08/31/98 8,820,570.84 9,936,059.31 9,931,389.28
09/30/98 9,439,774.91 10,540,171.72 10,409,089.11
10/31/98 10,022,209.03 11,365,467.16 11,242,857.15
11/30/98 10,314,857.53 11,957,608.00 11,816,242.86
12/31/98 11,026,582.70 12,377,320.04 12,272,349.84
01/31/99 11,130,232.58 12,627,341.91 12,476,070.84
02/28/99 10,670,553.97 12,355,854.06 12,190,368.82
03/31/99 11,040,822.19 12,730,236.43 12,560,956.03
04/30/99 11,677,877.63 13,827,582.81 13,300,796.34
05/31/99 11,576,280.10 13,582,834.60 13,073,352.73
06/30/99 11,968,715.99 14,104,415.45 13,649,887.58
07/31/99 11,534,251.60 13,669,999.45 13,262,230.77
08/31/99 11,218,213.11 13,324,148.47 13,020,858.17
09/30/99 10,830,062.94 12,803,174.26 12,539,086.42
10/31/99 11,382,396.15 13,526,553.61 13,143,470.39
11/30/99 11,462,072.92 13,446,746.94 13,189,472.53
12/31/99 11,996,205.52 13,952,344.62 13,595,708.29
01/31/00 11,715,494.31 13,508,660.07 13,020,609.83
02/29/00 11,314,824.40 12,664,368.81 12,472,442.15
03/31/00 12,416,888.30 13,985,262.48 13,614,917.85
04/30/00 12,266,643.95 13,891,561.22 13,463,792.27
05/31/00 12,007,817.76 13,934,625.06 13,473,216.92
06/30/00 11,850,515.35 13,384,207.37 13,325,011.53
07/31/00 12,074,490.09 13,651,891.52 13,265,048.98
08/31/00 12,804,996.74 14,566,568.25 14,033,095.32
09/30/00 12,420,846.84 14,563,654.94 13,811,372.41
10/31/00 12,479,224.82 14,835,995.28 13,921,863.39
11/30/00 11,786,627.84 14,076,392.32 13,324,615.45
12/31/00 12,137,869.35 14,801,326.53 13,861,597.46
01/31/01 12,135,441.78 15,425,942.51 13,976,648.71
02/28/01 11,474,060.20 14,403,202.52 13,302,974.25
03/31/01 10,925,600.12 13,834,276.02 12,785,488.55
04/30/01 11,739,557.33 14,772,239.93 13,510,425.75
05/31/01 11,871,040.37 14,927,348.45 13,727,943.60
06/30/01 11,417,566.63 14,443,702.36 13,354,543.54
07/31/01 11,341,068.94 14,193,826.31 13,263,732.64
08/31/01 10,629,983.91 13,373,423.15 12,642,989.95
09/30/01 9,802,971.16 12,102,947.95 11,656,836.74
10/31/01 9,868,651.07 12,102,947.95 11,732,606.18
11/30/01 10,424,256.13 12,871,485.15 12,484,666.23
12/31/01 10,577,492.69 13,067,131.72 12,673,184.69
01/31/02 10,475,948.76 12,709,092.31 12,438,730.78
02/28/02 10,451,854.08 12,595,981.39 12,370,317.76
03/31/02 10,911,735.66 13,240,895.64 12,915,848.77
04/30/02 10,366,148.88 12,577,526.77 12,365,633.61
05/31/02 10,472,920.21 12,627,836.87 12,381,708.94
06/30/02 9,780,660.18 11,831,020.37 11,518,703.82
07/31/02 8,904,313.03 10,552,087.07 10,523,487.81
08/31/02 8,984,451.85 10,624,896.47 10,593,995.18
09/30/02 8,030,303.06 9,410,470.80 9,369,329.34
10/31/02 8,757,045.49 10,192,480.92 10,057,038.11
11/30/02 9,187,016.42 10,909,012.33 10,687,614.40
12/31/02 8,757,982.76 10,341,743.69 10,178,883.96
01/31/03 8,532,026.80 10,058,379.91 9,936,626.52
02/28/03 8,284,598.02 9,784,791.98 9,688,210.85
03/31/03 8,273,828.05 9,772,071.75 9,682,397.93
04/30/03 9,015,990.42 10,738,529.65 10,499,592.31
05/31/03 9,632,684.17 11,528,885.43 11,146,367.20
06/30/03 9,753,092.72 11,613,046.29 11,273,435.79
07/31/03 9,864,277.98 11,870,855.92 11,430,136.54
08/31/03 10,016,187.86 12,127,266.41 11,623,305.85
09/30/03 9,855,928.85 11,907,762.89 11,493,124.82
10/31/03 10,391,105.79 12,722,253.87 12,127,545.31
11/30/03 10,549,050.60 12,836,754.15 12,276,714.12
12/31/03 11,136,235 13,630,066 13,029,277
</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 1/6/98.
Returns for the Fund prior to 1/6/98 (offering date of the Fund) are calculated
using the historical expenses of the JPMorgan Growth and Income Fund (Select
Shares), which are higher than the expenses of the Select Growth and Income
Fund.
The graph illustrates comparative performance for $5,000,000 invested in the
JPMorgan Select Growth and Income Fund, S&P 500/BARRA Value Index, and Lipper
Large-Cap Value 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 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/BARRA Value Index contains large U.S.
companies with lower price-to-book ratios relative to the S&P 500 Index. The
Lipper Large-Cap Value Funds Index represents the total returns of the funds in
the indicated category, as defined by Lipper, Inc. Investors cannot invest
directly in an index.
The Fund has a $5,000,000 minimum initial deposit and carries no sales charge.
UNAUDITED
<Page>
JPMORGAN SELECT GROWTH AND INCOME FUND
Statement of Assets & Liabilities
As of December 31, 2003
(Amounts in thousands, except per share amount)
<Table>
ASSETS:
Investment in Growth and Income Portfolio, at value $ 428,240
Receivables:
Fund Shares Sold 666
Expense reimbursement 1
- -----------------------------------------------------------------------------------------------
Total Assets 428,907
- -----------------------------------------------------------------------------------------------
LIABILITIES:
Payables:
Distributions 4
Fund shares redeemed 922
Accrued liabilities:
Administration fees 35
Trustees' fees - deferred compensation plan 30
Other 71
- -----------------------------------------------------------------------------------------------
Total Liabilities 1,062
- -----------------------------------------------------------------------------------------------
NET ASSETS:
Paid in capital 422,882
Accumulated undistributed (overdistributed) net investment income (37)
Accumulated net realized gain (loss) on investment in Portfolio (60,095)
Net unrealized appreciation (depreciation) of investment in Portfolio 65,095
- -----------------------------------------------------------------------------------------------
Total Net Assets $ 427,845
- -----------------------------------------------------------------------------------------------
Shares of beneficial interest outstanding ($0.001 par value;
unlimited number of shares authorized): 10,589
Net asset value, redemption and offering price per share: $ 40.41
===============================================================================================
</Table>
See notes to financial statements.
<Page>
Statement of Operations
For the year ended December 31, 2003
(Amounts in thousands)
<Table>
INVESTMENT INCOME:
Allocated investment income from Portfolio $ 7,844
Allocated expenses from Portfolio (1,716)
- --------------------------------------------------------------------------------------------------
Total investment income 6,128
- --------------------------------------------------------------------------------------------------
EXPENSES:
Administration fees 370
Accounting fees 6
Professional fees 15
Transfer agent fees 11
Trustees' fees 3
Other 4
- --------------------------------------------------------------------------------------------------
Total expenses 409
- --------------------------------------------------------------------------------------------------
Net investment income (loss) 5,719
- --------------------------------------------------------------------------------------------------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
Net realized gain (loss) allocated from Portfolio (29,481)
Change in net unrealized appreciation (depreciation) allocated from Portfolio 115,689
- --------------------------------------------------------------------------------------------------
Net realized and unrealized gain (loss) on investments 86,208
- --------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets from operations $ 91,927
==================================================================================================
</Table>
See notes to financial statements.
<Page>
Statement of Changes in Net Assets For the periods indicated
(Amounts in thousands)
<Table>
<Caption>
YEAR YEAR
ENDED ENDED
12/31/03 12/31/02
- --------------------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS:
Net investment income (loss) $ 5,719 $ 5,981
Net realized gain (loss) allocated from Portfolio (29,481) (29,835)
Change in net unrealized appreciation (depreciation) allocated from
Portfolio 115,689 (50,607)
- --------------------------------------------------------------------------------------------------------------------
Increase (decrease) in net assets from operations 91,927 (74,461)
- --------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income (5,804) (5,833)
Net realized gain on investment transactions - -
- --------------------------------------------------------------------------------------------------------------------
Total distributions to shareholders (5,804) (5,833)
- --------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS:
Proceeds from shares issued 28,327 30,874
Dividends reinvested 5,800 5,833
Cost of shares redeemed (35,202) (58,463)
- --------------------------------------------------------------------------------------------------------------------
Increase (decrease) from capital share transactions (1,075) (21,756)
- --------------------------------------------------------------------------------------------------------------------
Total increase (decrease) in net assets 85,048 (102,050)
- --------------------------------------------------------------------------------------------------------------------
NET ASSETS:
Beginning of period 342,797 444,847
- --------------------------------------------------------------------------------------------------------------------
End of period $ 427,845 $ 342,797
- --------------------------------------------------------------------------------------------------------------------
ACCUMULATED UNDISTRIBUTED (OVERDISTRIBUTED) NET INVESTMENT INCOME $ (37) $ 48
- --------------------------------------------------------------------------------------------------------------------
SHARE TRANSACTIONS:
Issued 812 862
Reinvested 147 177
Redeemed (1,009) (1,642)
- --------------------------------------------------------------------------------------------------------------------
Change in shares (50) (603)
====================================================================================================================
</Table>
See notes to financial statements.
<Page>
JPMORGAN SELECT GROWTH AND INCOME FUND
Notes to Financial Statements
1. ORGANIZATION
J.P. Morgan Mutual Fund Group ("JPMMFG" or the "Trust") was organized on May 11,
1987 as a Massachusetts business trust and is registered under the Investment
Company Act of 1940 , as amended (the "1940 Act"), as an open-end management
investment company. JPMorgan Select Growth and Income Fund (the "Fund") is a
separate series of the Trust.
JPMMFG was formerly named Mutual Fund Group. The name change went into effect on
May 1, 2003.
2. SIGNIFICANT ACCOUNTING POLICIES
THE FOLLOWING IS A SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES FOLLOWED BY THE
FUND:
The preparation of financial statements in accordance with accounting principles
generally accepted in the United States of America requires management to make
estimates and assumptions that affect the reported amounts and disclosures in
the financial statements. Actual results could differ from those estimates.
The Fund utilizes a Master Feeder Fund structure and seeks to achieve its
investment objective by investing all of its investable assets in the Growth and
Income Portfolio (the "Portfolio") which, like the Fund, is an open-end
management investment company having the same investment objective as the Fund.
As of December 31, 2003, the Fund owned 38.1% of the net assets of the
Portfolio. The financial statements of the Portfolio, including the Portfolio of
Investments, are included elsewhere in this report and should be read in
conjunction with the financial statements of the Fund.
A. VALUATION OF INVESTMENTS - The Fund records its investment in the Portfolio
at value. Securities of the Portfolio are recorded at value as more fully
discussed in the notes to the Portfolio's financial statements.
B. INVESTMENT INCOME AND EXPENSES - The Fund records daily its pro rata share of
the Portfolio's income, expenses, and realized and unrealized gains and losses.
In addition, the Fund accrues its own expenses daily as incurred. Realized
gains/losses and changes in unrealized appreciation/depreciation represent the
Fund's share of such elements allocated from the Portfolio.
C. ALLOCATION OF EXPENSES - Expenses directly attributable to the Fund are
charged to the Fund; other expenses are allocated proportionately among each of
the Funds within the Trust in relation to the net assets of each Fund or on
another reasonable basis.
D. OTHER EXPENSES - Other expenses in the Statement of Operations include fees
related to line of credit, insurance and reporting services.
E. FEDERAL INCOME TAXES - The Fund is treated as a separate taxable entity for
Federal income tax purposes. The Fund's policy is to comply with the provisions
of the Internal Revenue Code applicable to regulated investment companies and to
distribute to shareholders all of its distributable net investment income, and
net realized gain on investments. In addition, the Fund intends to make
distributions as required to avoid excise taxes. Accordingly, no provision for
Federal income tax or excise tax is necessary.
F. 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 the 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 -
<Page>
"temporary differences"), such amounts are reclassified within the capital
accounts based on their Federal tax-basis treatment. There were no
reclassifications due to book/tax differences.
3. FEES AND OTHER TRANSACTIONS WITH AFFILIATES
A. ADMINISTRATION FEE - Pursuant to the Administration Agreement, JPMorgan Chase
Bank ("JPMCB" or the "Administrator") provides certain administration services
to the Fund. In consideration of these services, the Administrator receives a
fee computed daily and paid monthly at an annual rate equal to 0.10% of the
first $25 billion of the average daily net assets of all non-money market funds
in the JPMorgan Fund Complex plus 0.025% of the average daily net assets in
excess of $25 billion.
BISYS Fund Services, L.P. ("BISYS") serves as the Fund's sub-administrator. For
its services as sub-administrator, BISYS receives a portion of the fees payable
to JPMCB as Administrator.
The contractual expense cap was established at 0.58%. The contractual expense
limitation agreement was in effect for the year ended December 31, 2003 for the
Fund. The expense limitation percentage is due to expire on 04/30/05.
B. OTHER - Certain officers of the Trust are officers of J.P. Morgan Chase & Co.
or of BISYS or their subsidiaries.
4. FEDERAL INCOME TAX MATTERS
The tax character of distributions paid during the period ended December 31,
2003 and December 31, 2002 were as follows (amounts in thousands):
<Table>
<Caption>
LONG-TERM
PERIOD ORDINARY CAPITAL RETURN OF TOTAL
ENDED INCOME GAIN CAPITAL DISTRIBUTIONS
- -----------------------------------------------------------------------------------
December 31, 2003 $ 5,804 $ - $ - $ 5,804
December 31, 2002 $ 5,833 $ - $ - $ 5,833
</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>
Current distributable ordinary income $ 60
Plus/Less: cumulative timing differences (97)
----------------
Undistributed ordinary income or
overdistribution of ordinary income $ (37)
================
Current distributable long-term capital
gain or (tax basis capital loss carryover) $ (55,130)
Plus/Less: cumulative timing differences -
----------------
Undistributed long-term gains/
accumulated capital loss $ (55,130)
================
Unrealized appreciation (depreciation) $ *
================
</Table>
<Page>
* The Net Unrealized appreciation/ depreciation of the fund's investment in the
portfolio consists of an allocated portion of the portfolio appreciation/
depreciation.
The cummulative timing difference account primarily consists of deferred
compensation.
At December 31, 2003, the Fund had a capital loss carryover, which will be
available to offset future capital gains. To the extent that any net capital
loss carryover is used to offset future capital gains, it is probable that the
gains so offset will not be distributed to the shareholders (amounts in
thousand):
<Table>
<Caption>
AMOUNT EXPIRATION DATE
- --------------------------------------------------
$ 600 12/31/2009
$ 16,485 12/31/2010
$ 38,045 12/31/2011
- --------------------------------------------------
$ 55,130
- --------------------------------------------------
</Table>
During the year ended December 31, 2003 the Fund utilized capital loss
carryforwards of (in thousands) $3,932.
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. The Fund did not incur any post-October realized losses.
5. BANK BORROWINGS
Pursuant to a Line of Credit Agreement dated April 17, 2003, the Fund may borrow
money for temporary or emergency purposes. The Fund has entered into the
agreement, enabling it to participate with other JPMorgan Funds in a line of
credit with JPMCB, as administrative agent, and with a syndicate of banks, which
permits borrowings up to $250 million, collectively. Interest is charged to the
Fund based on its borrowings at an annual rate equal to the sum of the Federal
Funds Rate plus 0.50%. The Funds also pay a commitment fee of 0.09% per annum on
the average daily amount of the available commitment, which is allocated on a
pro-rata basis to the Funds. The commitment fee is included in Other expenses on
the Statement of Operations. This agreement will expire on April 15, 2004.
Prior to April 17, 2003, the Funds had entered into an agreement, enabling them
to participate with other JPMorgan Funds in an unsecured line of credit with a
syndicate of banks, which permitted borrowings up to $400 million, collectively.
Interest was charged to each Fund based on its borrowings at an annual rate
equal to the sum of the Federal Funds Rate plus 0.50%. The Funds also paid a
commitment fee of 0.09% per annum on the average daily amount of the available
commitment, which was allocated on a pro-rata basis to the Funds. This agreement
expired on April 16, 2003. The commitment fee is included in Other expenses on
the Statement of Operations.
The Fund had no borrowings outstanding at December 31, 2003, nor at anytime
during the year then ended.
<Page>
6. CONCENTRATIONS AND INDEMNIFICATIONS
At December 31, 2003, all of the Fund's outstanding shares are owned by the
participants in the 401(k) Savings Plan of J.P. Morgan Chase & Co.
In the normal course of business, the Fund may enter into contracts that contain
a variety of representations which provide general indemnifications. The Fund's
maximum exposure under these arrangements is unknown, as this would involve
future claims that may be made against the Fund that have not yet occurred.
However, based on experience, the Fund can expect the risk of loss to be remote.
7. 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.
<Page>
JPMORGAN SELECT GROWTH AND INCOME FUND
Financial Highlights
<Table>
<Caption>
YEAR YEAR 11/1/01 YEAR ENDED
ENDED ENDED THROUGH ---------------------------------------
PER SHARE OPERATING PERFORMANCE: 12/31/03 12/31/02 12/31/01 ^ 10/31/01 10/31/00 10/31/99
- -----------------------------------------------------------------------------------------------------------------------------
Net asset value, beginning of period $ 32.22 $ 39.57 $ 37.45 $ 52.99 $ 48.88 $ 43.51
- -----------------------------------------------------------------------------------------------------------------------------
Income from investment operations:
Net investment income (loss) 0.55 0.57 0.09 0.53 0.49 0.53
Net gains or losses on securities
(both realized and unrealized) 8.19 (7.36) 2.60 (10.81) 4.18 5.37
---------- ---------- ---------- ---------- ---------- ----------
Total from investment operations 8.74 (6.79) 2.69 (10.28) 4.67 5.90
---------- ---------- ---------- ---------- ---------- ----------
Less distributions:
Dividends from net investment income 0.55 0.56 0.57 0.47 0.11 0.53
Distributions from capital gains - - - 4.79 0.45 -
---------- ---------- ---------- ---------- ---------- ----------
Total distributions 0.55 0.56 0.57 5.26 0.56 0.53
---------- ---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 40.41 $ 32.22 $ 39.57 $ 37.45 $ 52.99 $ 48.88
- -----------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN (a) 27.18% (17.19%) 7.19% (20.92%) 9.63% 13.57%
=============================================================================================================================
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (millions) $ 428 $ 343 $ 445 $ 403 $ 531 $ 553
RATIOS TO AVERAGE NET ASSETS:#
Net expenses + 0.58% 0.58% 0.58% 0.58% 0.60% 0.59%
Net investment income (loss) 1.55% 1.54% 1.34% 1.31% 0.92% 1.08%
Expenses without reimbursements+ 0.58% 0.58% 0.58% 0.59% 0.60% 0.59%
Net investment income (loss) without
reimbursements 1.55% 1.54% 1.34% 1.30% 0.92% 1.08%
PORTFOLIO TURNOVER RATE ~ (a) 37% 70% 0% 12% 30% 125%
</Table>
+ Includes expenses allocated from Portfolio
(a) Not annualized for periods less than one year.
~ The percentages reflect the portfolio turnover of the Growth and Income
Portfolio, of which the Fund invested all of its investable assets.
# Short periods have been annualized.
^ The Fund changed its fiscal year end from October 31 to December 31.
See notes to financial statements.
<Page>
REPORT OF INDEPENDENT AUDITORS
To the Trustees of J.P. Morgan Mutual Fund Group and Shareholders of
JPMorgan Select Growth and Income Fund:
In our opinion, the accompanying statement of assets and liabilities 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 Select Growth and Income Fund (a portfolio of J.P. Morgan Mutual Fund
Group)(hereafter referred to as the "Fund") at December 31, 2003, the results of
its operations for the year then ended, the changes in its 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 Fund's management; our responsibility is to express an
opinion on these financial statements based on our audits. We conducted our
audits of these financial statements in accordance with auditing standards
generally accepted in the United States of America, which require that we plan
and perform the audit to obtain reasonable assurance about whether the financial
statements are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements, assessing the accounting principles used and significant estimates
made by management, and evaluating the overall financial statement presentation.
We believe that our audits provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
New York, New York
February 24, 2004
<Page>
JPMORGAN FUNDS
Trustees 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 PORT- OTHER
HELD WITH PRINCIPAL FOLIOS IN JPMORGAN DIRECTORSHIPS
EACH TERM OF OFFICE OCCUPATIONS FUND 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 Since 2003 Retired; Vice 69 None
522 Fifth Avenue, President and
New York, NY 10036; Treasurer of
1941 Ingersoll-Rand
Company (manufacturer
of industrial
equipment) (1972-2000)
Roland R. Eppley, Jr.; Trustee Since 2003 Retired 69 Director,
522 Fifth Avenue, Janel Hydro, Inc.
New York, NY 10036; (1993-Present)
1932
Ann Maynard Gray; Trustee Since 2003 Vice President of 69 Director of Duke
522 Fifth Avenue, Capital Cities/ABC, Inc. Energy Corporation
New York, NY 10036; (communications) (1997- Present);
1945 (1986-1998); President Director of Elan
of Diversified Corporation, Plc
Publishing Group (pharmaceuticals)
(1991-1997) (2001-Present);
Director of The
Phoenix Companies
(wealth management)
(2002-Present)
Matthew Healey; Trustee and Since 2003 Retired; Chief 69 None
522 Fifth Avenue, President of Executive
New York, NY 10036; the Board of Officer of certain
1937 Trustees J.P. Morgan Fund
Trusts (1982-2001)
Fergus Reid, III; Trustee and Since 2003 Chairman of Lumelite 69 Trustee of 16 Morgan
522 Fifth Avenue, Chairman of Corporation (plastics Stanley Funds
New York, NY 10036; the Board of manufacturing) (1995-Present)
1932 Trustees (1985-Present)
James J. Schonbachler; Trustee Since 2003 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 2003 Director of 69 Director of
522 Fifth Avenue, Administration of the Providian Financial
New York, NY 10036; State of Rhode Island Corp. (banking)
1945 (2003-Present); (2002-Present)
President - Consumer
Banking and Investment
Services Fleet Boston
Financial (1971-2002)
</Table>
<Page>
Trustee and Officer Information (unaudited)
<Table>
<Caption>
POSITIONS NUMBER OF PORT- OTHER
HELD WITH PRINCIPAL FOLIOS IN JPMORGAN DIRECTORSHIPS
EACH TERM OF OFFICE OCCUPATIONS FUND 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)
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
1941 September 1, 1999; (1998-Present);
President, Adelphi Trustee of Bronx
University (New York) Lebanon Hospital
(1998-1999). Center (1992-Present);
Director of New
Plan Excel
Realty Trust, Inc.
(real estate
investment company)
(2000-Present);
Director of Lincoln
Center Institute for
the Arts in Education
(1999-Present);
Director of Jewish
Community Relations
Counsel of NewYork,
Inc. (2000-Present);
Director of United Way
of New York City
(2002-Present).
William G. Morton, Jr.; Trustee Since 2003 Formerly Chairman 69 Director of Radio
522 Fifth Avenue, Emeritus (March 2001- Shack Corporation
New York, NY 10036; October 2002), (electronics) (1987-
1937 and Chairman and Present); Director of
Chief Executive the Griswold Company
Officer, (securities
Boston Stock Exchange brokerage)
(June 1985- (2002-Present);
March 2001). Director of The
National Football
Foundation and
College Hall of Fame
(1994-Present);
Trustee of the
Berklee College of
Music (1998-Present);
Trustee of the
Stratton Mountain
School (2001-Present).
INTERESTED TRUSTEE(S)
Leonard M. Spalding* Trustee Since 2003 Retired; Chief Executive 69 Director of Glenview
522 Fifth Avenue, Officer of Chase Mutual Trust; Director of
New York, NY 10036; Funds (investment Pizza Magia; Trustee
1935 company) (1989-1998); of St. Catherine
Chief Investment College Trust;
Executive of Chase Trustee of Bellarmine
Manhattan Private University
Bank (investment Trust; Director of
management) Marion Washington
(1990-1995) Airport Board Trust;
Director of
Springfield
Washington Economic
Development Board
Trust.
</Table>
* Mr. Spalding is deemed to be an "interested person" due to his ownership of
equity securities of J.P. Morgan Chase & Co.
(1) A Fund Complex means two or more investment companies that hold themselves
out to investors as related companies for purposes of investment and investment
services or have a common investment advisor or have an investment advisor that
is an affiliated person of the investment advisor of any of the other investment
companies. The JPMorgan Fund Complex for which the Trustees serve includes 13
investment companies.
<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 2003 Managing Director, J.P. Morgan Investment
522 Fifth Avenue, Management Inc. (JPMIM); Head of
New York, NY 10036; J.P. Morgan Fleming's U.S. Mutual Funds
1962 and Financial Intermediaries Business
("FFI"); he has held numerous positions
throughout the firm in business
management, marketing and sales.
Patricia A. Maleski; Treasurer Since 2003 Vice President, 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
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 2003 Managing Director, JPMIM; since joining
522 Fifth Avenue, J.P. Morgan Chase in 1996, she has held
New York, NY 10036; numerous positions throughout the asset
1959 management business in mutual funds
marketing, legal and product development.
Stephen M. Ungerman; Vice President and Since 2003 Vice President, JPMIM; Business Head for
522 Fifth Avenue, Assistant Treasurer Vehicle Services Group within Fund
New York, NY 10036; Administration; prior to joining J.P. Morgan
1953 Chase in 2000, he held a number of senior
management positions in Prudential
Insurance Co. of America's asset
management business, including Associate
General Counsel, Tax Director and Co-head
of Fund Administration Department;
Mr. Ungerman was also the Assistant
Treasurer of all mutual funds managed by
Prudential.
Judy R. Bartlett; Vice President and Since 2003 Vice President and Assistant General Counsel,
522 Fifth Avenue, Assistant Secretary JPMIM, since September 2000; from
New York, NY 10036; August 1998 through August 2000, she was an
1965 attorney at New York Life Insurance Company
where she served as Assistant Secretary for the
Mainstay Funds.
Joseph J. Bertini; Vice President and Since 2003 Vice President and Assistant General Counsel,
522 Fifth Avenue, Assistant Secretary JPMIM.
New York, NY 10036;
1965
Wayne H. Chan; Vice President and Since 2003 Vice President and Assistant General Counsel,
522 Fifth Avenue, Assistant Secretary JPMIM, since September 2002; Mr. Chan was
New York, NY 10036; 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.
Thomas J. Smith Vice President and Since 2003 Managing Director, Head of Compliance for
522 Fifth Avenue, Assistant Secretary J.P. Morgan Chase & Co.'s asset management
New York, NY 10036; business in the Americas.
1955
Paul M. DeRusso Assistant Treasurer Since 2003 Vice President, JPMIM; Manger of the
522 Fifth Avenue, Budgeting and Expense Group of Funds
New York, NY 10036; Administration Group.
1954
Lai Ming Fung Assistant Treasurer Since 2003 Associate, JPMIM; Budgeting Analyst for the
522 Fifth Avenue, Budgeting and Expense Group of Funds
New York, NY 10036; Administration Group.
1974
Mary D. Squires Assistant Treasurer Since 2003 Vice President, JPMIM; Ms. Squires has held
522 Fifth Avenue, numerous financial and operations positions
New York, NY 10036; supporting the J.P. Morgan Chase organization
1955 complex.
</Table>
<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
- -------------------------------------------------------------------------------------------------------------------------------
Michael Ciotola Assistant Treasurer Since 2003 Director of Financial Services of BISYS Fund
3435 Stelzer Rd. Columbus, Services, Inc. since January 2003; held various
OH 43219 positions within BISYS since 1998.
1968
Arthur A. Jensen Assistant Treasurer Since 2003 Vice President of Financial Services of BISYS
3435 Stelzer Rd. Columbus, Fund Services, Inc. since June 2001; formerly
OH 43219 Section Manager of Northern Trust Company
1966 and Accounting Supervisor at Allstate
Insurance Company.
Martin R. Dean Assistant Treasurer Since 2003 Vice President of Regulatory Services of BISYS
3435 Stelzer Rd. Columbus, Fund Services, Inc.
OH 43219
1963
Alaina Metz Assistant Secretary Since 2003 Chief Administrative Officer of BISYS Fund
3435 Stelzer Rd. Columbus, Services, Inc.; formerly, Supervisor of the Blue
OH 43219 Sky Department of Alliance Capital
1967 Management, L.P.
Ryan M. Louvar; Assistant Secretary Since 2003 Counsel of Legal Services, BISYS Fund Services,
60 State Street, Inc. since 2000; formerly Attorney at Hill,
Suite 1300 Boston, Farrer & Burrill LLP from 1999 to 2000 and
MA 02109; Knapp Peterson Clarke, PC from 1997 to 1999.
1972
Lisa Hurley Assistant Secretary Since 2003 Executive Vice President and General Counsel
60 State Street, of BISYS Fund Services, Inc.
Suite 1300 Boston,
MA 02109
1955
</Table>
Additional information concerning the Trustees is contained in the Statement of
Additional Information and is available without charge by calling
1-800-348-4782.
<Page>
JPMORGAN FUNDS
Tax Letter (unaudited)
JPMORGAN SELECT GROWTH AND INCOME FUND
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 Fund for the fiscal year
ended December 31, 2003.
<Table>
<Caption>
DIVIDENDS RECEIVED
FUND DEDUCTION
- ------------------------------------------------------------------------------
Select Growth and Income Fund 100%
</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, 97.39% of ordinary income
distributions will be treated as qualified dividends.
<Page>
The Growth and Income Portfolio
Annual Report December 31, 2003
(The following pages should be read in conjunction with JPMorgan Select Growth
and Income Fund Annual Financial Statements)
<Page>
GROWTH AND INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS AS OF DECEMBER 31, 2003
(Amounts in thousands)
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS - 99.7%
COMMON STOCKS -- 99.5%
AEROSPACE -- 2.9%
137 General Dynamics Corp. $ 12,420
218 United Technologies Corp. 20,659
=============================================================================
33,079
=============================================================================
APPAREL -- 1.5%
51 Nike, Inc., Class B 3,498
316 VF Corp. 13,673
=============================================================================
17,171
=============================================================================
AUTOMOTIVE -- 0.5%
155 Genuine Parts Co. 5,129
BANKING -- 12.3%
251 Bank of America Corp. 20,163
339 BB&T Corp. 13,080
185 FleetBoston Financial Corp. 8,053
312 North Fork Bancorporation, Inc. 12,619
110 PNC Financial Services Group, Inc. 6,031
198 SouthTrust Corp. 6,481
224 SunTrust Banks, Inc. 16,002
318 The Bank of New York Co., Inc. 10,535
563 U.S. Bancorp 16,778
278 Wachovia Corp. 12,938
256 Wells Fargo & Co. 15,058
=============================================================================
137,738
=============================================================================
BROADCASTING/CABLE -- 1.5%
328 Cablevision Systems Corp., Class A * (I) 7,672
533 Hughes Electronics Corp. * 8,826
=============================================================================
16,498
=============================================================================
BUSINESS SERVICES -- 1.2%
192 Equifax, Inc. 4,699
353 IMS Health, Inc. 8,778
=============================================================================
13,477
=============================================================================
CHEMICALS -- 1.1%
112 PPG Industries, Inc. 7,183
150 The Sherwin-Williams Co. 5,211
=============================================================================
12,394
=============================================================================
COMPUTER SOFTWARE -- 1.8%
429 Computer Associates International, Inc. $ 11,720
193 DST Systems, Inc. * (I) 8,056
=============================================================================
19,776
=============================================================================
COMPUTERS/COMPUTER HARDWARE -- 3.0%
433 Hewlett-Packard Co. 9,942
135 International Business Machines Corp. 12,474
144 Lexmark International, Inc. * 11,324
=============================================================================
33,740
=============================================================================
CONSTRUCTION MATERIALS -- 1.0%
248 Vulcan Materials Co. 11,774
CONSUMER PRODUCTS -- 2.2%
447 Altria Group, Inc. 24,326
DIVERSIFIED -- 1.0%
412 Tyco International LTD (Bermuda) 10,921
ENTERTAINMENT/LEISURE -- 0.7%
186 Carnival Corp. 7,406
ENVIRONMENTAL SERVICES -- 1.0%
377 Waste Management, Inc. 11,150
FINANCIAL SERVICES -- 13.6%
340 American Express Co. 16,393
1,084 Citigroup, Inc. 52,635
364 Freddie Mac 21,240
217 Golden West Financial Corp. 22,392
175 H & R Block, Inc. 9,684
199 Janus Capital Group, Inc. 3,262
216 Prudential Financial, Inc. 9,018
152 T. Rowe Price Group, Inc. 7,225
305 Washington Mutual, Inc. 12,221
=============================================================================
154,070
=============================================================================
FOOD/BEVERAGE PRODUCTS -- 1.6%
58 Brown-Forman Corp., Class B 5,462
150 Dean Foods Co. * 4,931
226 Kraft Foods, Inc., Class A 7,284
=============================================================================
17,677
=============================================================================
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
29
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS - CONTINUED
HEALTH CARE/HEALTH CARE SERVICES -- 1.0%
117 WellPoint Health Networks, Inc. * $ 11,309
INSURANCE -- 8.6%
358 American International Group, Inc. 23,699
213 Chubb Corp. 14,478
117 Marsh & McLennan Companies, Inc. 5,622
315 MGIC Investment Corp. 17,953
208 Principal Financial Group, Inc. 6,872
264 SAFECO Corp. 10,270
1,036 Travelers Property Casualty Corp.,
Class A 17,380
=============================================================================
96,274
=============================================================================
MANUFACTURING -- 0.8%
148 Cooper Industries LTD, Class A 8,545
METALS/MINING -- 0.7%
200 Alcoa, Inc. 7,589
MULTI-MEDIA -- 8.5%
353 Comcast Corp., Class A * 11,589
159 Gannett Co., Inc. 14,176
147 Knight Ridder, Inc. 11,373
1,608 Liberty Media Corp., Class A * 19,116
103 The E.W. Scripps Co., Class A 9,668
1,082 Time Warner, Inc. * 19,470
217 Viacom, Inc., Class B 9,647
=============================================================================
95,039
=============================================================================
OIL & GAS -- 10.0%
196 Burlington Resources, Inc. 10,871
266 ChevronTexaco Corp. 22,995
341 ConocoPhillips 22,353
214 Devon Energy Corp. 12,265
1,081 Exxon Mobil Corp. 44,338
=============================================================================
112,822
=============================================================================
PHARMACEUTICALS -- 1.7%
131 AmerisourceBergen Corp. 7,344
214 Pfizer, Inc. 7,565
110 Wyeth 4,661
=============================================================================
19,570
=============================================================================
PIPELINES -- 1.6%
299 Kinder Morgan, Inc. $ 17,689
PRINTING & PUBLISHING -- 0.6%
9 Washington Post Co., Class B 7,281
REAL ESTATE -- 0.7%
279 Brookfield Properties Corp. (Canada) 8,016
REAL ESTATE INVESTMENT TRUST -- 0.8%
220 Public Storage, Inc. 9,541
RESTAURANTS/FOOD SERVICES -- 1.2%
303 Outback Steakhouse, Inc. 13,413
RETAILING -- 4.6%
196 AutoZone, Inc. * 16,710
145 CarMax, Inc. * 4,492
404 Circuit City Stores, Inc. 4,094
308 Home Depot, Inc. 10,934
321 Kroger Co. * 5,942
409 The TJX Companies, Inc. 9,014
=============================================================================
51,186
=============================================================================
TELECOMMUNICATIONS -- 6.8%
367 Alltel Corp. 17,081
321 CenturyTel, Inc. 10,468
859 SBC Communications, Inc. 22,402
746 Verizon Communications, Inc. 26,177
=============================================================================
76,128
=============================================================================
TELECOMMUNICATIONS EQUIPMENT -- 0.6%
132 QUALCOMM, Inc. 7,103
TOYS & GAMES -- 1.0%
584 Mattel, Inc. 11,250
UTILITIES -- 3.4%
224 Consolidated Edison, Inc. 9,639
194 Dominion Resources, Inc. 12,402
180 DPL, Inc. 3,767
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
30
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS - CONTINUED
UTILITIES -- CONTINUED
304 Energy East Corp. $ 6,814
172 FirstEnergy Corp. 6,054
=============================================================================
38,676
=============================================================================
Total Common Stocks 1,117,757
(Cost $929,367)
=============================================================================
PREFERRED STOCKS -- 0.2%
MULTI-MEDIA -- 0.2%
60 News Corp. LTD, ADR, (Australia) 1,804
(Cost $1,724)
SHORT-TERM INVESTMENT -- 0.3%
MONEY MARKET FUND -- 0.3%
3,318 JPMorgan Prime Money Market Fund (a) 3,318
(Cost $3,318)
=============================================================================
Total Investments -- 100.0% $ 1,122,879
(Cost $934,409)
=============================================================================
<Caption>
SHARES COLLATERAL INVESTMENTS
- --------------------------------------------------------------------------------------------
MONEY MARKET FUNDS (c)
521 AIM Short term Investment Co.-Liquid $ 521
522 Merrill Lynch Premier Institution
Money Market Fund 522
=============================================================================
$ 1,043
=============================================================================
</Table>
Abbreviations:
* -- Non-income producing security.
(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 the security, has been delivered to a
counterparty as part of a security lending transaction.
ADR -- American Depositary Receipt
SEE NOTES TO FINANCIAL STATEMENTS.
31
<Page>
GROWTH AND INCOME PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES AS OF DECEMBER 31, 2003
(Amounts in thousands)
<Table>
ASSETS:
Investment securities, at value $ 1,122,879
- --------------------------------------------------------------------------------
Investments held as collateral for
securities lending program 1,043
- --------------------------------------------------------------------------------
Cash 32
- --------------------------------------------------------------------------------
Receivables:
- --------------------------------------------------------------------------------
Interest and dividends 1,294
- --------------------------------------------------------------------------------
Security lending (net) 4
- --------------------------------------------------------------------------------
Expense reimbursements 1
================================================================================
Total Assets 1,125,253
================================================================================
LIABILITIES:
Payables:
Collateral for securities
lending program 1,043
- --------------------------------------------------------------------------------
Accrued liabilities:
- --------------------------------------------------------------------------------
Investment advisory fees 382
- --------------------------------------------------------------------------------
Administration fees 48
- --------------------------------------------------------------------------------
Custodian fees 4
- --------------------------------------------------------------------------------
Trustees' fees - deferred
compensation plan 176
- --------------------------------------------------------------------------------
Other 50
- --------------------------------------------------------------------------------
Total Liabilities 1,703
================================================================================
NET ASSETS APPLICABLE TO
INVESTORS' BENEFICIAL INTERESTS $ 1,123,550
================================================================================
Cost of investments $ 934,409
================================================================================
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
32
<Page>
STATEMENT OF OPERATIONS FOR THE YEAR ENDED DECEMBER 31, 2003
(Amounts in thousands)
<Table>
INVESTMENT INCOME:
Dividend $ 22,423
- --------------------------------------------------------------------------------
Dividend income from affiliated
investments* 295
- --------------------------------------------------------------------------------
Securities lending (net) 41
- --------------------------------------------------------------------------------
Foreign taxes withheld (22)
================================================================================
Total investment income 22,737
================================================================================
EXPENSES:
Investment advisory fees 4,286
- --------------------------------------------------------------------------------
Administration fees 536
- --------------------------------------------------------------------------------
Custodian fees 21
- --------------------------------------------------------------------------------
Accounting fees 17
- --------------------------------------------------------------------------------
Professional fees 87
- --------------------------------------------------------------------------------
Trustees' fees 6
- --------------------------------------------------------------------------------
Other 15
================================================================================
Total expenses 4,968
================================================================================
Net investment income (loss) 17,769
================================================================================
REALIZED AND UNREALIZED
GAIN (LOSS) ON INVESTMENTS:
Net realized gain (loss) on
transactions from investments (85,558)
- --------------------------------------------------------------------------------
Change in net unrealized
appreciation (depreciation)
of investments 328,402
================================================================================
Net realized and unrealized gain
(loss) on investments 242,844
================================================================================
Net increase (decrease) in
net assets from operations $ 260,613
================================================================================
* Includes reimbursements of
investment advisory and
administration fees: $ 44
================================================================================
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
33
<Page>
STATEMENT OF CHANGES IN NET ASSETS FOR THE PERIODS INDICATED
(Amounts in thousands)
<Table>
<Caption>
YEAR ENDED YEAR ENDED
12/31/03 12/31/02
INCREASE (DECREASE) IN NET
ASSETS FROM OPERATIONS:
Net investment income (loss) $ 17,769 $ 21,760
- -------------------------------------------------------------------------------------------
Net realized gain (loss) on investments (85,558) (68,049)
- -------------------------------------------------------------------------------------------
Change in net unrealized appreciation
(depreciation) of investments 328,402 (205,933)
===========================================================================================
Increase (decrease) in net assets
from operations 260,613 (252,222)
===========================================================================================
TRANSACTIONS IN INVESTORS'
BENEFICIAL INTEREST:
Contributions 55,219 126,703
- -------------------------------------------------------------------------------------------
Withdrawals (257,032) (399,691)
- -------------------------------------------------------------------------------------------
Increase (decrease) from transactions
in investors' beneficial interest (201,813) (272,988)
===========================================================================================
Total increase (decrease) in net
assets 58,800 (525,210)
===========================================================================================
NET ASSETS:
Beginning of period 1,064,750 1,589,960
===========================================================================================
End of period $ 1,123,550 $ 1,064,750
===========================================================================================
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
34
<Page>
GROWTH AND INCOME PORTFOLIO
NOTES TO FINANCIAL STATEMENTS
1. ORGANIZATION
Growth and Income Portfolio ("GIP" or the "Portfolio") is separately registered
under the Investment Company Act of 1940 as amended (the "1940 Act"), as a
non-diversified, open end management investment company organized as a trust
under the laws of the State of New York. The declaration of trust permits the
Trustees to issue beneficial interests in the Portfolio.
2. SIGNIFICANT ACCOUNTING PRINCIPLES
THE FOLLOWING IS A SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES FOLLOWED BY THE
PORTFOLIO:
The preparation of financial statements in accordance with accounting principles
generally accepted in the United States of America requires management to make
estimates and assumptions that affect the reported amounts and disclosures in
the financial statements. Actual results could differ from those estimates.
A. VALUATION OF INVESTMENTS -- Equity securities, purchased options and futures
contracts are valued at the last sale price on the exchange on which they are
primarily traded. The value of National Market System equity securities quoted
by The Nasdaq Stock Market, Inc. shall generally be the Nasdaq Official Closing
Price. Securities for which sale prices are not available and other
over-the-counter securities are valued at the mean between the bid and asked
quotations. Fixed income securities (other than convertible bonds) with a
maturity of 61 days or more held by the Portfolio 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 Portfolio 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 Portfolio'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
prices of indices, securities and exchange rate in other markets in determining
fair value as of the time a Fund calculates its net asset value.
B. RESTRICTED AND ILLIQUID SECURITIES -- The Portfolio 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.
35
<Page>
C. SECURITIES ON LOAN -- For the Portfolio, the Board of Trustees has approved
the lending of securities, through its custodian JPMorgan Chase Bank ("JPMCB"),
an affiliate of the Portfolio, acting as lending agent to certain borrowers. By
lending investment securities, the Portfolio 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
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 Portfolio. The
Portfolio also continues to receive interest or dividends on the securities
loaned. The Portfolio 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 Portfolio 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
$ 1,034 $ 1,043
- ---------------------------------------------------------
</Table>
JPMCB as lending agent received a fee of $22 (amount in thousands) from the
Portfolio, which is equal to 0.06% of the average dollar value of loans of U.S.
securities outstanding during a given month and 0.1142% of the average dollar
value of loans on non-U.S. securities outstanding during a given month.
Risks of delay in recovery of securities or even loss of rights in the
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
Portfolio from any loss resulting from a borrower's failure to return a loaned
security when due.
D. SECURITY TRANSACTIONS AND INVESTMENT INCOME -- Investment transactions are
accounted for on the trade date (the date the order to buy or sell is executed).
Securities gains and losses are calculated on the identified cost basis.
Interest income is determined on the basis of coupon interest accrued using the
interest method adjusted for amortization of premiums and accretion of
discounts. Dividend income less foreign taxes withheld ( if any) is recorded on
the ex-dividend date or when the Portfolio first learns of the dividend.
E. EXPENSES -- Expenses directly attributable to the Portfolio are charged to
the Portfolio; other expenses are allocated on another reasonable basis.
F. OTHER EXPENSES -- Other expenses in the Statement of Operations include fees
related to line of credit and pricing services.
G. FEDERAL INCOME TAXES -- The Portfolio intends to continue to qualify as a
partnership and therefore net investment income and net realized gains are taxed
to the partners. Accordingly, no tax provisions are recorded by the Portfolio.
The investors in the Portfolio must take into account their proportionate share
of the Portfolio's income, gains, losses, deductions, credits and tax preference
items in computing their federal income tax liability, without regard to whether
they have received any cash distributions from the Portfolio. The Portfolio does
not intend to distribute to investors its net investment income or its net
realized gains, if any. It is intended that the Portfolio will be managed in
such a way
36
<Page>
that investors in the Portfolio will be able to satisfy the requirements of
subchapter M of the Internal Revenue Code to be taxed as regulated investment
companies.
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 Portfolio. Prior to September 1,
2003, J.P. Morgan Fleming Asset Management (USA) Inc. ("JPMFAM"), a wholly owned
subsidiary of JPMCB served as the Advisor to the Portfolio. On September 1,
2003, JPMFAM and Robert Fleming Inc., merged into JPMIM. Prior to October 1,
2003, JPMIM was a wholly owned subsidiary of J.P. Morgan Chase & Co. On October
1, 2003, JPMIM became a wholly owned subsidiary of J.P. Morgan Fleming Asset
Management Holdings, Inc., which is a wholly owned subsidiary of J.P. Morgan
Chase & Co. The investment advisory services and personnel providing investment
advice have not changed as a result of the merger and ownership change. Neither
the merger nor the ownership change constituted an assignment under the 1940 Act
or the Investment Advisors Act of 1940. The Advisor supervises the investments
of the Portfolio and for such services is paid a fee. The fee is accrued daily
and paid monthly at an annual rate equal to 0.40% of the Portfolio's average
daily net assets.
The Portfolio 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 Portfolio in an amount to offset any doubling up of investment advisory and
administration fees related to the Portfolio's investment in an affiliated money
market fund.
B. CUSTODIAN FEES -- JPMCB provides portfolio custody services for the
Portfolio. Compensation for such services is presented in the Statement of
Operations as custodian fees. The custodian fees may be reduced by credits
earned by the Portfolio, based on the uninvested cash balances held by the
custodian. Such earning credits are presented separately in the Statement of
Operations.
C. ADMINISTRATION FEE -- Pursuant to an Administration Agreement, JPMCB (the
"Administrator"), provides certain administration services to the Portfolio. In
consideration of these services, the Administrator receives from the Portfolio a
fee accrued daily and paid monthly at an annual rate equal to 0.05% of the
Portfolio's average daily net assets.
BISYS Fund Services, LP ("BISYS") serves as the Portfolio's sub-administrator.
For its services as sub-administrator, BISYS receives a portion of the fees
payable to JPMCB as Administrator.
D. OTHER - The Portfolio may purchase securities from an underwriting syndicate
in which the principal underwriter or members of the syndicate are affiliated
with the Advisor.
For the year ended December 31, 2003, the Portfolio did not purchase any
securities from brokers/dealers affiliated with JPMCB.
The SEC has granted an exemptive order permitting each portfolio to engage in
principal transactions with J.P. Morgan Securities Inc., an affiliated broker,
involving taxable money market instruments subject to certain conditions.
37
<Page>
4. 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
$ 383,211 $ 554,066 $ -- $ --
- ---------------------------------------------------------------------------------------------------------------
</Table>
5. 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)
$ 951,658 $ 189,405 $(18,184) $ 171,221
- ---------------------------------------------------------------------------------------------------------------
</Table>
6. BANK BORROWINGS
Pursuant to a Line of Credit Agreement, dated April 17, 2003, the Portfolio may
borrow money for temporary or emergency purposes. The Portfolio has entered into
the agreement, enabling it to participate with other JPMorgan Funds in a line of
credit with JPMCB, as administrative agent, and with a syndicate of banks, which
permits borrowings up to $250 million, collectively. Interest is charged to the
Portfolio based on its borrowings at an annual rate equal to the sum of the
Federal Funds Rate plus 0.50%. The Portfolio also pays a commitment fee of 0.10%
per annum on the average daily amount of the available commitment, which is
allocated on a pro-rata basis to the Portfolio. 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 Portfolio 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 Portfolio based on its borrowings at an
annual rate equal to the sum of the Federal Funds Rate plus 0.50%. The Portfolio
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 Portfolio.
This agreement expired on April 16, 2003. The commitment fee is included in
Other expenses on the Statement of Operations.
The Portfolio had no borrowings outstanding at December 31, 2003, nor at any
time during the period then ended.
38
<Page>
7. CONCENTRATIONS AND INDEMNIFICATIONS
In the normal course of business, the Portfolio may enter into contracts that
contain a variety of representations which provide general indemnifications. The
Portfolio's maximum exposure under these arrangements is unknown, as this would
involve future claims that may be made against the Portfolio that have not yet
occurred. However, based on experience, the Fund can expect the risk of loss to
be remote.
8. 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.
SUPPLEMENTARY DATA
<Table>
<Caption>
YEAR YEAR 11/1/01 YEAR ENDED
ENDED ENDED THROUGH ---------------------------------
12/31/03 12/31/02 12/31/01* 10/31/01 10/31/00 10/31/99
RATIOS TO AVERAGE NET ASSETS:#
Net expenses 0.46% 0.47% 0.46% 0.47% 0.47% 0.47%
- -----------------------------------------------------------------------------------------------------------------
Net investment income (loss) 1.66% 1.64% 1.45% 1.43% 1.05% 1.20%
- -----------------------------------------------------------------------------------------------------------------
Expenses without reimbursements 0.46% 0.47% 0.46% 0.48% 0.47% 0.47%
- -----------------------------------------------------------------------------------------------------------------
Net investment income (loss)
without reimbursements 1.66% 1.64% 1.45% 1.42% 1.05% 1.20%
- -----------------------------------------------------------------------------------------------------------------
PORTFOLIO TURNOVER RATE(a) 37% 70% 0% 12% 30% 125%
=================================================================================================================
TOTAL RETURN(a) 27.5% (15.9%) 7.1% (18.7%) 9.1% 14.1%
=================================================================================================================
</Table>
* The Portfolio changed its fiscal year end from October 31 to December 31.
# Short periods have been annualized.
(a) Not annualized for periods less than one year.
39
<Page>
GROWTH AND INCOME PORTFOLIO
REPORT OF INDEPENDENT AUDITORS
To the Trustees and Beneficial Unit Holders of
Growth and Income Portfolio:
In our opinion, the accompanying statement of assets and liabilities, including
the portfolio of investments, and the related statements of operations and of
changes in net assets and the supplementary data present fairly, in all material
respects, the financial position of Growth and Income Portfolio (the
"Portfolio") at December 31, 2003, the results of its operations for the year
then ended, the changes in its net assets for each of the two years in the
period then ended and the supplementary data for each of the periods presented,
in conformity with accounting principles generally accepted in the United States
of America. These financial statements and the supplementary data (hereafter
referred to as "financial statements") are the responsibility of the Portfolio's
management; our responsibility is to express an opinion on these financial
statements based on our audits. We conducted our audits of these financial
statements in accordance with auditing standards generally accepted in the
United States of America, which require that we plan and perform the audit to
obtain reasonable assurance about whether the financial statements are free of
material misstatement. An audit includes examining, on a test basis, evidence
supporting the amounts and disclosures in the financial statements, assessing
the accounting principles used and significant estimates made by management, and
evaluating the overall financial statement presentation. We believe that our
audits, which included confirmation of securities at 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
40
<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.
41
<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>
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 $118,732 in 2002 and $125,068 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 $34,600 in 2002 and $36,500 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.
(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
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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.
NOT APPLICABLE.
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(b) A separate or combined certification for each principal executive
officer and principal officer of the registrant as required by Rule 30a-2(b)
under the Act of 1940.
CERTIFICATIONS PURSUANT TO SECTION 906 OF THE SARBANES-OXLEY ACT OF 2002 ARE
ATTACHED HERETO.
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SIGNATURES
[See General Instruction F]
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the registrant has duly caused this report to be
signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) J.P. Morgan Mutual Fund Group
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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.
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