<Page> ----------------------------- OMB APPROVAL ----------------------------- OMB Number: 3235-0570 Expires: November 30, 2005 Estimated average burden hours per response....... 5.0 ----------------------------- 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). <Page> (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 <Page> 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. <Page> (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. <Page> SIGNATURES [See General Instruction F] Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized. (Registrant) J.P. Morgan Mutual Fund Group -------------------------------------------------------------------- By (Signature and Title)* /s/ Patricia A. Maleski ------------------------------------------------------- Patricia A. Maleski, Treasurer Date March 5, 2004 ---------------------------------------------------------------------------- Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated. By (Signature and Title)* /s/ Patricia A. Maleski ------------------------------------------------------- Patricia A. Maleski, Treasurer Date March 5, 2004 ---------------------------------------------------------------------------- By (Signature and Title)* /s/ George C.W. Gatch ------------------------------------------------------- George C.W. Gatch, President Date March 5, 2004 ---------------------------------------------------------------------------- * Print the name and title of each signing officer under his or her signature. - --------------------------------------------------------------------------------