<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 811-07342
---------------------------------------------
J.P. Morgan Institutional Funds
- -------------------------------------------------------------------------------
(Exact name of registrant as specified in charter)
522 Fifth Avenue, New York, NY 10036
- -------------------------------------------------------------------------------
(Address of principal executive offices) (Zip code)
BISYS Fund Services, 3435 Stelzer Road, Columbus, OH 43219
- -------------------------------------------------------------------------------
(Name and address of agent for service)
Registrant's telephone number, including area code: 1-800-348-4782
----------------------------
Date of fiscal year end: October 31, 2004
--------------------------
Date of reporting period: November 1, 2003 through April 30, 2004
-------------------------------------------------
Form N-CSR is to be used by management investment companies to file reports
with the Commission not later than 10 days after the transmission to
stockholders of any report that is required to be transmitted to stockholders
under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1).
The Commission may use the information provided on Form N-CSR in its regulatory,
disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form
N-CSR, and the Commission will make this information public. A registrant is not
required to respond to the collection of information contained in Form N-CSR
unless the Form displays a currently valid Office of Management and Budget
("OMB") control number. Please direct comments concerning the accuracy of the
information collection burden estimate and any suggestions for reducing the
burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW,
Washington, DC 20549-0609. The OMB has reviewed this collection of information
under the clearance requirements of 44 U.S.C. Section 3507.
ITEM 1. REPORTS TO STOCKHOLDERS.
Include a copy of the report transmitted to stockholders pursuant to
Rule 30e-1 under the Act (17 CFR 270.30e-1).
<Page>
[GRAPHIC]
JPMORGAN FUNDS
SEMI-ANNUAL REPORT APRIL 30 2004 (UNAUDITED)
INTERNATIONAL EQUITY FUNDS
FLEMING INTREPID EUROPEAN FUND
FLEMING JAPAN FUND
FLEMING INTERNATIONAL GROWTH FUND
FLEMING INTERNATIONAL VALUE FUND
FLEMING INTERNATIONAL OPPORTUNITIES FUND
FLEMING EMERGING MARKETS EQUITY FUND
FLEMING ASIA EQUITY FUND
FLEMING INTERNATIONAL EQUITY FUND
[JPMORGAN FLEMING ASSET MANAGEMENT LOGO]
<Page>
[JPMORGAN FLEMING ASSET MANAGEMENT LOGO]
JPMORGAN FLEMING ASSET MANAGEMENT is a premier global wealth manager that has
been working with affluent investors for over a hundred years. This experience
provides us with a keen understanding of the unique needs of the affluent
investor's portfolio. The legacy of our experience, coupled with our GLOBAL
INTELLECTUAL CAPITAL, is the foundation from which our investment products have
been built. We have 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 professional to help provide you with a
broad array of WEALTH SOLUTIONS.
CONTENTS
<Table>
President's Letter 1
Fund Commentaries: 3
Fleming Intrepid European Fund 3
Fleming Japan Fund 6
Fleming International Growth Fund 9
Fleming International Value Fund 12
Fleming International Opportunities Fund 15
Fleming Emerging Markets Equity Fund 18
Fleming Asia Equity Fund 21
Fleming International Equity Fund 24
Portfolio of Investments 27
Financial Statements 54
Notes to Financial Statements 66
Financial Highlights 94
</Table>
HIGHLIGHTS
- - Global growth accelerates
- - Markets rally across the six months
- - Buoyant U.S. employment numbers spook markets in April
- - Inflation key to long term outlook
Investments in a Fund are not bank deposits or obligations of, or guaranteed or
endorsed by, any bank and are not insured or guaranteed by the FDIC, the Federal
Reserve Board or any other government agency. You could lose money if you sell
when the Fund's share price is lower than when you invested.
Past performance is no guarantee for future performance. The general market
views expressed in this report are opinions based on current market conditions
and are subject to change without notice. These views are not intended to
predict the future performance of a Fund or the securities markets. References
to specific securities and their issuers are for illustrative purposes only and
are not intended to be, and should not be interpreted as, recommendations to
purchase or sell such securities. Such views are not meant as investment advice
and may not be relied on as an indication of trading intent on behalf of any
Fund.
Prospective investors should refer to the Fund's prospectus for a discussion of
the Fund's investment objective, strategies and risks. Call JPMorgan Funds
Service Center at (800) 348-4782 for a prospectus containing more complete
information about a Fund including management fees and other expenses. Please
read it carefully before investing.
JPMorgan Funds are distributed by J.P. Morgan Fund Distributors, Inc.
<Page>
JPMORGAN INTERNATIONAL EQUITY FUNDS
PRESIDENT'S LETTER MAY 20, 2004
[PHOTO OF GEORGE C.W. GATCH]
"AGAINST THIS BRIGHTENING PICTURE, MARKETS RALLIED."
DEAR SHAREHOLDER:
We are pleased to present this semi-annual report for the JPMorgan International
Equity Funds. Inside, you'll find information detailing the performance of the
Funds for the six months ended April 30, 2004, along with reports from the
Portfolio Managers.
GLOBAL ECONOMIC RECOVERY CONSOLIDATES
International equity markets continued to rally in the six months ended April 30
2004 as evidence emerged that global growth was accelerating. In the United
States, Gross Domestic Product (GDP) growth for the first-quarter was 4.2% --
solid but a little below expectations. Furthermore, 308,000 jobs were added to
the U.S. labor market in March -- the largest monthly rise in four years --
ending fears of a jobless U.S. recovery. In Japan, economic indicators showed a
marked acceleration. After a series of false dawns, the country appeared,
finally, to be emerging from more than a decade of stagnation. Corporate
earnings were exceptionally strong everywhere. Earnings forecasts hit new
records in the United States, Europe and Japan.
Against this brightening picture, markets rallied. International markets led the
way, with the broad-based MSCI EAFE Index of international markets gaining 12.4%
(in U.S. dollars). In the United States, the S&P 500 Index trailed with a rise
of 6.3%, although it fell slightly when markets corrected at the end of the
period.
INTEREST RATES, OIL PRICES, GEOPOLITICAL UNCERTAINTY BECOME A CONCERN
It was the U.S. employment numbers, the very news investors had been waiting
for, that spooked the stock markets, and started April's correction. Investors
worried that the Federal Reserve Board would raise rates sooner than expected,
possibly choking economic growth in the United States and elsewhere. Nervousness
increased as setbacks in Iraq during the month caused the oil price to spike
higher, and China's government took action to curb its overheating economy. The
S&P 500 Index declined 1.6% in the month, while the MSCI EAFE Index fell 2.3%.
More volatile indices fell further - the MSCI Emerging Markets Free Index, for
example, slumped 8.2%.
OUTLOOK
While, by all indications, economic fundamentals are likely to remain solid,
equity gains are likely to be tempered by concerns about the timing and
magnitude of U.S. rate rises, and the extent to which the yields on long bonds
move higher. Uncertainties surrounding Chinese growth, and the situation in
Iraq, are also likely to spark volatility. But if the U.S. and Chinese monetary
authorities can rein in inflation, the global economy and stock markets are
likely to benefit in the long run.
<Page>
IMPORTANT MERGER NEWS
As you may know, J.P. Morgan Chase & Co. and Bank One Corp. have agreed to merge
in July 2004, as approved by both firms' shareholders. The merger is compelling
both strategically and financially. The newly combined organization will have
top-tier positions in both wholesale and retail financial services, an extensive
client base and greater scale. And we will have an extraordinarily talented team
that shares common values and a strong client orientation.
FUND FAMILY UPDATE
As of February 27, 2004, JPMorgan Fleming European Fund was renamed to JPMorgan
Fleming Intrepid European Fund. Please note that the name change has not
affected the Fund's investment objective or strategy.
Additionally, JPMorgan Fleming Emerging Markets Equity Fund's Portfolio
management has been shifted to a new team. In managing the Fund, the adviser,
JPMIM (J.P. Morgan Investment Management) seeks to add value primarily through
stock selection decisions. Country specialists use their local expertise to
identify, research and rank companies according to their expected performance.
As always, we would like to thank you for your investment, and look forward to
serving your financial needs for many years to come. Should you have any
questions, please feel free to contact the JPMorgan Funds Service Center at
1-800-348-4782.
Sincerely,
/s/ George C.W. Gatch
George C.W. Gatch
President
2
<Page>
JPMORGAN FLEMING INTREPID EUROPEAN FUND
AS OF APRIL 30, 2004 (Unaudited)
FUND FACTS
Fund Inception 11/2/95
Fiscal Year End OCTOBER 31
Net Assets as of 4/30/2004
(In Millions) $99.5
Primary Benchmark MSCI EUROPE INDEX
Q: HOW DID THE FUND PERFORM?
A: JPMorgan Fleming Intrepid European Fund, which seeks to provide long-term
capital growth from investments in European companies, returned 7.9% (Class A
shares, no sales charge) compared to a total return of 12.9% for the MSCI
Europe Index.
Q: WHY DID THE FUND PERFORM THIS WAY?
A: The Fund's performance over the six month review period was behind the
benchmark. Most of the underperformance was experienced at the end of the
review period when rising geopolitical concerns and increased market
volatility caused a rotation towards stocks in more defensive areas of the
market, many of which exhibited neither the attractive value nor the
attractive growth characteristics that we seek to identify.
Early in the review period, during November and December 2003, Fund
performance was broadly in line with the market, with its exposure to cheaper
cyclical stocks working well as the market looked ahead to stronger regional
economic growth in 2004. Bottom-up news flow resulted in the Fund investing
in a number of stocks in sectors that were expected to benefit from increased
consumer, corporate and government spending, such as construction,
transportation and retail.
These positions worked particularly well in the first two months of 2004, as
positive earnings reports from a range of Portfolio holdings helped boost
relative returns. In particular, the Fund benefited at this time from
exposure to Airline stocks (which were seeing improved margins and a pickup
in passenger numbers), Telecom Equipment makers (which were boosted by rising
handset demand), and Insurance companies and Utility providers (whose cheap
valuations and rising profitability attracted investors).
However, March and April were much more difficult months for the Fund as
renewed global security concerns following the Madrid bombings, rising oil
prices and growing concerns over potential U.S. interest rate hikes led to
swings in market sentiment. As a result, European stock markets and the Fund
fell back sharply. The Fund underperformed as investor nervousness over the
potential effect of terrorism, rate increases and higher fuel costs on
consumer confidence led to profit taking in some of our favored growth stocks
that had performed so strongly earlier in the review period.
Q: HOW WAS THE FUND MANAGED?
A: The Fund's disciplined investment process seeks to invest in what we believe
to be the best European growth and value stocks. The Fund's Portfolio is
constructed at an absolute level, focusing only on those stocks that we have
identified as the most attractive, so that no company is owned simply to
reduce risk against the benchmark. Instead, risk continues to be managed by
holding a large number of stocks and by ensuring that the Fund always has
positive tilts to both growth and value compared to the broad market.
3
<Page>
[CHART]
PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS
<Table>
United Kingdom 28.0%
France 12.5%
Germany 11.0%
Switzerland 9.0%
The Netherlands 8.1%
Austria 7.4%
Sweden 6.8%
Italy 4.4%
Norway 4.1%
Spain 4.0%
Belgium 2.6%
Liechtenstein 0.6%
Greece 0.5%
Ireland 0.5%
Luxembourg 0.5%
Finland 0.0%^
</Table>
^ Amount rounds to less than 0.1%
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO
<Table>
1. Shell Transport & Trading Co., PLC
(United Kingdom) 3.2%
2. Total SA (France) 3.2%
3. Koninklijke Wessanen NV
(The Netherlands) 2.4%
4. BP PLC (United Kingdom) 2.4%
5. E.ON AG (Germany) 2.2%
6. ENI-Ente Nazionale
Idrocarburi SPA (Italy) 2.2%
7. Scottish Power PLC
(United Kingdom) 2.1%
8. Bank Austria Creditanstalt
AG (Austria) 2.1%
9. United Utilities PLC
(United Kingdom) 1.9%
10. Statoil ASA (Norway) 1.7%
</Table>
Top 10 equity holdings comprised 23.4% of the Portfolio's market value of
investments ($22,004,984). As of April 30, 2004, the Fund held 116 equity
holdings. Portfolio holdings are subject to change at any time.
4
<Page>
SEMI-ANNUAL REPORT APRIL 30 2004
(Unaudited)
AVERAGE ANNUAL TOTAL RETURNS AS OF APRIL 30, 2004
<Table>
<Caption>
SINCE
INCEPTION
1 YEAR 3 YEARS 5 YEARS (11/2/95)
---------------------------------------
CLASS A SHARES
Without Sales Charge 32.78% 8.31% 5.17% 12.28%
With Sales Charge* 25.14% 6.20% 3.93% 11.50%
---------------------------------------
CLASS B SHARES
Without CDSC 32.06% 7.56% 4.44% 11.53%
With CDSC** 27.06% 6.69% 4.11% 11.53%
---------------------------------------
CLASS C SHARES
Without CDSC 32.11% 7.55% 4.42% 11.48%
With CDSC*** 31.11% 7.55% 4.42% 11.48%
---------------------------------------
INSTITUTIONAL SHARES 33.87% 8.98% 5.56% 12.53%
---------------------------------------
SELECT SHARES 33.24% 8.52% 5.29% 12.36%
</Table>
* Sales Charge for Class A Shares is 5.75%.
** Assumes 5% CDSC (contingent deferred sales charge) for the one year period,
3% CDSC for the three year period, 2% CDSC for the five year period and 0%
for the period since inception.
*** Assumes a 1% CDSC for the one year period and 0% CDSC thereafter.
[CHART]
LIFE OF FUND PERFORMANCE (11/02/95 TO 04/30/04)
<Table>
<Caption>
JPMORGAN FLEMING INTREPID
EUROPEAN FUND (CLASS A SHARES) MSCI EUROPE INDEX LIPPER EUROPEAN FUNDS INDEX
Nov-1995 $ 9,425 $ 10,000 $ 10,000
Nov-1995 $ 9,444 $ 10,000 $ 10,000
Dec-1995 $ 9,598 $ 10,317 $ 10,210
Jan-1996 $ 9,664 $ 10,384 $ 10,287
Feb-1996 $ 10,013 $ 10,573 $ 10,633
Mar-1996 $ 10,333 $ 10,700 $ 10,887
Apr-1996 $ 10,532 $ 10,777 $ 11,097
May-1996 $ 10,701 $ 10,860 $ 11,378
Jun-1996 $ 11,099 $ 10,979 $ 11,483
Jul-1996 $ 10,720 $ 10,842 $ 11,175
Aug-1996 $ 10,966 $ 11,164 $ 11,540
Sep-1996 $ 11,223 $ 11,399 $ 11,686
Oct-1996 $ 11,385 $ 11,663 $ 11,930
Nov-1996 $ 11,936 $ 12,254 $ 12,433
Dec-1996 $ 12,296 $ 12,492 $ 12,711
Jan-1997 $ 12,451 $ 12,526 $ 12,843
Feb-1997 $ 12,730 $ 12,691 $ 13,036
Mar-1997 $ 12,988 $ 13,101 $ 13,341
Apr-1997 $ 12,905 $ 13,036 $ 13,172
May-1997 $ 13,060 $ 13,592 $ 13,693
Jun-1997 $ 13,836 $ 14,272 $ 14,338
Jul-1997 $ 14,363 $ 14,941 $ 14,758
Aug-1997 $ 13,732 $ 14,088 $ 14,035
Sep-1997 $ 14,788 $ 15,455 $ 15,298
Oct-1997 $ 14,592 $ 14,694 $ 14,659
Nov-1997 $ 14,541 $ 14,921 $ 14,769
Dec-1997 $ 14,924 $ 15,465 $ 15,113
Jan-1998 $ 15,760 $ 16,108 $ 15,676
Feb-1998 $ 17,182 $ 17,368 $ 16,968
Mar-1998 $ 18,580 $ 18,605 $ 18,253
Apr-1998 $ 19,142 $ 18,966 $ 18,672
May-1998 $ 19,643 $ 19,351 $ 19,141
Jun-1998 $ 19,824 $ 19,564 $ 19,197
Jul-1998 $ 20,603 $ 19,951 $ 19,563
Aug-1998 $ 17,179 $ 17,441 $ 16,738
Sep-1998 $ 16,461 $ 16,743 $ 15,801
Oct-1998 $ 17,323 $ 18,083 $ 16,906
Nov-1998 $ 18,257 $ 19,045 $ 17,869
Dec-1998 $ 19,128 $ 19,877 $ 18,702
Jan-1999 $ 20,145 $ 19,750 $ 19,035
Feb-1999 $ 18,981 $ 19,248 $ 18,479
Mar-1999 $ 18,945 $ 19,458 $ 18,531
Apr-1999 $ 19,587 $ 20,038 $ 19,061
May-1999 $ 18,569 $ 19,076 $ 18,369
Jun-1999 $ 18,932 $ 19,399 $ 18,835
Jul-1999 $ 19,271 $ 19,579 $ 19,152
Aug-1999 $ 19,478 $ 19,779 $ 19,307
Sep-1999 $ 19,515 $ 19,626 $ 19,096
Oct-1999 $ 20,024 $ 20,349 $ 19,744
Nov-1999 $ 22,727 $ 20,898 $ 21,116
Dec-1999 $ 26,025 $ 23,040 $ 23,844
Jan-2000 $ 25,715 $ 21,400 $ 23,076
Feb-2000 $ 28,207 $ 22,515 $ 26,256
Mar-2000 $ 27,615 $ 23,057 $ 26,275
Apr-2000 $ 25,999 $ 22,040 $ 24,851
May-2000 $ 25,050 $ 21,860 $ 24,349
Jun-2000 $ 25,396 $ 22,330 $ 24,926
Jul-2000 $ 24,865 $ 21,972 $ 24,734
Aug-2000 $ 24,656 $ 21,713 $ 24,828
Sep-2000 $ 23,423 $ 20,697 $ 23,547
Oct-2000 $ 22,053 $ 20,540 $ 22,831
Nov-2000 $ 20,869 $ 19,745 $ 21,609
Dec-2000 $ 22,194 $ 21,105 $ 23,232
Jan-2001 $ 22,125 $ 21,116 $ 23,163
Feb-2001 $ 20,893 $ 19,262 $ 21,210
Mar-2001 $ 18,906 $ 17,825 $ 19,348
Apr-2001 $ 19,838 $ 19,092 $ 20,629
May-2001 $ 19,413 $ 18,160 $ 19,834
Jun-2001 $ 18,454 $ 17,474 $ 19,027
Jul-2001 $ 18,139 $ 17,518 $ 18,835
Aug-2001 $ 18,632 $ 17,062 $ 18,351
Sep-2001 $ 17,181 $ 15,359 $ 16,292
Oct-2001 $ 17,756 $ 15,848 $ 16,862
Nov-2001 $ 19,386 $ 16,483 $ 17,592
Dec-2001 $ 19,454 $ 16,905 $ 17,967
Jan-2002 $ 18,838 $ 16,021 $ 17,180
Feb-2002 $ 19,331 $ 16,018 $ 17,192
Mar-2002 $ 20,249 $ 16,886 $ 18,052
Apr-2002 $ 20,824 $ 16,758 $ 18,003
May-2002 $ 21,399 $ 16,706 $ 18,014
Jun-2002 $ 21,070 $ 16,126 $ 17,531
Jul-2002 $ 19,713 $ 14,331 $ 15,699
Aug-2002 $ 19,315 $ 14,328 $ 15,594
Sep-2002 $ 17,918 $ 12,443 $ 13,662
Oct-2002 $ 18,125 $ 13,646 $ 14,708
Nov-2002 $ 19,481 $ 14,316 $ 15,404
Dec-2002 $ 17,976 $ 13,796 $ 14,835
Jan-2003 $ 17,576 $ 13,144 $ 14,187
Feb-2003 $ 17,121 $ 12,715 $ 13,645
Mar-2003 $ 17,288 $ 12,526 $ 13,479
Apr-2003 $ 18,986 $ 14,216 $ 15,173
May-2003 $ 20,392 $ 15,138 $ 16,290
Jun-2003 $ 20,282 $ 15,284 $ 16,420
Jul-2003 $ 21,110 $ 15,594 $ 16,734
Aug-2003 $ 21,469 $ 15,564 $ 16,861
Sep-2003 $ 22,020 $ 15,880 $ 17,237
Oct-2003 $ 23,372 $ 16,942 $ 18,326
Nov-2003 $ 24,338 $ 17,664 $ 19,133
Dec-2003 $ 26,007 $ 19,114 $ 20,491
Jan-2004 $ 27,001 $ 19,338 $ 21,089
Feb-2004 $ 27,511 $ 19,905 $ 21,745
Mar-2004 $ 26,202 $ 19,284 $ 21,045
Apr-2004 $ 25,204 $ 19,124 $ 20,708
</Table>
Source: Lipper Analytical Services, Inc. The quoted performance is past
performance and not indicative of future returns. Investment returns will
fluctuate so that an investor's shares when redeemed may be worth more or less
than original cost. Please note, current performance may be higher or lower than
the performance data shown. INVESTORS SHOULD CAREFULLY READ THE FUND PROSPECTUS
WHICH INCLUDES INFORMATION ON THE FUND'S INVESTMENT OBJECTIVES, RISK, AS WELL AS
CHARGES AND EXPENSES ALONG WITH OTHER INFORMATION. INVESTORS SHOULD REVIEW THE
INFORMATION IN THE PROSPECTUS CAREFULLY BEFORE INVESTING. FOR UP TO DATE
MONTH-END PERFORMANCE INFORMATION, OR TO RECEIVE A FUND PROSPECTUS PLEASE CALL
800 348-4782. PLEASE READ CAREFULLY BEFORE INVESTING OR SENDING MONEY.
The Fund commenced operations on 11/2/95.
Returns for the Institutional and Select Shares prior to 9/10/01 (offering date
of the Institutional and Select Shares) are calculated using the historical
expenses of the Class A Shares, which are higher than the expenses of the
Institutional and Select Shares.
Returns for the Class B Shares prior to 11/3/95 (offering date of the Class B
Shares) are calculated using the historical expenses of the Class A Shares,
which are lower than the expenses of the Class B Shares.
Returns for the Class C Shares prior to 11/1/98 (offering date of the Class C
Shares) are calculated using the historical expenses of the Class A Shares,
which are lower than the expenses of the Class C Shares.
The graph illustrates comparative performance for $10,000 invested in Class A
Shares of the JPMorgan Fleming Intrepid European Fund, MSCI Europe Index, and
Lipper European Funds Index from November 2, 1995 to April 30, 2004. The
performance of the Fund assumes reinvestment of all dividends and capital gains
and includes a sales charge. The performance of the indices reflects an initial
investment at the end of the month following the Fund's inception. The
performance of the indices does not include a sales charge and has been adjusted
to reflect reinvestment of all dividends and capital gains of the securities
included in the benchmark. The MSCI Europe Index is a replica (or model) of the
performance of the European markets. The Lipper European Funds Index represents
the total returns of the funds in the indicated category, as defined by Lipper,
Inc. Investors cannot invest directly in an index.
Class A Shares have a $2,500 minimum initial deposit and carry a 5.75% sales
charge.
Certain fees and expenses of the Fund are currently being waived and reimbursed
as described in the prospectus. Had the expenses not been subsidized or waived,
returns would have been lower. Also, all performance shown in this section does
not reflect the deduction of taxes that a shareholder would pay on fund
distributions or redemption of fund shares.
5
<Page>
JPMORGAN FLEMING JAPAN FUND
AS OF APRIL 30, 2004 (Unaudited)
FUND FACTS
Fund Inception 11/2/95
Fiscal Year End OCTOBER 31
Net Assets as of 4/30/2004
(In Millions) $21.2
Primary Benchmark MSCI JAPAN INDEX
Q: HOW DID THE FUND PERFORM?
A: JPMorgan Fleming Japan Fund, which seeks total return from long-term capital
growth through investing in Japanese equities, climbed by 11.2% (A shares, no
sales charge) in the six months ended April 30, 2004. This compares with a
rise of 12.9% in the MSCI Japan Index (in U.S. dollars).
Q: WHY DID THE FUND PERFORM THIS WAY?
A: The Portfolio generated a significant positive return in the six months ended
April 30, 2004, although it trailed its MSCI Japan Index benchmark. Being
underweight the banking sector, which was one of the leaders of the Japanese
stock market rally, caused the shortfall against the Index. To an extent,
this was offset by successful stock selection among small capitalization
stocks.
Japan's bank stocks had an astonishing rally during the period in response to
what appeared to be an increasingly sustainable domestic economic recovery. A
return to economic stability in Japan would reduce banks' bad debt
provisions, so improving their financial strength and increasing
profitability. The Portfolio had underweight holdings in UFJ Holdings and
Mitsubishi Tokyo Financial Group.
Another detractor from relative performance was Toyota Motor Company, where
the Portfolio was underweight. Toyota's shares rallied as it reported a more
than 50% increase in profits for the 2003 financial year, with sales
increases across all major markets.
Stock selection among the small house building companies added to
performance. Many of these companies practice efficient building techniques,
helping them to generate strong profit growth. Additionally, there is
increasing optimism that deflation in Japanese asset prices may be coming to
an end. Both of these factors are pushing stock prices up from low
valuations.
An overweight allocation to small companies as a whole benefited the
Portfolio. One stock that performed well was VT Holdings, a car dealer that
also exports used cars to Asia. Broadly speaking, many small capitalization
stocks have offered better earnings growth than larger companies, yet have
traded on lower valuations.
Q: HOW WAS THE FUND MANAGED?
A: As the period progressed, the Portfolio increased its weighting in the
companies we believe to have the most leverage to Japan's economic recovery.
Following meetings with the banks, it has moved from underweight to slightly
overweight the sector. The Portfolio is also overweight the real estate
stocks, which will benefit if asset prices stop falling. It has a slightly
underweight position in the export stocks, which are suffering from the
strength of the Yen.
6
<Page>
SEMI-ANNUAL REPORT APRIL 30 2004
(Unaudited)
[CHART]
PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS
<Table>
Industrial Products & Services 26.9%
Consumer Goods & Services 23.1%
Finance & Insurance 22.7%
Technology 17.8%
REITs 6.7%
Telecommunications 1.5%
Pharmaceuticals 0.7%
Energy 0.6%
</Table>
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO
<Table>
1. Toyota Motor Corp. (Japan) 2.8%
2. Matsui Securities Co., LTD
(Japan) 2.1%
3. Mizuho Financial Group, Inc.
(Japan) 2.1%
4. Sumitomo Mitsui Financial
Group, Inc. (Japan) 2.0%
5. Nikko Cordial Corp. (Japan) 1.9%
6. Resona Holdings, Inc.
(Japan) 1.8%
7. Mitsubishi Tokyo Financial
Group, Inc. (Japan) 1.8%
8. Honda Motor Co., LTD
(Japan) 1.7%
9. BB Net Corp. (Japan) 1.4%
10. Nissan Motor Co., LTD
(Japan) 1.4%
</Table>
Top 10 equity holdings comprised 19.0% of the Portfolio's market value of
investments ($3,883,366). As of April 30, 2004, the Fund held 157 equity
holdings. Portfolio holdings are subject to change at any time.
7
<Page>
AVERAGE ANNUAL TOTAL RETURNS AS OF APRIL 30, 2004
<Table>
<Caption>
SINCE
INCEPTION
1 YEAR 3 YEARS 5 YEARS (11/2/95)
---------------------------------------
CLASS A SHARES
Without Sales Charge 79.04% 1.91% (0.92%) (2.56%)
With Sales Charge* 68.86% (0.09%) (2.07%) (3.23%)
---------------------------------------
CLASS B SHARES
Without CDSC 77.83% 1.06% (1.59%) (3.21%)
With CDSC** 72.83% 0.07% (1.99%) (3.21%)
</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 (11/02/95 TO 04/30/04)
<Table>
<Caption>
JPMORGAN FLEMING TOKYO STOCK EXCHANGE LIPPER JAPAN
JAPAN FUND (CLASS A SHARES) MSCI JAPAN INDEX (TOPIX) 1ST SECTION INDEX EQUITY FUNDS AVERAGE
Nov-1995 $ 9,425 $ 10,000 $ 10,000 $ 10,000
Nov-1995 $ 9,425 $ 10,000 $ 10,000 $ 10,000
Dec-1995 $ 9,679 $ 10,511 $ 10,479 $ 10,444
Jan-1996 $ 9,802 $ 10,373 $ 10,338 $ 10,459
Feb-1996 $ 9,604 $ 10,189 $ 10,168 $ 10,243
Mar-1996 $ 10,038 $ 10,548 $ 10,544 $ 10,618
Apr-1996 $ 10,518 $ 11,149 $ 11,246 $ 11,294
May-1996 $ 10,057 $ 10,574 $ 10,697 $ 10,888
Jun-1996 $ 10,179 $ 10,630 $ 10,744 $ 11,064
Jul-1996 $ 9,699 $ 10,154 $ 10,216 $ 10,513
Aug-1996 $ 9,190 $ 9,700 $ 9,782 $ 10,118
Sep-1996 $ 9,473 $ 10,036 $ 10,086 $ 10,365
Oct-1996 $ 8,879 $ 9,363 $ 9,409 $ 9,758
Nov-1996 $ 8,973 $ 9,541 $ 9,479 $ 9,809
Dec-1996 $ 8,605 $ 8,882 $ 8,749 $ 9,288
Jan-1997 $ 8,470 $ 7,916 $ 7,806 $ 8,741
Feb-1997 $ 8,768 $ 8,101 $ 7,957 $ 8,897
Mar-1997 $ 8,633 $ 7,834 $ 7,696 $ 8,710
Apr-1997 $ 8,951 $ 8,119 $ 7,880 $ 9,034
May-1997 $ 9,779 $ 9,015 $ 8,853 $ 10,155
Jun-1997 $ 10,260 $ 9,688 $ 9,423 $ 10,628
Jul-1997 $ 10,789 $ 9,393 $ 9,050 $ 10,756
Aug-1997 $ 9,573 $ 8,579 $ 8,239 $ 9,604
Sep-1997 $ 9,718 $ 8,449 $ 8,006 $ 9,487
Oct-1997 $ 9,187 $ 7,662 $ 7,392 $ 8,801
Nov-1997 $ 9,033 $ 7,191 $ 6,831 $ 8,371
Dec-1997 $ 8,745 $ 6,780 $ 6,293 $ 7,903
Jan-1998 $ 8,643 $ 7,385 $ 6,961 $ 8,537
Feb-1998 $ 8,368 $ 7,423 $ 7,016 $ 8,483
Mar-1998 $ 8,205 $ 6,918 $ 6,572 $ 8,108
Apr-1998 $ 8,094 $ 6,891 $ 6,481 $ 8,150
May-1998 $ 8,185 $ 6,512 $ 6,172 $ 7,987
Jun-1998 $ 8,114 $ 6,603 $ 6,209 $ 7,989
Jul-1998 $ 8,022 $ 6,516 $ 6,122 $ 8,130
Aug-1998 $ 7,279 $ 5,773 $ 5,489 $ 7,444
Sep-1998 $ 7,086 $ 5,615 $ 5,390 $ 7,188
Oct-1998 $ 6,526 $ 6,557 $ 6,248 $ 7,630
Nov-1998 $ 6,821 $ 6,857 $ 6,541 $ 8,208
Dec-1998 $ 7,025 $ 7,122 $ 6,777 $ 8,441
Jan-1999 $ 6,913 $ 7,174 $ 6,807 $ 8,515
Feb-1999 $ 6,689 $ 7,017 $ 6,641 $ 8,466
Mar-1999 $ 7,616 $ 7,990 $ 7,562 $ 9,628
Apr-1999 $ 7,921 $ 8,323 $ 7,917 $ 10,139
May-1999 $ 7,575 $ 7,854 $ 7,527 $ 9,822
Jun-1999 $ 8,206 $ 8,598 $ 8,270 $ 11,312
Jul-1999 $ 8,929 $ 9,456 $ 9,108 $ 12,515
Aug-1999 $ 9,132 $ 9,389 $ 9,393 $ 13,135
Sep-1999 $ 9,631 $ 9,959 $ 10,030 $ 13,904
Oct-1999 $ 10,018 $ 10,387 $ 10,621 $ 14,428
Nov-1999 $ 10,537 $ 10,832 $ 11,386 $ 15,707
Dec-1999 $ 11,260 $ 11,505 $ 11,928 $ 16,927
Jan-2000 $ 10,476 $ 11,007 $ 11,311 $ 16,159
Feb-2000 $ 10,394 $ 10,722 $ 11,094 $ 16,440
Mar-2000 $ 10,934 $ 11,606 $ 11,830 $ 17,476
Apr-2000 $ 10,089 $ 10,733 $ 10,852 $ 15,870
May-2000 $ 9,193 $ 10,187 $ 10,060 $ 14,743
Jun-2000 $ 9,682 $ 10,887 $ 10,704 $ 15,759
Jul-2000 $ 8,460 $ 9,633 $ 9,436 $ 13,853
Aug-2000 $ 9,152 $ 10,256 $ 10,086 $ 14,955
Sep-2000 $ 8,979 $ 9,746 $ 9,711 $ 14,143
Oct-2000 $ 8,266 $ 9,181 $ 9,017 $ 13,007
Nov-2000 $ 8,083 $ 8,800 $ 8,777 $ 12,472
Dec-2000 $ 7,442 $ 8,265 $ 8,022 $ 11,421
Jan-2001 $ 7,422 $ 8,167 $ 7,980 $ 11,327
Feb-2001 $ 6,800 $ 7,799 $ 7,556 $ 10,527
Mar-2001 $ 6,739 $ 7,567 $ 7,306 $ 10,401
Apr-2001 $ 7,146 $ 8,081 $ 7,929 $ 11,259
May-2001 $ 7,238 $ 8,062 $ 7,908 $ 11,088
Jun-2001 $ 6,759 $ 7,581 $ 7,481 $ 10,532
Jul-2001 $ 6,240 $ 7,017 $ 6,835 $ 9,619
Aug-2001 $ 5,976 $ 6,841 $ 6,652 $ 9,159
Sep-2001 $ 5,375 $ 6,202 $ 6,184 $ 8,296
Oct-2001 $ 5,385 $ 6,189 $ 6,229 $ 8,508
Nov-2001 $ 5,599 $ 6,257 $ 6,140 $ 8,545
Dec-2001 $ 5,253 $ 5,834 $ 5,668 $ 8,078
Jan-2002 $ 4,937 $ 5,377 $ 5,229 $ 7,482
Feb-2002 $ 5,212 $ 5,601 $ 5,454 $ 7,782
Mar-2002 $ 5,569 $ 5,922 $ 5,787 $ 8,344
Apr-2002 $ 5,752 $ 6,266 $ 6,096 $ 8,630
May-2002 $ 6,017 $ 6,657 $ 6,529 $ 9,118
Jun-2002 $ 5,701 $ 6,310 $ 6,186 $ 8,603
Jul-2002 $ 5,212 $ 5,871 $ 5,831 $ 8,018
Aug-2002 $ 5,080 $ 5,809 $ 5,749 $ 7,882
Sep-2002 $ 4,764 $ 5,549 $ 5,496 $ 7,478
Oct-2002 $ 4,510 $ 5,163 $ 5,113 $ 6,966
Nov-2002 $ 4,754 $ 5,372 $ 5,294 $ 7,221
Dec-2002 $ 4,622 $ 5,234 $ 5,165 $ 6,995
Jan-2003 $ 4,531 $ 5,022 $ 4,976 $ 6,730
Feb-2003 $ 4,541 $ 5,051 $ 5,035 $ 6,785
Mar-2003 $ 4,195 $ 4,822 $ 4,863 $ 6,457
Apr-2003 $ 4,225 $ 4,784 $ 4,888 $ 6,469
May-2003 $ 4,541 $ 5,016 $ 5,126 $ 6,802
Jun-2003 $ 5,091 $ 5,386 $ 5,509 $ 7,320
Jul-2003 $ 5,264 $ 5,605 $ 5,706 $ 7,654
Aug-2003 $ 5,865 $ 6,196 $ 6,289 $ 8,455
Sep-2003 $ 6,028 $ 6,563 $ 6,702 $ 8,916
Oct-2003 $ 6,802 $ 6,864 $ 6,974 $ 9,466
Nov-2003 $ 6,209 $ 6,651 $ 6,709 $ 9,070
Dec-2003 $ 6,689 $ 7,112 $ 7,160 $ 9,687
Jan-2004 $ 6,863 $ 7,241 $ 7,276 $ 9,785
Feb-2004 $ 6,679 $ 7,220 $ 7,286 $ 9,730
Mar-2004 $ 7,708 $ 8,190 $ 8,378 $ 11,042
Apr-2004 $ 7,564 $ 7,746 $ 7,946 $ 10,644
</Table>
Source: Lipper Analytical Services, Inc. The quoted performance is past
performance and not indicative of future returns. Investment returns will
fluctuate so that an investor's shares when redeemed may be worth more or less
than original cost. Please note, current performance may be higher or lower than
the performance data shown. INVESTORS SHOULD CAREFULLY READ THE FUND PROSPECTUS
WHICH INCLUDES INFORMATION ON THE FUND'S INVESTMENT OBJECTIVES, RISK, AS WELL AS
CHARGES AND EXPENSES ALONG WITH OTHER INFORMATION. INVESTORS SHOULD REVIEW THE
INFORMATION IN THE PROSPECTUS CAREFULLY BEFORE INVESTING. FOR UP TO DATE
MONTH-END PERFORMANCE INFORMATION, OR TO RECEIVE A FUND PROSPECTUS PLEASE CALL
800 348-4782. PLEASE READ CAREFULLY BEFORE INVESTING OR SENDING MONEY.
The Fund commenced operations on 11/2/95.
Returns for the Class B Shares prior to 11/3/95 (offering date of the Class B
Shares) are calculated using the historical expenses of the Class A Shares,
which are lower than the expenses of the Class B Shares.
The graph illustrates comparative performance for $10,000 invested in Class A
Shares of the JPMorgan Fleming Japan Fund, MSCI Japan Index, Tokyo Stock
Exchange (TOPIX) 1st Section Index and Lipper Japan Equity Funds Average from
November 2, 1995 to April 30, 2004. The performance of the Fund assumes
reinvestment of all dividends and capital gains and includes a sales charge. The
performance of the indices reflects an initial investment at the end of the
month following the Fund's inception. The performance of the indices does not
include a sales charge and has been adjusted to reflect reinvestment of all
dividends and capital gains of the securities included in the benchmark. The
MSCI Japan Index is a replica (or model) of the performance of the Japan Equity
Markets. The Tokyo Stock Exchange (TOPIX) 1st Section Index, also known as the
Tokyo Price Index, is an unmanaged capitalization-weighted index of all
companies listed on the First Section of the Tokyo Stock Exchange. The Lipper
Japan Equity Funds Average describes the average total returns for all of the
funds in the indicated category, as defined by Lipper, Inc. Investors cannot
invest directly in an index.
Class A Shares have a $2,500 minimum initial deposit and carry a 5.75% sales
charge.
Certain fees and expenses of the Fund are currently being waived and reimbursed
as described in the prospectus. Had the expenses not been subsidized or waived,
returns would have been lower. Also, all performance shown in this section does
not reflect the deduction of taxes that a shareholder would pay on fund
distributions or redemption of fund shares.
8
<Page>
JPMORGAN FLEMING INTERNATIONAL GROWTH FUND
AS OF APRIL 30, 2004 (Unaudited)
FUND FACTS
Fund Inception 12/29/00
Fiscal Year End OCTOBER 31
Net Assets as of 4/30/2004
(In Millions) $4.3
Primary Benchmark MSCI EAFE
GROWTH INDEX
Q: HOW DID THE FUND PERFORM?
A: JPMorgan Fleming International Growth Fund, which seeks total return from
long-term capital appreciation through investing in equity securities of
companies located in major developed regions of the world outside the U.S.,
rose by 9.5% (A shares, no sales charge) in the six months ended April 30,
2004. This compares with a rally of 10.9% in the MSCI EAFE Growth Index (in
U.S. dollars).
Q: WHY DID THE FUND PERFORM THIS WAY?
A: The Portfolio generated a significant absolute return from international
growth stocks in the six months ended April 30, 2004, although it trailed the
MSCI EAFE Growth Index benchmark. Relative to the index, the greatest area of
underperformance was the Financial sector, where stock selection detracted.
This was partially offset by positive performance in the Energy and
Healthcare sectors.
In the Financial sector, the Portfolio's underperformance was as much due to
what it did not own as what it did. The Portfolio was underweight Mitsubishi
Tokyo Financial Group, Japan's largest bank, which rallied in response to
what appeared to be an increasingly sustainable economic recovery. If the
recovery continues, it will reduce the bank's bad debt provisions and
increase profitability. The Portfolio was also underweight UBS, the Swiss
banking group, which reported its second best ever annual profits for 2003,
supported by competitive market share gains and tight cost control.
Additionally, two of the Portfolio's overweight holdings, Deutsche Boerse and
Standard Chartered, trailed the sector.
The Portfolio's Energy holdings contributed to performance, as supply and
demand fundamentals appeared likely to support the high oil price for some
time. The Portfolio was overweight the sector, which was the second best
performing in the benchmark. The high oil price boosted holdings such as BG,
ENI and Total.
Corporate activity boosted performance in the Healthcare sector. The
Portfolio owned French pharmaceutical stock Aventis, which received a
takeover approach from fellow French drug maker Sanofi-Synthelabo at a
premium to the stock market price. After the end of the reporting period,
Sanofi-Synthelabo improved the terms of its takeover offer, which Aventis
then recommended to its shareholders.
Q: HOW WAS THE FUND MANAGED?
A: Stock selection has tended to lead to the Portfolio holding stocks that stand
to gain from economic recovery. Selection has focused on companies we believe
to have pricing power, strong free cash flow, and reasonable valuations. The
approach to valuation differentiates this Portfolio, in so far as it is
unwilling to buy stocks that trade at exceptionally high valuations relative
to prospective earnings growth.
9
<Page>
[CHART]
PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS
<Table>
United Kingdom 27.0%
Japan 21.8%
Switzerland 12.7%
Germany 9.8%
France 6.6%
The Netherlands 5.9%
South Korea 3.9%
Spain 1.7%
Finland 1.4%
Ireland 1.3%
Australia 1.3%
Italy 1.0%
Hong Kong 1.0%
Mexico 0.9%
Belgium 0.9%
Brazil 0.8%
Russia 0.8%
Taiwan 0.7%
China 0.5%
</Table>
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO
<Table>
1. Vodafone Group PLC
(United Kingdom) 4.4%
2. GlaxoSmithKline PLC
(United Kingdom) 3.8%
3. Roche Holding AG
(Switzerland) 3.8%
4. Total SA (France) 3.1%
5. UBS AG (Switzerland) 2.7%
6. Royal Bank of Scotland Group PLC
(United Kingdom) 2.5%
7. Schering AG (Germany) 2.4%
8. Canon, Inc. (Japan) 2.4%
9. Samsung Electronics
Co., LTD (South Korea),
GDR 2.3%
10. Compass Group PLC
(United Kingdom) 2.2%
</Table>
Top 10 equity holdings comprised 29.6% of the Portfolio's market value of
investments ($1,272,475). As of April 30, 2004, the Fund held 68 equity
holdings. Portfolio holdings are subject to change at any time.
10
<Page>
SEMI-ANNUAL REPORT APRIL 30 2004
(Unaudited)
AVERAGE ANNUAL TOTAL RETURNS AS OF APRIL 30, 2004
<Table>
<Caption>
SINCE
INCEPTION
1 YEAR 3 YEARS (12/29/00)
------------------------------
CLASS A SHARES
Without Sales Charge 32.65% (2.24%) (4.57%)
With Sales Charge* 25.07% (4.16%) (6.25%)
------------------------------
CLASS B SHARES
Without CDSC 31.97% (2.70%) (5.03%)
With CDSC** 26.97% (3.68%) (5.89%)
</Table>
* Sales Charge for Class A Shares is 5.75%.
** Assumes 5% CDSC (contingent deferred sales charge) for the one year period,
3% CDSC for the three year period, and 3% CDSC for the period since
inception.
[CHART]
LIFE OF FUND PERFORMANCE (12/29/00 TO 04/30/04)
<Table>
<Caption>
JPMORGAN FLEMING INTERNATIONAL
GROWTH FUND (CLASS A SHARES) MSCI EAFE GROWTH INDEX LIPPER INTERNATIONAL FUNDS INDEX
Dec-2000 $ 9,425 $ 10,000 $ 10,000
Dec-2000 $ 9,425 $ 10,000 $ 10,000
Jan-2001 $ 9,595 $ 9,972 $ 10,059
Feb-2001 $ 8,624 $ 8,960 $ 9,353
Mar-2001 $ 7,907 $ 8,340 $ 8,695
Apr-2001 $ 8,633 $ 8,911 $ 9,224
May-2001 $ 8,275 $ 8,552 $ 9,001
Jun-2001 $ 7,845 $ 8,136 $ 8,747
Jul-2001 $ 7,543 $ 7,939 $ 8,520
Aug-2001 $ 7,307 $ 7,577 $ 8,348
Sep-2001 $ 6,429 $ 6,860 $ 7,438
Oct-2001 $ 6,816 $ 7,133 $ 7,640
Nov-2001 $ 7,316 $ 7,500 $ 7,925
Dec-2001 $ 7,533 $ 7,543 $ 8,066
Jan-2002 $ 7,137 $ 7,136 $ 7,740
Feb-2002 $ 7,156 $ 7,233 $ 7,848
Mar-2002 $ 7,543 $ 7,508 $ 8,264
Apr-2002 $ 7,524 $ 7,548 $ 8,321
May-2002 $ 7,439 $ 7,563 $ 8,440
Jun-2002 $ 7,203 $ 7,368 $ 8,107
Jul-2002 $ 6,438 $ 6,583 $ 7,298
Aug-2002 $ 6,428 $ 6,532 $ 7,304
Sep-2002 $ 5,494 $ 5,964 $ 6,517
Oct-2002 $ 5,900 $ 6,301 $ 6,855
Nov-2002 $ 6,325 $ 6,486 $ 7,180
Dec-2002 $ 6,013 $ 6,335 $ 6,950
Jan-2003 $ 5,654 $ 6,022 $ 6,696
Feb-2003 $ 5,531 $ 5,892 $ 6,497
Mar-2003 $ 5,418 $ 5,830 $ 6,338
Apr-2003 $ 6,079 $ 6,335 $ 6,966
May-2003 $ 6,522 $ 6,662 $ 7,413
Jun-2003 $ 6,636 $ 6,778 $ 7,588
Jul-2003 $ 6,692 $ 6,867 $ 7,800
Aug-2003 $ 6,834 $ 6,993 $ 8,026
Sep-2003 $ 7,013 $ 7,229 $ 8,187
Oct-2003 $ 7,362 $ 7,645 $ 8,675
Nov-2003 $ 7,551 $ 7,824 $ 8,849
Dec-2003 $ 8,044 $ 8,362 $ 9,452
Jan-2004 $ 8,224 $ 8,525 $ 9,655
Feb-2004 $ 8,394 $ 8,687 $ 9,876
Mar-2004 $ 8,328 $ 8,694 $ 9,925
Apr-2004 $ 8,065 $ 8,478 $ 9,629
</Table>
Source: Lipper Analytical Services, Inc. The quoted performance is past
performance and not indicative of future returns. Investment returns will
fluctuate so that an investor's shares when redeemed may be worth more or less
than original cost. Please note, current performance may be higher or lower than
the performance data shown. INVESTORS SHOULD CAREFULLY READ THE FUND PROSPECTUS
WHICH INCLUDES INFORMATION ON THE FUND'S INVESTMENT OBJECTIVES, RISK, AS WELL AS
CHARGES AND EXPENSES ALONG WITH OTHER INFORMATION. INVESTORS SHOULD REVIEW THE
INFORMATION IN THE PROSPECTUS CAREFULLY BEFORE INVESTING. FOR UP TO DATE
MONTH-END PERFORMANCE INFORMATION, OR TO RECEIVE A FUND PROSPECTUS PLEASE CALL
800 348-4782. PLEASE READ CAREFULLY BEFORE INVESTING OR SENDING MONEY.
The Fund commenced operations on 12/29/00.
The graph illustrates comparative performance for $10,000 invested in Class A
Shares of the JPMorgan Fleming International Growth Fund, MSCI EAFE Growth Index
and Lipper International Funds Index from December 29, 2000 to April 30, 2004.
The performance of the Fund assumes reinvestment of all dividends and capital
gains and includes a sales charge. The performance of the indices reflects an
initial investment at the end of the month following the Fund's inception. The
performance of the indices does not include a sales charge and has been adjusted
to reflect reinvestment of all dividends and capital gains of the securities
included in the benchmark. The MSCI EAFE Growth Index is a market
capitalization-weighted index representing all 20 developed markets that make up
that index. The Lipper International Funds Index represents the total returns of
the funds in the indicated category, as defined by Lipper, Inc. Investors cannot
invest directly in an index.
Class A Shares have a $2,500 minimum initial deposit and carry a 5.75% sales
charge.
Certain fees and expenses of the Fund are currently being waived and reimbursed
as described in the prospectus. Had the expenses not been subsidized or waived,
returns would have been lower. Also, all performance shown in this section does
not reflect the deduction of taxes that a shareholder would pay on fund
distributions or redemption of fund shares.
11
<Page>
JPMORGAN FLEMING INTERNATIONAL VALUE FUND
AS OF APRIL 30, 2004 (Unaudited)
FUND FACTS
Fund Inception 11/4/93
Fiscal Year End OCTOBER 31
Net Assets as of 4/30/2004
(In Millions) $44.2
Primary Benchmark MSCI EAFE
VALUE INDEX
Q: HOW DID THE FUND PERFORM?
A: JPMorgan Fleming International Value Fund, which seeks to provide high total
return from a portfolio of foreign company equity securities, rose by 15.2%
(Institutional Shares) in the six months ended April 30, 2004. This compares
with a rally of 13.9% in the MSCI EAFE Value Index (in U.S. dollars).
Q: WHY DID THE FUND OUTPERFORM ITS BENCHMARK?
A: The Fund outperformed the MSCI EAFE Value Index in a strong six months for
international value stocks. In particular, it benefited from owning Japanese
bank stocks, many of which rallied significantly. Fund holdings in the
Telecommunications and Insurance sectors also made notable contributions.
Some of this outperformance was offset by stock selection in the Basic
Industries and Healthcare sectors.
Japan's bank stocks had an astonishing rally during the period in response to
what appeared to be an increasingly sustainable domestic economic recovery.
If the recovery continues, it will likely reduce the banks' bad debt
provisions and increase profitability. The Fund had overweight holdings in
UFJ Holdings and Mizuho Financial Group.
In the Telecommunications sector, Thai cellular phone stock, Advanced
Information Services, performed well as investors became increasingly
optimistic about the prospects of the cellular phone industry. Singapore
Telecommunications also performed well, with buoyant results from its
Australian subsidiary.
In the Insurance sector, the Fund was overweight Zurich Financial Services,
the Switzerland-based insurance company, which performed well as the
company's profits recovered.
Stock selection in the Basic Industries sector detracted from relative
performance. The Fund acquired a holding in Mitsui Chemicals, the Japanese
chemicals company, and Arcelor, the French steel maker, shortly before the
worldwide stock market correction in April.
An overweight position in GlaxoSmithKline, the UK-headquartered
pharmaceutical company, was the chief cause of weak performance in the
Healthcare sector. GlaxoSmithKline's stock price has been languishing because
patents are expiring on a number of its blockbuster drugs.
Q: HOW WAS THE FUND MANAGED?
A: The Fund uses a model to evaluate value stocks. This leads it to take a
longer term view of a stock's investment prospects than many other stock
market participants.
During March, the Fund's benchmark was switched to MSCI EAFE Value Index from
the Citigroup PMI Value EPAC Index, which rose 13.5% during the six months.
12
<Page>
SEMI-ANNUAL REPORT APRIL 30 2004
(Unaudited)
[CHART]
PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS
<Table>
United Kingdom 25.8%
Japan 19.0%
France 13.4%
Switzerland 8.7%
The Netherlands 5.1%
Italy 4.4%
United States 3.1%
Singapore 2.8%
Spain 2.5%
Brazil 2.0%
Germany 2.0%
Ireland 1.8%
Hong Kong 1.7%
Luxembourg 1.6%
India 1.4%
Sweden 1.4%
South Korea 1.3%
Indonesia 1.0%
Russia 1.0%
</Table>
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO
<Table>
1. HSBC Holdings PLC
(United Kingdom) 4.5%
2. BP PLC (United Kingdom) 4.1%
3. ENI-Ente Nazionale
Idrocarburi SPA (Italy) 3.5%
4. Royal Bank of Scotland Group PLC
(United Kingdom) 3.5%
5. BNP Paribas (France) 3.3%
6. Total SA (France) 2.8%
7. Mizuho Financial
Group, Inc. (Japan) 2.8%
8. Credit Suisse Group
(Switzerland) 2.7%
9. Zurich Financial
Services AG (Switzerland) 2.7%
10. Veolia Environnement
(France) 2.6%
</Table>
Top 10 equity holdings comprised 32.5% of the Portfolio's market value of
investments ($13,998,748). As of April 30, 2004, the Fund held 54 equity
holdings. Portfolio holdings are subject to change at any time.
13
<Page>
AVERAGE ANNUAL TOTAL RETURNS AS OF APRIL 30, 2004
<Table>
<Caption>
1 YEAR 3 YEARS 5 YEARS 10 YEARS
---------------------------------------
CLASS A SHARES
Without Sales Charge 44.80% 0.38% (1.43%) 2.60%
With Sales Charge* 36.53% (1.59%) (2.59%) 2.00%
---------------------------------------
CLASS B SHARES
Without CDSC 44.23% 0.02% (1.65%) 2.49%
With CDSC** 39.23% (0.99%) (2.01%) 2.49%
---------------------------------------
INSTITUTIONAL SHARES 45.47% 1.02% (0.92%) 2.98%
---------------------------------------
SELECT SHARES 44.98% 0.56% (1.33%) 2.66%
</Table>
* Sales Charge for Class A Shares is 5.75%.
** Assumes 5% CDSC (contingent deferred sales charge) for the one year period,
3% CDSC for the three year period, 2% CDSC for the five year period and 0%
CDSC for the ten year period.
[CHART]
TEN-YEAR PERFORMANCE (04/30/94 TO 04/30/04)
<Table>
<Caption>
JPMORGAN FLEMING INTERNATIONAL CITIGROUP PMI VALUE LIPPER INTERNATIONAL
VALUE FUND (INSTITUTIONAL SHARES) EPAC INDEX FUNDS INDEX MSCI EAFE VALUE INDEX
Apr-1994 $ 3,000,000 $ 3,000,000 $ 3,000,000 $ 3,000,000
May-1994 $ 3,019,800 $ 2,996,700 $ 2,995,500 $ 3,001,541
Jun-1994 $ 3,019,800 $ 3,053,338 $ 2,948,171 $ 3,058,922
Jul-1994 $ 3,053,622 $ 3,087,840 $ 3,038,975 $ 3,090,578
Aug-1994 $ 3,090,265 $ 3,153,303 $ 3,144,123 $ 3,166,031
Sep-1994 $ 2,980,252 $ 3,063,118 $ 3,063,005 $ 3,072,831
Oct-1994 $ 3,050,586 $ 3,181,048 $ 3,117,833 $ 3,191,098
Nov-1994 $ 2,906,903 $ 3,016,270 $ 2,972,230 $ 3,028,473
Dec-1994 $ 2,947,018 $ 3,033,463 $ 2,932,699 $ 3,026,972
Jan-1995 $ 2,832,969 $ 2,922,438 $ 2,787,237 $ 2,910,800
Feb-1995 $ 2,801,523 $ 2,897,013 $ 2,786,401 $ 2,894,957
Mar-1995 $ 2,932,634 $ 3,090,533 $ 2,859,684 $ 3,074,716
Apr-1995 $ 3,018,267 $ 3,205,501 $ 2,964,920 $ 3,169,782
May-1995 $ 2,958,505 $ 3,179,216 $ 2,993,976 $ 3,130,440
Jun-1995 $ 2,890,164 $ 3,118,811 $ 3,005,353 $ 3,086,682
Jul-1995 $ 3,075,423 $ 3,327,147 $ 3,170,648 $ 3,273,844
Aug-1995 $ 3,018,528 $ 3,187,407 $ 3,117,064 $ 3,162,177
Sep-1995 $ 3,044,186 $ 3,262,630 $ 3,169,119 $ 3,216,496
Oct-1995 $ 2,975,691 $ 3,168,014 $ 3,103,201 $ 3,130,580
Nov-1995 $ 3,044,132 $ 3,275,093 $ 3,135,474 $ 3,219,263
Dec-1995 $ 3,181,727 $ 3,412,319 $ 3,226,403 $ 3,367,956
Jan-1996 $ 3,219,908 $ 3,405,153 $ 3,302,546 $ 3,393,055
Feb-1996 $ 3,208,316 $ 3,415,028 $ 3,316,747 $ 3,404,499
Mar-1996 $ 3,281,466 $ 3,497,330 $ 3,368,488 $ 3,468,148
Apr-1996 $ 3,386,801 $ 3,606,447 $ 3,478,301 $ 3,584,899
May-1996 $ 3,345,820 $ 3,559,202 $ 3,474,475 $ 3,527,179
Jun-1996 $ 3,383,963 $ 3,585,540 $ 3,506,093 $ 3,563,485
Jul-1996 $ 3,269,585 $ 3,490,882 $ 3,387,937 $ 3,470,303
Aug-1996 $ 3,281,355 $ 3,522,998 $ 3,431,981 $ 3,482,048
Sep-1996 $ 3,369,296 $ 3,616,710 $ 3,508,857 $ 3,569,786
Oct-1996 $ 3,348,743 $ 3,600,797 $ 3,494,821 $ 3,525,054
Nov-1996 $ 3,468,963 $ 3,747,349 $ 3,659,078 $ 3,694,492
Dec-1996 $ 3,451,618 $ 3,706,503 $ 3,691,644 $ 3,665,562
Jan-1997 $ 3,372,231 $ 3,545,641 $ 3,696,443 $ 3,563,900
Feb-1997 $ 3,408,651 $ 3,606,626 $ 3,763,349 $ 3,625,644
Mar-1997 $ 3,438,988 $ 3,633,315 $ 3,783,294 $ 3,630,503
Apr-1997 $ 3,451,024 $ 3,636,221 $ 3,799,941 $ 3,632,576
May-1997 $ 3,643,246 $ 3,907,847 $ 4,014,258 $ 3,892,166
Jun-1997 $ 3,801,728 $ 4,129,031 $ 4,206,942 $ 4,094,668
Jul-1997 $ 3,841,266 $ 4,178,992 $ 4,341,985 $ 4,127,637
Aug-1997 $ 3,563,926 $ 3,926,999 $ 4,028,928 $ 3,830,236
Sep-1997 $ 3,743,905 $ 4,142,199 $ 4,287,585 $ 4,003,835
Oct-1997 $ 3,472,471 $ 3,860,529 $ 3,962,157 $ 3,772,977
Nov-1997 $ 3,448,164 $ 3,794,514 $ 3,928,875 $ 3,703,326
Dec-1997 $ 3,501,611 $ 3,815,005 $ 3,959,520 $ 3,719,770
Jan-1998 $ 3,628,369 $ 3,995,454 $ 4,055,341 $ 3,891,969
Feb-1998 $ 3,826,841 $ 4,237,978 $ 4,312,855 $ 4,132,844
Mar-1998 $ 3,943,942 $ 4,422,330 $ 4,547,043 $ 4,335,975
Apr-1998 $ 4,005,862 $ 4,447,538 $ 4,617,067 $ 4,361,008
May-1998 $ 4,009,067 $ 4,454,654 $ 4,626,301 $ 4,349,525
Jun-1998 $ 4,035,126 $ 4,485,391 $ 4,586,053 $ 4,354,353
Jul-1998 $ 4,044,810 $ 4,524,862 $ 4,656,219 $ 4,424,455
Aug-1998 $ 3,498,761 $ 3,895,454 $ 3,986,189 $ 3,799,617
Sep-1998 $ 3,310,177 $ 3,743,142 $ 3,862,219 $ 3,673,598
Oct-1998 $ 3,645,167 $ 4,163,122 $ 4,146,092 $ 4,066,948
Nov-1998 $ 3,824,145 $ 4,376,690 $ 4,353,811 $ 4,287,012
Dec-1998 $ 3,979,405 $ 4,457,222 $ 4,460,915 $ 4,377,441
Jan-1999 $ 3,976,222 $ 4,409,529 $ 4,488,126 $ 4,326,985
Feb-1999 $ 3,875,623 $ 4,354,851 $ 4,372,781 $ 4,263,639
Mar-1999 $ 4,046,538 $ 4,599,158 $ 4,518,395 $ 4,561,188
Apr-1999 $ 4,214,065 $ 4,883,386 $ 4,728,952 $ 4,877,659
May-1999 $ 4,019,797 $ 4,619,683 $ 4,553,035 $ 4,591,124
Jun-1999 $ 4,210,737 $ 4,769,361 $ 4,768,849 $ 4,771,022
Jul-1999 $ 4,341,691 $ 4,925,319 $ 4,875,194 $ 4,957,012
Aug-1999 $ 4,361,663 $ 4,979,990 $ 4,913,709 $ 4,965,811
Sep-1999 $ 4,378,237 $ 4,999,910 $ 4,929,432 $ 4,988,817
Oct-1999 $ 4,545,924 $ 5,165,407 $ 5,101,470 $ 5,099,936
Nov-1999 $ 4,743,671 $ 5,200,532 $ 5,475,407 $ 5,090,167
Dec-1999 $ 5,181,986 $ 5,497,482 $ 6,148,335 $ 5,433,477
Jan-2000 $ 4,897,495 $ 5,014,803 $ 5,788,657 $ 5,045,359
Feb-2000 $ 5,136,003 $ 4,959,139 $ 6,170,709 $ 5,024,339
Mar-2000 $ 5,223,829 $ 5,318,181 $ 6,186,753 $ 5,330,420
Apr-2000 $ 4,911,444 $ 5,136,831 $ 5,794,512 $ 5,123,124
May-2000 $ 4,742,982 $ 5,135,290 $ 5,635,163 $ 5,186,118
Jun-2000 $ 4,918,472 $ 5,366,378 $ 5,896,071 $ 5,405,217
Jul-2000 $ 4,742,882 $ 5,162,992 $ 5,705,039 $ 5,281,193
Aug-2000 $ 4,742,882 $ 5,270,382 $ 5,801,454 $ 5,318,144
Sep-2000 $ 4,493,407 $ 5,086,446 $ 5,463,229 $ 5,157,517
Oct-2000 $ 4,310,974 $ 5,019,814 $ 5,277,479 $ 5,153,991
Nov-2000 $ 4,107,496 $ 4,882,773 $ 5,054,770 $ 5,003,837
Dec-2000 $ 4,261,938 $ 5,124,958 $ 5,243,313 $ 5,262,746
Jan-2001 $ 4,250,431 $ 5,110,096 $ 5,274,248 $ 5,271,523
Feb-2001 $ 3,915,497 $ 4,862,256 $ 4,903,996 $ 5,006,950
Mar-2001 $ 3,642,195 $ 4,549,613 $ 4,559,245 $ 4,685,648
Apr-2001 $ 3,904,069 $ 4,860,807 $ 4,836,447 $ 5,015,576
May-2001 $ 3,792,413 $ 4,742,689 $ 4,719,405 $ 4,862,114
Jun-2001 $ 3,611,515 $ 4,622,225 $ 4,586,318 $ 4,698,156
Jul-2001 $ 3,507,503 $ 4,506,207 $ 4,467,074 $ 4,638,840
Aug-2001 $ 3,457,346 $ 4,462,046 $ 4,377,285 $ 4,607,503
Sep-2001 $ 3,126,132 $ 4,002,455 $ 3,900,161 $ 4,113,128
Oct-2001 $ 3,187,717 $ 4,073,299 $ 4,005,856 $ 4,165,284
Nov-2001 $ 3,303,112 $ 4,174,317 $ 4,155,274 $ 4,262,107
Dec-2001 $ 3,327,555 $ 4,194,771 $ 4,229,238 $ 4,288,025
Jan-2002 $ 3,178,814 $ 4,004,328 $ 4,058,377 $ 4,063,466
Feb-2002 $ 3,139,714 $ 4,052,781 $ 4,115,194 $ 4,066,736
Mar-2002 $ 3,335,318 $ 4,283,789 $ 4,332,888 $ 4,350,510
Apr-2002 $ 3,398,022 $ 4,352,758 $ 4,363,218 $ 4,384,532
May-2002 $ 3,488,070 $ 4,473,329 $ 4,425,612 $ 4,484,142
Jun-2002 $ 3,331,804 $ 4,297,080 $ 4,250,800 $ 4,245,502
Jul-2002 $ 3,011,285 $ 3,893,584 $ 3,826,570 $ 3,859,392
Aug-2002 $ 2,987,797 $ 3,904,097 $ 3,829,632 $ 3,871,020
Sep-2002 $ 2,635,834 $ 3,472,304 $ 3,417,180 $ 3,379,759
Oct-2002 $ 2,745,222 $ 3,614,321 $ 3,594,532 $ 3,552,103
Nov-2002 $ 2,866,560 $ 3,784,556 $ 3,764,553 $ 3,770,191
Dec-2002 $ 2,750,465 $ 3,646,798 $ 3,644,088 $ 3,605,941
Jan-2003 $ 2,673,452 $ 3,508,584 $ 3,510,714 $ 3,482,774
Feb-2003 $ 2,588,168 $ 3,430,343 $ 3,406,797 $ 3,398,048
Mar-2003 $ 2,503,018 $ 3,344,584 $ 3,323,330 $ 3,301,908
Apr-2003 $ 2,766,586 $ 3,674,695 $ 3,652,340 $ 3,661,793
May-2003 $ 2,920,684 $ 3,899,953 $ 3,886,820 $ 3,914,845
Jun-2003 $ 3,034,299 $ 4,023,192 $ 3,978,549 $ 4,035,783
Jul-2003 $ 3,103,178 $ 4,171,648 $ 4,089,949 $ 4,177,731
Aug-2003 $ 3,216,754 $ 4,274,687 $ 4,208,148 $ 4,302,327
Sep-2003 $ 3,269,509 $ 4,393,951 $ 4,292,732 $ 4,422,553
Oct-2003 $ 3,492,489 $ 4,706,361 $ 4,548,579 $ 4,718,655
Nov-2003 $ 3,561,291 $ 4,784,957 $ 4,640,005 $ 4,818,358
Dec-2003 $ 3,856,166 $ 5,182,587 $ 4,955,990 $ 5,239,420
Jan-2004 $ 3,966,838 $ 5,278,465 $ 5,062,543 $ 5,286,007
Feb-2004 $ 4,081,480 $ 5,412,010 $ 5,178,476 $ 5,429,610
Mar-2004 $ 4,159,436 $ 5,469,919 $ 5,203,850 $ 5,485,980
Apr-2004 $ 4,023,851 $ 5,343,017 $ 5,048,775 $ 5,373,715
</Table>
Source: Lipper Analytical Services, Inc. The quoted performance is past
performance and not indicative of future returns. Investment returns will
fluctuate so that an investor's shares when redeemed may be worth more or less
than original cost. Please note, current performance may be higher or lower than
the performance data shown. INVESTORS SHOULD CAREFULLY READ THE FUND PROSPECTUS
WHICH INCLUDES INFORMATION ON THE FUND'S INVESTMENT OBJECTIVES, RISK, AS WELL AS
CHARGES AND EXPENSES ALONG WITH OTHER INFORMATION. INVESTORS SHOULD REVIEW THE
INFORMATION IN THE PROSPECTUS CAREFULLY BEFORE INVESTING. FOR UP TO DATE
MONTH-END PERFORMANCE INFORMATION, OR TO RECEIVE A FUND PROSPECTUS PLEASE CALL
800 348-4782. PLEASE READ CAREFULLY BEFORE INVESTING OR SENDING MONEY.
The Fund commenced operations on 11/4/93.
Returns for the Institutional Shares prior to 11/4/93 (offering date of the
Institutional Shares) are calculated using the historical expenses of the J.P.
Morgan International Equity Fund, which are higher than the expenses of the
Institutional Shares.
Returns for the Select Shares prior to 9/10/01 (offering date of the Select
Shares) are calculated using the historical expenses of the J.P. Morgan
International Equity Fund, which were lower than the expenses of the Select
Share.
Returns for the Class A and B Shares prior to 9/28/01 (offering date of the
Class A and B Shares) are calculated using the historical expenses of the Select
Shares, which are lower than the expenses of the Class A and B Shares.
The graph illustrates comparative performance for $3,000,000 invested in
Institutional Shares of the JPMorgan Fleming International Value Fund, MSCI EAFE
Value Index, Citigroup PMI Value EPAC Index, and Lipper International Funds
Index from April 30, 1994 to April 30, 2004. The performance of the Fund assumes
reinvestment of all dividends and capital gains and does not include a sales
charge. The performance of the indices does not include a sales charge and has
been adjusted to reflect reinvestment of all dividends and capital gains of the
securities included in the benchmark. The MSCI EAFE Value Index is a market
capitalization weighted index composed of companies representative of the market
structure of developed market countries in Europe, Australasia and the Far East.
The Citigroup PMI Value EPAC Index consists of stocks in the Euro Pacific region
of the Primary Market Index (The Primary Market Index are stocks that fall in
the top 80% of each country's cumulative available capital) that have a value
style. The Lipper International Funds Index represents the total returns of the
funds in the indicated category, as defined by Lipper, Inc. Investors cannot
invest directly in an index.
Institutional Shares have a $3,000,000 minimum initial deposit and carry no
sales charge.
Certain fees and expenses of the Fund are currently being waived and reimbursed
as described in the prospectus. Had the expenses not been subsidized or waived,
returns would have been lower. Also, all performance shown in this section does
not reflect the deduction of taxes that a shareholder would pay on fund
distributions or redemption of fund shares.
14
<Page>
JPMORGAN FLEMING INTERNATIONAL OPPORTUNITIES FUND
AS OF APRIL 30, 2004 (Unaudited)
FUND FACTS
Fund Inception 2/26/97
Fiscal Year End OCTOBER 31
Net Assets as of 4/30/2004
(In Millions) $175.4
Primary Benchmark MSCI EAFE INDEX
Q: HOW DID THE FUND PERFORM?
A: JPMorgan Fleming International Opportunities Fund, which seeks to provide
high total return from a portfolio of equity securities of foreign companies
in developed and, to a lesser extent, emerging markets, rose by 10.2%
(Institutional Shares) in the six months ended April 30, 2004. This compares
with a rally of 12.4% in the MSCI EAFE Index (in U.S. dollars).
Q: WHY DID THE FUND PERFORM THIS WAY?
A: The Fund rallied with the international equity markets in the six months
ended April 30, 2004, although it trailed the MSCI EAFE Index benchmark.
Stock selection in two sectors - Transportation & Consumer Cyclicals and
Basic Industries - caused the majority of the shortfall. But this was partly
offset by a strong relative contribution from Capital Market Banks,
Information Technology and Telecommunications stocks.
In the Transportation & Consumer Cyclical sector, the greatest detractor was
Adecco, the Swiss human resources solutions company. Adecco announced at the
beginning of 2004 that it would delay publication of 2003 results because it
had uncovered accounting irregularities in its North American operations.
Towards the end of April it announced a further postponement, leading to
fears that it would breach a bank loan covenant. Also in the sector, Cathay
Pacific, the Hong Kong-based airline, underperformed with worries regarding
higher fuel prices and slower growth in China.
In Basic Materials, POSCO, the Korean steel company, and Ciba Specialty
Chemicals, the Swiss chemicals company, both rose in price but even so
trailed a strong sector performance. In the case of POSCO, the position was
added to at what proved to be a short-term peak for the stock price.
There was strong relative performance among Capital Markets Bank stocks.
Aiful, the Japanese consumer finance company, experienced its stock price
rise by more than 50% as the Japanese economy appeared to be in a sustainable
recovery. Man Group, the hedge fund manager, performed well due to rapid
growth in assets under management.
Both the Information Technology and Telecommunications sectors contributed.
In Information Technology, Kyocera, the diversified Japanese technology
company, performed well as recovery brought rising demand for its products.
In Telecommunications, Advanced Information Technology, the Thai cellular
phone company, performed well as investors anticipated revenue growth.
Q: HOW WAS THE FUND MANAGED?
A: In line with a belief that the global economy will continue to recover, stock
selection has led the Portfolio to have a bias towards high quality companies
with operational leverage to the global economy. As always, use of the
Dividend Discount Rate model to evaluate stocks causes the Fund to take a
longer term view of a stock's prospects.
15
<Page>
[CHART]
PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS
<Table>
United Kingdom 23.7%
Japan 18.8%
France 12.0%
Switzerland 10.8%
The Netherlands 5.0%
Germany 4.1%
Hong Kong 4.0%
South Korea 3.3%
Sweden 3.2%
India 2.4%
Singapore 2.2%
Taiwan 1.7%
Australia 1.6%
Spain 1.5%
Brazil 1.2%
Russia 1.0%
Finland 0.7%
Ireland 0.7%
Italy 0.7%
United States 0.5%
Thailand 0.4%
Indonesia 0.3%
Greece 0.2%
</Table>
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO
<Table>
1. Royal Bank of Scotland
Group PLC (United Kingdom) 4.0%
2. Vodafone Group PLC
(United Kingdom) 3.8%
3. BNP Paribas (France) 2.8%
4. HSBC Holdings PLC
(United Kingdom) 2.7%
5. Total SA (France) 2.7%
6. Zurich Financial Services AG
(Switzerland) 2.7%
7. Fujitsu LTD (Japan) 2.2%
8. Daiwa Securities Group, Inc.
(Japan) 2.0%
9. Diageo PLC
(United Kingdom) 2.0%
10. AstraZeneca PLC
(United Kingdom) 2.0%
</Table>
Top 10 equity holdings comprised 26.9% of the Portfolio's market value of
investments ($46,850,836). As of April 30, 2004, the Fund held 88 equity
holdings. Portfolio holdings are subject to change at any time.
16
<Page>
SEMI-ANNUAL REPORT APRIL 30 2004
(Unaudited)
AVERAGE ANNUAL TOTAL RETURNS AS OF APRIL 30, 2004
<Table>
<Caption>
SINCE
INCEPTION
1 YEAR 3 YEARS 5 YEARS (2/26/97)
---------------------------------------
CLASS A SHARES
Without Sales Charge 36.39% (1.19%) (1.16%) 1.15%
With Sales Charge* 28.48% (3.12%) (2.33%) 0.32%
---------------------------------------
CLASS B SHARES
Without CDSC 35.75% (1.60%) (1.41%) 0.97%
With CDSC** 30.75% (2.58%) (1.78%) 0.97%
---------------------------------------
INSTITUTIONAL SHARES 37.85% (0.14%) (0.42%) 1.72%
---------------------------------------
SELECT SHARES 37.38% (0.53%) (0.77%) 1.43%
</Table>
* Sales Charge for Class A Shares is 5.75%.
** Assumes 5% CDSC (contingent deferred sales charge) for the one year period,
3% CDSC for the three year period, 2% CDSC for the five year period and 0%
for the period since inception.
[CHART]
LIFE OF FUND PERFORMANCE (02/26/97 TO 04/30/04)
<Table>
<Caption>
JPMORGAN FLEMING INTERNATIONAL
OPPORTUNITIES FUND (INSTITUTIONAL SHARES) MSCI EAFE INDEX LIPPER INTERNATIONAL FUNDS INDEX
Feb-1997 $ 3,000,000 $ 3,000,000 $ 3,000,000
Feb-1997 $ 2,988,000 $ 3,000,000 $ 3,000,000
Mar-1997 $ 3,002,940 $ 3,010,800 $ 3,015,900
Apr-1997 $ 3,023,961 $ 3,026,757 $ 3,029,170
May-1997 $ 3,140,988 $ 3,223,799 $ 3,200,015
Jun-1997 $ 3,284,845 $ 3,401,430 $ 3,353,616
Jul-1997 $ 3,374,850 $ 3,456,534 $ 3,461,267
Aug-1997 $ 3,137,935 $ 3,198,331 $ 3,211,710
Sep-1997 $ 3,314,915 $ 3,377,437 $ 3,417,901
Oct-1997 $ 3,008,948 $ 3,117,712 $ 3,158,483
Nov-1997 $ 2,981,868 $ 3,085,912 $ 3,131,951
Dec-1997 $ 3,052,240 $ 3,112,759 $ 3,156,381
Jan-1998 $ 3,091,614 $ 3,255,012 $ 3,232,765
Feb-1998 $ 3,263,817 $ 3,463,984 $ 3,438,046
Mar-1998 $ 3,408,730 $ 3,570,675 $ 3,624,731
Apr-1998 $ 3,444,863 $ 3,598,883 $ 3,680,552
May-1998 $ 3,351,162 $ 3,581,248 $ 3,687,913
Jun-1998 $ 3,299,890 $ 3,608,466 $ 3,655,829
Jul-1998 $ 3,312,099 $ 3,644,911 $ 3,711,763
Aug-1998 $ 2,722,877 $ 3,193,307 $ 3,177,640
Sep-1998 $ 2,595,718 $ 3,095,272 $ 3,078,816
Oct-1998 $ 2,922,779 $ 3,417,800 $ 3,305,108
Nov-1998 $ 3,062,195 $ 3,592,791 $ 3,470,694
Dec-1998 $ 3,169,066 $ 3,734,347 $ 3,556,073
Jan-1999 $ 3,196,954 $ 3,723,144 $ 3,577,766
Feb-1999 $ 3,100,406 $ 3,634,533 $ 3,485,817
Mar-1999 $ 3,293,251 $ 3,786,093 $ 3,601,895
Apr-1999 $ 3,461,207 $ 3,939,430 $ 3,769,743
May-1999 $ 3,361,524 $ 3,736,549 $ 3,629,508
Jun-1999 $ 3,557,501 $ 3,882,275 $ 3,801,547
Jul-1999 $ 3,674,899 $ 3,997,578 $ 3,886,322
Aug-1999 $ 3,712,382 $ 4,012,369 $ 3,917,024
Sep-1999 $ 3,749,878 $ 4,052,894 $ 3,929,558
Oct-1999 $ 3,849,999 $ 4,204,878 $ 4,066,700
Nov-1999 $ 4,037,494 $ 4,350,787 $ 4,364,789
Dec-1999 $ 4,432,765 $ 4,741,488 $ 4,901,221
Jan-2000 $ 4,157,047 $ 4,440,403 $ 4,614,500
Feb-2000 $ 4,293,398 $ 4,559,850 $ 4,919,057
Mar-2000 $ 4,325,169 $ 4,736,772 $ 4,931,846
Apr-2000 $ 4,134,862 $ 4,487,618 $ 4,619,167
May-2000 $ 4,071,598 $ 4,378,120 $ 4,492,140
Jun-2000 $ 4,267,849 $ 4,549,305 $ 4,700,126
Jul-2000 $ 4,141,094 $ 4,358,689 $ 4,547,842
Aug-2000 $ 4,210,665 $ 4,396,609 $ 4,624,701
Sep-2000 $ 3,985,394 $ 4,182,494 $ 4,355,081
Oct-2000 $ 3,814,022 $ 4,083,788 $ 4,207,008
Nov-2000 $ 3,611,116 $ 3,930,646 $ 4,029,472
Dec-2000 $ 3,713,672 $ 4,070,183 $ 4,179,772
Jan-2001 $ 3,726,670 $ 4,068,148 $ 4,204,432
Feb-2001 $ 3,441,580 $ 3,763,037 $ 3,909,281
Mar-2001 $ 3,169,695 $ 3,512,043 $ 3,634,459
Apr-2001 $ 3,402,667 $ 3,756,130 $ 3,855,434
May-2001 $ 3,383,272 $ 3,623,538 $ 3,762,132
Jun-2001 $ 3,273,316 $ 3,475,336 $ 3,656,040
Jul-2001 $ 3,129,617 $ 3,412,084 $ 3,560,983
Aug-2001 $ 3,113,343 $ 3,325,759 $ 3,489,407
Sep-2001 $ 2,742,855 $ 2,988,859 $ 3,109,062
Oct-2001 $ 2,807,861 $ 3,065,374 $ 3,193,317
Nov-2001 $ 2,957,239 $ 3,178,486 $ 3,312,428
Dec-2001 $ 3,005,738 $ 3,197,240 $ 3,371,389
Jan-2002 $ 2,851,243 $ 3,027,466 $ 3,235,185
Feb-2002 $ 2,851,243 $ 3,048,658 $ 3,280,478
Mar-2002 $ 3,008,917 $ 3,213,591 $ 3,454,015
Apr-2002 $ 3,045,024 $ 3,234,800 $ 3,478,193
May-2002 $ 3,097,703 $ 3,275,882 $ 3,527,931
Jun-2002 $ 2,933,524 $ 3,145,502 $ 3,388,578
Jul-2002 $ 2,641,052 $ 2,835,041 $ 3,050,398
Aug-2002 $ 2,670,632 $ 2,828,521 $ 3,052,838
Sep-2002 $ 2,348,821 $ 2,524,738 $ 2,724,048
Oct-2002 $ 2,480,120 $ 2,660,316 $ 2,865,426
Nov-2002 $ 2,611,566 $ 2,781,094 $ 3,000,960
Dec-2002 $ 2,487,778 $ 2,687,650 $ 2,904,930
Jan-2003 $ 2,364,882 $ 2,575,575 $ 2,798,609
Feb-2003 $ 2,305,050 $ 2,516,594 $ 2,715,770
Mar-2003 $ 2,235,207 $ 2,467,269 $ 2,649,234
Apr-2003 $ 2,457,834 $ 2,709,061 $ 2,911,508
May-2003 $ 2,610,711 $ 2,873,230 $ 3,098,427
Jun-2003 $ 2,670,496 $ 2,942,762 $ 3,171,550
Jul-2003 $ 2,740,196 $ 3,013,977 $ 3,260,353
Aug-2003 $ 2,813,360 $ 3,086,614 $ 3,354,577
Sep-2003 $ 2,889,883 $ 3,181,682 $ 3,422,004
Oct-2003 $ 3,075,991 $ 3,379,900 $ 3,625,956
Nov-2003 $ 3,135,666 $ 3,454,934 $ 3,698,838
Dec-2003 $ 3,357,671 $ 3,724,765 $ 3,950,729
Jan-2004 $ 3,463,437 $ 3,777,284 $ 4,035,669
Feb-2004 $ 3,542,057 $ 3,864,539 $ 4,128,086
Mar-2004 $ 3,559,059 $ 3,886,180 $ 4,148,314
Apr-2004 $ 3,389,627 $ 3,798,353 $ 4,024,694
</Table>
Source: Lipper Analytical Services, Inc. The quoted performance is past
performance and not indicative of future returns. Investment returns will
fluctuate so that an investor's shares when redeemed may be worth more or less
than original cost. Please note, current performance may be higher or lower than
the performance data shown. INVESTORS SHOULD CAREFULLY READ THE FUND PROSPECTUS
WHICH INCLUDES INFORMATION ON THE FUND'S INVESTMENT OBJECTIVES, RISK, AS WELL AS
CHARGES AND EXPENSES ALONG WITH OTHER INFORMATION. INVESTORS SHOULD REVIEW THE
INFORMATION IN THE PROSPECTUS CAREFULLY BEFORE INVESTING. FOR UP TO DATE
MONTH-END PERFORMANCE INFORMATION, OR TO RECEIVE A FUND PROSPECTUS PLEASE CALL
800 348-4782. PLEASE READ CAREFULLY BEFORE INVESTING OR SENDING MONEY.
The Fund commenced operations on 2/26/97.
Returns for the Institutional Shares prior to 9/10/01 (offering date of the
Institutional Shares) are calculated using the historical expenses of the J.P.
Morgan Institutional International Opportunities Fund, which are higher than the
expenses of the Institutional Shares.
Returns for the Select Shares prior to 9/10/01 (offering date of the Select
Shares) are calculated using the historical expenses of the J.P. Morgan
International Opportunities Fund, which are similar to the expenses of the
Select Shares.
Returns for the Class A and B Shares prior to 9/10/01 (offering date of the
Class A and B Shares) are calculated using the historical expenses of the J.P.
Morgan International Opportunities Fund, which are lower than the expenses of
the Class A and B Shares.
The graph illustrates comparative performance for $3,000,000 invested in
Institutional Shares of the JPMorgan Fleming International Opportunities Fund,
MSCI EAFE Index and Lipper International Funds Index from February 26, 1997 to
April 30, 2004. The performance of the Fund assumes reinvestment of all
dividends and capital gains and does not include a sales charge. The performance
of the indices reflects an initial investment at the end of the month following
the Fund's inception. The performance of the indices does not include a sales
charge and has been adjusted to reflect reinvestment of all dividends and
capital gains of the securities included in the benchmark. The MSCI EAFE
(Europe, Australasia, Far East) Index is a replica (or model) of the performance
of the worlds equity markets, excluding the U.S. and Canada. The Lipper
International Funds Index represents the total returns of the funds in the
indicated category, as defined by Lipper, Inc. Investors cannot invest directly
in an index.
Institutional Shares have a $3,000,000 minimum initial deposit and carry no
sales charge.
Certain fees and expenses of the Fund are currently being waived and reimbursed
as described in the prospectus. Had the expenses not been subsidized or waived,
returns would have been lower. Also, all performance shown in this section does
not reflect the deduction of taxes that a shareholder would pay on fund
distributions or redemption of fund shares.
17
<Page>
JPMORGAN FLEMING EMERGING MARKETS EQUITY FUND
AS OF APRIL 30, 2004 (Unaudited)
FUND FACTS
Fund Inception 11/15/93
Fiscal Year End OCTOBER 31
Net Assets as of 4/30/2004
(In Millions) $72.0
Primary Benchmark MSCI EMERGING
MARKETS EQUITY
FREE INDEX
Q: HOW DID THE FUND PERFORM?
A: JPMorgan Fleming Emerging Markets Equity Fund, which seeks to provide high
total returns from a portfolio of equity securities from emerging markets
issuers, rose by 12.6% (Institutional Shares) in the six months ended April
30, 2004. This compares with a rally of 9.4% in the MSCI Emerging Markets
Equity Free Index (in U.S. dollars).
Q: WHY DID THE FUND OUTPERFORM ITS BENCHMARK?
A: The Portfolio outperformed its MSCI Emerging Markets Equity Free Index
benchmark in six months that was characterized by two distinct periods. At
the end of 2003, when commodity stocks rallied to high levels, the Portfolio
trailed its benchmark. But when investors switched to more defensive stocks
in 2004, it outperformed by a substantial margin.
Russia was one of the best performing markets across the six months as high
oil prices stoked the domestic economy. The Portfolio was overweight the
country, and benefited from holding some leading stocks. Two cellular phone
holdings, Mobil Telesystems and VimpelCom, are experiencing rapid growth.
Another strong performer was KT&G, the Korean tobacco company.
Holdings in China also made a contribution to returns relative to the
benchmark. The Portfolio benefited from being underweight China, which was
one of the worst performing emerging markets over the six months. The
negative stance on China followed company visits that indicated the economy
was overheating. Late in the period, the Chinese government indicated it
would take action to slow the economy.
From a negative perspective, the greatest detractor from performance was
Brazil, where the Portfolio was overweight. Fears of a rising interest rate
environment, and of the impact a Chinese slowdown would have on the country's
iron and steel exporters, damaged market sentiment. At the stock level,
Unibanco, Brazil's third largest bank, was down more than 10% in the period.
Elsewhere, two of the holdings that detracted most were Reliance Industries,
the Indian conglomerate, and Impala Platinum, the South African metals
company. Nervousness regarding India's forthcoming parliamentary elections
buffeted Reliance, and the Portfolio was unfortunate in the timing of buy and
sell decisions. Impala Platinum corrected in sympathy with lower metal
prices.
Q: HOW WAS THE FUND MANAGED?
A: The Portfolio has become increasingly concentrated during the period in order
to increase the impact of stock selection. The number of holdings has been
reduced from more than 100 to a range of 40 to 70. As a result, the potential
for outperformance has increased, as has the tracking error against the
benchmark.
18
<Page>
SEMI-ANNUAL REPORT APRIL 30 2004
(Unaudited)
[CHART]
PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS
<Table>
South Korea 21.8%
Brazil 14.5%
Taiwan 11.3%
South Africa 10.8%
Indonesia 6.7%
Mexico 5.5%
Russia 4.5%
Egypt 3.4%
India 3.3%
Turkey 3.2%
Philippines 3.0%
China 2.6%
Argentina 2.5%
Hungary 2.3%
Malaysia 2.1%
Chile 2.0%
Poland 0.5%
</Table>
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO
<Table>
1. Samsung Electronics
Co., LTD (South Korea) 8.2%
2. Orascom Telecom
Holding SAE
(Egypt) 3.3%
3. Telekomunikasi
Indonesia TBK PT
(Indonesia), ADR 3.1%
4. Petroleo Brasileiro SA
(Brazil), ADR 3.1%
5. SM Prime Holdings, Inc.
(Philippines) 3.0%
6. Reliance Industries LTD
(India), GDR, # 2.8%
7. SK Telecom Co., LTD
(South Korea), ADR 2.7%
8. Steinhoff International
Holdings LTD
(South Africa) 2.7%
9. Cia de Bebidas das Americas
(Brazil), ADR 2.6%
10. PICC Property & Casualty
Co., LTD (China), Class H 2.6%
</Table>
Top 10 equity holdings comprised 34.1% of the Portfolio's market value of
investments ($24,135,597). As of April 30, 2004, the Fund held 48 equity
holdings. Portfolio holdings are subject to change at any time.
19
<Page>
AVERAGE ANNUAL TOTAL RETURNS AS OF APRIL 30, 2004
<Table>
<Caption>
1 YEAR 3 YEARS 5 YEARS 10 YEARS
---------------------------------------
CLASS A SHARES
Without Sales Charge 56.13% 11.03% 4.32% (0.62%)
With Sales Charge* 47.12% 8.85% 3.10% (1.20%)
---------------------------------------
CLASS B SHARES
Without CDSC 55.37% 10.64% 4.10% (0.72%)
With CDSC** 50.37% 9.81% 3.75% (0.72%)
---------------------------------------
INSTITUTIONAL SHARES 57.16% 11.69% 4.85% (0.23%)
---------------------------------------
SELECT SHARES 56.53% 11.26% 4.45% (0.56%)
</Table>
* Sales Charge for Class A Shares is 5.75%.
** Assumes 5% CDSC (contingent deferred sales charge) for the one year period,
3% CDSC for the three year period, 2% CDSC for the five year period and 0%
CDSC for the period since inception.
[CHART]
TEN-YEAR PERFORMANCE (04/30/94 TO 04/30/04)
<Table>
<Caption>
JPMORGAN FLEMING EMERGING MARKETS
EQUITY FUND (INSTITUTIONAL SHARES) MSCI EMERGING MARKETS EQUITY FREE INDEX LIPPER EMERGING MARKET EQUITY FUNDS AVERAGE
Apr-1994 $ 3,057,900 $ 3,102,600 $ 3,057,900
Jun-1994 $ 2,983,593 $ 3,016,968 $ 2,949,345
Jul-1994 $ 3,129,491 $ 3,204,624 $ 3,118,932
Aug-1994 $ 3,418,343 $ 3,602,317 $ 3,406,185
Sep-1994 $ 3,492,521 $ 3,643,384 $ 3,436,160
Oct-1994 $ 3,432,100 $ 3,577,803 $ 3,365,375
Nov-1994 $ 3,299,964 $ 3,391,757 $ 3,219,654
Dec-1994 $ 3,009,237 $ 3,119,399 $ 2,999,108
Jan-1995 $ 2,642,411 $ 2,787,495 $ 2,723,790
Feb-1995 $ 2,572,388 $ 2,716,135 $ 2,681,571
Mar-1995 $ 2,628,466 $ 2,733,518 $ 2,705,437
Apr-1995 $ 2,718,096 $ 2,856,253 $ 2,820,148
May-1995 $ 2,830,082 $ 3,008,206 $ 2,962,283
Jun-1995 $ 2,843,949 $ 3,017,231 $ 2,970,577
Jul-1995 $ 2,958,845 $ 3,084,817 $ 3,086,430
Aug-1995 $ 2,877,772 $ 3,012,015 $ 3,027,788
Sep-1995 $ 2,849,858 $ 2,997,859 $ 3,033,843
Oct-1995 $ 2,718,195 $ 2,883,041 $ 2,903,388
Nov-1995 $ 2,636,921 $ 2,831,722 $ 2,859,257
Dec-1995 $ 2,717,874 $ 2,957,451 $ 2,953,326
Jan-1996 $ 2,926,607 $ 3,167,726 $ 3,212,333
Feb-1996 $ 2,912,559 $ 3,117,359 $ 3,195,950
Mar-1996 $ 2,949,257 $ 3,141,674 $ 3,217,682
Apr-1996 $ 3,045,108 $ 3,267,341 $ 3,366,661
May-1996 $ 3,067,642 $ 3,252,638 $ 3,415,814
Jun-1996 $ 3,076,231 $ 3,272,805 $ 3,440,750
Jul-1996 $ 2,929,495 $ 3,049,272 $ 3,242,219
Aug-1996 $ 2,994,530 $ 3,127,333 $ 3,339,485
Sep-1996 $ 2,980,456 $ 3,154,541 $ 3,364,197
Oct-1996 $ 2,898,493 $ 3,070,315 $ 3,280,765
Nov-1996 $ 2,932,405 $ 3,121,896 $ 3,364,097
Dec-1996 $ 2,958,211 $ 3,135,945 $ 3,423,305
Jan-1997 $ 3,197,234 $ 3,349,816 $ 3,702,646
Feb-1997 $ 3,285,478 $ 3,493,188 $ 3,834,831
Mar-1997 $ 3,276,935 $ 3,401,317 $ 3,750,465
Apr-1997 $ 3,259,895 $ 3,407,440 $ 3,788,719
May-1997 $ 3,376,600 $ 3,504,893 $ 3,963,379
Jun-1997 $ 3,547,456 $ 3,692,404 $ 4,194,444
Jul-1997 $ 3,664,167 $ 3,747,421 $ 4,342,089
Aug-1997 $ 3,282,727 $ 3,270,374 $ 3,969,103
Sep-1997 $ 3,408,127 $ 3,360,964 $ 4,137,393
Oct-1997 $ 2,807,274 $ 2,809,430 $ 3,503,131
Nov-1997 $ 2,727,548 $ 2,706,885 $ 3,372,114
Dec-1997 $ 2,730,003 $ 2,772,121 $ 3,432,475
Jan-1998 $ 2,528,255 $ 2,554,787 $ 3,191,858
Feb-1998 $ 2,687,283 $ 2,821,507 $ 3,481,360
Mar-1998 $ 2,815,735 $ 2,943,960 $ 3,614,000
Apr-1998 $ 2,840,232 $ 2,911,871 $ 3,641,105
May-1998 $ 2,430,670 $ 2,512,945 $ 3,173,951
Jun-1998 $ 2,152,359 $ 2,249,337 $ 2,880,043
Jul-1998 $ 2,227,261 $ 2,320,641 $ 2,969,900
Aug-1998 $ 1,593,160 $ 1,649,744 $ 2,139,219
Sep-1998 $ 1,651,310 $ 1,754,337 $ 2,196,336
Oct-1998 $ 1,810,661 $ 1,939,069 $ 2,387,857
Nov-1998 $ 1,908,618 $ 2,100,400 $ 2,538,531
Dec-1998 $ 1,901,938 $ 2,069,944 $ 2,504,260
Jan-1999 $ 1,851,536 $ 2,036,618 $ 2,455,427
Feb-1999 $ 1,818,024 $ 2,056,373 $ 2,438,239
Mar-1999 $ 2,026,006 $ 2,327,403 $ 2,704,008
Apr-1999 $ 2,314,509 $ 2,615,303 $ 3,067,967
May-1999 $ 2,284,420 $ 2,600,134 $ 3,036,980
Jun-1999 $ 2,505,780 $ 2,895,249 $ 3,404,151
Jul-1999 $ 2,455,414 $ 2,816,498 $ 3,319,728
Aug-1999 $ 2,465,481 $ 2,842,128 $ 3,279,228
Sep-1999 $ 2,408,529 $ 2,746,064 $ 3,158,224
Oct-1999 $ 2,422,017 $ 2,804,556 $ 3,271,605
Nov-1999 $ 2,633,459 $ 3,056,124 $ 3,627,555
Dec-1999 $ 3,032,164 $ 3,444,863 $ 4,291,035
Jan-2000 $ 2,988,198 $ 3,465,532 $ 4,254,561
Feb-2000 $ 2,967,878 $ 3,511,277 $ 4,442,187
Mar-2000 $ 2,961,052 $ 3,528,483 $ 4,488,830
Apr-2000 $ 2,728,017 $ 3,193,983 $ 4,004,037
May-2000 $ 2,630,081 $ 3,062,071 $ 3,770,201
Jun-2000 $ 2,775,262 $ 3,169,856 $ 3,954,564
Jul-2000 $ 2,643,715 $ 3,006,925 $ 3,771,072
Aug-2000 $ 2,680,727 $ 3,021,659 $ 3,852,527
Sep-2000 $ 2,447,771 $ 2,757,868 $ 3,459,184
Oct-2000 $ 2,255,377 $ 2,557,923 $ 3,208,739
Nov-2000 $ 2,032,545 $ 2,334,360 $ 2,906,476
Dec-2000 $ 2,115,473 $ 2,390,619 $ 3,007,331
Jan-2001 $ 2,399,370 $ 2,719,807 $ 3,368,511
Feb-2001 $ 2,230,454 $ 2,506,846 $ 3,107,788
Mar-2001 $ 2,017,446 $ 2,260,674 $ 2,821,561
Apr-2001 $ 2,105,406 $ 2,372,351 $ 2,984,647
May-2001 $ 2,169,621 $ 2,400,582 $ 3,071,202
Jun-2001 $ 2,122,324 $ 2,351,370 $ 3,015,613
Jul-2001 $ 1,966,969 $ 2,202,763 $ 2,816,281
Aug-2001 $ 1,943,366 $ 2,180,956 $ 2,759,392
Sep-2001 $ 1,652,638 $ 1,843,344 $ 2,371,422
Oct-2001 $ 1,737,088 $ 1,957,816 $ 2,513,944
Nov-2001 $ 1,916,182 $ 2,162,212 $ 2,766,093
Dec-2001 $ 2,028,470 $ 2,333,891 $ 2,940,080
Jan-2002 $ 2,117,114 $ 2,413,010 $ 3,057,977
Feb-2002 $ 2,157,975 $ 2,452,584 $ 3,123,418
Mar-2002 $ 2,253,357 $ 2,600,229 $ 3,303,014
Apr-2002 $ 2,277,243 $ 2,617,131 $ 3,333,732
May-2002 $ 2,246,500 $ 2,575,518 $ 3,304,062
Jun-2002 $ 2,065,881 $ 2,382,354 $ 3,062,535
Jul-2002 $ 1,874,994 $ 2,201,057 $ 2,836,214
Aug-2002 $ 1,898,806 $ 2,234,953 $ 2,856,067
Sep-2002 $ 1,711,394 $ 1,993,802 $ 2,576,744
Oct-2002 $ 1,789,776 $ 2,123,200 $ 2,695,017
Nov-2002 $ 1,909,154 $ 2,269,276 $ 2,862,647
Dec-2002 $ 1,849,207 $ 2,193,936 $ 2,791,080
Jan-2003 $ 1,849,207 $ 2,184,283 $ 2,767,915
Feb-2003 $ 1,790,957 $ 2,125,307 $ 2,712,833
Mar-2003 $ 1,708,573 $ 2,064,948 $ 2,622,767
Apr-2003 $ 1,866,445 $ 2,248,935 $ 2,866,422
May-2003 $ 2,013,894 $ 2,410,409 $ 3,079,111
Jun-2003 $ 2,120,227 $ 2,547,802 $ 3,223,829
Jul-2003 $ 2,267,795 $ 2,707,294 $ 3,386,954
Aug-2003 $ 2,408,399 $ 2,888,954 $ 3,614,896
Sep-2003 $ 2,411,770 $ 2,910,043 $ 3,675,265
Oct-2003 $ 2,603,988 $ 3,157,688 $ 3,967,816
Nov-2003 $ 2,607,374 $ 3,196,527 $ 4,017,414
Dec-2003 $ 2,790,411 $ 3,428,276 $ 4,338,807
Jan-2004 $ 2,946,953 $ 3,549,979 $ 4,472,009
Feb-2004 $ 3,082,513 $ 3,713,633 $ 4,673,249
Mar-2004 $ 3,169,440 $ 3,761,168 $ 4,729,328
Apr-2004 $ 2,932,952 $ 3,453,504 $ 4,360,440
</Table>
Source: Lipper Analytical Services, Inc. The quoted performance is past
performance and is not indicative of future returns. Investment returns will
fluctuate so that an investor's shares when redeemed may be worth more or less
than original cost. Please note, current performance may be higher or lower than
the performance data shown. INVESTORS SHOULD CAREFULLY READ THE FUND PROSPECTUS
WHICH INCLUDES INFORMATION ON THE FUND'S INVESTMENT OBJECTIVES, RISK, AS WELL AS
CHARGES AND EXPENSES ALONG WITH OTHER INFORMATION. INVESTORS SHOULD REVIEW THE
INFORMATION IN THE PROSPECTUS CAREFULLY BEFORE INVESTING. FOR UP TO DATE
MONTH-END PERFORMANCE INFORMATION, OR TO RECEIVE A FUND PROSPECTUS PLEASE CALL
800 348-4782. PLEASE READ CAREFULLY BEFORE INVESTING OR SENDING MONEY.
The Fund commenced operations on 11/15/93.
Returns for the Institutional Shares prior to 9/10/01 (offering date of the
Institutional Shares) are calculated using the historical expenses of the J.P.
Morgan Institutional Emerging Markets Equity Fund, which are similar to the
expenses of the Institutional Shares.
Returns for the Select Shares prior to 9/10/01 (offering date of the Select
Shares) are calculated using the historical expenses of the J.P. Morgan Emerging
Markets Equity Fund, which are similar to the expenses of the Select Shares.
Returns for the Class A and B Shares prior to 9/28/01 (offering date of the
Class A and B Shares) are calculated using the historical expenses of the Select
Shares, which are lower than the expenses of the Class A and B Shares.
The graph illustrates comparative performance for $3,000,000 invested in
Institutional Shares of the JPMorgan Fleming Emerging Markets Equity Fund, MSCI
Emerging Markets Equity Free Index and Lipper Emerging Markets Equity Funds
Average from April 30, 1994 to April 30, 2004. The performance of the Fund
assumes reinvestment of all dividends and capital gains and does not include a
sales charge. The performance of the indices reflects an initial investment at
the end of the month following the Fund's inception. The performance of the
indices does not include a sales charge and has been adjusted to reflect
reinvestment of all dividends and capital gains of the securities included in
the benchmark. The MSCI Emerging Markets Equity Free Index is a replica (or
model) of the world's emerging market equity markets. The Lipper Emerging Market
Equity Funds Average describes the average total returns for all the funds in
the indicated category, as defined by Lipper, Inc. Investors cannot invest
directly in an index.
Institutional Shares have a $3,000,000 minimum initial deposit and carry no
sales charge.
Certain fees and expenses of the Fund are currently being waived and reimbursed
as described in the prospectus. Had the expenses not been subsidized or waived,
returns would have been lower. Also, all performance shown in this section does
not reflect the deduction of taxes that a shareholder would pay on fund
distributions or redemption of fund shares.
20
<Page>
JPMORGAN FLEMING ASIA EQUITY FUND
AS OF APRIL 30, 2004 (Unaudited)
FUND FACTS
Fund Inception 11/1/01
Fiscal Year End OCTOBER 31
Net Assets as of 4/30/2004
(In Millions) $48.8
Primary Benchmark MSCI ALL COUNTRY
FAR EAST FREE
INDEX (EX-JAPAN)
Q: HOW DID THE FUND PERFORM?
A: JPMorgan Fleming Asia Equity Fund, which seeks total return from long-term
capital growth by investing in equity securities of foreign companies located
throughout the Asian region with the exception of Japan, declined by 0.2% (A
shares, no sales charge) in the six months to April 30, 2004. This compares
with a rise of 6.0% in the MSCI All Country Far East Free Index (ex-Japan)
(in U.S. dollars).
Q: WHY DID THE FUND PERFORM THIS WAY?
A: The Portfolio trailed its MSCI All Country Far East Free Index (ex-Japan)
benchmark in six months that was characterized by two distinct periods. While
the high growth markets of China and Southeast Asia rallied at the end of
2003, come 2004 investors turned more defensive. This was apparent in the
superior performance of both the more mature economies such as South Korea,
Taiwan and Malaysia, and the more defensive stocks. The Portfolio's shortfall
against the Index was the result of a low exposure to both the mature
economies and the defensive stocks.
Across the six months as a whole, China was one of the worst performing
markets as investors worried that government actions to curb an overheating
economy would drastically curtail growth. The Portfolio was overweight the
country, and owned a number of stocks that were particularly exposed to the
switch in market sentiment. These included CITIC International Financial, New
World China Land, and Aluminum Corporation of China.
South Korea, by contrast, was one of the leading regional markets, as nervous
investors sought out the comparative stability of its economy and large
companies, combined with its low stock valuations. But the Portfolio's
holdings in the country were partly geared to the theme of China-led regional
growth, and suffered accordingly. Hyundai Heavy Industries, the shipbuilding
to construction equipment company, suffered from fears of a regional
deceleration in growth. Another holding, Ssangyong Motor Company, the
country's fourth largest automaker, faced uncertainty as talks over its sale
to a Chinese company ran into difficulty.
Strong performance from small capitalization stocks in the early part of the
six months made a positive contribution, making up some ground against the
Index. Thai shipping stock, Thorsen Thai Agencies, performed well, as did
Taiwanese shipping company, U-Ming Marine Transport Corporation.
In Taiwan, the Portfolio also benefited from not owning, or being
underweight, some of the traditional technology companies, where stock prices
fell significantly. Among others, the Portfolio was underweight Taiwan
Semiconductor, did not own Austek Computer, and did not own Realtek
Semiconductor.
Q: HOW WAS THE FUND MANAGED?
A: As investors' appetite for risk diminished over the period, so the Portfolio
reduced its exposure to the higher risk markets of China, India and Southeast
Asia.
21
<Page>
[CHART]
PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS
<Table>
South Korea 26.1%
Hong Kong 20.8%
Taiwan 19.3%
Malaysia 7.2%
Thailand 6.6%
Singapore 6.3%
Indonesia 5.8%
China 4.3%
India 3.6%
</Table>
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO
<Table>
1. Samsung Electronics
Co., LTD (South Korea) 9.7%
2. POSCO (South Korea) 2.7%
3. Hana Bank (South Korea) 2.6%
4. Commerce Asset Holdings
BHD (Malaysia) 2.5%
5. Cathay Financial Holding
Co., LTD (Taiwan) 2.4%
6. Cheung Kong Holdings LTD
(Hong Kong) 2.4%
7. Sun Hung Kai Properties
LTD (Hong Kong) 2.3%
8. Taiwan Semiconductor
Manufacturing Co., LTD
(Taiwan) 2.3%
9. China Mobile Hong Kong
LTD (Hong Kong) 2.2%
10. MediaTek, Inc. (Taiwan) 2.0%
</Table>
Top 10 equity holdings comprised 31.1% of the Portfolio's market value of
investments ($14,602,186). As of April 30, 2004, the Fund held 70 equity
holdings. Portfolio holdings are subject to change at any time.
22
<Page>
SEMI-ANNUAL REPORT APRIL 30 2004
(Unaudited)
AVERAGE ANNUAL TOTAL RETURNS AS OF APRIL 30, 2004
<Table>
<Caption>
SINCE
INCEPTION
1 YEAR (11/01/01)
----------------------------
CLASS A SHARES
Without Sales Charge 43.28% 6.89%
With Sales Charge* 35.08% 4.37%
----------------------------
INSTITUTIONAL SHARES 43.84% 7.19%
----------------------------
SELECT SHARES 43.60% 7.09%
</Table>
* Sales Charge for Class A Shares is 5.75%.
[CHART]
LIFE OF FUND PERFORMANCE (11/01/01 TO 04/30/04)
<Table>
<Caption>
JPMORGAN FLEMING ASIA EQUITY FUND MSCI ALL COUNTRY FAR EAST
(CLASS A SHARES) FREE INDEX (EX-JAPAN) LIPPER PACIFIC REGION FUNDS INDEX (EX-JAPAN)
Nov-2001 $ 9,425 $ 10,000 $ 10,000
Nov-2001 $ 9,689 $ 10,000 $ 10,000
Dec-2001 $ 9,921 $ 10,906 $ 10,661
Jan-2002 $ 9,878 $ 11,354 $ 11,083
Feb-2002 $ 10,003 $ 11,386 $ 11,208
Mar-2002 $ 10,455 $ 12,218 $ 11,954
Apr-2002 $ 10,399 $ 12,393 $ 12,039
May-2002 $ 10,543 $ 12,153 $ 11,980
Jun-2002 $ 9,966 $ 11,500 $ 11,378
Jul-2002 $ 9,382 $ 11,081 $ 10,869
Aug-2002 $ 9,174 $ 10,838 $ 10,607
Sep-2002 $ 8,319 $ 9,605 $ 9,442
Oct-2002 $ 8,602 $ 10,119 $ 9,697
Nov-2002 $ 8,891 $ 10,630 $ 10,329
Dec-2002 $ 8,338 $ 9,900 $ 9,736
Jan-2003 $ 8,451 $ 10,017 $ 9,806
Feb-2003 $ 7,986 $ 9,578 $ 9,404
Mar-2003 $ 7,583 $ 9,141 $ 8,966
Apr-2003 $ 7,765 $ 9,476 $ 9,435
May-2003 $ 8,468 $ 10,297 $ 10,278
Jun-2003 $ 9,009 $ 10,898 $ 10,913
Jul-2003 $ 9,693 $ 11,837 $ 11,697
Aug-2003 $ 10,316 $ 12,706 $ 12,524
Sep-2003 $ 10,277 $ 12,765 $ 12,683
Oct-2003 $ 11,145 $ 13,846 $ 13,707
Nov-2003 $ 10,950 $ 13,638 $ 13,600
Dec-2003 $ 11,581 $ 14,351 $ 14,612
Jan-2004 $ 12,270 $ 15,324 $ 15,204
Feb-2004 $ 12,757 $ 15,896 $ 15,680
Mar-2004 $ 12,112 $ 15,584 $ 15,377
Apr-2004 $ 11,128 $ 14,679 $ 14,673
</Table>
Source: Lipper Analytical Services, Inc. The quoted performance is past
performance and not indicative of future returns. Investment returns will
fluctuate so that an investor's shares when redeemed may be worth more or less
than original cost. Please note, current performance may be higher or lower than
the performance data shown. INVESTORS SHOULD CAREFULLY READ THE FUND PROSPECTUS
WHICH INCLUDES INFORMATION ON THE FUND'S INVESTMENT OBJECTIVES, RISK, AS WELL AS
CHARGES AND EXPENSES ALONG WITH OTHER INFORMATION. INVESTORS SHOULD REVIEW THE
INFORMATION IN THE PROSPECTUS CAREFULLY BEFORE INVESTING. FOR UP TO DATE
MONTH-END PERFORMANCE INFORMATION, OR TO RECEIVE A FUND PROSPECTUS PLEASE CALL
800 348-4782. PLEASE READ CAREFULLY BEFORE INVESTING OR SENDING MONEY.
The Fund commenced operations on 11/1/01.
Class A Shares were introduced on 11/1/01.
Returns for the Institutional and Select Shares prior to 6/28/02 (offering date
of the Institutional and Select Shares) are calculated using the historical
expenses of the Class A Shares, which are higher than the expenses of the
Institutional and Select Shares.
The graph illustrates comparative performance for $10,000 invested in Class A
Shares of the JPMorgan Fleming Asia Equity Fund, MSCI All Country Far East Free
Index (ex-Japan) and Lipper Pacific Region Funds Index (ex-Japan) from November
1, 2001 to April 30, 2004. The performance of the Fund assumes reinvestment of
all dividends and capital gains and includes a sales charge. The performance of
the indices reflects an initial investment at the end of the month following the
Fund's inception. The performance of the indices does not include a sales charge
and has been adjusted to reflect reinvestment of all dividends and capital gains
of the securities included in the benchmark. The MSCI All Country Far East Free
Index (ex-Japan) is a free float-adjusted market capitalization index that is
designed to measure equity market performance in the Far East, excluding Japan.
The Lipper Pacific Region Funds Index (ex-Japan) represents the total returns of
the funds in the indicated category, as defined by Lipper, Inc. Investors cannot
invest directly in an index.
Class A Shares have a $2,500 minimum initial deposit and carry a 5.75% sales
charge.
Certain fees and expenses of the Fund are currently being waived and reimbursed
as described in the prospectus. Had the expenses not been subsidized or waived,
returns would have been lower. Also, all performance shown in this section does
not reflect the deduction of taxes that a shareholder would pay on fund
distributions or redemption of fund shares.
23
<Page>
JPMORGAN FLEMING INTERNATIONAL EQUITY FUND
AS OF APRIL 30, 2004 (Unaudited)
FUND FACTS
Fund Inception 1/1/97
Fiscal Year End OCTOBER 31
Net Assets as of 4/30/2004
(In Millions) $1,069.5
Primary Benchmark MSCI EAFE INDEX
Q: HOW DID THE FUND PERFORM?
A: JPMorgan Fleming International Equity Fund, which seeks total return from
long-term capital growth & income through investing in foreign equities, rose
by 10.9% (Select Shares) in the six months ended April 30, 2004. This
compares with a rally of 12.4% in the MSCI EAFE Index (in U.S. dollars).
Q: WHY DID THE FUND PERFORM THIS WAY?
A: The Fund rallied with the international equity markets in the six months
ended April 30, 2004, although it trailed the MSCI EAFE Index benchmark. The
rise in the Yen caused some of the Portfolio's Japanese Consumer
Discretionary stocks to underperform the sector's strong appreciation. At the
same time, the Portfolio added value in a number of sectors, particularly
Energy and Healthcare.
In the Consumer Discretionary sector, Fuji Photo Film was the greatest
detractor from relative performance. In addition to concerns regarding Yen
strength, investors worried about the company's move from generating its
profits in analog film and photography to digital. Fuji Photo Film appears to
have a solid strategy, but there is fierce competition and investors are
concerned that margins may not be as good as they have been in analog. The
Yen caused Honda Motor Company's profits for the fourth quarter of its fiscal
year to drop -36.5%, as it translated overseas earnings back into Yen. The
company predicted that currency issues would lead to a fall in profits during
the current fiscal year.
In the Financial sector, the Portfolio suffered from not owning Japanese bank
stocks.
These stocks had an astonishing rally during the period, with many rising
more than 40% in response to what appeared to be an increasingly sustainable
economic recovery. If the recovery continues, it will likely reduce the
bank's bad debt provisions and increase profitability.
The greatest area of relative strength was the Energy sector, where not
owning Royal Dutch/Shell benefited the Portfolio. The oil giant revealed that
it had substantially overstated reserves over several years. Additionally,
the Portfolio was overweight the sector, which benefited from high oil
prices.
Performance in the Healthcare sector was also positive as the Portfolio owned
French pharmaceutical stock Aventis, which received a takeover approach from
fellow French drug maker Sanofi-Synthelabo.
Q: HOW WAS THE FUND MANAGED?
A: The Portfolio was broadly positioned to take advantage of economic recovery
at the stock level. Within this context, stock selection focused on companies
with pricing power, strong free cash flow, and reasonable valuations. This
led us to be overweight Industrial and Energy stocks, but underweight the
stocks where valuations are discounting a rapid reflation of Japan's economy,
such as Japanese banks and real estate companies.
24
<Page>
SEMI-ANNUAL REPORT APRIL 30 2004
(Unaudited)
[CHART]
PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS
<Table>
United Kingdom 28.1%
Japan 20.5%
France 11.5%
Switzerland 10.1%
Germany 6.6%
The Netherlands 5.5%
Italy 5.0%
Spain 2.4%
South Korea 2.0%
Australia 1.9%
Belgium 1.9%
Finland 1.3%
Ireland 0.8%
Brazil 0.7%
Hong Kong 0.7%
Mexico 0.5%
Russia 0.5%
</Table>
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO
<Table>
1. Total SA (France) 4.2%
2. ENI-Ente Nazionale
Idrocarburi SPA (Italy) 3.9%
3. Vodafone Group PLC
(United Kingdom) 3.5%
4. HSBC Holdings PLC
(Hong Kong Registered
Shares) (United Kingdom) 3.0%
5. GlaxoSmithKline PLC
(United Kingdom) 2.5%
6. Novartis AG (Switzerland) 2.1%
7. Canon, Inc. (Japan) 2.0%
8. Roche Holding AG
(Switzerland) 1.9%
9. Tesco PLC (United Kingdom) 1.9%
10. Barclays PLC
(United Kingdom) 1.8%
</Table>
Top 10 equity holdings comprised 26.8% of the Portfolio's market value of
investments ($273,559,763). As of April 30, 2004, the Fund held 91 equity
holdings. Portfolio holdings are subject to change at any time.
25
<Page>
AVERAGE ANNUAL TOTAL RETURNS AS OF APRIL 30, 2004
<Table>
<Caption>
1 YEAR 3 YEARS 5 YEARS 10 YEARS
---------------------------------------
CLASS A SHARES
Without Sales Charge 32.61% 1.03% 1.06% 4.43%
With Sales Charge* 24.96% (0.95%) (0.13%) 3.81%
---------------------------------------
CLASS B SHARES
Without CDSC 31.96% 0.67% 0.84% 4.32%
With CDSC** 26.96% (0.33%) 0.53% 4.32%
---------------------------------------
CLASS C SHARES
Without CDSC 31.98% 0.66% 0.84% 4.32%
With CDSC*** 30.98% 0.66% 0.84% 4.32%
---------------------------------------
SELECT SHARES 33.16% 1.34% 1.25% 4.53%
</Table>
* Sales Charge for Class A Shares is 5.75%.
** Assumes 5% CDSC (contingent deferred sales charge) for the one year period,
3% CDSC for the three year period, 2% CDSC for the five year period and 0%
CDSC for the period since inception.
[CHART]
TEN-YEAR FUND PERFORMANCE (04/30/94 TO 04/30/04)
<Table>
<Caption>
JPMORGAN FLEMING INTERNATIONAL
EQUITY FUND (SELECT SHARES) MSCI EAFE INDEX LIPPER INTERNATIONAL FUNDS INDEX
May-1994 $ 993,000 $ 994,300 $ 998,500
Jun-1994 $ 987,340 $ 1,008,320 $ 982,724
Jul-1994 $ 1,006,099 $ 1,018,000 $ 1,012,992
Aug-1994 $ 1,027,227 $ 1,042,126 $ 1,048,041
Sep-1994 $ 981,927 $ 1,009,299 $ 1,021,002
Oct-1994 $ 987,524 $ 1,042,909 $ 1,039,278
Nov-1994 $ 954,145 $ 992,745 $ 990,743
Dec-1994 $ 961,588 $ 998,999 $ 977,566
Jan-1995 $ 937,837 $ 960,638 $ 929,079
Feb-1995 $ 916,829 $ 957,852 $ 928,800
Mar-1995 $ 943,509 $ 1,017,622 $ 953,228
Apr-1995 $ 963,605 $ 1,055,884 $ 988,307
May-1995 $ 943,273 $ 1,043,319 $ 997,992
Jun-1995 $ 924,597 $ 1,025,061 $ 1,001,784
Jul-1995 $ 973,323 $ 1,088,922 $ 1,056,883
Aug-1995 $ 995,904 $ 1,047,435 $ 1,039,021
Sep-1995 $ 1,014,328 $ 1,067,859 $ 1,056,373
Oct-1995 $ 1,002,765 $ 1,039,134 $ 1,034,400
Nov-1995 $ 1,019,511 $ 1,068,022 $ 1,045,158
Dec-1995 $ 1,056,825 $ 1,111,063 $ 1,075,468
Jan-1996 $ 1,092,968 $ 1,115,619 $ 1,100,849
Feb-1996 $ 1,085,536 $ 1,119,412 $ 1,105,582
Mar-1996 $ 1,109,092 $ 1,143,143 $ 1,122,829
Apr-1996 $ 1,154,343 $ 1,176,409 $ 1,159,434
May-1996 $ 1,139,799 $ 1,154,763 $ 1,158,158
Jun-1996 $ 1,155,756 $ 1,161,230 $ 1,168,698
Jul-1996 $ 1,106,174 $ 1,127,322 $ 1,129,312
Aug-1996 $ 1,099,647 $ 1,129,802 $ 1,143,994
Sep-1996 $ 1,140,774 $ 1,159,854 $ 1,169,619
Oct-1996 $ 1,115,905 $ 1,148,024 $ 1,164,941
Nov-1996 $ 1,166,010 $ 1,193,715 $ 1,219,693
Dec-1996 $ 1,167,176 $ 1,178,316 $ 1,230,548
Jan-1997 $ 1,159,355 $ 1,137,075 $ 1,232,148
Feb-1997 $ 1,189,383 $ 1,155,723 $ 1,254,450
Mar-1997 $ 1,189,383 $ 1,159,884 $ 1,261,098
Apr-1997 $ 1,192,475 $ 1,166,031 $ 1,266,647
May-1997 $ 1,240,174 $ 1,241,940 $ 1,338,086
Jun-1997 $ 1,293,750 $ 1,310,371 $ 1,402,314
Jul-1997 $ 1,346,276 $ 1,331,599 $ 1,447,328
Aug-1997 $ 1,228,746 $ 1,232,128 $ 1,342,976
Sep-1997 $ 1,300,505 $ 1,301,128 $ 1,429,195
Oct-1997 $ 1,215,452 $ 1,201,071 $ 1,320,719
Nov-1997 $ 1,204,877 $ 1,188,820 $ 1,309,625
Dec-1997 $ 1,226,686 $ 1,199,163 $ 1,319,840
Jan-1998 $ 1,269,129 $ 1,253,964 $ 1,351,780
Feb-1998 $ 1,350,734 $ 1,334,469 $ 1,437,618
Mar-1998 $ 1,426,375 $ 1,375,571 $ 1,515,681
Apr-1998 $ 1,460,465 $ 1,386,438 $ 1,539,022
May-1998 $ 1,478,575 $ 1,379,644 $ 1,542,100
Jun-1998 $ 1,454,327 $ 1,390,129 $ 1,528,684
Jul-1998 $ 1,499,847 $ 1,404,170 $ 1,552,073
Aug-1998 $ 1,261,371 $ 1,230,193 $ 1,328,730
Sep-1998 $ 1,204,105 $ 1,192,426 $ 1,287,406
Oct-1998 $ 1,273,823 $ 1,316,677 $ 1,382,031
Nov-1998 $ 1,331,145 $ 1,384,091 $ 1,451,270
Dec-1998 $ 1,392,777 $ 1,438,624 $ 1,486,972
Jan-1999 $ 1,434,142 $ 1,434,308 $ 1,496,042
Feb-1999 $ 1,369,032 $ 1,400,172 $ 1,457,594
Mar-1999 $ 1,407,639 $ 1,458,559 $ 1,506,132
Apr-1999 $ 1,464,508 $ 1,517,630 $ 1,576,317
May-1999 $ 1,394,211 $ 1,439,472 $ 1,517,678
Jun-1999 $ 1,441,893 $ 1,495,612 $ 1,589,616
Jul-1999 $ 1,478,806 $ 1,540,031 $ 1,625,065
Aug-1999 $ 1,504,981 $ 1,545,730 $ 1,637,903
Sep-1999 $ 1,524,696 $ 1,561,341 $ 1,643,144
Oct-1999 $ 1,564,643 $ 1,619,892 $ 1,700,490
Nov-1999 $ 1,712,502 $ 1,676,102 $ 1,825,136
Dec-1999 $ 1,938,380 $ 1,826,616 $ 2,049,445
Jan-2000 $ 1,868,793 $ 1,710,626 $ 1,929,552
Feb-2000 $ 2,006,896 $ 1,756,642 $ 2,056,903
Mar-2000 $ 2,017,533 $ 1,824,799 $ 2,062,251
Apr-2000 $ 1,879,735 $ 1,728,815 $ 1,931,504
May-2000 $ 1,796,087 $ 1,686,632 $ 1,878,388
Jun-2000 $ 1,845,659 $ 1,752,579 $ 1,965,357
Jul-2000 $ 1,751,715 $ 1,679,146 $ 1,901,680
Aug-2000 $ 1,767,831 $ 1,693,755 $ 1,933,818
Sep-2000 $ 1,654,867 $ 1,611,269 $ 1,821,076
Oct-2000 $ 1,607,206 $ 1,573,243 $ 1,759,160
Nov-2000 $ 1,565,580 $ 1,514,246 $ 1,684,923
Dec-2000 $ 1,617,087 $ 1,568,002 $ 1,747,771
Jan-2001 $ 1,615,309 $ 1,567,218 $ 1,758,083
Feb-2001 $ 1,488,022 $ 1,449,677 $ 1,634,665
Mar-2001 $ 1,403,800 $ 1,352,983 $ 1,519,748
Apr-2001 $ 1,497,153 $ 1,447,016 $ 1,612,149
May-2001 $ 1,452,238 $ 1,395,936 $ 1,573,135
Jun-2001 $ 1,391,825 $ 1,338,842 $ 1,528,773
Jul-2001 $ 1,359,813 $ 1,314,475 $ 1,489,025
Aug-2001 $ 1,327,178 $ 1,281,219 $ 1,459,095
Sep-2001 $ 1,217,022 $ 1,151,431 $ 1,300,054
Oct-2001 $ 1,259,861 $ 1,180,908 $ 1,335,285
Nov-2001 $ 1,312,145 $ 1,224,484 $ 1,385,091
Dec-2001 $ 1,342,325 $ 1,231,708 $ 1,409,746
Jan-2002 $ 1,282,323 $ 1,166,304 $ 1,352,792
Feb-2002 $ 1,297,198 $ 1,174,469 $ 1,371,731
Mar-2002 $ 1,369,062 $ 1,238,007 $ 1,444,296
Apr-2002 $ 1,395,896 $ 1,246,178 $ 1,454,406
May-2002 $ 1,404,271 $ 1,262,005 $ 1,475,204
Jun-2002 $ 1,367,339 $ 1,211,777 $ 1,416,933
Jul-2002 $ 1,228,964 $ 1,092,174 $ 1,275,523
Aug-2002 $ 1,240,271 $ 1,089,662 $ 1,276,544
Sep-2002 $ 1,097,764 $ 972,633 $ 1,139,060
Oct-2002 $ 1,162,312 $ 1,024,863 $ 1,198,177
Nov-2002 $ 1,216,127 $ 1,071,392 $ 1,254,851
Dec-2002 $ 1,177,454 $ 1,035,393 $ 1,214,696
Jan-2003 $ 1,110,222 $ 992,217 $ 1,170,238
Feb-2003 $ 1,080,246 $ 969,495 $ 1,135,599
Mar-2003 $ 1,055,940 $ 950,493 $ 1,107,777
Apr-2003 $ 1,170,299 $ 1,043,642 $ 1,217,447
May-2003 $ 1,248,475 $ 1,106,886 $ 1,295,607
Jun-2003 $ 1,269,574 $ 1,133,673 $ 1,326,183
Jul-2003 $ 1,282,904 $ 1,161,108 $ 1,363,316
Aug-2003 $ 1,310,102 $ 1,189,091 $ 1,402,716
Sep-2003 $ 1,339,186 $ 1,225,715 $ 1,430,911
Oct-2003 $ 1,405,208 $ 1,302,077 $ 1,516,193
Nov-2003 $ 1,449,472 $ 1,330,983 $ 1,546,668
Dec-2003 $ 1,553,399 $ 1,434,932 $ 1,651,997
Jan-2004 $ 1,582,603 $ 1,455,165 $ 1,687,514
Feb-2004 $ 1,621,535 $ 1,488,779 $ 1,726,159
Mar-2004 $ 1,616,833 $ 1,497,116 $ 1,734,617
Apr-2004 $ 1,557,616 $ 1,463,282 $ 1,682,925
</Table>
Source: Lipper Analytical Services, Inc. The quoted performance is past
performance and not indicative of future returns. Investment returns will
fluctuate so that an investor's shares when redeemed may be worth more or less
than original cost. Please note, current performance may be higher or lower than
the performance data shown. INVESTORS SHOULD CAREFULLY READ THE FUND PROSPECTUS
WHICH INCLUDES INFORMATION ON THE FUND'S INVESTMENT OBJECTIVES, RISK, AS WELL AS
CHARGES AND EXPENSES ALONG WITH OTHER INFORMATION. INVESTORS SHOULD REVIEW THE
INFORMATION IN THE PROSPECTUS CAREFULLY BEFORE INVESTING. FOR UP TO DATE
MONTH-END PERFORMANCE INFORMATION, OR TO RECEIVE A FUND PROSPECTUS PLEASE CALL
800 348-4782. PLEASE READ CAREFULLY BEFORE INVESTING OR SENDING MONEY.
The Fund commenced operations on 1/1/97.
Returns for the Select Shares prior to 1/1/97 (offering date of the Select
Shares) are calculated using performance of a predecessor account and the
historical expenses at the level indicated (absent reimbursements) in the
Expense Summary for the Fund as disclosed in the Prospectus. The account was not
registered with the SEC and was not subject to investment restrictions of
registered mutual funds. If the account had been registered, performance may
have been adversely affected.
Returns for the Class A and B Shares prior to 2/28/02 (offering date of the
Class A and B Shares) are calculated using the historical expenses of the Select
Shares, which are lower than the expenses of the Class A and B Shares.
Returns for Class C Shares prior to 1/31/03 (offering date of the Class C
Shares) are calculated using the historical expenses of the Class B Shares,
which are similar to the expenses of the Class C Shares.
The graph illustrates comparative performance for $1,000,000 invested in Select
Shares of the JPMorgan Fleming International Equity Fund, MSCI EAFE Index, and
Lipper International Funds Index from April 30, 1994 to April 30, 2004. The
performance of the Fund assumes reinvestment of all dividends and capital gains
and does not include a sales charge. The performance of the indices does not
include a sales charge and has been adjusted to reflect reinvestment of all
dividends and capital gains of the securities included in the benchmark. The
MSCI EAFE (Europe, Australasia, Far East) Index is a replica (or model) of the
world's equity markets, excluding the U.S. and Canada. The Lipper International
Funds Index represents the total returns of the funds in the indicated category,
as defined by Lipper, Inc. Investors cannot invest directly in an index.
Select Shares have a $1,000,000 minimum initial deposit and carry no sales
charge.
Certain fees and expenses of the Fund are currently being waived and reimbursed
as described in the prospectus. Had the expenses not been subsidized or waived,
returns would have been lower. Also, all performance shown in this section does
not reflect the deduction of taxes that a shareholder would pay on fund
distributions or redemption of fund shares.
26
<Page>
JPMORGAN FLEMING INTREPID EUROPEAN FUND
PORTFOLIO OF INVESTMENTS AS OF APRIL 30, 2004 (Unaudited)
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- 100.0%
COMMON STOCKS -- 100.0%
AUSTRIA -- 7.4%
35,351 Bank Austria
Creditanstalt AG* (f) (l) $ 1,997,063
7,243 Erste Bank Der Oesterreichischen
Sparkassen AG (f) (l) 1,079,418
8,299 OMV AG (f) (l) 1,511,545
35,127 Telekom Austria AG (f) 515,718
3,740 Verbund - Oesterreichische
Elektrizitaetswirtschafts AG,
Class A (f) 610,862
15,765 Voest-Alpine AG (f) 684,746
16,149 Wienerberger AG (f) (l) 525,149
--------------------------------------------------------------------
6,924,501
--------------------------------------------------------------------
BELGIUM -- 2.6%
43,715 Fortis (f) 944,850
17,753 KBC Bancassurance Holding (f) (l) 994,575
8,098 Mobistar SA* (f) 522,461
886 Umicore 138
--------------------------------------------------------------------
2,462,024
--------------------------------------------------------------------
FINLAND -- 0.0% ^
506 YIT-Yhtyma OYJ (f) 9,416
FRANCE -- 12.5%
73,065 Air France (f) (l) 1,263,615
88,450 Alcatel SA* (f) (l) 1,296,952
49,508 AXA (f) 1,027,552
30,352 Credit Agricole SA (f) 744,649
18,286 Eramet 938,409
4,367 Imerys SA (f) 989,822
21,287 Renault SA (f) 1,578,328
7,844 Societe Assurances Generales
de France (f) 476,252
24,575 Suez SA (f) 487,266
16,152 Total SA (f) 2,973,106
--------------------------------------------------------------------
11,775,951
--------------------------------------------------------------------
GERMANY -- 11.0%
25,315 Continental AG (f) 1,086,911
181 Deutsche Bank AG (f) 14,789
51,836 Deutsche Lufthansa AG (f) 823,767
34,897 Deutsche Post AG (f) 764,562
31,292 E.ON AG (f) (l) $ 2,071,455
29,524 HeidelbergCement AG* (f) 1,336,656
17,959 Hochtief AG (f) 506,708
34,831 Hypo Real Estate Holding* 947,808
15,396 Mobilcom AG (f) 291,716
73,526 Pfleiderer AG (f) 492,258
34,157 RWE AG (f) (l) 1,474,336
19,910 Software AG* (f) 558,764
--------------------------------------------------------------------
10,369,730
--------------------------------------------------------------------
GREECE -- 0.5%
36,060 Piraeus Bank SA (f) 423,682
IRELAND -- 0.5%
3,331 Depfa Bank PLC (f) 496,349
ITALY -- 4.4%
99,527 ENI-Ente Nazionale Idrocarburi
SPA (f) 2,021,981
21,957 Fondiaria-SAI SPA (f) 482,898
13,261 Pirelli & Co. Real Estate SPA (f) 465,601
53,857 Saipem SPA (f) 503,674
157,903 Unipol SPA (f) (l) 652,588
--------------------------------------------------------------------
4,126,742
--------------------------------------------------------------------
LIECHTENSTEIN -- 0.6%
3,413 Verwaltungs & Privat-Bank AG (f) 518,460
LUXEMBOURG -- 0.5%
69,533 Thiel Logistik AG (f) (l) 431,689
NORWAY -- 4.1%
51,866 Aker Kvaerner ASA 861,907
27,011 Golar LNG LTD* (f) 344,032
8,150 Norsk Hydro ASA (f) 476,221
129,767 Statoil ASA (f) (l) 1,622,041
93,643 Tandberg Television ASA* (f) 552,265
--------------------------------------------------------------------
3,856,466
--------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
27
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
SPAIN -- 4.0%
25,127 ACS Actividades Cons Y Serv (f) $ 1,217,854
464,481 Iberia Lineas Aer De Espana (f) 1,532,034
27,046 Metrovacesa SA (f) 964,512
--------------------------------------------------------------------
3,714,400
--------------------------------------------------------------------
SWEDEN -- 6.8%
58,921 JM AB (f) 1,034,573
14,750 Saab AB, Class B (f) 197,471
83,117 Song Networks Holding AB* (f) 529,642
98,716 Ssab Svenskt Stal AB, Ser. A (f) (l) 1,611,793
263,166 Telefonaktiebolaget LM Ericsson,
B Shares* (f) 701,160
86,391 Trelleborg AB (f) 1,542,482
22,583 Volvo AB, B Shares (f) 771,471
--------------------------------------------------------------------
6,388,592
--------------------------------------------------------------------
SWITZERLAND -- 9.0%
80,729 ABB LTD* (f) 455,075
11,421 Baloise Holding LTD (f) 460,185
5,542 Banque Cantonale Vaudoise (f) 715,617
8,269 Converium Holding AG* (f) 430,415
5,823 Komax Holding AG* (f) 430,739
6,762 Micronas Semiconductor
Holding AG* (f) 312,928
1,984 Rieter Holding AG (f) 462,740
15,418 Saurer AG (f) 694,793
2,320 SEZ Holding AG (f) (l) 73,096
11,247 Swiss Reinsurance Co. (f) (l) 735,831
10,095 Syngenta AG (f) 804,521
13,314 UBS AG (f) (l) 942,687
22,001 Vontobel Holding AG (f) 474,992
41,256 Xstrata PLC* (f) 462,175
6,199 Zurich Financial Services AG (f) 973,213
--------------------------------------------------------------------
8,429,007
--------------------------------------------------------------------
THE NETHERLANDS -- 8.1%
9,859 Aalberts Industries NV (f) 293,711
49,557 Buhrmann NV (f) (l) 462,202
25,107 Corio NV (f) 1,007,232
11,303 DSM NV 541,708
14,335 Exact Holding NV* (f) (l) 393,305
24,403 Koninklijke Philips
Electronics NV (f) 655,596
164,156 Koninklijke Wessanen NV (f) (l) $ 2,294,347
13,016 Randstad Holding NV (f) (l) 293,929
21,164 Royal Dutch Petroleum Co. 1,029,275
8,748 Royal P&O Nedlloyd NV (f) 279,523
28,880 Unit 4 Agresso NV* (f) 393,060
--------------------------------------------------------------------
7,643,888
--------------------------------------------------------------------
UNITED KINGDOM -- 28.0%
28,988 Antofagasta PLC (f) 482,612
105,200 Aviva PLC (f) 1,021,858
193,595 BAE Systems PLC (f) 716,306
165,692 BG Group PLC (f) 954,481
9,393 Big Food Group PLC (f) 19,726
256,134 BP PLC (f) 2,216,717
151,516 BPB PLC (f) 969,877
319,700 Brit Insurance Holdings PLC (f) 466,750
27,684 Britannic Group PLC (f) 166,259
158,772 BT Group PLC (f) 500,652
252,660 Centrica PLC (f) 975,750
662,193 Dimension Data Holdings PLC* (f) 429,148
64,981 EMI Group PLC (f) 294,969
132,268 Hanson PLC 1,008,597
120,782 Hilton Group PLC (f) 529,641
29,889 Investec PLC (f) 557,875
206,954 John Wood Group PLC (f) 517,230
25,410 Man Group PLC (f) 757,940
44,053 Marconi Corp., PLC* (f) 467,183
185,685 McBride PLC (f) 435,505
211,930 National Grid Transco PLC (f) 1,605,120
55,815 Punch Taverns PLC (f) 537,350
122,720 Rexam PLC (f) 987,416
120,613 Rolls-Royce Group PLC (f) 492,254
15,609,750 Rolls-Royce Group PLC, B Shares 27,682
294,463 Scottish Power PLC (f) 1,998,795
442,063 Shell Transport & Trading
Co., PLC (f) 3,042,861
270,317 Somerfield PLC (f) 753,738
4,800 TI Automotive LTD, Class A* (f) (i) 0
99,792 Trinity Mirror PLC (f) 1,087,405
185,030 United Utilities PLC (f) 1,766,619
51,435 William Hill PLC (f) 486,483
--------------------------------------------------------------------
26,274,799
--------------------------------------------------------------------
TOTAL INVESTMENTS -- 100.0% $ 93,845,696
(COST $90,604,182)
--------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
28
<Page>
SEMI-ANNUAL REPORT APRIL 30 2004
<Table>
<Caption>
SHARES COLLATERAL INVESTMENTS VALUE
- --------------------------------------------------------------------------------------
MONEY MARKET FUNDS (c)
266,469 Merrill Lynch Premier Fund $ 266,469
300,731 AIM Short Term Investment Co. 300,731
$ 567,200
--------------------------------------------------------------------
<Caption>
PRINCIPAL
AMOUNT
(USD) ISSUER
- --------------------------------------------------------------------------------------
REPURCHASE AGREEMENTS (c)
$ 17,000,000 Barclays Capital, 1.04%,
due 05/03/04, dated 04/30/04,
proceeds $17,001,473, secured
by U.S. Government Agency
Securities 17,000,000
--------------------------------------------------------------------
$ 17,567,200
--------------------------------------------------------------------
</Table>
SUMMARY OF INVESTMENTS BY INDUSTRY, APRIL 30, 2004
<Table>
<Caption>
INDUSTRY % OF INVESTMENT SECURITIES
- ---------------------------------------------------------------------------------------------------------
Oil & Gas 17.5%
Utilities 11.2
Banking 10.0
Insurance 7.3
Telecommunications 5.2
Construction Materials 5.1
Airlines 3.9
Automotive 3.7
Food/Beverage Products 3.3
Construction 3.0
Real Estate 2.6
Manufacturing 2.5
Steel 2.4
Financial Services 2.4
Metals/Mining 2.0
Transportation 1.9
Computer Software 1.9
Engineering Services 1.8
Aerospace 1.5
Chemicals 1.4
Entertainment/Leisure 1.4
Multi-Media 1.2
Packaging 1.1
Machinery & Engineering Equipment 1.0
Other (below 1%) 4.7
- ---------------------------------------------------------------------------------------------------------
Total 100.0%
- ---------------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
29
<Page>
JPMORGAN FLEMING JAPAN FUND
PORTFOLIO OF INVESTMENTS AS OF APRIL 30, 2004 (Unaudited)
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- 100.0%
COMMON STOCKS -- 100.0%
AEROSPACE -- 0.5%
9,000 Japan Aviation Electronics
Industry LTD (f) $ 110,016
AUTOMOTIVE -- 7.4%
12,000 Calsonic Kansei Corp. (f) 93,501
4,600 Denso Corp. (f) 95,715
8,900 Honda Motor Co., LTD (f) 354,684
19,000 NHK Spring Co., LTD (f) 111,557
25,600 Nissan Motor Co., LTD (f) 279,618
15,900 Toyota Motor Corp. (f) 575,299
--------------------------------------------------------------------
1,510,374
--------------------------------------------------------------------
BANKING -- 10.6%
41 Mitsubishi Tokyo Financial Group, Inc. (f) 360,670
15,000 Mitsui Trust Holdings, Inc. (f) 103,904
91 Mizuho Financial Group, Inc. (f) 420,446
187,000 Resona Holdings, Inc.* (f) 371,419
56 Sumitomo Mitsui Financial Group, Inc. (f) (l) 417,280
15,000 The 77 Bank LTD (f) 89,677
30,000 The Sumitomo Trust & Banking Co., LTD (f) 177,112
35 UFJ Holdings, Inc. (f) 212,229
--------------------------------------------------------------------
2,152,737
--------------------------------------------------------------------
BUSINESS SERVICES -- 1.5%
4,000 Arrk Corp. (f) 168,123
27 Fullcast Co., LTD (f) 72,863
27 Fullcast Co., LTD (W/I)* 74,133
--------------------------------------------------------------------
315,119
--------------------------------------------------------------------
CHEMICALS -- 4.4%
17,000 Asahi Kasei Corp. (f) 91,503
25,000 Denki Kagaku Kogyo Kabushiki Kaisha (f) 82,785
18,000 Fujikura Kasei Co., LTD (f) 128,528
20,000 Mitsui Chemicals, Inc. (f) 104,457
2,400 Nitto Denko Corp. (f) 131,155
6,000 Osaka Organic Chemical Industry LTD (f) 120,545
36,000 Showa Denko K. K. (f) (l) 81,050
11,000 Sun A Kaken Co., LTD 158,489
--------------------------------------------------------------------
898,512
--------------------------------------------------------------------
COMPUTER SOFTWARE -- 3.0%
7 Cyber Firm, Inc.* 110,371
3,600 Hitachi Software Engineering Co., LTD (f) 87,655
4,300 Nippon System Development Co., LTD (f) 91,919
1,600 NS Solutions Corp. (f) (l) 103,655
4,100 Trans Cosmos, Inc. (f) $ 116,908
26 Zentek Technology Japan, Inc.* (f) 103,912
--------------------------------------------------------------------
614,420
--------------------------------------------------------------------
CONSTRUCTION -- 1.1%
51,000 Haseko Corp.* (f) 145,300
10,000 Mikikogyo Co., LTD 85,089
--------------------------------------------------------------------
230,389
--------------------------------------------------------------------
CONSTRUCTION MATERIALS -- 0.9%
19,000 Sanwa Shutter Corp. (f) 95,372
22,000 Sun Wave Corp.* (f) 95,186
--------------------------------------------------------------------
190,558
--------------------------------------------------------------------
CONSUMER PRODUCTS -- 1.3%
58,000 Janome Sewing Machine Co., LTD* (f) 87,393
2,800 Pioneer Corp. (f) (l) 78,975
11,000 Sankyo Seiki Manufacturing Co., LTD (f) 103,486
--------------------------------------------------------------------
269,854
--------------------------------------------------------------------
CONSUMER SERVICES -- 0.5%
2,700 TIS, Inc. (f) (l) 101,289
DISTRIBUTION -- 3.1%
33,000 Marubeni Corp. (f) (l) 82,016
21,000 Mitsubishi Corp. (f) 197,818
12,000 Mitsui & Co., LTD (f) 98,202
24,600 Nissho Iwai-Nichimen Holdings Corp.* (f) 143,798
14,000 Sumitomo Corp. (f) 106,250
--------------------------------------------------------------------
628,084
--------------------------------------------------------------------
ELECTRONICS/ELECTRICAL EQUIPMENT -- 8.1%
12,000 CMK Corp. (f) 176,281
2,200 Fanuc LTD (f) 132,417
7,200 Hosiden Corp. (f) 97,979
16,000 Kyoden Co., LTD (f) 157,609
3,400 Meiko Electronics Co. 99,823
15,000 Mitsubishi Electric Corp. (f) 74,411
34,000 NEC Corp. (f) 261,089
1,900 Nidec Corp. (f) (l) 202,659
23,000 Nissin Electric Co., LTD* (f) 77,738
23,000 Oki Electric Industry Co., LTD (f) 92,389
3,900 Omron Corp. (f) (l) 94,238
9,000 Sumitomo Electric Industries LTD (f) 82,063
20,000 Toshiba Corp. (f) 90,123
--------------------------------------------------------------------
1,638,819
--------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
30
<Page>
SEMI-ANNUAL REPORT APRIL 30 2004
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
ENGINEERING SERVICES -- 1.0%
27,000 Kajima Corp. (f) $ 93,590
13,000 Yumeshin Co., LTD 106,611
--------------------------------------------------------------------
200,201
--------------------------------------------------------------------
ENTERTAINMENT/LEISURE -- 1.1%
6 Fields Corp. (f) 93,389
2,000 Mars Engineering Corp. (f) 122,364
--------------------------------------------------------------------
215,753
--------------------------------------------------------------------
FINANCIAL SERVICES -- 11.6%
1,430 Acom Co., LTD (f) 100,194
1,300 Aeon Credit Service Co., LTD (f) (l) 81,896
1,250 Aiful Corp. (f) 124,793
21,000 Daiwa Securities Group, Inc. (f) 154,867
21,000 Ichiyoshi Securities Co., LTD (f) 155,206
1,200 Jafco Co., LTD (f) 95,710
36,000 Japan Asia Investment Co., LTD (f) 179,353
27,300 Lopro Corp. (f) 164,871
13,100 Matsui Securities Co., LTD (f) 420,533
9,000 Mitsubishi Securities Co., LTD (f) (l) 113,962
71,000 Nikko Cordial Corp. (f) 395,069
11,900 Nissin Co., LTD (f) 43,212
1,010 Shohkoh Fund & Co., LTD (f) (l) 204,633
38,000 Tokai Tokyo Securities Co., LTD (f) 121,798
--------------------------------------------------------------------
2,356,097
--------------------------------------------------------------------
FOOD/BEVERAGE PRODUCTS -- 0.4%
25,000 Shinobu Food Products Co., LTD (f) 84,721
HOTELS/OTHER LODGING -- 0.5%
5,000 Kyoritsu Maintenance Co., LTD (f) 107,453
INSURANCE -- 0.5%
2,550 T&D Holdings, Inc. 101,672
INTERNET SERVICES/SOFTWARE -- 4.6%
88 BB Net Corp.* (f) 288,348
27 eAccess LTD* 137,502
39 en-japan, Inc. (f) 134,517
22 G-mode Co., LTD (f) 89,604
20 IXI Co., LTD (W/I)* 79,380
10 IXI Co., LTD* 40,234
1,617 Livedoor Co., LTD 95,208
1,800 Softbank Corp.* (f) (l) 79,601
--------------------------------------------------------------------
944,394
--------------------------------------------------------------------
MACHINERY & ENGINEERING EQUIPMENT -- 2.7%
15,000 Amada Co., LTD (f) $ 83,210
31,000 Mitsubishi Heavy Industries LTD (f) 84,403
82,000 Mitsui Engineering &
Shipbuilding Co., LTD (f) (l) 144,569
15,000 Nabtesco Corp. 89,303
3,000 Takeuchi Manufacturing Co., LTD (f) 147,006
--------------------------------------------------------------------
548,491
--------------------------------------------------------------------
MANUFACTURING -- 3.6%
18,000 Advanex, Inc. (f) 103,007
1,400 Hoya Corp. (f) 149,709
4,200 Nihon Micro Coating Co., LTD (f) 94,058
7,000 Nippon Filcon Co., LTD (f) 123,364
3,000 Tamron Co., LTD (f) 150,159
21,000 Tokai Konetsu Kogyo Co., LTD 115,890
--------------------------------------------------------------------
736,187
--------------------------------------------------------------------
METALS/MINING -- 3.5%
61,000 Mitsubishi Materials Corp. (f) (l) 118,831
59,000 Nippon Light Metal Co., LTD (f) 144,653
24,000 Pacific Metals Co., LTD* (f) 100,876
68,000 Sumitomo Light Metal Industries LTD (f) 123,177
22,000 Sumitomo Metal Mining Co., LTD (f) 131,967
8,000 Toho Titanium Co., LTD (f) 102,174
--------------------------------------------------------------------
721,678
--------------------------------------------------------------------
MULTI-MEDIA -- 0.2%
9 Fuji Television Network, Inc. (f) 23,488
9 Fuji Television Network, Inc. (W/I)* 22,983
--------------------------------------------------------------------
46,471
--------------------------------------------------------------------
OFFICE/BUSINESS EQUIPMENT -- 1.3%
5,000 Canon, Inc. (f) 259,295
OIL & GAS -- 0.6%
31,500 Nippon Mining Holdings, Inc. (f) 130,645
PHARMACEUTICALS -- 0.7%
2,700 Alfresa Holdings Corp. 146,799
PRINTING & PUBLISHING -- 0.6%
17,000 Mitsumura Printing Co., LTD (f) 112,966
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
31
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
REAL ESTATE -- 6.7%
10 Arealink Co., LTD (f) $ 133,647
9,000 Coyo Corporation Co. 134,566
26,000 Daiwa Kosho Lease Co., LTD (f) (l) 118,845
3,200 Diamond City Co., LTD 121,209
3,400 First Juken Co., LTD 90,580
3,400 First Juken Co., LTD (W/I)* 81,646
12,000 Fuji Corp., LTD (f) 104,999
11,000 Mitsui Fudosan Co., LTD (f) 119,589
4,320 Nihon Eslead Corp. (f) 93,423
26 Tact Home Co., LTD 256,807
200 Yasuragi Co., LTD* 120,520
--------------------------------------------------------------------
1,375,831
--------------------------------------------------------------------
RETAILING -- 7.6%
12,000 Aoki Super Co., LTD 92,429
6,700 Arc Land Sakamoto Co., LTD 100,055
1,300 Don Quijote Co., LTD (f) 92,330
1,400 Fast Retailing Co., LTD (f) 107,786
20 Geo Co., LTD (f) 72,984
7,700 Kahma Co., LTD 101,941
5,000 Mac House Co., LTD 135,019
18,000 Mutow Co., LTD (f) 98,914
3,300 Nafco Co., LTD 106,755
2,400 Pal Co., LTD 125,921
6,500 RIO Chain Co., LTD 69,503
2,400 Ryohin Keikaku Co., LTD (f) 101,473
22,000 The Daiei, Inc.* (f) 95,892
12,100 VT Holdings Co., LTD 246,704
--------------------------------------------------------------------
1,547,706
--------------------------------------------------------------------
SEMI-CONDUCTORS -- 0.6%
11,000 Nihon Inter Electronics Corp. (f) 116,022
STEEL -- 3.4%
36,000 Hokuetsu Metal Co., LTD 112,546
4,100 JFE Holdings, Inc. (f) 90,447
70,000 Nippon Steel Corp. (f) 144,729
34,000 Tokyo Kohtetsu Co., LTD* (f) 110,426
8,100 Tokyo Steel Manufacturing Co., LTD (f) (l) 134,264
24,000 Tokyo Tekko Co., LTD* (f) 103,522
--------------------------------------------------------------------
695,934
--------------------------------------------------------------------
TELECOMMUNICATIONS -- 1.5%
2,300 Hikari Tsushin, Inc. (f) $ 100,654
19 Nippon Telegraph & Telephone Corp. (f) 98,960
29,000 Tamura Taiko Holdings, Inc.* 102,487
--------------------------------------------------------------------
302,101
--------------------------------------------------------------------
TOYS & GAMES -- 0.4%
9,000 People Co., LTD 89,710
TRANSPORTATION -- 3.0%
800 Hamakyorex Co., LTD (f) 25,174
6,200 Hutech Norin Co., LTD (f) 107,735
21,000 Kawasaki Kisen Kaisha LTD (f) (l) 88,995
26,000 Keihan Electric Railway Co., LTD (f) 79,314
17,000 Meitetsu Transport Co., LTD 50,836
40,000 Mitsui O.S.K. Lines LTD (f) 173,109
31,000 Nankai Electric Railway Co., LTD 80,341
--------------------------------------------------------------------
605,504
--------------------------------------------------------------------
WHOLESALING -- 1.5%
41,000 Osaka Uoichiba Co., LTD 96,969
51 Quin Land Co., LTD (f) 172,651
3,000 Takihyo Co., LTD 37,923
--------------------------------------------------------------------
307,543
--------------------------------------------------------------------
Total Common Stocks 20,413,345
(Cost $19,279,110)
--------------------------------------------------------------------
WARRANTS -- 0.0% ^
FINANCIAL SERVICES -- 0.0% ^
180 KBC Financial Products International
(TOPIX Index), expires 9/27/04 8,280
(Cost $16,200)
TOTAL INVESTMENTS -- 100.0% $ 20,421,625
(COST $19,295,310)
--------------------------------------------------------------------
<Caption>
SHARES COLLATERAL INVESTMENTS VALUE
- --------------------------------------------------------------------------------------
MONEY MARKET FUNDS (c)
564,033 Merrill Lynch Premier Fund $ 564,033
568,231 AIM Short Term Investment Co. 568,231
--------------------------------------------------------------------
$ 1,132,264
--------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
32
<Page>
JPMORGAN FLEMING INTERNATIONAL GROWTH FUND
PORTFOLIO OF INVESTMENTS AS OF APRIL 30, 2004 (Unaudited)
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- 100.0%
COMMON STOCKS -- 98.4%
AUSTRALIA -- 1.3%
6,330 News Corp., LTD (f) $ 57,704
BELGIUM -- 0.9%
370 Colruyt SA (f) 39,708
BRAZIL -- 0.8%
800 Companhia Vale Do Rio Doce, ADR 36,400
CHINA -- 0.5%
38,000 China Life Insurance Co., LTD* (f) 20,706
FINLAND -- 1.4%
4,170 Nokia OYJ (f) 58,279
FRANCE -- 6.6%
730 BNP Paribas (f) 43,460
880 Compagnie de Saint-Gobain (f) 44,029
1,620 Dassault Systemes SA (f) 65,319
720 Total SA (f) 132,432
--------------------------------------------------------------------
285,240
--------------------------------------------------------------------
GERMANY -- 8.2%
1,250 Altana AG (f) 79,107
1,290 Bayerische Motoren Werke AG (f) 55,191
1,000 Deutsche Boerse AG (f) 54,696
380 SAP AG (f) 56,541
2,000 Schering AG (f) 104,664
--------------------------------------------------------------------
350,199
--------------------------------------------------------------------
HONG KONG -- 1.0%
28,000 Li & Fung LTD (f) 43,171
IRELAND -- 1.3%
4,700 Bank of Ireland (f) 56,714
ITALY -- 1.0%
2,220 ENI-Ente Nazionale Idrocarburi SPA (f) 45,067
JAPAN -- 21.8%
2,000 Canon, Inc. (f) 103,704
2,700 Chugai Pharmaceutical Co., LTD (f) 40,762
2,000 Daikin Industries LTD (f) $ 46,273
7 eAccess LTD* (f) 35,644
1,100 Fanuc LTD (f) 66,200
2,000 Fujisawa Pharmaceutical Co., LTD (f) 46,178
1,000 Honda Motor Co., LTD (f) 39,847
600 Hoya Corp. (f) 64,152
2,000 Kao Corp. (f) 47,456
3 Mitsubishi Tokyo Financial Group, Inc. (f) 26,387
15,000 Nikko Cordial Corp. (f) 83,454
1,500 Secom Co., LTD (f) 63,405
1,000 Seiko Epson Corp. (f) 38,675
4,000 Sharp Corp. (f) 71,271
1,600 Shin-Etsu Chemical Co., LTD (f) 63,621
500 SMC Corp. (f) 56,447
610 Takefuji Corp. (f) 38,479
--------------------------------------------------------------------
931,955
--------------------------------------------------------------------
MEXICO -- 0.9%
900 Fomento Economico Mexicano
SA de CV, ADR 39,348
RUSSIA -- 0.8%
806 YUKOS, ADR 36,109
SOUTH KOREA -- 3.9%
420 Samsung Electronics Co., LTD, GDR 98,805
30 Samsung Electronics Co., LTD, GDR, # 7,121
3,100 SK Telecom Co., LTD, ADR 62,620
--------------------------------------------------------------------
168,546
--------------------------------------------------------------------
SPAIN -- 1.7%
2,650 Altadis SA (f) 74,563
SWITZERLAND -- 12.7%
980 Adecco SA* (f) 43,124
362 Basilea Pharmaceutica* (f) 23,710
1,370 Credit Suisse Group (f) 47,903
360 Nestle SA (f) 90,721
1,300 Novartis AG (f) 57,975
1,555 Roche Holding AG (f) 162,315
1,650 UBS AG (f) 116,722
--------------------------------------------------------------------
542,470
--------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
33
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
TAIWAN -- 0.7%
3,332 Taiwan Semiconductor
Manufacturing Co., LTD, ADR* $ 31,754
THE NETHERLANDS -- 5.9%
1,900 ABN AMRO Holding NV (f) 40,850
3,250 Koninklijke Philips Electronics NV (f) 87,247
6,500 Reed Elsevier NV (f) 90,880
2,170 Wolters Kluwer NV (f) 36,293
--------------------------------------------------------------------
255,270
--------------------------------------------------------------------
UNITED KINGDOM -- 27.0%
4,020 Barclays PLC (f) 36,080
11,490 BG Group PLC (f) 66,185
5,800 British Sky Broadcasting PLC (f) 68,100
15,500 Centrica PLC (f) 59,856
14,810 Compass Group PLC (f) 92,780
7,970 GlaxoSmithKline PLC (f) 164,253
3,600 HSBC Holdings PLC (Hong Kong
Registered Shares) (f) 52,130
6,000 Intercontinental Hotels Group PLC 56,033
12,787 Kingfisher PLC (f) 63,938
10,800 Morrison (WM.) Supermarkets (f) 45,770
2,600 Reckitt Benckiser PLC (f) 67,428
3,540 Royal Bank of Scotland Group PLC (f) 105,738
2,500 Standard Chartered PLC (f) 38,102
11,800 Tesco PLC (f) 51,833
79,000 Vodafone Group PLC (f) 191,061
--------------------------------------------------------------------
1,159,287
--------------------------------------------------------------------
Total Common Stocks 4,232,490
(Cost $3,720,752)
--------------------------------------------------------------------
PREFERRED STOCK -- 1.6%
GERMANY -- 1.6%
113 Porsche AG (f) $ 69,501
(Cost $48,049)
--------------------------------------------------------------------
TOTAL INVESTMENTS -- 100.0% $ 4,301,991
(COST $3,768,801)
--------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
34
<Page>
SEMI-ANNUAL REPORT APRIL 30 2004
SUMMARY OF INVESTMENTS BY INDUSTRY, APRIL 30, 2004
<Table>
<Caption>
INDUSTRY % OF INVESTMENT SECURITIES
- ---------------------------------------------------------------------------------------------------------
Pharmaceuticals 15.2%
Banking 13.1
Electronics/Electrical Equipment 8.9
Food/Beverage Products 7.3
Telecommunications 7.3
Oil & Gas 6.5
Consumer Products 5.4
Financial Services 4.1
Automotive 3.8
Semi-Conductors 3.2
Computer Software 2.8
Retailing 2.6
Office/Business Equipment 2.4
Multi-Media 2.2
Printing & Publishing 2.1
Construction Materials 2.1
Broadcasting/Cable 1.6
Health Care/Health Care Services 1.5
Chemicals 1.5
Utilities 1.4
Hotels/Other Lodging 1.3
Business Services 1.0
Other (below 1%) 2.7
- ---------------------------------------------------------------------------------------------------------
Total 100.0%
- ---------------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
35
<Page>
JPMORGAN FLEMING INTERNATIONAL VALUE FUND
PORTFOLIO OF INVESTMENTS AS OF APRIL 30, 2004 (Unaudited)
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- 96.9%
COMMON STOCKS -- 96.9%
BRAZIL -- 2.0%
19,832 Cia Energetica de Minas
Gerais, ADR + $ 305,611
22,929 Petroleo Brasileiro SA
(Preferred), ADR + 572,079
--------------------------------------------------------------------
877,690
--------------------------------------------------------------------
FRANCE -- 13.4%
50,630 AXA (f) + 1,050,840
23,830 BNP Paribas (f) + 1,419,765
17,786 Peugeot SA (f) + 950,532
6,641 Total SA (f) + 1,222,412
42,140 Veolia Environnement (f) + 1,116,398
--------------------------------------------------------------------
5,759,947
--------------------------------------------------------------------
GERMANY -- 2.0%
32,762 Bayerische Hypo-und
Vereinsbank AG* (f) + 561,827
5,894 Schering AG (f) (l) + 307,622
--------------------------------------------------------------------
869,449
--------------------------------------------------------------------
HONG KONG -- 1.7%
269,000 Wharf Holdings LTD (f) + 733,408
INDIA -- 1.4%
22,942 Reliance Industries LTD, GDR, # + 590,757
INDONESIA -- 1.0%
922,500 Indonesian Satellite Corp.,
TBK PT (f) + 416,828
IRELAND -- 1.8%
52,638 Allied Irish Banks PLC (f) + 757,250
ITALY -- 4.4%
28,084 Buzzi Unicem SPA (f) (l) + 371,518
73,920 ENI-Ente Nazionale
Idrocarburi SPA (f) + 1,501,752
--------------------------------------------------------------------
1,873,270
--------------------------------------------------------------------
JAPAN -- 19.0%
4,450 Aiful Corp. (f) + $ 444,262
47,100 Asahi Breweries LTD (f) + 526,049
123,000 Daiwa Securities Group, Inc. (f) + 907,081
14,200 Honda Motor Co., LTD (f) + 565,900
169,000 Kubota Corp. (f) + 724,204
109,000 Mitsubishi Electric Corp. (f) + 540,723
140,000 Mitsui Chemicals, Inc. (f) + 731,198
263 Mizuho Financial Group, Inc. (f) + 1,215,133
195 Nippon Telegraph &
Telephone Corp. (f) + 1,015,643
28,300 Sony Corp. (f) + 1,082,392
29,700 Suzuki Motor Corp. (f) + 464,798
--------------------------------------------------------------------
8,217,383
--------------------------------------------------------------------
LUXEMBOURG -- 1.6%
41,299 Arcelor (f) + 682,227
RUSSIA -- 1.0%
3,950 LUKOIL, ADR + 430,234
SINGAPORE -- 2.8%
72,000 DBS Group Holdings LTD (f) + 601,417
433,000 Singapore Telecommunications
LTD (f) + 592,185
--------------------------------------------------------------------
1,193,602
--------------------------------------------------------------------
SOUTH KOREA -- 1.3%
2,427 Samsung Electronics Co.,
LTD, GDR, # + 576,060
SPAIN -- 2.5%
54,576 Iberdrola SA (f) (l) + 1,072,289
SWEDEN -- 1.4%
17,618 SKF AB, Ser. B + 604,221
SWITZERLAND -- 8.7%
32,319 Compagnie Financiere
Richemont AG, Class A (f) + 825,023
33,493 Credit Suisse Group (f) + 1,172,145
11,223 Holcim LTD (f) (l) + 576,434
7,421 Zurich Financial Services AG (f) + 1,165,062
--------------------------------------------------------------------
3,738,664
--------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
36
<Page>
SEMI-ANNUAL REPORT APRIL 30 2004
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
THE NETHERLANDS -- 5.1%
10,617 Akzo Nobel NV (f) (l) + $ 385,534
43,346 ING Groep NV (f) + 918,880
34,350 Koninklijke Wessanen NV (f) (l) + 480,097
27,300 Vedior NV (f) + 393,103
--------------------------------------------------------------------
2,177,614
--------------------------------------------------------------------
UNITED KINGDOM -- 25.8%
94,260 Aviva PLC (f) + 915,592
109,486 BAE Systems PLC (f) + 405,101
118,068 Barclays PLC (f) + 1,059,729
204,199 BP PLC (f) + 1,767,244
18,877 GlaxoSmithKline PLC (f) + 389,054
135,393 HSBC Holdings PLC (f) + 1,930,081
28,088 Imperial Tobacco Group PLC (f) + 619,842
46,827 Intercontinental Hotels
Group PLC (f) + 437,337
72,400 Rank Group PLC (f) + 408,011
49,839 Royal Bank of Scotland
Group PLC (f) + 1,488,759
93,404 Scottish Power PLC (f) + 634,020
252,125 Tesco PLC (f) (l) + 1,107,548
170,600 TI Automotive LTD,
Class A* (i) (f) + 0
--------------------------------------------------------------------
11,162,318
--------------------------------------------------------------------
Total Long-Term Investments 41,733,211
(Cost $34,340,424)
--------------------------------------------------------------------
<Caption>
PRINCIPAL
AMOUNT
(USD)
- --------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS -- 3.1%
U.S. TREASURY SECURITIES -- 0.4%
U.S. Treasury Bills,
$ 100,000 0.90%, 7/29/04 + @ 99,765
60,000 0.92%, 7/29/04 59,859
--------------------------------------------------------------------
Total U.S. Treasury Securities 159,624
(Cost $159,633)
--------------------------------------------------------------------
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------------
MONEY MARKET FUND -- 2.7%
1,150,641 JPMorgan Prime
Money Market Fund (a) $ 1,150,641
(Cost $1,150,641)
Total Short-Term Investments 1,310,265
(Cost $1,310,274)
--------------------------------------------------------------------
TOTAL INVESTMENTS -- 100.0% $ 43,043,476
(COST $35,650,698)
--------------------------------------------------------------------
<Caption>
SHARES COLLATERAL INVESTMENTS VALUE
- --------------------------------------------------------------------------------------
MONEY MARKET FUND (c)
69,295 Merrill Lynch Premier Fund $ 69,295
<Caption>
PRINCIPAL
AMOUNT
(USD)
- --------------------------------------------------------------------------------------
REPURCHASE AGREEMENT (c)
$ 2,904,205 Credit Suisse First Boston, 1.04%,
due 05/03/04, dated 04/30/04,
proceeds $2,904,457 secured by
U.S. Government Agency Securities 2,904,205
--------------------------------------------------------------------
$ 2,973,500
--------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
37
<Page>
SUMMARY OF INVESTMENTS BY INDUSTRY, APRIL 30, 2004
<Table>
<Caption>
INDUSTRY % OF INVESTMENT SECURITIES
- ---------------------------------------------------------------------------------------------------------
Banking 20.9%
Oil & Gas 12.8
Insurance 9.4
Utilities 7.3
Financial Services 6.0
Food/Beverage Products 4.9
Telecommunications 4.7
Automotive 4.6
Chemicals 4.0
Electronics/Electrical Equipment 3.8
Money Market Fund 2.7
Construction Materials 2.2
Retailing 1.9
Diversified 1.7
Machinery & Engineering Equipment 1.7
Pharmaceuticals 1.6
Steel 1.6
Consumer Products 1.4
Industrial Components 1.4
Semi-Conductors 1.3
Hotels/Other Lodging 1.0
Other (below 1%) 3.1
- ---------------------------------------------------------------------------------------------------------
Total 100.0%
- ---------------------------------------------------------------------------------------------------------
</Table>
FUTURES CONTRACTS
<Table>
<Caption>
NOTIONAL UNREALIZED
NUMBER OF VALUE AT APPRECIATION/
CONTRACTS DESCRIPTION EXPIRATION DATE 4/30/04 (USD) (DEPRECIATION) (USD)
- ----------------------------------------------------------------------------------------------------------------------
LONG FUTURES OUTSTANDING
31 DJ Euro Stoxx June, 2004 $ 1,021,191 $ 11,795
6 FTSE 100 Index June, 2004 478,219 11,705
3 TOPIX Index June, 2004 321,327 15,648
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
38
<Page>
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS
<Table>
<Caption>
NET UNREALIZED
SETTLEMENT SETTLEMENT VALUE AT APPRECIATION
CONTRACTS TO BUY DATE VALUE (USD) 4/30/04 (USD) (DEPRECIATION) (USD)
- ------------------------------------------------------------------------------------------------------------------
3,053,529 AUD 5/25/04 $ 2,302,820 $ 2,199,488 $ (103,332)
249,588 AUD for
1,449,080 HKD 5/25/04 185,873** 179,781** (6,092)
758,527 CHF 5/25/04 599,151 585,297 (13,854)
14,114,276 DKK 5/25/04 2,390,710 2,272,124 (118,586)
1,610,000 EUR 5/25/04 1,940,488 1,928,861 (11,627)
1,210,000 EUR for
160,600,124 JPY 5/25/04 1,456,272** 1,449,641** (6,631)
440,000 EUR for
297,614 GBP 5/25/04 526,711** 527,142** 431
1,997,937 GBP 5/25/04 3,686,615 3,535,909 (150,706)
1,449,080 HKD 5/25/04 186,841 185,873 (968)
523,597,476 JPY 5/25/04 4,840,306 4,747,819 (92,487)
24,046,970 JPY for
190,000 EUR 5/25/04 227,630** 218,050** (9,580)
1,326,085 NOK 5/25/04 189,877 193,211 3,334
5,965,476 SEK 5/25/04 792,883 780,392 (12,491)
419,825 SGD 5/25/04 250,000 246,806 (3,194)
- ------------------------------------------------------------------------------------------------------------------
$ 19,576,177 $ 19,050,394 $ (525,783)
- ------------------------------------------------------------------------------------------------------------------
<Caption>
NET UNREALIZED
SETTLEMENT SETTLEMENT VALUE AT APPRECIATION
CONTRACTS TO SELL DATE VALUE (USD) 4/30/04 (USD) (DEPRECIATION) (USD)
- ------------------------------------------------------------------------------------------------------------------
418,640 AUD 5/25/04 $ 308,048 $ 301,552 $ 6,496
2,013,219 CHF 5/25/04 1,609,824 1,553,446 56,378
7,022,650 EUR 5/25/04 8,624,634 8,413,486 211,148
1,847,417 GBP 5/25/04 3,313,865 3,269,521 44,344
197,212,333 JPY 5/25/04 1,792,988 1,788,260 4,728
4,283,041 SEK 5/25/04 588,265 560,299 27,966
1,983,354 SGD 5/25/04 1,176,995 1,165,972 11,023
- ------------------------------------------------------------------------------------------------------------------
$ 17,414,619 $ 17,052,536 $ 362,083
- ------------------------------------------------------------------------------------------------------------------
</Table>
** For cross-currency exchange contracts, the settlement value is the market
value at 4/30/04 of the currency being sold, and the value at 4/30/04 is
the market value at 4/30/04 of the currency being bought.
SEE NOTES TO FINANCIAL STATEMENTS.
39
<Page>
JPMORGAN FLEMING INTERNATIONAL OPPORTUNITIES FUND
PORTFOLIO OF INVESTMENTS AS OF APRIL 30, 2004 (Unaudited)
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- 99.5%
COMMON STOCKS -- 99.5%
AUSTRALIA -- 1.6%
331,342 News Corp., LTD + $ 2,790,637
719,595 Southern Pacific
Petroleum NL* (i) (f) + 0
--------------------------------------------------------------------
2,790,637
--------------------------------------------------------------------
BRAZIL -- 1.2%
84,705 Petroleo Brasileiro SA
(Preferred), ADR + 2,113,390
FINLAND -- 0.7%
88,714 Nokia OYJ (f) + 1,240,778
FRANCE -- 12.0%
19,240 Accor SA (f) + 805,000
80,966 BNP Paribas (f) + 4,823,865
23,251 Cap Gemini SA (f) + 812,999
57,895 Peugeot SA (f) + 3,094,068
29,650 Societe Television
Francaise 1 (f) (l) + 909,204
10,293 Technip SA* (f) (l) + 1,413,636
106,793 Thomson SA (f) + 2,041,528
25,414 Total SA (f) + 4,677,966
86,591 Veolia Environnement (f) + 2,294,020
--------------------------------------------------------------------
20,872,286
--------------------------------------------------------------------
GERMANY -- 4.1%
154,381 Bayerische Hypo-und
Vereinsbank AG* (f) + 2,647,441
36,449 Schering AG (f) (l) + 1,902,361
127,038 TUI AG (f) (l) + 2,644,551
--------------------------------------------------------------------
7,194,353
--------------------------------------------------------------------
GREECE -- 0.2%
14,400 Public Power Corp. (f) + 364,196
HONG KONG -- 4.0%
1,205,000 Cathay Pacific Airways LTD (f) + 2,163,193
420,000 Henderson Land
Development Co., LTD (f) + 1,868,204
1,065,000 Wharf Holdings LTD (f) + 2,903,642
--------------------------------------------------------------------
6,935,039
--------------------------------------------------------------------
INDIA -- 2.4%
16,615 Infosys Technologies LTD,
ADR + $ 1,345,317
110,327 Reliance Industries LTD,
GDR, # + 2,840,921
--------------------------------------------------------------------
4,186,238
--------------------------------------------------------------------
INDONESIA -- 0.3%
25,660 Telekomunikasi Indonesia
TBK PT, ADR + 464,446
IRELAND -- 0.7%
84,266 Allied Irish Banks PLC (f) + 1,212,250
ITALY -- 0.7%
60,076 ENI-Ente Nazionale
Idrocarburi SPA (f) + 1,220,498
JAPAN -- 18.8%
23,200 Aiful Corp. (f) + 2,316,154
162,600 Asahi Breweries LTD (f) + 1,816,041
25,000 Canon, Inc. (f) + 1,296,475
482,000 Daiwa Securities Group, Inc. (f) + 3,554,577
42,400 Fujisawa
Pharmaceutical Co., LTD (f) + 979,107
566,000 Fujitsu LTD (f) + 3,858,132
21,000 Ito-Yokado Co., LTD (f) + 859,668
758,000 Kubota Corp. (f) + 3,248,205
30,800 Kyocera Corp. (f) + 2,526,537
162,000 Mitsui Chemicals, Inc. (f) + 846,101
19,100 Nintendo Co., LTD (f) (I) + 1,780,086
551 Nippon Telegraph &
Telephone Corp. (f) + 2,869,844
50,000 Ricoh Co., LTD (f) + 982,546
7,800 Rohm Co., LTD (f) + 955,950
73,900 Sony Corp. (f) + 2,826,456
68,200 Suzuki Motor Corp. (f) + 1,067,313
199,000 Toshiba Corp. (f) + 896,721
--------------------------------------------------------------------
32,679,913
--------------------------------------------------------------------
RUSSIA -- 1.0%
38,150 YUKOS, ADR + 1,709,120
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
40
<Page>
SEMI-ANNUAL REPORT APRIL 30 2004
PORTFOLIO OF INVESTMENTS AS OF APRIL 30, 2004 (Unaudited)
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
SINGAPORE -- 2.2%
105,000 City Developments LTD (f) + $ 370,884
192,000 DBS Group Holdings LTD (f) + 1,603,780
1,358,000 Singapore
Telecommunications LTD (f) + 1,857,245
--------------------------------------------------------------------
3,831,909
--------------------------------------------------------------------
SOUTH KOREA -- 3.3%
87,672 POSCO, ADR + 2,695,914
4,940 Samsung
Electronics Co., LTD (f) + 2,315,063
6,320 Samsung SDI Co., LTD (f) + 797,807
--------------------------------------------------------------------
5,808,784
--------------------------------------------------------------------
SPAIN -- 1.5%
21,997 Acerinox SA (f) + 1,130,313
78,426 Iberdrola SA (f) + 1,540,885
--------------------------------------------------------------------
2,671,198
--------------------------------------------------------------------
SWEDEN -- 3.2%
62,206 Atlas Copco AB, Class A (f) (l) + 2,165,928
98,652 SKF AB, Ser. B (l) + 3,383,336
--------------------------------------------------------------------
5,549,264
--------------------------------------------------------------------
SWITZERLAND -- 10.8%
51,707 Adecco SA,* (f) (l) + 2,277,325
10,873 Ciba Specialty
Chemicals AG (f) + 753,580
127,767 Compagnie Financiere
Richemont AG, Class A (f) + 3,261,570
20,262 Lonza Group AG, (f) (l) + 976,670
31,815 Roche Holding AG, (f) (l) + 3,323,867
1,554 Synthes-Stratec, Inc., (f) + 1,686,512
26,796 UBS AG, (f) (l) + 1,897,270
29,659 Zurich Financial Services AG, (f) + 4,656,317
--------------------------------------------------------------------
18,833,111
--------------------------------------------------------------------
TAIWAN -- 1.7%
50,457 Hon Hai Precision Industry
Co., GDR + 463,700
473,861 United Microelectronics
Corp., ADR* + 2,464,077
--------------------------------------------------------------------
2,927,777
--------------------------------------------------------------------
THAILAND -- 0.4%
289,100 Advanced Info Service PCL (f) + $ 704,113
THE NETHERLANDS -- 5.0%
212,649 Aegon NV (f) (l) + 2,750,241
23,315 Akzo Nobel NV (f) (l) + 846,635
53,476 ING Groep NV (f) + 1,133,624
429,807 Koninklijke KPN NV (f) (I) + 3,080,343
34,241 Koninklijke Philips
Electronics NV (f) + 919,898
--------------------------------------------------------------------
8,730,741
--------------------------------------------------------------------
UNITED KINGDOM -- 23.7%
73,612 AstraZeneca PLC (f) + 3,456,785
82,359 Barclays PLC (f) + 739,220
135,801 BBA Group PLC (f) + 610,541
45,522 British American
Tobacco PLC (f) + 690,877
242,338 Centrica PLC (f) + 935,887
261,617 Diageo PLC (f) + 3,499,252
312,149 Dixons Group PLC (f) + 855,375
117,247 Hays PLC (f) + 244,480
332,121 HSBC Holdings PLC (f) + 4,734,515
47,215 Imperial Tobacco Group PLC (f) + 1,041,933
62,968 Man Group PLC (f) + 1,878,236
290,179 Prudential PLC (f) + 2,266,235
56,389 Reckitt Benckiser PLC (f) + 1,462,476
235,239 Royal Bank of
Scotland Group PLC (f) + 7,026,906
138,753 Scottish Power PLC (f) + 941,846
650,324 Tesco PLC (f) (l) + 2,856,780
97,629 Unilever PLC (f) + 918,071
2,713,316 Vodafone Group PLC (f) + 6,562,520
42,230 WPP Group PLC (f) + 414,523
--------------------------------------------------------------------
41,136,458
--------------------------------------------------------------------
Total Common Stocks 173,176,499
(Cost $141,698,708)
--------------------------------------------------------------------
SHORT-TERM INVESTMENT -- 0.5%
MONEY MARKET FUND -- 0.5%
800,294 JPMorgan Prime Money
Market Fund (a) 800,294
(Cost $800,294)
--------------------------------------------------------------------
TOTAL INVESTMENTS -- 100.0% $ 173,976,793
(COST $142,499,002)
--------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
41
<Page>
<Table>
<Caption>
SHARES COLLATERAL INVESTMENTS VALUE
- --------------------------------------------------------------------------------------
MONEY MARKET FUNDS (c)
723,643 Merrill Lynch Premier Fund $ 723,643
504,305 Aim Short Term Investment Co. 504,305
--------------------------------------------------------------------
$ 1,227,948
--------------------------------------------------------------------
<Caption>
PRINCIPAL
AMOUNT
(USD)
- --------------------------------------------------------------------------------------
REPURCHASE AGREEMENT (c)
$ 18,000,000 Credit Suisse First Boston,
1.04%, due 05/03/04,
dated 04/30/04, proceeds
$18,001,563, secured by
U.S. Government Agency
Securities $ 18,000,000
--------------------------------------------------------------------
$ 19,227,948
--------------------------------------------------------------------
</Table>
SUMMARY OF INVESTMENTS BY INDUSTRY, APRIL 30, 2004
<Table>
<Caption>
INDUSTRY % OF INVESTMENT SECURITIES
- ------------------------------------------------------------------------------------------------------------------
Banking 14.2%
Telecommunications 9.6
Electronics/Electrical Equipment 7.6
Insurance 6.2
Oil & Gas 5.6
Pharmaceuticals 5.6
Food/Beverage Products 5.2
Financial Services 4.5
Chemicals 3.6
Utilities 3.5
Machinery & Engineering Equipment 3.1
Computers/Computer Hardware 3.0
Retailing 2.9
Automotive 2.4
Steel 2.2
Multi-Media 2.1
Industrial Components 1.9
Consumer Products 1.8
Diversified 1.7
Entertainment/Leisure 1.5
Business Services 1.4
Semi-Conductors 1.4
Office/Business Equipment 1.3
Real Estate 1.3
Airlines 1.2
Toys & Games 1.0
Health Care/Health Care Services 1.0
Other (below 1%) 3.2
- ------------------------------------------------------------------------------------------------------------------
Total 100.0%
- ------------------------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
42
<Page>
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS
<Table>
<Caption>
NET UNREALIZED
SETTLEMENT SETTLEMENT VALUE AT APPRECIATION
CONTRACTS TO BUY DATE VALUE (USD) 4/30/04 (USD) (DEPRECIATION) (USD)
- ---------------------------------------------------------------------------------------------------------------
9,921,825 AUD 5/6/04 $ 7,449,427 $ 7,163,756 $ (285,671)
7,353,589 AUD 8/12/04 5,243,183 5,246,622 3,440
10,920,081 CHF 5/6/04 8,428,028 8,422,479 (5,549)
1,200,000 EUR for
11,638,080 HKD 5/6/04 1,492,167** 1,438,420** (53,747)
2,960,000 EUR for
389,465,040 JPY 5/6/04 3,529,425** 3,548,103** 18,677
1,540,000 EUR for
1,040,447 GBP 5/6/04 1,844,723** 1,845,972** 1,249
11,516,328 EUR 5/6/04 14,164,644 13,804,431 (360,213)
5,189,328 EUR 8/12/04 6,178,385 6,205,139 26,755
230,000 GBP 5/5/04 409,055 407,831 (1,224)
7,752,026 GBP 5/6/04 14,106,521 13,744,420 (362,101)
2,382,269 GBP 8/12/04 4,201,370 4,186,666 (14,704)
54,702,678 HKD 5/6/04 7,014,121 7,013,662 (459)
120,112,680 JPY for
1,390,000 CHF 5/6/04 1,072,084** 1,088,490** 16,406
153,081,940 JPY for
1,210,000 EUR 5/6/04 1,450,407** 1,387,265** (63,142)
1,220,466,680 JPY 5/6/04 11,340,000 11,060,161 (279,839)
749,748,699 JPY 8/12/04 6,883,222 6,817,843 (65,380)
22,609,005 SEK 5/6/04 2,971,422 2,959,331 (12,091)
6,864,554 SGD 5/6/04 4,028,430 4,034,626 6,196
- ---------------------------------------------------------------------------------------------------------------
$ 101,806,614 $ 100,375,217 $ (1,431,397)
- ---------------------------------------------------------------------------------------------------------------
<Caption>
NET UNREALIZED
SETTLEMENT SETTLEMENT VALUE AT APPRECIATION
CONTRACTS TO SELL DATE VALUE (USD) 4/30/04 (USD) (DEPRECIATION) (USD)
- ---------------------------------------------------------------------------------------------------------------
9,921,825 AUD 5/6/04 $ 7,236,279 $ 7,163,756 $ 72,523
9,530,081 CHF 5/6/04 7,594,036 7,350,395 243,641
9,653,085 CHF 8/12/04 7,472,296 7,463,795 8,501
16,006,328 EUR 5/6/04 19,304,599 19,186,519 118,080
2,240,000 EUR 8/12/04 2,648,531 2,678,480 (29,949)
6,711,579 GBP 5/6/04 12,043,606 11,899,697 143,909
1,188,998 GBP 8/12/04 2,100,961 2,089,578 11,383
43,064,598 HKD 5/6/04 5,551,452 5,521,494 29,958
46,539,644 HKD 8/12/04 5,978,962 5,978,332 630
1,104,196,260 JPY 5/6/04 10,095,972 10,006,490 89,482
99,832,880 JPY 8/12/04 920,000 907,831 12,169
22,609,005 SEK 5/6/04 3,087,932 2,959,331 128,601
13,043,805 SEK 8/12/04 1,704,961 1,702,873 2,088
6,864,554 SGD 5/6/04 4,062,055 4,034,626 27,429
4,249,830 SGD 8/12/04 2,501,739 2,501,053 686
- ---------------------------------------------------------------------------------------------------------------
$ 92,303,381 $ 91,444,250 $ 859,131
- ---------------------------------------------------------------------------------------------------------------
</Table>
** For cross-currency exchange contracts, the settlement value is the market
value at 4/30/04 of the currency being sold, and the value at 4/30/04 is the
market value at 4/30/04 of the currency being bought.
SEE NOTES TO FINANCIAL STATEMENTS.
43
<Page>
JPMORGAN FLEMING EMERGING MARKETS EQUITY FUND
PORTFOLIO OF INVESTMENTS AS OF APRIL 30, 2004 (Unaudited)
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- 100.0%
COMMON STOCKS -- 97.9%
ARGENTINA -- 2.5%
96,201 Quilmes Industrial SA, ADR* $ 1,754,706
BRAZIL -- 12.6%
99,321 Cia de Bebidas das Americas,
ADR 1,863,263
29,787 Cia Vale do Rio Doce, ADR 1,164,374
61,376 Empresa Brasileira de
Aeronautica SA, ADR 1,583,501
23,611 Petroleo Brasileiro SA
(Common), ADR 682,358
87,083 Petroleo Brasileiro SA
(Preferred), ADR 2,172,721
74,517 Uniao de Bancos Brasileiros SA,
ADR 1,460,533
--------------------------------------------------------------------
8,926,750
--------------------------------------------------------------------
CHILE -- 2.0%
127,400 Cia de Telecomunicaciones de
Chile SA, ADR 1,445,990
CHINA -- 2.6%
5,241,771 PICC Property &
Casualty Co., LTD, Class H* 1,831,307
EGYPT -- 3.4%
123,484 Orascom Telecom Holding SAE* 2,372,788
HUNGARY -- 2.3%
16,017 Gedeon Richter LTD, ADR, # 1,629,030
INDIA -- 3.3%
18,118 Dr. Reddy's Laboratories LTD, ADR 355,113
76,999 Reliance Industries LTD, GDR, # 1,982,724
--------------------------------------------------------------------
2,337,837
--------------------------------------------------------------------
INDONESIA -- 6.7%
1,801,000 Bank Central Asia TBK PT (f) 795,454
8,858,500 Bank Rakyat Indonesia* 1,740,026
122,109 Telekomunikasi Indonesia
TBK PT, ADR 2,210,172
--------------------------------------------------------------------
4,745,652
--------------------------------------------------------------------
MALAYSIA -- 2.1%
5,648,000 Star Cruises LTD* $ 1,480,047
MEXICO -- 5.5%
410,875 Alfa SA de CV, Class A (l) 1,351,118
50,605 America Movil SA de CV, Ser. L,
ADR 1,710,449
34,566 Grupo Elektra SA de CV, ADR 815,412
--------------------------------------------------------------------
3,876,979
--------------------------------------------------------------------
PHILIPPINES -- 3.0%
19,014,281 SM Prime Holdings, Inc. (f) 2,097,604
POLAND -- 0.5%
32,211 Agora SA* (f) 381,690
RUSSIA -- 4.5%
13,106 Mobile Telesystems, ADR 1,414,924
19,587 Vimpel-Communications, ADR* 1,758,129
--------------------------------------------------------------------
3,173,053
--------------------------------------------------------------------
SOUTH AFRICA -- 10.6%
249,027 Alexander Forbes LTD 360,496
202,090 Discovery Holdings LTD* 402,364
1,054,002 FirstRand LTD (f) 1,450,406
189,856 Nedcor LTD 1,632,386
131,820 Sappi LTD (f) 1,781,983
1,517,824 Steinhoff International Holdings
LTD 1,887,393
--------------------------------------------------------------------
7,515,028
--------------------------------------------------------------------
SOUTH KOREA -- 21.8%
40,820 Daelim Industrial Co., LTD (f) 1,503,291
46,106 Kookmin Bank* (f) 1,704,605
56,850 KT&G Corp. 1,443,840
15,400 Kumgang Korea
Chemical Co., LTD (f) 1,565,390
12,375 Samsung Electronics Co., LTD (f) 5,799,373
6,430 Shinsegae Co., LTD (f) 1,441,025
94,963 SK Telecom Co., LTD, ADR 1,918,252
--------------------------------------------------------------------
15,375,776
--------------------------------------------------------------------
TAIWAN -- 11.3%
348,020 Hon Hai Precision
Industry Co., LTD (f) 1,356,800
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
44
<Page>
SEMI-ANNUAL REPORT APRIL 2004
PORTFOLIO OF INVESTMENTS AS OF APRIL 30, 2004 (Unaudited)
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
TAIWAN -- CONTINUED
813,000 Quanta Computer, Inc. (f) $ 1,700,507
1,095,542 Synnex Technology
International Corp. (f) 1,681,234
999,399 Taiwan Semiconductor
Manufacturing Co., LTD* (f) 1,697,764
981,785 Tong Yang Industry (f) 1,566,262
--------------------------------------------------------------------
8,002,567
--------------------------------------------------------------------
TURKEY -- 3.2%
62,084,000 Anadolu Efes Biracilik Ve Malt
Sanayii AS 870,970
647,756,000 Yapi ve Kredi Bankasi AS* (f) 1,371,608
--------------------------------------------------------------------
2,242,578
--------------------------------------------------------------------
Total Common Stocks 69,189,382
(Cost $66,934,712)
--------------------------------------------------------------------
PREFERRED STOCKS -- 1.9%
BRAZIL -- 1.9%
12,172,028 Banco Itau Holding Financeira SA 965,667
383,694 Itausa Investimentos Itau SA 371,065
--------------------------------------------------------------------
Total Preferred Stocks 1,336,732
(Cost $1,044,678)
--------------------------------------------------------------------
RIGHTS -- 0.2%
BRAZIL -- 0.0% ^
7,050 Itausa Investimentos Itau SA,
expires 5/28/04* $ 6,818
SOUTH AFRICA -- 0.2%
79,106 Nedcor LTD, expires 5/7/04* 169,328
--------------------------------------------------------------------
Total Rights 176,146
(Cost $0)
--------------------------------------------------------------------
TOTAL INVESTMENTS -- 100.0% $ 70,702,260
(COST $67,979,390)
--------------------------------------------------------------------
<Caption>
SHARES COLLATERAL INVESTMENTS VALUE
- --------------------------------------------------------------------------------------
MONEY MARKET FUND (c)
1,500,000 Aim Short Term Investment Co. $ 1,500,000
--------------------------------------------------------------------
$ 1,500,000
--------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
45
<Page>
SUMMARY OF INVESTMENTS BY INDUSTRY, APRIL 30, 2004
<Table>
<Caption>
INDUSTRY % OF INVESTMENT SECURITIES
- ------------------------------------------------------------------------------------------------------------------
Telecommunications 14.8%
Banking 13.9
Electronics/Electrical Equipment 8.2
Computers/Computer Hardware 6.7
Food/Beverage Products 6.4
Chemicals 5.0
Oil & Gas 4.0
Telecommunications Equipment 3.4
Retailing 3.2
Insurance 3.2
Financial Services 3.1
Real Estate 3.0
Pharmaceuticals 2.8
Consumer Products 2.7
Paper/Forest Products 2.5
Semi-Conductors 2.4
Aerospace 2.2
Automotive 2.2
Construction 2.1
Entertainment/Leisure 2.1
Agricultural Production/Services 2.0
Diversified 1.9
Metals/Mining 1.6
Multi-Media 0.6
- ------------------------------------------------------------------------------------------------------------------
Total 100.0%
- ------------------------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
46
<Page>
JPMORGAN FLEMING ASIA EQUITY FUND
PORTFOLIO OF INVESTMENTS AS OF APRIL 30, 2004 (Unaudited)
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- 100.0%
COMMON STOCKS -- 99.7%
CHINA -- 4.3%
704,000 Aluminium Corp. of
China LTD (f) $ 400,402
1,446,000 China Petroleum & Chemical
Corp., Class H (f) 497,014
1,644,000 China Telecom Corp., LTD,
Class H (f) 484,309
894,000 PetroChina Co., LTD, Class H (f) 386,176
250,000 Yanzhou Coal Mining Co., LTD (f) 232,530
--------------------------------------------------------------------
2,000,431
--------------------------------------------------------------------
HONG KONG (CHINA) -- 20.8%
170,000 Bank of East Asia LTD (f) 493,430
150,000 Cheung Kong Holdings LTD (f) 1,137,819
464,000 China Merchants Holdings
International Co., LTD (f) 541,894
400,000 China Mobile Hong Kong LTD (f) 1,049,899
1,200,000 CITIC International Financial
Holdings LTD (f) 476,563
903,000 CNOOC LTD (f) 324,641
356,000 Cosco Pacific LTD (f) 452,116
150,000 Esprit Holdings LTD (f) 613,083
75,000 Hutchison Whampoa LTD (f) 500,354
500,000 Hysan Development Co., LTD (f) 819,903
250,000 Li & Fung LTD (f) 385,451
1,513,200 New World China Land LTD (f) 333,335
125,000 Sun Hung Kai Properties LTD (f) 1,064,988
1,800,000 TCL International Holdings LTD (f) 659,226
750,000 Wheelock & Co., LTD (f) 906,646
--------------------------------------------------------------------
9,759,348
--------------------------------------------------------------------
INDIA -- 3.6%
60,000 Gujarat Ambuja Cements, GDR 435,600
30,000 Larsen & Toubro LTD, GDR 735,000
20,000 Reliance Industries LTD, GDR, # 515,000
--------------------------------------------------------------------
1,685,600
--------------------------------------------------------------------
INDONESIA -- 5.8%
750,000 Astra International TBK PT (f) 483,034
3,982,500 Bank Mandiri Persero TBK PT (f) 651,610
11,147,000 Bumi Resources TBK PT (f) 598,912
276,000 Gudang Garam TBK PT (f) 455,309
570,500 Telekomunikasi Indonesia
TBK PT (f) 517,971
--------------------------------------------------------------------
2,706,836
--------------------------------------------------------------------
MALAYSIA -- 7.2%
900,000 Commerce Asset Holdings
BHD (f) $ 1,179,601
120,000 Genting BHD (f) 519,545
220,000 IOI Corp., BHD (f) 523,026
200,000 Malaysia International
Shipping Corp., BHD (f) 659,399
200,000 Resorts World BHD (f) 522,816
--------------------------------------------------------------------
3,404,387
--------------------------------------------------------------------
SINGAPORE -- 6.3%
750,000 CapitaLand LTD (f) 705,647
150,000 City Developments LTD (f) 529,834
92,000 DBS Group Holdings LTD (f) 768,478
180,000 Keppel Corp., LTD (f) 749,454
20,000 Venture Corp., LTD (f) 222,542
--------------------------------------------------------------------
2,975,955
--------------------------------------------------------------------
SOUTH KOREA -- 26.1%
55,200 Daishin Securities Co., LTD* (f) 737,940
9,370 Halla Climate Control (f) 750,446
56,500 Hana Bank (f) 1,207,941
28,000 Hyundai Heavy Industries (f) 638,419
10,000 Kookmin Bank* (f) 369,714
31,000 Korea Electric Power Corp. (f) 504,738
320 Lotte Chilsung
Beverage Co., LTD (f) 188,098
9,600 NCSoft Corp.* (f) 677,507
10,200 POSCO (f) 1,240,668
180 S-Oil Corp. 7,179
9,750 Samsung Electronics Co., LTD (f) 4,569,203
4,000 SK Telecom Co., LTD (f) 674,676
100,000 Ssangyong Motor Co.* (f) 720,728
--------------------------------------------------------------------
12,287,257
--------------------------------------------------------------------
TAIWAN -- 19.3%
900,000 Bank of Kaohsiung (f) 588,128
650,000 Cathay Financial
Holding Co., LTD (f) 1,143,211
450,000 Chinatrust Financial
Holding Co. (f) 479,602
600,000 CMC Magnetics Corp.* (f) 493,484
178,000 Hon Hai Precision Industry Co.,
LTD (f) 693,955
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
47
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
TAIWAN -- CONTINUED
1,000,000 Hung Poo Real Estate
Development Corp.* (f) $ 685,703
100,000 MediaTek, Inc. (f) 947,456
250,000 Quanta Computer, Inc. (f) 522,911
300,000 Synnex Technology
International Corp. (f) 460,384
624,800 Taiwan Semiconductor
Manufacturing Co., LTD* (f) 1,061,401
600,000 United
Microelectronics Corp.* (f) 533,244
1,049,000 Vanguard International
Semiconductor Corp.* (f) 468,754
900,000 Winbond Electronics Corp.* (f) 466,701
955,000 Yageo Corp.* (f) 514,316
--------------------------------------------------------------------
9,059,250
--------------------------------------------------------------------
THAILAND -- 6.3%
331,400 Bangkok Bank PCL* (f) $ 803,709
749,000 Kasikornbank PCL* (f) 898,558
120,000 Siam Cement PCL (f) 639,809
801,400 Thoresen Thai Agencies PCL 640,960
--------------------------------------------------------------------
2,983,036
--------------------------------------------------------------------
Total Common Stocks 46,862,100
(Cost $44,773,420)
--------------------------------------------------------------------
WARRANT -- 0.3%
THAILAND -- 0.3%
170,000 Thoresen Thai Agencies PCL* 131,717
(Cost $32,500)
--------------------------------------------------------------------
TOTAL INVESTMENTS -- 100.0% $ 46,993,817
(COST $44,805,920)
--------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
48
<Page>
SEMI-ANNUAL REPORT APRIL 30 2004
SUMMARY OF INVESTMENTS BY INDUSTRY, APRIL 30, 2004
<Table>
<Caption>
INDUSTRY % OF INVESTMENT SECURITIES
- --------------------------------------------------------------------------------
Banking 16.8%
Real Estate 13.2
Electronics/Electrical Equipment 11.3
Semi-Conductors 7.4
Computers/Computer Hardware 4.6
Consumer Products 3.8
Telecommunications 3.7
Diversified 2.7
Steel 2.6
Metals/Mining 2.6
Oil & Gas 2.6
Insurance 2.4
Retailing 2.3
Construction Materials 2.3
Telecommunications Equipment 2.1
Agricultural Production/Services 2.1
Transportation 1.6
Financial Services 1.6
Machinery & Engineering Equipment 1.6
Automotive 1.5
Internet Services/Software 1.4
Shipping/Transportation 1.4
Construction 1.4
Consumer Services 1.2
Entertainment/Leisure 1.1
Hotels/Other Lodging 1.1
Chemicals 1.1
Utilities 1.1
Business Services 1.0
Food/Beverage Products 0.4
- --------------------------------------------------------------------------------
Total 100.0%
- --------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
49
<Page>
JPMORGAN FLEMING INTERNATIONAL EQUITY FUND
PORTFOLIO OF INVESTMENTS AS OF APRIL 30, 2004 (Unaudited)
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- 100.0%
COMMON STOCKS -- 99.9%
AUSTRALIA -- 1.9%
998,100 BHP Billiton LTD (f) $ 8,163,459
599,669 News Corp., LTD (f) (l) 5,465,748
518,178 Woodside Petroleum LTD (f) 6,171,262
--------------------------------------------------------------------
19,800,469
--------------------------------------------------------------------
BELGIUM -- 1.9%
685,520 Dexia (f) 11,186,035
380,090 Fortis (f) (l) 8,215,210
--------------------------------------------------------------------
19,401,245
--------------------------------------------------------------------
BRAZIL -- 0.7%
147,447 Cia Vale do Rio Doce, ADR 6,708,839
FINLAND -- 1.3%
980,656 Nokia OYJ (f) 13,715,720
FRANCE -- 11.4%
632,054 AXA (f) 13,118,455
263,546 BNP Paribas (f) (l) 15,701,780
348,322 Compagnie de
Saint-Gobain (f) 17,440,780
225,072 Dassault Systemes SA (f) 9,081,722
38,391 Imerys SA (f) 8,701,683
111,000 Lafarge SA (f) 9,192,460
234,227 Total SA (f) 43,114,268
--------------------------------------------------------------------
116,351,148
--------------------------------------------------------------------
GERMANY -- 6.6%
129,830 BASF AG (f) (l) 6,659,583
342,692 Bayerische Motoren
Werke AG (f) (l) 14,623,711
139,383 Deutsche Bank AG (f) 11,388,485
524,514 Deutsche Post AG (f) 11,491,645
168,080 Schering AG (f) (l) 8,772,500
198,001 Siemens AG (f) 14,105,960
--------------------------------------------------------------------
67,041,884
--------------------------------------------------------------------
HONG KONG -- 0.7%
881,000 Cheung Kong Holdings LTD (f) 6,682,795
IRELAND -- 0.8%
675,500 Bank of Ireland (f) 8,192,413
ITALY -- 5.0%
1,947,079 ENI-Ente Nazionale
Idrocarburi SPA (f) $ 39,556,670
5,070,945 Telecom Italia SPA* (l) 11,767,575
--------------------------------------------------------------------
51,324,245
--------------------------------------------------------------------
JAPAN -- 20.5%
396,000 Canon, Inc. (f) 20,536,171
417,800 Chugai Pharmaceutical
Co., LTD (f) 6,308,381
379,000 Daikin Industries LTD (f) 8,769,938
127,900 Fanuc LTD (f) 7,698,270
43,000 Hirose Electric Co., LTD (f) 4,859,579
351,600 Honda Motor Co., LTD (f) 14,012,007
125,200 Hoya Corp. (f) 13,388,259
377,000 Kao Corp. (f) 8,946,578
516,000 Matsushita Electric
Industrial Co., LTD (f) 7,542,946
679,000 Mitsubishi Corp. (f) 6,396,136
1,310 Mitsubishi Tokyo Financial
Group, Inc. (f) 11,523,832
1,786,000 Nikko Cordial Corp. (f) 9,937,925
84,200 Nintendo Co., LTD (f) 7,847,292
1,532 Nippon Telegraph &
Telephone Corp. (f) 7,979,311
932 Nippon Unipac Holding (f) 4,581,345
3,073 NTT DoCoMo, Inc. (f) 6,019,225
60 ORIX Corp. (f) 6,287
212,500 Secom Co., LTD (f) 8,983,659
435,000 Sharp Corp. (f) (l) 7,751,789
188,800 Shin-Etsu Chemical
Co., LTD (f) 7,508,303
70,600 SMC Corp. (f) 7,971,403
1,383,000 Sumitomo Corp. (f) 10,495,934
134,400 Takeda Chemical
Industries LTD (f) 5,373,211
101,910 Takefuji Corp. (f) (l) 6,429,347
246,700 Yamanouchi Pharmaceutical
Co., LTD (f) 8,158,358
--------------------------------------------------------------------
209,025,486
--------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
50
<Page>
SEMI-ANNUAL REPORT APRIL 30 2004
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
MEXICO -- 0.5%
111,300 Fomento Economico
Mexicano SA de CV, ADR $ 4,866,036
RUSSIA -- 0.5%
106,199 YUKOS, ADR 4,757,715
SOUTH KOREA -- 2.0%
163,370 POSCO, ADR 5,023,628
31,350 Samsung Electronics Co.,
LTD, GDR 7,315,111
17,110 Samsung Electronics Co.,
LTD, GDR, # 4,061,137
217,430 SK Telecom Co., LTD, ADR 4,392,086
--------------------------------------------------------------------
20,791,962
--------------------------------------------------------------------
SPAIN -- 2.4%
308,786 Altadis SA (f) (l) 8,694,872
278,703 Banco Popular
Espanol (f) (l) 15,328,342
--------------------------------------------------------------------
24,023,214
--------------------------------------------------------------------
SWITZERLAND -- 10.1%
182,100 Adecco SA* (f) 8,020,206
217,230 Holcim LTD (f) 11,157,329
69,340 Nestle SA (f) (l) 17,489,274
483,170 Novartis AG (f) 21,566,566
185,390 Roche Holding AG (f) (l) 19,368,591
197,900 UBS AG (f) (l) 14,012,155
74,969 Zurich Financial Services
AG (f) (l) 11,769,766
--------------------------------------------------------------------
103,383,887
--------------------------------------------------------------------
THE NETHERLANDS -- 5.5%
670,385 ABN AMRO Holding NV (f) (l) 14,424,066
408,778 ING Groep NV (f) (l) 8,665,577
517,403 Koninklijke Philips
Electronics NV (f) (l) 13,900,237
678,830 Reed Elsevier NV (f) (l) 9,498,184
554,680 Wolters Kluwer NV (f) (l) 9,283,991
--------------------------------------------------------------------
55,772,055
--------------------------------------------------------------------
UNITED KINGDOM -- 28.1%
1,172,860 Allied Domecq PLC (f) $ 9,250,246
818,536 Aviva PLC (f) 7,950,832
2,088,212 Barclays PLC (f) 18,742,923
2,298,130 BG Group PLC (f) 13,238,554
2,143,940 Centrica PLC (f) 8,279,698
1,080,715 Compass Group PLC (f) 6,770,751
718,462 GKN PLC (f) 2,909,696
1,236,416 GlaxoSmithKline PLC (f) 25,482,497
2,083,200 HSBC Holdings PLC (Hong
Kong Registered Shares) (f) 30,165,284
703,245 Intercontinental Hotels
Group PLC (f) 6,567,897
1,862,430 Kingfisher PLC (f) 9,313,113
2,627,021 Morrison (WM.)
Supermarkets (f) 11,133,943
1,401,286 National Grid Transco PLC (f) 10,613,088
625,750 Reckitt Benckiser PLC (f) 16,229,126
463,420 Royal Bank of Scotland
Group PLC (f) 13,842,981
633,187 Schroders PLC (Non-Voting
Shares) (f) 6,254,885
110,000 Schroders PLC (f) 1,226,999
516,060 Standard Chartered PLC (f) 7,865,510
4,344,103 Tesco PLC (f) 19,083,018
841,906 The British Land Co., PLC (f) 9,674,889
14,861,185 Vodafone Group PLC (f) 35,943,781
1,143,630 Wolseley PLC (f) 16,671,260
--------------------------------------------------------------------
287,210,971
--------------------------------------------------------------------
Total Common Stocks 1,019,050,084
(Cost $874,687,147)
--------------------------------------------------------------------
<Caption>
PRINCIPAL
AMOUNT
(USD)
- --------------------------------------------------------------------------------------
CONVERTIBLE BOND -- 0.1%
FRANCE -- 0.1%
$ 31,890 AXA SA, 0.00%, 12/21/04* 639,174
(Cost $472,793)
--------------------------------------------------------------------
TOTAL INVESTMENTS -- 100.0% $ 1,019,689,258
(COST $875,159,940)
--------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
51
<Page>
<Table>
<Caption>
SHARES COLLATERAL INVESTMENTS VALUE
- --------------------------------------------------------------------------------------
MONEY MARKET FUNDS (c)
22,844,685 Merrill Lynch Premier Fund $ 22,844,685
12,516,435 Aim Short Term
Investment Co. 12,516,435
--------------------------------------------------------------------
$ 35,361,120
--------------------------------------------------------------------
<Caption>
PRINCIPAL
AMOUNT
(USD)
- --------------------------------------------------------------------------------------
REPURCHASE AGREEMENT (c)
$ 133,000,000 Barclays Capital, Inc., 1.04%,
due 04/30/04, dated
05/03/04, proceeds
$133,011,527, secured by
U.S. Government Agency
Securities $ 133,000,000
--------------------------------------------------------------------
$ 168,361,120
--------------------------------------------------------------------
</Table>
SUMMARY OF INVESTMENTS BY INDUSTRY, APRIL 30, 2004
<Table>
<Caption>
INDUSTRY % OF INVESTMENT SECURITIES
- --------------------------------------------------------------------------------------
Banking 16.9%
Oil & Gas 10.5
Pharmaceuticals 9.3
Telecommunications 7.8
Electronics/Electrical Equipment 5.8
Food/Beverage Products 5.6
Construction Materials 5.4
Insurance 4.1
Consumer Products 3.3
Distribution 3.3
Financial Services 3.2
Automotive 3.1
Office/Business Equipment 2.0
Retailing 2.0
Utilities 1.9
Real Estate 1.6
Metals/Mining 1.5
Multi-Media 1.4
Chemicals 1.4
Diversified 1.4
Health Care/Health Care Services 1.3
Transportation 1.1
Semi-Conductors 1.1
Other (below 1%) 5.0
- --------------------------------------------------------------------------------------
Total 100.0%
- --------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
52
<Page>
Abbreviations
* -- Non-income producing security.
# -- All or a portion of this security is a 144A or private placement
security and can only be sold to qualified institutional buyers.
+ -- All or a portion of this security is segregated with the custodian for
forward foreign currency contracts.
@ -- Security is fully or partially segregated with the custodian as
collateral for futures or with brokers as initial margin for futures
contracts.
^ -- Amount rounds to less than 0.1%.
(a) -- Affiliated. Money market fund registered under the Investment Company
Act of 1940, as amended and advised by JPMorgan Investment Management,
Inc.
(c) -- Investment of cash collateral for portfolio securities on loan.
(f) -- Fair valued investment. The following are approximately the market
value and percentage of the investments that are fair valued:
<Table>
<Caption>
FUND MARKET VALUE PERCENTAGE
---- ------------ ----------
Fleming Intrepid European Fund $ 88,490,172 94.29%
Fleming Japan Fund $ 16,595,391 81.26%
Fleming International Growth Fund $ 3,933,801 91.44%
Fleming International Value Fund $ 38,654,249 89.80%
Fleming International Opportunities Fund $ 152,905,641 87.89%
Fleming Emerging Markets Equity Fund $ 27,894,996 39.45%
Fleming Asia Fund $ 44,528,361 94.75%
Fleming International Equity Fund $ 970,157,957 95.14%
</Table>
(i) -- Security is considered illiquid and may be difficult to sell.
(l) -- Security, or portion of a security, has been delivered to counterparty
as part of security lending transaction.
(W/I) -- When Issued.
ADR -- American Depositary Receipt.
AUD -- Australian Dollar.
CHF -- Swiss Franc.
DKK -- Danish Krone.
EUR -- Euro.
GBP -- Great Britain Pound.
GDR -- Global Depositary Receipt.
HKD -- Hong Kong Dollar.
JPY -- Japanese Yen.
NOK -- Norwegian Krone.
SEK -- Swedish Krona.
Ser. -- Series.
SGD -- Singapore Dollar.
USD -- United States Dollar.
SEE NOTES TO FINANCIAL STATEMENTS.
53
<Page>
STATEMENT OF ASSETS
AND LIABILITIES AS OF APRIL 30, 2004 (Unaudited)
<Table>
<Caption>
INTREPID
EUROPEAN JAPAN INTERNATIONAL INTERNATIONAL
FUND FUND GROWTH FUND VALUE FUND
ASSETS
Investments in non-affiliates, at value $ 93,845,696 $ 20,421,625 $ 4,301,991 $ 41,892,835
Investments in affiliates, at value -- -- -- 1,150,641
- --------------------------------------------------------------------------------------------------------------------------
Total investment securities, at value 93,845,696 20,421,625 4,301,991 43,043,476
- --------------------------------------------------------------------------------------------------------------------------
Investments held as collateral for
securities lending program 17,567,200 1,132,264 -- 2,973,500
Cash 561,104 1,983,541 22,172 100,208
Foreign currency, at value 1,211,981 -- 2,372 184,197
Receivables:
Investment securities sold 14,400,945 1,263,396 -- 818,879
Fund shares sold 748,010 258,879 -- 55,926
Interest and dividends 200,811 57,433 14,800 261,489
Foreign tax reclaim 95,043 -- 7,179 515,610
Unrealized appreciation on forward
foreign currency exchange contracts -- -- -- 365,848
Securities lending (net) 6,397 141 -- 9,298
Expense reimbursements 986 -- 12,672 3,191
- --------------------------------------------------------------------------------------------------------------------------
Total Assets 128,638,173 25,117,279 4,361,186 48,331,622
- --------------------------------------------------------------------------------------------------------------------------
LIABILITIES
Payables:
Investment securities purchased 10,782,625 2,578,195 -- 439,380
Collateral for securities
lending program 17,567,200 1,132,264 -- 2,973,500
Fund shares redeemed 434,774 85,773 -- 1,426
Unrealized depreciation on forward
foreign currency exchange contracts -- -- -- 529,548
Variation margin -- -- -- 18,741
Accrued liabilities:
Investment advisory fees 34,640 -- -- 13,262
Shareholder servicing fees 14,459 -- -- 3,656
Distribution fees 17,036 424 1,283 258
Custodian fees 162,134 81,943 4,547 49,908
Trustees' fees - deferred
compensation plan 2,846 474 92 579
Other 87,590 60,588 19,081 51,751
- --------------------------------------------------------------------------------------------------------------------------
Total Liabilities 29,103,304 3,939,661 25,003 4,082,009
- --------------------------------------------------------------------------------------------------------------------------
NET ASSETS $ 99,534,869 $ 21,177,618 $ 4,336,183 $ 44,249,613
- --------------------------------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
54
<Page>
SEMI-ANNUAL REPORT APRIL 30 2004
<Table>
<Caption>
INTREPID
EUROPEAN JAPAN INTERNATIONAL INTERNATIONAL
FUND FUND GROWTH FUND VALUE FUND
NET ASSETS
Paid in capital 93,315,462 20,326,659 4,994,083 66,075,006
Accumulated undistributed
(overdistributed) net investment income 213,781 (16,112) (8,920) (21,551)
Accumulated net realized gain (loss)
on investments, futures and foreign
exchange transactions 2,759,978 (262,233) (1,183,017) (29,173,124)
Net unrealized appreciation
(depreciation) of investments, futures
and foreign exchange translations 3,245,648 1,129,304 534,037 7,369,282
- --------------------------------------------------------------------------------------------------------------------------
Total Net Assets $ 99,534,869 $ 21,177,618 $ 4,336,183 $ 44,249,613
- --------------------------------------------------------------------------------------------------------------------------
Class A $ 33,872,296 $ 20,514,324 $ 3,474,821 $ 81,300
Class B $ 11,962,512 $ 663,294 $ 861,362 $ 379,337
Class C $ 3,075,703 $ -- $ -- $ --
Institutional $ 32,018,318 $ -- $ -- $ 26,610,730
Select $ 18,606,040 $ -- $ -- $ 17,178,246
- --------------------------------------------------------------------------------------------------------------------------
Total $ 99,534,869 $ 21,177,618 $ 4,336,183 $ 44,249,613
- --------------------------------------------------------------------------------------------------------------------------
Shares of beneficial interest outstanding
($0.001 par value; unlimited
number of shares authorized)
Class A 1,853,579 2,758,948 407,635 8,293
Class B 691,461 93,966 102,422 39,236
Class C 177,981 -- -- --
Institutional 1,728,031 -- -- 2,708,418
Select 1,012,788 -- -- 1,751,936
Net Asset Value:
Class A (and redemption price) $ 18.27 $ 7.44 $ 8.52 $ 9.80
Class B* $ 17.30 $ 7.06 $ 8.41 $ 9.67
Class C* $ 17.28 $ -- $ -- $ --
Institutional (and redemption price) $ 18.53 $ -- $ -- $ 9.83
Select (and redemption price) $ 18.37 $ -- $ -- $ 9.81
Class A Maximum Public Offering
Price Per Share (net asset value per
share/94.25%) $ 19.38 $ 7.88 $ 9.04 $ 10.40
Cost of investments $ 90,604,182 $ 19,295,310 $ 3,768,801 $ 35,650,698
- --------------------------------------------------------------------------------------------------------------------------
Cost of foreign currency $ 1,211,678 $ -- $ 2,372 $ 184,176
- --------------------------------------------------------------------------------------------------------------------------
</Table>
* Redemption price may be reduced by contingent deferred sales charge.
SEE NOTES TO FINANCIAL STATEMENTS.
55
<Page>
<Table>
<Caption>
INTERNATIONAL EMERGING
OPPORTUNITIES MARKETS EQUITY ASIA EQUITY INTERNATIONAL
FUND FUND FUND EQUITY FUND
ASSETS
Investments in non-affiliates, at value $ 173,176,499 $ 70,702,260 $ 46,993,817 $ 1,019,689,258
Investments in affiliates, at value 800,294 -- -- --
- --------------------------------------------------------------------------------------------------------------------------
Total investment securities, at value 173,976,793 70,702,260 46,993,817 1,019,689,258
- --------------------------------------------------------------------------------------------------------------------------
Investments held as collateral for
securities lending program 19,227,948 1,500,000 -- 168,361,120
Cash 691,005 456,549 1,310,172 38,673,355
Foreign currency, at value 325,306 977,176 111,545 1,248,178
Receivables:
Investment securities sold 2,075,621 -- 665,932 4,657,051
Fund shares sold 316,882 44,556 2,767 2,245,301
Interest and dividends 757,254 122,384 91,290 4,107,202
Foreign tax reclaim 639,061 1,048 -- 435,033
Unrealized appreciation on forward
foreign currency exchange contracts 961,803 -- -- --
Securities lending (net) 7,196 1,179 -- 30,611
Expense reimbursements -- 2,152 162 --
- --------------------------------------------------------------------------------------------------------------------------
Total Assets 198,978,869 73,807,304 49,175,685 1,239,447,109
- --------------------------------------------------------------------------------------------------------------------------
LIABILITIES
Payables:
Investment securities purchased 2,082,214 46,840 -- --
Collateral for securities
lending program 19,227,948 1,500,000 -- 168,361,120
Fund shares redeemed 415,716 55,202 174,486 394,821
Unrealized depreciation on forward
foreign currency exchange contracts 1,534,069 -- -- --
Accrued liabilities:
Investment advisory fees 91,320 53,812 29,719 717,498
Administration fees 15,220 -- -- 89,689
Shareholder servicing fees 11,647 5,213 8,092 90,493
Distribution fees 3,524 335 51 11,607
Custodian fees 95,642 98,720 77,693 184,821
Trustees' fees - deferred
compensation plan 3,765 439 118 13,438
Other 86,515 53,302 64,108 92,983
- --------------------------------------------------------------------------------------------------------------------------
Total Liabilities 23,567,580 1,813,863 354,267 169,956,470
- --------------------------------------------------------------------------------------------------------------------------
NET ASSETS $ 175,411,289 $ 71,993,441 $ 48,821,418 $ 1,069,490,639
- --------------------------------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
56
<Page>
<Table>
<Caption>
INTERNATIONAL EMERGING
OPPORTUNITIES MARKETS EQUITY ASIA EQUITY INTERNATIONAL
FUND FUND FUND EQUITY FUND
NET ASSETS
Paid in capital 278,034,061 169,249,344 46,191,757 954,572,291
Accumulated undistributed
(overdistributed) net investment income (705,741) 49,009 (42,843) 1,711,291
Accumulated net realized gain (loss)
on investments, futures and foreign
exchange transactions (132,902,043) (100,024,348) 484,985 (31,248,935)
Net unrealized appreciation
(depreciation) of investments and
foreign exchange translations 30,985,012 2,719,436 2,187,519 144,455,992
- --------------------------------------------------------------------------------------------------------------------------
Total Net Assets $ 175,411,289 $ 71,993,441 $ 48,821,418 $ 1,069,490,639
- --------------------------------------------------------------------------------------------------------------------------
Class A $ 12,025,683 $ 971,078 $ 256,699 $ 41,905,803
Class B $ 1,393,370 $ 193,088 $ -- $ 508,019
Class C $ -- $ -- $ -- $ 4,209,432
Institutional $ 127,971,260 $ 47,485,052 $ 20,335,898 $ --
Select $ 34,020,976 $ 23,344,223 $ 28,228,821 $ 1,022,867,385
- --------------------------------------------------------------------------------------------------------------------------
Total $ 175,411,289 $ 71,993,441 $ 48,821,418 $ 1,069,490,639
- --------------------------------------------------------------------------------------------------------------------------
Shares of beneficial interest outstanding
($0.001 par value; unlimited
number of shares authorized)
Class A 1,228,358 116,911 14,585 1,639,520
Class B 143,380 23,330 -- 19,960
Class C -- -- -- 165,698
Institutional 12,890,950 5,636,934 1,152,581 --
Select 3,439,111 2,790,722 1,601,912 39,955,041
Net Asset Value:
Class A (and redemption price) $ 9.79 $ 8.31 $ 17.60 $ 25.56
Class B* $ 9.72 $ 8.28 $ -- $ 25.45
Class C* $ -- $ -- $ -- $ 25.40
Institutional (and redemption price) $ 9.93 $ 8.42 $ 17.64 $ --
Select (and redemption price) $ 9.89 $ 8.36 $ 17.62 $ 25.60
Class A Maximum Public Offering
Price Per Share (net asset value per
share/94.25%) $ 10.39 $ 8.82 $ 18.67 $ 27.12
Cost of investments $ 142,499,002 $ 67,979,390 $ 44,805,920 $ 875,159,940
- --------------------------------------------------------------------------------------------------------------------------
Cost of foreign currency $ 324,702 $ 980,773 $ 111,350 $ 1,250,622
- --------------------------------------------------------------------------------------------------------------------------
</Table>
* Redemption price may be reduced by contingent deferred sales charge.
SEE NOTES TO FINANCIAL STATEMENTS.
57
<Page>
STATEMENT OF
OPERATIONS FOR THE SIX MONTHS ENDED APRIL 30, 2004 (Unaudited)
<Table>
<Caption>
INTREPID
EUROPEAN JAPAN INTERNATIONAL INTERNATIONAL
FUND FUND GROWTH FUND VALUE FUND
INVESTMENT INCOME
Interest $ 95,807 $ 5,475 $ 82 $ 113,260
Dividend 926,772 66,327 44,559 531,381
Dividend income from affiliated
investments* 20 -- -- 1,070
Securities lending (net) 24,583 1,364 -- 4,659
Foreign tax withholding (113,797) (4,643) (5,059) (31,383)
- --------------------------------------------------------------------------------------------------------------------------
Total investment income 933,385 68,523 39,582 618,987
- --------------------------------------------------------------------------------------------------------------------------
EXPENSES
Investment advisory fees 288,824 45,199 21,575 133,930
Administration fees 66,652 6,780 3,236 33,483
Shareholder servicing fees 94,797 11,300 5,394 35,365
Distribution fees 104,083 12,759 7,538 1,284
Custodian and accounting fees 216,567 99,307 39,284 66,965
Interest expense -- -- -- 306
Printing and postage 20,023 2,576 2,906 4,018
Professional fees 40,099 29,817 29,838 38,014
Registration fees 31,104 16,401 10,182 20,536
Transfer agent fees 94,143 18,855 18,300 34,782
Trustees' fees 667 68 32 335
Other 7,167 2,875 2,514 4,062
- --------------------------------------------------------------------------------------------------------------------------
Total expenses 964,126 245,937 140,799 373,080
- --------------------------------------------------------------------------------------------------------------------------
Less amounts waived 244,786 73,849 30,205 103,401
Less expense reimbursements 8,718 90,801 65,299 19,843
- --------------------------------------------------------------------------------------------------------------------------
Net expenses 710,622 81,287 45,295 249,836
- --------------------------------------------------------------------------------------------------------------------------
Net investment income (loss) 222,763 (12,764) (5,713) 369,151
- --------------------------------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
58
<Page>
<Table>
<Caption>
INTREPID
EUROPEAN JAPAN INTERNATIONAL INTERNATIONAL
FUND FUND GROWTH FUND VALUE FUND
REALIZED AND UNREALIZED
GAIN (LOSS) ON INVESTMENTS
Net realized gain (loss) on
transactions from:
Investments 6,356,645 592,082 89,901 6,968,053
Futures -- -- -- 38,678
Foreign exchange contracts (181,616) (2,523) (9,590) 207,805
Change in net unrealized
appreciation (depreciation) of:
Investments (2,328,573) 818,073 303,832 (845,289)
Futures -- -- -- 39,336
Foreign exchange translations (25,795) 3,562 (327) (396,553)
Net realized and unrealized gain (loss)
on investments, futures and foreign
exchange transactions 3,820,661 1,411,194 383,816 6,012,030
- --------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets
from operations $ 4,043,424 $ 1,398,430 $ 378,103 $ 6,381,181
- --------------------------------------------------------------------------------------------------------------------------
* Includes reimbursements of
investment advisory, administration
and shareholder servicing fees: $ -- $ -- $ -- $ 216
- --------------------------------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
59
<Page>
<Table>
<Caption>
INTERNATIONAL EMERGING
OPPORTUNITIES MARKETS EQUITY ASIA EQUITY INTERNATIONAL
FUND FUND FUND EQUITY FUND
INVESTMENT INCOME
Interest $ 110,711 $ 27,119 $ 3,534 $ 26,498
Dividend 2,071,059 892,380 428,060 9,910,043
Dividend income from affiliated
investments* 7,040 -- -- --
Securities lending (net) 21,043 1,484 -- 152,980
Foreign tax withholding (207,004) (54,122) (42,789) (724,415)
- --------------------------------------------------------------------------------------------------------------------------
Total investment income 2,002,849 866,861 388,805 9,365,106
- --------------------------------------------------------------------------------------------------------------------------
EXPENSES
Investment advisory fees 547,345 384,269 238,184 4,681,951
Administration fees 136,837 57,641 35,728 702,298
Shareholder servicing fees 126,948 56,496 45,854 1,170,486
Distribution fees 20,273 1,136 477 50,617
Custodian and accounting fees 120,587 153,690 104,852 313,367
Interest expense 100 552 -- 33
Printing and postage 16,255 6,917 2,988 43,035
Professional fees 39,225 39,194 39,519 45,922
Registration fees 22,523 25,362 24,726 46,818
Transfer agent fees 75,560 37,466 23,564 67,734
Trustees' fees 1,369 576 357 7,025
Other 8,209 4,803 4,058 16,217
- --------------------------------------------------------------------------------------------------------------------------
Total expenses 1,115,231 768,102 520,307 7,145,503
- --------------------------------------------------------------------------------------------------------------------------
Less amounts waived 159,178 159,115 169,023 1,904,640
Less earnings credits -- -- -- 4
Less expense reimbursements -- 13,972 7,223 15,013
- --------------------------------------------------------------------------------------------------------------------------
Net expenses 956,053 595,015 344,061 5,225,846
- --------------------------------------------------------------------------------------------------------------------------
Net investment income (loss) 1,046,796 271,846 44,744 4,139,260
- --------------------------------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
60
<Page>
<Table>
<Caption>
INTERNATIONAL EMERGING
OPPORTUNITIES MARKETS EQUITY ASIA EQUITY INTERNATIONAL
FUND FUND FUND EQUITY FUND
REALIZED AND UNREALIZED
GAIN (LOSS) ON INVESTMENTS
Net realized gain (loss) on
transactions from:
Investments 19,932,851 19,796,044(a) 3,465,019 (1,062,050)
Futures 143,425 -- -- --
Foreign exchange contracts 1,117,103 (129,823) (6,272) 253,507
Change in net unrealized
appreciation (depreciation) of:
Investments (3,686,900) (10,890,701) (4,188,826) 75,418,529
Futures (58,118) -- -- --
Foreign exchange translations (1,170,229) (15,009) (142) (140,541)
Net realized and unrealized gain (loss)
on investments, futures and foreign
exchange transactions 16,278,132 8,760,511 (730,221) 74,469,445
- --------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets
from operations $ 17,324,928 $ 9,032,357 $ (685,477) $ 78,608,705
- --------------------------------------------------------------------------------------------------------------------------
* Includes reimbursements of
investment advisory, administration
and shareholder servicing fees: $ 1,155 $ -- $ -- $ --
- --------------------------------------------------------------------------------------------------------------------------
</Table>
(a) Net of capital gains tax of $14,286.
SEE NOTES TO FINANCIAL STATEMENTS.
61
<Page>
STATEMENT OF CHANGES
IN NET ASSETS FOR THE PERIODS INDICATED (Unaudited)
<Table>
<Caption>
INTREPID EUROPEAN FUND JAPAN FUND
--------------------------------- ---------------------------------
11/1/03 YEAR 11/1/03 YEAR
THROUGH ENDED THROUGH ENDED
4/30/04 10/31/03 4/30/04 10/31/03
INCREASE (DECREASE) IN NET
ASSETS FROM OPERATIONS
Net investment income (loss) $ 222,763 $ 94,089 $ (12,764) $ (17,047)
Net realized gain (loss) on investments
and foreign exchange transactions 6,175,029 11,301,614 589,559 494,196
Change in net unrealized appreciation
(depreciation) of investments
and foreign exchange translations (2,354,368) 4,340,131 821,635 338,655
- --------------------------------------------------------------------------------------------------------------------------
Increase (decrease) in net assets
from operations 4,043,424 15,735,834 1,398,430 815,804
- --------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO
SHAREHOLDERS FROM
Net investment income (48,546) (374,810) -- --
- --------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS
Increase (decrease) 26,458,356 (782,686) 15,747,922 2,372,801
- --------------------------------------------------------------------------------------------------------------------------
NET ASSETS
Total increase (decrease) in net assets 30,453,234 14,578,338 17,146,352 3,188,605
- --------------------------------------------------------------------------------------------------------------------------
Beginning of period 69,081,635 54,503,297 4,031,266 842,661
- --------------------------------------------------------------------------------------------------------------------------
End of period $ 99,534,869 $ 69,081,635 $ 21,177,618 $ 4,031,266
- --------------------------------------------------------------------------------------------------------------------------
Accumulated undistributed
(overdistributed) net
investment income $ 213,781 $ 39,564 $ (16,112) $ (3,348)
- --------------------------------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
62
<Page>
<Table>
<Caption>
INTERNATIONAL GROWTH FUND INTERNATIONAL VALUE FUND
--------------------------------- ---------------------------------
11/1/03 THROUGH YEAR ENDED 11/1/03 THROUGH YEAR ENDED
4/30/04 10/31/03 4/30/04 10/31/03
INCREASE (DECREASE) IN NET
ASSETS FROM OPERATIONS
Net investment income (loss) $ (5,713) $ 8,801 $ 369,151 $ 42,152
Net realized gain (loss) on
investments, futures and foreign
exchange transactions 80,311 (253,809) 7,214,536 5,776,870
Change in net unrealized appreciation
(depreciation) of investments, futures
and foreign exchange translations 303,505 1,029,572 (1,202,506) 4,185,551
- --------------------------------------------------------------------------------------------------------------------------
Increase (decrease) in net assets
from operations 378,103 784,564 6,381,181 10,004,573
- --------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO
SHAREHOLDERS FROM
Net investment income (8,800) -- (377,515) (1,481,498)
- --------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS
Increase (decrease) 4,891 500 (4,957,044) (11,203,485)
- --------------------------------------------------------------------------------------------------------------------------
NET ASSETS
Total increase (decrease) in net assets 374,194 785,064 1,046,622 (2,680,410)
- --------------------------------------------------------------------------------------------------------------------------
Beginning of period 3,961,989 3,176,925 43,202,991 45,883,401
- --------------------------------------------------------------------------------------------------------------------------
End of period $ 4,336,183 $ 3,961,989 $ 44,249,613 $ 43,202,991
- --------------------------------------------------------------------------------------------------------------------------
Accumulated undistributed
(overdistributed) net
investment income $ (8,920) $ 5,593 $ (21,551) $ (13,187)
- --------------------------------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
63
<Page>
<Table>
<Caption>
INTERNATIONAL OPPORTUNITIES FUND EMERGING MARKETS EQUITY FUND
--------------------------------- ---------------------------------
11/1/03 THROUGH YEAR ENDED 11/1/03 THROUGH YEAR ENDED
4/30/04 10/31/03 4/30/04 10/31/03
INCREASE (DECREASE) IN NET
ASSETS FROM OPERATIONS
Net investment income $ 1,046,796 $ 1,928,013 $ 271,846 $ 748,728
Net realized gain (loss) on
investments, futures and foreign
exchange transactions 21,193,379 (13,994,625) 19,666,221 116,156
Change in net unrealized appreciation
(depreciation) of investments, futures
and foreign exchange translations (4,915,247) 51,670,007 (10,905,710) 25,081,896
- --------------------------------------------------------------------------------------------------------------------------
Increase (decrease) in net assets
from operations 17,324,928 39,603,395 9,032,357 25,946,780
- --------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO
SHAREHOLDERS FROM
Net investment income (4,530,199) (2,548,192) (939,677) (430,000)
- --------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS
Increase (decrease) (14,312,265) (116,262,855) (17,595,889) (10,270,234)
- --------------------------------------------------------------------------------------------------------------------------
NET ASSETS
Total increase (decrease) in net assets (1,517,536) (79,207,652) (9,503,209) 15,246,546
- --------------------------------------------------------------------------------------------------------------------------
Beginning of period 176,928,825 256,136,477 81,496,650 66,250,104
- --------------------------------------------------------------------------------------------------------------------------
End of period $ 175,411,289 $ 176,928,825 $ 71,993,441 $ 81,496,650
- --------------------------------------------------------------------------------------------------------------------------
Accumulated undistributed
(overdistributed) net
investment income $ (705,741) $ 2,777,662 $ 49,009 $ 716,840
- --------------------------------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
64
<Page>
<Table>
<Caption>
ASIA EQUITY FUND INTERNATIONAL EQUITY FUND
--------------------------------- ---------------------------------
11/1/03 THROUGH YEAR ENDED 11/1/03 THROUGH YEAR ENDED
4/30/04 10/31/03 4/30/04 10/31/03
INCREASE (DECREASE) IN NET
ASSETS FROM OPERATIONS
Net investment income (loss) $ 44,744 $ 321,512 $ 4,139,260 $ 7,266,321
Net realized gain (loss) on investments
and foreign exchange transactions 3,458,747 (1,710,646) (808,543) (10,745,295)
Change in net unrealized appreciation
(depreciation) of investments
and foreign exchange translations (4,188,968) 8,983,551 75,277,988 118,866,466
- --------------------------------------------------------------------------------------------------------------------------
Increase (decrease) in net assets
from operations (685,477) 7,594,417 78,608,705 115,387,492
- --------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO
SHAREHOLDERS FROM
Net investment income (414,178) -- (4,060,721) (6,762,429)
- --------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS
Increase (decrease) 11,330,119 7,754,921 171,116,037 467,662,712
- --------------------------------------------------------------------------------------------------------------------------
NET ASSETS
Total increase (decrease) in net assets 10,230,464 15,349,338 245,664,021 576,287,775
- --------------------------------------------------------------------------------------------------------------------------
Beginning of period 38,590,954 23,241,616 823,826,618 247,538,843
- --------------------------------------------------------------------------------------------------------------------------
End of period $ 48,821,418 $ 38,590,954 $ 1,069,490,639 $ 823,826,618
- --------------------------------------------------------------------------------------------------------------------------
Accumulated undistributed
(overdistributed) net
investment income $ (42,843) $ 326,591 $ 1,711,291 $ 1,632,752
- --------------------------------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
65
<Page>
JPMORGAN FUNDS
NOTES TO FINANCIAL
STATEMENTS (Unaudited)
1. ORGANIZATION
J.P. Morgan Mutual Fund Group ("MFG"), J.P. Morgan Institutional Funds ("JPMIF")
and J.P. Morgan Mutual Fund Select Group ("MFSG") (the "Trusts") were organized
on May 11, 1987, November 4, 1992 and October 1, 1996, respectively, as
Massachusetts business trusts, and are registered under the Investment Company
Act of 1940, as amended, (the "1940 Act"), as open-end management investment
companies. MFG and MFSG were formerly known as Mutual Fund Group and Mutual Fund
Select Group, respectively. The name changes were effective May 1, 2003.
The following are eight separate portfolios of the Trusts (collectively, the
"Funds"):
<Table>
<Caption>
FUND CLASSES OFFERED
JPMorgan Fleming Intrepid European Fund ("EF") Class A, Class B, Class C, Institutional and Select
JPMorgan Fleming Japan Fund ("JF") Class A and Class B
JPMorgan Fleming International Growth Fund ("IGF") Class A and Class B
JPMorgan Fleming International Value Fund ("IVF") Class A, Class B, Institutional and Select
JPMorgan Fleming International Opportunities Fund ("IOF") Class A, Class B, Institutional and Select
JPMorgan Fleming Emerging Markets Equity Fund ("EMF") Class A, Class B, Institutional and Select
JPMorgan Fleming Asia Equity Fund ("AEF") Class A, Institutional and Select
JPMorgan Fleming International Equity Fund ("IEF") Class A, Class B, Class C and Select
</Table>
Prior to February 27, 2004, EF was formerly named JPMorgan Fleming European
Fund. On September 12, 2003, Class B shares of AEF merged into Class A shares,
and AEF Class B shares were closed.
EF, JF, IGF and AEF are separate series of MFG. IVF, IOF and EMF are separate
series of JPMIF. IEF is a separate series of MFSG.
Class A shares generally provide for a front-end sales charge while Class B and
Class C shares provide for a contingent deferred sales charge. Class B shares
automatically convert to Class A shares after eight years. No sales charges are
assessed with respect to the Institutional and Select Classes. All classes of
shares have equal rights as to earnings, assets and voting privileges except
that each class may bear different transfer agent, distribution and shareholder
servicing fees and each class has exclusive voting rights with respect to its
distribution plan and shareholder servicing agreements. Class A shares, for
which front-end sales 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.
66
<Page>
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 at the purchase date held by the Funds will be
valued each day based on readily available market quotations received from
independent or affiliated commercial pricing services. Such pricing services
will generally provide bidside quotations. Convertible bonds are valued at the
last sale price on the primary exchange on which the bond is principally traded.
All short-term securities with a remaining maturity of sixty days or less are
valued using the amortized cost method, 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 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, each of the Funds
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
analysis 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 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, allowing the Funds to adjust country exposures while
incurring minimal transaction costs. Short index futures contracts are used for
hedging purposes, i.e. to reduce the exposure to equities. Long index futures
contracts are used to gain exposure to equities, when it is anticipated that
this will be more efficient than buying stocks directly.
Use of long futures contracts subjects the Funds to risk of loss in excess of
the amounts shown on the Statement of Assets and Liabilities, up to the notional
value of the futures contracts. Use of short futures contracts subject the Funds
to unlimited risk of loss. The Funds may enter into futures contracts only on
exchanges or boards of trade. The exchange or board of trade acts as the
counterparty to each futures transaction, therefore, the Fund's credit risk is
limited to failure of the exchange or board of trade.
As of April 30, 2004, the Funds had outstanding futures contracts as listed on
the Funds' Portfolio of Investments.
C. FOREIGN CURRENCY TRANSLATION -- The books and records of the Funds are
maintained in U.S. dollars. Foreign currency amounts are translated into U.S.
dollars at the prevailing exchange rates, or at the mean of the
67
<Page>
current bid and asked prices, of such currencies against the U.S. dollar as
quoted by a major bank, on the following basis:
1. Market value of investment securities and other assets and liabilities:
at the rate of exchange at the valuation date.
2. Purchases and sales of investment securities, income and expenses: at the
rates of exchange prevailing on the respective dates of such
transactions.
Although the net assets of the Funds are presented at the foreign exchange rates
and market values at the close of the periods, the Funds do not isolate that
portion of the results of operations arising as a result of changes in the
foreign exchange rates from the fluctuations arising from changes in the market
prices of securities held or sold during the year. Accordingly, such realized
foreign currency gains (losses) are included in the reported net realized and
unrealized gains (losses) on investment transactions.
Reported realized foreign currency gains or losses arise from disposition of
foreign currency, currency gains or losses realized between the trade and
settlement dates on securities transactions, and the difference between the
amounts of dividends, interest and foreign withholding taxes recorded on the
Funds' books on the transaction date and the U.S. dollar equivalent of the
amounts actually received or paid. Unrealized foreign exchange gains and losses
arise from changes (due to the changes in the exchange rate) in the value of
foreign currency and other assets and liabilities denominated in foreign
currencies, which are held at period end.
D. FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS -- The Funds may enter into
forward foreign currency exchange contracts (obligations to purchase or sell
foreign currency in the future on a date and price fixed at the time the
contracts are entered into) to manage the Funds' exposure to foreign currency
exchange fluctuations. Each day the forward contract is open, changes in the
value of the contract are recognized as unrealized gains or losses by "marking
to market". When the forward contract is closed, or the delivery of the currency
exchange is made or taken, the Fund records a realized gain or loss equal to the
difference between the proceeds from (or cost of) the closing transaction and
the Fund's basis in the contract. The Funds are subject to off-balance sheet
risk to the extent of the value of the contracts for purchases of foreign
currency and in an unlimited amount for sales of foreign currency.
As of April 30, 2004, the Funds had outstanding forward foreign currency
exchange contracts as listed on the Funds' Portfolio of Investments.
E. 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.
F. SECURITIES ON LOAN -- All of the funds except IGF have been approved by the
Board of Trustees for the lending of securities, through its custodian JPMorgan
Chase Bank ("JPMCB", an affiliate of the Funds) acting as lending agent to
certain borrowers. By lending investment securities, a Fund attempts to increase
its net investment income through the receipt of interest (after rebates and
fees) on collateral received in connection with the loan. The net amount of
interest earned, after the rebate and fee, is included in the Statement of
Operations as Securities lending (net).
The loans are secured by collateral at least equal at all times to the value of
the securities loaned plus accrued interest. Gain or loss on the value of the
securities
68
<Page>
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 April 30, 2004, the market value of securities loaned and the amount of
collateral received were as follows:
<Table>
<Caption>
MARKET VALUE OF MARKET VALUE OF
SECURITIES LOANED COLLATERAL RECEIVED
FUND
EF $ 16,751,249 $ 17,567,200
JF 1,061,363 1,132,264
IVF 2,824,816 2,973,500
IOF 18,198,525 19,227,948
EMF 1,312,895 1,500,000
IEF 159,867,052 168,361,120
</Table>
JPMCB as lending agent receives a fee equal to 0.05% (0.06% prior to January 31,
2004) of the average dollar value of the loans of U.S. securities outstanding
during a given month and 0.10% (0.1142% prior to January 31, 2004) of the
average dollar value of loans of non-U.S. securities outstanding during a given
month from the Funds as detailed below:
<Table>
FUND
EF $ 5,440
JF 369
IVF 1,091
IOF 7,585
EMF 200
IEF 59,543
</Table>
Risks of delay in recovery of securities or even loss of rights in the
collateral may occur should the borrower of the securities fail financially.
Risks may also arise to the extent that the value of the securities loaned
increases above the value of the securities received. JPMCB will indemnify each
Fund from any loss resulting from a borrower's failure to return a loaned
security when due.
G. SECURITIES TRANSACTIONS AND INVESTMENT INCOME -- Investment transactions are
accounted for on the trade date (the date the order to buy or sell is executed).
Securities gains and losses are calculated on the identified cost basis.
Interest income is determined on the basis of coupon interest accrued using the
interest method adjusted for amortization of premiums and accretion of
discounts. Dividend income less foreign taxes withheld (if any) is recorded on
the ex-dividend date or when the Funds first learn of the dividend.
Purchases of when issued securities may be settled a month or more after the
trade date; interest income is not accrued until settlement date.
H. ALLOCATION OF INCOME AND EXPENSES -- Expenses directly attributable to a Fund
are charged to that Fund; other expenses of the Trusts are allocated
proportionately among each of the Funds within the Trusts in relation to the net
assets of each Fund or on another reasonable basis. Expenses directly
attributable to a particular share class are charged directly to that class. In
calculating the net asset value per share of each class, investment income,
realized and unrealized gains and losses and expenses other than class specific
expenses are allocated daily to each class of shares based upon the proportion
of net assets of each class at the beginning of each day.
I. FEDERAL INCOME TAXES -- Each Fund is treated as a separate taxable entity for
Federal income tax purposes. The 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
69
<Page>
taxes. Accordingly, no provision for Federal income or excise tax is necessary.
J. FOREIGN TAXES -- The Funds may be subject to foreign taxes on income, gains
on investments or currency repatriation, a portion of which may be recoverable.
The Funds will accrue such taxes and recoveries as applicable, based upon their
current interpretation of tax rules and regulations that exist in the markets in
which it invests.
K. DISTRIBUTIONS TO SHAREHOLDERS -- Dividends and distributions paid to
shareholders are recorded on the ex-dividend date. The amount of dividends and
distributions from net investment income and net realized capital gains is
determined in accordance with Federal income tax regulations, which may differ
from accounting principles generally accepted in the United States of America.
To the extent these "book/tax" differences are permanent in nature (i.e., that
they result from other than timing of recognition "temporary differences") such
amounts are reclassified within the capital accounts based on their Federal
tax-basis treatment.
L. OTHER EXPENSES -- Other expenses in the Statement of Operations include fees
related to line of credit, insurance, and pricing and reporting services.
3. FEES AND OTHER TRANSACTIONS WITH AFFILIATES
A. INVESTMENT ADVISORY FEE -- Pursuant to the Investment Advisory Agreements,
J.P. Morgan Investment Management, Inc. ("JPMIM" or advisor) acts as the
investment advisor to the Funds. The Advisor supervises the investments of each
respective Fund and for such services is paid a fee. The fee is accrued daily
and paid monthly based on each Fund's respective average daily net assets. The
annual fee for each Fund is as follows:
<Table>
<Caption>
INVESTMENT
ADVISORY FEE (%)
FUND
EF 0.65%
JF 1.00%
IGF 1.00%
IVF 0.60%
IOF 0.60%
EMF 1.00%
AEF 1.00%
IEF 1.00%
</Table>
JPMIM, on behalf of EF, JF, IGF and IEF, has entered into an investment
sub-advisory agreement with J.P. Morgan Fleming Asset Management (London)
Limited ("JPMFAM (London)"). JPMIM, on behalf of AEF, has entered into an
investment sub-advisory agreement with JF International Management, Inc.
("JFIMI"). For its services as sub-advisor, JPMFAM (London) and JFIMI receive a
portion of the fees payable to JPMIM.
The Advisors waived fees as outlined in Note 3.F.
The Funds may invest in one or more of the affiliated JPMorgan Money Market
Funds. The Advisor has agreed to waive and/or reimburse its advisory fee from
the Funds in an amount sufficient to offset any doubling up of investment
advisory, administration and shareholder servicing fees related to each Fund's
investment in an affiliated money market fund.
70
<Page>
B. DISTRIBUTION FEES -- Pursuant to a Distribution Agreement, J.P. Morgan Fund
Distributor, Inc. ("JPMFD" or "Distributor"), a wholly-owned subsidiary of The
BISYS Group, Inc., serves as the Trusts' exclusive underwriter and promotes and
arranges for the sale of each Fund's shares. JPMFD receives no compensation in
its capacity as the Funds' underwriter.
The Trustees have adopted Distribution Plans (the "Distribution Plans") for
Class A, B and C Shares of the Funds in accordance with Rule 12b-1 under the
1940 Act. The Distribution Plans provide that each Fund shall pay distribution
fees, including payments to the Distributor, at annual rates of the average
daily net assets as shown in the table below (%):
<Table>
<Caption>
CLASS A CLASS B CLASS C
FUND
EF 0.25 0.75 0.75
JF 0.25 0.75 n/a
IGF 0.25 0.75 n/a
IVF 0.25 0.75 n/a
IOF 0.25 0.75 n/a
EMF 0.25 0.75 n/a
AEF 0.25 n/a n/a
IEF 0.25 0.75 0.75
</Table>
In addition, JPMFD is entitled to receive the contingent deferred sales charges
("CDSC") from redemptions of Class B and Class C shares.
The Distributor waived fees and reimbursed expenses as outlined in Note 3.F.
C. SHAREHOLDER SERVICING FEES -- The Trusts have entered into a Shareholder
Servicing Agreement on behalf of the Funds with JPMCB, under which JPMCB
provides account administration and personal account maintenance service to the
shareholders. For performing these services JPMCB receives a fee that is
computed daily and paid monthly equal to a percentage of the average daily net
assets as shown in the table below (%):
<Table>
<Caption>
INSTITUTIONAL SELECT
CLASS A CLASS B CLASS C CLASS CLASS
FUND
EF 0.25 0.25 0.25 0.10 0.25
JF 0.25 0.25 n/a n/a n/a
IGF 0.25 0.25 n/a n/a n/a
IVF 0.25 0.25 n/a 0.10 0.25
IOF 0.25 0.25 n/a 0.10 0.25
EMF 0.25 0.25 n/a 0.10 0.25
AEF 0.25 n/a n/a 0.10 0.25
IEF 0.25 0.25 0.25 n/a 0.25
</Table>
71
<Page>
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 performing
shareholding and administrative services.
In addition, JPMCB, Charles Schwab & Co. ("Schwab"), and the Trusts are parties
to separate servicing and operating agreements (the "Schwab Agreements") whereby
Schwab makes shares of the Funds available to customers and investment advisors
and other financial intermediaries who are Schwab's clients. The Funds are not
responsible for payments to Schwab under Schwab Agreements; however, in the
event the servicing agreement with Schwab is terminated for reasons other than a
breach by Schwab and the relationship between MFG, JPMIF and JPMCB is
terminated, the Funds would be responsible for 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 and
accounting services for all of the Funds except IGF. Compensation for such
services is presented in the Statement of Operations as custodian fees. The
custodian fees may be reduced by credits earned by each Fund, based on
uninvested cash balances held by the custodian. Such earnings credits are
presented separately in the Statement of Operations.
E. ADMINISTRATION FEE -- Pursuant to the Administration Agreement, JPMCB (the
"Administrator") provides certain administration services to the Funds. In
consideration of these services, the Administrator receives a fee computed daily
and paid monthly at an annual rate equal to 0.15% of the first $25 billion of
the average daily net assets of all non-money market funds in the JPMorgan Fund
Complex and 0.075% of the average daily net assets in excess of $25 billion for
all Funds.
BISYS Fund Services, L.P. ("BISYS") serves as the Funds' sub-administrator. For
its services as sub-administrator, BISYS receives a portion of the fees payable
to JPMCB as Administrator. The Administrator has contractually agreed to
reimburse the Funds to the extent that total operating expenses (excluding
interest, taxes, extraordinary expenses and expenses related to the deferred
compensation plan) exceed the percentages of their respective average daily net
assets as shown in the table below (%):
<Table>
<Caption>
INSTITUTIONAL SELECT
CLASS A CLASS B CLASS C CLASS CLASS
FUND
EF 1.75 2.50 2.50 1.00 1.50
JF 1.75 2.50 n/a n/a n/a
IGF 2.00 2.50 n/a n/a n/a
IVF 1.45 1.95 n/a 0.95 1.41
IOF 1.90 2.40 n/a 0.92 1.20
EMF 2.00 2.50 n/a 1.45 1.75
AEF 1.75 n/a n/a 1.35 1.50
IEF 1.50 2.00 2.00 n/a 1.25
</Table>
72
<Page>
The contractual expense limitation agreements were in effect for the six months
ended April 30, 2004. The expense limitation percentages in the table above are
due to expire on February 28, 2005.
The Administrator waived fees and reimbursed expenses as outlined in Note 3.F.
F. WAIVERS AND REIMBURSEMENTS -- For the six months ended April 30, 2004, the
Funds' service providers waived fees and the Administrator contractually
reimbursed expenses for each of the Funds as follows.
Neither the Funds' service providers nor the Administrator expect the Funds to
repay any such waived fees and reimbursed expenses in future years.
<Table>
<Caption>
CONTRACTUAL WAIVERS
-------------------------------------------------------------------------
INVESTMENT SHAREHOLDER CONTRACTUAL
ADVISORY ADMINISTRATION SERVICING DISTRIBUTION TOTAL REIMBURSEMENTS
FUND
EF $ 155,384 $ 45,555 $ 18,026 $ -- $ 218,965 $ 8,718
JF 45,199 6,780 11,300 10,570 73,849 90,801
IGF 21,575 3,236 5,394 -- 30,205 65,299
IVF 55,804 30,083 14,114 -- 100,001 19,843
IOF 50,005 45,612 63,561 -- 159,178 --
EMF 72,994 57,641 28,480 -- 159,115 13,972
AEF 131,028 35,728 2,267 -- 169,023 7,223
IEF 506,565 8,349 712,481 -- 1,227,395 15,013
- ----------------------------------------------------------------------------------------------------------------------
Total $ 1,038,554 $ 232,984 $ 855,623 $ 10,570 $ 2,137,731 $ 220,869
- ----------------------------------------------------------------------------------------------------------------------
</Table>
<Table>
<Caption>
VOLUNTARY WAIVERS
-----------------------------------------------------------------------
INVESTMENT SHAREHOLDER
ADVISORY ADMINISTRATION SERVICING DISTRIBUTION TOTAL
FUND
EF $ 4,724 $ 21,097 $ -- $ -- $ 25,821
IVF -- 3,400 -- -- 3,400
IEF 451,497 225,748 -- -- 677,245
- ----------------------------------------------------------------------------------------------------------------------
Total $ 456,221 $ 250,245 $ -- $ -- $ 706,466
- ----------------------------------------------------------------------------------------------------------------------
</Table>
G. OTHER -- Certain officers of the Trusts are officers of J.P. Morgan Chase &
Co. or of BISYS or their subsidiaries.
During the period, certain Funds may have purchased securities from an
underwriting syndicate in which the principal underwriter or members of the
syndicate were affiliated with the Advisors.
The Funds may use related party broker/dealers. For the six months ended April
30, 2004, EF, JF, EMF and AEF incurred approximately $334, $490, $205 and
$19,416, respectively, as broker commissions with brokers/dealers affiliated
with JPMCB.
The SEC has granted an exemptive order permitting each Fund to engage in
principal transactions with J.P. Morgan Securities Inc., an affiliated broker,
involving taxable money market instruments subject to certain
conditions.
73
<Page>
4. CLASS SPECIFIC EXPENSES
The Funds' class specific expenses for the six months ended April 30, 2004 are
as follows:
<Table>
<Caption>
SHAREHOLDER
SERVICING DISTRIBUTION TRANSFER AGENT
EF
Class A $ 43,665 $ 43,666 $ 50,833
Class B 15,969 47,908 18,618
Class C 4,170 12,509 4,853
Institutional 10,859 -- 8,718
Select 20,134 -- 11,121
- ----------------------------------------------------------------------------
Total $ 94,797 $ 104,083 $ 94,143
JF
Class A $ 10,570 $ 10,570 $ 17,339
Class B 730 2,189 1,516
- ----------------------------------------------------------------------------
Total $ 11,300 $ 12,759 $ 18,855
IGF
Class A $ 4,322 $ 4,321 $ 14,662
Class B 1,072 3,217 3,638
- ----------------------------------------------------------------------------
Total $ 5,394 $ 7,538 $ 18,300
IVF
Class A $ 90 $ 90 $ 2,515
Class B 398 1,194 11,003
Institutional 13,625 -- 6,813
Select 21,252 -- 14,451
- ----------------------------------------------------------------------------
Total $ 35,365 $ 1,284 $ 34,782
IOF
Class A $ 14,643 $ 14,643 $ 41,425
Class B 1,877 5,630 5,345
Institutional 67,407 -- 14,268
Select 43,021 -- 14,522
- ----------------------------------------------------------------------------
Total $ 126,948 $ 20,273 $ 75,560
EMF
Class A $ 608 $ 608 $ 11,143
Class B 176 528 3,896
Institutional 26,380 -- 6,448
Select 29,332 -- 15,979
- ----------------------------------------------------------------------------
Total $ 56,496 $ 1,136 $ 37,466
AEF
Class A $ 478 $ 477 $ 7,817
Institutional 9,128 -- 7,145
Select 36,248 -- 8,602
- ----------------------------------------------------------------------------
Total $ 45,854 $ 477 $ 23,564
</Table>
74
<Page>
<Table>
<Caption>
SHAREHOLDER
SERVICING DISTRIBUTION TRANSFER AGENT
IEF
Class A $ 37,307 $ 37,307 $ 35,195
Class B 422 1,266 433
Class C 4,015 12,044 4,159
Select 1,128,742 -- 27,947
- ----------------------------------------------------------------------------
Total $ 1,170,486 $ 50,617 $ 67,734
</Table>
5. CLASS SPECIFIC DISTRIBUTIONS
The Funds' class specific distributions from net investment income and realized
gain on investment transactions for the six months ended April 30, 2004 and the
year ended October 31, 2003 are as follows:
<Table>
<Caption>
SIX MONTHS ENDED 4/30/04 YEAR ENDED 10/31/03
--------------------------------- ---------------------------------
NET NET
INVESTMENT INCOME REALIZED GAIN INVESTMENT INCOME REALIZED GAIN
EF
Class A $ -- $ -- $ 182,850 $ --
Class B -- -- 62,545 --
Class C -- -- 17,829 --
Institutional 46,309 -- 49,458 --
Select 2,237 -- 62,128 --
- -------------------------------------------------------------------------------------------------
Total $ 48,546 $ -- $ 374,810 $ --
IGF
Class A $ 8,800 $ -- $ -- $ --
Class B -- -- -- --
- -------------------------------------------------------------------------------------------------
Total $ 8,800 $ -- $ -- $ --
IVF
Class A $ 17 $ -- $ 5,641 $ --
Class B 1,031 -- 5,748 --
Institutional 282,695 -- 876,423 --
Select 93,772 -- 593,686 --
- -------------------------------------------------------------------------------------------------
Total $ 377,515 $ -- $ 1,481,498 $ --
IOF
Class A $ 193,283 $ -- $ 117,616 $ --
Class B 22,172 -- 12,558 --
Institutional 3,539,890 -- 2,095,226 --
Select 774,854 -- 322,792 --
- -------------------------------------------------------------------------------------------------
Total $ 4,530,199 $ -- $ 2,548,192 $ --
</Table>
75
<Page>
<Table>
<Caption>
SIX MONTHS ENDED 4/30/04 YEAR ENDED 10/31/03
--------------------------------- ---------------------------------
NET NET
INVESTMENT INCOME REALIZED GAIN INVESTMENT INCOME REALIZED GAIN
EMF
Class A $ 2,932 $ -- $ 886 $ --
Class B 743 -- 229 --
Institutional 685,507 -- 307,562 --
Select 250,495 -- 121,323 --
- -------------------------------------------------------------------------------------------------
Total $ 939,677 $ -- $ 430,000 $ --
AEF
Class A $ 2,611 $ -- $ -- $ --
Institutional 162,673 -- -- --
Select 248,894 -- -- --
- -------------------------------------------------------------------------------------------------
Total $ 414,178 $ -- $ -- $ --
IEF
Class A $ 97,932 $ -- $ 37,568 $ --
Class B 704 -- 544 --
Class C 5,038 -- 2,626 --
Select 3,957,047 -- 6,721,691 --
- -------------------------------------------------------------------------------------------------
Total $ 4,060,721 $ -- $ 6,762,429 $ --
</Table>
6. INVESTMENT TRANSACTIONS
For the six months ended April 30, 2004, purchases and sales of investments
(excluding short-term investments) are as follows:
<Table>
<Caption>
PURCHASES SALES
(EXCLUDING U.S. (EXCLUDING U.S.
GOVERNMENT) GOVERNMENT)
FUND
EF $ 196,047,136 $ 177,206,651
JF 33,802,009 18,519,911
IGF 1,237,800 1,293,294
IVF 24,863,215 31,698,422
IOF 91,860,628 106,623,411
EMF 55,785,763 71,969,408
AEF 50,994,188 39,482,739
IEF 369,664,810 219,694,243
</Table>
76
<Page>
7. FEDERAL INCOME TAX MATTERS
For Federal income tax purposes, the cost and unrealized appreciation
(depreciation) in value of the investment securities at April 30, 2004, are as
follows:
<Table>
<Caption>
GROSS GROSS NET UNREALIZED
AGGREGATE UNREALIZED UNREALIZED APPRECIATION
COST APPRECIATION DEPRECIATION (DEPRECIATION)
FUND
EF $ 90,604,182 $ 5,932,662 $ (2,691,148) $ 3,241,514
JF 19,295,310 1,776,900 (650,585) 1,126,315
IGF 3,768,801 707,867 (174,677) 533,190
IVF 35,650,698 7,928,663 (535,885) 7,392,778
IOF 142,499,002 35,998,316 (4,520,525) 31,477,791
EMF 67,979,390 12,542,229 (9,819,359) 2,722,870
AEF 44,805,920 5,223,937 (3,036,040) 2,187,897
IEF 875,159,940 156,736,920 (12,207,602) 144,529,318
</Table>
8. BANK BORROWINGS
Pursuant to a Line of Credit Agreement, dated April 17, 2003, the Funds may
borrow money for temporary or emergency purposes. The Funds have entered into
the agreement, enabling them to participate with other JPMorgan Funds in a line
of credit with JPMCB, as administrative agent, and with a syndicate of banks,
which permits borrowings up to $250 million, collectively. Interest is charged
to each Fund based on its borrowings at an annual rate equal to the sum of the
Federal Funds Rate plus 0.50%. The Funds also pay a commitment fee of 0.09% per
annum on the average daily amount of the available commitment, which is
allocated on a pro-rata basis to the Funds. The commitment fee is included in
Other expenses on the Statement of Operations. This agreement expired on April
15, 2004 and has been extended to April 14, 2005.
The Funds had no borrowings outstanding at April 30, 2004, nor at anytime during
the period then ended.
9. CONCENTRATIONS AND INDEMNIFICATIONS
The Funds may have elements of risk not typically associated with investments in
the United States of America due to concentrated investments in a limited number
of countries or regions, which may vary throughout the year. Such concentrations
may subject the Funds to additional risks resulting from political or economic
conditions in such countries or regions and the possible imposition of adverse
governmental laws or currency exchange restrictions could cause the securities
and their markets to be less liquid and their prices more volatile than those of
comparable U.S. securities.
As of April 30, 2004, substantially all of the Funds' net assets consist of
securities of issuers that are denominated in foreign currencies. Changes in
currency exchange rates will affect the value of and investment income from such
securities.
As of April 30, 2004, EF, IGF, IVF, IOF, and IEF invested approximately 28.0%,
27.0%, 25.8%, 23.7% and 28.1%, respectively, of its respective portfolio in
issuers in the United Kingdom. EMF and AEF invested 21.8% and 26.1%,
respectively, of its respective portfolio in issuers in South Korea. AEF
invested 20.8% of its respective portfolio in issuers in Hong Kong. IEF and IGF
invested, respectively, 20.5% and 21.8% of its respective portfolio in issuers
in Japan.
77
<Page>
As of April 30, 2004, IVF invested approximately 20.9% of its net assets in
securities issued by banking companies.
From time to time, the Funds may have a concentration of several shareholders
holding a significant percentage of shares outstanding. At April 30, 2004, all
of the outstanding shares of IGF are owned by a related party. Investment
activities of these shareholders could have a material impact on the Funds.
In the normal course of business the Funds enter into contracts that contain a
variety of representations which provide general indemnifications. Each Fund's
maximum exposure under these arrangements is unknown, as this would involve
future claims that may be made against each Fund that have not yet occurred.
However, based on experience, the Funds expect the risk of loss to be remote.
10. CORPORATE EVENT
On May 25, 2004, J.P. Morgan Chase & Co. and Bank One Corp. announced that, at
separate meetings, their respective shareholders had approved the merger of the
two companies. The companies are expecting to complete the merger of their
holding companies on or about July 1, 2004.
78
<Page>
11. CAPITAL SHARE TRANSACTIONS
Capital share transactions were as follows for the periods presented:
<Table>
<Caption>
INTREPID EUROPEAN FUND
------------------------------------
SIX MONTHS ENDED YEAR ENDED
APRIL 30, 2004 OCTOBER 31, 2003
CLASS A SHARES
AMOUNT
Shares sold $ 6,561,117 $ 40,276,497
Shares issued in reinvestment
of distributions -- 83,574
Shares redeemed (6,434,477) (43,434,120)
- -----------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ 126,640 $ (3,074,049)
- -----------------------------------------------------------------------------------------
SHARES
Shares sold 352,055 2,790,586
Shares issued in reinvestment
of distributions -- 6,424
Shares redeemed (347,253) (3,005,402)
- -----------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding 4,802 (208,392)
- -----------------------------------------------------------------------------------------
CLASS B SHARES
AMOUNT
Shares sold $ 648,177 $ 1,762,130
Shares issued in reinvestment
of distributions -- 48,442
Shares redeemed (1,169,695) (2,733,317)
- -----------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ (521,518) $ (922,745)
- -----------------------------------------------------------------------------------------
SHARES
Shares sold 35,854 130,394
Shares issued in reinvestment
of distributions -- 3,900
Shares redeemed (64,563) (207,188)
- -----------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding (28,709) (72,894)
- -----------------------------------------------------------------------------------------
</Table>
79
<Page>
<Table>
<Caption>
INTREPID EUROPEAN FUND (CONTINUED)
------------------------------------
SIX MONTHS ENDED YEAR ENDED
APRIL 30, 2004 OCTOBER 31, 2003
CLASS C SHARES
AMOUNT
Shares sold $ 611,948 $ 1,061,527
Shares issued in reinvestment
of distributions -- 6,481
Shares redeemed (669,634) (1,309,683)
- -----------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ (57,686) $ (241,675)
- -----------------------------------------------------------------------------------------
SHARES
Shares sold 33,694 82,948
Shares issued in reinvestment
of distributions -- 522
Shares redeemed (37,104) (101,132)
- -----------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding (3,410) (17,662)
- -----------------------------------------------------------------------------------------
INSTITUTIONAL SHARES
AMOUNT
Shares sold $ 23,561,374 $ 11,942,862
Shares issued in reinvestment
of distributions 10,635 9,584
Shares redeemed (3,417,683) (8,659,348)
- -----------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ 20,154,326 $ 3,293,098
- -----------------------------------------------------------------------------------------
SHARES
Shares sold 1,195,008 808,481
Shares issued in reinvestment
of distributions 580 731
Shares redeemed (168,436) (581,439)
- -----------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding 1,027,152 227,773
- -----------------------------------------------------------------------------------------
SELECT SHARES
AMOUNT
Shares sold $ 7,481,991 $ 37,953,176
Shares issued in reinvestment
of distributions 1,933 53,460
Shares redeemed (727,330) (37,843,951)
- -----------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ 6,756,594 $ 162,685
- -----------------------------------------------------------------------------------------
SHARES
Shares sold 390,732 2,716,370
Shares issued in reinvestment
of distributions 106 4,100
Shares redeemed (38,170) (2,698,946)
- -----------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding 352,668 21,524
- -----------------------------------------------------------------------------------------
</Table>
80
<Page>
<Table>
<Caption>
JAPAN FUND
------------------------------------
SIX MONTHS ENDED YEAR ENDED
APRIL 30, 2004 OCTOBER 31, 2003
CLASS A SHARES
AMOUNT
Shares sold $ 18,828,897 $ 9,324,505
Shares redeemed (3,213,750) (7,237,188)
- -----------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ 15,615,147 $ 2,087,317
- -----------------------------------------------------------------------------------------
SHARES
Shares sold 2,711,640 1,871,032
Shares redeemed (486,122) (1,503,284)
- -----------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding 2,225,518 367,748
- -----------------------------------------------------------------------------------------
CLASS B SHARES
AMOUNT
Shares sold $ 863,913 $ 2,655,629
Shares redeemed (731,138) (2,370,145)
- -----------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ 132,775 $ 285,484
- -----------------------------------------------------------------------------------------
SHARES
Shares sold 139,819 486,384
Shares redeemed (119,483) (438,419)
- -----------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding 20,336 47,965
- -----------------------------------------------------------------------------------------
</Table>
81
<Page>
<Table>
<Caption>
INTERNATIONAL GROWTH FUND
------------------------------------
SIX MONTHS ENDED YEAR ENDED
APRIL 30, 2004 OCTOBER 31, 2003
CLASS A SHARES
AMOUNT
Shares sold $ -- $ --
Shares issued in reinvestment
of distributions 8,800 --
Shares redeemed (3,909) --
- -----------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ 4,891 $ --
- -----------------------------------------------------------------------------------------
SHARES
Shares sold -- --
Shares issued in reinvestment
of distributions 1,077 --
Shares redeemed (454) --
- -----------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding 623 --
- -----------------------------------------------------------------------------------------
CLASS B SHARES
AMOUNT
Shares sold $ -- $ 500
Shares issued in reinvestment
of distributions -- --
Shares redeemed -- --
- -----------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ -- $ 500
- -----------------------------------------------------------------------------------------
SHARES
Shares sold -- 65
Shares issued in reinvestment
of distributions -- --
Shares redeemed -- --
- -----------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding -- 65
- -----------------------------------------------------------------------------------------
</Table>
82
<Page>
<Table>
<Caption>
INTERNATIONAL VALUE FUND
------------------------------------
SIX MONTHS ENDED YEAR ENDED
APRIL 30, 2004 OCTOBER 31, 2003
CLASS A SHARES
AMOUNT
Shares sold $ 14,158 $ 543,162
Shares issued in reinvestment
of distributions 17 2,552
Shares redeemed (2,186) (675,120)
- -----------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ 11,989 $ (129,406)
- -----------------------------------------------------------------------------------------
SHARES
Shares sold 1,453 77,455
Shares issued in reinvestment
of distributions 2 376
Shares redeemed (226) (94,026)
- -----------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding 1,229 (16,195)
- -----------------------------------------------------------------------------------------
CLASS B SHARES
AMOUNT
Shares sold $ 99,770 $ 50,588
Shares issued in reinvestment
of distributions 978 5,748
Shares redeemed (6,142) (17,614)
- -----------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ 94,606 $ 38,722
- -----------------------------------------------------------------------------------------
SHARES
Shares sold 10,325 6,411
Shares issued in reinvestment
of distributions 111 850
Shares redeemed (617) (2,473)
- -----------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding 9,819 4,788
- -----------------------------------------------------------------------------------------
INSTITUTIONAL SHARES
AMOUNT
Shares sold $ 1,530,766 $ 45,587,834
Shares issued in reinvestment
of distributions 231,541 662,311
Shares redeemed (5,248,091) (53,678,945)
- -----------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ (3,485,784) $ (7,428,800)
- -----------------------------------------------------------------------------------------
SHARES
Shares sold 162,870 6,408,246
Shares issued in reinvestment
of distributions 25,899 97,113
Shares redeemed (541,139) (7,521,869)
- -----------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding (352,370) (1,016,510)
- -----------------------------------------------------------------------------------------
</Table>
83
<Page>
<Table>
<Caption>
INTERNATIONAL VALUE FUND (CONTINUED)
------------------------------------
SIX MONTHS ENDED YEAR ENDED
APRIL 30, 2004 OCTOBER 31, 2003
SELECT SHARES
AMOUNT
Shares sold $ 1,504,453 $ 68,279,734
Shares issued in reinvestment
of distributions 83,263 527,931
Shares redeemed (3,165,571) (72,491,666)
- -----------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ (1,577,855) $ (3,684,001)
- -----------------------------------------------------------------------------------------
SHARES
Shares sold 158,016 9,510,101
Shares issued in reinvestment
of distributions 9,324 77,523
Shares redeemed (343,759) (10,070,895)
- -----------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding (176,419) (483,271)
- -----------------------------------------------------------------------------------------
</Table>
84
<Page>
<Table>
<Caption>
INTERNATIONAL OPPORTUNITIES FUND
------------------------------------
SIX MONTHS ENDED YEAR ENDED
APRIL 30, 2004 OCTOBER 31, 2003
CLASS A SHARES
AMOUNT
Shares sold $ 2,171,023 $ 36,091,421
Shares issued in reinvestment
of distributions 152,426 99,065
Shares redeemed (1,655,568) (39,802,772)
- -----------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ 667,881 $ (3,612,286)
- -----------------------------------------------------------------------------------------
SHARES
Shares sold 209,686 4,597,546
Shares issued in reinvestment
of distributions 16,355 13,244
Shares redeemed (167,946) (5,051,145)
- -----------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding 58,095 (440,355)
- -----------------------------------------------------------------------------------------
CLASS B SHARES
AMOUNT
Shares sold $ 40,065 $ 171,083
Shares issued in reinvestment
of distributions 19,838 10,904
Shares redeemed (181,218) (376,308)
- -----------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ (121,315) $ (194,321)
- -----------------------------------------------------------------------------------------
SHARES
Shares sold 4,281 21,996
Shares issued in reinvestment
of distributions 2,140 1,463
Shares redeemed (18,436) (51,002)
- -----------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding (12,015) (27,543)
- -----------------------------------------------------------------------------------------
INSTITUTIONAL SHARES
AMOUNT
Shares sold $ 7,915,301 $ 94,487,627
Shares issued in reinvestment
of distributions 1,220,797 1,065,103
Shares redeemed (24,711,094) (199,547,604)
- -----------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ (15,574,996) $ (103,994,874)
- -----------------------------------------------------------------------------------------
SHARES
Shares sold 808,682 12,124,742
Shares issued in reinvestment
of distributions 129,596 141,073
Shares redeemed (2,502,042) (25,518,152)
- -----------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding (1,563,764) (13,252,337)
- -----------------------------------------------------------------------------------------
</Table>
85
<Page>
<Table>
<Caption>
INTERNATIONAL OPPORTUNITIES FUND (CONTINUED)
--------------------------------------------
SIX MONTHS ENDED YEAR ENDED
APRIL 30, 2004 OCTOBER 31, 2003
SELECT SHARES
AMOUNT
Shares sold $ 13,387,760 $ 73,847,430
Shares issued in reinvestment
of distributions 485,779 248,520
Shares redeemed (13,157,374) (82,557,324)
- -------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ 716,165 $ (8,461,374)
- -------------------------------------------------------------------------------------------------
SHARES
Shares sold 1,344,700 9,619,318
Shares issued in reinvestment
of distributions 51,734 33,004
Shares redeemed (1,314,532) (10,731,214)
- -------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding 81,902 (1,078,892)
- -------------------------------------------------------------------------------------------------
</Table>
86
<Page>
<Table>
<Caption>
EMERGING MARKETS EQUITY FUND
------------------------------------
SIX MONTHS ENDED YEAR ENDED
APRIL 30, 2004 OCTOBER 31, 2003
CLASS A SHARES
AMOUNT
Shares sold $ 1,026,617 $ 222,427
Shares issued in reinvestment
of distributions 2,606 886
Shares redeemed (168,490) (172,217)
- -----------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ 860,733 $ 51,096
- -----------------------------------------------------------------------------------------
SHARES
Shares sold 119,153 36,685
Shares issued in reinvestment
of distributions 343 161
Shares redeemed (19,093) (29,071)
- -----------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding 100,403 7,775
- -----------------------------------------------------------------------------------------
CLASS B SHARES
AMOUNT
Shares sold $ 210,280 $ 306,190
Shares issued in reinvestment
of distributions 688 227
Shares redeemed (119,641) (276,477)
- -----------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ 91,327 $ 29,940
- -----------------------------------------------------------------------------------------
SHARES
Shares sold 24,912 53,373
Shares issued in reinvestment
of distributions 91 42
Shares redeemed (14,470) (48,520)
- -----------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding 10,533 4,895
- -----------------------------------------------------------------------------------------
INSTITUTIONAL SHARES
AMOUNT
Shares sold $ 2,563,928 $ 41,492,898
Shares issued in reinvestment
of distributions 533,769 269,543
Shares redeemed (20,033,720) (49,074,995)
- -----------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ (16,936,023) $ (7,312,554)
- -----------------------------------------------------------------------------------------
SHARES
Shares sold 310,500 6,770,225
Shares issued in reinvestment
of distributions 69,231 48,742
Shares redeemed (2,468,805) (8,140,162)
- -----------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding (2,089,074) (1,321,195)
- -----------------------------------------------------------------------------------------
</Table>
87
<Page>
<Table>
<Caption>
EMERGING MARKETS EQUITY FUND (CONTINUED)
----------------------------------------
SIX MONTHS ENDED YEAR ENDED
APRIL 30, 2004 OCTOBER 31, 2003
SELECT SHARES
AMOUNT
Shares sold $ 5,618,001 $ 25,679,042
Shares issued in reinvestment
of distributions 242,745 109,846
Shares redeemed (7,472,672) (28,827,604)
- ---------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ (1,611,926) $ (3,038,716)
- ---------------------------------------------------------------------------------------------
SHARES
Shares sold 661,933 4,451,740
Shares issued in reinvestment
of distributions 31,690 19,972
Shares redeemed (906,246) (5,039,893)
- ---------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding (212,623) (568,181)
- ---------------------------------------------------------------------------------------------
</Table>
88
<Page>
<Table>
<Caption>
ASIA EQUITY FUND
------------------------------------
SIX MONTHS ENDED YEAR ENDED
APRIL 30, 2004 OCTOBER 31, 2003
CLASS A SHARES
AMOUNT
Shares sold $ 375,167 $ 537,655
Shares issued in reinvestment
of distributions 2,033 --
Shares redeemed (405,628) (2,492,363)
- -----------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ (28,428) $ (1,954,708)
- -----------------------------------------------------------------------------------------
SHARES
Shares sold 19,973 32,651
Shares issued in reinvestment
of distributions 115 --
Shares redeemed (20,195) (184,626)
- -----------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding (107) (151,975)
- -----------------------------------------------------------------------------------------
CLASS B^ SHARES
AMOUNT
Shares sold $ -- $ 1,689
Shares issued in reinvestment
of distributions -- --
Shares redeemed -- (439,700)
- -----------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ -- $ (438,011)
- -----------------------------------------------------------------------------------------
SHARES
Shares sold -- 134
Shares issued in reinvestment
of distributions -- --
Shares redeemed -- (33,467)
- -----------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding -- (33,333)
- -----------------------------------------------------------------------------------------
</Table>
^ Class ceased operations as of September 12, 2003.
89
<Page>
<Table>
<Caption>
ASIA EQUITY FUND (CONTINUED)
------------------------------------
SIX MONTHS ENDED YEAR ENDED
APRIL 30, 2004 OCTOBER 31, 2003
INSTITUTIONAL SHARES
AMOUNT
Shares sold $ 11,005,290 $ 7,757,913
Shares issued in reinvestment
of distributions 53,366 --
Shares redeemed (4,001,578) (2,900,715)
- -----------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ 7,057,078 $ 4,857,198
- -----------------------------------------------------------------------------------------
SHARES
Shares sold 583,180 524,630
Shares issued in reinvestment
of distributions 3,005 --
Shares redeemed (212,150) (217,520)
- -----------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding 374,035 307,110
- -----------------------------------------------------------------------------------------
SELECT SHARES
AMOUNT
Shares sold $ 5,808,337 $ 12,196,112
Shares issued in reinvestment
of distributions 98,193 --
Shares redeemed (1,605,061) (6,905,670)
- -----------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ 4,301,469 $ 5,290,442
- -----------------------------------------------------------------------------------------
SHARES
Shares sold 308,398 845,208
Shares issued in reinvestment
of distributions 5,535 --
Shares redeemed (84,969) (496,583)
- -----------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding 228,964 348,625
- -----------------------------------------------------------------------------------------
</Table>
90
<Page>
<Table>
<Caption>
INTERNATIONAL EQUITY FUND
------------------------------------
SIX MONTHS ENDED YEAR ENDED
APRIL 30, 2004 OCTOBER 31, 2003
CLASS A SHARES
AMOUNT
Shares sold $ 40,589,148 $ 20,900,763
Shares issued in reinvestment
of distributions 26,343 25,323
Shares redeemed (8,584,455) (13,862,836)
- -----------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ 32,031,036 $ 7,063,250
- -----------------------------------------------------------------------------------------
SHARES
Shares sold 1,607,348 1,016,554
Shares issued in reinvestment
of distributions 1,022 1,181
Shares redeemed (335,698) (655,562)
- -----------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding 1,272,672 362,173
- -----------------------------------------------------------------------------------------
CLASS B SHARES
AMOUNT
Shares sold $ 434,069 $ 138,537
Shares issued in reinvestment
of distributions 609 531
Shares redeemed (123,346) (7,776)
- -----------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ 311,332 $ 131,292
- -----------------------------------------------------------------------------------------
SHARES
Shares sold 16,899 6,922
Shares issued in reinvestment
of distributions 24 26
Shares redeemed (4,664) (363)
- -----------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding 12,259 6,585
- -----------------------------------------------------------------------------------------
</Table>
91
<Page>
<Table>
<Caption>
INTERNATIONAL EQUITY FUND (CONTINUED)
--------------------------------------
SIX MONTHS ENDED YEAR ENDED
APRIL 30, 2004 OCTOBER 31, 2003**
CLASS C SHARES
AMOUNT
Shares sold $ 3,255,528 $ 2,164,951
Shares issued in reinvestment
of distributions 2,153 2,490
Shares redeemed (926,934) (564,751)
- -------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ 2,330,747 $ 1,602,690
- -------------------------------------------------------------------------------------------
SHARES
Shares sold 129,214 100,275
Shares issued in reinvestment
of distributions 85 117
Shares redeemed (36,503) (27,490)
- -------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding 92,796 72,902
- -------------------------------------------------------------------------------------------
SELECT SHARES
AMOUNT
Shares sold $ 380,594,930 $ 559,611,045
Shares issued in reinvestment
of distributions 1,354,816 2,705,120
Shares redeemed (245,506,824) (103,450,685)
- -------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ 136,442,922 $ 458,865,480
- -------------------------------------------------------------------------------------------
SHARES
Shares sold 14,648,985 27,236,203
Shares issued in reinvestment
of distributions 52,171 131,977
Shares redeemed (9,822,171) (5,015,596)
- -------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding 4,878,985 22,352,584
- -------------------------------------------------------------------------------------------
</Table>
** For Class C Shares, from commencement of offering on January 31, 2003.
92
<Page>
THIS PAGE IS INTENTIONALLY LEFT BLANK
93
<Page>
JPMORGAN FUNDS
FINANCIAL HIGHLIGHTS (Unaudited)
CLASS A SHARES
<Table>
<Caption>
PER SHARE OPERATING PERFORMANCE:
-------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
----------------------------------------
NET GAINS
OR LOSSES ON
NET ASSET NET SECURITIES
VALUE, INVESTMENT (BOTH TOTAL FROM
BEGINNING INCOME REALIZED AND INVESTMENT
OF PERIOD (LOSS) UNREALIZED) OPERATIONS
INTREPID EUROPEAN FUND (e)
11/1/03 Through 4/30/04 $ 16.94 0.02^ 1.31 1.33
Year Ended 10/31/03 $ 13.23 0.02^ 3.78 3.80
Year Ended 10/31/02 $ 12.96 0.14^ 0.13 0.27
Year Ended 10/31/01 $ 17.87 0.02^ (3.24) (3.22)
Year Ended 10/31/00 $ 16.52 (0.12)^ 1.83 1.71
Year Ended 10/31/99 $ 14.47 (0.06)^ 2.31 2.25
JAPAN FUND (j)
11/1/03 Through 4/30/04 $ 6.68 (0.01)^ 0.77 0.76
Year Ended 10/31/03 $ 4.43 (0.05)^ 2.30 2.25
Year Ended 10/31/02 $ 5.29 (0.06) (0.80) (0.86)
Year Ended 10/31/01 $ 8.12 (0.08)^ (2.75) (2.83)
Year Ended 10/31/00 $ 9.84 (0.15)^ (1.57) (1.72)
Year Ended 10/31/99 $ 6.41 (0.07)^ 3.50 3.43
INTERNATIONAL GROWTH FUND (g)
11/1/03 Through 4/30/04 $ 7.80 (0.01) 0.75 0.74
Year Ended 10/31/03 $ 6.25 0.02 1.53 1.55
Year Ended 10/31/02 $ 7.22 (0.01) (0.96) (0.97)
12/29/00* Through 10/31/01 $ 10.00 (0.01) (2.76) (2.77)
INTERNATIONAL VALUE FUND (v)
11/1/03 Through 4/30/04 $ 8.53 0.07^ 1.20 1.27
Year Ended 10/31/03 $ 6.98 0.03^ 1.77 1.80
Year Ended 10/31/02 $ 8.27 0.15^ (1.32) (1.17)
9/28/01** Through 10/31/01 $ 8.12 (0.01)^ 0.16 0.15
<Caption>
PER SHARE OPERATING PERFORMANCE:
------------------------------------------
LESS DISTRIBUTIONS:
------------------------------------------
DIVIDENDS
FROM NET DISTRIBUTIONS
INVESTMENT FROM CAPITAL TOTAL
INCOME GAINS DISTRIBUTIONS
INTREPID EUROPEAN FUND (e)
11/1/03 Through 4/30/04 -- -- --
Year Ended 10/31/03 0.09 -- 0.09
Year Ended 10/31/02 -- -- --
Year Ended 10/31/01 -- 1.69 1.69
Year Ended 10/31/00 -- 0.36 0.36
Year Ended 10/31/99 0.09 0.11 0.20
JAPAN FUND (j)
11/1/03 Through 4/30/04 -- -- --
Year Ended 10/31/03 -- -- --
Year Ended 10/31/02 -- -- --
Year Ended 10/31/01 -- -- --
Year Ended 10/31/00 -- -- --
Year Ended 10/31/99 -- -- --
INTERNATIONAL GROWTH FUND (g)
11/1/03 Through 4/30/04 0.02 -- 0.02
Year Ended 10/31/03 -- -- --
Year Ended 10/31/02 -- -- --
12/29/00* Through 10/31/01 0.01 -- 0.01
INTERNATIONAL VALUE FUND (v)
11/1/03 Through 4/30/04 --(b) -- --(b)
Year Ended 10/31/03 0.25 -- 0.25
Year Ended 10/31/02 0.12 -- 0.12
9/28/01** Through 10/31/01 -- -- --
</Table>
* Commencement of operations.
** Commencement of offering of class of shares.
^ Calculated based upon average shares outstanding.
(1) Total return figures do not include the effect of any front-end or
deferred sales load.
(a) Not annualized for periods less than one year.
(b) Amount rounds to less than $.01.
SEE NOTES TO FINANCIAL STATEMENTS.
94
<Page>
SEMI-ANNUAL REPORT APRIL 30 2004
<Table>
<Caption>
PER SHARE OPERATING PERFORMANCE:
-----------------------------------
NET ASSET
VALUE, END TOTAL
OF PERIOD RETURN (1)(a)
INTREPID EUROPEAN FUND (e)
11/1/03 Through 4/30/04 $ 18.27 7.85%
Year Ended 10/31/03 $ 16.94 28.94%
Year Ended 10/31/02 $ 13.23 2.08%
Year Ended 10/31/01 $ 12.96 (19.49%)
Year Ended 10/31/00 $ 17.87 10.13%
Year Ended 10/31/99 $ 16.52 15.60%
JAPAN FUND (j)
11/1/03 Through 4/30/04 $ 7.44 11.23%
Year Ended 10/31/03 $ 6.68 50.79%
Year Ended 10/31/02 $ 4.43 (16.26%)
Year Ended 10/31/01 $ 5.29 (34.85%)
Year Ended 10/31/00 $ 8.12 (17.48%)
Year Ended 10/31/99 $ 9.84 53.51%
INTERNATIONAL GROWTH FUND (g)
11/1/03 Through 4/30/04 $ 8.52 9.52%
Year Ended 10/31/03 $ 7.80 24.80%
Year Ended 10/31/02 $ 6.25 (13.43%)
12/29/00* Through 10/31/01 $ 7.22 (27.68%)
INTERNATIONAL VALUE FUND (v)
11/1/03 Through 4/30/04 $ 9.80 14.92%
Year Ended 10/31/03 $ 8.53 26.71%
Year Ended 10/31/02 $ 6.98 (14.34%)
9/28/01** Through 10/31/01 $ 8.27 1.85%
<Caption>
RATIOS/SUPPLEMENTAL DATA:
--------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
-------------------------------
NET ASSETS, NET
END OF INVESTMENT
PERIOD NET INCOME
(000 OMITTED) EXPENSES (LOSS)
INTREPID EUROPEAN FUND (e)
11/1/03 Through 4/30/04 $ 33,872 1.75% 0.20%
Year Ended 10/31/03 $ 31,322 1.70% 0.17%
Year Ended 10/31/02 $ 27,208 1.65% 1.03%
Year Ended 10/31/01 $ 32,317 1.75% 0.17%
Year Ended 10/31/00 $ 75,801 1.74% (0.60%)
Year Ended 10/31/99 $ 47,759 1.74% (0.40%)
JAPAN FUND (j)
11/1/03 Through 4/30/04 $ 20,514 1.75% (0.21%)
Year Ended 10/31/03 $ 3,562 1.75% (1.02%)
Year Ended 10/31/02 $ 734 1.75% (1.26%)
Year Ended 10/31/01 $ 751 1.75% (1.22%)
Year Ended 10/31/00 $ 2,448 1.77% (1.54%)
Year Ended 10/31/99 $ 4,260 1.74% (0.88%)
INTERNATIONAL GROWTH FUND (g)
11/1/03 Through 4/30/04 $ 3,475 2.00% (0.17%)
Year Ended 10/31/03 $ 3,174 2.00% 0.36%
Year Ended 10/31/02 $ 2,543 2.00% (0.12%)
12/29/00* Through 10/31/01 $ 2,922 2.00% (0.11%)
INTERNATIONAL VALUE FUND (v)
11/1/03 Through 4/30/04 $ 81 1.45% 1.40%
Year Ended 10/31/03 $ 60 1.45% 0.37%
Year Ended 10/31/02 $ 163 1.45% 1.13%
9/28/01** Through 10/31/01 $ 10 1.45% (0.89%)
<Caption>
RATIOS/SUPPLEMENTAL DATA:
----------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
--------------------------------------------
NET INVESTMENT
EXPENSES INCOME (LOSS)
WITHOUT WAIVERS, WITHOUT WAIVERS, PORTFOLIO
REIMBURSEMENTS REIMBURSEMENTS TURNOVER
AND EARNINGS CREDITS AND EARNINGS CREDITS RATE (a)
INTREPID EUROPEAN FUND (e)
11/1/03 Through 4/30/04 2.31% (0.36%) 209%
Year Ended 10/31/03 2.47% (0.60%) 717%
Year Ended 10/31/02 2.45% 0.23% 1,021%
Year Ended 10/31/01 2.07% (0.15%) 564%
Year Ended 10/31/00 1.95% (0.81%) 161%
Year Ended 10/31/99 2.06% (0.72%) 149%
JAPAN FUND (j)
11/1/03 Through 4/30/04 5.34%! (3.80%)! 200%
Year Ended 10/31/03 19.54%! (18.81%)! 797%
Year Ended 10/31/02 22.18%! (21.69%)! 409%
Year Ended 10/31/01 9.28%! (8.75%)! 196%
Year Ended 10/31/00 5.49%! (5.26%)! 123%
Year Ended 10/31/99 5.44%! (4.58%)! 133%
INTERNATIONAL GROWTH FUND (g)
11/1/03 Through 4/30/04 6.42% (4.59%) 29%
Year Ended 10/31/03 7.29% (4.93%) 38%
Year Ended 10/31/02 7.20% (5.32%) 73%
12/29/00* Through 10/31/01 5.19% (3.30%) 35%
INTERNATIONAL VALUE FUND (v)
11/1/03 Through 4/30/04 8.82%! (5.97%)! 57%
Year Ended 10/31/03 10.04%! (8.22%)! 132%
Year Ended 10/31/02 15.97%! (13.39%)! 138%
9/28/01** Through 10/31/01 11.06%! (10.50%)! 85%
</Table>
(e) Prior to February 27, 2004, the Fund was named Fleming European Fund;
prior to February 28, 2001, the Fund was named Chase Vista European Fund.
(g) Formerly Chase Vista International Growth Fund.
(j) Formerly Chase Vista Japan Fund.
(v) Formerly JPMorgan International Equity Fund.
# Short periods have been annualized.
! Due to the size of net assets and fixed expenses, ratios may appear
disproportionate.
SEE NOTES TO FINANCIAL STATEMENTS.
95
<Page>
<Table>
<Caption>
PER SHARE OPERATING PERFORMANCE:
----------------------------------
NET ASSET
VALUE,
BEGINNING
OF PERIOD
INTERNATIONAL OPPORTUNITIES FUND (o)
11/1/03 Through 4/30/04 $ 9.10
Year Ended 10/31/03 $ 7.49
Year Ended 10/31/02 $ 8.63
9/10/01** Through 10/31/01 $ 9.18
EMERGING MARKETS EQUITY FUND (m)
11/1/03 Through 4/30/04 $ 7.49
Year Ended 10/31/03 $ 5.21
Year Ended 10/31/02 $ 5.14
9/28/01** Through 10/31/01 $ 4.88
ASIA EQUITY FUND (p)
11/1/03 Through 4/30/04 $ 17.74
Year Ended 10/31/03 $ 13.69
11/1/01* Through 10/31/02 $ 15.00
INTERNATIONAL EQUITY FUND (i)
11/1/03 Through 4/30/04 $ 23.17
Year Ended 10/31/03 $ 19.42
2/28/02** Through 10/31/02 $ 21.81
<Caption>
PER SHARE OPERATING PERFORMANCE:
-----------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
----------------------------------
NET GAINS
OR LOSSES ON
NET SECURITIES
INVESTMENT (BOTH TOTAL FROM
INCOME REALIZED AND INVESTMENT
(LOSS) UNREALIZED) OPERATIONS
INTERNATIONAL OPPORTUNITIES FUND (o)
11/1/03 Through 4/30/04 0.02^ 0.84 0.86
Year Ended 10/31/03 (--)^(b) 1.68 1.68
Year Ended 10/31/02 0.02 (1.09) (1.07)
9/10/01** Through 10/31/01 (0.01)^ (0.54) (0.55)
EMERGING MARKETS EQUITY FUND (m)
11/1/03 Through 4/30/04 (--)^(b) 0.92 0.92
Year Ended 10/31/03 0.04^ 2.27 2.31
Year Ended 10/31/02 (0.06)^ 0.17 0.11
9/28/01** Through 10/31/01 (0.01)^ 0.27 0.26
ASIA EQUITY FUND (p)
11/1/03 Through 4/30/04 (0.01)^ (0.02) (0.03)
Year Ended 10/31/03 --^(b) 4.05 4.05
11/1/01* Through 10/31/02 (0.02) (1.29) (1.31)
INTERNATIONAL EQUITY FUND (i)
11/1/03 Through 4/30/04 0.11^ 2.37 2.48
Year Ended 10/31/03 0.28^ 3.66 3.94
2/28/02** Through 10/31/02 0.04^ (2.37) (2.33)
<Caption>
PER SHARE OPERATING PERFORMANCE:
----------------------------------------
LESS DISTRIBUTIONS:
----------------------------------------
DIVIDENDS
FROM NET DISTRIBUTIONS TOTAL
INVESTMENT FROM CAPITAL DIVIDENDS AND
INCOME GAINS DISTRIBUTIONS
INTERNATIONAL OPPORTUNITIES FUND (o)
11/1/03 Through 4/30/04 0.17 -- 0.17
Year Ended 10/31/03 0.07 -- 0.07
Year Ended 10/31/02 0.07 -- 0.07
9/10/01** Through 10/31/01 -- -- --
EMERGING MARKETS EQUITY FUND (m)
11/1/03 Through 4/30/04 0.10 -- 0.10
Year Ended 10/31/03 0.03 -- 0.03
Year Ended 10/31/02 0.04 -- 0.04
9/28/01** Through 10/31/01 -- -- --
ASIA EQUITY FUND (p)
11/1/03 Through 4/30/04 0.11 -- 0.11
Year Ended 10/31/03 -- -- --
11/1/01* Through 10/31/02 -- -- --
INTERNATIONAL EQUITY FUND (i)
11/1/03 Through 4/30/04 0.09 -- 0.09
Year Ended 10/31/03 0.19 -- 0.19
2/28/02** Through 10/31/02 0.06 -- 0.06
</Table>
* Commencement of operations.
** Commencement of offering of class of shares.
^ Calculated based upon average shares outstanding.
(1) Total return figures do not include the effect of any front-end or
deferred sales load.
(a) Not annualized for periods less than one year.
(b) Amount rounds to less than $.01.
SEE NOTES TO FINANCIAL STATEMENTS.
96
<Page>
<Table>
<Caption>
PER SHARE OPERATING PERFORMANCE:
--------------------------------
NET ASSET
VALUE, END TOTAL
OF PERIOD RETURN (1)(a)
INTERNATIONAL OPPORTUNITIES FUND (o)
11/1/03 Through 4/30/04 $ 9.79 9.56%
Year Ended 10/31/03 $ 9.10 22.70%
Year Ended 10/31/02 $ 7.49 (12.55%)
9/10/01** Through 10/31/01 $ 8.63 (5.99%)
EMERGING MARKETS EQUITY FUND (m)
11/1/03 Through 4/30/04 $ 8.31 12.35%
Year Ended 10/31/03 $ 7.49 44.65%
Year Ended 10/31/02 $ 5.21 2.14%
9/28/01** Through 10/31/01 $ 5.14 5.33%
ASIA EQUITY FUND (p)
11/1/03 Through 4/30/04 $ 17.60 (0.17%)
Year Ended 10/31/03 $ 17.74 29.58%
11/1/01* Through 10/31/02 $ 13.69 (8.73%)
INTERNATIONAL EQUITY FUND (i)
11/1/03 Through 4/30/04 $ 25.56 10.69%
Year Ended 10/31/03 $ 23.17 20.41%
2/28/02** Through 10/31/02 $ 19.42 (10.70%)
<Caption>
RATIOS/SUPPLEMENTAL DATA:
-------------------------
NET ASSETS,
END OF
PERIOD
(000 OMITTED)
INTERNATIONAL OPPORTUNITIES FUND (o)
11/1/03 Through 4/30/04 $ 12,026
Year Ended 10/31/03 $ 10,650
Year Ended 10/31/02 $ 12,057
9/10/01** Through 10/31/01 $ 21,237
EMERGING MARKETS EQUITY FUND (m)
11/1/03 Through 4/30/04 $ 971
Year Ended 10/31/03 $ 124
Year Ended 10/31/02 $ 46
9/28/01** Through 10/31/01 $ 11
ASIA EQUITY FUND (p)
11/1/03 Through 4/30/04 $ 257
Year Ended 10/31/03 $ 261
11/1/01* Through 10/31/02 $ 2,282
INTERNATIONAL EQUITY FUND (i)
11/1/03 Through 4/30/04 $ 41,906
Year Ended 10/31/03 $ 8,502
2/28/02** Through 10/31/02 $ 91
<Caption>
RATIOS/SUPPLEMENTAL DATA:
-------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
-------------------------------------------------------------------
NET INVESTMENT
NET EXPENSES INCOME (LOSS)
INVESTMENT WITHOUT WAIVERS, WITHOUT WAIVERS,
NET INCOME REIMBURSEMENTS REIMBURSEMENTS
EXPENSES (LOSS) AND EARNINGS CREDITS AND EARNINGS CREDITS
INTERNATIONAL OPPORTUNITIES FUND (o)
11/1/03 Through 4/30/04 1.90% 0.37% 2.18% 0.09%
Year Ended 10/31/03 1.90% (0.02%) 2.39% (0.51%)
Year Ended 10/31/02 1.90% 0.20% 1.98% 0.12%
9/10/01** Through 10/31/01 1.90% (0.48%) 1.90% (0.48%)
EMERGING MARKETS EQUITY FUND (m)
11/1/03 Through 4/30/04 2.00% (0.06%) 6.82%! (4.88%)!
Year Ended 10/31/03 2.00% 0.59% 24.54%! (21.95%)!
Year Ended 10/31/02 2.00% (0.47%) 37.57%! (36.04%)!
9/28/01** Through 10/31/01 2.00% (1.53%) 12.12%! (11.65%)!
ASIA EQUITY FUND (p)
11/1/03 Through 4/30/04 1.75% (0.10%) 6.53%! (4.88%)!
Year Ended 10/31/03 1.75% 0.02% 4.83%! (3.06%)!
11/1/01* Through 10/31/02 1.75% (0.12%) 5.16%! (3.53%)!
INTERNATIONAL EQUITY FUND (i)
11/1/03 Through 4/30/04 1.50% 0.84% 1.99%! 0.35%!
Year Ended 10/31/03 1.50% 1.28% 2.69%! 0.09%!
2/28/02** Through 10/31/02 1.50% 0.50% 55.25%! (53.25%)!
<Caption>
RATIOS/SUPPLEMENTAL DATA:
-------------------------
PORTFOLIO
TURNOVER
RATE (a)
INTERNATIONAL OPPORTUNITIES FUND (o)
11/1/03 Through 4/30/04 51%
Year Ended 10/31/03 79%
Year Ended 10/31/02 121%
9/10/01** Through 10/31/01 110%
EMERGING MARKETS EQUITY FUND (m)
11/1/03 Through 4/30/04 75%
Year Ended 10/31/03 85%
Year Ended 10/31/02 69%
9/28/01** Through 10/31/01 76%
ASIA EQUITY FUND (p)
11/1/03 Through 4/30/04 89%
Year Ended 10/31/03 172%
11/1/01* Through 10/31/02 106%
INTERNATIONAL EQUITY FUND (i)
11/1/03 Through 4/30/04 24%
Year Ended 10/31/03 16%
2/28/02** Through 10/31/02 20%
</Table>
(i) Formerly Chase Vista Select International Equity Fund.
(m) Formerly J.P. Morgan Institutional Emerging Markets Equity Fund.
(o) Formerly J.P.Morgan Institutional International Opportunities Fund.
(p) Formerly JPMorgan Fleming Pacific Region Fund.
# Short periods have been annualized.
! Due to the size of net assets and fixed expenses, ratios may appear
disproportionate.
SEE NOTES TO FINANCIAL STATEMENTS.
97
<Page>
CLASS B SHARES
<Table>
<Caption>
PER SHARE OPERATING PERFORMANCE:
----------------------------------
NET ASSET
VALUE,
BEGINNING
OF PERIOD
INTREPID EUROPEAN FUND (e)
11/1/03 Through 4/30/04 $ 16.08
Year Ended 10/31/03 $ 12.63
Year Ended 10/31/02 $ 12.48
Year Ended 10/31/01 $ 17.38
Year Ended 10/31/00 $ 16.18
Year Ended 10/31/99 $ 14.24
JAPAN FUND (j)
11/1/03 Through 4/30/04 $ 6.36
Year Ended 10/31/03 $ 4.25
Year Ended 10/31/02 $ 5.13
Year Ended 10/31/01 $ 7.93
Year Ended 10/31/00 $ 9.65
Year Ended 10/31/99 $ 6.32
INTERNATIONAL GROWTH FUND (g)
11/1/03 Through 4/30/04 $ 7.70
Year Ended 10/31/03 $ 6.20
Year Ended 10/31/02 $ 7.19
12/29/00* Through 10/31/01 $ 10.00
INTERNATIONAL VALUE FUND (v)
11/1/03 Through 4/30/04 $ 8.46
Year Ended 10/31/03 $ 6.96
Year Ended 10/31/02 $ 8.28
9/28/01** Through 10/31/01 $ 8.12
<Caption>
PER SHARE OPERATING PERFORMANCE:
---------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
---------------------------------------
NET GAINS
OR LOSSES ON
NET SECURITIES
INVESTMENT (BOTH TOTAL FROM
INCOME REALIZED AND INVESTMENT
(LOSS) UNREALIZED) OPERATIONS
INTREPID EUROPEAN FUND (e)
11/1/03 Through 4/30/04 (0.03)^ 1.25 1.22
Year Ended 10/31/03 (0.06)^ 3.59 3.53
Year Ended 10/31/02 0.05^ 0.10 0.15
Year Ended 10/31/01 (0.09)^ (3.12) (3.21)
Year Ended 10/31/00 (0.27)^ 1.83 1.56
Year Ended 10/31/99 (0.18)^ 2.26 2.08
JAPAN FUND (j)
11/1/03 Through 4/30/04 (0.04)^ 0.74 0.70
Year Ended 10/31/03 (0.11)^ 2.22 2.11
Year Ended 10/31/02 (0.12) (0.76) (0.88)
Year Ended 10/31/01 (0.13)^ (2.67) (2.80)
Year Ended 10/31/00 (0.22)^ (1.50) (1.72)
Year Ended 10/31/99 (0.13)^ 3.46 3.33
INTERNATIONAL GROWTH FUND (g)
11/1/03 Through 4/30/04 (0.03) 0.74 0.71
Year Ended 10/31/03 (0.01) 1.51 1.50
Year Ended 10/31/02 (0.04) (0.95) (0.99)
12/29/00* Through 10/31/01 (0.04) (2.77) (2.81)
INTERNATIONAL VALUE FUND (v)
11/1/03 Through 4/30/04 0.04^ 1.20 1.24
Year Ended 10/31/03 (0.07)^ 1.82 1.75
Year Ended 10/31/02 (0.02)^ (1.18) (1.20)
9/28/01** Through 10/31/01 (0.01)^ 0.17 0.16
<Caption>
PER SHARE OPERATING PERFORMANCE:
----------------------------------------
LESS DISTRIBUTIONS:
----------------------------------------
DIVIDENDS
FROM NET DISTRIBUTIONS
INVESTMENT FROM CAPITAL TOTAL
INCOME GAINS DISTRIBUTIONS
INTREPID EUROPEAN FUND (e)
11/1/03 Through 4/30/04 -- -- --
Year Ended 10/31/03 0.08 -- 0.08
Year Ended 10/31/02 -- -- --
Year Ended 10/31/01 -- 1.69 1.69
Year Ended 10/31/00 -- 0.36 0.36
Year Ended 10/31/99 0.03 0.11 0.14
JAPAN FUND (j)
11/1/03 Through 4/30/04 -- -- --
Year Ended 10/31/03 -- -- --
Year Ended 10/31/02 -- -- --
Year Ended 10/31/01 -- -- --
Year Ended 10/31/00 -- -- --
Year Ended 10/31/99 -- -- --
INTERNATIONAL GROWTH FUND (g)
11/1/03 Through 4/30/04 -- -- --
Year Ended 10/31/03 -- -- --
Year Ended 10/31/02 -- -- --
12/29/00* Through 10/31/01 -- -- --
INTERNATIONAL VALUE FUND (v)
11/1/03 Through 4/30/04 0.03 -- 0.03
Year Ended 10/31/03 0.25 -- 0.25
Year Ended 10/31/02 0.12 -- 0.12
9/28/01** Through 10/31/01 -- -- --
</Table>
* Commencement of operations.
** Commencement of offering of class of shares.
^ Calculated based upon average shares outstanding.
(1) Total return figures do not include the effect of any front-end or
deferred sales load.
(a) Not annualized for periods less than one year.
(e) Prior to February 27, 2004, the Fund was named Fleming European Fund;
prior to February 28, 2001, the Fund was named Chase Vista European Fund.
SEE NOTES TO FINANCIAL STATEMENTS.
98
<Page>
<Table>
<Caption>
PER SHARE OPERATING PERFORMANCE:
--------------------------------
NET ASSET
VALUE, END TOTAL
OF PERIOD RETURN (1)(a)
INTREPID EUROPEAN FUND (e)
11/1/03 Through 4/30/04 $ 17.30 7.59%
Year Ended 10/31/03 $ 16.08 28.13%
Year Ended 10/31/02 $ 12.63 1.20%
Year Ended 10/31/01 $ 12.48 (20.03%)
Year Ended 10/31/00 $ 17.38 9.40%
Year Ended 10/31/99 $ 16.18 14.66%
JAPAN FUND (j)
11/1/03 Through 4/30/04 $ 7.06 11.01%
Year Ended 10/31/03 $ 6.36 49.65%
Year Ended 10/31/02 $ 4.25 (17.15%)
Year Ended 10/31/01 $ 5.13 (35.31%)
Year Ended 10/31/00 $ 7.93 (17.82%)
Year Ended 10/31/99 $ 9.65 52.69%
INTERNATIONAL GROWTH FUND (g)
11/1/03 Through 4/30/04 $ 8.41 9.35%
Year Ended 10/31/03 $ 7.70 24.19%
Year Ended 10/31/02 $ 6.20 (13.77%)
12/29/00* Through 10/31/01 $ 7.19 (28.10%)
INTERNATIONAL VALUE FUND (v)
11/1/03 Through 4/30/04 $ 9.67 14.73%
Year Ended 10/31/03 $ 8.46 25.97%
Year Ended 10/31/02 $ 6.96 (14.72%)
9/28/01** Through 10/31/01 $ 8.28 1.97%
<Caption>
RATIOS/SUPPLEMENTAL DATA:
-------------------------
NET ASSETS,
END OF
PERIOD
(000 OMITTED)
INTREPID EUROPEAN FUND (e)
11/1/03 Through 4/30/04 $ 11,963
Year Ended 10/31/03 $ 11,583
Year Ended 10/31/02 $ 10,017
Year Ended 10/31/01 $ 10,905
Year Ended 10/31/00 $ 18,546
Year Ended 10/31/99 $ 10,038
JAPAN FUND (j)
11/1/03 Through 4/30/04 $ 663
Year Ended 10/31/03 $ 469
Year Ended 10/31/02 $ 109
Year Ended 10/31/01 $ 135
Year Ended 10/31/00 $ 322
Year Ended 10/31/99 $ 1,089
INTERNATIONAL GROWTH FUND (g)
11/1/03 Through 4/30/04 $ 861
Year Ended 10/31/03 $ 788
Year Ended 10/31/02 $ 634
12/29/00* Through 10/31/01 $ 719
INTERNATIONAL VALUE FUND (v)
11/1/03 Through 4/30/04 $ 380
Year Ended 10/31/03 $ 249
Year Ended 10/31/02 $ 171
9/28/01** Through 10/31/01 $ 10
<Caption>
RATIOS/SUPPLEMENTAL DATA:
-------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
-------------------------------------------------------------------
NET INVESTMENT
NET EXPENSES INCOME (LOSS)
INVESTMENT WITHOUT WAIVERS, WITHOUT WAIVERS,
NET INCOME REIMBURSEMENTS REIMBURSEMENTS
EXPENSES (LOSS) AND EARNINGS CREDITS AND EARNINGS CREDITS
INTREPID EUROPEAN FUND (e)
11/1/03 Through 4/30/04 2.29% (0.37%) 2.81% (0.89%)
Year Ended 10/31/03 2.35% (0.47%) 3.09% (1.21%)
Year Ended 10/31/02 2.39% 0.38% 3.20% (0.43%)
Year Ended 10/31/01 2.50% (0.62%) 2.82% (0.94%)
Year Ended 10/31/00 2.49% (1.35%) 2.69% (1.55%)
Year Ended 10/31/99 2.51% (1.12%) 2.83% (1.44%)
JAPAN FUND (j)
11/1/03 Through 4/30/04 2.50% (1.30%) 6.94%! (5.74%)!
Year Ended 10/31/03 2.50% (2.18%) 20.70%! (20.38%)!
Year Ended 10/31/02 2.50% (2.25%) 22.96%! (22.71%)!
Year Ended 10/31/01 2.47% (1.92%) 11.24%! (10.69%)!
Year Ended 10/31/00 2.52% (2.29%) 6.14%! (5.91%)!
Year Ended 10/31/99 2.49% (1.67%) 6.19%! (5.37%)!
INTERNATIONAL GROWTH FUND (g)
11/1/03 Through 4/30/04 2.50% (0.67%) 6.92% (5.09%)
Year Ended 10/31/03 2.50% (0.14%) 7.79% (5.43%)
Year Ended 10/31/02 2.50% (0.62%) 7.69% (5.81%)
12/29/00* Through 10/31/01 2.50% (0.51%) 5.66% (3.67%)
INTERNATIONAL VALUE FUND (v)
11/1/03 Through 4/30/04 1.95% 0.95% 9.26%! (6.36%)!
Year Ended 10/31/03 1.95% (0.94%) 10.41%! (9.40%)!
Year Ended 10/31/02 1.95% (0.16%) 15.43%! (13.64%)!
9/28/01** Through 10/31/01 1.95% (1.15%) 11.58%! (10.78%)!
<Caption>
RATIOS/SUPPLEMENTAL DATA:
-------------------------
PORTFOLIO
TURNOVER
RATE (a)
INTREPID EUROPEAN FUND (e)
11/1/03 Through 4/30/04 209%
Year Ended 10/31/03 717%
Year Ended 10/31/02 1,021%
Year Ended 10/31/01 564%
Year Ended 10/31/00 161%
Year Ended 10/31/99 149%
JAPAN FUND (j)
11/1/03 Through 4/30/04 200%
Year Ended 10/31/03 797%
Year Ended 10/31/02 409%
Year Ended 10/31/01 196%
Year Ended 10/31/00 123%
Year Ended 10/31/99 133%
INTERNATIONAL GROWTH FUND (g)
11/1/03 Through 4/30/04 29%
Year Ended 10/31/03 38%
Year Ended 10/31/02 73%
12/29/00* Through 10/31/01 35%
INTERNATIONAL VALUE FUND (v)
11/1/03 Through 4/30/04 57%
Year Ended 10/31/03 132%
Year Ended 10/31/02 138%
9/28/01** Through 10/31/01 85%
</Table>
(g) Formerly Chase Vista International Growth Fund.
(j) Formerly Chase Vista Japan Fund.
(v) Formerly JPMorgan International Equity Fund.
# Short periods have been annualized.
! Due to the size of net assets and fixed expenses, ratios may appear
disproportionate.
SEE NOTES TO FINANCIAL STATEMENTS.
99
<Page>
<Table>
<Caption>
PER SHARE OPERATING PERFORMANCE:
--------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS: LESS DISTRIBUTIONS:
------------------------------------ ---------------------------------------
NET GAINS
OR LOSSES ON
NET ASSET NET SECURITIES DIVIDENDS
VALUE, INVESTMENT (BOTH TOTAL FROM FROM NET DISTRIBUTIONS
BEGINNING INCOME REALIZED AND INVESTMENT INVESTMENT FROM CAPITAL TOTAL
OF PERIOD (LOSS) UNREALIZED) OPERATIONS INCOME GAINS DISTRIBUTIONS
INTERNATIONAL
OPPORTUNITIES FUND (o)
11/1/03 Through 4/30/04 $ 9.03 (0.01)^ 0.84 0.83 0.14 -- 0.14
Year Ended 10/31/03 $ 7.46 (0.04)^ 1.68 1.64 0.07 -- 0.07
Year Ended 10/31/02 $ 8.63 (0.04) (1.08) (1.12) 0.05 -- 0.05
9/10/01** Through 10/31/01 $ 9.18 (0.01)^ (0.54) (0.55) -- -- --
EMERGING MARKETS
EQUITY FUND (m)
11/1/03 Through 4/30/04 $ 7.45 (0.02)^ 0.91 0.89 0.06 -- 0.06
Year Ended 10/31/03 $ 5.20 --^ 2.28 2.28 0.03 -- 0.03
Year Ended 10/31/02 $ 5.13 (0.03)^ 0.14 0.11 0.04 -- 0.04
9/28/01** Through 10/31/01 $ 4.88 (0.01)^ 0.26 0.25 -- -- --
INTERNATIONAL EQUITY FUND (i)
11/1/03 Through 4/30/04 $ 23.10 0.02^ 2.38 2.40 0.05 -- 0.05
Year Ended 10/31/03 $ 19.39 0.15^ 3.68 3.83 0.12 -- 0.12
2/28/02** Through 10/31/02 $ 21.81 0.03^ (2.43) (2.40) 0.02 -- 0.02
</Table>
** Commencement of offering of class of shares.
^ Calculated based upon average shares outstanding.
(1) Total return figures do not include the effect of any front-end or
deferred sales load.
(a) Not annualized for periods less than one year.
(m) Formerly J.P. Morgan Institutional Emerging Markets Equity Fund.
SEE NOTES TO FINANCIAL STATEMENTS.
100
<Page>
<Table>
<Caption>
PER SHARE OPERATING PERFORMANCE: RATIOS/SUPPLEMENTAL DATA:
-------------------------------- --------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
-------------------------------
NET ASSETS, NET
NET ASSET END OF INVESTMENT
VALUE, END TOTAL PERIOD NET INCOME
OF PERIOD RETURN (1)(a) (000 OMITTED) EXPENSES (LOSS)
INTERNATIONAL
OPPORTUNITIES FUND (o)
11/1/03 Through 4/30/04 $ 9.72 9.30% $ 1,393 2.40% (0.24%)
Year Ended 10/31/03 $ 9.03 22.18% $ 1,403 2.40% (0.58%)
Year Ended 10/31/02 $ 7.46 (13.05%) $ 1,365 2.40% (0.30%)
9/10/01** Through 10/31/01 $ 8.63 (5.99%) $ 2,950 2.40% (0.95%)
EMERGING MARKETS
EQUITY FUND (m)
11/1/03 Through 4/30/04 $ 8.28 11.99% $ 193 2.50% (0.38%)
Year Ended 10/31/03 $ 7.45 43.99% $ 95 2.50% 0.03%
Year Ended 10/31/02 $ 5.20 2.04% $ 41 2.50% (0.34%)
9/28/01** Through 10/31/01 $ 5.13 5.12% $ 11 2.50% (2.00%)
INTERNATIONAL EQUITY FUND (i)
11/1/03 Through 4/30/04 $ 25.45 10.40% $ 508 2.00% 0.19%
Year Ended 10/31/03 $ 23.10 19.84% $ 178 2.00% 0.74%
2/28/02** Through 10/31/02 $ 19.39 (11.00%) $ 22 2.00% 0.27%
<Caption>
RATIOS/SUPPLEMENTAL DATA:
------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
--------------------------------------------
NET INVESTMENT
EXPENSES INCOME (LOSS)
WITHOUT WAIVERS, WITHOUT WAIVERS, PORTFOLIO
REIMBURSEMENTS REIMBURSEMENTS TURNOVER
AND EARNINGS CREDITS AND EARNINGS CREDITS RATE (a)
INTERNATIONAL
OPPORTUNITIES FUND (o)
11/1/03 Through 4/30/04 2.69% (0.53%) 51%
Year Ended 10/31/03 2.89% (1.07%) 79%
Year Ended 10/31/02 2.49% (0.39%) 121%
9/10/01** Through 10/31/01 2.40% (0.95%) 110%
EMERGING MARKETS
EQUITY FUND (m)
11/1/03 Through 4/30/04 8.28%! (6.16%)! 75%
Year Ended 10/31/03 25.36%! (22.83%)! 85%
Year Ended 10/31/02 36.79%! (34.63%)! 69%
9/28/01** Through 10/31/01 12.62%! (12.12%)! 76%
INTERNATIONAL EQUITY FUND (i)
11/1/03 Through 4/30/04 2.51%! (0.32%)! 24%
Year Ended 10/31/03 6.19%! (3.45%)! 16%
2/28/02** Through 10/31/02 74.45%! (72.18%)! 20%
</Table>
(i) Formerly Chase Vista Select International Equity Fund.
(o) Formerly J.P.Morgan Institutional International Opportunities Fund.
# Short periods have been annualized.
! Due to the size of net assets and fixed expenses, ratios may appear
disproportionate.
SEE NOTES TO FINANCIAL STATEMENTS.
101
<Page>
CLASS C SHARES
<Table>
<Caption>
PER SHARE OPERATING PERFORMANCE:
-------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS: LESS DISTRIBUTIONS:
------------------------------------ --------------------------------------
NET GAINS
OR LOSSES ON
NET ASSET NET SECURITIES DIVIDENDS
VALUE, INVESTMENT (BOTH TOTAL FROM FROM NET DISTRIBUTIONS
BEGINNING INCOME REALIZED AND INVESTMENT INVESTMENT FROM CAPITAL TOTAL
OF PERIOD (LOSS) UNREALIZED) OPERATIONS INCOME GAINS DISTRIBUTIONS
INTREPID EUROPEAN FUND (e)
11/1/03 Through 4/30/04 $ 16.06 (0.04)^ 1.26 1.22 -- -- --
Year Ended 10/31/03 $ 12.62 (0.06)^ 3.58 3.52 0.08 -- 0.08
Year Ended 10/31/02 $ 12.47 0.05^ 0.10 0.15 -- -- --
Year Ended 10/31/01 $ 17.37 (0.08)^ (3.13) (3.21) -- 1.69 1.69
Year Ended 10/31/00 $ 16.19 (0.26)^ 1.80 1.54 -- 0.36 0.36
11/1/98** Through 10/31/99 $ 14.24 (0.08)^ 2.17 2.09 0.03 0.11 0.14
INTERNATIONAL EQUITY FUND (i)
11/1/03 Through 4/30/04 $ 23.05 0.02^ 2.38 2.40 0.05 -- 0.05
1/31/03** Through 10/31/03 $ 18.43 0.08^ 4.65 4.73 0.11 -- 0.11
</Table>
** Commencement of offering of class of shares.
^ Calculated based upon average shares outstanding.
(1) Total return figures do not include the effect of any front-end or
deferred sales load.
(a) Not annualized for periods less than one year.
SEE NOTES TO FINANCIAL STATEMENTS.
102
<Page>
<Table>
<Caption>
PER SHARE OPERATING PERFORMANCE: RATIOS/SUPPLEMENTAL DATA:
-------------------------------- --------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
-------------------------------
NET ASSETS, NET
NET ASSET END OF INVESTMENT
VALUE, END TOTAL PERIOD NET INCOME
OF PERIOD RETURN (1)(a) (000 OMITTED) EXPENSES (LOSS)
INTREPID EUROPEAN FUND (e)
11/1/03 Through 4/30/04 $ 17.28 7.60% $ 3,076 2.29% (0.38%)
Year Ended 10/31/03 $ 16.06 28.09% $ 2,914 2.35% (0.42%)
Year Ended 10/31/02 $ 12.62 1.20% $ 2,512 2.39% 0.36%
Year Ended 10/31/01 $ 12.47 (20.04%) $ 2,922 2.50% (0.55%)
Year Ended 10/31/00 $ 17.37 9.27% $ 4,229 2.49% (1.33%)
11/1/98** Through 10/31/99 $ 16.19 14.73% $ 1,460 2.51% (0.61%)
INTERNATIONAL EQUITY FUND (i)
11/1/03 Through 4/30/04 $ 25.40 10.39% $ 4,209 2.00% 0.17%
1/31/03** Through 10/31/03 $ 23.05 25.70% $ 1,681 2.00% 0.48%
<Caption>
RATIOS/SUPPLEMENTAL DATA:
------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
--------------------------------------------
NET INVESTMENT
EXPENSES INCOME (LOSS)
WITHOUT WAIVERS, WITHOUT WAIVERS, PORTFOLIO
REIMBURSEMENTS REIMBURSEMENTS TURNOVER
AND EARNINGS CREDITS AND EARNINGS CREDITS RATE (a)
INTREPID EUROPEAN FUND (e)
11/1/03 Through 4/30/04 2.81% (0.90%) 209%
Year Ended 10/31/03 3.09% (1.16%) 717%
Year Ended 10/31/02 3.20% (0.45%) 1,021%
Year Ended 10/31/01 2.82% (0.87%) 564%
Year Ended 10/31/00 2.67% (1.51%) 161%
11/1/98** Through 10/31/99 2.83% (0.93%) 149%
INTERNATIONAL EQUITY FUND (i)
11/1/03 Through 4/30/04 2.51%! (0.34%)! 24%
1/31/03** Through 10/31/03 2.85%! (0.37%)! 16%
</Table>
(e) Prior to February 27, 2004, the Fund was named Fleming European Fund;
prior to February 28, 2001, the Fund was named Chase Vista European Fund.
(i) Formerly Chase Vista Select International Equity Fund.
# 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>
INSTITUTIONAL 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
INTREPID EUROPEAN FUND (e)
11/1/03 Through 4/30/04 $ 17.17 0.14^ 1.28 1.42 0.06 -- 0.06
Year Ended 10/31/03 $ 13.33 0.12^ 3.82 3.94 0.10 -- 0.10
Year Ended 10/31/02 $ 12.99 0.24^ 0.10 0.34 -- -- --
9/10/01** Through 10/31/01 $ 13.14 (0.05) ^ (0.10) (0.15) -- -- --
INTERNATIONAL VALUE FUND (v)
11/1/03 Through 4/30/04 $ 8.61 0.09^ 1.22 1.31 0.09 -- 0.09
Year Ended 10/31/03 $ 7.02 0.02^ 1.82 1.84 0.25 -- 0.25
Year Ended 10/31/02 $ 8.28 0.06^ (1.19) (1.13) 0.13 -- 0.13
Year Ended 10/31/01 $ 12.28 0.07^ (3.02) (2.95) -- 1.05 1.05
Year Ended 10/31/00 $ 13.56 0.05 (0.66) (0.61) 0.16 0.51 0.67
Year Ended 10/31/99 $ 11.21 0.19 2.51 2.70 0.35 -- 0.35
INTERNATIONAL OPPORTUNITIES
FUND (o)
11/1/03 Through 4/30/04 $ 9.26 0.06^ 0.87 0.93 0.26 -- 0.26
Year Ended 10/31/03 $ 7.55 0.08^ 1.71 1.79 0.08 -- 0.08
Year Ended 10/31/02 $ 8.64 0.09 (1.08) (0.99) 0.10 -- 0.10
12/1/00 Through 10/31/01*** $ 11.39 0.12^ (2.60) (2.48) 0.11 0.16 0.27
Year Ended 11/30/00 $ 12.92 0.08 (1.42) (1.34) 0.19 -- 0.19
Year Ended 11/30/99 $ 10.11 0.25 2.88 3.13 0.32 -- 0.32
Year Ended 11/30/98 $ 9.94 0.22 0.05 0.27 0.10 -- 0.10
</Table>
** Commencement of offering of class of shares.
*** The Fund changed its fiscal year end from November 30 to October 31.
^ Calculated based upon average shares outstanding.
(a) Not annualized for periods less than one year.
(e) Prior to February 27, 2004, the Fund was named Fleming European Fund;
prior to February 28, 2001, the Fund was named Chase Vista European Fund.
(o) Formerly J.P.Morgan Institutional International Opportunities Fund.
(v) Formerly JPMorgan International Equity Fund.
SEE NOTES TO FINANCIAL STATEMENTS.
104
<Page>
<Table>
<Caption>
PER SHARE OPERATING PERFORMANCE: RATIOS/SUPPLEMENTAL DATA:
-------------------------------- --------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
-------------------------------
NET ASSETS, NET
NET ASSET END OF INVESTMENT
VALUE, END TOTAL PERIOD NET INCOME
OF PERIOD RETURN (a) (000 OMITTED) EXPENSES (LOSS)
INTREPID EUROPEAN FUND (e)
11/1/03 Through 4/30/04 $ 18.53 8.30% $ 32,018 1.00% 1.45%
Year Ended 10/31/03 $ 17.17 29.83% $ 12,038 1.00% 0.86%
Year Ended 10/31/02 $ 13.33 2.62% $ 6,305 1.00% 1.81%
9/10/01** Through 10/31/01 $ 12.99 (1.14%) $ 4,740 1.00% (2.60%)
INTERNATIONAL VALUE FUND (v)
11/1/03 Through 4/30/04 $ 9.83 15.23% $ 26,611 0.95% 1.82%
Year Ended 10/31/03 $ 8.61 27.23% $ 26,356 0.95% 0.28%
Year Ended 10/31/02 $ 7.02 (13.89%) $ 28,644 0.95% 0.91%
Year Ended 10/31/01 $ 8.28 (26.06%) $ 142,590 0.92% 0.70%
Year Ended 10/31/00 $ 12.28 (5.16%) $ 432,785 0.95% 0.50%
Year Ended 10/31/99 $ 13.56 24.70% $ 471,195 0.95% 0.81%
INTERNATIONAL OPPORTUNITIES
FUND (o)
11/1/03 Through 4/30/04 $ 9.93 10.16% $ 127,971 0.92% 1.26%
Year Ended 10/31/03 $ 9.26 24.02% $ 133,907 0.92% 1.10%
Year Ended 10/31/02 $ 7.55 (11.67%) $ 209,286 0.92% 1.21%
12/1/00 Through 10/31/01*** $ 8.64 (22.24%) $ 231,048 0.94% 1.25%
Year Ended 11/30/00 $ 11.39 (10.55%) $ 461,016 0.91% 0.84%
Year Ended 11/30/99 $ 12.92 31.87% $ 370,268 0.94% 0.76%
Year Ended 11/30/98 $ 10.11 2.69% $ 323,918 0.99% 1.13%
<Caption>
RATIOS/SUPPLEMENTAL DATA:
------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
--------------------------------------------
NET INVESTMENT
EXPENSES INCOME (LOSS)
WITHOUT WAIVERS, WITHOUT WAIVERS, PORTFOLIO
REIMBURSEMENTS REIMBURSEMENTS TURNOVER
AND EARNINGS CREDITS AND EARNINGS CREDITS RATE (a)
INTREPID EUROPEAN FUND (e)
11/1/03 Through 4/30/04 1.67% 0.78% 209%
Year Ended 10/31/03 2.01% (0.15%) 717%
Year Ended 10/31/02 2.25% 0.56% 1,021%
9/10/01** Through 10/31/01 3.34%! (4.94%)! 564%
INTERNATIONAL VALUE FUND (v)
11/1/03 Through 4/30/04 1.50% 1.27% 57%
Year Ended 10/31/03 1.55% (0.32%) 132%
Year Ended 10/31/02 1.16% 0.70% 138%
Year Ended 10/31/01 0.93% 0.69% 85%~
Year Ended 10/31/00 0.95% 0.50% 80%~
Year Ended 10/31/99 0.95% 0.81% 70%~
INTERNATIONAL OPPORTUNITIES
FUND (o)
11/1/03 Through 4/30/04 1.10% 1.08% 51%
Year Ended 10/31/03 1.09% 0.93% 79%
Year Ended 10/31/02 0.98% 1.15% 121%
12/1/00 Through 10/31/01*** 0.95% 1.24% 110%~~
Year Ended 11/30/00 0.91% 0.84% 86%~~
Year Ended 11/30/99 0.95% 0.75% 80%~~
Year Ended 11/30/98 1.02% 1.10% 143%~~
</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, IVF invested all of its investable assets in
The International Equity Portfolio ("IEP"). The portfolio turnover rate
disclosed prior to September 10, 2001 is the turnover rate of IEP.
~~ Prior to September 10, 2001, IOF invested all of its investable assets in
the International Opportunities Portfolio ("IOP"). The portfolio turnover
rate disclosed prior to September 10, 2001 is the turnover rate of IOP.
SEE NOTES TO FINANCIAL STATEMENTS.
105
<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
EMERGING MARKETS EQUITY FUND (m)
11/1/03 Through 4/30/04 $ 7.59 0.03^ 0.91 0.94 0.11 -- 0.11
Year Ended 10/31/03 $ 5.25 0.07^ 2.31 2.38 0.04 -- 0.04
Year Ended 10/31/02 $ 5.14 0.04^ 0.12 0.16 0.05 -- 0.05
Year Ended 10/31/01 $ 6.68 0.07^ (1.60) (1.53) 0.01 -- 0.01
Year Ended 10/31/00 $ 7.22 0.02 (0.50) (0.48) 0.06 -- 0.06
Year Ended 10/31/99 $ 5.91 0.14 1.68 1.82 0.51 -- 0.51
ASIA EQUITY FUND (p)
11/1/03 Through 4/30/04 $ 17.84 0.03^ (0.03) (--)(b) 0.20 -- 0.20
Year Ended 10/31/03 $ 13.71 0.17^ 3.96 4.13 -- -- --
6/28/02** Through 10/31/02 $ 15.86 -- (2.15) (2.15) -- -- --
</Table>
** Commencement of offering of class of shares.
^ Calculated based upon average shares outstanding.
(a) Not annualized for periods less than one year.
(b) Amount is less than $0.01.
(m) Formerly J.P. Morgan Institutional Emerging Markets Equity Fund.
SEE NOTES TO FINANCIAL STATEMENTS.
106
<Page>
<Table>
<Caption>
PER SHARE OPERATING PERFORMANCE: RATIOS/SUPPLEMENTAL DATA:
-------------------------------- --------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
-------------------------------
NET ASSETS, NET
NET ASSET END OF INVESTMENT
VALUE, END TOTAL PERIOD NET INCOME
OF PERIOD RETURN (a) (000 OMITTED) EXPENSES (LOSS)
EMERGING MARKETS EQUITY FUND (m)
11/1/03 Through 4/30/04 $ 8.42 12.64% $ 47,485 1.45% 0.81%
Year Ended 10/31/03 $ 7.59 45.49% $ 58,658 1.45% 1.18%
Year Ended 10/31/02 $ 5.25 3.04% $ 47,503 1.45% 0.83%
Year Ended 10/31/01 $ 5.14 (22.98%) $ 67,335 1.45% 1.07%
Year Ended 10/31/00 $ 6.68 (6.88%) $ 110,711 1.45% 0.46%
Year Ended 10/31/99 $ 7.22 33.76% $ 131,046 1.42% 0.99%
ASIA EQUITY FUND (p)
11/1/03 Through 4/30/04 $ 17.64 (0.02%) $ 20,336 1.35% 0.29%
Year Ended 10/31/03 $ 17.84 30.12% $ 13,887 1.35% 1.16%
6/28/02** Through 10/31/02 $ 13.71 (13.56%) $ 6,463 1.35% 0.08%
<Caption>
RATIOS/SUPPLEMENTAL DATA:
------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
--------------------------------------------
NET INVESTMENT
EXPENSES INCOME (LOSS)
WITHOUT WAIVERS, WITHOUT WAIVERS, PORTFOLIO
REIMBURSEMENTS REIMBURSEMENTS TURNOVER
AND EARNINGS CREDITS AND EARNINGS CREDITS RATE (a)
EMERGING MARKETS EQUITY FUND (m)
11/1/03 Through 4/30/04 1.87% 0.39% 75%
Year Ended 10/31/03 1.95% 0.68% 85%
Year Ended 10/31/02 1.77% 0.51% 69%
Year Ended 10/31/01 1.64% 0.88% 76%~
Year Ended 10/31/00 1.55% 0.36% 65%~
Year Ended 10/31/99 1.52% 0.89% 87%~
ASIA EQUITY FUND (p)
11/1/03 Through 4/30/04 2.06% (0.42%) 89%
Year Ended 10/31/03 2.65% (0.14%) 172%
6/28/02** Through 10/31/02 2.53% (1.10%) 106%
</Table>
(p) Formerly JPMorgan Fleming Pacific Region Fund.
# Short periods have been annualized.
~ Prior to September 10, 2001, EMF invested all of its investable assets in
the Emerging Markets Equity Portfolio ("EMP"). The portfolio turnover rate
disclosed prior to September 10, 2001 is the turnover rate of EMP.
SEE NOTES TO FINANCIAL STATEMENTS.
107
<Page>
SELECT SHARES
<Table>
<Caption>
PER SHARE OPERATING PERFORMANCE:
-------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS: LESS DISTRIBUTIONS:
------------------------------------ ---------------------------------------
NET GAINS
OR LOSSES ON
NET ASSET NET SECURITIES DIVIDENDS
VALUE, INVESTMENT (BOTH TOTAL FROM FROM NET DISTRIBUTIONS
BEGINNING INCOME REALIZED AND INVESTMENT INVESTMENT FROM CAPITAL TOTAL
OF PERIOD (LOSS) UNREALIZED) OPERATIONS INCOME GAINS DISTRIBUTIONS
INTREPID EUROPEAN FUND (e)
11/1/03 Through 4/30/04 $ 17.00 0.07^ 1.30 1.37 --(b) -- --(b)
Year Ended 10/31/03 $ 13.26 0.05^ 3.78 3.83 0.09 -- 0.09
Year Ended 10/31/02 $ 12.97 0.14^ 0.15 0.29 -- -- --
9/10/01** Through 10/31/01 $ 13.14 --^ (0.17) (0.17) -- -- --
INTERNATIONAL VALUE FUND (v)
11/1/03 Through 4/30/04 $ 8.58 0.07^ 1.21 1.28 0.05 -- 0.05
Year Ended 10/31/03 $ 7.01 (0.01)^ 1.83 1.82 0.25 -- 0.25
Year Ended 10/31/02 $ 8.28 0.07^ (1.22) (1.15) 0.12 -- 0.12
Year Ended 10/31/01@ $ 16.08 0.02^ (3.39) (3.37) 1.14 3.29 4.43
Year Ended 10/31/00 $ 18.70 0.27 (1.07) (0.80) 0.24 1.58 1.82
Year Ended 10/31/99 $ 15.91 0.24 3.47 3.71 0.47 0.45 0.92
INTERNATIONAL OPPORTUNITIES
FUND (o)
11/1/03 Through 4/30/04 $ 9.22 0.05^ 0.86 0.91 0.24 -- 0.24
Year Ended 10/31/03 $ 7.53 0.05^ 1.72 1.77 0.08 -- 0.08
Year Ended 10/31/02 $ 8.64 0.08 (1.10) (1.02) 0.09 -- 0.09
12/1/00 Through 10/31/01***@ $ 11.81 0.08^ (2.65) (2.57) 0.32 0.28 0.60
Year Ended 11/30/00 $ 13.41 0.14 (1.58) (1.44) 0.16 -- 0.16
Year Ended 11/30/99 $ 10.45 0.22 3.05 3.27 0.31 -- 0.31
Year Ended 11/30/98 $ 10.32 0.24 (0.01) 0.23 0.10 -- 0.10
</Table>
(e) Prior to February 27, 2004, the Fund was named Fleming European Fund;
prior to February 28, 2001, the Fund was named Chase Vista European Fund.
** Commencement of offering of class of shares.
*** The Fund changed its fiscal year end from November 30 to October 31.
^ Calculated based upon average shares outstanding.
@ Prior to the open of business on September 10, 2001, the class underwent a
split of shares in connection with the fund reorganization. Prior periods
have been restated to reflect the split.
(a) Not annualized for periods less than one year.
(b) Amount rounds to less than $.01.
SEE NOTES TO FINANCIAL STATEMENTS.
108
<Page>
<Table>
<Caption>
PER SHARE OPERATING PERFORMANCE: RATIOS/SUPPLEMENTAL DATA:
-------------------------------- --------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
-------------------------------
NET ASSETS, NET
NET ASSET END OF INVESTMENT
VALUE, END TOTAL PERIOD NET INCOME
OF PERIOD RETURN (a) (000 OMITTED) EXPENSES (LOSS)
INTREPID EUROPEAN FUND (e)
11/1/03 Through 4/30/04 $ 18.37 8.08% $ 18,606 1.39% 0.74%
Year Ended 10/31/03 $ 17.00 29.14% $ 11,225 1.47% 0.38%
Year Ended 10/31/02 $ 13.26 2.24% $ 8,461 1.50% 1.06%
9/10/01** Through 10/31/01 $ 12.97 (1.29%) $ 6,063 1.50% (0.06%)
INTERNATIONAL VALUE FUND (v)
11/1/03 Through 4/30/04 $ 9.81 14.90% $ 17,178 1.37% 1.40%
Year Ended 10/31/03 $ 8.58 26.89% $ 16,538 1.39% (0.15%)
Year Ended 10/31/02 $ 7.01 (14.09%) $ 16,905 1.29% 0.85%
Year Ended 10/31/01@ $ 8.28 (26.66%) $ 21,307 1.40% 0.20%
Year Ended 10/31/00 $ 16.08 (5.49%) $ 55,445 1.30% 0.15%
Year Ended 10/31/99 $ 18.70 24.41% $ 64,860 1.21% 0.55%
INTERNATIONAL OPPORTUNITIES
FUND (o)
11/1/03 Through 4/30/04 $ 9.89 9.96% $ 34,021 1.20% 1.04%
Year Ended 10/31/03 $ 9.22 23.77% $ 30,969 1.20% 0.58%
Year Ended 10/31/02 $ 7.53 (11.98%) $ 33,428 1.20% 0.89%
12/1/00 Through 10/31/01***@ $ 8.64 (22.66%) $ 37,271 1.27% 0.85%
Year Ended 11/30/00 $ 11.81 (10.87%) $ 79,408 1.21% 0.55%
Year Ended 11/30/99 $ 13.41 32.13% $ 67,543 1.18% 0.47%
Year Ended 11/30/98 $ 10.45 2.30% $ 55,050 1.20% 0.96%
<Caption>
RATIOS/SUPPLEMENTAL DATA:
------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
--------------------------------------------
NET INVESTMENT
EXPENSES INCOME (LOSS)
WITHOUT WAIVERS, WITHOUT WAIVERS, PORTFOLIO
REIMBURSEMENTS REIMBURSEMENTS TURNOVER
AND EARNINGS CREDITS AND EARNINGS CREDITS RATE (a)
INTREPID EUROPEAN FUND (e)
11/1/03 Through 4/30/04 1.90% 0.23% 209%
Year Ended 10/31/03 2.20% (0.35%) 717%
Year Ended 10/31/02 2.43% 0.13% 1,021%
9/10/01** Through 10/31/01 3.74%! (2.30%)! 564%
INTERNATIONAL VALUE FUND (v)
11/1/03 Through 4/30/04 1.77% 1.00% 57%
Year Ended 10/31/03 1.86% (0.62%) 132%
Year Ended 10/31/02 1.49% 0.65% 138%
Year Ended 10/31/01@ 1.40% 0.20% 85%~
Year Ended 10/31/00 1.30% 0.15% 80%~
Year Ended 10/31/99 1.21% 0.55% 70%~
INTERNATIONAL OPPORTUNITIES
FUND (o)
11/1/03 Through 4/30/04 1.31% 0.93% 51%
Year Ended 10/31/03 1.37% 0.41% 79%
Year Ended 10/31/02 1.22% 0.87% 121%
12/1/00 Through 10/31/01***@ 1.27% 0.85% 110%~~
Year Ended 11/30/00 1.21% 0.55% 86%~~
Year Ended 11/30/99 1.24% 0.41% 80%~~
Year Ended 11/30/98 1.24% 0.92% 143%~~
</Table>
(o) Formerly J.P.Morgan Institutional International Opportunities Fund.
(v) Formerly JPMorgan International Equity Fund.
# Short periods have been annualized.
! Due to the size of net assets and fixed expenses, ratios may appear
disproportionate.
~ Prior to September 10, 2001, IVF invested all of its investable assets in
The International Equity Portfolio ("IEP"). The portfolio turnover rate
disclosed prior to September 10, 2001 is the turnover rate of IEP.
~~ Prior to September 10, 2001, IOF invested all of its investable assets in
the International Opportunities Portfolio ("IOP"). The portfolio turnover
rate disclosed prior to September 10, 2001 is the turnover rate of IOP.
SEE NOTES TO FINANCIAL STATEMENTS.
109
<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
EMERGING MARKETS EQUITY FUND (m)
11/1/03 Through 4/30/04 $ 7.53 0.02^ 0.90 0.92 0.09 -- 0.09
Year Ended 10/31/03 $ 5.23 0.05^ 2.28 2.33 0.03 -- 0.03
Year Ended 10/31/02 $ 5.13 0.03^ 0.12 0.15 0.05 -- 0.05
Year Ended 10/31/01@ $ 6.73 0.05^ (1.61) (1.56) 0.04 -- 0.04
Year Ended 10/31/00 $ 7.28 0.02 (0.53) (0.51) 0.04 -- 0.04
Year Ended 10/31/99 $ 5.88 0.08 1.72 1.80 0.40 -- 0.40
ASIA EQUITY FUND (p)
11/1/03 Through 4/30/04 $ 17.80 0.01^ (0.02) (0.01) 0.17 -- 0.17
Year Ended 10/31/03 $ 13.71 0.16^ 3.93 4.09 -- -- --
6/28/02** Through 10/31/02 $ 15.86 -- (2.15) (2.15) -- -- --
INTERNATIONAL EQUITY FUND (i)
11/1/03 Through 4/30/04 $ 23.19 0.11^ 2.42 2.53 0.12 -- 0.12
Year Ended 10/31/03 $ 19.45 0.30^ 3.72 4.02 0.28 -- 0.28
Year Ended 10/31/02 $ 21.20 0.21^ (1.84) (1.63) 0.12 -- 0.12
Year Ended 10/31/01 $ 32.00 0.39 (6.35) (5.96) 0.18 4.66 4.84
Year Ended 10/31/00 $ 33.33 0.15 1.05 1.20 0.13 2.40 2.53
Year Ended 10/31/99(k) $ 27.79 0.33 5.94 6.27 0.73 -- 0.73
</Table>
** Commencement of offering of class of shares.
+ Prior to September 10, 2001, EMF invested all of its investable assets in
the Emerging Markets Equity Portfolio ("EMP"). The portfolio turnover rate
disclosed prior to September 10, 2001 is the turnover rate of EMP.
^ Calculated based upon average shares outstanding.
@ Prior to the open of business on September 10, 2001, the class underwent a
split of shares in connection with the fund reorganization. Prior periods
have been restated to reflect the split.
(a) Not annualized for periods less than one year.
SEE NOTES TO FINANCIAL STATEMENTS.
110
<Page>
<Table>
<Caption>
PER SHARE OPERATING PERFORMANCE: RATIOS/SUPPLEMENTAL DATA:
-------------------------------- --------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
-------------------------------
NET ASSETS, NET
NET ASSET END OF INVESTMENT
VALUE, END TOTAL PERIOD NET INCOME
OF PERIOD RETURN (1)(a) (000 OMITTED) EXPENSES (LOSS)
EMERGING MARKETS EQUITY FUND (m)
11/1/03 Through 4/30/04 $ 8.36 12.46% $ 23,344 1.75% 0.50%
Year Ended 10/31/03 $ 7.53 44.84% $ 22,620 1.75% 0.88%
Year Ended 10/31/02 $ 5.23 2.75% $ 18,660 1.75% 0.56%
Year Ended 10/31/01@ $ 5.13 (23.23%) $ 22,253 1.75% 0.78%
Year Ended 10/31/00 $ 6.73 (7.12%) $ 34,204 1.75% 0.15%
Year Ended 10/31/99 $ 7.28 33.00% $ 35,786 1.75% 0.73%
ASIA EQUITY FUND (p)
11/1/03 Through 4/30/04 $ 17.62 (0.05%) $ 28,229 1.50% 0.12%
Year Ended 10/31/03 $ 17.80 29.83% $ 24,443 1.50% 1.17%
6/28/02** Through 10/31/02 $ 13.71 (13.56%) $ 14,043 1.50% (0.03%)
INTERNATIONAL EQUITY FUND (i)
11/1/03 Through 4/30/04 $ 25.60 10.90% $ 1,022,867 1.10% 0.89%
Year Ended 10/31/03 $ 23.19 20.90% $ 813,466 1.10% 1.45%
Year Ended 10/31/02 $ 19.45 (7.74%) $ 247,426 1.03% 1.03%
Year Ended 10/31/01 $ 21.20 (21.62%) $ 181,296 1.00% 0.87%
Year Ended 10/31/00 $ 32.00 2.71% $ 226,248 0.66% 0.38%
Year Ended 10/31/99(k) $ 33.33 22.83% $ 223,339 0.06% 1.14%
<Caption>
RATIOS/SUPPLEMENTAL DATA:
------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
--------------------------------------------
NET INVESTMENT
EXPENSES INCOME (LOSS)
WITHOUT WAIVERS, WITHOUT WAIVERS, PORTFOLIO
REIMBURSEMENTS REIMBURSEMENTS TURNOVER
AND EARNINGS CREDITS AND EARNINGS CREDITS RATE (a)
EMERGING MARKETS EQUITY FUND (m)
11/1/03 Through 4/30/04 2.14% 0.11% 75%
Year Ended 10/31/03 2.26% 0.37% 85%
Year Ended 10/31/02 2.04% 0.27% 69%
Year Ended 10/31/01@ 2.11% 0.42% 76%+
Year Ended 10/31/00 1.96% (0.06%) 65%+
Year Ended 10/31/99 1.87% 0.61% 87%+
ASIA EQUITY FUND (p)
11/1/03 Through 4/30/04 2.21% (0.59%) 89%
Year Ended 10/31/03 2.71% (0.04%) 172%
6/28/02** Through 10/31/02 2.58% (1.11%) 106%
INTERNATIONAL EQUITY FUND (i)
11/1/03 Through 4/30/04 1.51% 0.48% 24%
Year Ended 10/31/03 1.55% 1.00% 16%
Year Ended 10/31/02 1.54% 0.52% 20%
Year Ended 10/31/01 1.54% 0.33% 33%
Year Ended 10/31/00 1.50% (0.46%) 149%
Year Ended 10/31/99(k) 1.31% (0.11%) 141%
</Table>
(k) On November 20, 1998, the Fund underwent a "6 shares for 1" split of
shares. Prior periods have been restated to reflect the split.
(m) Formerly J.P. Morgan Institutional Emerging Markets Equity Fund.
(p) Formerly JPMorgan Fleming Pacific Region Fund.
(i) Formerly Chase Vista Select International Equity Fund.
# Short periods have been annualized.
SEE NOTES TO FINANCIAL STATEMENTS.
111
<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 Intrepid 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
UNDISCOVERED MANAGERS FUNDS
Behavioral Growth Fund
Behavioral Value Fund
REIT Fund
Small Cap Growth Fund
Funds may be registered under separate registrants.
112
<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.
The financial information in this report has been taken from the books and
records of the Funds without examination by independent auditors, who express no
opinion thereon.
Investors should carefully read the fund prospectus which includes information
on the Fund's investment objectives, risk, as well as charges and expenses along
with other information. Investors should review the information in the
prospectus carefully before investing. For up to date month-end performance
information, or to receive a fund prospectus please call 800 348-4782. Please
read carefully before investing or sending money.
A list of portfolio holdings is available fifteen days after month end upon
request. Please contact your JPMorgan Fleming representative or call
1-800-766-7722 to obtain further information.
A copy of proxy policies and procedures are available without charge upon
request by calling 1-800-348-4782 and on the Commission's website at
http://www.sec.gov.
<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 SAN-INTEQ-404
All rights reserved. June 2004.
<Page>
[GRAPHIC]
JPMORGAN FUNDS
SEMI-ANNUAL REPORT APRIL 30 2004 (UNAUDITED)
TAX AWARE FUNDS
FLEMING TAX AWARE INTERNATIONAL OPPORTUNITIES FUND
TAX AWARE DISCIPLINED EQUITY FUND
TAX AWARE ENHANCED INCOME FUND
TAX AWARE LARGE CAP GROWTH FUND
TAX AWARE LARGE CAP VALUE FUND
TAX AWARE SHORT-INTERMEDIATE INCOME FUND
TAX AWARE U.S. EQUITY FUND
[JPMORGAN FLEMING ASSET MANAGEMENT LOGO]
<Page>
[JPMORGAN FLEMING ASSET MANAGEMENT LOGO]
JPMORGAN FLEMING ASSET MANAGEMENT is a premier global wealth manager that has
been working with affluent investors for over a hundred years. This experience
provides us with a keen understanding of the unique needs of the affluent
investor's portfolio. The legacy of our experience, coupled with our GLOBAL
INTELLECTUAL CAPITAL, is the foundation from which our investment products have
been built. We have 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 professional to help provide you with a
broad array of WEALTH SOLUTIONS.
CONTENTS
<Table>
President's Letter 1
Fund Commentaries:
Fleming Tax Aware International Opportunites Fund 2
Tax Aware Disciplined Equity Fund 5
Tax Aware Enhanced Income Fund 8
Tax Aware Large Cap Growth Fund 10
Tax Aware Large Cap Value Fund 13
Tax Aware Short-Intermediate Income Fund 16
Tax Aware U.S. Equity Fund 18
Portfolio of Investments 21
Financial Statements 60
Notes to Financial Statements 72
Financial Highlights 98
</Table>
HIGHLIGHTS
- - Global growth accelerates
- - Markets rally across the six months
- - Buoyant US employment numbers spook markets in April
- - Inflation key to long term outlook
Investments in a Fund are not bank deposits or obligations of, or guaranteed or
endorsed by, any bank and are not insured or guaranteed by the FDIC, the Federal
Reserve Board or any other government agency. You could lose money if you sell
when the Fund's share price is lower than when you invested.
Past performance is no guarantee for future performance. The general market
views expressed in this report are opinions based on current market conditions
and are subject to change without notice. These views are not intended to
predict the future performance of a Fund or the securities markets. References
to specific securities and their issuers are for illustrative purposes only and
are not intended to be, and should not be interpreted as, recommendations to
purchase or sell such securities. Such views are not meant as investment advice
and may not be relied on as an indication of trading intent on behalf of any
Fund.
Prospective investors should refer to the Fund's prospectus for a discussion of
the Fund's investment objective, strategies and risks. Call JPMorgan Funds
Service Center at (800) 348-4782 for a prospectus containing more complete
information about a Fund including management fees and other expenses. Please
read it carefully before investing.
JPMorgan Funds are distributed by J.P. Morgan Fund Distributors, Inc.
<Page>
JPMORGAN TAX AWARE FUNDS
PRESIDENT'S LETTER MAY 20, 2004
[PHOTO OF GEORGE C.W. GATCH]
"AGAINST THIS BRIGHTENING PICTURE, MARKETS RALLIED."
DEAR SHAREHOLDER:
We are pleased to present this semi-annual report for the JPMorgan Tax Aware
Funds. Inside, you'll find information detailing the performance of the Funds
for the six months ended April 30, 2004, along with reports from the Portfolio
Managers.
GLOBAL ECONOMIC RECOVERY CONSOLIDATES
International equity markets continued to rally in the six months to the end of
April 2004 as evidence emerged that global growth was accelerating. In the
United States, Gross Domestic Product (GDP) growth for the first-quarter was
4.2% - solid if a little below expectations. Furthermore, 308,000 jobs were
added to the US labor market in March - the largest monthly rise in four years -
ending fears of a jobless U.S. recovery. In Japan, economic indicators showed a
marked acceleration. After a series of false dawns, the country appeared,
finally, to be emerging from more than a decade of stagnation. And corporate
earnings were exceptionally strong everywhere. Earnings forecasts hit new
records in the United States, Europe and Japan.
Against this brightening picture, markets rallied. The broad-based MSCI EAFE
Index of international markets gained 12.4% (in USD). It was led by the more
mature markets of Continental Europe and Japan. The laggards were the emerging
markets and the high-growth Asian markets, which corrected sharply towards the
end of the period as uncertainty crept back into global financial markets.
INTEREST RATES, OIL PRICES, GEOPOLITICAL UNCERTAINTY BECOME A CONCERN
But it was the U.S. employment numbers, the very news investors had been waiting
for, that spooked the stock markets, and started April's correction. Investors
worried that the Federal Reserve would raise rates sooner than expected,
possibly choking economic growth in the United States and elsewhere. Nervousness
increased as setbacks in Iraq during the month caused the oil price to spike
higher, and China's government took action to curb its overheating economy. The
MSCI EAFE Index fell 2.3% in the month, while more volatile indices fell further
- - the MSCI Emerging Markets Free Index, for example, slumped 8.2%.
OUTLOOK
While, by all indications, economic fundamentals are likely to remain solid,
equity gains are likely to be tempered by concerns about the timing and
magnitude of U.S. rate rises, and the extent to which the yields on long bonds
move higher. Uncertainties surrounding Chinese growth, and the situation in
Iraq, are also likely to spark volatility. But if the U.S. and Chinese monetary
authorities can rein in inflation, the global economy and stock markets are
likely to benefit in the long run.
IMPORTANT MERGER NEWS
As you may know, J.P. Morgan Chase & Co. and Bank One Corp. have agreed to merge
in July 2004, as approved by both firms' shareholders. The merger is compelling
both strategically and financially. The newly combined organization will have
top-tier positions in both wholesale and retail financial services, an extensive
client base and greater scale. And we will have an extraordinarily talented team
that shares common values and a strong client orientation.
As always, we would like to thank you for your investment, and look forward to
serving your financial needs for many years to come. Should you have any
questions, please feel free to contact the JPMorgan Funds Service Center at
1-800-348-4782.
Sincerely,
/s/ George C.W. Gatch
George C.W. Gatch
President
JPMorgan Funds
<Page>
JPMORGAN FLEMING TAX AWARE INTERNATIONAL OPPORTUNITIES FUND
AS OF APRIL 30, 2004 (Unaudited)
FUND FACTS
Fund Inception 4/30/01
Fiscal Year End OCTOBER 31
Net Assets as of 4/30/2004
(In Millions) $143.5
Primary Benchmark MSCI EAFE
USD NET
Q: HOW DID THE FUND PERFORM?
A: JPMorgan Fleming Tax Aware International Opportunities, which seeks to
provide high after tax total return by investing in equity securities of
foreign companies in developed, and, to a lesser extent, emerging markets,
rose by 10.17% (Institutional Shares) in the six months to April 30, 2004.
This compares with a rally of 12.4% in the MSCI EAFE Index (in US dollars).
Q: WHY DID THE FUND PERFORM THIS WAY?
A: The Fund rallied with the international equity markets in the six months to
April 30, 2004, although it trailed the MSCI EAFE Index benchmark. Stock
selection in two sectors - Transport & Consumer Cyclicals and Basic
Industries - caused the majority of the shortfall. But this was partly
offset by a strong relative contribution from Capital Market Banks,
Information Technology and Telecommunications stocks.
In the Transport & Consumer Cyclical sector, the greatest detractor was
Adecco, the Swiss human resources solutions company. Adecco announced at
the beginning of 2004 that it would delay publication of 2003 results
because it had uncovered accounting irregularities in its North American
operations. Towards the end of April it announced a further postponement,
leading to fears that it would breach a bank loan covenant. Also in the
sector, Cathay Pacific, the Hong Kong-based airline, underperformed with
worries regarding higher fuel prices and slower growth in China.
In Basic Materials, POSCO, the Korean steel company, and Ciba Specialty
Chemicals, the Swiss chemicals company, both rose in price but even so
trailed a strong sector performance. In the case of POSCO, the position was
added to what proved to be a short-term peak for the stock price.
There was strong relative performance among Capital Markets Bank stocks.
Aiful, the Japanese consumer finance company, experienced its stock price
rise by more than 50% as the Japanese economy appeared to be in a
sustainable recovery. Man Group, the hedge fund manager, performed well due
to rapid growth in assets under management.
Both the Information Technology and Telecommunications sectors contributed.
In Information Technology, Kyocera, the diversified Japanese technology
company, performed well as recovery brought rising demand for its products.
In Telecommunications, Advanced Information Technology, the Thai cellular
phone company, performed well as investors anticipated revenue growth.
Q: HOW WAS THE FUND MANAGED?
A: In line with a belief that the global economy will continue to recover,
stock selection has led the portfolio to have a bias towards what we
believe to be high quality companies with operational leverage to the
global economy. As always, use of the Dividend Discount Rate model to
evaluate stocks causes the portfolio to take a longer term view of a
stock's prospects.
2
<Page>
SEMI-ANNUAL REPORT APRIL 30 2004
(Unaudited)
[CHART]
PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS
<Table>
United Kingdom 23.7%
Japan 18.9%
France 12.1%
Switzerland 10.9%
The Netherlands 5.0%
Germany 4.1%
Hong Kong 4.0%
South Korea 3.4%
Sweden 3.2%
India 2.4%
Singapore 2.2%
Taiwan 1.7%
Australia 1.6%
Spain 1.6%
Brazil 1.2%
Russia 1.0%
Other 3.0%
</Table>
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO
<Table>
1. Royal Bank of Scotland
Group PLC (United Kingdom) 4.0%
2. Vodafone Group PLC
(United Kingdom) 3.8%
3. BNP Paribas (France) 2.8%
4. Total SA (France) 2.8%
5. HSBC Holdings PLC
(United Kingdom) 2.7%
6. Zurich Financial Services
AG (Switzerland) 2.7%
7. Fujitsu LTD (Japan) 2.2%
8. Daiwa Securities
Group, Inc. (Japan) 2.1%
9. Diageo PLC
(United Kingdom) 2.0%
10. AstraZeneca PLC
(United Kingdom) 2.0%
</Table>
Top 10 equity holdings comprised 27.1% of the Portfolio's market value of
investments ($38,414 in thousands). As of April 30, 2004, the Fund held 87
equity holdings. Portfolio holdings are subject to change at any time.
3
<Page>
AVERAGE ANNUAL TOTAL RETURNS AS OF APRIL 30, 2004
<Table>
<Caption>
SINCE
INCEPTION
1 YEAR 3 YEARS (4/30/01)
------------------------------------------------
CLASS A SHARES
Without Sales Charge 38.26% (0.38%) (0.38%)
With Sales Charge* 30.28% (2.34%) (2.34%)
INSTITUTIONAL SHARES 39.37% 0.42% 0.42%
</Table>
* Sales Charge for Class A Shares is 5.75%.
[CHART]
LIFE OF FUND PERFORMANCE (4/30/01 TO 4/30/04)
<Table>
<Caption>
JPMORGAN FLEMING TAX AWARE INTERNATIONAL MSCI EAFE LIPPER INTERNATIONAL
OPPORTUNITIES FUND (INSTITUTONAL SHARES) USD NET FUNDS INDEX
4/30/2001 $ 3,000,000 $ 3,000,000 $ 3,000,000
5/31/2001 $ 2,937,900 $ 2,894,100 $ 2,927,400
6/30/2001 $ 2,851,820 $ 2,775,731 $ 2,844,847
7/31/2001 $ 2,719,780 $ 2,725,213 $ 2,770,881
8/31/2001 $ 2,699,654 $ 2,656,265 $ 2,715,187
9/30/2001 $ 2,401,612 $ 2,387,185 $ 2,419,231
10/31/2001 $ 2,485,669 $ 2,448,297 $ 2,484,792
11/30/2001 $ 2,603,738 $ 2,538,640 $ 2,577,475
12/31/2001 $ 2,641,492 $ 2,553,618 $ 2,623,354
1/31/2002 $ 2,511,002 $ 2,418,020 $ 2,517,371
2/28/2002 $ 2,508,993 $ 2,434,947 $ 2,552,614
3/31/2002 $ 2,647,490 $ 2,566,677 $ 2,687,647
4/30/2002 $ 2,681,643 $ 2,583,617 $ 2,706,461
5/31/2002 $ 2,727,767 $ 2,616,429 $ 2,745,163
6/30/2002 $ 2,585,377 $ 2,512,295 $ 2,636,729
7/31/2002 $ 2,324,513 $ 2,264,332 $ 2,373,584
8/31/2002 $ 2,348,688 $ 2,259,124 $ 2,375,482
9/30/2002 $ 2,077,884 $ 2,016,494 $ 2,119,643
10/31/2002 $ 2,210,245 $ 2,124,780 $ 2,229,652
11/30/2002 $ 2,330,483 $ 2,221,245 $ 2,335,115
12/31/2002 $ 2,215,823 $ 2,146,611 $ 2,260,391
1/31/2003 $ 2,102,373 $ 2,057,097 $ 2,177,661
2/28/2003 $ 2,047,711 $ 2,009,990 $ 2,113,202
3/31/2003 $ 1,980,751 $ 1,970,594 $ 2,061,429
4/30/2003 $ 2,179,420 $ 2,163,712 $ 2,265,510
5/31/2003 $ 2,317,377 $ 2,294,833 $ 2,410,956
6/30/2003 $ 2,369,982 $ 2,350,368 $ 2,467,855
7/31/2003 $ 2,434,919 $ 2,407,247 $ 2,536,954
8/31/2003 $ 2,509,915 $ 2,465,261 $ 2,610,272
9/30/2003 $ 2,578,938 $ 2,541,192 $ 2,662,739
10/31/2003 $ 2,757,400 $ 2,699,508 $ 2,821,438
11/30/2003 $ 2,810,066 $ 2,759,437 $ 2,878,149
12/31/2003 $ 3,006,771 $ 2,974,949 $ 3,074,151
1/31/2004 $ 3,101,785 $ 3,016,896 $ 3,140,245
2/29/2004 $ 3,172,196 $ 3,086,586 $ 3,212,157
3/31/2004 $ 3,188,691 $ 3,103,871 $ 3,227,896
4/30/2004 $ 3,037,759 $ 3,033,723 $ 3,131,705
</Table>
SOURCE: LIPPER ANALYTICAL SERVICES, INC. THE QUOTED PERFORMANCE IS PAST
PERFORMANCE AND NOT INDICATIVE OF FUTURE RETURNS. 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. PLEASE NOTE, CURRENT PERFORMANCE
MAY BE HIGHER OR LOWER THAN THE PERFORMANCE DATA SHOWN.
INVESTORS SHOULD CAREFULLY READ THE FUND PROSPECTUS WHICH INCLUDES INFORMATION
ON THE FUND'S INVESTMENT OBJECTIVES, RISK, AS WELL AS CHARGES AND EXPENSES ALONG
WITH OTHER INFORMATION. INVESTORS SHOULD REVIEW THE INFORMATION IN THE
PROSPECTUS CAREFULLY BEFORE INVESTING. FOR UP TO DATE MONTH-END PERFORMANCE
INFORMATION, OR TO RECEIVE A FUND PROSPECTUS PLEASE CALL 800 348-4782. PLEASE
READ CAREFULLY BEFORE INVESTING OR SENDING MONEY.
The Fund commenced operations on 4/30/01.
All Shares Classes were introduced on 4/30/01.
The graph illustrates comparative performance for $3,000,000 invested in
Institutional Shares of the JPMorgan Fleming Tax Aware International
Opportunities Fund, MSCI EAFE USD Net and Lipper International Funds Index from
April 30, 2001 to April 30, 2004. The performance of the Fund assumes
reinvestment of all dividends and capital gains and does not include a sales
charge. The performance of the indices does not include a sales charge and has
been adjusted to reflect reinvestment of all dividends and capital gains of the
securities included in the benchmark. The MSCI EAFE (Europe, Australasia, Far
East) Index is a replica (or model) of the performance of the world's equity
markets, excluding the U.S. and Canada.
Institutional Shares have a $3,000,000 minimum initial deposit and carry no
sales charge.
Certain fees and expenses of the Fund are currently being waived and reimbursed
as described in the prospectus. Had the expenses not been subsidized or waived,
returns would have been lower. Also all performance shown in this section does
not reflect the deduction of taxes that a shareholder would pay on fund
distributions or redemption of fund shares.
International investing involves a greater degree of risk and increased
volatility. Changes in currency exchange rates and differences in accounting and
taxation policies outside the U.S. can raise or lower returns. Also, some
overseas markets may not be as politically and economically stable as the United
States and other nations.
4
<Page>
JPMORGAN TAX AWARE DISCIPLINED EQUITY FUND
AS OF APRIL 30, 2004 (Unaudited)
FUND FACTS
Fund Inception 1/30/97
Fiscal Year End OCTOBER 31
Net Assets as of 4/30/2004
(In Millions) $193.5
Primary Benchmark S&P 500 INDEX
Q: HOW DID THE FUND PERFORM?
A: JPMorgan Tax Aware Disciplined Equity Fund, which seeks to provide high
after tax returns from a portfolio of selected equity securities, rose
6.83% for the six months ending April 30, 2004 (Institutional Shares). This
compares to the 6.27% appreciation from the S&P 500 Index, the Fund's
benchmark.
Q: WHY DID THE FUND OUTPERFORM ITS BENCHMARK?
A: The market continued its trend of steadily improving performance for most
of the period as the economy showed signs of improvement and corporate
earnings came in ahead of expectations. The accommodating environment of
low interest rates and inflation also aided equity returns. However, the
upgrade in prospects for growth brought with it the threat of an early end
to the Federal Reserve's highly accommodative stance. As a result stocks
receded in March and April.
Stock selection was strongest in the Finance sector where the portfolio
manager added value against the benchmark. The portfolio's holdings in the
sector performed well as these companies benefited from an improved
economic outlook and increased merger activity. In particular, shares of
GreenPoint Financial Corp., a holding in the portfolio, advanced after the
company agreed to be acquired by its New York rival North Fork
Bancorporation Inc. The transaction is expected to be completed in the
fourth quarter of 2004. Additionally, adept stock selection in the
semiconductors sector also aided the Fund's relative performance.
In contrast, the Portfolio's insurance holdings lagged their peer group
during the period. Within the sector an underweight position in a resurgent
American International Group hindered relative performance.
Q: HOW WAS THE FUND MANAGED?
A: Keeping to our discipline, the Fund continued to focus on overweighting
companies within each sector of the market that were deemed to be
attractively priced relative to their future earnings prospects. Style
characteristics and sector weightings were kept in line with the S&P 500 so
as to minimize volatility relative to index and to ensure that stock
selection was the main driver of returns.
5
<Page>
[CHART]
PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS
<Table>
Consumer Goods & Services 23.0%
Finance & Insurance 20.1%
Technology 16.8%
Industrial Products & Services 13.0%
Pharmaceuticals 10.2%
Energy 6.4%
Telecommuncations 3.7%
Health Services & Systems 3.5%
Utilities 2.6%
Short-Term Investments 0.4%
REITs 0.3%
</Table>
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO
<Table>
1. Citigroup, Inc. 3.4%
2. General Electric Co. 3.3%
3. Microsoft Corp. 2.9%
4. Pfizer, Inc. 2.7%
5. Procter & Gamble Co. 2.2%
6. The Coco-Cola Co. 2.0%
7. Johnson & Johnson 2.0%
8. Wal-Mart Stores, Inc. 2.0%
9. Exxon Mobil Corp. 1.7%
10. Bank of America Corp. 1.7%
</Table>
Top 10 equity holdings comprised 23.9% of the Portfolio's market value of
investments ($46,285 in thousands). As of April 30, 2004 the Fund held 215
equity holdings. Portfolio holdings are subject to change at any time.
6
<Page>
SEMI-ANNUAL REPORT APRIL 30 2004
(Unaudited)
AVERAGE ANNUAL TOTAL RETURNS AS OF APRIL 30, 2004
<Table>
<Caption>
SINCE
INCEPTION
1 YEAR 3 YEARS 5 YEARS (1/30/97)
----------------------------------------------------------
INSTITUTIONAL SHARES 23.72% (2.90%) (3.01%) 6.60%
</Table>
[CHART]
LIFE OF FUND PERFORMANCE (1/30/97 TO 4/30/04)
<Table>
<Caption>
JPMORGAN TAX AWARE DISCIPLINED LIPPER LARGE-CAP
EQUITY FUND (INSTITUTIONAL SHARES) S&P 500 INDEX CORE FUNDS INDEX
1/30/97 $ 3,000,000 $ 3,000,000 $ 3,000,000
1/31/97 $ 3,009,000 $ 3,000,000 $ 3,000,000
2/28/97 $ 3,036,081 $ 3,023,400 $ 2,996,400
3/31/97 $ 2,900,975 $ 2,899,138 $ 2,868,154
4/30/97 $ 3,075,034 $ 3,072,217 $ 3,027,050
5/31/97 $ 3,302,894 $ 3,259,315 $ 3,210,792
6/30/97 $ 3,458,791 $ 3,405,332 $ 3,350,140
7/31/97 $ 3,758,668 $ 3,676,397 $ 3,614,801
8/31/97 $ 3,569,607 $ 3,470,518 $ 3,430,808
9/30/97 $ 3,752,728 $ 3,660,703 $ 3,607,494
10/31/97 $ 3,623,634 $ 3,538,435 $ 3,496,384
11/30/97 $ 3,779,450 $ 3,702,265 $ 3,610,715
12/31/97 $ 3,844,456 $ 3,765,944 $ 3,676,430
1/31/98 $ 3,895,972 $ 3,807,746 $ 3,712,827
2/28/98 $ 4,179,989 $ 4,082,284 $ 3,976,066
3/31/98 $ 4,394,422 $ 4,291,297 $ 4,172,882
4/30/98 $ 4,463,854 $ 4,334,639 $ 4,215,028
5/31/98 $ 4,421,447 $ 4,260,084 $ 4,142,951
6/30/98 $ 4,581,946 $ 4,433,043 $ 4,339,741
7/31/98 $ 4,539,334 $ 4,386,053 $ 4,304,589
8/31/98 $ 3,857,526 $ 3,751,829 $ 3,660,192
9/30/98 $ 4,120,995 $ 3,992,322 $ 3,842,104
10/31/98 $ 4,466,334 $ 4,316,897 $ 4,130,261
11/30/98 $ 4,794,163 $ 4,578,501 $ 4,376,012
12/31/98 $ 5,067,430 $ 4,842,223 $ 4,666,579
1/31/99 $ 5,235,162 $ 5,044,628 $ 4,829,909
2/28/99 $ 5,077,060 $ 4,887,740 $ 4,680,665
3/31/99 $ 5,281,158 $ 5,083,250 $ 4,868,828
4/30/99 $ 5,552,082 $ 5,279,971 $ 4,999,313
5/31/99 $ 5,445,482 $ 5,155,364 $ 4,866,831
6/30/99 $ 5,753,696 $ 5,441,487 $ 5,138,400
7/31/99 $ 5,561,522 $ 5,271,712 $ 4,987,845
8/31/99 $ 5,494,228 $ 5,245,354 $ 4,936,969
9/30/99 $ 5,307,974 $ 5,101,631 $ 4,803,177
10/31/99 $ 5,570,718 $ 5,424,564 $ 5,097,612
11/30/99 $ 5,677,676 $ 5,534,683 $ 5,222,503
12/31/99 $ 5,949,069 $ 5,860,676 $ 5,569,800
1/31/2000 $ 5,651,021 $ 5,566,470 $ 5,344,780
2/29/2000 $ 5,528,394 $ 5,461,264 $ 5,343,176
3/31/2000 $ 6,077,916 $ 5,995,375 $ 5,807,498
4/30/2000 $ 5,844,524 $ 5,814,915 $ 5,617,593
5/31/2000 $ 5,734,062 $ 5,695,709 $ 5,474,345
6/30/2000 $ 5,872,253 $ 5,835,823 $ 5,674,706
7/31/2000 $ 5,780,059 $ 5,744,784 $ 5,586,180
8/31/2000 $ 6,152,873 $ 6,101,535 $ 5,971,627
9/30/2000 $ 5,838,461 $ 5,779,374 $ 5,653,936
10/31/2000 $ 5,823,281 $ 5,755,101 $ 5,588,350
11/30/2000 $ 5,372,559 $ 5,301,599 $ 5,096,576
12/31/2000 $ 5,409,630 $ 5,327,577 $ 5,158,754
1/31/2001 $ 5,647,653 $ 5,516,706 $ 5,304,746
2/28/2001 $ 5,124,681 $ 5,013,582 $ 4,810,875
3/31/2001 $ 4,799,776 $ 4,695,721 $ 4,515,487
4/30/2001 $ 5,205,357 $ 5,060,579 $ 4,858,664
5/31/2001 $ 5,261,054 $ 5,094,485 $ 4,885,872
6/30/2001 $ 5,140,050 $ 4,970,689 $ 4,755,908
7/31/2001 $ 5,103,042 $ 4,921,976 $ 4,686,948
8/31/2001 $ 4,792,777 $ 4,613,860 $ 4,410,886
9/30/2001 $ 4,368,137 $ 4,241,522 $ 4,076,100
10/31/2001 $ 4,452,005 $ 4,322,535 $ 4,172,296
11/30/2001 $ 4,805,494 $ 4,654,073 $ 4,445,581
12/31/2001 $ 4,842,497 $ 4,695,029 $ 4,495,816
1/31/2002 $ 4,733,540 $ 4,626,482 $ 4,424,783
2/28/2002 $ 4,636,976 $ 4,537,190 $ 4,350,446
3/31/2002 $ 4,801,589 $ 4,707,789 $ 4,498,361
4/30/2002 $ 4,492,366 $ 4,422,497 $ 4,263,097
5/31/2002 $ 4,451,935 $ 4,389,770 $ 4,231,976
6/30/2002 $ 4,124,273 $ 4,077,219 $ 3,939,547
7/31/2002 $ 3,801,755 $ 3,759,196 $ 3,646,839
8/31/2002 $ 3,836,351 $ 3,784,006 $ 3,676,743
9/30/2002 $ 3,409,748 $ 3,372,685 $ 3,319,731
10/31/2002 $ 3,689,348 $ 3,669,481 $ 3,577,674
11/30/2002 $ 3,906,281 $ 3,885,614 $ 3,737,596
12/31/2002 $ 3,671,514 $ 3,657,528 $ 3,540,625
1/31/2003 $ 3,573,852 $ 3,561,701 $ 3,447,860
2/28/2003 $ 3,520,244 $ 3,508,275 $ 3,402,004
3/31/2003 $ 3,557,558 $ 3,542,306 $ 3,430,581
4/30/2003 $ 3,851,769 $ 3,834,192 $ 3,683,414
5/31/2003 $ 4,060,534 $ 4,036,253 $ 3,862,060
6/30/2003 $ 4,104,794 $ 4,087,917 $ 3,900,294
7/31/2003 $ 4,155,694 $ 4,159,865 $ 3,961,919
8/31/2003 $ 4,231,743 $ 4,240,982 $ 4,038,384
9/30/2003 $ 4,199,582 $ 4,196,028 $ 3,986,289
10/31/2003 $ 4,460,376 $ 4,433,523 $ 4,181,219
11/30/2003 $ 4,514,346 $ 4,472,538 $ 4,216,341
12/31/2003 $ 4,768,955 $ 4,706,899 $ 4,419,147
1/31/2004 $ 4,848,597 $ 4,793,035 $ 4,481,457
2/29/2004 $ 4,928,599 $ 4,859,658 $ 4,534,338
3/31/2004 $ 4,861,077 $ 4,786,278 $ 4,463,149
4/30/2004 $ 4,766,153 $ 4,711,133 $ 4,393,970
</Table>
SOURCE: LIPPER ANALYTICAL SERVICES, INC. THE QUOTED PERFORMANCE IS PAST
PERFORMANCE AND NOT INDICATIVE OF FUTURE RETURNS. 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. PLEASE NOTE, CURRENT PERFORMANCE
MAY BE HIGHER OR LOWER THAN THE PERFORMANCE DATA SHOWN.
INVESTORS SHOULD CAREFULLY READ THE FUND PROSPECTUS WHICH INCLUDES INFORMATION
ON THE FUND'S INVESTMENT OBJECTIVES, RISK, AS WELL AS CHARGES AND EXPENSES ALONG
WITH OTHER INFORMATION. INVESTORS SHOULD REVIEW THE INFORMATION IN THE
PROSPECTUS CAREFULLY BEFORE INVESTING. FOR UP TO DATE MONTH-END PERFORMANCE
INFORMATION, OR TO RECEIVE A FUND PROSPECTUS PLEASE CALL 800 348-4782. PLEASE
READ CAREFULLY BEFORE INVESTING OR SENDING MONEY.
The Fund commenced operations on 1/30/97.
The graph illustrates comparative performance for $3,000,000 invested in
Institutional Shares of the JPMorgan Tax Aware Disciplined Equity Fund, S&P 500
Index, and Lipper Large-Cap Core Funds Index from January 30, 1997 to April 30,
2004. The performance of the Fund assumes reinvestment of all dividends and
capital gains and does not include a sales charge. The performance of the
indices reflects an initial investment at the end of the month following the
Fund's inception. The performance of the indices does not include a sales charge
and has been adjusted to reflect reinvestment of all dividends and capital gains
of the securities included in the benchmark. The S&P 500 Index is a broad-based
index that replicates the U.S. stock market. The Lipper Large-Cap Core Funds
Index represents the total returns of the funds in the indicated category, as
defined by Lipper, Inc. Investors cannot invest directly in an index.
Institutional Shares have a $3,000,000 minimum initial deposit and carry no
sales charge.
Certain fees and expenses of the Fund are currently being waived and reimbursed
as described in the prospectus. Had the expenses not been subsidized or waived,
returns would have been lower. Also all performance shown in this section does
not reflect the deduction of taxes that a shareholder would pay on fund
distributions or redemption of fund shares.
7
<Page>
JPMORGAN TAX AWARE ENHANCED INCOME FUND
AS OF APRIL 30, 2004 (Unaudited)
FUND FACTS
Fund Inception 4/16/99
Fiscal Year End OCTOBER 31
Net Assets as of 4/30/2004
(In Millions) $2,249.1
Primary Benchmark MERRILL LYNCH
3-MONTH U.S.
TREASURY BILL INDEX
Q: HOW DID THE FUND PERFORM?
A: JPMorgan Tax Aware Enhanced Income Fund, which seeks to provide high after
tax current income with principal preservation, returned 0.34%
(Institutional Shares) for the six-month period ended April 30, 2004. This
compares to the 0.50% return from the Fund's benchmark index, the Merrill
Lynch 3-Month U.S. Treasury Bill Index.
Q: WHY DID THE FUND PERFORM THIS WAY?
A: The fund underperformed its benchmark over the last six months. Duration
positioning, which was longer than the benchmark, was negative for
performance as investors started pricing in a strengthening economy and
interest rates rose. Although only a slight drag in November and December,
it resulted in poor returns the end of the first quarter and was a major
detriment in April as interest rates spiked higher on the back of strong
employment growth and the first whiff of inflation. However, performance
benefited from our allocation to California obligations, including state
bonds, as they rose in price in response to California's progress towards
solving its budget problems. Also positive were our purchases of
lower-rated paper, which performed well at a time when credit spreads
narrowed.
Q: HOW WAS THE FUND MANAGED?
A: In the final months of 2003, the U.S. economic expansion gradually made the
transition from being policy dependent to becoming self-sustaining. In
December, the Federal Reserve Board announced that it would keep its
monetary policy on hold until economic conditions warrant a change.
Although economic data was mixed during the first quarter, it was uniformly
positive during April. The March employment report listed 308,000 new jobs
versus expectations of 120,000. Corporate earnings reports showed
accelerating profit growth. The first-quarter gross domestic product (GDP)
report indicated that the U.S. economy expanded at 4.2% with signs of
accelerating inflation. Chairman Greenspan's Congressional testimony -
combined with the strong economic data - led to a widespread belief that
the Fed could raise rates as early as June.
In 2003, municipalities took advantage of low interest rates to refinance
outstanding debt and raise new money. As a result, municipal issuance
reached a record $383 billion. Over the last six months, the ratio (the
difference in prices) between two-year municipal and taxable securities was
volatile - reaching a high of 87% and a low of 70% for an average of 78%.
The ratio ended the period at 76%, just about where it started at 75%.
Municipals performed well for most of the period. Low seasonal supply
during the first quarter of 2004 was met with strong demand from both
retail and institutional buyers. In the second half of March, however, an
avalanche of supply overwhelmed demand. We began the period with an 84%
allocation to municipals, whittling it down to 78% by the end of 2003 and
investing the proceeds in corporate bonds and asset-backed securities.
Because of continued high prices, we trimmed our position to 76% in March,
then moved back to 78% toward the end of the period as municipal yields
increased.
8
<Page>
SEMI-ANNUAL REPORT APRIL 30 2004
(Unaudited)
AVERAGE ANNUAL TOTAL RETURNS AS OF APRIL 30, 2004
<Table>
<Caption>
SINCE
INCEPTION
1 YEAR 3 YEARS 5 YEARS (4/16/99)
----------------------------------------------------------
CLASS A SHARES
Without Sales Charge 0.23% 1.87% 2.77% 2.77%
With Sales Charge* (1.23%) 1.36% 2.47% 2.47%
INSTITUTIONAL SHARES 0.74% 2.30% 3.13% 3.13%
SELECT SHARES 0.48% 2.07% 2.90% 2.90%
</Table>
* Sales Charge for Class A Shares is 1.50%.
[CHART]
LIFE OF FUND PERFORMANCE (4/16/99 TO 4/30/04)
<Table>
<Caption>
JPMORGAN TAX AWARE ENHANCED MERRIL LYNCH 3-MONTH LIPPER SHORT-INTERMEDIATE
INCOME FUND (INSTITUTIONAL SHARES) U.S. TREASURY BILL INDEX INVESTMENT GRADE FUNDS INDEX
4/16/99 $ 3,000,000 $ 3,000,000 $ 3,000,000
4/30/99 $ 3,003,000 $ 3,000,000 $ 3,000,000
5/31/99 $ 3,011,408 $ 3,011,700 $ 2,982,300
6/30/99 $ 3,005,386 $ 3,024,349 $ 2,983,493
7/31/99 $ 3,015,604 $ 3,036,749 $ 2,980,211
8/31/99 $ 3,025,857 $ 3,048,896 $ 2,983,787
9/30/99 $ 3,036,145 $ 3,062,616 $ 3,010,641
10/31/99 $ 3,046,771 $ 3,074,560 $ 3,016,964
11/30/99 $ 3,056,826 $ 3,086,858 $ 3,023,299
12/31/99 $ 3,068,136 $ 3,100,749 $ 3,018,764
1/31/2000 $ 3,063,841 $ 3,114,083 $ 3,010,614
2/29/2000 $ 3,074,564 $ 3,127,784 $ 3,032,290
3/31/2000 $ 3,101,928 $ 3,144,049 $ 3,058,065
4/30/2000 $ 3,096,344 $ 3,158,826 $ 3,054,395
5/31/2000 $ 3,107,801 $ 3,178,095 $ 3,060,504
6/30/2000 $ 3,134,528 $ 3,191,761 $ 3,107,329
7/31/2000 $ 3,146,752 $ 3,206,124 $ 3,127,838
8/31/2000 $ 3,159,339 $ 3,222,795 $ 3,160,680
9/30/2000 $ 3,171,977 $ 3,239,876 $ 3,189,442
10/31/2000 $ 3,185,299 $ 3,256,724 $ 3,197,735
11/30/2000 $ 3,197,722 $ 3,274,636 $ 3,234,829
12/31/2000 $ 3,226,821 $ 3,292,646 $ 3,283,675
1/31/2001 $ 3,239,406 $ 3,314,378 $ 3,331,616
2/28/2001 $ 3,250,420 $ 3,326,972 $ 3,361,268
3/31/2001 $ 3,278,373 $ 3,342,276 $ 3,384,460
4/30/2001 $ 3,273,128 $ 3,356,982 $ 3,380,399
5/31/2001 $ 3,300,622 $ 3,370,074 $ 3,398,653
6/30/2001 $ 3,311,184 $ 3,379,848 $ 3,411,228
7/31/2001 $ 3,321,449 $ 3,391,001 $ 3,473,312
8/31/2001 $ 3,341,045 $ 3,401,852 $ 3,501,794
9/30/2001 $ 3,353,073 $ 3,416,140 $ 3,544,165
10/31/2001 $ 3,364,809 $ 3,425,022 $ 3,589,885
11/30/2001 $ 3,365,145 $ 3,432,557 $ 3,555,422
12/31/2001 $ 3,370,866 $ 3,438,049 $ 3,540,489
1/31/2002 $ 3,387,720 $ 3,443,206 $ 3,557,130
2/28/2002 $ 3,396,867 $ 3,447,683 $ 3,583,097
3/31/2002 $ 3,396,528 $ 3,452,854 $ 3,538,666
4/30/2002 $ 3,412,831 $ 3,458,379 $ 3,582,546
5/31/2002 $ 3,418,974 $ 3,463,912 $ 3,610,848
6/30/2002 $ 3,421,367 $ 3,468,761 $ 3,622,042
7/31/2002 $ 3,424,446 $ 3,473,965 $ 3,646,309
8/31/2002 $ 3,426,844 $ 3,478,828 $ 3,688,242
9/30/2002 $ 3,432,327 $ 3,484,394 $ 3,737,664
10/31/2002 $ 3,431,640 $ 3,489,621 $ 3,728,320
11/30/2002 $ 3,441,249 $ 3,495,204 $ 3,728,320
12/31/2002 $ 3,447,099 $ 3,499,399 $ 3,793,193
1/31/2003 $ 3,459,853 $ 3,502,898 $ 3,795,469
2/28/2003 $ 3,465,043 $ 3,506,051 $ 3,840,255
3/31/2003 $ 3,471,280 $ 3,510,258 $ 3,844,864
4/30/2003 $ 3,477,528 $ 3,513,417 $ 3,869,855
5/31/2003 $ 3,483,788 $ 3,516,930 $ 3,933,321
6/30/2003 $ 3,486,226 $ 3,521,854 $ 3,931,748
7/31/2003 $ 3,474,025 $ 3,524,319 $ 3,843,283
8/31/2003 $ 3,478,888 $ 3,527,139 $ 3,852,123
9/30/2003 $ 3,493,847 $ 3,530,666 $ 3,933,403
10/31/2003 $ 3,491,052 $ 3,533,491 $ 3,903,902
11/30/2003 $ 3,491,751 $ 3,536,317 $ 3,907,806
12/31/2003 $ 3,496,290 $ 3,539,854 $ 3,938,678
1/31/2004 $ 3,500,835 $ 3,542,686 $ 3,959,946
2/29/2004 $ 3,508,537 $ 3,545,165 $ 3,991,230
3/31/2004 $ 3,506,081 $ 3,548,002 $ 4,018,370
4/30/2004 $ 3,504,013 $ 3,550,840 $ 3,945,638
</Table>
SOURCE: LIPPER ANALYTICAL SERVICES, INC. THE QUOTED PERFORMANCE IS PAST
PERFORMANCE AND NOT INDICATIVE OF FUTURE RETURNS. 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. PLEASE NOTE, CURRENT PERFORMANCE
MAY BE HIGHER OR LOWER THAN THE PERFORMANCE DATA SHOWN.
INVESTORS SHOULD CAREFULLY READ THE FUND PROSPECTUS WHICH INCLUDES INFORMATION
ON THE FUND'S INVESTMENT OBJECTIVES, RISK, AS WELL AS CHARGES AND EXPENSES ALONG
WITH OTHER INFORMATION. INVESTORS SHOULD REVIEW THE INFORMATION IN THE
PROSPECTUS CAREFULLY BEFORE INVESTING. FOR UP TO DATE MONTH-END PERFORMANCE
INFORMATION, OR TO RECEIVE A FUND PROSPECTUS PLEASE CALL 800 348-4782. PLEASE
READ CAREFULLY BEFORE INVESTING OR SENDING MONEY.
The Fund commenced operations on 4/16/99.
Returns for the Select Shares prior to 5/6/99 (offering date of the Select
Shares) are calculated using the historical expenses of the Institutional
Shares, which are lower than the expenses of the Select Shares.
Returns for the Class A Shares prior to 11/30/01 (offering date of the Class A
Shares) are calculated using the historical expenses of the Select Shares, which
are lower than the expenses of the Class A Shares.
The graph illustrates comparative performance for $3,000,000 invested in
Institutional Shares of the JPMorgan Tax Aware Enhanced Income Fund, Merrill
Lynch 3-Month U.S. Treasury Bill Index, and Lipper Short-Intermediate Investment
Grade Funds Index from April 16, 1999 to April 30, 2004. The performance of the
Fund assumes reinvestment of all dividends and capital gains and does not
include a sales charge. The performance of the indices reflects an initial
investment at the end of the month following the Fund's inception. The
performance of the indices does not include a sales charge and has been adjusted
to reflect reinvestment of all dividends and capital gains of the securities
included in the benchmark. The Merrill Lynch 3-Month U.S. Treasury Bill Index is
an unmanaged index that tracks the performance of the 3-Month U.S. Treasury
Market. The Lipper Short-Intermediate Investment Grade Funds Index represents
the total returns of the funds in the indicated category, as defined by Lipper,
Inc. Investors cannot invest directly in an index.
Institutional Shares have a $3,000,000 minimum initial deposit and carry no
sales charge.
Certain fees and expenses of the Fund are currently being waived and reimbursed
as described in the prospectus. Had the expenses not been subsidized or waived,
returns would have been lower. Also all performance shown in this section does
not reflect the deduction of taxes that a shareholder would pay on fund
distributions or redemption of fund shares.
9
<Page>
JPMORGAN TAX AWARE LARGE CAP GROWTH FUND
AS OF APRIL 30, 2004 (Unaudited)
FUND FACTS
Fund Inception 1/1/97
Fiscal Year End OCTOBER 31
Net Assets as of 4/30/2004
(In Millions) $247.9
Primary Benchmark RUSSELL 1000
GROWTH INDEX
Q: HOW DID THE FUND PERFORM?
A: JPMorgan Tax Aware Large Cap Growth Fund, which seeks to provide long-term
capital growth while minimizing capital gain distributions from a portfolio
of large cap equity securities, had a total return of 1.48% during the
six-month period ended April 30, 2004. This compares to a return of 4.14%
for the Fund's benchmark, the Russell 1000 Growth Index.
Q: WHY DID THE FUND PERFORM THIS WAY?
A: The Fund participated in the markets' advance but underperformed its
benchmark in the six-month period ending April 30, 2004. The market
continued its trend of steadily improving performance for most of the
period as the economy showed signs of improvement and corporate earnings
came in ahead of expectations. The accommodating environment of low
interest rates and inflation also provided an environment that supported
rising consumer confidence and aided the market's recovery. However, the
upgrade in prospects for growth brought with it the threat of an early end
to the Federal Reserve's highly accommodative stance. As a result stocks
receded in March and April.
The Fund's underperformance of its benchmark was due to a combination of
sector allocation and stock selection. The primary detractor from the
Fund's relative performance was an underweight stance relative to the
benchmark as well as poor stock selection in the pharmaceutical/medical
technology sector.
Despite the Fund's underperformance for the period, there were a number of
bright spots, particularly in the Software and Services sector where your
portfolio manager was able to add value. Symantec, an Internet security
provider, was the top contributor within the sector. Shares of the company
advanced after management reported fiscal third quarter profit which was at
the upper end of expectations.
Q: HOW WAS THE FUND MANAGED?
A: During the period under review, the Fund's portfolio management team
changed. As a result, there have been some minor changes in the composition
of the Fund. In particular, we have increased the number of holdings in the
Fund by adding to our exposure in the Health Services and Systems as well
as the Telecommunications sectors. During this period we also reduced the
Fund's Software and Services exposure by eliminating names such as
Symantec, Oracle, IBM as well as First Data Corp.
Keeping to our discipline, the Fund continued to focus on overweighting
companies within each sector of the market that were deemed to be
attractively priced relative to their future earnings prospects. Style
characteristics and sector weightings were kept in line with the Russell
1000 Growth Index so as to minimize volatility relative to index and to
ensure that stock selection was the main driver of returns.
10
<Page>
SEMI-ANNUAL REPORT APRIL 30 2004
(Unaudited)
[CHART]
PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS
<Table>
Technology 30.9%
Consumer Goods & Services 25.5%
Pharmaceuticals 15.2%
Industrial Products & Services 8.7%
Health Services & Systems 7.7%
Finance & Insurance 7.0%
Energy 1.7%
Telecommunications 1.7%
Short-Term Investments 1.6%
</Table>
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO
<Table>
1. General Electric Co. 6.0%
2. Pfizer, Inc. 5.4%
3. Intel Corp. 3.7%
4. Cisco Systems, Inc. 3.7%
5. Microsoft Corp. 3.6%
6. Johnson & Johnson 3.3%
7. The Coca-Cola Co. 2.7%
8. Procter & Gamble Co. 2.4%
9. Home Depot, Inc. 2.3%
10. Wal-Mart Stores, Inc. 2.2%
</Table>
Top 10 equity holdings comprised 35.3% of the Portfolio's market value of
investments ($87,648 in thousands). As of April 30, 2004 the Fund held 85 equity
holdings. Portfolio holdings are subject to change at any time.
11
<Page>
AVERAGE ANNUAL TOTAL RETURNS AS OF APRIL 30, 2004
<Table>
<Caption>
1 YEAR 3 YEARS 5 YEARS 10 YEARS
-----------------------------------------------
SELECT SHARES 11.45% (7.99%) (7.89%) 8.40%
</Table>
[CHART]
TEN-YEAR FUND PERFORMANCE (4/30/94 TO 4/30/04)
<Table>
<Caption>
JPMORGAN TAX AWARE RUSSELL 1000 LIPPER LARGE-CAP GROWTH
LARGE CAP GROWTH FUND GROWTH INDEX FUNDS INDEX
4/30/94 $ 1,000,000 $ 1,000,000 $ 1,000,000
5/31/94 $ 1,022,100 $ 1,015,100 $ 1,006,000
6/30/94 $ 999,001 $ 985,155 $ 968,476
7/31/94 $ 1,024,675 $ 1,018,847 $ 996,271
8/31/94 $ 1,060,129 $ 1,075,597 $ 1,047,380
9/30/94 $ 1,033,201 $ 1,060,861 $ 1,022,453
10/31/94 $ 1,059,341 $ 1,085,897 $ 1,048,627
11/30/94 $ 1,036,142 $ 1,051,149 $ 1,009,933
12/31/94 $ 1,061,527 $ 1,068,808 $ 1,017,810
1/31/95 $ 1,086,261 $ 1,091,573 $ 1,025,749
2/28/95 $ 1,135,577 $ 1,137,310 $ 1,061,035
3/31/95 $ 1,165,556 $ 1,170,520 $ 1,091,169
4/30/95 $ 1,182,690 $ 1,196,154 $ 1,120,957
5/31/95 $ 1,214,386 $ 1,237,900 $ 1,158,061
6/30/95 $ 1,252,396 $ 1,285,683 $ 1,217,238
7/31/95 $ 1,287,964 $ 1,339,167 $ 1,283,456
8/31/95 $ 1,303,935 $ 1,340,640 $ 1,290,643
9/30/95 $ 1,349,182 $ 1,402,444 $ 1,338,526
10/31/95 $ 1,336,634 $ 1,403,426 $ 1,330,896
11/30/95 $ 1,410,550 $ 1,458,019 $ 1,372,820
12/31/95 $ 1,413,936 $ 1,466,330 $ 1,373,369
1/31/96 $ 1,438,679 $ 1,515,452 $ 1,413,746
2/29/96 $ 1,460,116 $ 1,543,184 $ 1,445,555
3/31/96 $ 1,468,876 $ 1,545,191 $ 1,446,278
4/30/96 $ 1,484,740 $ 1,585,829 $ 1,480,699
5/31/96 $ 1,502,557 $ 1,641,175 $ 1,524,380
6/30/96 $ 1,506,915 $ 1,643,472 $ 1,510,661
7/31/96 $ 1,411,828 $ 1,547,165 $ 1,429,840
8/31/96 $ 1,444,159 $ 1,587,082 $ 1,472,735
9/30/96 $ 1,524,743 $ 1,702,621 $ 1,575,238
10/31/96 $ 1,538,466 $ 1,712,837 $ 1,594,928
11/30/96 $ 1,664,928 $ 1,841,471 $ 1,698,120
12/31/96 $ 1,618,310 $ 1,805,378 $ 1,656,007
1/31/97 $ 1,657,311 $ 1,931,935 $ 1,760,998
2/28/97 $ 1,639,081 $ 1,918,798 $ 1,735,639
3/31/97 $ 1,580,402 $ 1,814,991 $ 1,646,774
4/30/97 $ 1,688,501 $ 1,935,506 $ 1,737,182
5/31/97 $ 1,815,983 $ 2,075,250 $ 1,855,137
6/30/97 $ 1,905,148 $ 2,158,260 $ 1,932,867
7/31/97 $ 2,095,091 $ 2,349,050 $ 2,117,649
8/31/97 $ 1,984,261 $ 2,211,631 $ 2,002,238
9/30/97 $ 2,082,283 $ 2,320,443 $ 2,112,761
10/31/97 $ 2,027,935 $ 2,234,586 $ 2,039,448
11/30/97 $ 2,101,752 $ 2,329,556 $ 2,084,724
12/31/97 $ 2,150,093 $ 2,355,647 $ 2,113,076
1/31/98 $ 2,181,269 $ 2,426,081 $ 2,150,478
2/28/98 $ 2,365,368 $ 2,608,523 $ 2,314,774
3/31/98 $ 2,466,133 $ 2,712,603 $ 2,422,411
4/30/98 $ 2,540,610 $ 2,750,037 $ 2,463,108
5/31/98 $ 2,467,948 $ 2,671,935 $ 2,407,934
6/30/98 $ 2,616,766 $ 2,835,725 $ 2,545,668
7/31/98 $ 2,589,028 $ 2,817,009 $ 2,544,395
8/31/98 $ 2,221,645 $ 2,394,176 $ 2,128,895
9/30/98 $ 2,404,264 $ 2,578,049 $ 2,283,666
10/31/98 $ 2,618,484 $ 2,785,324 $ 2,430,963
11/30/98 $ 2,778,735 $ 2,997,287 $ 2,597,970
12/31/98 $ 3,028,544 $ 3,267,643 $ 2,883,746
1/31/99 $ 3,245,085 $ 3,459,453 $ 3,070,901
2/28/99 $ 3,133,129 $ 3,301,356 $ 2,944,687
3/31/99 $ 3,332,709 $ 3,475,338 $ 3,111,946
4/30/99 $ 3,381,034 $ 3,479,856 $ 3,122,526
5/31/99 $ 3,274,193 $ 3,373,024 $ 3,019,171
6/30/99 $ 3,518,448 $ 3,609,136 $ 3,229,003
7/31/99 $ 3,451,949 $ 3,494,365 $ 3,127,612
8/31/99 $ 3,505,109 $ 3,551,323 $ 3,128,238
9/30/99 $ 3,480,573 $ 3,476,746 $ 3,096,643
10/31/99 $ 3,660,519 $ 3,739,240 $ 3,334,155
11/30/99 $ 3,804,011 $ 3,940,785 $ 3,498,862
12/31/99 $ 4,159,306 $ 4,350,627 $ 3,887,586
1/31/2000 $ 3,949,677 $ 4,146,582 $ 3,731,694
2/29/2000 $ 4,180,338 $ 4,349,350 $ 3,927,981
3/31/2000 $ 4,415,273 $ 4,660,763 $ 4,203,725
4/30/2000 $ 4,187,887 $ 4,438,911 $ 3,878,357
5/31/2000 $ 3,834,848 $ 4,215,190 $ 3,654,963
6/30/2000 $ 4,190,722 $ 4,534,701 $ 3,896,557
7/31/2000 $ 4,067,514 $ 4,345,604 $ 3,817,456
8/31/2000 $ 4,363,223 $ 4,738,882 $ 4,147,666
9/30/2000 $ 3,818,256 $ 4,290,583 $ 3,831,199
10/31/2000 $ 3,627,343 $ 4,087,639 $ 3,628,529
11/30/2000 $ 3,198,229 $ 3,485,121 $ 3,141,580
12/31/2000 $ 3,131,386 $ 3,374,991 $ 3,122,103
1/31/2001 $ 3,288,268 $ 3,608,203 $ 3,212,956
2/28/2001 $ 2,838,104 $ 2,995,530 $ 2,715,590
3/31/2001 $ 2,572,458 $ 2,669,616 $ 2,433,440
4/30/2001 $ 2,877,551 $ 3,007,323 $ 2,694,792
5/31/2001 $ 2,840,143 $ 2,963,115 $ 2,674,312
6/30/2001 $ 2,800,097 $ 2,894,371 $ 2,597,291
7/31/2001 $ 2,755,575 $ 2,822,012 $ 2,504,308
8/31/2001 $ 2,553,867 $ 2,591,171 $ 2,313,981
9/30/2001 $ 2,294,905 $ 2,332,572 $ 2,081,194
10/31/2001 $ 2,419,519 $ 2,455,032 $ 2,167,564
11/30/2001 $ 2,575,819 $ 2,690,961 $ 2,366,113
12/31/2001 $ 2,581,744 $ 2,685,848 $ 2,376,997
1/31/2002 $ 2,558,250 $ 2,638,309 $ 2,323,277
2/28/2002 $ 2,485,084 $ 2,528,819 $ 2,227,093
3/31/2002 $ 2,530,313 $ 2,616,316 $ 2,316,622
4/30/2002 $ 2,300,054 $ 2,402,824 $ 2,162,335
5/31/2002 $ 2,262,103 $ 2,344,676 $ 2,122,981
6/30/2002 $ 2,051,728 $ 2,127,794 $ 1,950,170
7/31/2002 $ 1,955,912 $ 2,010,765 $ 1,803,322
8/31/2002 $ 1,974,493 $ 2,016,797 $ 1,813,241
9/30/2002 $ 1,758,089 $ 1,807,655 $ 1,637,538
10/31/2002 $ 1,940,402 $ 1,973,417 $ 1,763,628
11/30/2002 $ 2,040,139 $ 2,080,574 $ 1,836,642
12/31/2002 $ 1,883,864 $ 1,936,806 $ 1,708,628
1/31/2003 $ 1,833,188 $ 1,889,742 $ 1,669,159
2/28/2003 $ 1,828,789 $ 1,881,049 $ 1,651,299
3/31/2003 $ 1,875,606 $ 1,916,037 $ 1,682,343
4/30/2003 $ 2,011,400 $ 2,057,632 $ 1,805,491
5/31/2003 $ 2,083,006 $ 2,160,307 $ 1,893,960
6/30/2003 $ 2,093,421 $ 2,190,120 $ 1,909,680
7/31/2003 $ 2,132,149 $ 2,244,654 $ 1,965,060
8/31/2003 $ 2,150,059 $ 2,300,546 $ 2,013,401
9/30/2003 $ 2,122,323 $ 2,275,930 $ 1,970,516
10/31/2003 $ 2,208,914 $ 2,403,837 $ 2,090,126
11/30/2003 $ 2,213,332 $ 2,429,077 $ 2,109,982
12/31/2003 $ 2,284,158 $ 2,513,123 $ 2,169,484
1/31/2004 $ 2,296,036 $ 2,564,391 $ 2,211,138
2/29/2004 $ 2,309,583 $ 2,580,803 $ 2,220,645
3/31/2004 $ 2,286,487 $ 2,533,058 $ 2,195,774
4/30/2004 $ 2,241,005 $ 2,503,675 $ 2,146,589
</Table>
SOURCE: LIPPER ANALYTICAL SERVICES, INC. THE QUOTED PERFORMANCE IS PAST
PERFORMANCE AND NOT INDICATIVE OF FUTURE RETURNS. 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. PLEASE NOTE, CURRENT PERFORMANCE
MAY BE HIGHER OR LOWER THAN THE PERFORMANCE DATA SHOWN.
INVESTORS SHOULD CAREFULLY READ THE FUND PROSPECTUS WHICH INCLUDES INFORMATION
ON THE FUND'S INVESTMENT OBJECTIVES, RISK, AS WELL AS CHARGES AND EXPENSES ALONG
WITH OTHER INFORMATION. INVESTORS SHOULD REVIEW THE INFORMATION IN THE
PROSPECTUS CAREFULLY BEFORE INVESTING. FOR UP TO DATE MONTH-END PERFORMANCE
INFORMATION, OR TO RECEIVE A FUND PROSPECTUS PLEASE CALL 800 348-4782. PLEASE
READ CAREFULLY BEFORE INVESTING OR SENDING MONEY.
The Fund commenced operations on 1/1/97.
Returns for the Fund prior to 1/1/97 (offering date of the Shares) are
calculated using the historical expenses at the level indicated (absent
reimbursements) in the Expense Summary for the Fund as disclosed in the
Prospectus. The account was not registered with the SEC and was not subject to
investment restrictions of registered mutual funds. If the account had been
registered, performance may have been adversely affected.
The graph illustrates comparative performance for $1,000,000 invested in Select
Shares of the JPMorgan Tax Aware Large Cap Growth Fund, Russell 1000 Growth
Index, and Lipper Large-Cap Growth Funds Index from April 30, 1994 to April 30,
2004. The performance of the Fund assumes reinvestment of all dividends and
capital gains and does not include a sales charge. The performance of the
indices does not include a sales charge and has been adjusted to reflect
reinvestment of all dividends and capital gains of the securities included in
the benchmark. The Russell 1000 Growth Index measures the performance of those
Russell 1000 companies with higher price-to-book ratios and higher forecasted
growth values. The Lipper Large-Cap Growth Funds Index represents the total
returns of the funds in the indicated category, as defined by Lipper, Inc.
Investors cannot invest directly in an index.
Select Shares have a $1,000,000 minimum initial deposit and carry no sales
charge.
Certain fees and expenses of the Fund are currently being waived and reimbursed
as described in the prospectus. Had the expenses not been subsidized or waived,
returns would have been lower. Also, all performance shown in this section does
not reflect the deduction of taxes that a shareholder would pay on fund
distributions or redemption of fund shares.
12
<Page>
JPMORGAN TAX AWARE LARGE CAP VALUE FUND
AS OF APRIL 30, 2004 (Unaudited)
FUND FACTS
Fund Inception 1/1/97
Fiscal Year End OCTOBER 31
Net Assets as of 4/30/2004
(In Millions) $394.7
Primary Benchmark RUSSELL 1000 VALUE
INDEX
Q: HOW DID THE FUND PERFORM?
A: JPMorgan Tax Aware Large Cap Value Fund, which seeks to provide income and
capital appreciation while minimizing taxable capital gain distributions
through a portfolio of large cap equity securities, had a return of 8.01%
during the six-month period ended April 30, 2004. This compares to the
8.15% return from the Fund's benchmark, the Russell 1000 Value Index.
Q: WHY DID THE FUND PERFORM THIS WAY?
A: The Fund participated in the markets' advance and performed in line with
its benchmark in the six-month period ending April 30, 2004. The market
continued its trend of steadily improving performance for most of the
period as the economy showed signs of improvement and corporate earnings
came in ahead of expectations. The accommodating environment of low
interest rates and inflation also aided equity returns. However, the
upgrade in prospects for growth brought with it the threat of an early end
to the Federal Reserve's highly accommodative stance. As a result stocks
receded in March and April.
Stock selection was strongest in the Industrial Cyclical sector where the
portfolio manager added value against the benchmark. The Portfolio's
holdings in the sector benefited from an improved economic outlook and
lower interest rate environment. Among the top contributors in the sector
was a resurgent Tyco International Ltd. Despite the negative media
attention Tyco has received, it has been a strong turnaround story as the
company remains focused on long-term improvements in profit margins,
working capital, and free cash flow. With its leaner operations, Tyco
should continue to benefit from an improving economy and a pickup in
industrial markets and non-residential construction.
Despite the strong return generated by the Fund, some sectors did lag their
benchmark peer group in the period. In particular, an underweight position
in the Consumer Staples and Utilities sectors modestly detracted from the
Fund's relative return.
Q: HOW WAS THE FUND MANAGED?
A: We pursue capital appreciation by buying stocks when they are out- of-favor
and undervalued, and then selling them when they have returned to favor and
achieved what we believe to be their full value. The Fund takes a
traditional, disciplined approach to value investing -- uncovering
financially strong stocks that we believe to be attractively priced and
have a short-to-intermediate term catalyst for future appreciation. A
strong "catalyst" for appreciation can include a corporate restructuring or
enhanced product line.
13
<Page>
[CHART]
PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS
<Table>
Finance & Insurance 32.5%
Consumer Goods & Services 20.7%
Industrial Products & Services 14.5%
Energy 13.0%
Technology 4.8%
Telecommunications 4.6%
Utilities 3.7%
Pharmaceuticals 2.7%
Short-Term Investments 2.0%
REITs 1.0%
Health Services & Systems 0.5%
</Table>
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO
<Table>
1. Citigroup, Inc. 5.0%
2. ConocoPhillips 3.9%
3. Exxon Mobil Corp. 3.5%
4. Bank of America Corp. 3.2%
5. Verizon Communications, Inc. 2.9%
6. Goldman Sachs Group, Inc. 2.6%
7. AMBAC Financial Group, Inc. 2.5%
8. RenaissanceRe Holdings LTD (Bermuda) 2.5%
9. Tyco International LTD (Bermuda) 2.3%
10. Praxair, Inc. 2.3%
</Table>
Top 10 equity holdings comprised 30.7% of the Portfolio's market value of
investments ($121,953 in thousands). As of April 30, 2004 the Fund held 57
equity holdings. Portfolio holdings are subject to change at any time.
14
<Page>
AVERAGE ANNUAL TOTAL RETURNS AS OF APRIL 30, 2004
<Table>
<Caption>
1 YEAR 3 YEARS 5 YEARS 10 YEARS
-----------------------------------------------
SELECT SHARES 25.31% (0.82%) (2.47%) 8.15%
</Table>
[CHART]
TEN-YEAR FUND PERFORMANCE (4/30/94 TO 4/30/04)
<Table>
<Caption>
JPMORGAN TAX AWARE LARGE CAP
VALUE FUND (SELECT SHARES) RUSSELL 1000 VALUE INDEX LIPPER EQUITY INCOME FUNDS INDEX
Apr-1994 $ 1,000,000 $ 1,000,000 $ 1,000,000
May-1994 $ 1,010,600 $ 1,011,500 $ 1,011,400
Jun-1994 $ 988,569 $ 987,224 $ 996,532
Jul-1994 $ 1,013,975 $ 1,017,927 $ 1,024,635
Aug-1994 $ 1,049,261 $ 1,047,141 $ 1,058,755
Sep-1994 $ 1,023,974 $ 1,012,376 $ 1,038,745
Oct-1994 $ 1,032,780 $ 1,026,448 $ 1,044,354
Nov-1994 $ 987,958 $ 984,980 $ 1,005,295
Dec-1994 $ 995,664 $ 996,307 $ 1,013,036
Jan-1995 $ 999,049 $ 1,026,993 $ 1,031,169
Feb-1995 $ 1,048,902 $ 1,067,559 $ 1,064,373
Mar-1995 $ 1,081,942 $ 1,090,939 $ 1,089,492
Apr-1995 $ 1,109,964 $ 1,125,413 $ 1,115,640
May-1995 $ 1,153,475 $ 1,172,792 $ 1,149,890
Jun-1995 $ 1,188,310 $ 1,188,625 $ 1,165,183
Jul-1995 $ 1,242,972 $ 1,229,989 $ 1,197,109
Aug-1995 $ 1,252,046 $ 1,247,332 $ 1,211,834
Sep-1995 $ 1,271,953 $ 1,292,486 $ 1,249,522
Oct-1995 $ 1,248,041 $ 1,279,690 $ 1,231,779
Nov-1995 $ 1,303,828 $ 1,344,570 $ 1,283,636
Dec-1995 $ 1,320,126 $ 1,378,319 $ 1,315,342
Jan-1996 $ 1,365,142 $ 1,421,322 $ 1,345,464
Feb-1996 $ 1,384,254 $ 1,432,125 $ 1,355,286
Mar-1996 $ 1,410,970 $ 1,456,471 $ 1,372,362
Apr-1996 $ 1,416,473 $ 1,462,005 $ 1,384,988
May-1996 $ 1,434,887 $ 1,480,280 $ 1,405,486
Jun-1996 $ 1,442,779 $ 1,481,465 $ 1,407,594
Jul-1996 $ 1,397,187 $ 1,425,465 $ 1,361,566
Aug-1996 $ 1,432,536 $ 1,466,233 $ 1,392,337
Sep-1996 $ 1,488,262 $ 1,524,590 $ 1,443,575
Oct-1996 $ 1,530,975 $ 1,583,591 $ 1,477,643
Nov-1996 $ 1,626,967 $ 1,698,402 $ 1,562,017
Dec-1996 $ 1,617,043 $ 1,676,662 $ 1,552,020
Jan-1997 $ 1,704,525 $ 1,757,980 $ 1,608,824
Feb-1997 $ 1,724,638 $ 1,783,822 $ 1,631,026
Mar-1997 $ 1,667,208 $ 1,719,605 $ 1,578,180
Apr-1997 $ 1,722,392 $ 1,791,828 $ 1,625,210
May-1997 $ 1,816,435 $ 1,891,991 $ 1,718,822
Jun-1997 $ 1,896,539 $ 1,973,158 $ 1,783,794
Jul-1997 $ 1,996,866 $ 2,121,539 $ 1,891,178
Aug-1997 $ 1,927,775 $ 2,046,013 $ 1,830,660
Sep-1997 $ 2,044,984 $ 2,169,592 $ 1,923,475
Oct-1997 $ 2,001,425 $ 2,109,060 $ 1,867,117
Nov-1997 $ 2,068,673 $ 2,202,281 $ 1,929,105
Dec-1997 $ 2,122,666 $ 2,266,587 $ 1,973,668
Jan-1998 $ 2,114,812 $ 2,234,402 $ 1,972,878
Feb-1998 $ 2,184,178 $ 2,384,777 $ 2,079,414
Mar-1998 $ 2,299,284 $ 2,530,725 $ 2,173,611
Apr-1998 $ 2,275,371 $ 2,547,681 $ 2,172,524
May-1998 $ 2,253,528 $ 2,509,975 $ 2,145,802
Jun-1998 $ 2,260,964 $ 2,542,103 $ 2,163,183
Jul-1998 $ 2,188,613 $ 2,497,362 $ 2,107,373
Aug-1998 $ 1,900,154 $ 2,125,755 $ 1,853,224
Sep-1998 $ 2,032,215 $ 2,247,773 $ 1,948,480
Oct-1998 $ 2,153,741 $ 2,421,975 $ 2,063,635
Nov-1998 $ 2,234,507 $ 2,534,839 $ 2,150,926
Dec-1998 $ 2,374,610 $ 2,621,024 $ 2,205,990
Jan-1999 $ 2,392,182 $ 2,641,992 $ 2,203,122
Feb-1999 $ 2,322,091 $ 2,604,740 $ 2,162,365
Mar-1999 $ 2,341,365 $ 2,658,658 $ 2,207,991
Apr-1999 $ 2,480,910 $ 2,906,977 $ 2,364,758
May-1999 $ 2,430,300 $ 2,875,000 $ 2,331,651
Jun-1999 $ 2,510,013 $ 2,958,375 $ 2,405,098
Jul-1999 $ 2,435,466 $ 2,871,695 $ 2,344,249
Aug-1999 $ 2,349,250 $ 2,765,155 $ 2,289,628
Sep-1999 $ 2,290,989 $ 2,668,374 $ 2,208,575
Oct-1999 $ 2,329,707 $ 2,822,073 $ 2,283,004
Nov-1999 $ 2,357,663 $ 2,800,060 $ 2,270,220
Dec-1999 $ 2,435,230 $ 2,813,501 $ 2,298,370
Jan-2000 $ 2,372,645 $ 2,721,781 $ 2,211,262
Feb-2000 $ 2,311,668 $ 2,519,552 $ 2,086,768
Mar-2000 $ 2,525,266 $ 2,826,938 $ 2,279,794
Apr-2000 $ 2,494,458 $ 2,794,145 $ 2,262,468
May-2000 $ 2,451,054 $ 2,823,484 $ 2,296,631
Jun-2000 $ 2,499,340 $ 2,694,451 $ 2,247,253
Jul-2000 $ 2,461,100 $ 2,728,131 $ 2,260,287
Aug-2000 $ 2,594,246 $ 2,879,815 $ 2,392,740
Sep-2000 $ 2,468,425 $ 2,906,310 $ 2,387,476
Oct-2000 $ 2,477,311 $ 2,977,805 $ 2,437,613
Nov-2000 $ 2,347,005 $ 2,867,328 $ 2,351,809
Dec-2000 $ 2,378,924 $ 3,010,981 $ 2,469,635
Jan-2001 $ 2,376,307 $ 3,022,724 $ 2,490,133
Feb-2001 $ 2,211,629 $ 2,938,693 $ 2,406,962
Mar-2001 $ 2,090,432 $ 2,834,957 $ 2,318,868
Apr-2001 $ 2,243,242 $ 2,973,870 $ 2,439,217
May-2001 $ 2,249,075 $ 3,040,782 $ 2,481,659
Jun-2001 $ 2,168,108 $ 2,973,276 $ 2,420,114
Jul-2001 $ 2,175,263 $ 2,967,032 $ 2,417,452
Aug-2001 $ 2,043,877 $ 2,848,054 $ 2,337,676
Sep-2001 $ 1,919,200 $ 2,647,551 $ 2,176,610
Oct-2001 $ 1,946,261 $ 2,624,782 $ 2,187,711
Nov-2001 $ 2,069,849 $ 2,777,282 $ 2,300,597
Dec-2001 $ 2,086,407 $ 2,842,826 $ 2,341,087
Jan-2002 $ 2,059,910 $ 2,820,936 $ 2,318,145
Feb-2002 $ 2,058,468 $ 2,825,450 $ 2,321,622
Mar-2002 $ 2,141,630 $ 2,959,094 $ 2,409,611
Apr-2002 $ 2,032,407 $ 2,857,597 $ 2,327,443
May-2002 $ 2,049,479 $ 2,871,885 $ 2,329,538
Jun-2002 $ 1,916,673 $ 2,707,039 $ 2,183,476
Jul-2002 $ 1,771,964 $ 2,455,284 $ 2,008,143
Aug-2002 $ 1,798,898 $ 2,473,944 $ 2,023,003
Sep-2002 $ 1,598,861 $ 2,198,842 $ 1,812,409
Oct-2002 $ 1,712,540 $ 2,361,776 $ 1,922,241
Nov-2002 $ 1,794,228 $ 2,510,568 $ 2,032,577
Dec-2002 $ 1,732,147 $ 2,401,609 $ 1,956,559
Jan-2003 $ 1,666,846 $ 2,343,490 $ 1,902,166
Feb-2003 $ 1,619,674 $ 2,280,919 $ 1,855,183
Mar-2003 $ 1,618,864 $ 2,284,796 $ 1,857,780
Apr-2003 $ 1,746,754 $ 2,485,858 $ 2,000,086
May-2003 $ 1,851,909 $ 2,646,445 $ 2,120,091
Jun-2003 $ 1,879,502 $ 2,679,525 $ 2,142,352
Jul-2003 $ 1,902,432 $ 2,719,450 $ 2,166,347
Aug-2003 $ 1,929,447 $ 2,761,874 $ 2,198,625
Sep-2003 $ 1,901,084 $ 2,734,807 $ 2,183,894
Oct-2003 $ 2,026,365 $ 2,902,178 $ 2,292,652
Nov-2003 $ 2,056,963 $ 2,941,647 $ 2,321,311
Dec-2003 $ 2,186,141 $ 3,122,853 $ 2,462,214
Jan-2004 $ 2,218,496 $ 3,177,815 $ 2,500,378
Feb-2004 $ 2,272,183 $ 3,245,820 $ 2,547,636
Mar-2004 $ 2,244,690 $ 3,217,257 $ 2,518,847
Apr-2004 $ 2,189,357 $ 3,138,756 $ 2,476,531
</Table>
SOURCE: LIPPER ANALYTICAL SERVICES, INC. THE QUOTED PERFORMANCE IS PAST
PERFORMANCE AND NOT INDICATIVE OF FUTURE RETURNS. 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. PLEASE NOTE, CURRENT PERFORMANCE
MAY BE HIGHER OR LOWER THAN THE PERFORMANCE DATA SHOWN.
INVESTORS SHOULD CAREFULLY READ THE FUND PROSPECTUS WHICH INCLUDES INFORMATION
ON THE FUND'S INVESTMENT OBJECTIVES, RISK, AS WELL AS CHARGES AND EXPENSES ALONG
WITH OTHER INFORMATION. INVESTORS SHOULD REVIEW THE INFORMATION IN THE
PROSPECTUS CAREFULLY BEFORE INVESTING. FOR UP TO DATE MONTH-END PERFORMANCE
INFORMATION, OR TO RECEIVE A FUND PROSPECTUS PLEASE CALL 800 348-4782. PLEASE
READ CAREFULLY BEFORE INVESTING OR SENDING MONEY.
The Fund commenced operations on 1/1/97.
Returns for the Fund prior to 1/1/97 (offering date of the Shares) are
calculated using the historical expenses at the level indicated (absent
reimbursements) in the Expense Summary for the Fund as disclosed in the
Prospectus. The account was not registered with the SEC and was not subject to
investment restrictions of registered mutual funds. If the account had been
registered, performance may have been adversely affected.
The graph illustrates comparative performance for $1,000,000 invested in Select
Shares of the JPMorgan Tax Aware Large Cap Value Fund, Russell 1000 Value Index
and Lipper Equity Income Funds Index from April 30, 1994 to April 30, 2004. The
performance of the Fund assumes reinvestment of all dividends and capital gains
and does not include a sales charge. The performance of the indices does not
include a sales charge and has been adjusted to reflect reinvestment of all
dividends and capital gains of the securities included in the benchmark. The
Russell 1000 Value Index measures the performance of the Russell 1000 companies
with lower price-to-book ratios and lower forecasted growth values. The Lipper
Equity Income Funds Index represents the total returns of the funds in the
indicated category, as defined by Lipper, Inc. Investors cannot invest directly
in an index.
Select Shares have a $1,000,000 minimum initial deposit and carry no sales
charge.
Certain fees and expenses of the Fund are currently being waived and reimbursed
as described in the prospectus. Had the expenses not been subsidized or waived,
returns would have been lower. Also, all performance shown in this section does
not reflect the deduction of taxes that a shareholder would pay on fund
distributions or redemption of fund shares.
15
<Page>
JPMORGAN TAX AWARE SHORT-INTERMEDIATE INCOME FUND
AS OF APRIL 30, 2004 (Unaudited)
FUND FACTS
Fund Inception 12/20/02
Fiscal Year End OCTOBER 31
Net Assets as of 4/30/2004
(In Millions) $716.8
Primary Benchmark LEHMAN 1-5 YEAR
MUNICIPAL BOND
INDEX
Q: HOW DID THE FUND PERFORM?
A: JPMorgan Tax Aware Short-Intermediate Income Fund, which seeks to maximize
after-tax income from a portfolio of tax-exempt and taxable securities,
returned -0.05% (Institutional Shares) for the six-month period ended April
30, 2004. This compares to the 0.26% return from the Fund's benchmark
index, the Lehman 1-5 Year Municipal Bond Index.
Q: WHY DID THE FUND UNDERPERFORM ITS BENCHMARK?
A: The fund underperformed its benchmark over the last six months. Our yield
curve and duration positioning, which was longer than the benchmark, was
negative for performance as investors started pricing in a strengthening
economy and interest rates rose. Although only a slight drag in November
and December, it resulted in poor returns toward the end of the first
quarter and was a major detriment in April as interest rates spiked higher
on the back of strong employment growth and the first whiff of inflation.
However, performance benefited from our allocation to California
obligations, including state bonds, as they rose in price in response to
California's progress towards solving its budget problems. Also positive
were our purchases of lower-rated paper, which performed well at a time
when credit spreads narrowed.
Q: HOW WAS THE FUND MANAGED?
A: Low seasonal supply during the first quarter of 2004 was met with strong
demand from both retail and institutional buyers. In the second half of
March, however, an avalanche of supply overwhelmed demand. We tactically
traded our allocation to municipals, remaining at about 90% throughout the
period.
16
<Page>
SEMI-ANNUAL REPORT APRIL 30 2004
(Unaudited)
AVERAGE ANNUAL TOTAL RETURNS AS OF APRIL 30, 2004
<Table>
<Caption>
SINCE
INCEPTION
1 YEAR (12/20/02)
--------------------------------------------
INSTITUTIONAL SHARES 0.83% 1.74%
SELECT SHARES 0.68% 1.58%
</Table>
[CHART]
LIFE OF FUND PERFORMANCE (12/20/02 TO 4/30/04)
<Table>
<Caption>
JPMORGAN TAX AWARE SHORT-INTERMEDIATE LIPPER SHORT-INTERMEDIATE
INCOME FUND (INSTITUTIONAL SHARES) LEHMAN 1-5 YEAR MUNICIPAL BOND INDEX MUNICIPAL DEBT FUNDS INDEX
Dec-2002 $ 3,000,000 $ 3,000,000 $ 3,000,000
Dec-2002 $ 3,016,200 $ 3,000,000 $ 3,000,000
Jan-2003 $ 3,011,374 $ 3,008,010 $ 3,000,300
Feb-2003 $ 3,028,539 $ 3,026,509 $ 3,026,703
Mar-2003 $ 3,031,265 $ 3,023,180 $ 3,019,741
Apr-2003 $ 3,045,815 $ 3,031,040 $ 3,033,028
May-2003 $ 3,079,014 $ 3,054,682 $ 3,077,310
Jun-2003 $ 3,072,856 $ 3,051,933 $ 3,072,694
Jul-2003 $ 3,021,232 $ 3,024,771 $ 3,020,151
Aug-2003 $ 3,036,338 $ 3,038,080 $ 3,031,326
Sep-2003 $ 3,087,652 $ 3,080,917 $ 3,089,224
Oct-2003 $ 3,072,832 $ 3,067,977 $ 3,080,883
Nov-2003 $ 3,079,285 $ 3,072,272 $ 3,098,444
Dec-2003 $ 3,085,751 $ 3,079,031 $ 3,110,838
Jan-2004 $ 3,098,403 $ 3,089,500 $ 3,123,592
Feb-2004 $ 3,125,669 $ 3,113,907 $ 3,153,891
Mar-2004 $ 3,112,541 $ 3,107,056 $ 3,142,537
Apr-2004 $ 3,070,962 $ 3,075,986 $ 3,095,714
</Table>
SOURCE: LIPPER ANALYTICAL SERVICES, INC. THE QUOTED PERFORMANCE IS PAST
PERFORMANCE AND NOT INDICATIVE OF FUTURE RETURNS. 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. PLEASE NOTE, CURRENT PERFORMANCE
MAY BE HIGHER OR LOWER THAN THE PERFORMANCE DATA SHOWN.
INVESTORS SHOULD CAREFULLY READ THE FUND PROSPECTUS WHICH INCLUDES INFORMATION
ON THE FUND'S INVESTMENT OBJECTIVES, RISK, AS WELL AS CHARGES AND EXPENSES ALONG
WITH OTHER INFORMATION. INVESTORS SHOULD REVIEW THE INFORMATION IN THE
PROSPECTUS CAREFULLY BEFORE INVESTING. FOR UP TO DATE MONTH-END PERFORMANCE
INFORMATION, OR TO RECEIVE A FUND PROSPECTUS PLEASE CALL 800 348-4782. PLEASE
READ CAREFULLY BEFORE INVESTING OR SENDING MONEY.
The Fund commenced operations on 12/20/02.
The graph illustrates comparative performance for $3,000,000 invested in
Institutional Shares of the JPMorgan Tax Aware Short-Intermediate Fund, Lehman
1-5 Year Municipal Bond Index, and Lipper Short-Intermediate Municipal Debt
Funds Index from December 20, 2002 to April 30, 2004.
The performance of the Fund assumes reinvestment of all dividends and capital
gains and does not include a sales charge. The performance of the indices
reflects an initial investment at the end of the month following the Fund's
inception. The performance of the indices does not include a sales charge and
has been adjusted to reflect reinvestment of all dividends and capital gains of
the securities included in the benchmark. The unmanaged Lehman 1-5 Year
Municipal Bond Index represents the performance of municipal bonds with
maturities from 1 to 5 years. The Lipper Short-Intermediate Municipal Debt Funds
Index represents the total returns of the funds in the indicated category, as
defined by Lipper, Inc. Investors cannot invest directly in an index.
Institutional Shares have a $3,000,000 minimum initial deposit and carry no
sales charge.
Certain fees and expenses of the Fund are currently being waived and reimbursed
as described in the prospectus. Had the expenses not been subsidized or waived,
returns would have been lower. Also all performance shown in this section does
not reflect the deduction of taxes that a shareholder would pay on fund
distribution or redemption of fund shares.
17
<Page>
JPMORGAN TAX AWARE U.S. EQUITY FUND
AS OF APRIL 30, 2004 (Unaudited)
FUND FACTS
Fund Inception 12/18/96
Fiscal Year End OCTOBER 31
Net Assets as of 4/30/2004
(In Millions) $924.0
Primary Benchmark S&P 500 INDEX
Q: HOW DID THE FUND PERFORM?
A: JPMorgan Tax Aware U.S. Equity Fund, which seeks to provide high after-tax
return from a portfolio of selected equity securities, rose 6.20% (Select
Shares) in the six-month period ended April 30, 2004. This compares to an
increase of 6.27% by the S&P 500 Index, the Fund's benchmark.
Q: WHY DID THE FUND PERFORM THIS WAY?
A: The six-month period ended April 30, 2004 began with an extension of the
equity market rally that we witnessed in most of 2003. Investors focused
their attention on strong corporate earnings, robust economic growth, and
low interest rates. While economic indicators turned decisively stronger,
the upgrade in prospects for growth brought with it the threat of an early
end to the Federal Reserve's highly accommodative stance. As a result
stocks receded in March and April.
The Fund participated in the market's advance and performed in line with
its benchmark. Stock selection was strongest in the Retail sector where the
portfolio manager added value against the benchmark. Amongst the top
contributors in the sector were Target Corp. and TJX Companies. Shares of
Target rallied on the announcement that it was exploring the divestiture of
its struggling Marshall Field's and Mervyn's stores. TJX, the largest
discount reseller of brand-name merchandise, continues to execute its
business exceptionally well and reported a 62% increase in earnings per
share in the fourth quarter. Additionally, adept stock selection in the
Pharmaceuticals/Medical Technology sector, where the resurgence of Guidant
Corporation, also aided the Fund's relative performance.
Despite the strong return generated by the Fund, some sectors did lag their
benchmark peer group in the period. In particular, an underweight position
in the consumer cyclical sector modestly detracted from the Fund's relative
return.
Q: HOW WAS THE FUND MANAGED?
A: During the period under review, the portfolio had accumulated realized and
unrealized losses, which created additional trading flexibility. We
continued to look to buy companies that we believed would perform well over
longer periods of time so that the Fund could hold the stocks and benefit
from lower long-term capital gains treatment.
We added to our position in the finance and capital markets sectors, as we
believed both sectors are relatively cheap. In particular, we increased our
holding in Freddie Mac and initiated a position in Wells Fargo in the
finance sector. Within the capital markets sector we purchased shares of
American Express, Bank of America, and Merrill Lynch and exited positions
in Morgan Stanley, Mellon Financial, Capital One Financial and Bank One.
18
<Page>
[CHART]
PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS
<Table>
Consumer Goods & Services 22.3%
Finance & Insurance 21.5%
Technology 16.3%
Industrial Products & Services 13.2%
Pharmaceuticals 10.3%
Energy 7.3%
Health Services & Systems 4.2%
Telecommunications 2.1%
Short-Term Investments 1.4%
Utilities 1.4%
</Table>
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO
<Table>
1. General Electric Co. 4.1%
2. Citigroup, Inc. 3.9%
3. Microsoft Corp. 3.3%
4. Pfizer, Inc. 3.3%
5. Johnson & Johnson 3.0%
6. Bank of America Corp. 2.9%
7. Tyco International LTD (Bermuda) 2.8%
8. Cisco Sytems, Inc. 2.7%
9. Altria Group, Inc. 2.5%
10. ChevronTexaco Corp. 2.4%
</Table>
Top 10 equity holdings comprised 30.9% of the Portfolio's market value of
investments ($286,341 in thousands). As of April 30, 2004 the Fund held 71
equity holdings. Portfolio holdings are subject to change at any time.
19
<Page>
AVERAGE ANNUAL TOTAL RETURNS AS OF APRIL 30, 2004
<Table>
<Caption>
SINCE
INCEPTION
1 YEAR 3 YEARS 5 YEARS (12/18/96)
----------------------------------------------------------
CLASS A SHARES
Without Sales Charge 19.33% (3.44%) (2.83%) 6.93%
With Sales Charge* 12.46% (5.34%) (3.97%) 6.07%
CLASS B SHARES
Without CDSC 18.71% (4.10%) (3.23%) 6.63%
With CDSC** 13.71% (5.07%) (3.61%) 6.63%
CLASS C SHARES
Without CDSC 18.71% (4.13%) (3.24%) 6.62%
With CDSC*** 17.71% (4.13%) (3.24%) 6.62%
INSTITUTIONAL SHARES 19.86% (3.14%) (2.72%) 7.01%
SELECT SHARES 19.61% (3.30%) (2.74%) 6.99%
</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 (12/18/96 TO 4/30/04)
<Table>
<Caption>
JPMORGAN TAX AWARE
U.S. EQUITY FUND (SELECT SHARES) S&P 500 INDEX LIPPER LARGE-CAP CORE FUNDS INDEX
Dec-1996 $ 1,000,000 $ 1,000,000 $ 1,000,000
Dec-1996 $ 1,011,100 $ 1,000,000 $ 1,000,000
Jan-1997 $ 1,082,180 $ 1,062,500 $ 1,054,700
Feb-1997 $ 1,085,210 $ 1,070,788 $ 1,053,434
Mar-1997 $ 1,042,128 $ 1,026,778 $ 1,008,347
Apr-1997 $ 1,090,170 $ 1,088,077 $ 1,064,210
May-1997 $ 1,157,215 $ 1,154,341 $ 1,128,807
Jun-1997 $ 1,202,231 $ 1,206,055 $ 1,177,798
Jul-1997 $ 1,321,372 $ 1,302,057 $ 1,270,844
Aug-1997 $ 1,257,285 $ 1,229,142 $ 1,206,158
Sep-1997 $ 1,311,349 $ 1,296,499 $ 1,268,275
Oct-1997 $ 1,258,239 $ 1,253,196 $ 1,229,212
Nov-1997 $ 1,304,290 $ 1,311,219 $ 1,269,407
Dec-1997 $ 1,317,464 $ 1,333,772 $ 1,292,510
Jan-1998 $ 1,338,543 $ 1,348,577 $ 1,305,306
Feb-1998 $ 1,427,021 $ 1,445,809 $ 1,397,852
Mar-1998 $ 1,495,375 $ 1,519,834 $ 1,467,046
Apr-1998 $ 1,527,526 $ 1,535,185 $ 1,481,863
May-1998 $ 1,505,377 $ 1,508,780 $ 1,456,523
Jun-1998 $ 1,558,667 $ 1,570,036 $ 1,525,708
Jul-1998 $ 1,544,483 $ 1,553,394 $ 1,513,350
Aug-1998 $ 1,326,865 $ 1,328,773 $ 1,286,802
Sep-1998 $ 1,420,542 $ 1,413,947 $ 1,350,756
Oct-1998 $ 1,532,339 $ 1,528,901 $ 1,452,062
Nov-1998 $ 1,641,288 $ 1,621,553 $ 1,538,460
Dec-1998 $ 1,727,784 $ 1,714,954 $ 1,640,614
Jan-1999 $ 1,783,419 $ 1,786,639 $ 1,698,035
Feb-1999 $ 1,720,821 $ 1,731,075 $ 1,645,566
Mar-1999 $ 1,801,699 $ 1,800,318 $ 1,711,718
Apr-1999 $ 1,889,622 $ 1,869,990 $ 1,757,592
May-1999 $ 1,842,004 $ 1,825,858 $ 1,711,015
Jun-1999 $ 1,949,208 $ 1,927,193 $ 1,806,490
Jul-1999 $ 1,884,495 $ 1,867,065 $ 1,753,560
Aug-1999 $ 1,858,112 $ 1,857,730 $ 1,735,674
Sep-1999 $ 1,801,439 $ 1,806,828 $ 1,688,637
Oct-1999 $ 1,900,699 $ 1,921,200 $ 1,792,150
Nov-1999 $ 1,952,398 $ 1,960,200 $ 1,836,058
Dec-1999 $ 2,044,160 $ 2,075,656 $ 1,958,156
Jan-2000 $ 2,007,570 $ 1,971,458 $ 1,879,046
Feb-2000 $ 1,997,331 $ 1,934,198 $ 1,878,483
Mar-2000 $ 2,180,287 $ 2,123,362 $ 2,041,723
Apr-2000 $ 2,055,356 $ 2,059,449 $ 1,974,959
May-2000 $ 1,992,257 $ 2,017,230 $ 1,924,597
Jun-2000 $ 2,045,052 $ 2,066,854 $ 1,995,037
Jul-2000 $ 2,055,277 $ 2,034,611 $ 1,963,915
Aug-2000 $ 2,174,483 $ 2,160,960 $ 2,099,425
Sep-2000 $ 2,086,851 $ 2,046,862 $ 1,987,735
Oct-2000 $ 2,089,982 $ 2,038,265 $ 1,964,678
Nov-2000 $ 1,935,114 $ 1,877,650 $ 1,791,786
Dec-2000 $ 1,938,791 $ 1,886,850 $ 1,813,646
Jan-2001 $ 2,005,097 $ 1,953,833 $ 1,864,972
Feb-2001 $ 1,813,210 $ 1,775,644 $ 1,691,343
Mar-2001 $ 1,686,647 $ 1,663,068 $ 1,587,495
Apr-2001 $ 1,818,375 $ 1,792,288 $ 1,708,144
May-2001 $ 1,833,649 $ 1,804,297 $ 1,717,710
Jun-2001 $ 1,788,725 $ 1,760,452 $ 1,672,019
Jul-2001 $ 1,777,456 $ 1,743,200 $ 1,647,775
Aug-2001 $ 1,676,318 $ 1,634,075 $ 1,550,721
Sep-2001 $ 1,559,814 $ 1,502,206 $ 1,433,021
Oct-2001 $ 1,593,506 $ 1,530,898 $ 1,466,840
Nov-2001 $ 1,717,162 $ 1,648,318 $ 1,562,918
Dec-2001 $ 1,731,930 $ 1,662,823 $ 1,580,579
Jan-2002 $ 1,674,430 $ 1,638,546 $ 1,555,606
Feb-2002 $ 1,634,411 $ 1,606,922 $ 1,529,472
Mar-2002 $ 1,701,258 $ 1,667,342 $ 1,581,474
Apr-2002 $ 1,578,087 $ 1,566,301 $ 1,498,763
May-2002 $ 1,576,036 $ 1,554,710 $ 1,487,822
Jun-2002 $ 1,466,186 $ 1,444,015 $ 1,385,013
Jul-2002 $ 1,358,275 $ 1,331,382 $ 1,282,107
Aug-2002 $ 1,374,710 $ 1,340,169 $ 1,292,620
Sep-2002 $ 1,222,255 $ 1,194,493 $ 1,167,107
Oct-2002 $ 1,327,368 $ 1,299,608 $ 1,257,791
Nov-2002 $ 1,399,445 $ 1,376,155 $ 1,314,014
Dec-2002 $ 1,322,335 $ 1,295,375 $ 1,244,766
Jan-2003 $ 1,282,004 $ 1,261,436 $ 1,212,153
Feb-2003 $ 1,264,441 $ 1,242,514 $ 1,196,031
Mar-2003 $ 1,272,154 $ 1,254,567 $ 1,206,078
Apr-2003 $ 1,374,689 $ 1,357,943 $ 1,294,966
May-2003 $ 1,432,701 $ 1,429,506 $ 1,357,772
Jun-2003 $ 1,444,306 $ 1,447,804 $ 1,371,214
Jul-2003 $ 1,465,104 $ 1,473,285 $ 1,392,879
Aug-2003 $ 1,485,908 $ 1,502,015 $ 1,419,761
Sep-2003 $ 1,467,335 $ 1,486,093 $ 1,401,446
Oct-2003 $ 1,548,331 $ 1,570,206 $ 1,469,977
Nov-2003 $ 1,562,886 $ 1,584,024 $ 1,482,325
Dec-2003 $ 1,649,939 $ 1,667,027 $ 1,553,625
Jan-2004 $ 1,670,728 $ 1,697,533 $ 1,575,531
Feb-2004 $ 1,693,617 $ 1,721,129 $ 1,594,122
Mar-2004 $ 1,668,382 $ 1,695,140 $ 1,569,094
Apr-2004 $ 1,644,963 $ 1,668,526 $ 1,544,773
</Table>
SOURCE: LIPPER ANALYTICAL SERVICES, INC. THE QUOTED PERFORMANCE IS PAST
PERFORMANCE AND NOT INDICATIVE OF FUTURE RETURNS. 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. PLEASE NOTE, CURRENT PERFORMANCE
MAY BE HIGHER OR LOWER THAN THE PERFORMANCE DATA SHOWN.
INVESTORS SHOULD CAREFULLY READ THE FUND PROSPECTUS WHICH INCLUDES INFORMATION
ON THE FUND'S INVESTMENT OBJECTIVES, RISK, AS WELL AS CHARGES AND EXPENSES ALONG
WITH OTHER INFORMATION. INVESTORS SHOULD REVIEW THE INFORMATION IN THE
PROSPECTUS CAREFULLY BEFORE INVESTING. FOR UP TO DATE MONTH-END PERFORMANCE
INFORMATION, OR TO RECEIVE A FUND PROSPECTUS PLEASE CALL 800 348-4782. PLEASE
READ CAREFULLY BEFORE INVESTING OR SENDING MONEY.
The Fund commenced operations on 12/18/96.
Returns for the Institutional Shares prior to 9/15/00 (offering date of the
Institutional Shares) are calculated using the historical expenses of the Select
Shares, which are higher than the expenses of the Institutional Shares.
Returns for the Class A, B, and C Shares prior to 4/16/01 (offering date of the
Class A, B, and C Shares) are calculated using the historical expenses of the
Select Shares, which are lower than the expenses of the Class A, B, and C
Shares.
The graph illustrates comparative performance for $1,000,000 invested in Select
Shares of the JPMorgan Tax Aware U.S. Equity Fund, S&P 500 Index, and Lipper
Large-Cap Core Funds Index from December 18, 1996 to April 30, 2004. The
performance of the indices reflects an initial investment at the end of the
month following the Fund's inception. The performance of the Fund assumes
reinvestment of all dividends and capital gains and does not include a sales
charge. The performance of the indices does not include a sales charge and has
been adjusted to reflect reinvestment of all dividends and capital gains of the
securities included in the benchmark. The S&P 500 Index is a broad-based index
that replicates the U.S. stock market. The Lipper Large-Cap Core Funds Index
represents the total returns of the funds in the indicated category, as defined
by Lipper, Inc. Investors cannot invest directly in an index.
Select Shares have a $1,000,000 minimum initial deposit and carry no sales
charge.
Certain fees and expenses of the Fund are currently being waived and reimbursed
as described in the prospectus. Had the expenses not been subsidized or waived,
returns would have been lower. Also, all performance shown in this section does
not reflect the deduction of taxes that a shareholder would pay on fund
distributions or redemption of fund shares.
20
<Page>
JPMORGAN FLEMING TAX AWARE INTERNATIONAL OPPORTUNITIES FUND
PORTFOLIO OF INVESTMENTS AS OF APRIL 30, 2004 (Unaudited)
(Amounts in thousands)
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- 99.8%
COMMON STOCKS -- 99.8%
AUSTRALIA -- 1.6%
271 News Corp., LTD $ 2,283
338 Southern Pacific Petroleum NL* (i)(f) 0
-------------------------------------------------------------------
2,283
-------------------------------------------------------------------
BRAZIL -- 1.2%
68 Petroleo Brasileiro SA (Preferred), ADR 1,704
FINLAND -- 0.7%
71 Nokia OYJ (f) 1,000
FRANCE -- 12.1%
16 Accor SA (f) 651
67 BNP Paribas (f) 4,003
19 Cap Gemini SA* (f) 662
47 Peugeot SA (f) 2,525
23 Societe Television Francaise 1 (f) 706
8 Technip SA* (f) 1,149
87 Thomson SA (f) 1,654
21 Total SA (f) 3,884
72 Veolia Environnement (f) 1,896
-------------------------------------------------------------------
17,130
-------------------------------------------------------------------
GERMANY -- 4.1%
125 Bayerische Hypo-und Vereinsbank AG* (f) 2,138
30 Schering AG (f) 1,568
102 TUI AG (f) 2,133
-------------------------------------------------------------------
5,839
-------------------------------------------------------------------
HONG KONG -- 4.0%
987 Cathay Pacific Airways LTD (f) 1,772
344 Henderson Land Development Co., LTD (f) 1,530
891 Wharf Holdings LTD (f) 2,429
-------------------------------------------------------------------
5,731
-------------------------------------------------------------------
INDIA -- 2.4%
13 Infosys Technologies LTD, ADR 1,087
90 Reliance Industries LTD, GDR, # 2,308
-------------------------------------------------------------------
3,395
-------------------------------------------------------------------
INDONESIA -- 0.3%
22 Telekomunikasi Indonesia TBK PT, ADR 390
IRELAND -- 0.7%
68 Allied Irish Banks PLC (f) $ 980
ITALY -- 0.7%
50 ENI-Ente Nazionale Idrocarburi SPA (f) 1,020
JAPAN -- 18.9%
20 Aiful Corp. (f) 1,957
132 Asahi Breweries LTD (f) 1,478
20 Canon, Inc. (f) 1,037
398 Daiwa Securities Group, Inc. (f) 2,935
35 Fujisawa Pharmaceutical Co., LTD (f) 804
467 Fujitsu LTD (f) 3,184
17 Ito-Yokado Co., LTD (f) 696
613 Kubota Corp. (f) 2,627
26 Kyocera Corp. (f) 2,149
131 Mitsui Chemicals, Inc. (f) 684
16 Nintendo Co., LTD (f) 1,482
0^^ Nippon Telegraph & Telephone Corp. (f) 2,412
40 Ricoh Co., LTD (f) 786
6 Rohm Co., LTD (f) 748
60 Sony Corp. (f) 2,295
54 Suzuki Motor Corp. (f) 847
164 Toshiba Corp. (f) 739
-------------------------------------------------------------------
26,860
-------------------------------------------------------------------
RUSSIA -- 1.0%
32 YUKOS, ADR 1,416
SINGAPORE -- 2.2%
95 City Developments LTD (f) 336
155 DBS Group Holdings LTD (f) 1,295
1,138 Singapore Telecommunications LTD (f) 1,556
-------------------------------------------------------------------
3,187
-------------------------------------------------------------------
SOUTH KOREA -- 3.4%
72 POSCO, ADR 2,204
8 Samsung Electronics Co., LTD, GDR, # 1,927
20 Samsung SDI Co., LTD, GDR, # 707
-------------------------------------------------------------------
4,838
-------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
21
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
SPAIN -- 1.6%
18 Acerinox SA (f) $ 927
66 Iberdrola SA (f) 1,304
-------------------------------------------------------------------
2,231
-------------------------------------------------------------------
SWEDEN -- 3.2%
51 Atlas Copco AB, Class A (f) 1,768
80 SKF AB, Ser. B 2,743
-------------------------------------------------------------------
4,511
-------------------------------------------------------------------
SWITZERLAND -- 10.9%
43 Adecco SA* (f) 1,891
9 Ciba Specialty Chemicals AG* (f) 624
103 Compagnie Financiere Richemont AG, Class A (f) 2,636
17 Lonza Group AG (f) 804
26 Roche Holding AG (f) 2,701
1 Synthes-Stratec, Inc. (f) 1,371
22 UBS AG (f) 1,539
24 Zurich Financial Services AG (f) 3,838
-------------------------------------------------------------------
15,404
-------------------------------------------------------------------
TAIWAN -- 1.7%
41 Hon Hai Precision Industry Co., GDR 374
387 United Microelectronics Corp., ADR* 2,014
-------------------------------------------------------------------
2,388
-------------------------------------------------------------------
THAILAND -- 0.4%
221 Advanced Info Service PCL (f) 539
THE NETHERLANDS -- 5.0%
173 Aegon NV (f) 2,234
18 Akzo Nobel NV (f) 671
42 ING Groep NV (f) 897
356 Koninklijke KPN NV (f) 2,551
28 Koninklijke Philips Electronics NV (f) 747
-------------------------------------------------------------------
7,100
-------------------------------------------------------------------
UNITED KINGDOM -- 23.7%
59 AstraZeneca PLC (f) $ 2,793
67 Barclays PLC (f) 597
118 BBA Group PLC (f) 529
35 British American Tobacco PLC (f) 529
194 Centrica PLC (f) 751
216 Diageo PLC (f) 2,885
254 Dixons Group PLC (f) 695
127 Hays PLC (f) 265
271 HSBC Holdings PLC (f) 3,863
38 Imperial Tobacco Group PLC (f) 847
53 Man Group PLC (f) 1,588
236 Prudential PLC (f) 1,841
45 Reckitt Benckiser PLC (f) 1,178
190 Royal Bank of Scotland Group PLC (f) 5,677
112 Scottish Power PLC (f) 757
542 Tesco PLC (f) 2,379
80 Unilever PLC (f) 749
2,213 Vodafone Group PLC (f) 5,352
32 WPP Group PLC (f) 318
-------------------------------------------------------------------
33,593
-------------------------------------------------------------------
Total Common Stocks 141,539
(Cost $120,107)
-------------------------------------------------------------------
<Caption>
PRINCIPAL
AMOUNT
- --------------------------------------------------------------------------------
SHORT-TERM INVESTMENT -- 0.2%
U.S. TREASURY SECURITY -- 0.2%
$ 250 U.S. Treasury Bill, 0.97%, 7/29/04 249
(Cost $249)
-------------------------------------------------------------------
TOTAL INVESTMENTS -- 100.0% $ 141,788
(COST $120,356)
-------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
22
<Page>
SEMI-ANNUAL REPORT APRIL 30 2004
SUMMARY OF INVESTMENTS BY INDUSTRY, APRIL 30, 2004
<Table>
<Caption>
INDUSTRY % OF INVESTMENT SECURITIES
- --------------------------------------------------------------------------------------------
Banking 14.2%
Telecommunications 9.7
Electronics/Electrical Equipment 6.4
Insurance 6.2
Oil & Gas 5.7
Pharmaceuticals 5.5
Food/Beverage Products 5.3
Financial Services 4.6
Chemicals 3.6
Utilities 3.3
Machinery & Engineering Equipment 3.1
Computers/Computer Hardware 3.0
Retailing 2.8
Semi-Conductors 2.8
Automotive 2.4
Steel 2.2
Multi-Media 2.1
Industrial Components 1.9
Consumer Products 1.8
Diversified 1.7
Business Services 1.5
Entertainment/Leisure 1.5
Real Estate 1.3
Office/Business Equipment 1.3
Airlines 1.2
Toys & Games 1.0
Health Care/Health Care Services 1.0
Other (less than 1%) 2.9
- --------------------------------------------------------------------------------------------
Total 100.0%
- --------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
23
<Page>
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS
<Table>
<Caption>
NET UNREALIZED
SETTLEMENT SETTLEMENT VALUE AT APPRECIATION
CONTRACTS TO BUY DATE VALUE (USD) 4/30/04 (USD) (DEPRECIATION) (USD)
- ------------------------------------------------------------------------------------------------------
8,226 AUD 5/06/04 $ 6,164 $ 5,939 $ (225)
6,990 AUD 8/12/04 4,984 4,987 3
8,205 CHF 5/06/04 6,336 6,328 (8)
10,542 EUR 5/06/04 12,937 12,637 (300)
4,384 EUR 8/12/04 5,220 5,242 22
890 EUR for
1,385 CHF 5/06/04 1,068~ 1,067~ (1)
1,010 EUR for
694 GBP 5/06/04 1,230~ 1,211~ (19)
2,920 EUR for
380,804 JPY 5/06/04 3,451~ 3,500~ 49
280 GBP 5/05/04 498 497 (1)
7,623 GBP 5/06/04 13,807 13,515 (292)
1,919 GBP 8/12/04 3,384 3,372 (12)
52,009 HKD 5/06/04 6,669 6,668 (1)
999,398 JPY 5/06/04 9,208 9,057 (151)
613,171 JPY 8/12/04 5,627 5,576 (51)
219,855 JPY for
16,150 HKD 5/06/04 2,070~ 1,992~ (78)
135,237 JPY for
690 GBP 5/06/04 1,223~ 1,225~ 2
78,439 JPY for
620 EUR 5/06/04 743~ 711~ (32)
16,634 SEK 5/06/04 2,190 2,177 (13)
4,728 SGD 5/06/04 2,780 2,779 (1)
- -----------------------------------------------------------------------------------------------------
$ 89,589 $ 88,480 $ (1,109)
- -----------------------------------------------------------------------------------------------------
</Table>
~ For cross-currency exchange contracts, the settlement value is the market
value at 04/30/04 of the currency being sold, and the value at 04/30/04 is
the market value at 04/30/04 of the currency being purchased.
SEE NOTES TO FINANCIAL STATEMENTS.
24
<Page>
<Table>
<Caption>
NET UNREALIZED
SETTLEMENT SETTLEMENT VALUE AT APPRECIATION
CONTRACTS TO BUY DATE VALUE (USD) 4/30/04 (USD) (DEPRECIATION) (USD)
- ------------------------------------------------------------------------------------------------------
8,226 AUD 5/06/04 $ 5,974 $ 5,939 $ 35
6,820 CHF 5/06/04 5,448 5,260 188
6,167 CHF 8/12/04 4,774 4,768 6
14,742 EUR 5/06/04 17,800 17,671 129
2,465 EUR 8/12/04 2,918 2,948 (30)
110 GBP 5/04/04 195 195 -^^
6,239 GBP 5/06/04 11,215 11,062 153
730 GBP 8/12/04 1,291 1,283 8
35,859 HKD 5/06/04 4,622 4,598 24
45,012 HKD 8/12/04 5,783 5,782 1
1,052,123 JPY 5/06/04 9,677 9,535 142
61,840 JPY 8/12/04 570 562 8
16,634 SEK 5/06/04 2,281 2,177 104
8,731 SEK 8/12/04 1,142 1,140 2
4,728 SGD 5/06/04 2,787 2,779 8
4,090 SGD 8/12/04 2,408 2,407 1
- -----------------------------------------------------------------------------------------------------
$ 78,885 $ 78,106 $ 779
- -----------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
25
<Page>
JPMORGAN TAX AWARE DISCIPLINED EQUITY FUND
PORTFOLIO OFINVESTMENTS AS OF APRIL 30, 2004 (Unaudited)
(Amounts in thousands)
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- 99.6%
COMMON STOCKS -- 99.6%
AEROSPACE -- 2.4%
2 General Dynamics Corp. $ 159
19 Lockheed Martin Corp. 906
7 Northrop Grumman Corp. 725
21 Raytheon Co. 664
14 The Boeing Co. 593
20 United Technologies Corp. 1,689
-------------------------------------------------------------------
4,736
-------------------------------------------------------------------
APPAREL -- 1.1%
34 Jones Apparel Group, Inc. 1,249
11 Nike, Inc., Class B 813
-------------------------------------------------------------------
2,062
-------------------------------------------------------------------
AUTOMOTIVE -- 1.6%
43 Ford Motor Co. 659
19 General Motors Corp. 896
9 Harley-Davidson, Inc. 480
11 Johnson Controls, Inc. 576
7 Lear Corp. 443
-------------------------------------------------------------------
3,054
-------------------------------------------------------------------
BANKING -- 6.4%
41 Bank of America Corp. 3,300
10 Compass Bancshares, Inc. 372
27 GreenPoint Financial Corp. 1,071
12 KeyCorp 353
1 Marshall & Ilsley Corp. 40
16 Mellon Financial Corp. 473
4 North Fork Bancorporation, Inc. 134
13 SouthTrust Corp. 410
15 SunTrust Banks, Inc. 999
38 The Bank of New York Co., Inc. 1,099
9 U.S. Bancorp 240
48 Wachovia Corp. 2,201
27 Wells Fargo & Co. 1,513
-------------------------------------------------------------------
12,205
-------------------------------------------------------------------
BIOTECHNOLOGY -- 1.3%
33 Amgen, Inc.* 1,846
5 Gilead Sciences, Inc.* 298
5 Human Genome Sciences, Inc.* 62
10 Medimmune, Inc.* 233
-------------------------------------------------------------------
2,439
-------------------------------------------------------------------
BUSINESS SERVICES -- 1.1%
14 Cendant Corp. $ 329
5 Computer Sciences Corp.* 220
28 First Data Corp. 1,291
13 SunGard Data Systems, Inc.* 334
-------------------------------------------------------------------
2,174
-------------------------------------------------------------------
CHEMICALS -- 1.1%
8 Air Products & Chemicals, Inc. 408
9 Eastman Chemical Co. 379
14 Praxair, Inc. 504
6 Rohm & Haas Co. 248
16 The Dow Chemical Co. 616
-------------------------------------------------------------------
2,155
-------------------------------------------------------------------
COMPUTER NETWORKS -- 1.7%
150 Cisco Systems, Inc.* 3,137
10 Juniper Networks, Inc.* 217
-------------------------------------------------------------------
3,354
-------------------------------------------------------------------
COMPUTER SOFTWARE -- 4.0%
2 Adobe Systems, Inc. 79
4 Electronic Arts, Inc.* 202
2 Mercury Interactive Corp.* 102
217 Microsoft Corp. 5,624
131 Oracle Corp.* 1,470
11 VERITAS Software Corp.* 283
-------------------------------------------------------------------
7,760
-------------------------------------------------------------------
COMPUTERS/COMPUTER HARDWARE -- 4.1%
63 Dell, Inc.* 2,170
20 EMC Corp.* 218
60 Hewlett-Packard Co. 1,182
32 International Business Machines Corp. 2,794
3 Lexmark International, Inc.* 299
24 NCR Corp.* 1,092
55 Sun Microsystems, Inc.* 213
-------------------------------------------------------------------
7,968
-------------------------------------------------------------------
CONSTRUCTION -- 0.6%
13 Centex Corp. 633
3 KB Home 207
4 Lennar Corp., Class A 197
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
26
<Page>
SEMI-ANNUAL REPORT APRIL 30 2004
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
CONSTRUCTION -- CONTINUED
4 Pulte Homes, Inc. $ 172
-------------------------------------------------------------------
1,209
-------------------------------------------------------------------
CONSTRUCTION MATERIALS -- 0.2%
14 Masco Corp. 389
CONSUMER PRODUCTS -- 4.9%
58 Altria Group, Inc. 3,200
5 Colgate-Palmolive Co. 266
3 Fortune Brands, Inc. 194
41 Procter & Gamble Co. 4,363
33 The Gillette Co. 1,354
-------------------------------------------------------------------
9,377
-------------------------------------------------------------------
DIVERSIFIED -- 4.3%
210 General Electric Co. 6,293
73 Tyco International LTD (Bermuda) 2,017
-------------------------------------------------------------------
8,310
-------------------------------------------------------------------
ELECTRONICS/ELECTRICAL EQUIPMENT -- 0.1%
7 Agilent Technologies, Inc.* 184
ENTERTAINMENT/LEISURE -- 0.3%
16 Carnival Corp. 674
FINANCIAL SERVICES -- 9.0%
8 Capital One Financial Corp. 552
15 CIT Group, Inc. 516
137 Citigroup, Inc. 6,583
23 Countrywide Financial Corp. 1,335
18 Fannie Mae 1,219
16 Freddie Mac 926
13 Goldman Sachs Group, Inc. 1,245
24 MBNA Corp. 583
7 Merrill Lynch & Co., Inc. 386
45 Morgan Stanley 2,300
42 The Charles Schwab Corp. 433
28 Washington Mutual, Inc. 1,091
-------------------------------------------------------------------
17,169
-------------------------------------------------------------------
FOOD/BEVERAGE PRODUCTS -- 3.2%
7 Anheuser-Busch Companies, Inc. $ 359
7 Archer Daniels Midland Co. 119
5 Coca-Cola Enterprises, Inc. 146
9 H.J. Heinz Co. 359
23 PepsiCo, Inc. 1,270
2 Sysco Corp. 79
77 The Coca-Cola Co. 3,889
-------------------------------------------------------------------
6,221
-------------------------------------------------------------------
HEALTH CARE/HEALTH CARE SERVICES -- 3.5%
10 Aetna, Inc. 792
9 Anthem, Inc.* 788
6 Becton, Dickinson & Co. 278
6 Biomet, Inc. 221
8 Boston Scientific Corp.* 321
10 CIGNA Corp. 664
32 Guidant Corp. 2,019
12 HCA, Inc. 467
5 McKesson Corp. 148
2 Stryker Corp. 218
7 UnitedHealth Group, Inc. 456
4 WellPoint Health Networks, Inc.* 458
-------------------------------------------------------------------
6,830
-------------------------------------------------------------------
HOTELS/OTHER LODGING -- 0.0% ^
2 Starwood Hotels & Resorts Worldwide, Inc. 95
INDUSTRIAL COMPONENTS -- 0.1%
5 SPX Corp. 213
INSURANCE -- 4.9%
27 AMBAC Financial Group, Inc. 1,863
23 American International Group, Inc. 1,646
15 Hartford Financial Services Group, Inc. 898
11 MBIA, Inc. 632
12 Metlife, Inc. 428
4 Protective Life Corp. 133
18 St. Paul Companies, Inc. 728
53 The Allstate Corp. 2,436
2 The Progressive Corp. 175
7 Torchmark Corp. 347
2 XL Capital LTD (Bermuda), Class A 122
-------------------------------------------------------------------
9,408
-------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
27
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
INTERNET SERVICES/SOFTWARE -- 1.0%
17 eBay, Inc.* $ 1,341
11 Yahoo!, Inc.* 560
-------------------------------------------------------------------
1,901
-------------------------------------------------------------------
MACHINERY & ENGINEERING EQUIPMENT -- 0.4%
3 Deere & Co. 177
10 Ingersoll-Rand Co., LTD
(Bermuda), Class A 649
-------------------------------------------------------------------
826
-------------------------------------------------------------------
MANUFACTURING -- 1.3%
11 3M Co. 934
10 Eaton Corp. 576
12 Illinois Tool Works, Inc. 1,000
-------------------------------------------------------------------
2,510
-------------------------------------------------------------------
METALS/MINING -- 0.6%
38 Alcoa, Inc. 1,175
MULTI-MEDIA -- 3.9%
4 Comcast Corp., Special Class A* 110
16 Fox Entertainment Group, Inc., Class A* 442
14 Gannett Co., Inc. 1,209
4 The E.W. Scripps Co., Class A 380
66 The Walt Disney Co. 1,515
43 Time Warner, Inc.* 718
16 Tribune Co. 748
63 Viacom, Inc., Class B 2,450
-------------------------------------------------------------------
7,572
-------------------------------------------------------------------
OIL & GAS -- 6.3%
12 Anadarko Petroleum Corp. 632
6 Baker Hughes, Inc. 202
30 ChevronTexaco Corp. 2,750
36 ConocoPhillips 2,534
5 Cooper Cameron Corp.* 222
18 Devon Energy Corp. 1,080
78 Exxon Mobil Corp. 3,312
11 GlobalSantaFe Corp. 285
19 Rowan Companies, Inc.* 417
20 Unocal Corp. 735
-------------------------------------------------------------------
12,169
-------------------------------------------------------------------
PAPER/FOREST PRODUCTS -- 0.5%
8 Bowater, Inc. $ 340
5 Georgia-Pacific Corp. 190
6 Temple-Inland, Inc. 396
-------------------------------------------------------------------
926
-------------------------------------------------------------------
PHARMACEUTICALS -- 9.0%
29 Abbott Laboratories 1,296
29 Eli Lilly & Co. 2,112
13 Forest Laboratories, Inc.* 869
72 Johnson & Johnson 3,885
5 Medco Health Solutions, Inc.* 190
38 Merck & Co., Inc. 1,773
145 Pfizer, Inc. 5,193
12 Sepracor, Inc.* 559
2 Watson Pharmaceuticals, Inc.* 82
32 Wyeth 1,213
-------------------------------------------------------------------
17,172
-------------------------------------------------------------------
PIPELINES -- 0.1%
32 Dynegy, Inc., Class A* 128
8 El Paso Corp. 57
-------------------------------------------------------------------
185
-------------------------------------------------------------------
PRINTING & PUBLISHING -- 0.0%
1 The McGraw-Hill Companies, Inc. 63
REAL ESTATE INVESTMENT TRUST -- 0.3%
9 CarrAmerica Realty Corp. 250
3 Equity Office Properties Trust 78
6 ProLogis Trust 177
4 The Rouse Co. 170
-------------------------------------------------------------------
675
-------------------------------------------------------------------
RESTAURANTS/FOOD SERVICES -- 0.9%
36 McDonald's Corp. 988
6 Wendy's International, Inc. 253
14 Yum! Brands, Inc.* 539
-------------------------------------------------------------------
1,780
-------------------------------------------------------------------
RETAILING -- 6.6%
14 Abercrombie & Fitch Co., Class A 438
11 Bed Bath & Beyond, Inc.* 416
18 CVS Corp. 707
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
28
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
RETAILING -- CONTINUED
4 Family Dollar Stores, Inc. $ 141
8 Federated Department Stores, Inc. 382
68 Home Depot, Inc. 2,394
21 Kohl's Corp.* 874
22 Lowe's Companies, Inc. 1,123
24 Target Corp. 1,026
28 The Gap, Inc. 622
8 The May Department Stores Co. 237
12 The TJX Companies, Inc. 287
67 Wal-Mart Stores, Inc. 3,843
4 Walgreen Co. 148
-------------------------------------------------------------------
12,638
-------------------------------------------------------------------
SEMI-CONDUCTORS -- 3.6%
50 Altera Corp.* 996
18 Analog Devices, Inc. 757
114 Intel Corp. 2,930
6 Linear Technology Corp. 214
1 Maxim Integrated Products, Inc. 51
15 Micron Technology, Inc.* 204
16 Novellus Systems, Inc.* 469
7 QLogic Corp.* 178
15 Texas Instruments, Inc. 377
24 Xilinx, Inc.* 813
-------------------------------------------------------------------
6,989
-------------------------------------------------------------------
SHIPPING/TRANSPORTATION -- 0.9%
4 CSX Corp. 127
5 FedEx Corp. 370
18 Norfolk Southern Corp. 424
6 Union Pacific Corp. 330
6 United Parcel Service, Inc., Class B 435
-------------------------------------------------------------------
1,686
-------------------------------------------------------------------
STEEL -- 0.5%
34 United States Steel Corp. 973
TELECOMMUNICATIONS -- 3.7%
27 AT&T Wireless Services, Inc.* 367
31 BellSouth Corp. 800
29 Nextel Communications, Inc., Class A* 690
17 Qwest Communications International, Inc.* 69
67 SBC Communications, Inc. 1,675
8 Sprint Corp.-- FON Group $ 140
33 Tellabs, Inc.* 287
83 Verizon Communications, Inc. 3,139
-------------------------------------------------------------------
7,167
-------------------------------------------------------------------
TELECOMMUNICATIONS EQUIPMENT -- 1.1%
17 Corning, Inc.* 189
89 Lucent Technologies, Inc.* 298
38 Motorola, Inc. 702
16 QUALCOMM, Inc. 992
-------------------------------------------------------------------
2,181
-------------------------------------------------------------------
TOYS & GAMES -- 0.4%
11 Hasbro, Inc. 200
39 Mattel, Inc. 668
-------------------------------------------------------------------
868
-------------------------------------------------------------------
UTILITIES -- 2.6%
8 Constellation Energy Group, Inc. 292
7 Dominion Resources, Inc. 440
10 Edison International 227
12 Entergy Corp. 650
5 FPL Group, Inc. 331
37 PG&E Corp.* 1,017
36 Pinnacle West Capital Corp. 1,418
1 PPL Corp. 56
5 TXU Corp. 167
31 XCEL Energy, Inc. 521
-------------------------------------------------------------------
5,119
-------------------------------------------------------------------
Total Common Stocks 192,561
(Cost $169,304)
-------------------------------------------------------------------
SHORT-TERM INVESTMENT -- 0.4%
MONEY MARKET FUND -- 0.4%
775 JPMorgan Prime Money Market Fund (a) 775
(Cost $775)
-------------------------------------------------------------------
TOTAL INVESTMENTS -- 100.0% $ 193,336
(COST $170,079)
-------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
29
<Page>
JPMORGAN TAX AWARE ENHANCED INCOME FUND
PORTFOLIO OF INVESTMENTS AS OF APRIL 30, 2004 (Unaudited)
(Amounts in thousands)
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- --------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- 64.4%
U.S. GOVERNMENT AGENCY SECURITIES -- 1.4%
$ 10,000 Federal Home Loan Bank,
2.25%, 12/15/05 $ 10,004
21,100 Federal Home Loan Mortgage Corp.,
1.62%, 05/19/06, MTN, FRN 21,099
-------------------------------------------------------------------
Total U.S. Government Agency Securities 31,103
(Cost $31,096)
-------------------------------------------------------------------
STATE AND MUNICIPAL OBLIGATIONS -- 41.3%
ALABAMA -- 0.5%
10,565 Jefferson County, Sewer, Capital
Improvements, Ser. A, Rev., (p), FGIC,
5.00%, 02/01/09 11,618
ARIZONA -- 1.2%
4,000 Northern Arizona Capital Facilities
Finance Corp., Northern Arizona
University Project, Student Housing,
Ser. A, Rev., Adj., 4.00%, 08/01/33 4,048
21,740 Salt River Project Agricultural
Improvement & Power District,
Salt River Project, Electric System,
Ser. A, Rev., 5.25%, 01/01/06 22,964
-------------------------------------------------------------------
27,012
-------------------------------------------------------------------
ARKANSAS -- 0.4%
7,800 Arkansas State, Federal Highway Grant,
Ser. A, GO, 5.50%, 08/01/08 + 8,649
CALIFORNIA -- 6.4%
8,830 Bay Area Governments Association,
Bay Area Rapid Transit, FTA Capital Grant,
Ser. A, Rev., AMBAC, 5.00%, 06/15/08 + 8,864
13,170 California Pollution Control Financing
Authority, Ser. B, Rev., Adj.,
2.00%, 03/01/08 + 13,029
2,000 California Pollution Control Financing
Authority, Ser. D, Rev., Adj.,
2.00%, 02/28/08 + 1,979
31,000 California State, Ser. B, Rev., RAN,
2.00%, 06/16/04 + 31,032
$ 10,000 California Statewide Communities
Development Authority,
Kaiser Permanente, Ser. C, Adj.,
Rev., 3.70%, 11/01/29 + $ 10,228
6,555 California Statewide Communities
Development Authority, Kaiser
Permanente, Ser. F, Rev., Adj.,
2.30%, 04/01/33 + 6,460
5,665 Fresno County, Pension, Taxable,
Ser. A, Rev., FGIC, 3.04%, 08/15/09 5,458
2,900 Grant Joint Union High School District,
COP, Bridge Funding Program, Adj., FSA,
0.98%, 07/01/18 2,900
9,200 Grant Joint Union High School District,
COP, Bridge Funding Program, Adj., FSA,
0.98%, 07/01/37 9,200
10,000 Los Angeles County Sanitation
Districts Financing Authority,
Capital Project, Ser.A, Rev., FSA,
4.00%, 10/01/05 10,358
5,000 Los Angeles Department of
Water & Power, Waterworks,
Ser. B, Rev., MBIA, 3.50%, 07/01/04 5,018
16,500 Sacramento County Sanitation District,
Ser. A, Rev., 5.88%, 12/01/27 17,682
16,055 San Mateo County Housing Authority,
Multi-Family Mortgage, FLOATS,
Ser. PT-704, Rev., Adj., 1.17%, 05/01/08 16,055
9,000 Santa Clara County Financing Authority,
Measure B Transportation Improvement
Program, Rev., 4.00%, 08/01/05 9,285
-------------------------------------------------------------------
147,548
-------------------------------------------------------------------
COLORADO -- 0.4%
2,850 Arapahoe County, Capital Improvement,
Federal Highway, Ser. E-470, Rev., (p),
0.00%, 08/31/05 + 1,359
8,625 Regional Transportation District,
Transit Vehicles, COP, Ser. A, Adj., AMBAC,
2.30%, 12/01/22 8,505
-------------------------------------------------------------------
9,864
-------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
30
<Page>
SEMI-ANNUAL REPORT APRIL 30 2004
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- --------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
CONNECTICUT -- 0.2%
$ 5,000 Connecticut State, Special
Tax Obligation, Transportation
Infrastructure, Ser. A, FSA,
4.00%, 09/01/06 $ 5,228
FLORIDA -- 0.3%
1,175 Bay County, Hospital Systems,
Bay Medical Center Project, Rev., (p),
8.00%, 10/01/04 + 1,214
5,000 Miami-Dade County, Water & Sewer,
Rev., MBIA, 5.00%, 10/01/07 5,423
-------------------------------------------------------------------
6,637
-------------------------------------------------------------------
GEORGIA -- 1.8%
12,310 Henry County School District, GO, FGIC,
5.00%, 04/01/07 13,232
6,940 Metropolitan Atlanta Rapid Transportation
Authority, Second Indenture,
Ser. A, Rev., FSA, 5.00%, 07/01/07 7,481
19,525 Milledgeviille & Baldwin County
Development Authority, Georgia
College & State University Foundation,
Student Housing, Rev., Adj.,
5.00%, 09/01/32 19,745
-------------------------------------------------------------------
40,458
-------------------------------------------------------------------
ILLINOIS -- 1.7%
7,000 Chicago Board of Education, FLOATS,
Ser. SG-103, Adj., 1.13%, 12/01/20 + 7,000
17,085 Chicago School Finance Authority,
School Financing, Ser. B, GO, FSA,
5.00%, 06/01/07 18,409
1,700 Illinois Health Facilities Authority,
Lifelink Corp. Obligation Group,
Ser. B, Rev., (p), 8.00%, 02/15/05 1,786
10,765 Illinois State, 1st Ser., GO,
5.00%, 08/01/07 11,621
-------------------------------------------------------------------
38,816
-------------------------------------------------------------------
MAINE -- 0.1%
1,500 Maine Veterans Homes, Rev., (p),
7.75%, 10/01/05 1,661
MARYLAND -- 1.2%
$ 2,375 Maryland State Health & Higher
Educational Facilities Authority,
Johns Hopkins Hospital, Ser. B,
Rev., Adj., 1.75%, 07/01/27 $ 2,375
5,000 Maryland State, State & Local
Facilities Loan, Second Ser. B, GO,
5.00%, 02/01/06 5,281
10,535 Washington Suburban Sanitation
District, Water Supply, GO,
4.00%, 06/01/05 10,837
8,000 Washington Suburban Sanitation
District, Water Supply, GO,
5.25%, 06/01/07 8,741
-------------------------------------------------------------------
27,234
-------------------------------------------------------------------
MASSACHUSETTS -- 1.5%
10,000 Massachusetts State, CONS,
Ser. C, GO, 5.75%, 10/01/08 11,132
10,000 Massachusetts State, CONS,
Ser. D, GO, (p), 5.25%, 11/01/06 10,893
10,000 Massachusetts State, CONS,
Ser. E, GO, 5.50%, 01/01/08 10,935
-------------------------------------------------------------------
32,960
-------------------------------------------------------------------
MICHIGAN -- 2.5%
9,000 Central Michigan University,
Ser. B, Rev., Adj., FGIC,
1.75%, 10/01/15 + 9,000
7,920 Detroit, Michigan, Sewage Disposal,
Ser. A, Rev., (p), MBIA,
5.40%, 07/01/07 8,760
13,060 Michigan Municipal Bond Authority,
Government Loan Program, Ser. C, Rev.,
5.00%, 05/01/08 14,184
10,000 Michigan State Hospital Finance
Authority, Ascension Health Credit,
Ser. A, Rev., (p), MBIA,
6.25%, 11/15/09 11,684
2,555 Michigan State Hospital Finance
Authority, Trinity Health, Ser. A, Rev.,
5.50%, 12/01/04 2,613
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
31
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- --------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
MICHIGAN -- CONTINUED
$ 10,000 Michigan Strategic Fund,
Dow Chemical Project, Rev., Adj.,
3.80%, 06/01/14 $ 10,251
-------------------------------------------------------------------
56,492
-------------------------------------------------------------------
MINNESOTA -- 1.3%
6,345 Minneapolis, Minnesota, GO,
4.00%, 12/01/06 6,644
4,000 Minnesota Housing Finance Agency,
Residential Housing, Ser. K-1, Rev.,
2.25%, 07/01/17 3,941
19,890 Washington County Housing &
Redevelopment Authority, Multi-Family
Housing, FLOATS, Ser. PT-702, Rev.,
1.17%, 12/31/23 19,890
-------------------------------------------------------------------
30,475
-------------------------------------------------------------------
MULTIPLE STATES -- 2.3%
1,585 MBIA Capital Corp., FLOATS,
Ser. PL-10, Rev., Adj., MBIA,
1.19%, 08/05/04 1,585
40,425 Puttable Floating Option Tax-Exempt
Receipts, FLOATS, Ser. PPT-12,
1.24%, 07/01/24 40,424
9,250 Puttable Floating Option Tax-Exempt
Receipts, FLOATS, Ser. PPT-38, Mode A,
Adj., 1.04%, 12/01/18 9,250
-------------------------------------------------------------------
51,259
-------------------------------------------------------------------
NEBRASKA -- 0.1%
2,800 Omaha Public Power District, Nebraska
Electric, Omaha Public Power System,
Ser. B, Rev., 4.50%, 02/01/09 2,976
NEW JERSEY -- 1.7%
1,350 New Jersey Economic Development
Authority, North Jersey Port District,
Rev., AMBAC, 7.13%, 02/15/08 1,509
19,355 New Jersey State, GO, (p),
5.63%, 07/15/06 21,218
13,680 New Jersey State, GO, (p),
5.63%, 07/15/06 14,998
-------------------------------------------------------------------
37,725
-------------------------------------------------------------------
NEW YORK -- 5.5%
$ 5,000 Long Island Power Authority,
Electric Systems, Ser. A, Rev.,
4.50%, 06/01/05 $ 5,141
12,750 Long Island Power Authority,
Electric Systems, Ser. B, Rev.,
5.00%, 06/01/05 13,176
4,500 Nassau County Interim Finance
Authority, Sales Tax Secured, Ser. A,
Rev., AMBAC, 4.00%, 11/15/08 4,713
2,250 Nassau County Interim Finance Authority,
Sales Tax Secured, Ser. A, Rev., AMBAC,
5.00%, 11/15/09 2,457
6,200 New York City Municipal Water
Finance Authority, Water & Sewer
System, FLOATS, Ser. PA-446, Rev.,
Adj., FGIC, 1.11%, 06/15/06 6,200
5,000 New York City Municipal Water
Finance Authority, Water & Sewer
System, Ser. B, Rev., MBIA,
5.80%, 06/15/29 5,512
270 New York City, New York, Ser. B, GO,
7.50%, 02/01/06 271
10,000 New York City, New York, Ser. C, GO,
5.00%, 08/01/05 10,411
15,350 New York City, New York, Ser. G, GO,
5.00%, 08/01/06 16,252
5,000 New York State Dormitory Authority,
Fourth Generation, City University System,
Ser. A, Rev., CONS, 5.00%, 07/01/06 5,296
3,925 New York State Dormitory Authority,
Mount Sinai School of Medicine,
Rev., MBIA, 5.00%, 07/01/06 4,170
2,500 New York State Dormitory Authority,
Upstate Community Colleges, Rev.,
4.50%, 07/01/09 2,637
3,750 New York State Environmental
Facilities Corp., Solid Waste Disposal,
Waste Management Project, Ser. A,
Rev., Adj., 4.00%, 05/01/12 3,750
15,000 New York State Thruway Authority,
Service Contract, Taxable, Ser. B,
Rev., 2.59%, 03/15/06 15,060
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
32
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- --------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
NEW YORK -- CONTINUED
$ 30,000 New York State Urban Development
Corp., Correctional & Youth
Facilities Services, Ser. A, Rev.,
5.25%, 01/01/21 $ 32,452
-------------------------------------------------------------------
127,498
-------------------------------------------------------------------
NORTH CAROLINA -- 0.7%
15,000 Guilford County, GO, 4.00%, 10/01/22 15,775
OHIO -- 0.6%
2,500 Ohio State Air Quality Development
Authority, Pollution Control,
Ohio Edison Project, Ser. C, Rev.,
Adj., 5.80%, 06/01/16 2,547
5,300 Ohio State, Common Schools,
Capital Facilities, Ser. A, GO,
5.00%, 06/15/07 5,729
5,000 Ohio State, Common Schools,
Ser. D, GO, Adj., 2.45%, 03/15/24 4,986
-------------------------------------------------------------------
13,262
-------------------------------------------------------------------
OREGON -- 1.0%
20,000 Oregon State Department of
Administrative Services, Rev., FSA,
5.00%, 09/01/08 21,787
PENNSYLVANIA -- 0.8%
9,760 Beaver County IDA, PCR,
Ohio Edison Co. Project, Ser. A, Rev., Adj.,
4.65%, 06/01/33 + 9,775
2,720 Lehigh County, Ser. C, GO, (p),
5.65%, 05/15/06 2,928
4,455 Lehigh County, Ser. C, GO, (p),
5.70%, 05/15/06 4,799
-------------------------------------------------------------------
17,502
-------------------------------------------------------------------
PUERTO RICO -- 2.3%
5,940 Puerto Rico Commonwealth, GO,
FGIC, 5.00%, 07/01/05 6,190
14,250 Puerto Rico Commonwealth, Ser. C, Adj.,
GO, MBIA, 5.00%, 07/01/28 15,483
2,660 Puerto Rico Highway & Transportation
Authority, Ser. AA, Rev., 5.00%, 07/01/07 2,858
$ 16,605 Puerto Rico Municipal Finance Agency,
Ser. A, Rev., 4.00%, 08/01/04 $ 16,715
10,000 Puerto Rico Public Buildings Authority,
Government Facilities, Ser. A, Rev.,
AMBAC, (p), 5.50%, 07/01/21 10,640
-------------------------------------------------------------------
51,886
-------------------------------------------------------------------
RHODE ISLAND -- 0.1%
2,500 Rhode Island Housing & Mortgage
Finance Corp., Hometown Opportunity
Notes, Ser. 41-C, Rev., 3.38%, 11/01/05 2,548
SOUTH CAROLINA -- 0.3%
6,000 South Carolina Transportation
Infrastructure Bank, Ser. A, Rev.,
MBIA, 5.00%, 10/01/10 6,532
TEXAS -- 3.1%
9,400 Brazos River Authority, PCR,
Utilities Electric Co., Ser. B, Rev.,
Adj., 5.05%, 06/01/30 + 9,791
10,520 Gulf Coast Waste Disposal Authority,
PCR, Amoco Oil Project, Rev., Adj.,
2.00%, 10/01/17 10,468
10,060 Harris County, Criminal Justice Center,
GO, (p), FGIC, 5.63%, 10/01/06 10,937
19,465 Houston, Texas, Public Improvement,
GO, MBIA, 5.00%, 03/01/08 21,050
2,000 Lewisville, Texas, Combination Contract,
Special Assessment, Castle Hills No. 3
Project, Rev., 4.13%, 05/01/31 2,085
4,975 Matagorda County Navigation District
No 1, PCR, Central Power & Light Co.,
Ser. A, Rev., Adj, 4.55%, 11/01/29 5,142
3,410 San Antonio, Texas, General
Improvement, GO, 3.00%, 08/01/04 3,426
290 San Antonio, Texas, General
Improvement, GO, (p), 3.00%, 08/01/04 291
8,350 Texas State, Public Finance Authority,
Ser. B, GO, (p), 5.63%, 10/01/06 9,078
-------------------------------------------------------------------
72,268
-------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
33
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- --------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
UTAH -- 0.8%
$ 9,000 Utah State, Ser. A, GO,
4.50%, 07/01/09 $ 9,633
7,400 Utah State, Ser. B, GO,
5.38%, 07/01/09 8,228
-------------------------------------------------------------------
17,861
-------------------------------------------------------------------
VIRGIN ISLANDS -- 0.2%
3,570 University of the Virgin Islands, Ser. A,
Rev., (p), 7.70%, 10/01/04 3,737
VIRGINIA -- 0.6%
2,265 Loudoun County, Ser. B, GO,
3.00%, 10/01/04 2,283
8,000 Louisa IDA, Solid Waste & Sewer
Disposal, Electric & Power Co. Project,
Ser. A, Rev., Adj., 2.30%, 03/01/31 8,000
2,600 Norfolk, Virginia, GO, MBIA,
5.00%, 06/01/09 2,840
-------------------------------------------------------------------
13,123
-------------------------------------------------------------------
WASHINGTON -- 0.5%
4,000 Washington Health Care Facilities
Authority, Multicare Health Systems,
Rev., MBIA, 4.38%, 08/15/04 4,035
7,995 Washington State, Ser. 96-A, GO, (p),
FGIC, 5.75%, 07/01/05 8,406
-------------------------------------------------------------------
12,441
-------------------------------------------------------------------
WEST VIRGINIA -- 0.1%
1,545 Morgantown, West Virginia,
Sewer Systems, Rev., (p),
7.25%, 06/01/05 1,596
WISCONSIN -- 1.1%
6,250 Wisconsin Health & Educational
Facilities Authority, Ser. 1999A, Rev.,
Adj., 4.45%, 05/01/29 (i) # 6,422
5,000 Wisconsin State Health & Educational
Facilities, 1.10%, 12/31/50 (i) # 5,000
3,755 Wisconsin State Health & Educational
Facilities Authority, Hospital Charity
Obligation Group, Ser. D, Rev., Adj., (p),
4.90%, 11/01/05 3,903
$ 3,075 Wisconsin State Health & Educational
Facilities Authority, Ministry Health Care,
Inc., Rev., 3.40%, 05/15/07 $ 3,074
5,680 Wisconsin State Health & Educational
Facilities Authority, Ministry Health Care,
Inc., Ser. B, Rev., 3.50%, 05/15/07 5,716
-------------------------------------------------------------------
24,115
-------------------------------------------------------------------
Total State and Municipal Obligations 938,543
(Cost $940,780)
-------------------------------------------------------------------
CORPORATE NOTES & BONDS -- 10.9%
AUTOMOTIVE -- 0.9%
DaimlerChrysler N.A. Holdings Corp.,
4,200 7.75%, 06/15/05 4,456
12,850 1.91%, 09/26/05, Ser. D, MTN, FRN 12,929
1,900 General Motors Acceptance Corp.,
6.75%, 01/15/06 2,012
-------------------------------------------------------------------
19,397
-------------------------------------------------------------------
COMPUTERS/COMPUTER HARDWARE -- 0.7%
15,100 International Business Machines Corp.,
1.24%, 09/10/04, FRN 15,108
FINANCIAL SERVICES -- 7.1%
17,900 The Bear Stearns Co., Inc.,
1.30%, 01/16/07, Ser. B,
MTN, FRN + 17,896
CIT Group, Inc.,
3,750 6.50%, 02/07/06 + 3,996
26,300 1.32%, 02/15/07, MTN, FRN + 26,321
11,100 4.00%, 05/08/08 + 11,105
9,925 Countrywide Home Loans, Inc.,
5.50%, 08/01/06 10,444
Counts Trusts,
8,250 1.90%, 08/15/07, Ser. 2002-10, FRN, # + 8,250
8,250 1.95%, 08/15/07, Ser. 2002-11, FRN, # + 8,250
9,600 Credit Suisse First Boston USA, Inc.,
5.75%, 04/15/07 10,236
General Motors Acceptance Corp.,
4,600 2.00%, 05/18/06, MTN, FRN 4,600
16,800 2.04%, 01/16/07, MTN, FRN 16,712
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
34
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- --------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
FINANCIAL SERVICES -- CONTINUED
International Lease Finance Corp.,
$ 5,615 4.00%, 01/17/06, Ser. O, MTN $ 5,755
4,940 5.75%, 10/15/06 5,241
6,700 MBNA Corp., 4.63%, 09/15/08 6,762
800 Morgan Stanley, 1.39%, 03/27/06, FRN 802
28,250 SLM Corp., 1.29%, 01/25/07,
Ser. A, MTN, FRN 28,247
-------------------------------------------------------------------
164,617
-------------------------------------------------------------------
INSURANCE -- 0.4%
8,296 ASIF Global Financing,
1.36%, 03/14/06, FRN, # + 8,306
RETAILING -- 0.2%
4,950 Safeway, Inc., 1.60%, 11/01/05, FRN 4,954
TELECOMMUNICATIONS -- 0.4%
4,550 Deutsche Telekom International
Finance (Germany), 8.25%, 06/15/05 4,843
3,875 Sprint Capital Corp., 6.00%, 01/15/07 4,119
-------------------------------------------------------------------
8,962
-------------------------------------------------------------------
UTILITIES -- 1.2%
7,150 FPL Group Capital, Inc.,
1.88%, 03/30/05 7,153
2,965 National Rural Utilities Cooperative
Finance Corp., 3.00%, 02/15/06 2,991
11,900 Pacific Gas & Electric Co.,
1.81%, 04/03/06, FRN 11,904
4,600 Public Service Co. of Colorado,
4.38%, 10/01/08 4,657
-------------------------------------------------------------------
26,705
-------------------------------------------------------------------
Total Corporate Notes & Bonds 248,049
(Cost $247,534)
-------------------------------------------------------------------
RESIDENTIAL MORTGAGE BACKED SECURITIES -- 0.3%
COLLATERALIZED MORTGAGE OBLIGATIONS -- 0.3%
5,591 Federal National Mortgage Association,
1.60%, 06/25/32, Ser. 2002-36,
Class FS, FRN 5,633
$ 1,299 Government National Mortgage
Association, 1.50%, 12/20/30,
Ser. 2000-38, Class F, FRN $ 1,301
-------------------------------------------------------------------
Total Residential
Mortgage Backed Securities 6,934
(Cost $6,891)
-------------------------------------------------------------------
COMMERCIAL MORTGAGE BACKED SECURITIES -- 1.3%
28,050 Capital One Multi-Asset Execution
Trust, 2.35%, 12/15/10,
Ser. 2003-A, FRN, # +
(Cost $28,933) 29,014
ASSET BACKED SECURITIES -- 8.2%
25,250 AmeriCredit Automobile
Receivables Trust, 2.75%, 10/06/07,
Ser. 2003-CF, Class A3 + 25,421
3,450 Capital One Auto Finance Trust,
3.18%, 09/15/10, Ser. 2003-B,
Class A4 + 3,426
10,200 Capital One Master Trust, 1.90%,
08/15/08, Ser. 2000-4, Class C, FRN, # + 10,247
2,250 CARSS Finance Limited Partnership,
2.05%, 01/15/11, Ser. 2004-A,
Class B2 # 2,250
10,117 Centex Home Equity, 1.38%,
01/25/34, Ser. 2004-A,
Class AV2, FRN + 10,127
Citibank Credit Card Issuance Trust,
6,950 7.45%, 09/15/07, Ser. 2000-C1,
Class C1 + 7,419
11,200 2.11%, 03/20/08, Ser. 2003-C2,
Class C2, FRN + 11,325
Countrywide Asset-Backed Certificates,
10,985 1.50%, 03/25/33, Ser. 2003-BC1,
Class A1, FRN + 11,029
6,200 1.60%, 02/25/34, Ser. 2004-BC1,
Class M1, FRN + 6,207
4,335 EQCC Trust, 1.40%, 11/25/31,
Ser. 2002-1, Class 2A, FRN 4,346
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
35
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- --------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
ASSET BACKED SECURITIES -- CONTINUED
$ 4,044 HFC Home Equity Loan Asset Backed
Certificates, 1.40%, 04/20/32,
Ser. 2002-2, Class A, FRN $ 4,054
26,550 Honda Auto Receivables Owner Trust,
1.57%, 06/19/06, Ser. 2003-5, Class A2 26,546
5,400 MBNA Master Credit Card Trust USA,
1.90%, 12/15/06, Ser. 1999-G,
Class C, FRN, # 5,400
21,230 Option One Mortgage Loan Trust,
1.52%, 02/25/33, Ser. 2003-1,
Class A2, FRN 21,304
7,574 Residential Asset Mortgage Products,
Inc., 1.47%, 09/25/32,
Ser. 2002-RS5, FRN 7,592
2,570 SLM Student Loan Trust,
1.20%, 10/25/10, Ser. 2002-1,
Class A1, FRN 2,571
6,801 Wachovia Asset Securitization, Inc.,
1.53%, 12/25/32, Ser. 2002-HE2,
Class A, FRN 6,833
19,400 WFS Financial Owner Trust,
3.25%, 05/20/11, Ser. 2003-3, Class A4 19,327
-------------------------------------------------------------------
Total Asset Backed Securities 185,424
(Cost $184,991)
-------------------------------------------------------------------
CERTIFICATES OF DEPOSIT -- 1.0%
23,100 Deutsche Bank AG/New York (Yankee),
1.37%, 05/15/07
(Cost $23,100) 23,093
-------------------------------------------------------------------
Total Long-Term Investments 1,462,160
(Cost $1,463,325)
-------------------------------------------------------------------
SHORT-TERM INVESTMENTS -- 35.6%
STATE AND MUNICIPAL OBLIGATIONS -- 34.2%
ALABAMA -- 0.9%
20,000 Jefferson County, Sewer, Ser. C-8.,
Rev., FRDO, FGIC, 1.02%, 05/27/04 20,000
ARIZONA -- 1.1%
$ 15,800 Arizona Educational Loan
Marketing Corp., RAMS, Sub Ser. B,
Rev., FRDO, 1.13%, 05/27/04 + $ 15,800
2,500 Arizona Health Facilities Authority,
Banner Health Systems, Ser. B, Rev.,
FRDO, AMBAC, 1.06%, 05/28/04 + 2,500
3,000 Arizona Student Loan Acquisition
Authority, RAMS, Senior Ser. A-1, Rev.,
FRDO, 1.06%, 06/03/04 + 3,000
3,225 Scottsdale IDA, Hospital,
Scottsdale Healthcare, Ser. A,
Rev., FRDO, 1.05%, 05/28/04 3,225
-------------------------------------------------------------------
24,525
-------------------------------------------------------------------
ARKANSAS -- 0.1%
2,000 Arkansas Student Loan Authority,
Ser. A-1, Rev., FRDO, 1.04%, 05/24/04 + 2,000
CALIFORNIA -- 2.8%
11,164 California State, Ser. 819-D, GO,
FRDO, AMBAC, 1.17%, 05/06/04 + 11,164
14,900 California State, Ser. D-1, GO,
FRDO, 1.95%, 02/10/05 + 14,882
3,000 California State, Ser. D-4, GO,
FRDO, 1.98%, 02/03/05 2,996
15,800 California State, Ser. F8G, FLOATS,
FRDO, Rev., 1.13%, 06/16/04 + 15,800
10,000 California Statewide Communities
Development Authority, Ser. M, Rev.,
FRDO, 1.17%, 05/05/04 + 10,000
1,000 Chela Financial USA, Inc., California
Student Loan, ACES, Senior Ser. C-4,
Rev., FRDO, 1.10%, 05/11/04 + 1,000
2,000 Long Beach, California, Health Facilities,
Memorial Health Services, Rev., FRDO,
1.08%, 05/05/04 2,000
5,500 Student Education Loan Marketing
Corp., Sub Ser. IV-C-1, Rev., FRDO,
1.15%, 06/03/04 5,500
-------------------------------------------------------------------
63,342
-------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
36
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- --------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS -- CONTINUED
COLORADO -- 0.9%
$ 10,000 Aurora, Colorado, Hospital, Children's
Hospital Association Project, Ser. D,
Rev., FRDO, FSA, 0.97%, 05/17/04 + $ 10,000
850 Colorado Housing & Finance Authority,
Multi-Family Housing, Class 1-B1, Rev.,
FRDO, 1.09%, 05/05/04 + 850
1,750 Colorado Housing & Finance Authority,
Multi-Family Insured Mortgage, Ser. AA,
Rev., FRDO, MBIA, 1.09%, 05/05/04 + 1,750
1,300 Colorado Housing & Finance Authority,
Ser. AA3, Class I, Rev., FRDO,
1.09%, 05/05/04 + 1,300
5,900 Colorado Student Obligation Bond
Authority, Student Loan, Ser. VII-A1,
Rev., FRDO, 1.01%, 06/03/04 + 5,900
-------------------------------------------------------------------
19,800
-------------------------------------------------------------------
CONNECTICUT -- 0.2%
4,700 Connecticut State Health & Educational
Facilities Authority, Wesleyan University,
Ser. D, Rev., FRDO, 1.08%, 05/26/04 + 4,700
DISTRICT OF COLUMBIA -- 4.1%
3,000 District of Columbia, George Washington
University, Ser. C, Rev., FRDO,
MBIA, 1.09%, 05/05/04 3,000
33,650 District of Columbia, Georgetown
University, Ser. C, Rev., FRDO,
MBIA, 1.03%, 06/03/04 33,650
15,000 District of Columbia, Ser. A-1, GO,
FRDO, MBIA, 1.05%, 05/27/04 15,000
3,075 District of Columbia, Ser. A-2, GO,
FRDO, MBIA, 1.14%, 10/07/04 3,075
22,500 District of Columbia, Ser. B, GO,
FRDO, FSA, 1.09%, 05/05/04 22,500
18,200 District of Columbia, Ser. B-2, GO,
FRDO, MBIA, 1.05%, 05/25/04 18,200
-------------------------------------------------------------------
95,425
-------------------------------------------------------------------
FLORIDA -- 2.8%
27,000 Dade County Water & Sewer Revenue
Systems, Rev., FRDO, 1.07%, 05/05/04 27,000
$ 16,350 Florida Educational Loan
Marketing Corp., RAMS, Ser. D-2,
Rev., FRDO, 1.17%, 06/03/04 $ 16,350
12,800 Miami-Dade County School Board,
COP, Ser. B, FRDO, AMBAC,
1.03%, 05/28/04 12,800
6,875 Orlando & Orange County Expressway
Authority, Ser. C-2, Rev., FRDO, FSA,
1.08%, 05/06/04 6,875
-------------------------------------------------------------------
63,025
-------------------------------------------------------------------
GEORGIA -- 1.0%
4,000 Fulton County Development Authority,
Lovett School Project, Rev., FRDO,
1.09%, 05/05/04 4,000
5,000 Fulton County Development Authority,
Piedmont Medical Center Project, Ser. B,
Rev., FRDO, MBIA, 1.02%, 05/05/04 5,000
4,000 Gwinnett County Hospital Authority,
Gwinnett Hospital Systems, Inc.
Project, Anticipation Certificates, Rev.,
RAN, FRDO, 1.09%, 05/05/04 4,000
9,385 Municipal Electric Authority of Georgia,
Project One, Ser. C, Rev., FRDO, FSA,
1.06%, 05/05/04 9,385
-------------------------------------------------------------------
22,385
-------------------------------------------------------------------
ILLINOIS -- 2.1%
7,000 Chicago Metropolitan Water
Reclamation District, Ser. A, GO,
FRDO, 1.08%, 05/05/04 + 7,000
16,100 Chicago, Illinois Water Authority, Rev.,
FRDO, 1.08%, 05/05/04 + 16,100
4,300 Galesburg, Illinois, Knox College
Project, Rev., FRDO, 1.20%, 05/06/04 4,300
19,150 Illinois Development Finance Authority,
Provena Health, Ser. B, Rev., FRDO,
MBIA, 0.97%, 05/05/04 19,150
1,450 Illinois Health Facilities Authority,
Rockford Memorial Hospital Group,
Rev., FRDO, AMBAC,, 1.01%, 05/26/04 1,450
-------------------------------------------------------------------
48,000
-------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
37
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- --------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS -- CONTINUED
INDIANA -- 1.0%
$ 21,675 Indiana Health Facility Financing
Authority, Acension Health, Ser. E,
Rev., FRDO, 1.04%, 05/13/04 $ 21,675
KANSAS -- 0.1%
3,000 Burlington, Kansas, Environmental
Improvement, Kansas City Power & Light
Project, Ser. C, Rev., FRDO,
2.25%, 09/01/04 + 2,999
KENTUCKY -- 0.4%
10,000 Kenton County Airport Board,
Special Facilities, Airis Cincinnatti LLC,
Ser. A, Rev., FRDO, 1.12%, 05/06/04 10,000
MARYLAND -- 1.8%
35,450 Baltimore, Maryland, Public
Improvement, Ser. A, GO, CONS,
FRDO, FSA, 1.05%, 06/02/04 + 35,449
5,212 Maryland State Health & Higher
Educational Facilities Authority,
Floater, Ser. 825, FRDO, AMBAC,
1.05%, 05/06/04 5,199
-------------------------------------------------------------------
40,648
-------------------------------------------------------------------
MASSACHUSETTS -- 1.2%
15,000 Massachusetts Health & Educational
Facilities Authority, Northeastern
University, Ser. N, Rev., FRDO, MBIA,
1.05%, 05/27/04 15,000
3,850 Massachusetts Health & Educational
Facilities Authority, Tufts University,
Ser. G, Rev., FRDO, 1.06%, 05/27/04 3,850
8,050 Massachusetts Housing Finance
Agency, Ser. F, Rev., FRDO, FSA,
1.08%, 05/05/04 8,050
-------------------------------------------------------------------
26,900
-------------------------------------------------------------------
MICHIGAN -- 0.7%
13,205 University of Michigan, Rev., FRDO,
1.07%, 05/06/04 13,205
$ 2,950 Wayne State University, General
Purpose, Rev., FRDO, AMBAC,
1.05%, 05/27/04 $ 2,950
-------------------------------------------------------------------
16,155
-------------------------------------------------------------------
MINNESOTA -- 0.2%
4,950 Northern Municipal Power Agency,
Minnesota Electric Systems, Ser. A-1,
Rev., FRDO, MBIA, 1.00%, 05/14/04 4,950
MISSISSIPPI -- 0.4%
9,400 Mississippi State, Nissan Project, Ser. C,
GO, FRDO, FGIC, 1.00%, 05/26/04 9,400
MISSOURI -- 1.4%
21,900 Missouri State Health & Educational
Facilities Authority, Ascension Health,
Ser. C-1, Rev., FRDO, 1.05%, 05/26/04 21,900
10,000 Missouri State Health & Educational
Facilities Authority, Mercy Health
Systems, Ser. B, Rev., FRDO, AMBAC,
1.05%, 05/26/04 10,000
-------------------------------------------------------------------
31,900
-------------------------------------------------------------------
MONTANA -- 0.5%
11,600 Montana Higher Education Student
Assistance Corp., Student Loan, Senior
Ser. A, Rev., FRDO, 1.05%, 05/28/04 11,600
MULTIPLE STATES -- 1.3%
29,691 Puttable Floating Option Tax-Exempt
Reciepts, FLOATS, Ser. PPT-34, FRDO,
1.04%, 05/06/04 # 29,691
NEW YORK -- 2.7%
13,425 New York City IDA, Special Facilities,
FLOATS, Ser. 921, Rev., FRDO,
1.29%, 05/06/04 13,425
4,795 New York City, New York, Sub Ser. A-8,
GO, FRDO, AMBAC, 1.08%, 05/05/04 4,795
12,150 New York City, New York, Sub Ser. H-2,
GO, FRDO, 1.09%, 05/05/04 12,150
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
38
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- --------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS -- CONTINUED
NEW YORK -- CONTINUED
$ 1 New York State Environmental
Facilities Corp., Clean Water & Drinking,
FLOATS, Ser. 731, Rev., FRDO,
1.12%, 05/06/04 $ 1
16,550 New York State Urban Development
Corp., Correctional Facilities,
Sub Ser. B-7, Rev., FRDO, AMBAC,
1.00%, 05/04/04 16,550
2,900 New York State Urban Development
Corp., Correctional Facilities,
Sub Ser. B-8, Rev., FRDO, AMBAC,
0.98%, 05/11/04 2,900
10,600 New York State Energy
Research & Development Authority,
Consolidated Edison Co., Subser. A-2,
Rev., FRDO, AMBAC, 1.05%, 05/26/04 10,600
-------------------------------------------------------------------
60,421
-------------------------------------------------------------------
NORTH CAROLINA -- 1.1%
6,355 North Carolina Housing Finance Agency,
Appalachian Student Housing, Ser. A,
Rev., FRDO, 1.10%, 05/05/04 6,355
2,000 Wake County Industrial Facilities &
Pollution Control Financing
Authority, Ser. E, Rev., FRDO, AMBAC,
0.97%, 05/25/04 2,000
17,475 Wake County Industrial Facilities &
Pollution Control Financing
Authority, Ser. G, Rev., FRDO, AMBAC,
1.03%, 06/03/04 17,475
-------------------------------------------------------------------
25,830
-------------------------------------------------------------------
OHIO -- 1.0%
8,000 Ohio State Air Quality Development
Authority, Cincinnati Gas & Electric,
Ser. A, Rev., FRDO, 1.25%, 05/05/04 8,000
2,460 Ohio State Air Quality Development
Authority, Toledo, Ser. A, Rev., FRDO,
2.20%, 10/01/04 2,458
12,000 Ohio State, Infrastructure Improvement,
Ser. B, GO, FRDO, 1.08%, 05/05/04 12,000
-------------------------------------------------------------------
22,458
-------------------------------------------------------------------
OREGON -- 0.1%
$ 1,700 Portland, Oregon, Sewer Systems,
Second Lien, Ser. B-1, Rev., FRDO,
MBIA, 1.00%, 06/03/04 $ 1,700
PENNSYLVANIA -- 1.3%
2,000 ABN AMRO Munitops Certificate Trust,
Ser. 1999-16, Class V, FRDO, MBIA,
1.17%, 05/05/04 + 2,000
1,605 Beaver County IDA, PCR, Ser. D, Rev.,
FRDO, AMBAC, 0.95%, 05/12/04 + 1,605
5,000 Erie County Hospital Authority,
FLOATS, Ser. 820, Rev., FRDO, MBIA,
1.14%, 05/06/04 5,000
1,500 Harrisburg Authority, Water, Ser. B,
Rev., FRDO, FSA, 1.15%, 05/06/04 1,500
20,000 Pennsylvania Economic Development
Financing Authority, Reliant Energy
Seward LLC Project, Ser. B, Rev.,
FRDO, 1.15%, 05/05/04 20,000
-------------------------------------------------------------------
30,105
-------------------------------------------------------------------
RHODE ISLAND -- 0.6%
8,000 Rhode Island State & Providence
Plantations, FLOATS, Ser. 720, GO,
FRDO, FGIC, 1.14%, 05/06/04 8,000
5,500 Rhode Island Student Loan Authority,
ACES, Ser. 1, Rev., FRDO, AMBAC,
1.05%, 05/26/04 5,500
-------------------------------------------------------------------
13,500
-------------------------------------------------------------------
SOUTH CAROLINA -- 0.9%
6,000 Greenville Hospital Systems, Ser. C,
Rev., FRDO, AMBAC, 1.05%, 05/28/04 6,000
9,600 South Carolina Jobs-Economic
Development Authority, Hospital
Facilities, Anderson Medical, Ser. A,
Rev., FRDO, AMBAC, 1.04%, 05/06/04 9,600
4,500 South Carolina State Education
Assistance Authority, Rev., FRDO,
1.03%, 05/28/04 4,500
-------------------------------------------------------------------
20,100
-------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
39
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- --------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS -- CONTINUED
TENNESSEE -- 0.2%
$ 5,150 Blount County Public Building
Authority, Local Government Public
Improvement, Ser. C-1-A, Rev., FRDO,
1.10%, 06/03/04 + $ 5,150
TEXAS -- 0.7%
5,000 Brazos Higher Education Authority,
ACES, Student Loan, Senior Lien,
Ser. A-1, Rev., FRDO, 1.06%, 06/03/04 + 5,000
8,000 Houston, Texas, Hotel Occupancy,
Convention & Entertainment, Ser. C-1,
Rev., FRDO, AMBAC, 1.06%, 05/27/04 8,000
3,434 Texas State, Veterans Housing
Assistance Fund I, GO, FRDO,
1.07%, 05/05/04 3,434
--------------------------------------------------------------------
16,434
--------------------------------------------------------------------
VIRGINIA -- 0.3%
5,925 Virginia Commonwealth Transportation
Board, FLOATS, Ser. 727, Rev., FRDO,
1.14%, 05/06/04 5,925
WASHINGTON -- 0.0%^
500 Washington State Public Power Supply
System, Project No. 3, Electric, Ser. 3A,
Rev., FRDO, MBIA, 1.08%, 05/05/04 500
WEST VIRGINIA -- 0.0%^
700 West Virginia State Parkways Economic
Development & Tourism Authority,
Rev., FRDO, FGIC, 1.07%, 05/05/04 700
WYOMING -- 0.3%
5,800 Wyoming Student Loan Corp., ACES,
Ser. B, Rev., FRDO, 1.06%, 05/26/04 5,800
--------------------------------------------------------------------
Total State and Municipal Obligations 777,743
(Cost $777,782)
--------------------------------------------------------------------
U.S. TREASURY SECURITY -- 0.1%
2,095 U.S. Treasury Bill, 0.93%, 07/08/04 +
(Cost $2,091) 2,091
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------
MONEY MARKET FUND -- 1.3%
29,224 JPMorgan Tax Free Money
Market Fund (a)
(Cost $29,224) $ 29,224
--------------------------------------------------------------------
Total Short-Term Investments 809,058
(Cost $809,097)
--------------------------------------------------------------------
TOTAL INVESTMENTS -- 100.0% $ 2,271,218
(COST $2,272,422)
--------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
40
<Page>
FUTURES CONTRACTS
(Amounts in thousands, except number of contracts)
<Table>
<Caption>
NOTIONAL UNREALIZED
NUMBER OF VALUE AT APPRECIATION
CONTRACTS DESCRIPTION EXPIRATION DATE 4/30/04 (USD) (DEPRECIATION) (USD)
- ------------------------------------------------------------------------------------------------------
LONG FUTURES OUTSTANDING
1,148 Eurodollar December, 2004 $ 280,686 $ (1,210)
SHORT FUTURES OUTSTANDING
(327) 2 Year Treasury Notes June, 2004 (69,503) 499
(997) 5 Year Treasury Notes June, 2004 (109,608) 1,996
</Table>
SWAP CONTRACTS
<Table>
<Caption>
UNDERLYING UNREALIZED
NOTIONAL APPRECIATION
DESCRIPTIONS EXPIRATION DATE VALUE (DEPRECIATION)
- ------------------------------------------------------------------------------------------------------
Swap - price lock with Lehman Brothers Special
Financing on U.S. Treasury Note,
3.125%, 10/15/08, price less 98.66,
the Fund pays positive, receives negative 06/14/04 $ 60,020 $ 243
Swap - price lock with Lehman Brothers Special
Financing on U.S. Treasury Note,
2.25%, 04/30/06, price less 99.65,
the Fund pays positive, receives negative 06/29/04 286,750 (51)
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
41
<Page>
JPMORGAN TAX AWARE LARGE CAP GROWTH FUND
PORTFOLIO OF INVESTMENTS AS OF APRIL 30, 2004 (Unaudited)
(Amounts in thousands)
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- 98.4%
COMMON STOCKS -- 98.4%
ADVERTISING -- 0.6%
28 Getty Images, Inc.* $ 1,545
AEROSPACE -- 0.4%
22 Lockheed Martin Corp. 1,049
BIOTECHNOLOGY -- 2.8%
42 Amgen, Inc.* 2,369
32 Biogen Idec, Inc.* 1,864
24 Cephalon, Inc.* 1,377
11 Genentech, Inc.* 1,388
--------------------------------------------------------------------
6,998
--------------------------------------------------------------------
BROADCASTING/CABLE -- 1.5%
57 Clear Channel Communications, Inc. 2,353
41 Univision Communications, Inc., Class A* 1,391
--------------------------------------------------------------------
3,744
--------------------------------------------------------------------
BUSINESS SERVICES -- 6.2%
80 Accenture LTD (Bermuda), Class A* 1,899
83 Affiliated Computer Services, Inc., Class A* 4,045
43 Apollo Group, Inc., Class A* 3,862
50 ChoicePoint, Inc.* 2,214
39 Cintas Corp. 1,731
63 SunGard Data Systems, Inc.* 1,632
--------------------------------------------------------------------
15,383
--------------------------------------------------------------------
CHEMICALS -- 0.5%
36 Praxair, Inc. 1,316
COMPUTER NETWORKS -- 4.2%
440 Cisco Systems, Inc.* 9,178
61 Juniper Networks, Inc.* 1,337
--------------------------------------------------------------------
10,515
--------------------------------------------------------------------
COMPUTER SOFTWARE -- 6.1%
36 Fiserv, Inc.* 1,327
33 Mercury Interactive Corp.* 1,387
341 Microsoft Corp. 8,866
95 Red Hat, Inc.* 2,157
38 SAP AG (Germany), ADR 1,432
--------------------------------------------------------------------
15,169
--------------------------------------------------------------------
COMPUTERS/COMPUTER HARDWARE -- 2.5%
116 Dell, Inc.* $ 4,040
197 EMC Corp.* 2,202
--------------------------------------------------------------------
6,242
--------------------------------------------------------------------
CONSUMER PRODUCTS -- 3.3%
40 Altria Group, Inc. 2,210
57 Procter & Gamble Co. 6,027
--------------------------------------------------------------------
8,237
--------------------------------------------------------------------
CONSUMER SERVICES -- 0.8%
58 Education Management Corp.* 2,067
DIVERSIFIED -- 7.0%
501 General Electric Co. 15,002
91 Tyco International LTD (Bermuda) 2,501
--------------------------------------------------------------------
17,503
--------------------------------------------------------------------
ELECTRONICS/ELECTRICAL EQUIPMENT -- 0.2%
42 Symbol Technologies, Inc. 499
ENTERTAINMENT/LEISURE -- 1.4%
34 Carnival Corp. 1,468
56 International Game Technology 2,121
--------------------------------------------------------------------
3,589
--------------------------------------------------------------------
FINANCIAL SERVICES -- 4.9%
76 Citigroup, Inc. 3,673
58 Freddie Mac 3,358
15 Legg Mason, Inc. 1,418
33 Morgan Stanley 1,706
188 The Charles Schwab Corp. 1,936
--------------------------------------------------------------------
12,091
--------------------------------------------------------------------
FOOD/BEVERAGE PRODUCTS -- 4.0%
83 Sysco Corp. 3,186
133 The Coca-Cola Co. 6,716
--------------------------------------------------------------------
9,902
--------------------------------------------------------------------
HEALTH CARE/HEALTH CARE SERVICES -- 7.7%
52 Anthem, Inc.* 4,606
75 Guidant Corp. 4,694
39 HCA, Inc. 1,585
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
42
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
HEALTH CARE/HEALTH CARE SERVICES -- CONTINUED
72 Laboratory Corp. of America Holdings* $ 2,849
52 Medtronic, Inc. 2,604
66 Omnicare, Inc. 2,717
--------------------------------------------------------------------
19,055
--------------------------------------------------------------------
INSURANCE -- 2.1%
20 AMBAC Financial Group, Inc. 1,373
22 American International Group, Inc. 1,548
36 Axis Capital Holdings LTD (Bermuda) 992
36 Willis Group Holdings LTD (United Kingdom) 1,300
--------------------------------------------------------------------
5,213
--------------------------------------------------------------------
INTERNET SERVICES/SOFTWARE -- 2.9%
24 eBay, Inc.* 1,884
67 InterActiveCorp* 2,142
64 Yahoo!, Inc.* 3,239
--------------------------------------------------------------------
7,265
--------------------------------------------------------------------
MULTI-MEDIA -- 3.2%
56 Comcast Corp., Special Class A* 1,612
280 Liberty Media Corp., Class A* 3,058
137 The DIRECTV Group, Inc.* 2,449
32 The Walt Disney Co. 725
--------------------------------------------------------------------
7,844
--------------------------------------------------------------------
OIL & GAS -- 1.7%
30 Anadarko Petroleum Corp. 1,608
44 ENSCO International, Inc. 1,215
25 Schlumberger LTD 1,434
--------------------------------------------------------------------
4,257
--------------------------------------------------------------------
PHARMACEUTICALS -- 12.5%
42 Abbott Laboratories 1,844
43 Eli Lilly & Co. 3,138
44 Forest Laboratories, Inc.* 2,856
150 Johnson & Johnson 8,127
372 Pfizer, Inc. 13,307
35 Sepracor, Inc.* 1,649
--------------------------------------------------------------------
30,921
--------------------------------------------------------------------
RESTAURANTS/FOOD SERVICES -- 0.5%
23 P.F. Chang's China Bistro, Inc.* 1,143
RETAILING -- 10.2%
47 CDW Corp. $ 2,937
44 Family Dollar Stores, Inc. 1,398
162 Home Depot, Inc. 5,697
89 MSC Industrial Direct Co., Class A 2,556
59 Ross Stores, Inc. 1,800
74 Staples, Inc. 1,914
85 Target Corp. 3,699
96 Wal-Mart Stores, Inc. 5,444
--------------------------------------------------------------------
25,445
--------------------------------------------------------------------
SEMI-CONDUCTORS -- 7.7%
123 Altera Corp.* 2,459
65 Analog Devices, Inc. 2,752
164 Applied Materials, Inc.* 2,990
361 Intel Corp. 9,284
45 Linear Technology Corp. 1,610
--------------------------------------------------------------------
19,095
--------------------------------------------------------------------
SHIPPING/TRANSPORTATION -- 0.3%
11 United Parcel Service, Inc., Class B 744
STEEL -- 0.4%
36 United States Steel Corp. 1,031
TELECOMMUNICATIONS -- 1.7%
139 Crown Castle International Corp.* 1,938
95 Nextel Communications, Inc., Class A* 2,266
--------------------------------------------------------------------
4,204
--------------------------------------------------------------------
TELECOMMUNICATIONS EQUIPMENT -- 1.1%
117 Corning, Inc.* 1,287
76 Motorola, Inc. 1,380
--------------------------------------------------------------------
2,667
--------------------------------------------------------------------
Total Common Stocks 244,733
(Cost $230,568)
--------------------------------------------------------------------
SHORT-TERM INVESTMENT -- 1.6%
MONEY MARKET FUND -- 1.6%
3,882 JPMorgan Prime Money Market Fund (a) 3,882
(Cost $3,882)
--------------------------------------------------------------------
TOTAL INVESTMENTS -- 100.0% $ 248,615
(COST $234,450)
--------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
43
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- 98.0%
COMMON STOCKS -- 98.0%
AEROSPACE -- 2.0%
247 Raytheon Co. $ 7,965
APPAREL -- 1.7%
182 Jones Apparel Group, Inc. 6,643
AUTOMOTIVE -- 1.9%
138 Johnson Controls, Inc. 7,571
BANKING -- 8.9%
159 Bank of America Corp. 12,797
106 North Fork Bancorporation, Inc. 3,935
199 The Bank of New York Co., Inc. 5,799
183 U.S. Bancorp 4,695
141 Wells Fargo & Co. 7,972
--------------------------------------------------------------------
35,198
--------------------------------------------------------------------
BUSINESS SERVICES -- 2.1%
357 Accenture LTD (Bermuda), Class A* 8,493
CHEMICALS -- 2.3%
247 Praxair, Inc. 9,028
COMPUTERS/COMPUTER HARDWARE -- 2.7%
213 Hewlett-Packard Co. 4,186
73 International Business Machines Corp. 6,399
--------------------------------------------------------------------
10,585
--------------------------------------------------------------------
CONSTRUCTION MATERIALS -- 1.9%
73 American Standard Companies, Inc.* 7,626
CONSUMER PRODUCTS -- 2.6%
146 Altria Group, Inc. 8,075
36 Black & Decker Corp. 2,077
--------------------------------------------------------------------
10,152
--------------------------------------------------------------------
DIVERSIFIED -- 4.0%
220 General Electric Co. 6,589
333 Tyco International LTD (Bermuda) 9,128
--------------------------------------------------------------------
15,717
--------------------------------------------------------------------
FINANCIAL SERVICES -- 15.4%
256 CIT Group, Inc. $ 8,788
413 Citigroup, Inc. 19,869
57 Fannie Mae 3,924
68 Freddie Mac 3,995
107 Goldman Sachs Group, Inc. 10,354
264 Janus Capital Group, Inc. 4,013
120 Merrill Lynch & Co., Inc. 6,481
100 Washington Mutual, Inc. 3,943
--------------------------------------------------------------------
61,367
--------------------------------------------------------------------
FOOD/BEVERAGE PRODUCTS -- 1.5%
181 Kraft Foods, Inc., Class A 5,970
HEALTH CARE/HEALTH CARE SERVICES -- 0.5%
49 HCA, Inc. 1,991
INSURANCE -- 8.1%
144 AMBAC Financial Group, Inc. 9,921
187 RenaissanceRe Holdings LTD (Bermuda) 9,827
113 Torchmark Corp. 5,881
183 Willis Group Holdings LTD (United Kingdom) 6,645
--------------------------------------------------------------------
32,274
--------------------------------------------------------------------
MANUFACTURING -- 2.2%
139 Honeywell International, Inc. 4,792
179 Timken Co. 3,938
--------------------------------------------------------------------
8,730
--------------------------------------------------------------------
METALS/MINING -- 2.1%
275 Alcoa, Inc. 8,441
MULTI-MEDIA -- 4.7%
141 Comcast Corp., Special Class A* 4,099
104 Gannett Co., Inc. 9,024
514 Liberty Media Corp., Class A* 5,623
--------------------------------------------------------------------
18,746
--------------------------------------------------------------------
OIL & GAS -- 13.0%
111 Baker Hughes, Inc. 4,064
80 ChevronTexaco Corp. 7,328
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
44
<Page>
SEMI-ANNUAL REPORT APRIL 30 2004
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
OIL & GAS -- CONTINUED
216 ConocoPhillips $ 15,415
47 Cooper Cameron Corp.* 2,272
63 Devon Energy Corp. 3,856
328 Exxon Mobil Corp. 13,974
189 GlobalSantaFe Corp. 4,979
--------------------------------------------------------------------
51,888
--------------------------------------------------------------------
PACKAGING -- 2.0%
462 Smurfit-Stone Container Corp.* 7,947
PHARMACEUTICALS -- 2.7%
117 Johnson & Johnson 6,300
113 Wyeth 4,312
--------------------------------------------------------------------
10,612
--------------------------------------------------------------------
REAL ESTATE INVESTMENT TRUST -- 1.0%
144 Archstone-Smith Trust 3,955
RESTAURANTS/FOOD SERVICES -- 1.7%
245 McDonald's Corp. 6,680
RETAILING -- 4.7%
180 CVS Corp. 6,938
229 Safeway, Inc.* 5,256
264 The TJX Companies, Inc. 6,479
--------------------------------------------------------------------
18,673
--------------------------------------------------------------------
TELECOMMUNICATIONS -- 4.6%
259 SBC Communications, Inc. 6,441
308 Verizon Communications, Inc. 11,640
--------------------------------------------------------------------
18,081
--------------------------------------------------------------------
UTILITIES -- 3.7%
72 Entergy Corp. 3,931
62 FPL Group, Inc. 3,944
163 PPL Corp. 6,985
--------------------------------------------------------------------
14,860
--------------------------------------------------------------------
Total Common Stocks 389,193
(Cost $369,199)
--------------------------------------------------------------------
SHORT-TERM INVESTMENT -- 2.0%
MONEY MARKET FUND -- 2.0%
7,838 JPMorgan Prime Money Market Fund (a) $ 7,838
(Cost $7,838)
--------------------------------------------------------------------
TOTAL INVESTMENTS -- 100.0% $ 397,031
(COST $377,037)
--------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
45
<Page>
JPMORGAN TAX AWARE SHORT-INTERMEDIATE INCOME FUND
PORTFOLIO OF INVESTMENTS AS OF APRIL 30, 2004 (Unaudited)
(Amounts in thousands)
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- 97.4%
PREFERRED STOCK -- 0.5%
3 Pinto Totta International Finance
7.77%, FRN # $ 3,832
(Cost $3,903)
<Caption>
PRINCIPAL
AMOUNT
- --------------------------------------------------------------------------------
U.S. TREASURY SECURITIES -- 0.0% ^
$ 200 U.S. Treasury Notes & Bonds,
2.00%, 08/31/05 @ + 200
(Cost $201)
STATE AND MUNICIPAL OBLIGATIONS -- 83.4%
ALABAMA -- 0.3%
1,000 Alabama State Docks Department,
Dock Facilities, Rev., MBIA,
6.00%, 10/01/06 + 1,095
1,000 Alabama State Public School & Colleges
Authority, Capital Improvement,
Ser. D, Rev., 5.25%, 08/01/06 + 1,072
--------------------------------------------------------------------
2,167
--------------------------------------------------------------------
ARIZONA -- 3.3%
1,500 Maricopa County Pollution Control Corp.,
PCR, Southern California Edison Co.,
Ser. A, Rev., Adj., 2.90%, 06/01/35 1,468
1,000 Maricopa County School
District No. 6-Washington Elementary,
Ser. B, GO, 7.10%, 07/01/06 1,105
7,300 Maricopa County Unified School
District No. 97-Deer Valley, GO, FGIC,
5.00%, 07/01/10 7,956
2,000 Northern Arizona University, Rev., FGIC,
4.00%, 06/01/06 2,085
2,900 Peoria Municipal Development
Authority, Inc., Rev., AMBAC,
5.00%, 07/01/06 3,091
6,165 Salt River Project Agricultural
Improvement & Power District, Electric
Systems, Ser. D, Rev., 5.00%, 01/01/09 6,703
1,795 Tempe, Arizona, GO, 5.00%, 07/01/08 1,951
--------------------------------------------------------------------
24,359
--------------------------------------------------------------------
CALIFORNIA -- 3.1%
$ 5,000 California Pollution Control Financing
Authority, Ser. D, Rev., Adj.,
2.00%, 02/28/08 $ 4,947
7,000 California State Department of Water
Resources, Power Supply, Ser. A, Rev.,
MBIA, 5.25%, 05/01/10 + 7,704
1,000 California State, GO,
7.00%, 08/01/07 + 1,128
3,500 California Statewide Communities
Development Authority, Kaiser
Permanente, Ser. F, Rev., Adj.,
2.30%, 04/01/33 + 3,449
1,000 Central Valley School District Financing
Authority, Ser. A, Rev., MBIA,
6.20%, 02/01/10 + 1,147
3,500 Sacramento County Sanitation District,
Ser. A, Rev., 5.88%, 12/01/27 3,751
1,000 Santa Clara County Financing Authority,
Measure B Transportation Improvement
Program, Rev., 4.00%, 08/01/05 1,032
--------------------------------------------------------------------
23,158
--------------------------------------------------------------------
COLORADO -- 2.5%
10,000 Colorado Department of Transportation,
RAN, AMBAC, 5.75%, 06/15/07 + 11,024
1,540 Colorado Department of Transportation,
Ser. A, TRAN, Rev., 5.00%, 06/15/06 + 1,639
2,000 E-470 Public Highway Authority,
Senior Ser. C, Rev., MBIA,
6.00%, 09/01/06 + 2,185
4,040 Regional Transportation District,
Transit Vehicles, COP, Ser. A, Adj.,
AMBAC, 2.30%, 12/01/22 3,984
--------------------------------------------------------------------
18,832
--------------------------------------------------------------------
CONNECTICUT -- 0.7%
2,000 Connecticut Resource Recovery
Authority, American Ref-Fuel Co., Ser. A,
Rev., MBIA, 5.50%, 11/15/05 + 2,110
3,500 Connecticut State Development
Authority, PCR, Ser. A, Rev., Adj.,
AMBAC, 3.35%, 05/01/31 + 3,464
--------------------------------------------------------------------
5,574
--------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
46
<Page>
SEMI-ANNUAL REPORT APRIL 30 2004
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- --------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
DISTRICT OF COLUMBIA -- 0.3%
$ 2,000 Washington Metropolitan Area Transit
Authority, Rev., FGIC, 6.00%, 07/01/07 $ 2,219
FLORIDA -- 1.0%
4,145 Dade County School District, GO,
AMBAC, 5.20%, 07/15/06 + 4,443
1,000 Escambia County Health Facilities
Authority, Ascension Health Credit,
Ser. A, Rev., 5.00%, 11/15/06 + 1,069
1,855 Escambia County Health Facilities
Authority, Ascension Health Credit,
Ser. A-1, Rev., (p), AMBAC,
5.75%, 11/15/09 + 2,110
--------------------------------------------------------------------
7,622
--------------------------------------------------------------------
GEORGIA -- 0.2%
1,680 Fulco Hospital Authority, Health Systems,
Catholic Health East, Ser. A, Rev., RAC,
MBIA, 5.50%, 11/15/08 + 1,869
HAWAII -- 1.0%
4,570 Hawaii State, Ser. CV, GO, FGIC,
5.50%, 08/01/10 + 5,105
1,850 Honolulu City & County, Ser. A, GO,
FGIC, 7.35%, 07/01/06 + 2,059
--------------------------------------------------------------------
7,164
--------------------------------------------------------------------
ILLINOIS -- 8.8%
2,500 Chicago Metropolitan Water
Reclamation District-Greater Chicago,
GO, 5.85%, 12/01/05 + 2,661
5,500 Chicago School Finance Authority,
Ser. A, GO, FGIC, 5.30%, 06/01/07 + 5,975
10,020 Chicago School Finance Authority,
Ser. C, GO, FSA, 5.50%, 06/01/07 + 10,944
3,860 Cook County, Ser. B, GO, MBIA,
5.00%, 11/15/09 + 4,213
3,750 Du Page Water Commission, Rev.,
5.00%, 05/01/06 + 3,977
1,015 Grundy County School District No. 54
Morris, Ser. A, GO, AMBAC,
5.50%, 12/01/08 + 1,130
$ 4,000 Illinois Development Finance Authority,
PCR, Gas Supply, Peoples Gas Light &
Coke, Ser. B, Rev., Adj., AMBAC,
3.05%, 02/01/33 + $ 4,003
2,500 Illinois Development Finance Authority,
PCR, Illinois Power Company Project,
Ser. A, Rev., (p), 7.38%, 07/01/06 + 2,830
1,350 Illinois Health Facilities Authority,
University of Chicago Hospital System,
Rev., MBIA, 5.00%, 08/15/07 + 1,455
5,000 Illinois State, 1st Ser., GO,
5.00%, 08/01/07 + 5,398
5,500 Illinois State, GO, FGIC,
5.13%, 12/01/10 + 5,866
1,400 Illinois State, Sales Tax, Rev.,
4.00%, 06/15/06 + 1,461
2,750 Illinois State, Ser. A, GO,
5.00%, 10/01/10 + 2,990
9,000 Northern Illinois University, Auxiliary
Facilities Systems, Rev., (p), FGIC,
5.75%, 04/01/07 9,892
3,060 University Of Illinois, Utility
Infrastructure Projects, COP, AMBAC,
5.00%, 08/15/11 3,320
--------------------------------------------------------------------
66,115
--------------------------------------------------------------------
INDIANA -- 1.8%
3,500 Indiana Transportation Finance
Authority, Airport Facilities Lease,
Ser. A, Rev., AMBAC, 6.00%, 11/01/06 + 3,837
7,315 Indianapolis, Indiana, Gas Utility,
Distribution Systems, Ser. A, Rev.,
AMBAC, 5.75%, 08/15/08 8,173
1,010 St. Joseph County Hospital Authority,
Health System, Ser. A, Rev., MBIA,
5.50%, 08/15/08 1,110
--------------------------------------------------------------------
13,120
--------------------------------------------------------------------
IOWA -- 0.3%
1,895 Iowa Finance Authority, Hospital Facility,
Health System, Ser. A, Rev., MBIA,
5.25%, 07/01/07 2,034
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
47
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- --------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
KENTUCKY -- 0.1%
$ 825 Owensboro, Kentucky, Electric Light &
Power, Rev., (p), 6.85%, 01/01/08 $ 908
LOUISIANA -- 0.7%
5,000 Louisiana State, Ser. 2003A, GO, FGIC,
5.25%, 05/01/07 5,422
MARYLAND -- 5.1%
5,000 Maryland State Department of
Transportation County Transportation,
Rev., 5.00%, 11/01/09 5,475
2,000 Maryland State Health & Higher
Educational Facilities Authority, Johns
Hopkins Hospital, Ser. A, Rev.,
4.50%, 08/01/05 2,071
11,525 Maryland State, State and Local
Facilities, Second Series, GO,
5.00%, 08/01/07 12,513
4,000 Northeast Waste Disposal Authority,
Solid Waste, Montgomery County
Resource Recovery Project, Ser. A, Rev.,
6.00%, 07/01/07 4,335
12,440 University System of Maryland,
Auxiliary Facilities & Tuition, Ser. A,
Rev., 5.00%, 04/01/08 13,494
--------------------------------------------------------------------
37,888
--------------------------------------------------------------------
MASSACHUSETTS -- 4.9%
2,000 Boston, Massachusetts, Ser. A, GO,
5.00%, 01/01/10 + 2,180
1,400 Holyoke, Massachusetts, Ser. B, GO,
FSA, 6.00%, 06/15/06 + 1,518
5,000 Massachusetts Development Finance
Agency, Higher Education, Smith College
Issue, Rev., (p), 5.75%, 07/01/10 5,736
5,000 Massachusetts State, CONS, Ser. B,
GO, (p), 6.00%, 06/01/10 5,740
1,000 Massachusetts State, CONS, Ser. D,
GO, 5.25%, 08/01/07 1,082
3,365 Massachusetts State, CONS, Ser. D,
GO, (p), 5.25%, 11/01/06 3,666
$ 12,000 Massachusetts State, Ser. A, GO,
5.38%, 08/01/08 $ 13,141
3,000 Massachusetts State, Ser. A, GO,
6.00%, 11/01/06 3,278
--------------------------------------------------------------------
36,341
--------------------------------------------------------------------
MICHIGAN -- 2.3%
1,605 Detroit, Michigan, Sewer Disposal,
Ser. A, Rev., MBIA, (p),
5.00%, 07/01/05 + 1,674
1,050 L'Anse Creuse Public Schools, School
Buildings & Site, GO, 5.50%, 05/01/08 1,159
1,000 Michigan Higher Education Student
Loan Authority, Student Loan, Ser. XVII-I,
Rev., AMBAC, 3.30%, 03/01/09 996
4,005 Michigan Municipal Bond Authority,
Local Government Loan Program,
Ser. C, Rev., 5.00%, 05/01/11 4,364
1,000 Michigan State Hospital Finance
Authority, Ascension Health Credit,
Ser. A, Rev., (p), MBIA, 5.75%, 11/15/09 1,143
1,000 Michigan State Hospital Finance
Authority, Ascension Health Credit,
Ser. B, Rev., Adj., 5.20%, 11/15/33 1,053
3,000 Michigan State Hospital Finance
Authority, Ascension Health Credit,
Ser. B, Rev., Adj., 5.38%, 11/15/33 3,285
1,000 Michigan State, GO, 5.25%, 12/01/10 1,109
1,000 Michigan Strategic Fund, Dow Chemical
Project, Rev., Adj., 4.60%, 06/01/14 1,052
1,400 Romulus Township Community Schools,
GO, (p), FGIC, 5.75%, 05/01/09 1,582
--------------------------------------------------------------------
17,417
--------------------------------------------------------------------
MINNESOTA -- 0.9%
1,000 Minnesota Housing Finance Agency,
Residential Housing, Ser. K-1, Rev.,
2.25%, 07/01/17 985
5,000 Minnesota State, GO, 5.00%, 08/01/10 5,484
--------------------------------------------------------------------
6,469
--------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
48
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- --------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
MISSISSIPPI -- 0.3%
$ 2,300 Mississippi Business Finance Corp.,
Solid Waste Disposal, Waste
Management, Inc. Project, Rev., Adj.,
2.30%, 03/01/27 $ 2,262
NEBRASKA -- 0.1%
850 Omaha Public Power District, Nebraska
Electric, Omaha Public Power System,
Ser. B, Rev., 4.50%, 02/01/09 903
NEVADA -- 1.3%
5,000 Clark County School District, Building,
Ser. C, GO, MBIA, 5.00%, 06/15/10 + 5,458
3,795 University Of Nevada, Community
College System, Ser. A, Rev., FSA,
5.00%, 07/01/07 4,098
--------------------------------------------------------------------
9,556
--------------------------------------------------------------------
NEW JERSEY -- 6.4%
1,280 Essex County, Ser. A-1, GO, FGIC,
6.00%, 11/15/05 + 1,367
5,000 Garden State Preservation Trust, Ser. A,
Rev., FSA, 5.50%, 11/01/13 + 5,606
2,595 New Jersey Building Authority, Rev.,
5.50%, 06/15/06 @ 2,788
12,150 New Jersey Economic Development
Authority, School Facilities Construction,
Ser. G, Rev., 5.00%, 09/01/09 13,222
2,000 New Jersey State Transit Corp., Ser. B,
Rev., GAN, AMBAC, 5.50%, 02/01/06 2,125
11,575 New Jersey State, Ser. J, GO,
5.00%, 07/15/08 12,571
2,000 New Jersey Transportation Trust Fund
Authority, Transportation Systems,
Ser. C, Rev., 5.38%, 12/15/07 2,189
2,910 Perth Amboy, New Jersey, General
Improvement, GO, FSA, 5.00%, 09/01/06 3,111
1,530 Perth Amboy, New Jersey, General
Improvement, GO, FSA, 5.10%, 09/01/07 1,662
3,165 Perth Amboy, New Jersey, General
Improvement, GO, FSA, 5.20%, 09/01/08 3,474
--------------------------------------------------------------------
48,115
--------------------------------------------------------------------
NEW MEXICO -- 0.1%
$ 1,000 New Mexico State Highway Commission,
Sub Lien, Ser. B, Rev., 5.00%, 06/15/06 $ 1,064
NEW YORK -- 12.4%
9,000 Long Island Power Authority, Electric
Systems, Rev., MBIA, 5.00%, 04/01/08 9,741
1,400 Long Island Power Authority, Electric
Systems, Ser. 8, Sub Ser. 8-F, Rev.,
Adj., MBIA, 5.00%, 04/01/11 1,478
1,280 Long Island Power Authority, Electric
Systems, Ser. B, Rev., 5.00%, 06/01/05 1,323
3,500 Long Island Power Authority, Electric
Systems, Ser. B, Rev., 5.00%, 06/01/06 3,685
2,500 Municipal Assistance Corp. for the
City of New York, Ser. G, Rev.,
6.00%, 07/01/06 2,716
1,300 Municipal Assistance Corp. for the
City of New York, Ser. O, Rev.,
5.25%, 07/01/08 1,426
1,350 Nassau County Interim Finance
Authority, Sales Tax Secured, Ser. A,
Rev., AMBAC, 4.00%, 11/15/08 1,414
700 Nassau County Interim Finance
Authority, Sales Tax Secured, Ser. A,
Rev., AMBAC, 5.00%, 11/15/09 764
2,000 New York City Health & Hospital Corp.,
Health Systems, Ser. A, Rev., AMBAC,
5.00%, 02/15/09 2,160
5,000 New York City Municipal Water Finance
Authority, Water & Sewer System,
Ser. B, Rev., MBIA, 5.80%, 06/15/29 5,512
2,615 New York City Transitional Finance
Authority, Future Tax Secured, Ser. A,
Rev., 5.00%, 08/01/07 2,826
800 New York City, New York, Ser. B, GO,
5.10%, 08/01/08 853
5,000 New York City, New York, Ser. D, GO,
MBIA, 6.20%, 02/01/07 5,501
1,400 New York City, New York, Ser. F, GO,
5.70%, 08/01/06 1,504
3,000 New York City, New York, Ser. G, GO,
5.00%, 08/01/07 3,206
5,000 New York City, New York, Ser. G, GO,
MBIA, 5.00%, 08/01/10 5,403
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
49
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- --------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
NEW YORK -- CONTINUED
$ 1,800 New York Convention Center Operating
Corp., Yale Building Acquisition Project,
COP, 5.25%, 06/01/08 $ 1,862
1,000 New York State Dormitory Authority,
City University System, Ser. E, Rev,
5.75%, 07/01/06 1,075
2,530 New York State Dormitory Authority,
Department of Health, Ser. 2, Rev.,
5.00%, 07/01/09 2,715
2,940 New York State Dormitory Authority,
Department of Health, Ser. 2, Rev.,
5.00%, 07/01/10 3,150
8,505 New York State Dormitory Authority,
Fourth Generation, City University
System, Ser. A, Rev., CONS,
5.00%, 07/01/06 9,009
1,310 New York State Dormitory Authority,
State Department of Health, Rev.,
5.25%, 07/01/08 1,427
6,000 New York State Thruway Authority,
Service Contract, Local Highway &
Bridge, Ser. A, Rev., 5.00%, 03/15/09 6,472
15,535 New York State Urban Development
Corp., Correctional & Youth Facilities
Services, Ser. A, Rev., 5.25%, 01/01/21 16,805
1,835 Triborough Bridge & Tunnel Authority,
General Purpose, Ser. SR, Rev., (p),
5.00%, 01/01/07 1,920
--------------------------------------------------------------------
93,947
--------------------------------------------------------------------
NORTH CAROLINA -- 0.8%
2,500 Guilford County, GO, 4.00%, 10/01/22 + 2,629
500 North Carolina Municipal Power
Agency No. 1, Catawba, Taxable,
Ser. B, Rev., 3.26%, 01/01/05 503
2,500 North Carolina State, Public
Improvement, Ser. A, GO, (p),
5.10%, 09/01/10, 2,812
--------------------------------------------------------------------
5,944
--------------------------------------------------------------------
OHIO -- 3.6%
$ 5,000 Columbus, Ohio, GO,
5.00%, 01/01/07 + $ 5,347
2,000 Columbus, Ohio, GO,
5.25%, 01/01/08 + 2,184
2,035 Columbus, Ohio, Water System,
Rev., 5.00%, 11/01/05 + 2,138
3,500 Gateway Economic Development
Corporation, Greater Cleveland Excise
Tax, Senior Lien, FSA,
5.13%, 09/01/05 + 3,656
2,500 Ohio State Air Quality Development
Authority, Ohio Edison Project, Ser. A,
Rev., Adj., AMBAC, 3.25%, 02/01/15 2,515
500 Ohio State Air Quality Development
Authority, Pollution Control,
Ohio Edison Project, Ser. C, Rev., Adj.,
5.80%, 06/01/16 509
2,500 Ohio State Water Development
Authority, PCR, Rev., 4.00%, 12/01/06 2,627
2,600 Ohio State, Common School Capital
Facilities, Ser. A, GO, 5.75%, 06/15/06 2,810
5,000 Ohio State, Highway Capital
Improvements, Ser. F, GO,
5.25%, 05/01/09 5,511
--------------------------------------------------------------------
27,297
--------------------------------------------------------------------
OREGON -- 1.2%
7,960 Oregon State Department of
Administrative Services, Rev., FSA,
5.00%, 09/01/08 8,672
PENNSYLVANIA -- 1.5%
2,000 Beaver County IDA, PCR, Ohio Edison Co.
Project, Ser. A, Rev., Adj.,
4.65%, 06/01/04 2,003
2,980 Pennsylvania State, 2nd Ser., GO,
5.00%, 10/01/06 3,193
2,000 Philadelphia, Pennsylvania, Water &
Wastewater Systems, Ser. 1999, Rev.,
AMBAC, 5.00%, 12/15/05 2,106
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
50
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- --------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
PENNSYLVANIA -- CONTINUED
$ 1,000 Pittsburgh, Pennsylvania,
Ser. 2002-2004, 2006, 2008 & 2009,
GO, AMBAC, 5.00%, 09/01/06 $ 1,063
2,540 Pittsburgh, Pennsylvania, Ser. A, GO,
MBIA, 6.00%, 03/01/06 2,729
--------------------------------------------------------------------
11,094
--------------------------------------------------------------------
PUERTO RICO -- 1.9%
5,000 Puerto Rico Commonwealth, Ser. C,
Adj., GO, MBIA, 5.00%, 07/01/28 5,433
5,000 Puerto Rico Commonwealth, Ser.A,
GO, FSA, 5.00%, 07/01/31 5,433
3,000 Puerto Rico Highway & Transportation
Authority, Ser. AA, Rev.,
5.00%, 07/01/07 3,223
--------------------------------------------------------------------
14,089
--------------------------------------------------------------------
SOUTH CAROLINA -- 0.6%
2,000 South Carolina State, Capital
Improvement, Ser. A, GO,
5.00%, 01/01/09 2,182
2,000 South Carolina Transportation
Infrastructure Bank, Ser. A, Rev., MBIA,
5.00%, 10/01/10 2,177
--------------------------------------------------------------------
4,359
--------------------------------------------------------------------
TEXAS -- 7.0%
1,065 Bexar County Health Facilities
Development Corp., Baptist Memorial
Hospital System Project, Rev.,
MBIA, (p), 6.63%, 08/15/04 + 1,103
2,000 Brazos River Authority, PCR, Utilities
Electric Co., Ser. B, Rev., Adj.,
5.05%, 06/01/30 + 2,083
2,500 Brazos River Harbor Navigation District,
Brazoria County Environmental,
Dow Chemical Co. Project, Ser. A-3,
Rev., Adj., 4.95%, 05/15/33 + 2,654
2,265 Harris County, Criminal Justice Center,
GO, 4.00%, 10/01/09 + 2,357
7,640 Harris County, Criminal Justice Center,
GO, (p), FGIC, 5.63%, 10/01/06 + 8,306
$ 3,985 Harris County, Roads, Ser. A, GO,
4.50%, 10/01/09 + $ 4,245
2,990 Houston, Texas, Hotel Occupancy Tax,
Convention & Entertainment, Ser. A,
Rev., AMBAC, 5.00%, 09/01/06 + 3,187
3,485 Lower Colorado River Authority,
Refinancing & Improvement, Ser. A,
Rev., MBIA, 5.00%, 05/15/09 3,787
2,790 Lower Colorado River Authority,
Transmission Contract, Rev., FSA,
5.00%, 05/15/07 3,000
2,475 Matagorda County Navigation District
No 1, PCR, Central Power & Light Co.,
Ser. A, Rev., Adj, 4.55%, 11/01/29 2,558
6,250 North Texas Tollway Authority,
Dallas North Tollway Systems,
Ser. C, Rev., Adj., FGIC, 5.00%, 01/01/18 6,750
2,855 Nueces County, GO, AMBAC,
5.00%, 02/15/09 + 3,096
2,500 Texas State, Ser. A, GO,
6.00%, 10/01/05 2,655
3,000 Travis County Health Facilities
Development Corp., Ascension Health
Credit, Ser. A, Rev., MBIA,
5.75%, 11/15/07 3,278
3,025 University of Houston, CONS,
Ser. B, Rev., FSA, 5.00%, 02/15/06 3,186
--------------------------------------------------------------------
52,245
--------------------------------------------------------------------
UTAH -- 1.2%
8,000 Intermountain Power Agency,
Utah Power Supply, Rev., AMBAC,
5.00%, 07/01/08 8,672
VERMONT -- 0.7%
4,500 Vermont State, Ser. A, GO,
5.00%, 02/01/11 4,893
VIRGINIA -- 1.8%
2,000 Big Stone Gap Redevelopment &
Housing Authority, Correctional
Facilities Lease, Rev.,
5.00%, 09/01/07 + 2,164
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
51
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- --------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
VIRGINIA -- CONTINUED
$ 2,000 Louisa IDA, Solid Waste & Sewer
Disposal, Electric & Power Co. Project,
Ser. A, Rev., Adj., 2.30%, 03/01/31 $ 2,000
800 Norfolk, Virginia, GO, MBIA,
5.00%, 06/01/09 874
2,610 Peninsula Ports Authority, Dominion
Terminal Association Project,
Rev., Adj., 3.30%, 10/01/33 2,607
5,000 Richmond, Virginia, Ser. B, GO, FSA,
5.00%, 07/15/10 5,463
--------------------------------------------------------------------
13,108
--------------------------------------------------------------------
WASHINGTON -- 4.7%
5,000 Clark County Public Utility District No. 1,
Generating Systems, Rev., FGIC, (p),
6.00%, 01/01/07 + 5,472
1,070 Conservation & Renewable Energy
System, Conservation Project, Rev.,
5.00%, 10/01/06 + 1,143
1,175 Conservation & Renewable Energy
System, Conservation Project, Rev.,
5.00%, 10/01/07 + 1,268
2,200 Lewis County Public Utility District No. 1,
Cowlitz Falls Hydroelectric Facilities,
Rev., 5.00%, 10/01/06 2,349
3,170 Port of Seattle, Ser. B, GO, FSA,
5.00%, 11/01/09 3,418
11,100 Port of Seattle, Ser. C, GO, FSA,
5.25%, 11/01/11 12,066
2,000 Snohomish County Public Utility
District No. 1, Electric, Rev.,
5.00%, 12/01/05 2,099
2,160 Snohomish County School District No. 15
Edmonds, Ser. B, GO, FSA,
5.00%, 12/01/06 2,314
3,275 Snohomish County, Limited Tax, GO,
5.00%, 12/01/08 3,555
1,310 Tacoma, Washington, Conservation
System Project, Rev., 5.00%, 12/01/07 1,418
--------------------------------------------------------------------
35,102
--------------------------------------------------------------------
WISCONSIN -- 0.5%
$ 2,500 Wisconsin State Health & Educational
Facilities Authority, Ministry Health Care,
Inc., Ser. B, Rev., 3.50%, 05/15/07 $ 2,516
1,035 Wisconsin State, Ser. C, GO, MBIA,
5.00%, 05/01/07 1,115
--------------------------------------------------------------------
3,631
--------------------------------------------------------------------
Total State and Municipal Obligations 623,631
(Cost $629,012)
--------------------------------------------------------------------
CORPORATE NOTES & BONDS -- 7.9%
AUTOMOTIVE -- 0.4%
2,760 General Motors Acceptance Corp.,
6.75%, 01/15/06 + 2,923
BANKING -- 0.8%
KorAm Bank (South Korea)
2,650 4.68%, 06/18/13 2,624
2,200 6.95%, 12/06/11 2,372
1,100 Independence Community Bank Corp.,
3.75%, 04/01/14, FRN + 1,054
--------------------------------------------------------------------
6,050
--------------------------------------------------------------------
COMPUTERS/COMPUTER HARDWARE -- 0.1%
750 Hewlett-Packard Co., 3.63%, 03/15/08 + 748
CONSUMER PRODUCTS -- 0.4%
2,650 Diageo Finance BV (The Netherlands),
3.00%, 12/15/06 + 2,646
FINANCIAL SERVICES -- 3.3%
3,550 BNP US Funding LLC,
7.74%, 12/31/49, FRN, # + 4,014
1,000 Capital One Bank, 4.25%, 12/01/08 + 991
5,350 Capital One Financial Corp.,
8.75%, 02/01/07 + 5,991
1,200 CIT Group, Inc., 4.00%, 05/08/08 + 1,201
4,650 Countrywide Home Loans, Inc.,
2.88%, 02/15/07, Ser. L, MTN + 4,585
400 Credit Suisse First Boston USA, Inc.,
5.75%, 04/15/07 + 427
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
52
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- --------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
FINANCIAL SERVICES -- CONTINUED
$ 400 International Lease Finance Corp.,
4.00%, 01/17/06, Ser. O, MTN $ 410
1,200 MBNA Corp., 4.63%, 09/15/08 1,211
1,300 Mizuho JGB Investment LLC,
9.87%, 12/31/49, FRN, # 1,502
3,100 Natexis AMBS Co., LLC,
8.44%, 12/29/49, FRN, # 3,575
1,075 Sovereign BanCorp., Inc.,
10.50%, 11/15/06 1,254
--------------------------------------------------------------------
25,161
--------------------------------------------------------------------
TELECOMMUNICATIONS -- 1.7%
1,750 France Telecom (France),
8.20%, 03/01/06 + 1,903
1,950 Deutsche Telekom International
Finance (Germany), 8.25%, 06/15/05 + 2,076
1,600 Telecom Italia Capital SA (Luxembourg),
4.00%, 11/15/08, # 1,586
Sprint Capital Corp.,
1,855 6.00%, 01/15/07 1,972
1,400 7.13%, 01/30/06 1,502
3,400 Verizon Wireless Capital LLC.,
5.38%, 12/15/06 3,587
--------------------------------------------------------------------
12,626
--------------------------------------------------------------------
UTILITIES -- 1.2%
1,400 FPL Group Capital, Inc.,
1.88%, 03/30/05 + 1,401
6,480 National Rural Utilities Cooperative
Finance Corp., 6.00%, 05/15/06 6,905
800 Public Service Co. of Colorado,
4.38%, 10/01/08 810
--------------------------------------------------------------------
9,116
--------------------------------------------------------------------
Total Corporate Notes & Bonds 59,270
(Cost $59,987)
--------------------------------------------------------------------
RESIDENTIAL MORTGAGE BACKED SECURITIES -- 2.5%
COLLATERALIZED MORTGAGE OBLIGATIONS -- 0.2%
$ 1,800 Federal National Mortgage Association,
4.00%, 10/15/21, Ser. 2004-29,
Class QC + $ 1,792
MORTGAGE BACKED PASS-THROUGH SECURITIES -- 2.3%
17,800 Federal National Mortgage Association,
5.00%, 05/25/34, TBA + 17,244
--------------------------------------------------------------------
Total Residential
Mortgage Backed Securities 19,036
(Cost $19,058)
--------------------------------------------------------------------
COMMERCIAL MORTGAGE BACKED SECURITIES -- 0.9%
6,700 LB-UBS Commercial Mortgage Trust,
3.25%, 03/15/29, Ser. 2004-C2,
Class A2 6,438
(Cost $6,733)
--------------------------------------------------------------------
ASSET BACKED SECURITIES -- 2.2%
4,575 AmeriCredit Automobile Receivables
Trust, 3.48%, 05/06/10, Ser. 2003-CF,
Class A4 + 4,617
800 Capital One Auto Finance Trust,
3.18%, 09/15/10, Ser. 2003-B, Class A4 + 794
2,350 SLM Student Loan Trust, 2.99%,
12/15/22, Ser. 2003-11, Class A5, # 2,327
5,000 Triad Auto Receivables Owner Trust,
3.20%, 12/13/10, Ser. 2003-B, Class A4 4,965
3,900 Volkswagen Auto Loan Enhanced Trust,
2.94%, 03/22/10, Ser. 2003-2, Class A4 3,872
--------------------------------------------------------------------
Total Asset Backed Securities 16,575
(Cost $16,623)
--------------------------------------------------------------------
TOTAL LONG-TERM INVESTMENTS $ 728,982
(COST $735,517)
--------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
53
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- --------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS -- 2.6
U.S. TREASURY SECURITY -- 0.0% ^
$ 200 U.S. Treasury Bill, 0.92%, 07/08/04 @ + $ 200
(Cost $200)
STATE AND MUNICIPAL SECURITIES -- 1.3%
CALIFORNIA -- 0.8%
5,625 California State, Ser. D-1, GO, FRDO,
1.95%, 02/10/05 + 5,618
KANSAS -- 0.1%
1,000 Burlington, Kansas, Environmental
Improvement, Kansas City Power & Light
Project, Ser. C, Rev., FRDO,
2.25%, 09/01/04 + 1,000
OHIO -- 0.1%
750 Ohio State Air Quality Development
Authority, Toledo, Ser. A, Rev., FRDO,
2.20%, 10/01/04 749
OKLAHOMA -- 0.3%
$ 2,500 Oklahoma Development Finance
Authority, ConocoPhillips Co. Project,
Rev., FRDO, 1.35%, 12/01/04 $ 2,498
--------------------------------------------------------------------
Total State and Municipal Securities 9,865
(Cost $9,875)
--------------------------------------------------------------------
<Caption>
SHARES
- --------------------------------------------------------------------------------
MONEY MARKET FUND -- 1.3%
9,741 JPMorgan Tax Free Money Market
Fund (a) 9,741
(Cost $9,741)
--------------------------------------------------------------------
Total Short-Term Investments 19,806
(Cost $19,816)
--------------------------------------------------------------------
TOTAL INVESTMENTS -- 100.0% $ 748,788
(COST $755,333)
--------------------------------------------------------------------
</Table>
FUTURES CONTRACTS
(Amounts in thousands, except number of contracts)
<Table>
<Caption>
NOTIONAL UNREALIZED
NUMBER OF VALUE AT APPRECIATION
CONTRACTS DESCRIPTION EXPIRATION DATE 4/30/04 (USD) (DEPRECIATION) (USD)
- --------------------------------------------------------------------------------------------------------
LONG FUTURES OUTSTANDING
71 Euro Bond June, 2004 $ 9,710 $ (108)
545 Euro Dollar December, 2004 133,253 (374)
SHORT FUTURES OUTSTANDING
(64) 2 Year Treasury Notes June, 2004 (13,603) 61
(279) 5 Year Treasury Notes June, 2004 (30,673) 6
(218) 10 Year Treasury Notes June, 2004 (24,089) 395
- --------------------------------------------------------------------------------------------------------
</Table>
54
<Page>
OPTIONS
<Table>
<Caption>
UNITS CALL OPTION WRITTEN VALUE
- --------------------------------------------------------------------------------------------------------
(18,750) Call Option on Interest Rate Swap, expiring 5/4/04, if exercised the Fund pays
fixed 3.71% and receives floating 3 month LIBOR, European Style $ -^^
PUT OPTION WRITTEN
(18,750) Put Option on Interest Rate Swap, expiring 5/4/04, if exercised the
Fund receives fixed 3.71% and pays floating 3 month LIBOR, European Style (314)
-^^ Put Option on Sept. 04 Eurodollar Future, strike price of 98.25,
expiring 9/13/04, European Style (108)
(18,750) Total Put Options Written $ (422)
(total premiums received $316)
</Table>
SWAP CONTRACTS
<Table>
<Caption>
UNDERLYING UNREALIZED
NOTIONAL APPRECIATION
DESCRIPTIONS EXPIRATION DATE VALUE (DEPRECIATION)
- --------------------------------------------------------------------------------------------------------------------------
Swap-rate lock with Citibank N.A. on 5 Year Forward Contract, rate
less 4.09, the Fund receives positive, pays negative 05/04/04 $ 9,375 $ 89
Swap-rate lock with Citibank N.A. on 5 Year Forward Contract, rate
less 3.90, the Fund receives positive, pays negative 05/04/04 9,375 --
Swap - price lock with Lehman Brothers Special Financing
on U.S. Treasury Note, 3.13%, 10/15/08, price less 98.66,
the Fund receives negative, pays positive. 06/14/04 27,220 110
Swap - price lock with Lehman Brothers Special Financing
on U.S. Treasury Note, 2.25%, 04/30/06, price less 99.65,
the Fund receives negative, pays positive. 06/29/04 86,400 (15)
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
55
<Page>
JPMORGAN TAX AWARE U.S. EQUITY FUND
PORTFOLIO OF INVESTMENTS AS OF APRIL 30, 2004 (Unaudited)
(Amounts in thousands)
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- 98.6%
COMMON STOCKS -- 98.6%
AEROSPACE -- 2.1%
345 Raytheon Co. $ 11,129
91 United Technologies Corp. 7,850
--------------------------------------------------------------------
18,979
--------------------------------------------------------------------
AUTOMOTIVE -- 1.0%
162 Johnson Controls, Inc. 8,865
BANKING -- 4.4%
328 Bank of America Corp. 26,425
265 The Bank of New York Co., Inc. 7,722
115 Wells Fargo & Co. 6,493
--------------------------------------------------------------------
40,640
--------------------------------------------------------------------
BIOTECHNOLOGY -- 1.5%
191 Amgen, Inc.* 10,736
50 Gilead Sciences, Inc.* 3,042
--------------------------------------------------------------------
13,778
--------------------------------------------------------------------
BUSINESS SERVICES -- 1.7%
651 Accenture LTD (Bermuda), Class A* 15,474
CHEMICALS -- 1.9%
472 Praxair, Inc. 17,252
COMPUTER NETWORKS -- 2.7%
1,176 Cisco Systems, Inc.* 24,538
COMPUTER SOFTWARE -- 3.8%
1,193 Microsoft Corp. 30,971
400 Oracle Corp.* 4,488
--------------------------------------------------------------------
35,459
--------------------------------------------------------------------
COMPUTERS/COMPUTER HARDWARE -- 4.6%
160 Dell, Inc.* 5,555
673 Hewlett-Packard Co. 13,258
152 International Business Machines Corp. 13,364
110 Lexmark International, Inc.* 9,951
--------------------------------------------------------------------
42,128
--------------------------------------------------------------------
CONSUMER PRODUCTS -- 4.0%
417 Altria Group, Inc. 23,074
136 Procter & Gamble Co. $ 14,401
--------------------------------------------------------------------
37,475
--------------------------------------------------------------------
DIVERSIFIED -- 6.9%
1,270 General Electric Co. 38,032
957 Tyco International LTD (Bermuda) 26,264
--------------------------------------------------------------------
64,296
--------------------------------------------------------------------
FINANCIAL SERVICES -- 11.8%
229 American Express Co. 11,185
102 CIT Group, Inc. 3,506
754 Citigroup, Inc. 36,238
113 Fannie Mae 7,758
385 Freddie Mac 22,484
82 Goldman Sachs Group, Inc. 7,943
192 Merrill Lynch & Co., Inc. 10,412
277 Washington Mutual, Inc. 10,907
--------------------------------------------------------------------
110,433
--------------------------------------------------------------------
FOOD/BEVERAGE PRODUCTS -- 3.4%
330 Kraft Foods, Inc., Class A 10,864
122 PepsiCo, Inc. 6,621
271 The Coca-Cola Co. 13,687
--------------------------------------------------------------------
31,172
--------------------------------------------------------------------
HEALTH CARE/HEALTH CARE SERVICES -- 4.2%
242 Guidant Corp. 15,248
365 HCA, Inc. 14,830
225 Laboratory Corp. of America Holdings* 8,942
--------------------------------------------------------------------
39,020
--------------------------------------------------------------------
INSURANCE -- 5.2%
208 AMBAC Financial Group, Inc. 14,336
96 American International Group, Inc. 6,873
150 RenaissanceRe Holdings LTD (Bermuda) 7,904
214 The Allstate Corp. 9,809
256 Willis Group Holdings LTD
(United Kingdom) 9,295
--------------------------------------------------------------------
48,217
--------------------------------------------------------------------
MANUFACTURING -- 1.0%
169 Cooper Industries LTD, Class A 9,280
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
56
<Page>
SEMI-ANNUAL REPORT APRIL 30 2004
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
METALS/MINING -- 1.3%
400 Alcoa, Inc. $ 12,312
MULTI-MEDIA -- 4.9%
343 Comcast Corp., Special Class A* 9,934
90 Gannett Co., Inc. 7,801
123 News Corp., LTD, ADR (Australia) 4,479
100 The E.W. Scripps Co., Class A 10,555
314 Viacom, Inc., Class B 12,123
--------------------------------------------------------------------
44,892
--------------------------------------------------------------------
OIL & GAS -- 6.6%
252 Baker Hughes, Inc. 9,236
247 ChevronTexaco Corp. 22,585
216 ConocoPhillips 15,401
316 Exxon Mobil Corp. 13,466
--------------------------------------------------------------------
60,688
--------------------------------------------------------------------
PHARMACEUTICALS -- 8.7%
187 Eli Lilly & Co. 13,797
30 Forest Laboratories, Inc.* 1,934
521 Johnson & Johnson 28,123
841 Pfizer, Inc. 30,091
110 Sepracor, Inc.* 5,259
59 Wyeth 2,238
--------------------------------------------------------------------
81,442
--------------------------------------------------------------------
PIPELINES -- 0.7%
985 El Paso Corp. 6,905
RESTAURANTS/FOOD SERVICES -- 1.0%
327 McDonald's Corp. 8,899
RETAILING -- 7.2%
445 CVS Corp. 17,190
256 Home Depot, Inc. 8,997
375 Safeway, Inc.* 8,606
404 The TJX Companies, Inc. 9,916
379 Wal-Mart Stores, Inc. 21,607
--------------------------------------------------------------------
66,316
--------------------------------------------------------------------
SEMI-CONDUCTORS -- 3.2%
579 Altera Corp.* $ 11,577
261 Intel Corp. 6,707
314 Linear Technology Corp. 11,188
--------------------------------------------------------------------
29,472
--------------------------------------------------------------------
TELECOMMUNICATIONS -- 2.1%
513 Verizon Communications, Inc. 19,372
TELECOMMUNICATIONS EQUIPMENT -- 0.4%
60 QUALCOMM, Inc. 3,773
TEXTILES -- 0.9%
113 Mohawk Industries, Inc.* 8,678
UTILITIES -- 1.4%
321 Pinnacle West Capital Corp. 12,538
--------------------------------------------------------------------
Total Common Stocks 912,293
(Cost $880,604)
--------------------------------------------------------------------
SHORT-TERM INVESTMENT -- 1.4%
MONEY MARKET FUND -- 1.4%
13,033 JPMorgan Prime Money Market Fund (a) 13,033
(Cost $13,033)
--------------------------------------------------------------------
TOTAL INVESTMENTS -- 100.0% $ 925,326
(COST $893,637)
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
57
<Page>
JPMORGAN FUNDS
Abbreviations
* -- Non-income producing security.
^ -- Amount rounds to less than 0.1%.
^^ -- Amount rounds to less than one thousand.
+ -- All or a portion of this security is segregated for TBA, when issued,
delayed delivery, swaps or unsettled trades.
# -- All or a portion of this security is a 144A or private placement
security and can only be sold to qualified institutional buyers.
@ -- Securities fully or partially segregated with the custodian as
collateral for futures or with brokers as initial margin for futures
contracts.
(a) -- Affiliated. Money market fund registered under the Investment Company
Act of 1940, as amended and advised by JPMorgan Investment Management,
Inc.
(f) -- Fair Valued Investment. The following are approximately the market
value and percentage of the investments that are fair valued
(amounts in thousands):
<Table>
<Caption>
FUND MARKET VALUE PERCENTAGE
---- ------------ ----------
JPMorgan Fleming Tax Aware International Opportunities Fund $ 122,382 86.31%
</Table>
(i) -- Security is considered illiquid and may be difficult to sell.
(p) -- Security is prerefunded or escrowed to maturity. The maturity date
shown is the date of the prerefunded call.
Adj. -- Adjustable. The interest rate shown is the rate in effect at April 30,
2004.
ACES -- Auction Rate Securities.
ADR -- American Depository Receipt.
AMBAC -- American Municipal Bond Assurance Corp.
CONS -- Consolidated Bonds.
COP -- Certificates of Participation.
FGIC -- Financial Guaranty Insurance Co.
FLOATS -- Floating Auction Tax Exempts.
FRDO -- Floating Rate Demand Obligation. The maturity date shown is the next
interest reset date. The interest rate shown is the rate in effect at
April 30, 2004.
FRN -- Floating Rate Note. The interset rate shown is the rate in effect at
April 30, 2004.
FSA -- Financial Securities Association.
GAN -- Grant Anticipation Notes.
GDR -- Global Depository Receipt.
GO -- General Obligation Bond.
IDA -- Industrial Development Authority.
MBIA -- Municipal Bond Insurance Association.
MTN -- Medium Term Note.
PCR -- Pollution Control Revenue.
RAC -- Revenue Anticipation Certificate.
RAMS -- Reverse Annuity Mortgage Security.
RAN -- Revenue Anticipation Note.
Rev. -- Revenue Bond.
Ser. -- Series.
TBA -- To Be Announced.
TRAN -- Tax & Revenue Anticipation Note.
AUD -- Australian Dollar.
CHF -- Swiss Franc.
EUR -- Euro.
GBP -- Great Britain Pound.
HKD -- Hong Kong Dollar.
JPY -- Japanese Yen.
SEK -- Swedish Krona.
SGD -- Singapore Dollar.
USD -- United States Dollar.
SEE NOTES TO FINANCIAL STATEMENTS.
58
<Page>
THIS PAGE IS INTENTIONALLY LEFT BLANK
59
<Page>
JPMORGAN FUNDS
STATEMENT OF ASSETS
AND LIABILITIES AS OF APRIL 30, 2004 (Unaudited)
(Amounts in thousands, except per share amounts)
<Table>
<Caption>
FLEMING
TAX AWARE TAX AWARE TAX AWARE TAX AWARE
INTERNATIONAL DISCIPLINED ENHANCED LARGE CAP
OPPORTUNITIES EQUITY INCOME GROWTH
FUND FUND FUND FUND
ASSETS
Investments in non-affiliates, at value $ 141,788 $ 192,561 $ 2,241,994 $ 244,733
Investments in affiliates, at value -- 775 29,224 3,882
- ------------------------------------------------------------------------------------------------------------------
Total investment securities, at value 141,788 193,336 2,271,218 248,615
- ------------------------------------------------------------------------------------------------------------------
Cash 1,574 19 1,908 6
Foreign currency, at value 147 -- -- --
Receivables:
Investment securities sold 1,889 -- 4,751 3,901
Fund shares sold 31 81 6,185 140
Interest and dividends 604 232 13,426 111
Foreign tax reclaims 149 -- -- --
Unrealized appreciation on forward foreign
currency exchange contracts 885 -- -- --
Unrealized appreciation on open swap contracts -- -- 243 --
Expense reimbursements 2 -- -- --
- ------------------------------------------------------------------------------------------------------------------
Total Assets 147,069 193,668 2,297,731 252,773
- ------------------------------------------------------------------------------------------------------------------
LIABILITIES
Payables:
Dividends -- -- 735 --
Investment securities purchased 1,932 -- 43,984 3,184
Fund shares redeemed 126 50 2,889 1,393
Variation margin -- -- 167 --
Unrealized depreciation on forward
foreign currency exchange contracts 1,215 -- -- --
Unrealized depreciation on open swap contracts -- -- 51 --
Accrued liabilities:
Investment advisory fees 99 57 415 86
Administration fees --^ 16 -- 32
Shareholder servicing fees 1 -- 107 51
Distribution fees 1 -- 4 --
Custodian fees 89 19 101 17
Trustee's fees - deferred compensation plan --^ --^ 3 36
Other 61 45 128 44
- ------------------------------------------------------------------------------------------------------------------
Total Liabilities 3,524 187 48,584 4,843
- ------------------------------------------------------------------------------------------------------------------
NET ASSETS $ 143,545 $ 193,481 $ 2,249,147 $ 247,930
- ------------------------------------------------------------------------------------------------------------------
</Table>
^ Amount rounds to less than one thousand.
SEE NOTES TO FINANCIAL STATEMENTS.
60
<Page>
SEMI-ANNUAL REPORT APRIL 30 2004
<Table>
<Caption>
FLEMING
TAX AWARE TAX AWARE TAX AWARE TAX AWARE
INTERNATIONAL DISCIPLINED ENHANCED LARGE CAP
OPPORTUNITIES EQUITY INCOME GROWTH
FUND FUND FUND FUND
NET ASSETS
Paid in capital 166,597 293,712 2,267,130 358,583
Accumulated undistributed
(overdistributed) net investment income (85) 153 (245) (168)
Accumulated net realized gain (loss)
on investments, futures, written options,
swaps and foreign exchange transactions (44,079) (123,641) (18,011) (124,650)
Net unrealized appreciation
(depreciation) of investments, futures,
swaps and foreign exchange translations 21,112 23,257 273 14,165
- ------------------------------------------------------------------------------------------------------------------
Total Net Assets $ 143,545 $ 193,481 $ 2,249,147 $ 247,930
- ------------------------------------------------------------------------------------------------------------------
Class A $ 5,365 $ -- $ 21,658 $ --
Institutional $ 138,180 $ 193,481 $ 1,763,615 $ --
Select $ -- $ -- $ 463,874 $ 247,930
- ------------------------------------------------------------------------------------------------------------------
Total $ 143,545 $ 193,481 $ 2,249,147 $ 247,930
- ------------------------------------------------------------------------------------------------------------------
Shares of beneficial interest outstanding
($0.001 par value; unlimited number
of shares authorized):
Class A 370 -- 2,162 --
Institutional 9,400 12,996 176,268 --
Select Shares -- -- 46,308 16,537
Net Asset Value:
Class A (and redemption price) $ 14.50 $ -- $ 10.02 $ --
Institutional (and redemption price) $ 14.70 $ 14.89 $ 10.01 $ --
Select Shares (and redemption price) $ -- $ -- $ 10.02 $ 14.99
Class A Maximum Public Offering
Price Per Share (net asset value per
share/94.25%, 98.50%) $ 15.38 $ -- $ 10.17 $ --
Cost of investments $ 120,356 $ 170,079 $ 2,272,422 $ 234,450
Cost of foreign currency $ 147 $ -- $ -- $ --
- ------------------------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
61
<Page>
<Table>
<Caption>
TAX AWARE
TAX AWARE SHORT -
LARGE CAP INTERMEDIATE TAX AWARE
VALUE INCOME U.S. EQUITY
FUND FUND FUND
ASSETS
Investments in non-affiliates, at value $ 389,193 $ 739,047 $ 912,293
Investments in affiliates, at value 7,838 9,741 13,033
- --------------------------------------------------------------------------------------------------
Total Investment securities, at value 397,031 748,788 925,326
- --------------------------------------------------------------------------------------------------
Cash 12 565 60
Foreign currency, at value -- 85 --
Receivables:
Investment securities sold 19,497 27,845 6,872
Fund shares sold 924 3,154 2,317
Interest and dividends 593 9,852 1,221
Unrealized appreciation on open swap contracts -- 199 --
Expense reimbursements -- -- 2
- --------------------------------------------------------------------------------------------------
Total Assets 418,057 790,488 935,798
- --------------------------------------------------------------------------------------------------
LIABILITIES
Payables:
Dividends 312 822 --
Investment securities purchased 22,519 70,239 10,522
Outstanding options written, at fair value -- 422 --
Fund shares redeemed 111 1,811 557
Variation margin -- 58 --
Unrealized depreciation on open swap contracts -- 15 --
Accrued liabilities:
Investment advisory fees 130 145 341
Administration fees 49 67 76
Shareholder servicing fees 81 38 170
Distribution fees -- -- 3
Custodian fees 20 32 53
Trustee's fees - deferred compensation plan 47 2 11
Other 45 55 65
- --------------------------------------------------------------------------------------------------
Total Liabilities 23,314 73,706 11,798
- --------------------------------------------------------------------------------------------------
NET ASSETS $ 394,743 $ 716,782 $ 924,000
- --------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
62
<Page>
<Table>
<Caption>
TAX AWARE
TAX AWARE SHORT -
LARGE CAP INTERMEDIATE TAX AWARE
VALUE INCOME U.S. EQUITY
FUND FUND FUND
NET ASSETS
Paid in capital 404,441 725,886 966,316
Accumulated undistributed (overdistributed) net
investment income (611) 245 514
Accumulated net realized gain (loss) on
investments, futures, written options, swaps and
foreign exchange transactions (29,081) (2,862) (74,519)
Net unrealized appreciation (depreciation) of
investments, futures, written options, swaps
and foreign exchange translations 19,994 (6,487) 31,689
- --------------------------------------------------------------------------------------------------
Total Net Assets $ 394,743 $ 716,782 $ 924,000
- --------------------------------------------------------------------------------------------------
Class A $ -- $ -- $ 4,757
Class B $ -- $ -- $ 2,989
Class C $ -- $ -- $ 460
Institutional $ -- $ 392,754 $ 115,470
Select $ 394,743 $ 324,028 $ 800,324
- --------------------------------------------------------------------------------------------------
Total $ 394,743 $ 716,782 $ 924,000
- --------------------------------------------------------------------------------------------------
Shares of beneficial interest outstanding
($0.001 par value; unlimited number of of
shares authorized):
Class A -- -- 302
Class B -- -- 192
Class C -- -- 30
Institutional -- 39,540 10,355
Select 19,738 32,623 50,787
Net Asset Value:
Class A (and redemption price) $ -- $ -- $ 15.74
Class B* $ -- $ -- $ 15.58
Class C* $ -- $ -- $ 15.55
Institutional (and redemption price) $ -- $ 9.93 $ 11.15
Select (and redemption price) $ 20.00 $ 9.93 $ 15.76
Class A Maximum Public Offering Price Per Share
(net asset value per share/94.25%) $ -- $ -- $ 16.70
Cost of investments $ 377,037 $ 755,333 $ 893,637
Cost of foreign currency $ -- $ 86 $ --
- --------------------------------------------------------------------------------------------------
Premiums received from options written $ -- $ 316 $ --
- --------------------------------------------------------------------------------------------------
</Table>
* Redemption price may be reduced by contingent deferred sales charge.
SEE NOTES TO FINANCIAL STATEMENTS.
63
<Page>
STATEMENT OF
OPERATIONS FOR THE SIX MONTHS ENDED APRIL 30, 2004 (Unaudited)
(Amounts in thousands)
<Table>
<Caption>
FLEMING
TAX AWARE TAX AWARE TAX AWARE TAX AWARE
INTERNATIONAL DISCIPLINED ENHANCED LARGE CAP
OPPORTUNITIES EQUITY INCOME GROWTH
FUND FUND FUND FUND
INVESTMENT INCOME
Interest $ 27 $ -- $ 19,779 $ --
Dividend 1,667 1,547 -- 1,280
Dividend income from affiliated investments* -- 4 263 14
Foreign taxes withheld (139) --^ -- --
- ------------------------------------------------------------------------------------------------------------------
Total investment income 1,555 1,551 20,042 1,294
- ------------------------------------------------------------------------------------------------------------------
EXPENSES
Investment advisory fees 641 333 2,894 536
Administration fees 113 143 1,736 201
Shareholder servicing fees 80 95 1,517 335
Distribution fees 8 -- 27 --
Custodian fees 128 23 144 23
Interest expense 1 --^ 1 --
Printing and postage 4 2 28 4
Professional fees 35 27 52 26
Registration fees 19 10 31 11
Transfer agent fees 25 20 55 11
Trustees' fees 1 1 17 2
Other 7 7 35 9
- ------------------------------------------------------------------------------------------------------------------
Total expenses 1,062 661 6,537 1,158
- ------------------------------------------------------------------------------------------------------------------
Less amounts waived 274 138 3,013 19
Less earnings credits -- --^ 3 --^
Less expense reimbursements 10 -- -- --
- ------------------------------------------------------------------------------------------------------------------
Net expenses 778 523 3,521 1,139
- ------------------------------------------------------------------------------------------------------------------
Net investment income (loss) 777 1,028 16,521 155
- ------------------------------------------------------------------------------------------------------------------
</Table>
^ Amount rounds to less than one thousand.
SEE NOTES TO FINANCIAL STATEMENTS.
64
<Page>
<Table>
<Caption>
FLEMING
TAX AWARE TAX AWARE TAX AWARE TAX AWARE
INTERNATIONAL DISCIPLINED ENHANCED LARGE CAP
OPPORTUNITIES EQUITY INCOME GROWTH
FUND FUND FUND FUND
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net realized gain (loss) on transactions from:
Investments 14,330 5,552 2,240 4,276
Futures 67 -- (8,749) --
Written options -- -- (1,533) --
Swaps -- -- 1,564 --
Foreign exchange contracts 1,009 -- -- --
Change in net unrealized
appreciation/depreciation of:
Investments (450) 5,582 (7,903) 49
Futures -- -- 5,151 --
Swaps -- -- 111 --
Foreign currency translations (752) -- -- --
Net realized and unrealized gain (loss) on
investments, futures, foreign exchange
transactions, written options and swaps 14,204 11,134 (9,119) 4,325
- ------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets
from operations $ 14,981 $ 12,162 $ 7,402 $ 4,480
- ------------------------------------------------------------------------------------------------------------------
* Includes reimbursements of
investment advisory, administration
and shareholder servicing fees: $ -- $ 1 $ 46 $ 2
- ------------------------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
65
<Page>
<Table>
<Caption>
TAX AWARE
TAX AWARE SHORT -
LARGE CAP INTERMEDIATE TAX AWARE
VALUE INCOME U.S. EQUITY
FUND FUND FUND
INVESTMENT INCOME
Interest $ -- $ 8,466 $ --
Dividend 3,787 -- 6,750
Dividend income from affiliated investments* 12 66 96
Foreign taxes withheld -- (14) --
- --------------------------------------------------------------------------------------------------
Total investment income 3,799 8,518 6,846
- --------------------------------------------------------------------------------------------------
EXPENSES
Investment advisory fees 739 791 1,875
Administration fees 277 475 625
Shareholder servicing fees 462 512 957
Distribution fees -- -- 19
Custodian fees 29 44 72
Printing and postage 5 8 14
Professional fees 31 35 37
Registration fees 12 9 36
Transfer agent fees 12 26 72
Trustees' fees 3 5 6
Other 10 7 17
- --------------------------------------------------------------------------------------------------
Total expenses 1,580 1,912 3,730
- --------------------------------------------------------------------------------------------------
Less amounts waived 10 498 274
Less earnings credits --^ -- --^
Less expense reimbursements -- -- 15
- --------------------------------------------------------------------------------------------------
Net expenses 1,570 1,414 3,441
- --------------------------------------------------------------------------------------------------
Net investment income (loss) 2,229 7,104 3,405
- --------------------------------------------------------------------------------------------------
</Table>
^ Amount rounds to less than one thousand.
SEE NOTES TO FINANCIAL STATEMENTS.
66
<Page>
<Table>
<Caption>
TAX AWARE
TAX AWARE SHORT -
LARGE CAP INTERMEDIATE TAX AWARE
VALUE INCOME U.S. EQUITY
FUND FUND FUND
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net realized gain (loss) on transactions from:
Investments 7,758 2,149 13,563
Futures -- (2,244) --
Written options -- (7) --
Swaps -- 79 --
Foreign exchange contracts -- (12) --
Change in net unrealized
appreciation/depreciation of:
Investments 16,713 (10,029) 27,551
Futures -- 1,558 --
Written options -- (118) --
Swaps -- 92 --
Net realized and unrealized gain (loss) on
investments, futures, foreign exchange
transactions, written options and swaps 24,471 (8,532) 41,114
- --------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets
from operations $ 26,700 $ (1,428) $ 44,519
- --------------------------------------------------------------------------------------------------
* Includes reimbursements of investment
advisory, administration and shareholder
servicing fees: $ 2 $ 12 $ 16
- --------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
67
<Page>
STATEMENT OF CHANGES
IN NET ASSETS FOR THE PERIODS INDICATED (Unaudited)
(Amounts in thousands)
<Table>
<Caption>
FLEMING TAX AWARE TAX AWARE
INTERNATIONAL OPPORTUNITIES DISCIPLINED EQUITY
FUND FUND
------------------------------- ------------------------------
11/1/03 THROUGH YEAR ENDED 11/1/03 THROUGH YEAR ENDED
4/30/04 10/31/03 4/30/04 10/31/03
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS
Net investment income $ 777 $ 1,716 $ 1,028 $ 2,255
Net realized gain (loss) on investments,
futures and foreign exchange contracts 15,406 (17,935) 5,552 (10,786)
Change in net unrealized appreciation/
depreciation of investments, futures
and foreign currency translations (1,202) 43,977 5,582 44,281
- ------------------------------------------------------------------------------------------------------------------
Increase (decrease) in net assets
from operations 14,981 27,758 12,162 35,750
- ------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM
Net investment income (2,773) (1,586) (1,120) (2,258)
- ------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS
Increase (decrease) (9,341) (41,696) 1,826 (46,875)
- ------------------------------------------------------------------------------------------------------------------
NET ASSETS
Total increase (decrease) in net assets 2,867 (15,524) 12,868 (13,383)
- ------------------------------------------------------------------------------------------------------------------
Beginning of period 140,678 156,202 180,613 193,996
- ------------------------------------------------------------------------------------------------------------------
End of period $ 143,545 $ 140,678 $ 193,481 $ 180,613
- ------------------------------------------------------------------------------------------------------------------
Accumulated undistributed (overdistributed) net
investment income $ (85) $ 1,911 $ 153 $ 245
- ------------------------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
68
<Page>
<Table>
<Caption>
TAX AWARE ENHANCED INCOME FUND TAX AWARE LARGE CAP GROWTH FUND
------------------------------- -------------------------------
11/1/03 THROUGH YEAR ENDED 11/1/03 THROUGH YEAR ENDED
4/30/04 10/31/03 4/30/04 10/31/03
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS
Net investment income $ 16,521 $ 41,724 $ 155 $ 916
Net realized gain (loss) on investments,
futures, written options and swaps (6,478) (11,422) 4,276 (29,956)
Change in net unrealized appreciation/
depreciation of investments, futures
and swaps (2,641) 2,497 49 63,299
- --------------------------------------------------------------------------------------------------------------------
Increase (decrease) in net assets
from operations 7,402 32,799 4,480 34,259
- --------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM
Net investment income (16,597) (42,180) (352) (734)
- --------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS
Increase (decrease) (275,957) 575,943 (24,399) (21,850)
- --------------------------------------------------------------------------------------------------------------------
NET ASSETS
Total increase (decrease) in net assets (285,152) 566,562 (20,271) 11,675
- --------------------------------------------------------------------------------------------------------------------
Beginning of period 2,534,299 1,967,737 268,201 256,526
- --------------------------------------------------------------------------------------------------------------------
End of period $ 2,249,147 $ 2,534,299 $ 247,930 $ 268,201
- --------------------------------------------------------------------------------------------------------------------
Accumulated undistributed (overdistributed) net
investment income $ (245) $ (169) $ (168) $ 29
- --------------------------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
69
<Page>
<Table>
<Caption>
TAX AWARE LARGE CAP VALUE FUND TAX AWARE SHORT - INTERMEDIATE INCOME FUND
------------------------------ ------------------------------------------
11/1/03 THROUGH YEAR ENDED 11/1/03 THROUGH 12/20/02* THROUGH
4/30/04 10/31/03 4/30/04 10/31/03
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS
Net investment income (loss) $ 2,229 $ 5,146 $ 7,104 $ 6,111
Net realized gain (loss) on investments,
futures, written options and swaps 7,758 (9,355) (35) (2,827)
Change in net unrealized appreciation/
depreciation of investments, futures,
written options and swaps 16,713 60,789 (8,497) 2,010
- -------------------------------------------------------------------------------------------------------------------------------
Increase (decrease) in net assets
from operations 26,700 56,580 (1,428) 5,294
- -------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM
Net investment income (2,677) (5,208) (7,073) (5,897)
- -------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS
Increase (decrease) 22,024 (30,019) 187,954 537,932
- -------------------------------------------------------------------------------------------------------------------------------
NET ASSETS
Total increase (decrease) in net assets 46,047 21,353 179,453 537,329
- -------------------------------------------------------------------------------------------------------------------------------
Beginning of period 348,696 327,343 537,329 --
- -------------------------------------------------------------------------------------------------------------------------------
End of period $ 394,743 $ 348,696 $ 716,782 $ 537,329
- -------------------------------------------------------------------------------------------------------------------------------
Accumulated undistributed (overdistributed) net
investment income $ (611) $ (163) $ 245 $ 214
- -------------------------------------------------------------------------------------------------------------------------------
</Table>
* Commencement of operations.
SEE NOTES TO FINANCIAL STATEMENTS.
70
<Page>
<Table>
<Caption>
TAX AWARE U.S. EQUITY FUND
-------------------------------
11/1/03 THROUGH YEAR ENDED
4/30/04 10/31/03
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS
Net investment income (loss) $ 3,405 $ 4,628
Net realized gain (loss) on investments 13,563 (10,218)
Change in net unrealized appreciation/
depreciation of investments 27,551 100,650
- ----------------------------------------------------------------------------------
Increase (decrease) in net assets
from operations 44,519 95,060
- ----------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM
Net investment income (3,715) (4,092)
- ----------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS
Increase (decrease) 140,257 415,771
- ----------------------------------------------------------------------------------
NET ASSETS
Total increase (decrease) in net assets 181,061 506,739
- ----------------------------------------------------------------------------------
Beginning of period 742,939 236,200
- ----------------------------------------------------------------------------------
End of period $ 924,000 $ 742,939
- ----------------------------------------------------------------------------------
Accumulated undistributed (overdistributed) net
investment income $ 514 $ 824
- ----------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
71
<Page>
JPMORGAN FUNDS
NOTES TO FINANCIAL
STATEMENTS (Unaudited)
1. ORGANIZATION
J.P. Morgan Series Trust ("JPMST"), J.P. Morgan Mutual Fund Group ("MFG"), J.P.
Morgan Mutual Fund Select Group ("MFSG") and J.P. Morgan Institutional Funds
("JPMIF") (each a "Trust" and, collectively, the "Trusts") were organized on
August 15, 1996, May 11, 1987, October 1, 1996 and November 4, 1992,
respectively, as Massachusetts business trusts and are registered under the
Investment Company Act of 1940, as amended (the "1940 Act"), as open-end
management investment companies. MFG and MFSG were formerly known as Mutual Fund
Group and Mutual Fund Select Group, respectively. The Trusts' new names went
into effect on May 1, 2003.
The following are seven separate portfolios of the Trusts (collectively, the
"Funds"):
<Table>
<Caption>
FUND CLASSES OFFERED
JPMorgan Fleming Tax Aware International
Opportunities Fund ("FTAIO") Class A and Institutional
JPMorgan Tax Aware Disciplined Equity Fund ("TADE") Institutional
JPMorgan Tax Aware Enhanced Income Fund ("TAEI") Class A, Institutional and Select
JPMorgan Tax Aware Large Cap Growth Fund ("TALCG") Select
JPMorgan Tax Aware Large Cap Value Fund ("TALCV") Select
JPMorgan Tax Aware Short-Intermediate Income Fund ("TASI") Institutional and Select
JPMorgan Tax Aware U.S. Equity Fund ("TAUSE") Class A, Class B, Class C, Institutional and Select
</Table>
On September 12, 2003, FTAIO Class B and Class C shares merged into Class A
shares; and Class B and Class C shares closed.
FTAIO is a separate series of MFG. TADE, TAEI and TAUSE are separate series of
JPMST. TALCG and TALCV are separate series of MFSG. TASI is a separate series of
JPMIF.
Class A shares generally provide for a front-end sales charge while Class B and
Class C shares provide for a contingent deferred sales charge. Class B shares
automatically convert to Class A shares after eight years. No sales charges are
assessed with respect to the Institutional Class and Select Class. All classes
of shares have equal rights as to earnings, assets and voting privileges except
that each class may bear different transfer agent, distribution and shareholder
servicing fees and each class has exclusive voting rights with respect to its
distribution plan and shareholder servicing agreements. Class A shares, for
which front-end sales charges have been waived, may be subject to redemption
charges as described in the Funds' prospectus.
During the fiscal year ended October 31, 2003, TADE Institutional Class relieved
securities of the fund (Redemption in-kind) in exchange for the redemption of
shares. TADE Institutional Class received a contribution of securities
(Subscription in-kind) in exchange for shares of the Institutional Share Class.
Cash and securities were transferred for redemptions and subscriptions at a
market
72
<Page>
SEMI-ANNUAL REPORT APRIL 30 2004
value of (in thousands) $22,866 and $21,173, respectively, which resulted in a
realized gain of (in thousands) $6,157 to the Fund for federal income tax
purposes.
A detailed breakout of Redemption in-kind and Subscription in-kind is outlined
in Note 12.
2. REORGANIZATION
Prior to the open of business on March 24, 2003, the JPMorgan Tax Aware U.S.
Equity Fund (the "Acquiring Fund") acquired all of the net assets of JPMorgan
Select Large Cap Equity Fund (the "Target Fund"), as shown in the table below,
pursuant to a Plan of Reorganization approved by the Target Fund's shareholders
on February 13, 2003. The transaction was structured for tax purposes to qualify
as a tax-free reorganization under the Internal Revenue Code. Under the
Reorganization Plan, shareholders of the Target Fund received shares in the
Acquiring Fund with a value equal to their holdings in the Target Fund.
Shareholders of the Target Fund received Select Class Shares of the Acquiring
Fund.
The following is a summary of Shares Outstanding, Net Assets, Net Asset Value
Per Share and Net Unrealized Appreciation (Depreciation) immediately before and
after the Reorganization:
JPMORGAN TAX AWARE U.S. EQUITY FUND REORGANIZATION
<Table>
<Caption>
NET ASSET NET
SHARES VALUE UNREALIZED
OUTSTANDING NET ASSETS PER SHARE (DEPRECIATION)
TARGET FUND
JPMorgan Select Large Cap Equity Fund $ (42,215)
Select Class 12,404 $ 241,297 $ 19.45
ACQUIRING FUND
JPMorgan Tax Aware U.S. Equity Fund $ (43,722)
Class A 320 $ 4,145 $ 12.97
Class B 224 $ 2,879 $ 12.87
Class C 23 $ 299 $ 12.85
Institutional Class 5,529 $ 51,039 $ 9.23
Select Class 16,879 $ 219,253 $ 12.99
POST REORGANIZATION
JPMorgan Tax Aware U.S. Equity Fund $ (85,937)
Class A 320 $ 4,145 $ 12.97
Class B 224 $ 2,879 $ 12.87
Class C 23 $ 299 $ 12.85
Institutional Class 5,529 $ 51,039 $ 9.23
Select Class 35,452 $ 460,550 $ 12.99
</Table>
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<Page>
3. SIGNIFICANT ACCOUNTING POLICIES
THE FOLLOWING IS A SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES FOLLOWED BY THE
FUNDS:
The preparation of financial statements in accordance with accounting principles
generally accepted in the United States of America requires management to make
estimates and assumptions that affect the reported amounts and disclosures in
the financial statements. Actual results could differ from those estimates.
A. VALUATION OF INVESTMENTS -- Equity securities, purchased options and futures
contracts are valued at the last sale price on the exchange on which they are
primarily traded. The value of National Market Systems equity securities quotes
by the Nasdaq Stock Market, Inc. shall generally be the Nasdaq Official Closing
Price. Securities for which sale prices are not available and other
over-the-counter securities are valued at the mean between the bid and asked
quotations. Fixed income securities, other than convertible bonds, with a
maturity of 61 days or more at the purchase date held by the Funds will be
valued each day based on readily available market quotations received from
independent or affiliated commercial pricing services. Such pricing services
will generally provide bidside quotations. Convertible bonds are valued at the
last sale price on the primary exchange on which the bond is principally traded.
All short-term securities with a remaining maturity of sixty days or less are
valued using the amortized cost method, 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 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 their portfolios by utilizing the quotations of an
independent pricing service, unless the Funds' 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
analysis 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 assets value.
B. FUTURES CONTRACTS -- When a fund enters into a futures contract, it makes an
initial margin deposit in a segregated account, either in cash or liquid
securities. Thereafter, the futures contract is marked to market and the Fund
makes (or receives) additional cash payments daily to (or from) the broker.
Changes in the value of the contract are recorded as unrealized appreciation
(depreciation) until the contract is closed or settled, at which time a realized
gain or loss is recognized.
Index futures contracts are used to control the asset mix of the portfolios in
the most efficient manner. Short index futures contracts are used for hedging
purposes; i.e., to reduce the exposure to equities. Long index futures contracts
are used to gain exposure to equities, when it is anticipated that this will be
more efficient than buying stocks directly.
The Funds may invest in exchange-traded interest rate futures for hedging
purposes, to either modify the duration of portfolio, modify the yield curve
exposure of the portfolio, or in anticipation of buying or selling a specific
security.
Use of long futures contracts subjects the Funds to risk of loss in excess of
the amounts shown on the Statement of Assets and Liabilities, up to the notional
value of the futures contracts. Use of short futures contracts subjects the
Funds to unlimited risk of loss. The Funds may enter into futures contracts only
on exchanges or boards of
74
<Page>
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 April 30, 2004, the Funds had outstanding futures contracts as listed on
the Funds' Portfolio of Investments.
C. FOREIGN CURRENCY TRANSLATION -- The books and records of the Funds are
maintained in U.S. dollars. Foreign currency amounts are translated into U.S.
dollars at the prevailing exchange rates, or at the mean of the current bid and
asked prices, of such currencies against the U.S. dollar as quoted by a major
bank, on the following basis:
1. Market value of investment securities and other assets and liabilities: at
the rate of exchange at the valuation date.
2. Purchases and sales of investment securities, income and expenses: at the
rates of exchange prevailing on the respective dates of such transactions.
Although the net assets of the Funds are presented at the foreign exchange rates
and market values at the close of the periods, the Funds do not isolate that
portion of the results of operations arising as a result of changes in the
foreign exchange rates from the fluctuations arising from changes in the market
prices of securities held or sold during the period. Accordingly, such realized
foreign currency gains (losses) are included in the reported net realized gains
(losses) on investment transactions.
Reported realized foreign currency gains or losses arise from disposition of
foreign currency, currency gains or losses realized between the trade and
settlement dates on securities transactions, and the difference between the
amounts of dividends, interest and foreign withholding taxes recorded on the
Funds' books on the transaction date and the U.S. dollar equivalent of the
amounts actually received or paid. Unrealized foreign exchange gains and losses
arise from changes (due to the changes in the exchange rate) in the value of
foreign currency and other assets and liabilities denominated in foreign
currencies, which are held at period end.
D. FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS -- The Funds may enter into
forward foreign currency exchange contracts (obligations to purchase or sell
foreign currency in the future on a date and price fixed at the time the
contracts are entered into) to manage the Funds' exposure to foreign currency
exchange fluctuations. Each day the forward contract is open, changes in the
value of the contract are recognized as unrealized gains or losses by "marking
to market." When the forward contract is closed, or the delivery of the currency
exchange is made or taken, the Fund records a realized gain or loss equal to the
difference between the proceeds from (or cost of) the closing transaction and
the Fund's basis in the contract. The Funds are subject to off-balance sheet
risk to the extent of the value of the contracts for purchases of foreign
currency and in an unlimited amount for sales of foreign currency.
As of April 30, 2004, the Funds had outstanding forward foreign currency
exchange contracts as listed on the Funds' Portfolio of Investments.
E. WRITTEN OPTIONS -- When a Fund writes an option, an amount equal to the
premium received by the Fund is included in the Fund's Statement of Assets and
Liabilities as an asset and corresponding liability. The amount of the liability
is adjusted daily to reflect the current market value of the written option and
the change is recorded in a corresponding unrealized gain or loss account. When
a written option expires on its stipulated expiration date, or when a closing
transaction is entered into, the related liability is extinguished and the Fund
realizes a gain or loss contingent on whether the cost of the closing
transaction exceeds the premium received when the option was written.
The Funds write options on securities, futures and interest rate swaps
("swaptions"). These options are settled for cash and subject the Funds to
unlimited risk of loss. The Funds, however, are not subject to credit risk on
written options as the counterparty has already performed its obligation by
paying the premium at the inception of the contract.
As of April 30, 2004 the Funds had written options contracts outstanding as
listed on the Funds' Portfolio of Investments.
75
<Page>
Transactions in options written for TAEI and TASI during the six months ended
April 30, 2004, were as follows (amounts in thousands):
<Table>
<Caption>
TAEI TASI
--------------------- --------------------
NUMBER OF PREMIUMS NUMBER OF PREMIUMS
UNITS RECEIVED UNITS RECEIVED
Options outstanding at
October 31, 2003 -- $ -- (16,600) $ 17
Options written (166,837) 834 (269,030) 1,326
Options terminated in closing
purchase transactions 166,837 (834) 248,130 (1,027)
Options outstanding at
April 30, 2004 -- $ -- (37,500) $ 316
</Table>
F. SWAPS -- The Funds may engage in various swap transactions, including forward
rate agreements, interest rate, currency, fixed income, index and total return
swaps, primarily to manage duration and yield curve risk, or as alternatives to
direct investments. Unrealized gains are reported as an asset and unrealized
losses are reported as a liability on the Statement of Assets and Liabilities.
The change in value of swaps, including the periodic amounts of interest to be
paid or received on swaps is reported as unrealized gains or losses in the
Statement of Operations. A realized gain or loss is recorded upon payment or
receipt of a periodic payment or termination of swap agreements. Swap agreements
are stated at fair value. Notional principal amounts are used to express the
extent of involvement in these transactions, but the amounts potentially subject
to credit risk are much smaller.
As of April 30, 2004, the Funds had outstanding swap agreements as listed on the
Funds' Portfolio of Investments.
G. COMMITMENTS -- The Funds may enter into commitments to buy and sell
investments to settle on future dates as part of their normal investment
activities. These commitments are reported at market value in the financial
statements. Credit risk exists on these commitments to the extent of any
unrealized gains on the underlying securities purchased and any realized gains
on the underlying securities sold. Market risk exists on commitments to buy to
the same extent as if the securities were owned on a settled basis and gains and
losses are recorded and reported in the same manner. However, during the
commitment period, these investments earn no interest or dividends.
H. DOLLAR ROLLS -- The Funds may enter into dollar rolls, principally using To
Be Announced (TBA), in which the Funds sell mortgage securities for delivery in
the current month and simultaneously contract to repurchase similar, but not
identical, securities at an agreed-upon price on a fixed date. The Funds account
for such dollar rolls as purchases and sales and receive compensation as
consideration for entering into the commitment to repurchase. The Funds must
maintain liquid securities having a value not less than the repurchase price
(including accrued interest) for such dollar rolls. The market value of the
securities that a Fund is required to purchase may decline below the agreed upon
repurchase price of those securities.
The Funds had TBA Dollar Rolls outstanding as of April 30, 2004, which are
included in Receivable for Investment securities sold and Payable for Investment
securities
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<Page>
purchased on the Statement of Assets and Liabilities. The Funds segregate assets
with a current value at least equal to the amount of their TBA Dollar Rolls.
I. RESTRICTED AND ILLIQUID SECURITIES -- The Funds are permitted to invest in
securities that are subject to legal or contractual restrictions on resale or
are illiquid. Restricted securities generally may be resold in transactions
exempt from registration. A security may be considered illiquid if it lacks a
readily available market or if its valuation has not changed for a certain
period of time. Disposal of these securities may involve time-consuming
negotiations and expense, and prompt sale at the current valuation may be
difficult.
J. 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 Funds first learn of the dividend.
Purchases of TBA, when-issued or delayed delivery securities may be settled a
month or more after the trade date; interest income is not accrued until
settlement date. It is each Fund's policy to segregate assets with a current
value at least equal to the amount of its TBA, when-issued or delayed delivery
purchase commitments.
K. 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.
L. 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.
M. FOREIGN TAXES -- The Funds may be subject to foreign taxes on income, gains
on investments or currency repatriation, a portion of which may be recoverable.
The Funds will accrue such taxes and recoveries as applicable, based upon their
current interpretation of tax rules and regulations that exist in the markets in
which it invests.
N. 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 Unites 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.
O. OTHER EXPENSES -- Other expenses in the Statement of Operations include fees
related to line of credit, insurance, and pricing and reporting services.
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<Page>
4. FEES AND OTHER TRANSACTIONS WITH AFFILIATES
A. INVESTMENT ADVISORY FEE - Pursuant to the Investment Advisory Agreement JPMIM
acts as investment advisor to the Funds. JPMIM is a wholly owned subsidiary of
J.P Morgan Fleming Asset Management Holdings, Inc., which is wholly owned
subsidiary of J.P Morgan Chase & Co. The annual fee for each Fund is as
follows:
<Table>
<Caption>
INVESTMENT
ADVISORY FEE (%)
FUND
FTAIO 0.85%
TADE 0.35%
TAEI 0.25%
TALCG 0.40%
TALCV 0.40%
TASI 0.25%
TAUSE 0.45%
</Table>
The Advisor waived fees as outlined in Note 4.F.
The Funds may invest in one or more of the affiliated JPMorgan Money Market
Funds. The Advisor has agreed to waive and/or reimburse its advisory fee from
the Funds in an amount sufficient to offset any doubling up of investment
advisory, administration and shareholder servicing fees related to each Fund's
investment in an affiliated money market fund.
B. DISTRIBUTION FEES -- Pursuant to the Distribution Agreement, J.P. Morgan Fund
Distributors, Inc. ("JPMFD" or "Distributor"), a wholly-owned subsidiary of The
BISYS Group, Inc., serves as the Trusts' exclusive underwriter and promotes and
arranges for the sale of each Fund's shares. JPMFD receives no compensation in
its capacity as the Funds' underwriter.
The Trustees have adopted Distribution Plans (the "Distribution Plans") for
Class A, B, and C Shares of the Funds in accordance with Rule 12b-1 under the
1940 Act. The Distribution Plans provide that each Fund shall pay distribution
fees, including payments to the Distributor, at annual rates of the average
daily net assets as shown in the table below (%):
<Table>
<Caption>
CLASS A CLASS B CLASS C
FUND
FTAIO 0.25 n/a n/a
TAEI 0.25 n/a n/a
TAUSE 0.25 0.75 0.75
</Table>
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<Page>
In addition, JPMFD is entitled to receive the contingent deferred sales charge
("CDSC") from redemptions of Class B and C shares.
C. SHAREHOLDER SERVICING FEES -- The Trusts have entered into Shareholder
Servicing Agreements on behalf of the Funds with JPMorgan Chase Bank ("JPMCB"),
under which JPMCB provides account administration and personal account
maintenance services to the shareholders. For performing these services, JPMCB
receives a fee that is computed daily and paid monthly equal to a percentage of
the average daily net assets as shown in the table below (%):
<Table>
<Caption>
INSTITUTIONAL SELECT
CLASS A CLASS B CLASS C CLASS CLASS
FUND
FTAIO 0.25 n/a n/a 0.10 n/a
TADE n/a n/a n/a 0.10 n/a
TAEI 0.25 n/a n/a 0.10 0.25
TALCG n/a n/a n/a n/a 0.25
TALCV n/a n/a n/a n/a 0.25
TASI n/a n/a n/a 0.10 0.25
TAUSE 0.25 0.25 0.25 0.10 0.25
</Table>
JPMCB may enter into service contracts with certain entities under which it will
pay all or portion of the annual fee to such entities for performing
shareholding and administrative services.
In addition, JPMCB, Charles Schwab & Co. ("Schwab") and the Trusts are parties
to separate servicing and operating agreements (the "Schwab Agreements") whereby
Schwab makes shares of the Funds available to customers of investment advisors
and other financial intermediaries who are Schwab's clients. The Funds are not
responsible for payments to Schwab under the Schwab Agreements; however, in the
event the servicing agreement with Schwab is terminated for reasons other than a
breach by Schwab and the relationships between JPMST, MFG, JPMIF 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 4.F.
D. CUSTODIAN AND ACCOUNTING FEES -- JPMCB provides portfolio custody and
accounting services for the Funds. Compensation for such services is presented
in the Statement of Operations as custodian fees. The custodian fees may be
reduced by credits earned by each Fund, based on uninvested cash balances held
by the custodian. Such earnings credits are presented separately in the
Statement of Operations.
E. ADMINISTRATION FEE -- Pursuant to the Administration Agreement, JPMCB (the
"Administrator") provides certain administration services to the Funds. In
consideration of these services, the Administrator receives a fee computed daily
and paid monthly at the annual rate equal to 0.15% of the first $25 billion of
the average daily net assets of all non-money market funds in the JPMorgan Fund
Complex and 0.075% of the average daily net assets in excess of $25 billion for
all Funds.
BISYS Fund Services, L.P. ("BISYS") serves as the Funds' sub-administrator. For
its services as sub-administrator, BISYS receives a portion of the fees payable
to JPMCB as Administrator. The Administrator has contractually agreed to
reimburse the Funds to the extent that total operating expenses (excluding
interest, taxes, extraordinary expenses and expenses related to the
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<Page>
deferred compensation plan) exceed the percentages of their respective average
daily net assets as shown in the table below (%):
<Table>
<Caption>
INSTITUTIONAL SELECT
CLASS A CLASS B CLASS C CLASS CLASS
FUND
FTAIO 1.80 n/a n/a 1.00 n/a
TADE n/a n/a n/a 0.55 n/a
TAEI 0.75 n/a n/a 0.25 0.50
TALCG n/a n/a n/a n/a 0.85
TALCV n/a n/a n/a n/a 0.85
TASI n/a n/a n/a 0.40* 0.55*
TAUSE 1.10 1.60 1.60 0.70 0.84
</Table>
* For TASI, effective January 1, 2004, the contractual expense cap changed
from 0.35% to 0.40% for Institutional Class and from 0.50% to 0.55% for
Select Class.
The contractual expense limitation agreements were in effect for the six months
ended April 30, 2004. The expense limitation percentages in the table above are
due to expire as follows:
<Table>
<Caption>
INSTITUTIONAL SELECT
CLASS A CLASS B CLASS C CLASS CLASS
FUND
FTAIO 2/28/05 n/a n/a 2/28/05 n/a
TADE n/a n/a n/a 2/28/05 n/a
TAEI 2/28/05 n/a n/a 2/28/05 2/28/05
TALCG n/a n/a n/a n/a 2/28/05
TALCV n/a n/a n/a n/a 2/28/05
TASI n/a n/a n/a 2/28/05 2/28/05
TAUSE 2/28/05 2/28/05 2/28/05 2/28/05 3/31/06
</Table>
The Administrator waived fees and/or reimbursed expenses as outlined in Note
4.F.
F. WAIVERS AND REIMBURSEMENTS -- For the six months ended April 30, 2004, the
Funds' service providers waived fees and the Administrator contractually
reimbursed expenses for each of the Funds as follows (amounts in thousands).
Neither the Funds' service providers nor the administrator expect the Funds to
repay any such waived fees and reimbursed expenses in future years.
80
<Page>
<Table>
<Caption>
CONTRACTUAL WAIVERS
----------------------------------------------
INVESTMENT SHAREHOLDER CONTRACTUAL
ADVISORY ADMINISTRATION SERVICING TOTAL REIMBURSEMENTS
FUND
FTAIO $ 90 $ 111 $ 71 $ 272 $ 10
TADE -- 43 95 138 --
TAEI 402 1,736 875 3,013 --
TALCG -- -- 19 19 --
TALCV 10 -- -- 10 --
TASI -- 217 281 498 --
TAUSE -- 251 23 274 15
Total $ 502 $ 2,358 $ 1,364 $ 4,224 $ 25
</Table>
<Table>
<Caption>
VOLUNTARY WAIVERS
-----------------------------------------------------
INVESTMENT SHAREHOLDER
ADVISORY ADMINISTRATION SERVICING DISTRIBUTION TOTAL
FUND
FTAIO $ -- $ 2 $ -- $ -- $ 2
Total $ -- $ 2 $ -- $ -- $ 2
</Table>
G. OTHER -- Certain officers of the Trusts are officers of J.P. Morgan Chase &
Co. or of BISYS or their subsidiaries.
During the period, certain Funds may have purchased securities from an
underwriting syndicate in which the principal underwriter or members of the
syndicate were affiliated with the Advisors.
The Funds may use related-party broker/dealers. For the six months ended April
30, 2004, TALCV and TAUSE incurred approximately (amounts in thousands) $18 and
$171 respectively, in brokerage commissions with broker/dealers affiliated with
JPMCB.
The SEC has granted an exemptive order permitting each Fund to engage in
principal transactions with J.P. Morgan Securities Inc., an affiliated broker,
involving taxable money market instruments subject to certain conditions.
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<Page>
5. CLASS SPECIFIC EXPENSES
The Funds' class specific expenses for the six months ended April 30, 2004, are
as follows (amounts in thousands):
<Table>
<Caption>
SHAREHOLDER
FUND SERVICING DISTRIBUTION TRANSFER AGENT
FTAIO
Class A $ 8 $ 8 $ 10
Institutional 72 -- 15
- --------------------------------------------------------------------------------------------------------------
Total $ 80 $ 8 $ 25
TADE
Institutional $ 95 $ -- $ 20
TAEI
Class A $ 27 $ 27 $ 10
Institutional 917 -- 26
Select 573 -- 19
- --------------------------------------------------------------------------------------------------------------
Total $ 1,517 $ 27 $ 55
TALCG
Select $ 335 $ -- $ 11
TALCV
Select $ 462 $ -- $ 12
TASI
Institutional $ 186 $ -- $ 15
Select 326 -- 11
- --------------------------------------------------------------------------------------------------------------
Total $ 512 $ -- $ 26
TAUSE
Class A $ 6 $ 6 $ 15
Class B 4 11 9
Class C 1 2 2
Institutional 56 -- 9
Select 890 -- 37
- --------------------------------------------------------------------------------------------------------------
Total $ 957 $ 19 $ 72
- --------------------------------------------------------------------------------------------------------------
</Table>
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<Page>
6. CLASS SPECIFIC DISTRIBUTIONS
The Funds' class specific distributions from net investment income and realized
gain on investment transactions for the six months ended April 30, 2004, and the
year ended October 31, 2003 are as follows (amounts in thousands):
<Table>
<Caption>
SIX MONTHS ENDED 04/30/04 YEAR ENDED 10/31/03
------------------------------------ ------------------------------------
NET NET
FUND INVESTMENT INCOME REALIZED GAIN INVESTMENT INCOME REALIZED GAIN
FTAIO
Class A $ 71 $ -- $ 64 $ --
Class B -- -- 1 --
Class C -- -- -- --
Institutional 2,702 -- 1,521 --
- -------------------------------------------------------------------------------------------------------------
Total $ 2,773 $ -- $ 1,586 $ --
TADE
Institutional $ 1,120 $ -- $ 2,258 $ --
- -------------------------------------------------------------------------------------------------------------
TAEI
Class A $ 107 $ -- $ 307 $ --
Institutional 13,654 -- 35,853 --
Select 2,836 -- 6,020 --
- -------------------------------------------------------------------------------------------------------------
Total $ 16,597 $ -- $ 42,180 $ --
TALCG
Select $ 352 $ -- $ 734 $ --
TALCV
Select $ 2,677 $ -- $ 5,208 $ --
TASI
Institutional $ 4,286 $ -- $ 3,989 $ --
Select 2,787 1,908
- --------------------------------------------------------------------------------------------------------------
Total $ 7,073 $ -- $ 5,897 $ --
TAUSE
Class A $ 16 $ -- $ 22 $ --
Class B 4 -- 5 --
Class C --^ -- 1 --
Institutional 767 -- 988 --
Select 2,928 -- 3,076 --
- -------------------------------------------------------------------------------------------------------------
Total $ 3,715 $ -- $ 4,092 $ --
- -------------------------------------------------------------------------------------------------------------
</Table>
^ Amount rounds to less than one thousand.
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<Page>
7. INVESTMENT TRANSACTIONS
For the six months ended April 30, 2004, purchases and sales of investments
(excluding short-term investments) were as follows (amounts in thousands):
<Table>
<Caption>
PURCHASES SALES PURCHASES SALES
(EXCLUDING U.S. (EXCLUDING U.S. OF U.S. OF U.S.
GOVERNMENT) GOVERNMENT) GOVERNMENT GOVERNMENT
FUND
FTAIO $ 75,576 $ 84,754 $ -- $ --
TADE 35,422 33,961 -- --
TAEI 1,001,145 1,103,736 -- 35,672
TALCG 221,014 246,149 -- --
TALCV 114,342 96,972 -- --
TASI 638,149 444,627 -- --
TAUSE 473,329 322,724 -- --
</Table>
8. FEDERAL INCOME TAX MATTERS
For Federal income tax purposes, the cost and unrealized appreciation
(depreciation) in value of the investment securities at April 30, 2004, are as
follows (amounts in thousands):
<Table>
<Caption>
GROSS GROSS NET UNREALIZED
AGGREGATE UNREALIZED UNREALIZED APPRECIATION
COST APPRECIATION DEPRECIATION (DEPRECIATION)
FUND
FTAIO $ 120,356 $ 24,868 $ (3,436) $ 21,432
TADE 170,079 30,224 (6,967) 23,257
TAEI 2,272,422 4,156 (5,360) (1,204)
TALCG 234,450 21,680 (7,515) 14,165
TALCV 377,037 41,841 (21,847) 19,994
TASI 755,333 855 (7,400) (6,545)
TAUSE 893,637 66,669 (34,980) 31,689
</Table>
9. BANK BORROWINGS
Pursuant to a Line of Credit Agreement dated April 17, 2003 the Funds may borrow
money for temporary or emergency purposes. The Funds have entered into the
agreement, enabling them to participate with other JPMorgan Funds in a line of
credit with JPMCB, as administrative agent, and with a syndicate of banks, which
permits borrowings up to $250 million, collectively. Interest is charged to each
Fund based on its borrowings at an annual rate equal to the sum of the Federal
Funds Rate plus 0.50%. The Funds also pay a commitment fee of 0.09% per annum on
the average daily amount of the available commitment, which is allocated on a
pro-rata basis to the Funds. The commitment fee is included in Other expenses on
the Statement of Operations. This agreement expired on April 15, 2004 and has
been extended to April 14, 2005.
The Funds had no borrowings outstanding at April 30, 2004 nor at anytime during
the period then ended.
84
<Page>
10. CONCENTRATIONS AND INDEMNIFICATIONS
FTAIO may have elements of risk not typically associated with investments in the
United States of America due to concentrated investments in a limited number of
countries or regions, which may vary throughout the year. Such concentrations
may subject FTAIO to additional risks resulting from political or economic
conditions in such countries or regions and the possible imposition of adverse
governmental laws or currency exchange restrictions could cause the securities
and their markets to be less liquid and their prices more volatile than those of
comparable U.S. securities.
As of April 30, 2004 substantially all of the net assets of FTAIO consist of
securities of issuers which are denominated in foreign currencies. Changes in
currency exchange rates will affect the value of investment income from such
securities.
As of April 30, 2004 FTAIO invested 23.7% of its total investments in the United
Kingdom. The issuers' abilities to meet their obligations may be affected by
economic or political developments in the specific region or country.
From time to time, the Funds may have a concentration of several shareholders
which may be a related party, holding a significant percentage of shares
outstanding. Investment activities of these shareholders could have a material
impact on the Funds.
In the normal course of business the Funds enter into contracts that contain a
variety of representations which provide general indemnifications. Each Fund's
maximum exposure under these arrangements is unknown as this would involve
future claims that may be made against each Fund that have not yet occurred.
However, based on experience, the Funds expect the risk of loss to be remote.
11. CORPORATE EVENT
On May 25, 2004, J.P. Morgan Chase & Co. and Bank One Corp. announced that, at
separate meetings, their respective shareholders had approved the merger of the
two companies. The companies are expecting to complete the merger of their
holding companies on or about July 1, 2004.
85
<Page>
12. CAPITAL SHARE TRANSACTIONS
Capital share tranactions were as follows for the periods presented (Amounts in
thousands):
<Table>
<Caption>
FLEMING TAX AWARE INTERNATIONAL
OPPORTUNITIES FUND
-----------------------------------
SIX MONTHS ENDED YEAR ENDED
APRIL 30, 2004 OCTOBER 31, 2003
CLASS A SHARES
AMOUNT
Shares sold $ 278 $ 3,769
Shares issued in reinvestment
of distributions 25 22
Shares redeemed (1,781) (5,998)
- -------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ (1,478) $ (2,207)
- -------------------------------------------------------------------------------------------------------------
SHARES
Shares sold 19 358
Shares issued in reinvestment
of distributions 2 2
Shares redeemed (120) (546)
- -------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding (99) (186)
- -------------------------------------------------------------------------------------------------------------
CLASS B* SHARES
AMOUNT
Shares sold $ -- $ 21
Shares issued in reinvestment
of distributions -- 1
Shares redeemed -- (84)
- -------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ -- $ (62)
- -------------------------------------------------------------------------------------------------------------
SHARES
Shares sold -- 2
Shares issued in reinvestment
of distributions -- --^
Shares redeemed -- (7)
- -------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding -- (5)
- -------------------------------------------------------------------------------------------------------------
</Table>
^ Amount rounds to less than one thousand.
* Class ceased operations as of September 12, 2003.
86
<Page>
<Table>
<Caption>
FLEMING TAX AWARE INTERNATIONAL
OPPORTUNITIES FUND (CONTINUED)
-----------------------------------
SIX MONTHS ENDED YEAR ENDED
APRIL 30, 2004 OCTOBER 31, 2003
CLASS C* SHARES
AMOUNT
Shares sold $ -- $ 825
Shares issued in reinvestment
of distributions -- --^
Shares redeemed -- (836)
- -------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ -- $ (11)
- -------------------------------------------------------------------------------------------------------------
SHARES
Shares sold -- 75
Shares issued in reinvestment
of distributions -- --^
Shares redeemed -- (76)
- -------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding -- (1)
- -------------------------------------------------------------------------------------------------------------
INSTITUTIONAL SHARES
AMOUNT
Shares sold $ 17,478 $ 27,732
Shares issued in reinvestment
of distributions 473 336
Shares redeemed (25,814) (67,484)
- -------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ (7,863) $ (39,416)
- -------------------------------------------------------------------------------------------------------------
SHARES
Shares sold 1,218 2,472
Shares issued in reinvestment
of distributions 34 30
Shares redeemed (1,738) (6,140)
- -------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding (486) (3,638)
- -------------------------------------------------------------------------------------------------------------
</Table>
^ Amount rounds to less than one thousand.
* Class ceased operations as of September 12, 2003.
87
<Page>
<Table>
<Caption>
TAX AWARE DISCIPLINED EQUITY FUND
-----------------------------------
SIX MONTHS ENDED YEAR ENDED
APRIL 30, 2004 OCTOBER 31, 2003
INSTITUTIONAL SHARES
AMOUNT
Shares sold $ 19,516 $ 34,911
Subscription in-kind -- 21,173
Shares issued in reinvestment
of distributions 829 1,703
Shares redeemed (18,519) (81,796)
Redemption in-kind -- (22,866)
- -------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ 1,826 $ (46,875)
- -------------------------------------------------------------------------------------------------------------
SHARES
Shares sold 1,290 2,855
Subscription in-kind -- 1,812
Shares issued in reinvestment
of distributions 55 140
Shares redeemed (1,235) (6,791)
Redemption in-kind -- (1,647)
- -------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding 110 (3,631)
- -------------------------------------------------------------------------------------------------------------
</Table>
88
<Page>
<Table>
<Caption>
TAX AWARE ENHANCED INCOME FUND
-----------------------------------
SIX MONTHS ENDED YEAR ENDED
APRIL 30, 2004 OCTOBER 31, 2003
CLASS A SHARES
AMOUNT
Shares sold $ 10,000 $ 26,951
Shares issued in reinvestment
of distributions 93 263
Shares redeemed (10,667) (23,564)
- -------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ (574) $ 3,650
- -------------------------------------------------------------------------------------------------------------
SHARES
Shares sold 995 2,668
Shares issued in reinvestment
of distributions 9 26
Shares redeemed (1,062) (2,333)
- -------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding (58) 361
- -------------------------------------------------------------------------------------------------------------
INSTITUTIONAL SHARES
AMOUNT
Shares sold $ 483,058 $ 1,652,863
Shares issued in reinvestment
of distributions 10,918 30,174
Shares redeemed (791,309) (1,278,324)
- -------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ (297,333) $ 404,713
- -------------------------------------------------------------------------------------------------------------
SHARES
Shares sold 48,120 163,883
Shares issued in reinvestment
of distributions 1,088 2,994
Shares redeemed (78,829) (126,874)
- -------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding (29,621) 40,003
- -------------------------------------------------------------------------------------------------------------
</Table>
89
<Page>
<Table>
<Caption>
TAX AWARE ENHANCED INCOME FUND (CONTINUED)
------------------------------------------
SIX MONTHS ENDED YEAR ENDED
APRIL 30, 2004 OCTOBER 31, 2003
SELECT SHARES
AMOUNT
Shares sold $ 147,820 $ 417,915
Shares issued in reinvestment
of distributions 1,050 3,056
Shares redeemed (126,920) (253,391)
- -------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ 21,950 $ 167,580
- -------------------------------------------------------------------------------------------------------------
SHARES
Shares sold 14,705 41,364
Shares issued in reinvestment
of distributions 104 303
Shares redeemed (12,630) (25,111)
- -------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding 2,179 16,556
- -------------------------------------------------------------------------------------------------------------
</Table>
90
<Page>
<Table>
<Caption>
TAX AWARE LARGE CAP GROWTH FUND
-----------------------------------
SIX MONTHS ENDED YEAR ENDED
APRIL 30, 2004 OCTOBER 31, 2003
SELECT SHARES
AMOUNT
Shares sold $ 13,549 $ 35,341
Shares issued in reinvestment
of distributions 7 15
Shares redeemed (37,955) (57,206)
- -------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ (24,399) $ (21,850)
- -------------------------------------------------------------------------------------------------------------
SHARES
Shares sold 895 2,626
Shares issued in reinvestment
of distributions --^ 1
Shares redeemed (2,486) (4,180)
- -------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding (1,591) (1,553)
- -------------------------------------------------------------------------------------------------------------
</Table>
^ Amount rounds to less than one thousand.
91
<Page>
<Table>
<Caption>
TAX AWARE LARGE CAP VALUE FUND
-----------------------------------
SIX MONTHS ENDED YEAR ENDED
APRIL 30, 2004 OCTOBER 31, 2003
SELECT SHARES
AMOUNT
Shares sold $ 57,322 $ 55,219
Shares issued in reinvestment
of distributions 71 121
Shares redeemed (35,369) (85,359)
- -------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ 22,024 $ (30,019)
- -------------------------------------------------------------------------------------------------------------
SHARES
Shares sold 2,815 3,339
Shares issued in reinvestment
of distributions 4 7
Shares redeemed (1,774) (5,101)
- -------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding 1,045 (1,755)
- -------------------------------------------------------------------------------------------------------------
</Table>
92
<Page>
<Table>
<Caption>
TAX AWARE SHORT - INTERMEDIATE INCOME FUND
------------------------------------------
SIX MONTHS ENDED PERIOD ENDED
APRIL 30, 2004 OCTOBER 31, 2003*
INSTITUTIONAL SHARES
AMOUNT
Shares sold $ 138,222 $ 374,926
Shares issued in reinvestment
of distributions 1,448 1,400
Shares redeemed (78,756) (39,517)
- -------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ 60,914 $ 336,809
- -------------------------------------------------------------------------------------------------------------
SHARES
Shares sold 13,726 37,278
Shares issued in reinvestment
of distributions 144 139
Shares redeemed (7,816) (3,931)
- -------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding 6,054 33,486
- -------------------------------------------------------------------------------------------------------------
SELECT SHARES
AMOUNT
Shares sold $ 142,023 $ 216,722
Shares issued in reinvestment
of distributions 323 322
Shares redeemed (15,306) (15,921)
- -------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ 127,040 $ 201,123
- -------------------------------------------------------------------------------------------------------------
SHARES
Shares sold 14,101 21,556
Shares issued in reinvestment
of distributions 32 32
Shares redeemed (1,519) (1,579)
- -------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding 12,614 20,009
- -------------------------------------------------------------------------------------------------------------
</Table>
* From commencement of offering on December 20, 2002.
93
<Page>
<Table>
<Caption>
TAX AWARE U.S. EQUITY FUND
-----------------------------------
SIX MONTHS ENDED YEAR ENDED
APRIL 30, 2004 OCTOBER 31, 2003
CLASS A SHARES
AMOUNT
Shares sold $ 902 $ 759
Shares issued in reinvestment
of distributions 14 19
Shares redeemed (1,179) (1,365)
- -------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ (263) $ (587)
- -------------------------------------------------------------------------------------------------------------
SHARES
Shares sold 58 57
Shares issued in reinvestment
of distributions 1 1
Shares redeemed (74) (105)
- -------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding (15) (47)
- -------------------------------------------------------------------------------------------------------------
CLASS B SHARES
AMOUNT
Shares sold $ 118 $ 708
Shares issued in reinvestment
of distributions 3 5
Shares redeemed (148) (1,093)
- -------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ (27) $ (380)
- -------------------------------------------------------------------------------------------------------------
SHARES
Shares sold 7 54
Shares issued in reinvestment
of distributions --^ --^
Shares redeemed (9) (81)
- -------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding (2) (27)
- -------------------------------------------------------------------------------------------------------------
</Table>
^ Amount rounds to less than one thousand.
94
<Page>
<Table>
<Caption>
TAX AWARE U.S. EQUITY FUND (CONTINUED)
--------------------------------------
SIX MONTHS ENDED YEAR ENDED
APRIL 30, 2004 OCTOBER 31, 2003
CLASS C SHARES
AMOUNT
Shares sold $ 74 $ 162
Shares issued in reinvestment
of distributions --^ --^
Shares redeemed --^ (105)
- -------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ 74 $ 57
- -------------------------------------------------------------------------------------------------------------
SHARES
Shares sold 5 12
Shares issued in reinvestment
of distributions --^ --^
Shares redeemed --^ (8)
- -------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding 5 4
- -------------------------------------------------------------------------------------------------------------
INSTITUTIONAL SHARES
AMOUNT
Shares sold $ 15,413 $ 72,814
Shares issued in connection with
Fund Reorganization (Note 2) -- --
Shares issued in reinvestment
of distributions 594 700
Shares redeemed (11,371) (20,456)
- -------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ 4,636 $ 53,058
- -------------------------------------------------------------------------------------------------------------
SHARES
Shares sold 1,376 7,469
Shares issued in connection with
Fund Reorganization (Note 2) -- --
Shares issued in reinvestment
of distributions 53 72
Shares redeemed (1,008) (2,100)
- -------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding 421 5,441
- -------------------------------------------------------------------------------------------------------------
</Table>
^ Amount rounds to less than one thousand.
95
<Page>
<Table>
<Caption>
TAX AWARE U.S. EQUITY FUND (CONTINUED)
--------------------------------------
SIX MONTHS ENDED YEAR ENDED
APRIL 30, 2004 OCTOBER 31, 2003
SELECT SHARES
AMOUNT
Shares sold $ 177,336 $ 211,352
Shares issued in connection with
Fund Reorganization (Note 2) -- 241,297
Shares issued in reinvestment
of distributions 676 1,080
Shares redeemed (42,175) (90,106)
- -------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ 135,837 $ 363,623
- -------------------------------------------------------------------------------------------------------------
SHARES
Shares sold 11,137 15,611
Shares issued in connection with
Fund Reorganization (Note 2) -- 18,573
Shares issued in reinvestment
of distributions 43 80
Shares redeemed (2,666) (6,534)
- -------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding 8,514 27,730
- -------------------------------------------------------------------------------------------------------------
</Table>
96
<Page>
THIS PAGE IS INTENTIONALLY LEFT BLANK
97
<Page>
JPMORGAN FUNDS
FINANCIAL HIGHLIGHTS (Unaudited)
CLASS A SHARES
<Table>
<Caption>
PER SHARE OPERATING PERFORMANCE:
---------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS: LESS DISTRIBUTIONS:
-------------------------------------- ----------------------------------------
NET GAINS
OR LOSSES ON
NET ASSET NET SECURITIES DIVIDENDS
VALUE, INVESTMENT (BOTH TOTAL FROM FROM NET DISTRIBUTIONS
BEGINNING INCOME REALIZED AND INVESTMENT INVESTMENT FROM CAPITAL TOTAL
OF PERIOD (LOSS) UNREALIZED) OPERATIONS INCOME GAINS DISTRIBUTIONS
FLEMING TAX AWARE INTERNATIONAL
OPPORTUNITIES FUND
11/1/03 Through 4/30/04 $ 13.36 0.02^ 1.28 1.30 0.16 -- 0.16
Year Ended 10/31/03 $ 10.90 0.06^ 2.51 2.57 0.11 -- 0.11
Year Ended 10/31/02 $ 12.38 0.06 (1.53) (1.47) 0.01 -- 0.01
4/30/01* Through 10/31/01 $ 15.00 0.08^ (2.70) (2.62) -- -- --
TAX AWARE ENHANCED INCOME FUND
11/1/03 Through 4/30/04 $ 10.05 0.05 (0.03) 0.02 0.05 -- 0.05
Year Ended 10/31/03 $ 10.08 0.14 (0.03) 0.11 0.14 -- 0.14
11/30/01* Through 10/31/02 $ 10.10 0.16 (0.01) 0.15 0.16 0.01 0.17
TAX AWARE U.S. EQUITY FUND
11/1/03 Through 4/30/04 $ 14.89 0.04^ 0.86 0.90 0.05 -- 0.05
Year Ended 10/31/03 $ 12.86 0.09^ 2.01 2.10 0.07 -- 0.07
Year Ended 10/31/02 $ 15.58 0.10 (2.71) (2.61) 0.11 -- 0.11
4/16/01* Through 10/31/01 $ 16.88 0.03^ (1.27) (1.24) 0.06 -- 0.06
</Table>
* Commencement of offering of class of shares.
^ Calculated based on average shares outstanding.
(1) Total return figures do not include the effect of any front-end or deferred
sales load.
SEE NOTES TO FINANCIAL STATEMENTS.
98
<Page>
SEMI-ANNUAL REPORT APRIL 30 2004
<Table>
<Caption>
PER SHARE OPERATING PERFORMANCE: RATIOS/SUPPLEMENTAL DATA:
-------------------------------- ----------------------------------------------
RATIOS TO AVERAGE NET ASSETS:#
--------------------------------
NET ASSETS, NET
NET ASSET END OF INVESTMENT
VALUE, END TOTAL PERIOD NET INCOME
OF PERIOD RETURN (1)(b) (MILLIONS) EXPENSES (LOSS)
FLEMING TAX AWARE INTERNATIONAL
OPPORTUNITIES FUND
11/1/03 Through 4/30/04 $ 14.50 9.80% $ 5 1.73% 0.27%
Year Ended 10/31/03 $ 13.36 23.77% $ 6 1.80% 0.54%
Year Ended 10/31/02 $ 10.90 (11.85%) $ 7 1.80% 0.40%
4/30/01* Through 10/31/01 $ 12.38 (17.47%) $ 4 1.80% 0.29%
TAX AWARE ENHANCED INCOME FUND
11/1/03 Through 4/30/04 $ 10.02 0.19% $ 22 0.75% 0.98%
Year Ended 10/31/03 $ 10.05 1.12% $ 22 0.75% 1.38%
11/30/01* Through 10/31/02 $ 10.08 1.42% $ 19 0.75% 1.55%
TAX AWARE U.S. EQUITY FUND
11/1/03 Through 4/30/04 $ 15.74 6.03% $ 5 1.10% 0.54%
Year Ended 10/31/03 $ 14.89 16.37% $ 5 1.10% 0.68%
Year Ended 10/31/02 $ 12.86 (16.89%) $ 5 1.10% 0.52%
4/16/01* Through 10/31/01 $ 15.58 (7.38%) $ 1 1.04% 0.33%
<Caption>
RATIOS/SUPPLEMENTAL DATA:
-------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS:#
---------------------------------------------
NET INVESTMENT
EXPENSES INCOME (LOSS)
WITHOUT WAIVERS, WITHOUT WAIVERS, PORTFOLIO
REIMBURSEMENTS REIMBURSEMENTS TURNOVER
AND EARNINGS CREDITS AND EARNINGS CREDITS RATE (b)
FLEMING TAX AWARE INTERNATIONAL
OPPORTUNITIES FUND
11/1/03 Through 4/30/04 2.08% (0.08%) 51%
Year Ended 10/31/03 2.41% (0.07%) 79%
Year Ended 10/31/02 2.37% (0.17%) 97%
4/30/01* Through 10/31/01 5.48%+ (3.39%)+ 43%
TAX AWARE ENHANCED INCOME FUND
11/1/03 Through 4/30/04 1.02% 0.71% 49%
Year Ended 10/31/03 1.00% 1.13% 241%
11/30/01* Through 10/31/02 1.06% 1.23% 186%
TAX AWARE U.S. EQUITY FUND
11/1/03 Through 4/30/04 1.76% (0.12%) 39%
Year Ended 10/31/03 1.90% (0.12%) 13%
Year Ended 10/31/02 1.88% (0.26%) 27%
4/16/01* Through 10/31/01 8.73%+ (7.36%)+ 22%
</Table>
(b) Not annualized for periods less than one year.
+ Due to the size of net assets and fixed expenses, ratios may appear
disproportionate with other classes.
# Short periods have been annualized.
SEE NOTES TO FINANCIAL STATEMENTS.
99
<Page>
CLASS B SHARES
<Table>
<Caption>
PER SHARE OPERATING PERFORMANCE:
---------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS: LESS DISTRIBUTIONS:
-------------------------------------- ----------------------------------------
NET GAINS
OR LOSSES ON
NET ASSET NET SECURITIES DIVIDENDS
VALUE, INVESTMENT (BOTH TOTAL FROM FROM NET DISTRIBUTIONS
BEGINNING INCOME REALIZED AND INVESTMENT INVESTMENT FROM CAPITAL TOTAL
OF PERIOD (LOSS) UNREALIZED) OPERATIONS INCOME GAINS DISTRIBUTIONS
TAX AWARE U.S. EQUITY FUND
11/1/03 Through 4/30/04 $ 14.75 --^! 0.85 0.85 0.02 -- 0.02
Year Ended 10/31/03 $ 12.76 0.02^ 1.99 2.01 0.02 -- 0.02
Year Ended 10/31/02 $ 15.47 0.03 (2.71) (2.68) 0.03 -- 0.03
4/16/01* Through 10/31/01 $ 16.88 (0.03)^ (1.33) (1.36) 0.05 -- 0.05
</Table>
* Commencement of offering of class of shares.
^ Calculated based on average shares outstanding.
^^ Amount rounds to less than .005%.
(1) Total return figures do not include the effect of any front-end or deferred
sales load.
SEE NOTES TO FINANCIAL STATEMENTS.
100
<Page>
<Table>
<Caption>
PER SHARE OPERATING PERFORMANCE: RATIOS/SUPPLEMENTAL DATA:
-------------------------------- ----------------------------------------------
RATIOS TO AVERAGE NET ASSETS:#
--------------------------------
NET ASSETS, NET
NET ASSET END OF INVESTMENT
VALUE, END TOTAL PERIOD NET INCOME
OF PERIOD RETURN (1)(b) (MILLIONS) EXPENSES (LOSS)
TAX AWARE U.S. EQUITY FUND
11/1/03 Through 4/30/04 $ 15.58 5.75% $ 3 1.60% 0.04%
Year Ended 10/31/03 $ 14.75 15.82% $ 3 1.60% 0.18%
Year Ended 10/31/02 $ 12.76 (17.35%) $ 3 1.60% 0.00%^^
4/16/01* Through 10/31/01 $ 15.47 (8.09%) $ 1 1.60% (0.35%)
<Caption>
RATIOS/SUPPLEMENTAL DATA:
-----------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS:#
---------------------------------------------
NET INVESTMENT
EXPENSES INCOME (LOSS)
WITHOUT WAIVERS, WITHOUT WAIVERS, PORTFOLIO
REIMBURSEMENTS REIMBURSEMENTS TURNOVER
AND EARNINGS CREDITS AND EARNINGS CREDITS RATE (b)
TAX AWARE U.S. EQUITY FUND
11/1/03 Through 4/30/04 2.26% (0.62%) 39%
Year Ended 10/31/03 2.40% (0.62%) 13%
Year Ended 10/31/02 2.39% (0.79%) 27%
4/16/01* Through 10/31/01 7.71%+ (6.46%)+ 22%
</Table>
(b) Not annualized for periods less than one year.
+ Due to the size of net assets and fixed expenses, ratios may appear
disproportionate with other classes.
# Short periods have been annualized.
! Amount rounds to less than .005.
SEE NOTES TO FINANCIAL STATEMENTS.
101
<Page>
CLASS C SHARES
<Table>
<Caption>
PER SHARE OPERATING PERFORMANCE:
---------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS: LESS DISTRIBUTIONS:
-------------------------------------- ----------------------------------------
NET GAINS
OR LOSSES ON
NET ASSET NET SECURITIES DIVIDENDS
VALUE, INVESTMENT (BOTH TOTAL FROM FROM NET DISTRIBUTIONS
BEGINNING INCOME REALIZED AND INVESTMENT INVESTMENT FROM CAPITAL TOTAL
OF PERIOD (LOSS) UNREALIZED) OPERATIONS INCOME GAINS DISTRIBUTIONS
TAX AWARE U.S. EQUITY FUND
11/1/03 Through 4/30/04 $ 14.72 --^! 0.85 0.85 0.02 -- 0.02
Year Ended 10/31/03 $ 12.74 0.02^ 1.99 2.01 0.03 -- 0.03
Year Ended 10/31/02 $ 15.45 0.04 (2.71) (2.67) 0.04 -- 0.04
4/16/01* Through 10/31/01 $ 16.88 (0.02)^ (1.35) (1.37) 0.06 -- 0.06
</Table>
* Commencement of offering of class of shares.
^ Calculated based on average shares outstanding.
^^ Amount rounds to less than .005%.
@ Amount rounds to less than one million.
(1) Total return figures do not include the effect of any front-end or deferred
sales load.
SEE NOTES TO FINANCIAL STATEMENTS.
102
<Page>
<Table>
<Caption>
PER SHARE OPERATING PERFORMANCE: RATIOS/SUPPLEMENTAL DATA:
-------------------------------- ----------------------------------------------
RATIOS TO AVERAGE NET ASSETS:#
--------------------------------
NET ASSETS, NET
NET ASSET END OF INVESTMENT
VALUE, END TOTAL PERIOD NET INCOME
OF PERIOD RETURN (1)(b) (MILLIONS) EXPENSES (LOSS)
TAX AWARE U.S. EQUITY FUND
11/1/03 Through 4/30/04 $ 15.55 5.77% $ --@ 1.60% 0.05%
Year Ended 10/31/03 $ 14.72 15.80% $ --@ 1.60% 0.18%
Year Ended 10/31/02 $ 12.74 (17.35%) $ --@ 1.60% 0.00%^^
4/16/01* Through 10/31/01 $ 15.45 (8.16%) $ --@ 1.57% (0.17%)
<Caption>
RATIOS/SUPPLEMENTAL DATA:
-----------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS:#
---------------------------------------------
NET INVESTMENT
EXPENSES INCOME (LOSS)
WITHOUT WAIVERS, WITHOUT WAIVERS, PORTFOLIO
REIMBURSEMENTS REIMBURSEMENTS TURNOVER
AND EARNINGS CREDITS AND EARNINGS CREDITS RATE (b)
TAX AWARE U.S. EQUITY FUND
11/1/03 Through 4/30/04 2.26% (0.61%) 39%
Year Ended 10/31/03 2.40% (0.62%) 13%
Year Ended 10/31/02 2.38% (0.78%) 27%
4/16/01* Through 10/31/01 23.55%+ (22.15%)+ 22%
</Table>
(b) Not annualized for periods less than one year.
+ Due to the size of net assets and fixed expenses, ratios may appear
disproportionate with other classes.
# Short periods have been annualized.
! Amount rounds to less than .005.
SEE NOTES TO FINANCIAL STATEMENTS.
103
<Page>
INSTITUTIONAL CLASS SHARES
<Table>
<Caption>
PER SHARE OPERATING PERFORMANCE:
---------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS: LESS DISTRIBUTIONS:
-------------------------------------- ----------------------------------------
NET GAINS
OR LOSSES ON
NET ASSET NET SECURITIES DIVIDENDS
VALUE, INVESTMENT (BOTH TOTAL FROM FROM NET DISTRIBUTIONS
BEGINNING INCOME REALIZED AND INVESTMENT INVESTMENT FROM CAPITAL TOTAL
OF PERIOD (LOSS) UNREALIZED) OPERATIONS INCOME GAINS DISTRIBUTIONS
FLEMING TAX AWARE INTERNATIONAL
OPPORTUNITIES FUND
11/1/03 Through 4/30/04 $ 13.60 0.08^ 1.29 1.37 0.27 -- 0.27
Year Ended 10/31/03 $ 11.02 0.15^ 2.55 2.70 0.12 -- 0.12
Year Ended 10/31/02 $ 12.43 0.14 (1.51) (1.37) 0.04 -- 0.04
5/1/01* Through 10/31/01 $ 15.00 0.07^ (2.64) (2.57) -- -- --
TAX AWARE DISCIPLINED EQUITY
FUND
11/1/03 Through 4/30/04 $ 14.02 0.08 0.88 0.96 0.09 -- 0.09
Year Ended 10/31/03 $ 11.74 0.15 2.28 2.43 0.15 -- 0.15
Year Ended 10/31/02 $ 14.36 0.14 (2.57) (2.43) 0.19 -- 0.19
Year Ended 10/31/01 $ 18.87 0.14 (4.57) (4.43) 0.08 -- 0.08
Year Ended 10/31/00 $ 18.19 0.15 0.68 0.83 0.15 -- 0.15
Year Ended 10/31/99 $ 14.71 0.15 3.48 3.63 0.15 -- 0.15
TAX AWARE ENHANCED INCOME FUND
11/1/03 Through 4/30/04 $ 10.05 0.07 (0.04) 0.03 0.07 -- 0.07
Year Ended 10/31/03 $ 10.07 0.19 (0.02) 0.17 0.19 -- 0.19
Year Ended 10/31/02 $ 10.10 0.22 (0.01) 0.21 0.23 0.01 0.24
Year Ended 10/31/01^^ $ 9.95 0.39 0.15 0.54 0.39 -- 0.39
Year Ended 10/31/00^^ $ 9.95 0.45 -- 0.45 0.45 -- 0.45
4/16/99* Through 10/31/99^^ $ 10.00 0.20 (0.05) 0.15 0.20 -- 0.20
</Table>
* Commencement of offering of class of shares.
^^ On August 17, 2001, the class underwent a reverse split of shares. Prior
periods have been restated to reflect the split (1 to 5).
^ Calculated based on average shares outstanding.
SEE NOTES TO FINANCIAL STATEMENTS.
104
<Page>
<Table>
<Caption>
PER SHARE OPERATING PERFORMANCE: RATIOS/SUPPLEMENTAL DATA:
-------------------------------- ----------------------------------------------
RATIOS TO AVERAGE NET ASSETS:#
--------------------------------
NET ASSETS, NET
NET ASSET END OF INVESTMENT
VALUE, END TOTAL PERIOD NET INCOME
OF PERIOD RETURN (b) (MILLIONS) EXPENSES (LOSS)
FLEMING TAX AWARE INTERNATIONAL
OPPORTUNITIES FUND
11/1/03 Through 4/30/04 $ 14.70 10.17% $ 139 1.00% 1.06%
Year Ended 10/31/03 $ 13.60 24.74% $ 135 1.00% 1.31%
Year Ended 10/31/02 $ 11.02 (11.08%) $ 149 1.00% 1.08%
5/1/01* Through 10/31/01 $ 12.43 (17.13%) $ 176 1.00% 1.09%
TAX AWARE DISCIPLINED EQUITY
FUND
11/1/03 Through 4/30/04 $ 14.89 6.83% $ 193 0.55% 1.08%
Year Ended 10/31/03 $ 14.02 20.91% $ 181 0.55% 1.21%
Year Ended 10/31/02 $ 11.74 (17.13%) $ 194 0.55% 0.93%
Year Ended 10/31/01 $ 14.36 (23.55%) $ 313 0.55% 0.77%
Year Ended 10/31/00 $ 18.87 4.54% $ 478 0.55% 0.78%
Year Ended 10/31/99 $ 18.19 24.72% $ 341 0.55% 0.94%
TAX AWARE ENHANCED INCOME FUND
11/1/03 Through 4/30/04 $ 10.01 0.34% $ 1,763 0.25% 1.48%
Year Ended 10/31/03 $ 10.05 1.73% $ 2,068 0.25% 1.88%
Year Ended 10/31/02 $ 10.07 2.01% $ 1,671 0.25% 2.20%
Year Ended 10/31/01^^ $ 10.10 5.63% $ 951 0.25% 3.80%
Year Ended 10/31/00^^ $ 9.95 4.55% $ 299 0.25% 4.43%
4/16/99* Through 10/31/99^^ $ 9.95 1.57% $ 355 0.25% 4.01%
<Caption>
RATIOS/SUPPLEMENTAL DATA:
-----------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS:#
---------------------------------------------
NET INVESTMENT
EXPENSES INCOME (LOSS)
WITHOUT WAIVERS, WITHOUT WAIVERS, PORTFOLIO
REIMBURSEMENTS REIMBURSEMENTS TURNOVER
AND EARNINGS CREDITS AND EARNINGS CREDITS RATE (b)
FLEMING TAX AWARE INTERNATIONAL
OPPORTUNITIES FUND
11/1/03 Through 4/30/04 1.38% 0.68% 51%
Year Ended 10/31/03 1.41% 0.90% 79%
Year Ended 10/31/02 1.32% 0.76% 97%
5/1/01* Through 10/31/01 1.33% 0.76% 43%
TAX AWARE DISCIPLINED EQUITY
FUND
11/1/03 Through 4/30/04 0.70% 0.93% 18%
Year Ended 10/31/03 0.71% 1.05% 46%
Year Ended 10/31/02 0.70% 0.78% 60%
Year Ended 10/31/01 0.60% 0.72% 44%
Year Ended 10/31/00 0.59% 0.74% 51%
Year Ended 10/31/99 0.65% 0.84% 40%
TAX AWARE ENHANCED INCOME FUND
11/1/03 Through 4/30/04 0.53% 1.20% 49%
Year Ended 10/31/03 0.53% 1.60% 241%
Year Ended 10/31/02 0.54% 1.90% 186%
Year Ended 10/31/01^^ 0.50% 3.55% 142%
Year Ended 10/31/00^^ 0.50% 4.18% 172%
4/16/99* Through 10/31/99^^ 0.57% 3.69% 69%
</Table>
(b) Not annualized for periods less than one year.
# Short periods have been annualized.
SEE NOTES TO FINANCIAL STATEMENTS.
105
<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
TAX AWARE SHORT - INTERMEDIATE
INCOME FUND
11/1/03 Through 4/30/04 $ 10.05 0.12^ (0.12) (0.00) 0.12 -- 0.12
12/20/02* Through 10/31/03 $ 10.00 0.20^ 0.04 0.24 0.19 -- 0.19
TAX AWARE U.S. EQUITY FUND
11/1/03 Through 4/30/04 $ 10.57 0.05^ 0.61 0.66 0.08 -- 0.08
Year Ended 10/31/03 $ 9.17 0.11^ 1.42 1.53 0.13 -- 0.13
Year Ended 10/31/02 $ 11.15 0.12 (1.94) (1.82) 0.16 -- 0.16
Year Ended 10/31/01 $ 14.73 0.08^ (3.55) (3.47) 0.11 -- 0.11
9/15/00* Through 10/31/00 $ 15.00 0.01^ (0.28) (0.27) -- -- --
</Table>
* Commencement of offering of class of shares.
^ Calculated based on average shares outstanding.
SEE NOTES TO FINANCIAL STATEMENTS.
106
<Page>
<Table>
<Caption>
PER SHARE OPERATING PERFORMANCE: RATIOS/SUPPLEMENTAL DATA:
-------------------------------- ----------------------------------------------
RATIOS TO AVERAGE NET ASSETS:#
--------------------------------
NET ASSETS, NET
NET ASSET END OF INVESTMENT
VALUE, END TOTAL PERIOD NET INCOME
OF PERIOD RETURN (b) (MILLIONS) EXPENSES (LOSS)
TAX AWARE SHORT - INTERMEDIATE
INCOME FUND
11/1/03 Through 4/30/04 $ 9.93 (0.05%) $ 393 0.38% 2.31%
12/20/02* Through 10/31/03 $ 10.05 2.41% $ 336 0.35% 2.34%
TAX AWARE U.S. EQUITY FUND
11/1/03 Through 4/30/04 $ 11.15 6.20% $ 116 0.70% 0.94%
Year Ended 10/31/03 $ 10.57 16.89% $ 105 0.70% 1.09%
Year Ended 10/31/02 $ 9.17 (16.50%) $ 41 0.70% 0.92%
Year Ended 10/31/01 $ 11.15 (23.67%) $ 12 0.70% 0.69%
9/15/00* Through 10/31/00 $ 14.73 (1.80%) $ --@ 0.70% 0.51%
<Caption>
RATIOS/SUPPLEMENTAL DATA:
-----------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS:#
---------------------------------------------
NET INVESTMENT
EXPENSES INCOME (LOSS)
WITHOUT WAIVERS, WITHOUT WAIVERS, PORTFOLIO
REIMBURSEMENTS REIMBURSEMENTS TURNOVER
AND EARNINGS CREDITS AND EARNINGS CREDITS RATE (b)
TAX AWARE SHORT - INTERMEDIATE
INCOME FUND
11/1/03 Through 4/30/04 0.54% 2.15% 68%
12/20/02* Through 10/31/03 0.57% 2.12% 274%
TAX AWARE U.S. EQUITY FUND
11/1/03 Through 4/30/04 0.76% 0.88% 39%
Year Ended 10/31/03 0.79% 1.00% 13%
Year Ended 10/31/02 0.84% 0.78% 27%
Year Ended 10/31/01 0.93% 0.46% 22%
9/15/00* Through 10/31/00 0.85% 0.36% 15%
</Table>
@ Amount rounds to less than one million.
(b) Not annualized for periods less than one year.
# Short periods have been annualized.
SEE NOTES TO FINANCIAL STATEMENTS.
107
<Page>
SELECT CLASS SHARES
<Table>
<Caption>
PER SHARE OPERATING PERFORMANCE:
---------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS: LESS DISTRIBUTIONS:
-------------------------------------- ----------------------------------------
NET GAINS
OR LOSSES ON
NET ASSET NET SECURITIES DIVIDENDS
VALUE, INVESTMENT (BOTH TOTAL FROM FROM NET DISTRIBUTIONS
BEGINNING INCOME REALIZED AND INVESTMENT INVESTMENT FROM CAPITAL TOTAL
OF PERIOD (LOSS) UNREALIZED) OPERATIONS INCOME GAINS DISTRIBUTIONS
TAX AWARE ENHANCED INCOME FUND
11/1/03 Through 4/30/04 $ 10.06 0.06 (0.04) 0.02 0.06 -- 0.06
Year Ended 10/31/03 $ 10.08 0.17 (0.02) 0.15 0.17 -- 0.17
Year Ended 10/31/02 $ 10.11 0.20 (0.02) 0.18 0.20 0.01 0.21
Year Ended 10/31/01^^ $ 9.95 0.36 0.16 0.52 0.36 -- 0.36
Year Ended 10/31/00^^ $ 9.95 0.40 -- 0.40 0.40 -- 0.40
5/6/99* Through 10/31/99^^ $ 10.00 0.20 (0.05) 0.15 0.20 -- 0.20
TAX AWARE LARGE CAP
GROWTH FUND^
11/1/03 Through 4/30/04 $ 14.79 0.02 0.20 0.22 0.02 -- 0.02
Year Ended 10/31/03 $ 13.03 0.05 1.75 1.80 0.04 -- 0.04
1/1/02 Through 10/31/02** $ 17.39 0.04 (4.36) (4.32) 0.04 -- 0.04
11/1/01 Through 12/31/01*** $ 16.32 0.02 1.07 1.09 0.02 -- 0.02
Year Ended 10/31/01 $ 42.93 0.04 (11.41) (11.37) 0.04 15.20 15.24
Year Ended 10/31/00 $ 47.54 0.04 (0.07) (0.03) 0.03 4.55 4.58
Year Ended 10/31/99+ $ 37.36 0.30 13.66 13.96 0.30 3.48 3.78
TAX AWARE LARGE CAP
VALUE FUND@@
11/1/03 Through 4/30/04 $ 18.65 0.12 1.37 1.49 0.14 -- 0.14
Year Ended 10/31/03 $ 16.01 0.26 2.64 2.90 0.26 -- 0.26
1/1/02 Through 10/31/02** $ 19.74 0.22 (3.74) (3.52) 0.21 -- 0.21
11/1/01 Through 12/31/01*** $ 18.44 0.03 1.30 1.33 0.03 -- 0.03
Year Ended 10/31/01 $ 25.57 0.20 (5.41) (5.21) 0.19 1.73 1.92
Year Ended 10/31/00 $ 27.53 0.21 1.40 1.61 0.17 3.40 3.57
Year Ended 10/31/99+ $ 28.89 0.65 1.69 2.34 0.67 3.03 3.70
</Table>
* Commencement of offering of class of shares.
** The fund changed its fiscal year end from December 31 to October 31.
*** The fund changed its fiscal year end from October 31 to December 31.
^ Formerly JPMorgan Select Large Cap Growth Fund.
@@ Formerly JPMorgan Select Equity Income Fund.
^^ On August 17, 2001, the class underwent a reverse split of shares. Prior
periods have been restated to reflect the split (1 to 5).
+ On November 20, 1998, the Fund underwent a split of shares. Beginning net
asset value was restated to reflect the split.
SEE NOTES TO FINANCIAL STATEMENTS.
108
<Page>
<Table>
<Caption>
PER SHARE OPERATING PERFORMANCE: RATIOS/SUPPLEMENTAL DATA:
-------------------------------- ----------------------------------------------
RATIOS TO AVERAGE NET ASSETS:#
--------------------------------
NET ASSETS, NET
NET ASSET END OF INVESTMENT
VALUE, END TOTAL PERIOD NET INCOME
OF PERIOD RETURN (b) (MILLIONS) EXPENSES (LOSS)
TAX AWARE ENHANCED INCOME FUND
11/1/03 Through 4/30/04 $ 10.02 0.22% $ 464 0.50% 1.23%
Year Ended 10/31/03 $ 10.06 1.48% $ 444 0.50% 1.61%
Year Ended 10/31/02 $ 10.08 1.75% $ 278 0.50% 1.94%
Year Ended 10/31/01^^ $ 10.11 5.47% $ 186 0.50% 3.51%
Year Ended 10/31/00^^ $ 9.95 4.29% $ 37 0.50% 4.23%
5/6/99* Through 10/31/99^^ $ 9.95 1.29% $ 28 0.50% 3.75%
TAX AWARE LARGE CAP
GROWTH FUND^
11/1/03 Through 4/30/04 $ 14.99 1.48% $ 248 0.85% 0.12%
Year Ended 10/31/03 $ 14.79 13.84% $ 268 0.85% 0.35%
1/1/02 Through 10/31/02** $ 13.03 (24.84%) $ 257 0.68% 0.34%
11/1/01 Through 12/31/01*** $ 17.39 6.70% $ 433 0.55% 0.56%
Year Ended 10/31/01 $ 16.32 (33.30%) $ 423 0.49% 0.21%
Year Ended 10/31/00 $ 42.93 (0.91%) $ 839 0.47% 0.08%
Year Ended 10/31/99+ $ 47.54 39.78% $ 901 0.03% 0.69%
TAX AWARE LARGE CAP
VALUE FUND@@
11/1/03 Through 4/30/04 $ 20.00 8.01% $ 395 0.85% 1.21%
Year Ended 10/31/03 $ 18.65 18.34% $ 349 0.85% 1.55%
1/1/02 Through 10/31/02** $ 16.01 (17.94%) $ 327 0.79% 1.43%
11/1/01 Through 12/31/01*** $ 19.74 7.20% $ 415 0.69% 0.91%
Year Ended 10/31/01 $ 18.44 (21.43%) $ 406 0.69% 0.93%
Year Ended 10/31/00 $ 25.57 6.35% $ 625 0.68% 0.83%
Year Ended 10/31/99+ $ 27.53 8.18% $ 787 0.03% 2.25%
<Caption>
RATIOS/SUPPLEMENTAL DATA:
-----------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS:#
---------------------------------------------
NET INVESTMENT
EXPENSES INCOME (LOSS)
WITHOUT WAIVERS, WITHOUT WAIVERS, PORTFOLIO
REIMBURSEMENTS REIMBURSEMENTS TURNOVER
AND EARNINGS CREDITS AND EARNINGS CREDITS RATE (b)
TAX AWARE ENHANCED INCOME FUND
11/1/03 Through 4/30/04 0.68% 1.05% 49%
Year Ended 10/31/03 0.69% 1.42% 241%
Year Ended 10/31/02 0.70% 1.74% 186%
Year Ended 10/31/01^^ 0.67% 3.34% 142%
Year Ended 10/31/00^^ 0.67% 4.06% 172%
5/6/99* Through 10/31/99^^ 0.72% 3.53% 69%
TAX AWARE LARGE CAP
GROWTH FUND^
11/1/03 Through 4/30/04 0.86% 0.11% 84%
Year Ended 10/31/03 0.87% 0.33% 35%
1/1/02 Through 10/31/02** 0.85% 0.17% 46%
11/1/01 Through 12/31/01*** 0.85% 0.26% 3%
Year Ended 10/31/01 0.85% (0.15%) 84%
Year Ended 10/31/00 0.80% (0.25%) 74%
Year Ended 10/31/99+ 0.59% 0.13% 26%
TAX AWARE LARGE CAP
VALUE FUND@@
11/1/03 Through 4/30/04 0.86% 1.20% 26%
Year Ended 10/31/03 0.85% 1.55% 33%
1/1/02 Through 10/31/02** 0.85% 1.37% 80%
11/1/01 Through 12/31/01*** 0.85% 0.75% 0%
Year Ended 10/31/01 0.87% 0.75% 8%
Year Ended 10/31/00 0.80% 0.71% 43%
Year Ended 10/31/99+ 0.58% 1.70% 146%
</Table>
(b) Not annualized for periods less than one year.
# Short periods have been annualized.
SEE NOTES TO FINANCIAL STATEMENTS.
109
<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
TAX AWARE SHORT - INTERMEDIATE
INCOME FUND
11/1/03 Through 4/30/04 $ 10.05 0.11^ (0.12) (0.01) 0.11 -- 0.11
12/20/02* Through 10/31/03 $ 10.00 0.19^ 0.04 0.23 0.18 -- 0.18
TAX AWARE U.S. EQUITY FUND
11/1/03 Through 4/30/04 $ 14.90 0.06^ 0.86 0.92 0.06 -- 0.06
Year Ended 10/31/03 $ 12.88 0.12^ 2.01 2.13 0.11 -- 0.11
Year Ended 10/31/02 $ 15.59 0.10 (2.69) (2.59) 0.12 -- 0.12
Year Ended 10/31/01 $ 20.51 0.10^ (4.96) (4.86) 0.06 -- 0.06
Year Ended 10/31/00 $ 18.73 0.09 1.77 1.86 0.08 -- 0.08
Year Ended 10/31/99 $ 15.19 0.10 3.55 3.65 0.11 -- 0.11
</Table>
* Commencement of offering of shares.
^ Calculated based on average shares outstanding.
SEE NOTES TO FINANCIAL STATEMENTS.
110
<Page>
<Table>
<Caption>
PER SHARE OPERATING PERFORMANCE: RATIOS/SUPPLEMENTAL DATA:
-------------------------------- ----------------------------------------------
RATIOS TO AVERAGE NET ASSETS:#
--------------------------------
NET ASSETS, NET
NET ASSET END OF INVESTMENT
VALUE, END TOTAL PERIOD NET INCOME
OF PERIOD RETURN (b) (MILLIONS) EXPENSES (LOSS)
TAX AWARE SHORT - INTERMEDIATE
INCOME FUND
11/1/03 Through 4/30/04 $ 9.93 (0.12%) $ 324 0.54% 2.16%
12/20/02* Through 10/31/03 $ 10.05 2.28% $ 201 0.50% 2.22%
TAX AWARE U.S. EQUITY FUND
11/1/03 Through 4/30/04 $ 15.76 6.20% $ 800 0.84% 0.80%
Year Ended 10/31/03 $ 14.90 16.64% $ 630 0.84% 0.92%
Year Ended 10/31/02 $ 12.88 (16.70%) $ 187 0.84% 0.73%
Year Ended 10/31/01 $ 15.59 (23.76%) $ 212 0.84% 0.56%
Year Ended 10/31/00 $ 20.51 9.96% $ 249 0.85% 0.46%
Year Ended 10/31/99 $ 18.73 24.05% $ 163 0.85% 0.58%
<Caption>
RATIOS/SUPPLEMENTAL DATA:
-------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS:#
---------------------------------------------
NET INVESTMENT
EXPENSES INCOME (LOSS)
WITHOUT WAIVERS, WITHOUT WAIVERS, PORTFOLIO
REIMBURSEMENTS REIMBURSEMENTS TURNOVER
AND EARNINGS CREDITS AND EARNINGS CREDITS RATE (b)
TAX AWARE SHORT - INTERMEDIATE
INCOME FUND
11/1/03 Through 4/30/04 0.69% 2.01% 68%
12/20/02* Through 10/31/03 0.72% 2.00% 274%
TAX AWARE U.S. EQUITY FUND
11/1/03 Through 4/30/04 0.90% 0.74% 39%
Year Ended 10/31/03 0.93% 0.83% 13%
Year Ended 10/31/02 0.97% 0.60% 27%
Year Ended 10/31/01 0.87% 0.53% 22%
Year Ended 10/31/00 0.85% 0.46% 15%
Year Ended 10/31/99 0.90% 0.53% 29%
</Table>
(b) Not annualized for periods less than one year.
# Short periods have been annualized.
SEE NOTES TO FINANCIAL STATEMENTS.
111
<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 INTREPID 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
UNDISCOVERED MANAGERS FUNDS
BEHAVIORAL GROWTH FUND
BEHAVIORAL VALUE FUND
REIT FUND
SMALL CAP GROWTH FUND
FUNDS MAY BE REGISTERED UNDER SEPARATE REGISTRANTS.
112
<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.
The financial information in this report has been taken from the books and
records of the Funds without examination by independent auditors, who express no
opinion thereon.
Investors should carefully read the fund prospectus which includes information
on the Fund's investment objectives, risk, as well as charges and expenses along
with other information. Investors should review the information in the
prospectus carefully before investing. For up to date month-end performance
information, or to receive a fund prospectus please call 800 348-4782. Please
read carefully before investing or sending money.
A list of portfolio holdings is available fifteen days after month end upon
request. Please contact your JPMorgan Fleming representative or call
1-800-766-7722 to obtain further information.
A copy of proxy policies and procedures are available without charge upon
request by calling 1-800-348-4782 and on the Commission's website at
http://www.sec.gov.
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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. June 2004. SAN-TA-404
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ITEM 2. CODE OF ETHICS.
(a) Disclose whether, as of the end of the period covered by the report,
the registrant has adopted a code of ethics that applies to the
registrant's principal executive officer, principal financial officer,
principal accounting officer or controller, or persons performing similar
functions, regardless of whether these individuals are employed by the
registrant or a third party. If the registrant has not adopted such a code
of ethics, explain why it has not done so.
NOT APPLICABLE - ONLY FOR ANNUAL REPORTS.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
(a) (1) Disclose that the registrant's board of directors has determined
that the registrant either:
(i) Has at least one audit committee financial expert serving
on its audit committee; or
(ii) Does not have an audit committee financial expert serving
on its audit committee.
(2) If the registrant provides the disclosure required by paragraph
(a)(1)(i) of this Item, it must disclose the name of the audit
committee financial expert and whether that person is
"independent." In order to be considered "independent" for
purposes of this Item, a member of an audit committee may not,
other than in his or her capacity as a member of the audit
committee, the board of directors, or any other board committee:
(i) Accept directly or indirectly any consulting, advisory, or
other compensatory fee from the issuer; or
(ii) Be an "interested person" of the investment company as
defined in Section 2(a)(19) of the Act (15 U.S.C.
80a-2(a)(19)).
(3) If the registrant provides the disclosure required by paragraph
(a)(1)(ii) of this Item, it must explain why it does not have an audit
committee financial expert.
NOT APPLICABLE - ONLY FOR ANNUAL REPORTS.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
(a) Disclose, under the caption AUDIT FEES, the aggregate fees billed for
each of the last two fiscal years for professional services rendered by the
principal accountant for the audit of the registrant's annual financial
statements or services that are normally provided by the accountant in
connection with statutory and regulatory filings or engagements for those fiscal
years.
(b) Disclose, under the caption AUDIT-RELATED FEES, the aggregate fees
billed in each of the last two fiscal years for assurance and related services
by the principal accountant that are reasonably related to the performance of
the audit of the registrant's financial statements and are not reported under
paragraph (a) of this Item. Registrants shall describe the nature of the
services comprising the fees disclosed under this category.
(c) Disclose, under the caption TAX FEES, the aggregate fees billed in each
of the last two fiscal years for professional services rendered by the principal
accountant for tax compliance, tax advice, and tax planning. Registrants shall
describe the nature of the services comprising the fees disclosed under this
category.
(d) Disclose, under the caption ALL OTHER FEES, the aggregate fees billed
in each of the last two fiscal years for products and services provided by the
principal accountant, other than the services reported in paragraphs (a) through
(c) of this Item. Registrants shall describe the nature of the services
comprising the fees disclosed under this category.
(e) (1) Disclose the audit committee's pre-approval policies and procedures
described in paragraph (c)(7) of Rule 2-01 of Regulation S-X.
(2) Disclose the percentage of services described in each of paragraphs
(b) through (d) of this Item that were approved by the audit committee pursuant
to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.
(f) If greater than 50 percent, disclose the percentage of hours expended
on the principal accountant's engagement to audit the registrant's financial
statements for the most recent fiscal year that were attributed to work
performed by persons other than the
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principal accountant's full-time, permanent employees.
(g) Disclose the aggregate non-audit fees billed by the registrant's
accountant for services rendered to the registrant, and rendered to the
registrant's investment adviser (not including any sub-adviser whose role is
primarily portfolio management and is subcontracted with or overseen by another
investment adviser), and any entity controlling, controlled by, or under common
control with the adviser that provides ongoing services to the registrant for
each of the last two fiscal years of the registrant.
(h) Disclose whether the registrant's audit committee of the board of
directors has considered whether the provision of nonaudit services that were
rendered to the registrant's investment adviser (not including any subadviser
whose role is primarily portfolio management and is subcontracted with or
overseen by another investment adviser), and any entity controlling, controlled
by, or under common control with the investment adviser that provides ongoing
services to the registrant that were not pre-approved pursuant to paragraph
(c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the
principal accountant's independence.
NOT APPLICABLE - ONLY FOR ANNUAL REPORTS.
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. SCHEDULE OF INVESTMENTS.
File Schedule I - Investments in securities of unaffiliated issuers as
of the close of the reporting period as set forth in Section 210.12-12 of
Regulation S-X, unless the schedule is included as part of the report to
shareholders filed under Item 1 of this Form.
NOT APPLICABLE.
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
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).
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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.
(a)(2) A separate certification for each principal executive officer and
principal financial officer of the registrant as required by Rule 30a-2(a) under
the Act (17 CFR 270.30a-2).
CERTIFICATIONS PURSUANT TO RULE 30a-2(a) UNDER THE INVESTMENT COMPANY ACT OF
1940 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.
(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 RULE 30a-2(b) UNDER THE INVESTMENT COMPANY ACT OF
1940 ARE ATTACHED HERETO.
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SIGNATURES
[See General Instruction F]
Pursuant to the requirements of the Securities Exchange Act of 1934 and
the Investment Company Act of 1940, the registrant has duly caused this report
to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) J.P. Morgan Institutional Funds
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By (Signature and Title)* /s/ Patricia A. Maleski
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Patricia A. Maleski, Treasurer
Date June 22, 2004
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Pursuant to the requirements of the Securities Exchange Act of 1934 and
the Investment Company Act of 1940, this report has been signed below by the
following persons on behalf of the registrant and in the capacities and on the
dates indicated.
By (Signature and Title)* /s/ Patricia A. Maleski
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Patricia A. Maleski, Treasurer
Date June 22, 2004
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By (Signature and Title)* /s/ George C.W. Gatch
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George C.W. Gatch, President
Date June 23, 2004
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* Print the name and title of each signing officer under his or her signature.
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