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OMB APPROVAL
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OMB Number: 3235-0570
Expires: November 30, 2005
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hours per response........5.0
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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-21276
----------------------------------------------
J.P. Morgan Fleming Series Trust
- --------------------------------------------------------------------------------
(Exact name of registrant as specified in charter)
522 Fifth Avenue, New York, NY 10036
- --------------------------------------------------------------------------------
(Address of principal executive offices) (Zip code)
BISYS Fund Services, 3435 Stelzer Road, Columbus, OH 43219
- --------------------------------------------------------------------------------
(Name and address of agent for service)
Registrant's telephone number, including area code: 1-800-348-4782
-----------------------------
Date of fiscal year end: December 31, 2004
------------------
Date of reporting period: December 31, 2003 through June 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).
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[GRAPHIC]
SEMI-ANNUAL REPORT JUNE 30, 2004
JPMORGAN FUNDS
MULTI-MANAGER FUNDS
MULTI-MANAGER SMALL CAP GROWTH FUND
MULTI-MANAGER SMALL CAP VALUE FUND
[JPMORGAN FLEMING ASSET MANAGEMENT LOGO]
<Page>
CONTENTS
<Table>
President's Letter 1
Fund Information:
Multi-Manager Small Cap Growth Fund 3
Multi-Manager Small Cap Value Fund 6
Portfolio of Investments 9
Financial Statements 33
Notes to Financial Statements 36
Financial Highlights 42
</Table>
HIGHLIGHTS
- - Favorable economic data and corporate profitability
- - Inflation concerns emerge
- - Small and mid caps outperform
- - Positive backdrop for equities
Investments in a Fund are not bank deposits or obligations of, or guaranteed or
endorsed by, any bank and are not insured or guaranteed by the FDIC, the Federal
Reserve Board or any other government agency. You could lose money if you sell
when the Fund's share price is lower than when you invested.
Past performance is no guarantee for future performance. The general market
views expressed in this report are opinions based on current market conditions
and are subject to change without notice. These views are not intended to
predict the future performance of a Fund or the securities markets. References
to specific securities and their issuers are for illustrative purposes only and
are not intended to be, and should not be interpreted as, recommendations to
purchase or sell such securities. Such views are not meant as investment advice
and may not be relied on as an indication of trading intent on behalf of any
Fund.
Prospective investors should refer to the Fund's prospectus for a discussion of
the Fund's investment objective, strategies and risks. Call JPMorgan Funds
Service Center at (800) 348-4782 for a prospectus containing more complete
information about a Fund including management fees and other expenses. Please
read it carefully before investing.
JPMORGAN FUNDS ARE DISTRIBUTED BY J.P. MORGAN FUND DISTRIBUTORS, INC.
<Page>
JPMORGAN MULTI-MANAGER FUNDS
PRESIDENT'S LETTER AUGUST 2, 2004
DEAR SHAREHOLDER:
We are pleased to present this semi-annual report for the JPMorgan Multi-Manager
Funds. Inside, you'll find information detailing the performance of the Funds
for the six months ended June 30, 2004, along with a report from the Portfolio
Manager.
EQUITIES EDGE HIGHER DESPITE RATE CONCERNS
Favorable economic data and gains in corporate profitability overcame investor
concerns about higher interest rates in the first half of 2004, pushing U.S.
equity prices gradually higher. In the early months of the year, the positive
picture of low inflation, combined with robust economic growth and accelerating
corporate earnings, supported equities. But by April, the picture was becoming
less rosy. A sudden improvement in job creation, combined with
higher-than-expected inflation, provoked a rise in bond yields and caused
investor concerns over whether the Federal Reserve would be able to raise rates
without choking off recovery. Furthermore, there was a marked increase in the
level of violence in Iraq. On June 30, the last day of the half-year, the
Federal Reserve confirmed that rates were on a rising trend, lifting them by 25
basis points. Even so, equities finished the half-year higher than they started
it, with the optimists drawing confidence from the sharp improvement in job
growth and stellar gains in corporate profits.
SMALL AND MID CAP OUTPERFORMANCE
Once again, equity market returns were far from uniform. Broadly speaking, large
capitalization stocks made modest gains, with the broad-based S&P 500 Index up
3.4% for the period. Both mid and small capitalization stocks performed far more
robustly. The S&P Small Cap 600 Index rose 10.1% while the S&P Mid Cap 400 Index
appreciated 6.1%. This is in line with a historical pattern of superior
performance from small caps when the U.S. economy is emerging from periods of
sluggish business activity. Additionally, toward the end of the period, higher
quality stocks started to lead the market, in contrast to 2003 when they lagged.
OUTLOOK
A critical test has begun, as the U.S. economy attempts to make the transition
from recovery to a sustainable, non-inflationary expansion. It is understandable
that equities faltered as long-term interest rates moved higher, and as the
Federal Reserve started to tighten. Barring a geopolitical catastrophe, however,
we expect that the economy will cool but still grow at a solid pace; that
1
<Page>
corporate profits will continue to be supported by tight control over business
costs; and that investors will, at some point in the not-so-distant future,
again come to view equities as good value.
IMPORTANT MERGER NEWS
As you may know, J.P. Morgan Chase & Co. and Bank One Corp. merged in July 2004,
as approved by both firms' shareholders. The combined company is called JPMorgan
Chase & Co. The merger is compelling both strategically and financially. The new
combined organization has top-tier positions in both wholesale and retail
financial services, an extensive client base and greater scale. And, we have an
extraordinarily talented team that shares common values and a strong client
orientation.
As always, all of us at JPMorgan Fleming Asset Management would like to thank
you for your investment. 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
2
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JPMORGAN MULTI-MANAGER SMALL CAP GROWTH FUND
As of June 30, 2004
Q: HOW DID THE FUND PERFORM?
A: JPMorgan Multi-Manager Small Cap Growth Fund, which seeks to provide
long-term capital growth by investing in equity securities of small
capitalization companies, rose by 4.0% during the six months ended June 30,
2004. This compares with appreciation of 5.7% in the Russell 2000 Growth Index,
the Fund's benchmark.
Q: WHY DID THE FUND PERFORM THIS WAY?
A: The Fund delivered strong absolute returns in the half-year, outperforming
its peer group as represented by the Lipper Small-Cap Growth Index, which rose
3.4%, but trailing its Russell 2000 Growth Index benchmark. From an underlying
manager perspective, the underperformance was caused by our holding with UBS
Global Asset Management, which trailed the benchmark due to weak stock
selection, primarily in the Healthcare, Produce Durable and Technology sectors.
The other two managers, State Street Research & Management and J & W Seligman,
both outperformed the Index.
Taken across the three managers, stock selection in the Energy sector made the
greatest relative contribution to performance. Arch Coal benefited from rising
coal prices, while W-H Energy, which provides drilling and equipment services,
increased its earnings estimates to reflect increased drilling activity
resulting from higher oil and natural gas prices.
Stock selection was weak in the Consumer Discretionary, Healthcare and
Technology sectors. Within Consumer Discretionary, Alliance Gaming fell after
warning it would miss earnings estimates due to lower revenue and a delay in
deployment of new lottery games. Corinthian Colleges, a post-secondary education
service provider, fell on news of a Department of Education finding of
non-compliance with federal loan obligations at one of its campuses. In
Technology, Foundry Networks, a maker of computer networking products, fell
after revealing first quarter earnings and sales below analysts' estimates. ON
Semiconductor, a leading analog and mixed signal semiconductor manufacturer,
declined in anticipation of stock sales by a venture capital company. In
Healthcare, Odyssey Healthcare, a provider of hospice services, declined with
concern that it has exceeded its Medicare reimbursement rates and due to margin
pressures from rising labor and pharmaceutical costs.
Q: HOW WAS THE FUND MANAGED?
A: The Fund's holdings remain evenly balanced between the three underlying
managers. State Street Research & Management concentrates its portfolios on 40
to 60 high growth stocks. UBS Global Asset Management selects 80 to 100 stocks
exhibiting earnings and revenue growth in the top 60% of the small cap universe.
J&W Seligman and Co. constructs portfolios of 90 to 125 securities exhibiting at
least 15% earnings or revenue growth.
The Fund's sector weightings tend to be generally in line with the Index,
although there are currently some differences. On aggregate, the managers are
overweight the Consumer Staples, Energy and Healthcare sectors. They are
underweight the Consumer Discretionary, Technology and Producer Durable
sectors.
(UNAUDITED)
3
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[CHART]
PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS
<Table>
Technology 30.0%
Consumer Goods & Services 17.7%
Health Services & Systems 13.7%
Industrial Products & Services 8.4%
Pharmaceuticals 8.1%
Finance & Insurance 7.2%
Energy 6.0%
Short-Term Investments 3.5%
Telecommunications 2.7%
Finance 1.5%
REITs 1.2%
</Table>
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO
<Table>
1. CORINTHIAN COLLEGE INC. (1.7%)
2. LAUREATE EDUCATION, INC. (1.4%)
3. I SHARES TRUST - RUSSELL 2000 INDEX FUND (1.3%)
4. PEDIATRIX MEDICAL, INC. (1.3%)
5. UNITED SURGICAL PARTNERS INTERNATIONAL, INC. (1.2%)
6. INAMED CORP. (1.1%)
7. NEKTAR THERAPEUTICS (1.1%)
8. CHICO'S FAS, INC. (1.1%)
9. UCBH HOLDINGS, INC. (1.0%)
10. ARCH COAL, INC. (1.0%)
</Table>
TOP 10 EQUITY HOLDINGS COMPRISED 12.2% ($31,315 IN THOUSANDS) OF THE PORTFOLIO'S
MARKET VALUE OF INVESTMENTS. AS OF JUNE 30, 2004, THE FUND HELD 247 EQUITY
HOLDINGS. PORTFOLIO HOLDINGS ARE SUBJECT TO CHANGE AT ANY TIME.
AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2004
<Table>
<Caption>
SINCE INCEPTION
1 YEAR (2/28/03)
- --------------------------------------------------------------------------------
Multi-Manager Small Cap Growth Fund 25.41% 37.96%
</Table>
4
<Page>
[CHART]
LIFE OF FUND PERFORMANCE (2/28/03 TO 6/30/04)
<Table>
<Caption>
JPMORGAN MULTI-MANAGER RUSSELL 2000 LIPPER SMALL-CAP
SMALL CAP GROWTH GROWTH INDEX GROWTH INDEX
2/28/2003 $ 1,000,000 $ 1,000,000 $ 1,000,000
3/31/2003 $ 1,015,000 $ 1,015,100 $ 1,020,600
4/30/2003 $ 1,104,016 $ 1,111,128 $ 1,104,902
5/31/2003 $ 1,194,986 $ 1,236,353 $ 1,217,602
6/30/2003 $ 1,224,981 $ 1,260,214 $ 1,258,878
7/31/2003 $ 1,282,922 $ 1,355,486 $ 1,332,523
8/31/2003 $ 1,354,894 $ 1,428,276 $ 1,403,146
9/30/2003 $ 1,309,912 $ 1,392,141 $ 1,368,629
10/31/2003 $ 1,436,842 $ 1,512,422 $ 1,492,627
11/30/2003 $ 1,495,896 $ 1,561,727 $ 1,532,331
12/31/2003 $ 1,477,796 $ 1,568,754 $ 1,534,476
1/31/2004 $ 1,537,351 $ 1,651,114 $ 1,606,289
2/28/2004 $ 1,549,957 $ 1,648,637 $ 1,600,185
3/31/2004 $ 1,564,527 $ 1,656,386 $ 1,589,144
4/30/2004 $ 1,492,402 $ 1,573,235 $ 1,511,435
5/31/2004 $ 1,502,849 $ 1,604,543 $ 1,543,024
6/30/2004 $ 1,536,333 $ 1,657,974 $ 1,587,000
</Table>
SOURCE: LIPPER, INC. THE QUOTED PERFORMANCE IS PAST PERFORMANCE AND NOT A
GUARANTEE OF FUTURE RESULTS. 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'S 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'S PROSPECTUS PLEASE CALL 800 348-4782. PLEASE
READ CAREFULLY BEFORE INVESTING OR SENDING MONEY.
The Fund commenced operations on 2/28/03.
The graph illustrates comparative performance for $1,000,000 invested in shares
of the JPMorgan Multi-Manager Small Cap Growth Fund, Russell 2000 Growth Index,
and Lipper Small-Cap Growth Funds Index from February 28, 2003 to June 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 2000 Growth Index measures the performance of those Russell 2000
companies with higher price-to-book ratios and higher forecasted growth rates.
The Lipper Small-Cap Growth Funds Index represents the total returns of the
funds in the indicated category, as defined by Lipper, Inc. Investors cannot
invest directly in an index.
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.
5
<Page>
JPMORGAN MULTI-MANAGER SMALL CAP VALUE FUND
As of June 30, 2004
Q: HOW DID THE FUND PERFORM?
A: JPMorgan Multi-Manager Small Cap Value Fund, which seeks long-term capital
appreciation by investing in equity securities of small capitalization
companies, rose by 7.2% during the six months ended June 30, 2004. This compares
with appreciation of 7.8% in the Russell 2000 Value Index, the Fund's benchmark.
Q: WHY DID THE FUND PERFORM THIS WAY?
A: The Fund delivered strong absolute returns in the half-year, trailing its
Russell 2000 Value Index benchmark by a small margin. From an underlying manager
perspective, the underperformance was caused by our holding with ICM Asset
Management, our small to mid cap value manager, trailed the Russell 2000 Value
Index due to weak stock selection, primarily in the Consumer Discretionary and
Consumer Staples sector. The other two managers, JPMorgan Investment Management
and Earnest Partners, respectively outperformed and matched the index.
Taken across the three managers, stock selection in the Healthcare, Technology
and Producer Durables sectors made the greatest contributions to performance. In
Healthcare, Pediatrix Medical Group, a provider of physician management services
to hospital-based neonatal intensive care units, appreciated significantly after
reporting higher earnings and revenue compared with the same period in the prior
year. In Technology, Flir Systems, a maker of thermal imaging and broadcast
camera systems, and Paxar Corp., a manufacturer of electronic bar code printers
and hand-held labeling devices for retailers, also reported substantially better
earnings and revenues. And, in Producer Durables, Stewart & Stevenson, a maker
of industrial equipment for oil and gas distributors, was another beneficiary of
higher reported earnings.
The weakest performances occurred in the Consumer Discretionary and Consumer
Staples sectors. In Consumer Discretionary, Teletech Holdings, an operator of
customer call centers, declined after announcing a net loss for 2003 partly
related to a restructuring designed to improve profitability. In Consumer
Staples, American Italian Pasta, the largest maker of dry pasta in North
America, declined as the popularity of low-carbohydrate diets reduced sales.
Q: HOW WAS THE FUND MANAGED?
A: The Fund's holdings remain evenly balanced between the three underlying
managers. Earnest Partners is a fundamental, bottom-up manager that selects a
concentrated portfolio of stocks. ICM Asset Management is a fundamental manager
that builds a portfolio from securities that tend to be out of favor. And
JPMorgan Investment Management combines fundamental research with a quantitative
approach to build its portfolio.
On aggregate, the managers are overweight the Consumer Discretionary, Healthcare
and Producer Durables sectors. They are underweight the Financials, Materials
and Technology sectors.
6
<Page>
[CHART]
PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS
<Table>
Consumer Goods & Services 22.4%
Industrial Products & Services 16.6%
Finance & Insurance 13.7%
Technology 10.5%
Health Services & Systems 8.1%
Short-Term Investments 6.1%
Energy 5.4%
REITs 4.6%
Utilities 4.2%
Pharmaceuticals 4.1%
Finance 2.8%
Telecommunications 1.5%
</Table>
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO
<Table>
1. iSARES RUSSELL 2000 VALUE INDEX FUND (2.8%)
2. PEDIATRIX MEDICAL GROUP, INC. (1.4%)
3. FLIR SYSTEMS, INC. (1.2%)
4. COOPER COMPANIES, INC. (1.2%)
5. CHESAPEAKE ENERGY CORP. (1.1%)
6. RUSSELL CORP. (1.0%)
7. PHILADELPHIA CONSOLIDATED HOLDING CORP. (1.0%)
8. OFFICE DEPOT, INC. (1.0%)
9. THE SPORTS AUTHORITY, INC. (1.0%)
10. AMERICAN TOWER CORP., CLASS A (1.0%)
</Table>
TOP 10 EQUITY HOLDINGS COMPRISED 12.7% ($37,003 IN THOUSANDS) OF THE PORTFOLIO'S
MARKET VALUE OF INVESTMENTS. AS OF JUNE 30, 2004, THE FUND HELD 653 EQUITY
HOLDINGS. PORTFOLIO HOLDINGS ARE SUBJECT TO CHANGE AT ANY TIME.
AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2004
<Table>
<Caption>
SINCE INCEPTION
1 YEAR (2/28/03)
- --------------------------------------------------------------------------------
Multi-Manager Small Cap Value Fund 38.70% 48.41%
</Table>
7
<Page>
[CHART]
LIFE OF FUND PERFORMANCE (2/28/03 TO 6/30/04)
<Table>
<Caption>
JPMORGAN MULTI-MANAGER RUSSELL 2000 LIPPER SMALL-CAP
SMALL CAP VALUE VALUE INDEX VALUE INDEX
2/28/2003 $ 1,000,000 $ 1,000,000 $ 1,000,000
3/31/2003 $ 1,005,000 $ 1,010,700 $ 1,002,600
4/30/2003 $ 1,084,998 $ 1,106,717 $ 1,092,433
5/31/2003 $ 1,199,031 $ 1,219,712 $ 1,197,744
6/30/2003 $ 1,220,974 $ 1,240,325 $ 1,231,400
7/31/2003 $ 1,278,970 $ 1,302,218 $ 1,294,448
8/31/2003 $ 1,347,011 $ 1,351,702 $ 1,358,135
9/30/2003 $ 1,332,059 $ 1,336,157 $ 1,347,813
10/31/2003 $ 1,459,004 $ 1,445,054 $ 1,450,920
11/30/2003 $ 1,519,991 $ 1,500,544 $ 1,505,040
12/31/2003 $ 1,580,182 $ 1,554,864 $ 1,569,757
1/31/2004 $ 1,625,060 $ 1,608,662 $ 1,616,692
2/28/2004 $ 1,652,686 $ 1,639,870 $ 1,650,158
3/31/2004 $ 1,670,039 $ 1,662,500 $ 1,663,194
4/30/2004 $ 1,608,748 $ 1,576,549 $ 1,602,654
5/31/2004 $ 1,624,032 $ 1,595,625 $ 1,613,552
6/30/2004 $ 1,693,527 $ 1,676,683 $ 1,690,518
</Table>
SOURCE: LIPPER, INC. THE QUOTED PERFORMANCE IS PAST PERFORMANCE AND NOT A
GUARANTEE OF FUTURE RESULTS. 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'S 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'S PROSPECTUS PLEASE CALL 800 348-4782. PLEASE
READ CAREFULLY BEFORE INVESTING OR SENDING MONEY.
The Fund commenced operations on 2/28/03.
The graph illustrates comparative performance for $1,000,000 invested in shares
of the JPMorgan Multi-Manager Small Cap Value Fund, Russell 2000 Value Index,
and Lipper Small-Cap Value Funds Index from February 28, 2003 to June 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 2000 Value Index measures the performance of those Russell 2000
companies with lower price-to-book ratios and lower forecasted growth values.
The Lipper Small-Cap Value Funds Index represents the total returns of the funds
in the indicated category, as defined by Lipper, Inc. Investors cannot invest
directly in an index.
Shares have a $1,000,000 minimum initial deposit and carry no sales charge.
Certain fees and expenses of the Fund are currently being waived and reimbursed
as described in the prospectus. Had the expenses not been subsidized or waived,
returns would have been lower. Also, all performance shown in this section does
not reflect the deduction of taxes that a shareholder would pay on fund
distributions or redemption of fund shares.
8
<Page>
JPMORGAN MULTI-MANAGER SMALL CAP GROWTH FUND
Portfolio of Investments
As of June 30, 2004
(Amounts in thousands)
<Table>
<Caption>
SHARES ISSUER VALUE
- ----------------------------------------------------------------------------------------------------
Long-Term Investments -- 96.5%
COMMON STOCKS -- 95.0%
Advertising -- 0.2%
10 Lamar Advertising Co. * $ 454
Aerospace -- 0.6%
24 Engineered Support Systems, Inc. 1,410
Airlines -- 0.1%
32 Pinnacle Airlines Corp. * 363
Apparel -- 0.6%
13 Reebok International LTD 486
46 The Warnaco Group, Inc. * 968
---------
1,454
Automotive -- 0.4%
30 American Axle & Manufacturing Holdings, Inc. 1,084
Banking -- 3.8%
61 Commercial Capital Bancorp, Inc. * 1,051
59 East-West Bancorp, Inc. 1,810
11 Harbor Florida Bancshares, Inc. 300
39 Investors Financial Services Corp. 1,678
0^^ New York Community Bancorp, Inc. 0^^
35 Southwest Bancorp of Texas, Inc. 1,540
66 UCBH Holdings, Inc. 2,609
15 Wintrust Financial Corp. 766
---------
9,754
Biotechnology -- 4.1%
154 Abgenix, Inc. * 1,799
12 Affymetrix, Inc. * 399
38 Corgentech, Inc. 619
65 ICOS Corp. * 1,940
56 Incyte Genomics, Inc. * 431
46 Maxygen, Inc. * 490
141 Nektar Therapeutics * 2,812
17 Pharmaceutical Product Development, Inc. * 540
48 Protein Design Labs, Inc. * 911
28 Telik, Inc. * 661
---------
10,602
Broadcasting/Cable -- 0.1%
11 Salem Communications Corp., Class A * 285
Business Services -- 4.8%
23 Chemed Corp. 1,094
13 ChoicePoint, Inc. * 596
89 Cognizant Technology Solutions Corp. * 2,262
61 DiamondCluster International, Inc., Class A * 532
74 Digital River, Inc. * 2,415
41 Fair Isaac Corp. 1,375
18 Hewitt Associates, Inc., Class A * 483
20 Korn/Ferry International * 391
</Table>
See notes to financial statements.
9
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- ----------------------------------------------------------------------------------------------------
Long-Term Investments -- Continued
Business Services -- Continued
26 Labor Ready, Inc. * $ 395
35 Resources Connection, Inc. * 1,368
21 Robert Half International, Inc. 630
14 The Corporate Executive Board Co. 807
---------
12,348
Computer Networks -- 1.6%
55 Avocent Corp. * 2,011
108 Brocade Communications Systems, Inc. * 648
15 Factset Research Systems, Inc. 690
47 Foundry Networks, Inc. * 661
---------
4,010
Computer Software -- 6.9%
6 Blackboard, Inc. * 124
36 CACI International, Inc., Class A * 1,448
35 Cerner Corp. * 1,569
15 Cognos, Inc. (Canada) * 549
26 DSP Group, Inc. * 706
139 Embarcadero Technologies, Inc. * 1,715
152 Epicor Software Corp. * 2,136
35 FileNet Corp. * 1,117
26 Hyperion Solutions Corp. * 1,140
51 Informatica Corp. * 392
28 Jack Henry & Associates, Inc. 569
47 Magma Design Automation, Inc. * 894
97 Quest Software, Inc. * 1,251
65 Retek, Inc. * 402
48 RSA Security, Inc. * 985
47 Secure Computing Corp. * 546
163 SkillSoft PLC, ADR * 1,242
28 THQ, Inc. * 637
35 Verisity LTD * 208
---------
17,630
Computers/Computer Hardware -- 0.8%
16 Advanced Digital Information Corp. * 158
59 Dot Hill Systems Corp. * 659
34 Radisys Corp. * 626
7 Zebra Technologies Corp., Class A * 642
---------
2,085
Construction -- 1.3%
45 Dycom Industries, Inc. * 1,260
17 EMCOR Group, Inc. * 726
21 Hovnanian Enterprises, Inc., Class A * 732
2 NVR, Inc. * 726
---------
3,444
Construction Materials -- 0.5%
35 Trex Co., Inc. * 1,321
Consumer Products -- 0.4%
39 Wolverine World Wide, Inc. 1,026
</Table>
See notes to financial statements.
10
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- ----------------------------------------------------------------------------------------------------
Long-Term Investments -- Continued
Consumer Services -- 4.3%
41 Career Education Corp. * $ 1,872
180 Corinthian Colleges, Inc. * 4,447
18 Corrections Corp of America * 729
10 iPayment Holdings, Inc. * 402
91 Laureate Education, Inc. * 3,472
---------
10,922
Distribution -- 0.2%
10 Hughes Supply, Inc. 615
Electronics/Electrical Equipment -- 3.0%
31 Ametek, Inc. 962
46 Benchmark Electronics, Inc. * 1,350
31 Fisher Scientific International * 1,802
115 GrafTech International LTD * 1,199
19 Photon Dynamics, Inc. * 663
60 Symbol Technologies, Inc. 891
66 TTM Technologies, Inc. * 776
---------
7,643
Engineering Services -- 0.3%
26 Chicago Bridge & Iron Co., N.Y. Registered Shares 716
(The Netherlands)
Entertainment/Leisure -- 2.3%
29 Alliance Gaming Corp. * 490
47 Boyd Gaming Corp. 1,237
142 Pinnacle Entertainment, Inc. * 1,787
49 Station Casinos, Inc. 2,356
---------
5,870
Environmental Services -- 0.2%
36 Tetra Tech, Inc. * 594
Financial Services -- 2.7%
32 Affiliated Managers Group, Inc. * 1,595
25 BankUnited Financial Corp., Class A * 640
72 CapitalSource, Inc. * 1,751
13 Eaton Vance Corp. 503
13 Jefferies Group, Inc. 392
67 Nelnet, Inc. * 1,193
20 The First Marblehead Corp. * 817
---------
6,891
Food/Beverage Products -- 1.4%
26 Constellation Brands, Inc., Class A * 951
35 Cott Corp. (Canada) * 1,125
24 Hain Celestial Group, Inc. * 433
22 Performance Food Group Co. * 594
11 The J.M. Smucker Co. 524
---------
3,627
Health Care/Health Care Services -- 13.7%
21 Accredo Health, Inc. * 835
22 Advanced Neuromodulation Systems, Inc. * 731
</Table>
See notes to financial statements.
11
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- ----------------------------------------------------------------------------------------------------
Long-Term Investments -- Continued
Health Care/Health Care Services -- Continued
38 AMERIGROUP Corp. * $ 1,879
29 Amsurg Corp. * 717
40 Animas Corp. * 740
17 Arrow International, Inc. 502
44 Arthrocare Corp. * 1,268
49 Community Health Systems, Inc. * 1,309
13 Cooper Companies, Inc. 850
16 Covance, Inc. * 621
74 Cutera, Inc. 1,006
27 Cytyc Corp. * 685
13 Henry Schein, Inc. * 832
47 Inamed Corp. * 2,935
22 Inveresk Research Group, Inc. * 663
4 Kinetic Concepts, Inc. * 220
30 LabOne, Inc. * 950
45 Merit Medical Systems, Inc. * 712
17 Molina Healthcare, Inc. * 641
50 Odyssey Healthcare, Inc. * 941
19 Patterson Dental Co. * 1,484
47 Pediatrix Medical Group, Inc. * 3,265
84 Psychiatric Solutions, Inc. * 2,099
8 ResMed, Inc. * 403
124 Select Medical Corp. 1,659
81 United Surgical Partners International, Inc. * 3,189
45 VCA Antech, Inc. * 1,999
14 VISX, Inc. * 385
8 Wellcare Health Plans, Inc. * 138
25 WellChoice, Inc. * 1,033
---------
34,691
Hotels/Other Lodging -- 0.2%
9 Mandalay Resort Group 611
Insurance -- 0.7%
43 Bristol West Holdings, Inc. 777
12 Hilb, Rogal & Hamilton Co. 417
14 RLI Corp. 500
---------
1,694
Internet Services/Software -- 2.5%
86 Agile Software Corp. * 750
22 Ask Jeeves, Inc. * 845
121 Autobytel, Inc. * 1,101
66 DoubleClick, Inc. * 511
150 eCollege.com, Inc. * 2,394
205 Loudeye Corp. 323
20 Monster Worldwide, Inc. * 518
---------
6,442
Machinery & Engineering Equipment -- 1.2%
40 Cognex Corp. 1,531
26 Graco, Inc. 807
16 York International Corp. 637
---------
2,975
</Table>
See notes to financial statements.
12
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- ----------------------------------------------------------------------------------------------------
Long-Term Investments -- Continued
Manufacturing -- 1.0%
12 Clarcor, Inc. $ 549
17 ESCO Technologies, Inc. * 881
39 JLG Industries, Inc. 540
21 Lincoln Electric Holdings, Inc. 716
---------
2,686
Metals/Mining -- 1.0%
68 Arch Coal, Inc. 2,492
Multi-Media -- 1.5%
94 Citadel Broadcasting Corp. * 1,367
21 Cox Radio, Inc., Class A * 368
90 Cumulus Media, Inc., Class A * 1,505
15 Entercom Communications Corp. * 544
---------
3,784
Office/Business Equipment -- 0.2%
21 Herman Miller, Inc. 595
Oil & Gas -- 5.7%
52 CAL Dive International, Inc. * 1,561
9 Evergreen Resources, Inc. * 382
23 Grant Prideco, Inc. * 428
23 National-Oilwell, Inc. * 711
222 Newpark Resources, Inc. * 1,376
64 Patina Oil & Gas Corp. 1,907
42 Patterson-UTI Energy, Inc. 1,403
36 Quicksilver Resources, Inc. * 2,444
85 Rowan Companies, Inc. * 2,066
46 Tetra Technologies, Inc. * 1,222
50 W-H Energy Services, Inc. * 982
---------
14,482
Pharmaceuticals -- 4.0%
16 Amylin Pharmaceuticals, Inc. * 372
55 Dyax Corp. * 646
51 First Horizon Pharmaceutical Corp. * 956
45 Isis Pharmaceuticals, Inc. * 259
82 Medicines Co. * 2,486
14 Medicis Pharmaceutical Corp., Class A 545
17 MGI Pharma, Inc. * 462
27 Nabi Biopharmaceuticals * 381
17 Neurocrine Biosciences, Inc. * 861
22 NPS Pharmaceuticals, Inc. * 466
28 Onyx Pharmaceuticals, Inc. * 1,190
36 Penwest Pharmaceuticals Co. * 455
16 Taro Pharmaceutical Industries LTD (Israel) * 705
28 Zymogenetics, Inc. * 533
---------
10,317
Pipelines -- 0.3%
22 Western Gas Resources, Inc. 726
</Table>
See notes to financial statements.
13
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- ----------------------------------------------------------------------------------------------------
Long-Term Investments -- Continued
Real Estate Investment Trust -- 1.2%
36 American Financial Realty Trust $ 516
13 Government Properties Trust, Inc. 131
34 Highland Hospitality Corp. 346
21 The Mills Corp. 976
47 Ventas, Inc. 1,099
---------
3,068
Restaurants/Food Services -- 1.5%
9 Applebee's International, Inc. 214
67 CKE Restaurants, Inc. * 897
9 P.F. Chang's China Bistro, Inc. * 358
21 Panera Bread Co., Class A * 761
20 Rare Hospitality International, Inc. * 498
42 Ruby Tuesday, Inc. 1,144
---------
3,872
Retailing -- 4.5%
17 Advanced Auto Parts, Inc. * 756
53 Aeropostale, Inc. * 1,415
20 AnnTaylor Stores Corp. * 583
9 Cabela's, Inc., Class A * 251
61 Chico's FAS, Inc. * 2,732
28 Electronics Boutique Holdings Corp. * 732
22 Guitar Center, Inc. * 992
18 Hot Topic, Inc. * 367
12 Michaels Stores, Inc. 679
31 Pep Boys-Manny, Moe & Jack 785
38 PETCO Animal Supplies, Inc. * 1,221
6 Tractor Supply Co. * 268
7 Whole Foods Market, Inc. 689
---------
11,470
Semi-Conductors -- 8.4%
31 Actel Corp. * 574
25 Artisan Components, Inc. * 637
22 ATMI, Inc. * 595
130 August Technology Corp. * 1,634
18 Cree, Inc. * 428
40 Exar Corp. * 592
69 Helix Technology Corp. 1,477
75 Integrated Silicon Solutions, Inc. * 913
44 International Rectifier Corp. * 1,807
31 Intersil Corp., Class A 681
88 Lam Research Corp. * 2,367
34 Micrel, Inc. * 409
77 Microsemi Corp. * 1,093
87 MKS Instruments, Inc. * 1,995
184 ON Semiconductor Corp. * 921
50 Power Integrations, Inc. * 1,239
25 Rudolph Technologies, Inc. * 460
47 Sigmatel, Inc. * 1,360
5 Sirf Technology Holdings, Inc. 67
16 Standard Microsystems Corp. * 382
</Table>
See notes to financial statements.
14
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- ----------------------------------------------------------------------------------------------------
Long-Term Investments -- Continued
Semi-Conductors -- Continued
30 Varian Semiconductor Equipment Associates, Inc. * $ 1,161
33 Zoran Corp. * 612
---------
21,404
Shipping/Transportation -- 0.6%
31 UTI Worldwide, Inc. (Virgin Islands) 1,619
Steel -- 0.5%
44 Steel Dynamics, Inc. * 1,268
Telecommunications -- 2.7%
163 Aeroflex, Inc. * 2,336
104 Arris Group, Inc. * 619
4 Atheros Communications, Inc. * 39
101 Carrier Access Corp. * 1,198
55 Tekelec * 991
61 Western Wireless Corp., Class A * 1,766
---------
6,949
Telecommunications Equipment -- 2.0%
37 Anaren, Inc. * 605
53 Andrew Corp. * 1,067
28 C-COR.net Corp. * 289
47 Comverse Technology, Inc. * 928
71 Powerwave Technologies, Inc. * 548
282 Remec, Inc. * 1,780
---------
5,217
Transportation -- 1.0%
27 JB Hunt Transport Services, Inc. 1,025
16 Landstar System, Inc. * 851
25 Old Dominion Freight Line * 730
---------
2,606
---------------------------------------------------------------------------------------
Total Common Stocks 243,116
(Cost $209,649)
---------------------------------------------------------------------------------------
INVESTMENT COMPANIES -- 1.5%
28 Apollo Investment Corp. * 390
29 I Shares Trust - Russell 2000 Index Fund 3,362
---------------------------------------------------------------------------------------
Total Investment Companies
(Cost $3,718) 3,752
- ----------------------------------------------------------------------------------------------------
Total Long-Term Investments 246,868
(Cost $213,367)
- ----------------------------------------------------------------------------------------------------
Short-Term Investment -- 3.5%
MONEY MARKET FUND -- 3.5%
9,048 JPMorgan Prime Money Market Fund (a) 9,048
(Cost $9,048)
- ----------------------------------------------------------------------------------------------------
Total Investments -- 100.0% $ 255,916
(Cost $222,415)
- ----------------------------------------------------------------------------------------------------
</Table>
See notes to financial statements.
15
<Page>
JPMORGAN MULTI-MANAGER SMALL CAP VALUE FUND
Portfolio of Investments
As of June 30, 2004
(Amounts in thousands)
<Table>
<Caption>
SHARES ISSUER VALUE
- ----------------------------------------------------------------------------------------------------
Long-Term Investments -- 93.9%
COMMON STOCKS -- 91.1%
Advertising -- 0.1%
9 aQuantive, Inc. * $ 93
5 Catalina Marketing Corp. * 95
3 R.H. Donnelley Corp. * 144
---------
332
Aerospace -- 1.3%
5 AAR Corp. * 61
14 Aviall, Inc. * 266
6 Curtiss-Wright Corp. 326
0^^ Ducommun, Inc. * 6
8 Esterline Technologies Corp. * 248
36 Goodrich Corp. 1,151
4 HEICO Corp. 78
11 Kaman Corp., Class A 147
32 Moog, Inc., Class A * 1,179
7 Orbital Sciences Corp. * 93
3 Triumph Group, Inc. * 105
---------
3,660
Agricultural Production/Services -- 0.0^%
8 Standard Commercial Corp. 135
Airlines -- 0.3%
3 Alaska Air Group, Inc. * 79
15 Continental Airlines, Inc., Class B * 165
17 ExpressJet Holdings, Inc. * 211
14 Northwest Airlines Corp. * 157
15 SkyWest, Inc. 252
---------
864
Apparel -- 2.0%
8 Kellwood Co. 353
4 Kenneth Cole Productions, Inc., Class A 141
88 Phillips-Van Heusen Corp. 1,684
6 Quiksilver, Inc. * 131
170 Russell Corp. 3,056
18 Tommy Hilfiger Corp. (Hong Kong) * 269
5 Vans, Inc. * 105
---------
5,739
Appliances & Household Durables -- 0.1%
5 Applica, Inc. * 46
0^^ Furniture Brands International, Inc. 10
25 Jacuzzi Brands, Inc. * 199
---------
255
Automotive -- 1.2%
8 Aftermarket Technology Corp. * 134
3 American Axle & Manufacturing Holdings, Inc. 120
2 Bandag, Inc. 80
3 Keystone Automotive Industries, Inc. * 78
8 Lithia Motors, Inc., Class A 201
9 Oshkosh Truck Corp. 539
2 Sonic Automotive, Inc. 40
</Table>
See notes to financial statements.
16
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- ----------------------------------------------------------------------------------------------------
Long-Term Investments -- Continued
Automotive -- Continued
3 Superior Industries International, Inc. $ 110
23 Tenneco Automotive, Inc. * 300
19 Tower Automotive, Inc. * 67
36 Visteon Corp. 425
35 Winnebago Industries, Inc. 1,290
---------
3,384
Banking -- 4.9%
3 ABC Bancorp 55
4 Amcore Financial, Inc. 115
2 AmericanWest Bancorp * 38
24 Astoria Financial Corp. 885
1 Bancfirst Corp. 30
1 Bank of the Ozarks, Inc. 14
21 BankAtlantic Bancorp, Inc., Class A 384
2 Banner Corp. 46
1 Capital Corp of the West 31
3 Capitol Bancorp LTD 86
8 Chemical Financial Corp. 310
1 City Holding Co. 41
3 Columbia Banking Systems, Inc. 77
9 Commerce Bancorp, Inc. 479
1 Commercial Capital Bancorp, Inc. * 15
63 Commercial Federal Corp. 1,696
11 Community Bank System, Inc. 260
3 Community Trust Bancorp, Inc. 92
13 Corus Bankshares, Inc. 526
9 Cullen/Frost Bankers, Inc. 380
7 Dime Community Bancshares 128
0^^ Financial Institutions, Inc. 2
0^^ First Citizens BancShares, Inc., Class A 12
2 First Financial Holdings, Inc. 55
5 First Niagara Financial Group, Inc. 60
1 First Oak Brook Bancshares, Inc. 27
5 First Republic Bank 233
4 FirstFed Financial Corp. * 166
8 Flagstar Bancorp, Inc. 161
29 Gold Banc Corp., Inc. 445
1 Great Southern Bancorp, Inc. 18
10 Greater Bay Bancorp 292
17 Hanmi Financial Corp. 513
5 Hibernia Corp., Class A 122
17 Hudson River Bancorp 283
9 IBERIABANK Corp. 550
10 Independent Bank Corp. - Massachusetts 281
10 Independent Bank Corp. - Michigan 259
3 IndyMac Bancorp, Inc. 92
0^^ International Bancshares Corp. 14
12 Irwin Financial Corp. 309
0^^ Lakeland Financial Corp. 3
7 MAF Bancorp, Inc. 303
0^^ MainSource Financial Group, Inc. 10
</Table>
See notes to financial statements.
17
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- ----------------------------------------------------------------------------------------------------
Long-Term Investments -- Continued
Banking -- Continued
1 MB Financial, Inc. $ 22
4 Mercantile Bank Corp. 145
8 Mid-State Bancshares 190
0^^ Nara Bancorp, Inc. 7
15 NetBank, Inc. 158
0^^ Old Second Bancorp, Inc. 5
7 Oriental Financial Group, Inc. (Puerto Rico) 176
0^^ Peoples Bancorp, Inc. 11
6 Provident Bankshares Corp. 176
14 R&G Financial Corp. (Puerto Rico), Class B 448
26 Republic Bancorp, Inc. - Michigan 357
1 Republic Bancorp, Inc.- Kentucky, Class A 21
0^^ Royal Bancshares of Pennsylvania, Class A 8
0^^ SCBT Financial Corp. 12
4 Second Bancorp, Inc. 125
3 Silicon Valley Bancshares * 131
3 Simmons First National Corp., Class A 89
2 Southside Bancshares, Inc. 52
0^^ Southwest Bancorp, Inc. 4
4 State Financial Services Corp., Class A 119
6 Sterling Financial Corp. - Pennsylvania 148
15 Sterling Financial Corp. - Washington * 479
3 Summit Bancshares, Inc. 99
2 Sun Bancorp, Inc. * 33
4 Taylor Capital Group, Inc. 85
14 The Colonial BancGroup, Inc. 247
6 TierOne Corp. 127
3 TriCo Bancshares 47
4 Umpqua Holdings Corp. 88
8 United Bankshares, Inc. 267
13 W Holding Co., Inc. (Puerto Rico) 222
18 West Coast Bancorp 386
1 Western Sierra Bancorp * 37
1 Wintrust Financial Corp. 35
---------
14,454
Biotechnology -- 2.7%
5 Abgenix, Inc. * 55
76 Albany Molecular Research, Inc. * 978
0^^ Alexion Pharmaceuticals, Inc. * 6
6 Applera Corp. - Celera Genomics Group * 68
3 Bio-Rad Laboratories, Inc., Class A * 171
80 Cambrex Corp. 2,030
3 Cell Genesys, Inc. * 27
14 Cytogen Corp. * 227
8 Cytokinetics, Inc. * 116
61 Genelabs Technologies * 140
10 Human Genome Sciences, Inc. * 112
81 Pharmaceutical Product Development, Inc. * 2,560
66 Serologicals Corp. * 1,321
7 Telik, Inc. * 159
---------
7,970
</Table>
See notes to financial statements.
18
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- ----------------------------------------------------------------------------------------------------
Long-Term Investments -- Continued
Broadcasting/Cable -- 0.6%
40 Charter Communications, Inc., Class A * $ 156
12 Mediacom Communications Corp., Class A * 92
0^^ Pulitzer, Inc. 20
132 Sinclair Broadcast Group, Inc., Class A 1,356
---------
1,624
Business Services -- 2.3%
109 Administaff, Inc. * 1,813
1 Banta Corp. 49
16 Century Business Services, Inc. * 70
0^^ Charles River Associates, Inc. * 12
3 Clark, Inc. * 50
0^^ Consolidated Graphics, Inc. * 18
162 Convergys Corp. * 2,501
4 Cornell Companies, Inc. * 60
9 Dollar Thrifty Automotive Group, Inc. * 255
19 Gartner, Inc., Class A * 251
3 Harris Interactive, Inc. * 17
2 infoUSA, Inc. * 16
34 Kelly Services, Inc., Class A 1,025
1 MAXIMUS, Inc., * 39
7 Metris Companies, Inc. * 58
2 NCO Group, Inc. * 45
4 Parexel International Corp. * 81
4 PDI, Inc. * 106
19 Spherion Corp. * 193
14 TeleTech Holdings, Inc. * 122
7 Tyler Technologies, Inc. * 66
0^^ Volt Information Sciences, Inc. * 13
---------
6,860
Chemicals -- 2.9%
17 Cabot Corp. 680
31 Crompton Corp. 197
7 Cytec Industries, Inc. 323
27 Engelhard Corp. 871
9 FMC Corp. * 371
13 Georgia Gulf Corp. 466
10 HB Fuller Co. 281
14 Hercules, Inc. * 171
0^^ Kronos Worldwide, Inc. 6
3 Millennium Chemicals, Inc. * 52
4 Minerals Technologies, Inc. 226
7 NewMarket Corp. * 159
13 NL Industries, Inc. 194
9 Octel Corp. (United Kingdom) 248
2 OM Group, Inc. * 63
28 Polyone Corp. * 210
185 RPM International, Inc. 2,816
6 Valhi, Inc. 64
19 Valspar Corp. 972
17 W.R. Grace & Co. * 107
</Table>
See notes to financial statements.
19
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- ----------------------------------------------------------------------------------------------------
Long-Term Investments -- Continued
Chemicals -- Continued
12 Wellman, Inc. $ 100
---------
8,577
Computer Networks -- 0.1%
5 Anixter International, Inc. 163
3 Black Box Corp. 156
4 SafeNet, Inc. * 115
---------
434
Computer Software -- 1.1%
8 Aspen Technology, Inc. * 57
2 CACI International, Inc., Class A * 77
13 Ciber, Inc. * 107
32 CompuCom Systems, Inc. * 144
5 Computer Programs & Systems, Inc. 92
5 DSP Group, Inc. * 128
4 E.piphany, Inc. * 20
39 Global Payments, Inc. 1,732
0^^ Hyperion Solutions Corp. * 4
2 Intergraph Corp. * 44
0^^ Magma Design Automation, Inc. * 8
8 ManTech International Corp., Class A * 152
5 Manugistics Group, Inc. * 17
4 NetIQ Corp. * 58
31 Parametric Technology Corp. * 153
10 Per-Se Technologies, Inc. * 141
8 Perot Systems Corp., Class A * 100
5 Progress Software Corp. * 111
9 Secure Computing Corp. * 101
---------
3,246
Computers/Computer Hardware -- 0.5%
13 Agilysys, Inc. 175
10 Electronics for Imaging, Inc. * 271
22 Gateway, Inc. * 101
8 Hutchinson Technology, Inc. * 197
8 Imagistics International, Inc. * 287
3 Komag, Inc. * 36
9 Maxtor Corp. * 62
4 PalmOne, Inc. * 122
22 Quantum Corp. * 69
4 Radisys Corp. * 71
45 Silicon Graphics, Inc. * 99
7 Sykes Enterprises, Inc. * 50
---------
1,540
Construction -- 2.2%
1 Beazer Homes USA, Inc. 80
1 Dominion Homes, Inc. * 32
4 Dycom Industries, Inc. * 120
1 EMCOR Group, Inc. * 53
71 Hovnanian Enterprises, Inc., Class A * 2,451
5 Levitt Corp., Class A * 131
23 Meritage Corp. * 1,576
</Table>
See notes to financial statements.
20
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- ----------------------------------------------------------------------------------------------------
Long-Term Investments -- Continued
Construction -- Continued
32 Standard-Pacific Corp. $ 1,592
13 WCI Communities, Inc. * 290
---------
6,325
Construction Materials -- 0.5%
7 AMCOL International Corp. 140
3 Ameron International Corp. 92
0^^ Eagle Materials, Inc. 21
6 Genlyte Group, Inc. * 359
7 LSI Industries, Inc. 78
1 NCI Building Systems, Inc. * 42
6 Texas Industries, Inc. 226
11 Universal Forest Products, Inc. 362
12 USG Corp. * 204
---------
1,524
Consumer Products -- 2.6%
4 American Greetings Corp., Class A * 90
62 Chattem, Inc. * 1,799
0^^ CSS Industries, Inc. 5
4 Elizabeth Arden, Inc. * 78
31 Harman International Industries, Inc. 2,821
8 Kimball International, Class B 119
14 Revlon, Inc., Class A * 41
22 The Scotts Co., Class A * 1,412
5 Toro Co. 329
2 Tupperware Corp. 47
17 Universal Corp. 851
---------
7,592
Consumer Services -- 1.7%
6 Alderwoods Group, Inc. (Canada) * 74
3 Arbitron, Inc. * 121
0^^ MemberWorks, Inc. * 12
27 Regis Corp. 1,202
13 Rent-Way, Inc. * 113
67 Stewart Enterprises, Inc., Class A * 541
7 The GEO Group, Inc. * 151
158 United Rentals, Inc. * 2,829
---------
5,043
Distribution -- 0.5%
4 Building Material Holding Corp. 81
53 Watsco, Inc. 1,480
1 WESCO International, Inc. * 20
---------
1,581
Electronics/Electrical Equipment -- 5.1%
4 Analogic Corp. 178
4 Bel Fuse, Inc., Class B 154
7 Benchmark Electronics, Inc. * 217
6 Checkpoint Systems, Inc. * 100
81 Coherent, Inc. * 2,404
11 CTS Corp. 135
6 Encore Wire Corp. * 152
</Table>
See notes to financial statements.
21
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- ----------------------------------------------------------------------------------------------------
Long-Term Investments -- Continued
Electronics/Electrical Equipment -- Continued
64 Flir Systems, Inc. * $ 3,498
8 Integrated Electrical Services, Inc. * 65
3 MTS Systems Corp. 80
106 Paxar Corp. * 2,063
45 PerkinElmer, Inc. 899
9 Rayovac Corp. * 247
52 Sanmina-SCI Corp. * 474
8 Stoneridge, Inc. * 134
132 Symbol Technologies, Inc. 1,939
5 Sypris Solutions, Inc. 86
1 Trimble Navigation LTD * 25
3 TTM Technologies, Inc. * 38
99 Vishay Intertechnology, Inc. * 1,832
6 Watts Water Technologies, Inc., Class A 148
---------
14,868
Engineering Services -- 0.2%
10 McDermott International, Inc. * 104
8 URS Corp. * 222
9 Washington Group International, Inc. * 315
---------
641
Entertainment/Leisure -- 1.1%
14 AMC Entertainment, Inc. * 218
5 Ameristar Casinos, Inc. 151
3 Arctic Cat, Inc. 80
4 Argosy Gaming Co. * 143
13 Aztar Corp. * 366
1 Bally Total Fitness Holding Corp. * 4
4 Boyd Gaming Corp. 104
19 Callaway Golf Co. 215
4 Isle of Capri Casinos, Inc. * 63
7 K2, Inc. * 110
6 Navigant International, Inc. * 100
10 Six Flags, Inc. * 70
56 WMS Industries, Inc. * 1,653
---------
3,277
Environmental Services -- 0.2%
1 BHA Group Holdings, Inc. 23
5 Mine Safety Appliances Co. 152
12 Republic Services, Inc. 355
9 Tetra Tech, Inc. * 144
---------
674
Financial Services -- 4.3%
44 Accredited Home Lenders Holding Co. * 1,241
8 Advanta Corp., Class B 179
3 American Capital Strategies LTD 81
89 AmeriCredit Corp. * 1,742
96 BankUnited Financial Corp., Class A * 2,482
8 CompuCredit Corp. * 140
36 Eaton Vance Corp. 1,376
1 eSpeed, Inc., Class A * 11
</Table>
See notes to financial statements.
22
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- ----------------------------------------------------------------------------------------------------
Long-Term Investments -- Continued
Financial Services -- Continued
0^^ ITLA Capital Corp. * $ 12
60 Jefferies Group, Inc. 1,846
26 Knight Trading Group, Inc., Class A * 264
5 LaBranche & Co., Inc. 45
4 New Century Financial Corp. 166
8 Ocwen Financial Corp. * 101
71 Raymond James Financial, Inc. 1,874
21 Safeguard Scientifics, Inc. * 49
4 Student Loan Corp. 601
14 World Acceptance Corp. * 260
3 WSFS Financial Corp. 161
---------
12,631
Food/Beverage Products -- 0.9%
63 American Italian Pasta Co., Class A 1,913
25 Chiquita Brands International, Inc. * 525
1 Corn Products International, Inc. 23
1 Flowers Foods, Inc. 30
0^^ J & J Snack Foods Corp. * 12
3 Ralcorp Holdings, Inc. * 116
0^^ Sensient Technologies Corp. 9
0^^ The J.M. Smucker Co. 15
---------
2,643
Health Care/Health Care Services -- 8.1%
55 Accredo Health, Inc. * 2,144
279 Beverly Enterprises, Inc. * 2,398
8 CONMED Corp. * 208
55 Cooper Companies, Inc. 3,481
72 Covance, Inc. * 2,766
12 Cross Country Healthcare, Inc. * 219
4 CTI Molecular Imaging, Inc. * 54
9 Gentiva Health Services * 138
109 Health Management Associates, Inc., Class A 2,447
0^^ Invacare Corp. 4
7 Inveresk Research Group, Inc. * 204
14 Kindred Healthcare, Inc. * 374
6 Kyphon, Inc. * 161
8 Lincare Holdings, Inc. * 263
28 Manor Care, Inc. 910
16 Mariner Health Care, Inc. * 441
56 NDCHealth Corp. 1,297
22 Omnicare, Inc. 946
41 Orthovita, Inc. * 211
9 Palatin Technologies, Inc. * 39
57 Pediatrix Medical Group, Inc. * 3,959
4 Province Healthcare Co. * 60
10 PSS World Medical, Inc. * 115
0^^ Sierra Health Services, Inc. * 18
12 Sola International, Inc. * 214
4 Steris Corp. * 92
0^^ SurModics, Inc. * 5
</Table>
See notes to financial statements.
23
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- ----------------------------------------------------------------------------------------------------
Long-Term Investments -- Continued
Health Care/Health Care Services -- Continued
7 US Oncology, Inc. * $ 99
---------
23,267
Hotels/Other Lodging -- 0.6%
90 Hilton Hotels Corp. 1,681
5 La Quinta Corp. * 40
---------
1,721
Industrial Components -- 0.2%
26 Lennox International, Inc. 467
Insurance -- 4.4%
14 Allmerica Financial Corp. * 477
53 American Financial Group, Inc. 1,632
10 AmerUs Group Co. 393
9 Argonaut Group, Inc. * 170
0^^ Baldwin & Lyons, Inc., Class B 9
38 Commerce Group, Inc. 1,886
19 Delphi Financial Group, Inc., Class A 846
4 Direct General Corp. 132
1 FBL Financial Group, Inc., Class A 34
8 LandAmerica Financial Group, Inc. 323
0^^ Nationwide Financial Services, Class A 11
2 NYMAGIC, Inc. 45
50 Philadelphia Consolidated Holding Corp. * 2,980
38 PMA Capital Corp., Class A 338
1 ProAssurance Corp. * 20
21 Protective Life Corp. 820
3 RLI Corp. 117
29 SAFECO Corp. 1,285
1 Safety Insurance Group, Inc. 24
7 Selective Insurance Group 271
3 State Auto Financial Corp. 104
13 Stewart Information Services Corp. 449
2 The Midland Co. 65
0^^ The Navigators Group, Inc. * 9
4 The Phoenix Companies, Inc. 53
7 UICI * 162
0^^ United Fire & Casualty Co. 17
5 Universal American Financial Corp. * 57
4 Zenith National Insurance Corp. 204
---------
12,933
Internet Services/Software -- 0.6%
3 AsiaInfo Holdings, Inc. (China) * 13
23 EarthLink, Inc. * 234
27 Homestore, Inc. * 107
93 Internet Security Systems, Inc. * 1,424
0^^ ProQuest Co. * 11
6 United Online, Inc. * 106
---------
1,895
Leasing -- 0.1%
9 GATX Corp. 253
8 Interpool, Inc. 128
---------
381
</Table>
See notes to financial statements.
24
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- ----------------------------------------------------------------------------------------------------
Long-Term Investments -- Continued
Machinery & Engineering Equipment -- 2.0%
100 AGCO Corp. * $ 2,037
22 Applied Industrial Technologies, Inc. 660
11 Cascade Corp. 328
4 Flowserve Corp. * 100
0^^ Kadant, Inc. * 9
5 Milacron, Inc. * 21
1 NACCO Industries, Inc., Class A 95
4 Regal-Beloit Corp. 93
8 Sauer-Danfoss, Inc. 128
97 Stewart & Stevenson Services, Inc. 1,733
3 Tecumseh Products Co., Class A 136
0^^ Thomas Industries, Inc. 13
11 UNOVA, Inc. * 231
5 York International Corp. 197
---------
5,781
Manufacturing -- 3.1%
1 Actuant Corp., Class A * 23
8 Acuity Brands, Inc. 216
8 Albany International Corp., Class A 252
4 AO Smith Corp. 130
11 Barnes Group, Inc. 319
4 CIRCOR International, Inc. 88
3 ESCO Technologies, Inc. * 176
0^^ Gardner Denver, Inc. * 3
7 Griffon Corp. * 145
38 Harsco Corp. 1,777
25 JLG Industries, Inc. 353
48 Joy Global, Inc. 1,446
9 NN, Inc. 119
1 Penn Engineering & Manufacturing Corp. 15
8 Quanex Corp. 390
27 Terex Corp. * 916
92 Timken Co. 2,449
10 Walter Industries, Inc. 129
---------
8,946
Metals/Mining -- 0.9%
6 Commercial Metals Co. 178
216 The Shaw Group, Inc. * 2,192
11 Valmont Industries, Inc. 256
---------
2,626
Multi-Media -- 0.5%
1 4Kids Entertainment, Inc. * 17
9 Insight Communications Co., Inc. * 86
4 Journal Register Co. * 80
14 Lodgenet Entertainment Corp. * 229
33 Scholastic Corp. * 995
9 World Wrestling Entertainment, Inc. 117
---------
1,524
Office/Business Equipment -- 0.1%
0^^ Global Imaging Systems, Inc. * 4
</Table>
See notes to financial statements.
25
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- ----------------------------------------------------------------------------------------------------
Long-Term Investments -- Continued
Office/Business Equipment -- Continued
7 United Stationers, Inc. * $ 258
---------
262
Oil & Gas -- 5.4%
4 Black Hills Corp. 123
2 CAL Dive International, Inc. * 45
217 Chesapeake Energy Corp. 3,195
7 Cimarex Energy Co. * 203
8 Comstock Resources, Inc. * 163
19 Denbury Resources, Inc. * 394
8 Energen Corp. 389
5 Hanover Compressor Co. * 54
5 Houston Exploration Co. * 249
41 Kerr-McGee Corp. 2,183
24 Magnum Hunter Resources, Inc. * 252
5 NUI Corp. 69
3 Oceaneering International, Inc. * 113
12 Oil States International, Inc. * 185
62 ONEOK, Inc. 1,355
8 RPC, Inc. 122
22 Southern Union Co. * 471
17 Southwest Gas Corp. 413
31 Southwestern Energy Co. * 897
8 Stone Energy Corp. * 365
130 Superior Energy Services, Inc. * 1,306
52 Swift Energy Co. * 1,149
18 Tesoro Petroleum Corp. * 500
39 Universal Compression Holding, Inc. * 1,181
8 Veritas DGC, Inc. * 190
15 Vintage Petroleum, Inc. 255
0^^ World Fuel Services Corp. 18
---------
15,839
Packaging -- 1.0%
7 Chesapeake Corp. 197
55 Crown Holdings, Inc. * 548
5 Greif, Inc., Class A 207
59 Pactiv Corp. * 1,467
4 Rock-Tenn Co., Class A 71
10 Silgan Holdings, Inc. 387
---------
2,877
Paper/Forest Products -- 0.2%
9 Schweitzer-Mauduit International, Inc. 285
13 Wausau-Mosinee Paper Corp. 218
---------
503
Pharmaceuticals -- 1.4%
7 Adolor Corp. * 94
3 Alpharma, Inc., Class A 68
7 AtheroGenics, Inc. * 135
134 AVANIR Pharmaceuticals, Class A * 224
8 Barr Laboratories, Inc. * 278
4 Cubist Pharmaceuticals, Inc. * 47
</Table>
See notes to financial statements.
26
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- ----------------------------------------------------------------------------------------------------
Long-Term Investments -- Continued
Pharmaceuticals -- Continued
26 Cypress Bioscience, Inc. * $ 353
8 Discovery Laboratories, Inc. * 79
4 KV Pharmaceutical Co., Class A * 102
57 KV Pharmaceutical Co., Class B * 1,450
81 Nabi Biopharmaceuticals * 1,154
4 Rigel Pharmaceuticals, Inc. * 58
3 United Therapeutics Corp. * 69
---------
4,111
Printing & Publishing -- 0.3%
12 Bowne & Co., Inc. 190
21 John H. Harland Co. 608
---------
798
Real Estate -- 0.1%
8 Jones Lang LaSalle, Inc. * 220
Real Estate Investment Trust -- 4.5%
3 Alexandria Real Estate Equities, Inc. 193
20 American Financial Realty Trust 283
23 American Home Mortgage Investment Corp. 594
39 Anthracite Capital, Inc. 468
13 Bedford Property Investors, Inc. 371
13 Capital Automotive Real Estate Investment Trust 390
40 CarrAmerica Realty Corp. 1,201
22 Entertainment Properties Trust 798
28 Equity Inns, Inc. 257
4 Gables Residential Trust 122
18 Glenborough Realty Trust, Inc. 334
11 Government Properties Trust, Inc. 118
11 Highwoods Properties, Inc. 263
20 IMPAC Mortgage Holdings, Inc. 457
24 InnKeepers USA Trust 252
8 LaSalle Hotel Properties 195
31 Lexington Corporate Properties Trust 625
13 LTC Properties, Inc. 219
34 Meristar Hospitality Corp. * 229
11 MFA Mortgage Investments, Inc. 98
21 Mid-America Apartment Communities, Inc. 788
19 National Health Investors, Inc. 506
4 NovaStar Financial, Inc. 148
5 Parkway Properties, Inc. 209
13 Pennsylvania Real Estate Investment Trust 445
18 RAIT Investment Trust 434
9 Saul Centers, Inc. 292
19 Senior Housing Properties Trust 324
24 SL Green Realty Corp. 1,124
8 Sun Communities, Inc. 316
4 Tanger Factory Outlet Centers, Inc. 152
5 Taubman Centers, Inc. 124
1 Urstadt Biddle Properties, Inc., Class A 13
35 Ventas, Inc. 811
</Table>
See notes to financial statements.
27
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- ----------------------------------------------------------------------------------------------------
Long-Term Investments -- Continued
Real Estate Investment Trust -- Continued
7 Winston Hotels, Inc. $ 67
---------
13,220
Restaurants/Food Services -- 1.2%
13 Brinker International, Inc. * 433
41 CEC Entertainment, Inc. * 1,206
9 Jack in the Box, Inc. * 255
16 Landry's Restaurants, Inc. 490
3 Papa John's International, Inc. * 80
1 Ryan's Restaurant Group, Inc. * 8
48 Sonic Corp. * 1,091
---------
3,563
Retailing -- 7.2%
8 Aaron Rents, Inc. 260
75 Abercrombie & Fitch Co., Class A 2,899
15 Aeropostale, Inc. * 408
15 Asbury Automotive Group, Inc. * 227
160 Big Lots, Inc. * 2,313
0^^ Bob Evans Farms 3
5 Brown Shoe Co., Inc. 192
4 Casey's General Stores, Inc. 77
20 Cash America International, Inc. 451
1 Charlotte Russe Holding, Inc. * 15
43 Charming Shoppes, Inc. * 381
1 Cole National Corp. * 14
96 CSK Auto Corp. * 1,639
10 Dillards, Inc., Class A 230
6 Dress Barn, Inc. * 108
3 GameStop Corp. * 47
4 Genesco, Inc. * 102
3 Goody's Family Clothing, Inc. 30
5 Great Atlantic & Pacific Tea Co., Inc. * 41
11 Hollywood Entertainment Corp. * 152
4 Insight Enterprises, Inc. * 76
5 Jo-Ann Stores, Inc. * 158
0^^ Linens 'N Things, Inc. * 3
102 Men's Wearhouse, Inc. * 2,689
0^^ Movado Group, Inc. 7
38 Movie Gallery, Inc. 739
1 Nash-Finch Co. 35
9 Nu Skin Enterprises, Inc., Class A 228
164 Office Depot, Inc. * 2,932
8 Pathmark Stores, Inc. * 59
11 Payless ShoeSource, Inc. * 164
9 Pep Boys-Manny, Moe & Jack 236
0^^ School Specialty, Inc. * 11
17 ShopKo Stores, Inc. * 233
5 Smart & Final, Inc. * 65
4 Stage Stores, Inc. * 162
9 Systemax, Inc. * 62
2 The Children's Place Retail Stores, Inc. * 42
</Table>
See notes to financial statements.
28
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- ----------------------------------------------------------------------------------------------------
Long-Term Investments -- Continued
Retailing -- Continued
4 The J. Jill Group, Inc. * $ 87
2 The Pantry, Inc. * 35
81 The Sports Authority, Inc. * 2,917
3 United Auto Group, Inc. 80
35 Winn-Dixie Stores, Inc. 249
4 Zale Corp. * 117
---------
20,975
Semi-Conductors -- 0.4%
0^^ Actel Corp. * 7
15 Axcelis Technologies, Inc. * 190
17 Cirrus Logic, Inc. * 100
2 Cohu, Inc. 30
1 Dupont Photomasks, Inc. * 10
8 ESS Technology, Inc. * 88
3 Exar Corp. * 48
6 Integrated Silicon Solutions, Inc. * 71
12 Lattice Semiconductor Corp. * 85
2 MKS Instruments, Inc. * 50
12 ON Semiconductor Corp. * 62
3 Photronics, Inc. * 63
6 Silicon Storage Technology, Inc. * 62
11 Skyworks Solutions, Inc. * 92
3 Standard Microsystems Corp. * 75
10 Vitesse Semiconductor Corp. * 46
---------
1,079
Shipping/Transportation -- 0.9%
142 Swift Transportation Co., Inc. * 2,547
3 USF Corp. 116
---------
2,663
Steel -- 0.4%
3 Carpenter Technology Corp. 112
11 Reliance Steel & Aluminum Co. 456
10 Ryerson Tull, Inc. 160
1 Schnitzer Steel Industries, Inc., Class A 31
16 Steel Dynamics, Inc. * 461
---------
1,220
Telecommunications -- 1.5%
191 American Tower Corp., Class A * 2,908
5 Arris Group, Inc. * 31
47 Cincinnati Bell, Inc. * 210
0^^ Commonwealth Telephone Enterprises, Inc. * 18
15 CT Communications, Inc. 232
8 General Communication, Inc., Class A * 64
3 Hypercom Corp. * 28
14 MasTec, Inc. * 75
23 MRV Communications, Inc. * 62
3 North Pittsburgh Systems, Inc. 66
45 PTEK Holdings, Inc. * 518
8 Talk America Holdings, Inc. * 61
13 Time Warner Telecom, Inc., Class A * 53
---------
4,326
</Table>
See notes to financial statements.
29
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- ----------------------------------------------------------------------------------------------------
Long-Term Investments -- Continued
Telecommunications Equipment -- 0.4%
45 Andrew Corp. * $ 899
4 C-COR.net Corp. * 44
50 Corvis Corp. * 70
5 Ditech Communications Corp. * 117
4 Remec, Inc. * 24
11 Sycamore Networks, Inc. * 47
11 Terayon Communications Systems, Inc. * 25
---------
1,226
Textiles -- 0.2%
14 Angelica Corp. 349
5 UniFirst Corp. 140
---------
489
Tire & Rubber -- 0.2%
22 Cooper Tire & Rubber Co. 513
Tools/Equipment -- 0.4%
39 Snap-On, Inc. 1,302
Toys & Games -- 0.1%
3 JAKKS Pacific, Inc. * 58
5 RC2 Corp. * 192
5 Steinway Musical Instruments, Inc. * 158
---------
408
Transportation -- 0.6%
5 Covenant Transport, Inc., Class A * 82
12 Genesee & Wyoming, Inc., Class A * 294
5 Offshore Logistics, Inc. * 132
6 Overseas Shipholding Group, Inc. 269
15 RailAmerica, Inc. * 213
10 SCS Transportation, Inc. * 267
3 The Greenbrier Companies, Inc. * 55
4 US Xpress Enterprises, Inc. * 57
13 Werner Enterprises, Inc. 265
---------
1,634
Utilities -- 4.2%
5 Allegheny Energy, Inc. * 80
0^^ American States Water Co. 9
4 Atmos Energy Corp. 102
10 Avista Corp. 179
0^^ California Water Service Group 11
5 CH Energy Group, Inc. 223
8 Cleco Corp. 137
46 CMS Energy Corp. * 420
18 El Paso Electric Co. * 272
55 Idacorp, Inc. 1,474
19 New Jersey Resources Corp. 782
6 Northwest Natural Gas Co. 192
86 PNM Resources, Inc. 1,781
131 Puget Energy, Inc. 2,872
56 Sierra Pacific Resources * 435
</Table>
See notes to financial statements.
30
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- ----------------------------------------------------------------------------------------------------
Long-Term Investments -- Continued
Utilities -- Continued
9 South Jersey Industries, Inc. $ 378
3 UIL Holdings Corp. 161
22 UniSource Energy Corp. 539
62 Vectren Corp. 1,552
17 WPS Resources Corp. 804
---------
12,403
Waste Management -- 0.5%
104 Allied Waste Industries, Inc. * 1,375
---------------------------------------------------------------------------------------
Total Common Stocks 266,420
(Cost $209,495)
---------------------------------------------------------------------------------------
INVESTMENT COMPANIES -- 2.8%
47 iShares Russell 2000 Value Index Fund 8,077
16 Technology Investment Capital Corp. 215
---------------------------------------------------------------------------------------
Total Investment Companies 8,292
(Cost $7,580)
- ----------------------------------------------------------------------------------------------------
Total Long-Term Investments 274,712
(Cost $217,075)
- ----------------------------------------------------------------------------------------------------
Short-Term Investments -- 6.1%
- ----------------------------------------------------------------------------------------------------
<Caption>
PRINCIPAL
AMOUNT
U.S. TREASURY SECURITY -- 0.1%
$ 405 U.S. Treasury Notes & Bonds, 2.125%, 10/31/04 @ 406
(Cost $406)
<Caption>
SHARES
MONEY MARKET FUND -- 6.0%
17,448 JPMorgan Prime Money Market Fund (a) 17,448
(Cost $17,448)
- ----------------------------------------------------------------------------------------------------
Total Short-Term Investments 17,854
(Cost $17,854)
- ----------------------------------------------------------------------------------------------------
Total Investments -- 100.0% $ 292,566
(Cost $234,929)
- ----------------------------------------------------------------------------------------------------
</Table>
Future Contracts
(Amounts in thousands, except number of contracts)
<Table>
<Caption>
NOTIONAL UNREALIZED
NUMBER VALUE AT APPRECIATION
OF EXPIRATION 6/30/04 (DEPRECIATION)
CONTRACTS DESCRIPTION DATE (USD) (USD)
- ----------------------------------------------------------------------------------------------------
LONG FUTURES OUTSTANDING
15 Russell 2000 September, 2004 $ 4,443 $ 178
</Table>
See notes to financial statements.
31
<Page>
JPMORGAN FUNDS
Portfolio of Investments
Abbreviations:
* -- Non-income producing security.
^ -- Amount rounds to less than 0.1%.
^^ -- Amount rounds to less than one thousand.
@ -- Security is 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 J.P. Morgan
Investment Management, Inc.
USD -- United States Dollar.
See notes to financial statements.
32
<Page>
JPMORGAN FUNDS
Statement of Assets and Liabilities
As of June 30, 2004
(Amounts in thousands, except per share amounts)
<Table>
<Caption>
MULTI-MANAGER MULTI-MANAGER
SMALL CAP SMALL CAP
GROWTH FUND VALUE FUND
- --------------------------------------------------------------------------------------------
ASSETS:
Investments in non-affiliates, at value $ 246,868 $ 275,118
Investments in affiliates, at value 9,048 17,448
- --------------------------------------------------------------------------------------------
Total investment securities, at value 255,916 292,566
- --------------------------------------------------------------------------------------------
Cash -- 1
Receivables:
Investment securities sold 1,416 538
Fund shares sold 217 181
Interest and dividends 36 221
Variation margin -- 32
- --------------------------------------------------------------------------------------------
Total Assets 257,585 293,539
- --------------------------------------------------------------------------------------------
LIABILITIES:
Payables:
Investment securities purchased 3,564 5,483
Fund shares redeemed 304 330
Accrued liabilities:
Investment advisory fees 170 192
Administration fees 21 30
Shareholder servicing fees 50 56
Custodian fees 51 62
Trustees' fees 1 2
Other 18 18
- --------------------------------------------------------------------------------------------
Total Liabilities 4,179 6,173
- --------------------------------------------------------------------------------------------
NET ASSETS:
Paid in capital 208,007 215,687
Accumulated net investment income (loss) (1,242) (366)
Accumulated net realized gain (loss) on investments and
futures 13,140 14,230
Net unrealized appreciation (depreciation) of investments
and futures 33,501 57,815
- --------------------------------------------------------------------------------------------
Total Net Assets $ 253,406 $ 287,366
- --------------------------------------------------------------------------------------------
Shares of beneficial interest outstanding ($0.001 par value;
unlimited number of shares authorized): 17,229 17,331
Net Asset Value, redemption and offering price per share $ 14.71 $ 16.58
- --------------------------------------------------------------------------------------------
Cost of investments $ 222,415 $ 234,929
============================================================================================
</Table>
See notes to financial statements.
33
<Page>
Statement of Operations
For the six months ended June 30, 2004
(Amounts in thousands)
<Table>
<Caption>
MULTI-MANAGER MULTI-MANAGER
SMALL CAP SMALL CAP
GROWTH FUND VALUE FUND
- --------------------------------------------------------------------------------------------
INVESTMENT INCOME:
Interest $ -- $ 1
Dividend 330 1,279
Dividend income from affiliated investments* 41 65
- ----------------------------------------------------------------------------------------------
Total investment income 371 1,345
- ----------------------------------------------------------------------------------------------
EXPENSES:
Investment advisory fees 986 1,064
Administration fees 174 188
Shareholder servicing fees 290 313
Custodian fees 71 66
Registration fees 17 17
Printing and postage 9 9
Professional fees 45 46
Transfer agent fees 34 29
Trustees' fees 15 16
Other 23 26
- ----------------------------------------------------------------------------------------------
Total expenses 1,664 1,774
- ----------------------------------------------------------------------------------------------
Less amounts waived 40 21
- ----------------------------------------------------------------------------------------------
Net expenses 1,624 1,753
- ----------------------------------------------------------------------------------------------
Net investment income (loss) (1,253) (408)
- ----------------------------------------------------------------------------------------------
REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS:
Net realized gain (loss) on transactions from:
Investments 10,418 12,045
Futures -- 85
Change in net unrealized appreciation (depreciation) of:
Investments (1,118) 5,523
Futures -- 99
- ----------------------------------------------------------------------------------------------
Net realized and unrealized gain (loss) on investments
and futures 9,300 17,752
- ----------------------------------------------------------------------------------------------
Net increase (decrease) in net assets from operations $ 8,047 $ 17,344
- ----------------------------------------------------------------------------------------------
* Includes reimbursements of investment advisory,
administration and shareholder servicing fees: $ 7 $ 11
==============================================================================================
</Table>
See notes to financial statements.
34
<Page>
Statement of Changes in Net Assets For the periods indicated
(Amounts in thousands)
<Table>
<Caption>
MULTI-MANAGER MULTI-MANAGER
SMALL CAP SMALL CAP
GROWTH FUND VALUE FUND
---------------------------------------------------
1/1/04 2/28/03* 1/1/04 2/28/03*
THROUGH THROUGH THROUGH THROUGH
6/30/04 12/31/03 6/30/04 12/31/03
- ------------------------------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment income (loss) $ (1,253) $ (1,122) $ (408) $ (225)
Net realized gain (loss) on investments and futures 10,418 12,023 12,130 6,618
Change in net unrealized appreciation/depreciation of investments
and futures (1,118) 34,619 5,622 52,193
- ------------------------------------------------------------------------------------------------------------------------------
Increase (decrease) in net assets from operations 8,047 45,520 17,344 58,586
- ------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net realized gain on investment transactions -- (8,168) -- (4,251)
- ------------------------------------------------------------------------------------------------------------------------------
Total distributions to shareholders -- (8,168) -- (4,251)
- ------------------------------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) FROM CAPITAL SHARE TRANSACTIONS:
Proceeds from shares issued 82,841 184,870 91,782 181,483
Dividends reinvested -- 3,507 -- 1,857
Cost of shares redeemed (38,132) (25,079) (37,179) (22,328)
- ------------------------------------------------------------------------------------------------------------------------------
Increase (decrease) from capital share transactions 44,709 163,298 54,603 161,012
- ------------------------------------------------------------------------------------------------------------------------------
Voluntary Contribution from Advisor -- -- -- 72
- ------------------------------------------------------------------------------------------------------------------------------
Total increase (decrease) in net assets 52,756 200,650 71,947 215,419
- ------------------------------------------------------------------------------------------------------------------------------
NET ASSETS:
Beginning of period 200,650 -- 215,419 --
- ------------------------------------------------------------------------------------------------------------------------------
End of period $ 253,406 $ 200,650 $ 287,366 $ 215,419
- ------------------------------------------------------------------------------------------------------------------------------
Accumulated undistributed (overdistributed) net investment income
(loss) $ (1,242) $ 11 $ (366) $ 42
- ------------------------------------------------------------------------------------------------------------------------------
SHARE TRANSACTIONS:
Issued 5,659 15,810 5,737 15,432
Reinvested -- 258 -- 124
Redeemed (2,613) (1,885) (2,327) (1,635)
- ------------------------------------------------------------------------------------------------------------------------------
Change in shares 3,046 14,183 3,410 13,921
- ------------------------------------------------------------------------------------------------------------------------------
</Table>
* Commencement of operations.
See notes to financial statements.
35
<Page>
JPMORGAN FUNDS
Notes to Financial Statements
1. ORGANIZATION
J.P. Morgan Fleming Series Trust (the "Trust") was organized on December 24,
2002 as a Massachusetts business trust, and is registered under the Investment
Company Act of 1940, as amended, (the "1940 Act"), as an open-end management
investment company.
The following are two separate portfolios of the Trust (collectively, the
"Funds"):
FUND
JPMorgan Multi-Manager Small Cap Growth Fund ("MMSCGF")
JPMorgan Multi-Manager Small Cap Value Fund ("MMSCVF")
The Funds commenced operations on February 28, 2003. The Funds are
non-diversified, as defined in the 1940 Act.
2. SIGNIFICANT ACCOUNTING POLICIES
THE FOLLOWING IS A SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES FOLLOWED BY THE
FUNDS:
The preparation of financial statements in accordance with accounting principles
generally accepted in the United States of America requires management to make
estimates and assumptions that affect the reported amounts and disclosures in
the financial statements. Actual results could differ from those estimates.
A. VALUATION OF INVESTMENTS -- Equity securities, purchased options and futures
contracts are valued at the last sale price on the exchange on which they are
primarily traded. The value of National Market Systems equity securities quoted
by the Nasdaq Stock Market, Inc. shall generally be the Nasdaq Official Closing
Price. Securities for which sale prices are not available and other
over-the-counter securities are valued at the mean between the bid and asked
quotations. Fixed income securities, other than convertible bonds, with a
maturity of 61 days or more held by the 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
36
<Page>
non-U.S. and non-Canadian equity securities held in its portfolio by utilizing
the quotations of an independent pricing service, unless the Fund's advisor,
J.P. Morgan Investment Management Inc. ("JPMIM" or the "Advisor"), determines
that use of another valuation methodology is appropriate. The pricing service
uses statistical analyses and quantitative models to adjust local market prices
using factors such as subsequent movements and changes in the prices of indices,
securities, and exchange rates in other markets, in determining fair value as of
the time a Fund calculates its net asset value.
B. FUTURES CONTRACTS -- When a Fund enters into a futures contract, it makes an
initial margin deposit in a segregated account, either in cash or liquid
securities. Thereafter, the futures contract is marked to market and the Fund
makes (or receives) additional cash payments daily to (or from) the broker.
Changes in the value of the contract are recorded as unrealized appreciation
(depreciation) until the contract is closed or settled, at which time a realized
gain or loss is recognized.
Index futures contracts are used to control the asset mix of the portfolios in
the most efficient manner. Short index futures contracts are used for hedging
purposes, i.e. to reduce the exposure to equities. Long index futures contracts
are used to gain exposure to equities, when it is anticipated that this will be
more efficient than buying stocks directly.
Use of long futures contracts subjects the Fund to risk of loss in excess of
amounts shown on the Statement of Assets and Liabilities up to the notional
value of the futures contract. Use of short futures contracts subject the Fund
to unlimited risk 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 June 30, 2004, MMSCVF had outstanding future contracts as listed on the
Fund's Portfolio of Investments.
C. RESTRICTED AND ILLIQUID SECURITIES -- The Funds may invest in securities that
are subject to legal or contractual restrictions on resale or are illiquid.
Restricted securities generally may be resold in transactions exempt from
registration. A security may be considered illiquid if it lacks a readily
available market or if its valuation has not changed for a certain period of
time. Disposal of these securities may involve time-consuming negotiations and
expense, and prompt sale at the current valuation may be difficult.
D. 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.
37
<Page>
E. ALLOCATION OF INCOME AND EXPENSES -- Expenses directly attributable to a Fund
are charged to that Fund; other expenses are allocated proportionately among
each of the Funds within the Trust in relation to the net assets of each Fund or
on another reasonable basis.
F. FEDERAL INCOME TAXES -- Each Fund is treated as a separate taxable entity for
Federal income tax purposes. The Funds' policy is to comply with the provisions
of the Internal Revenue Code applicable to regulated investment companies and to
distribute to shareholders all of their distributable net investment income and
net realized gain on investments. In addition, the Funds intend to make
distributions as required to avoid excise taxes. Accordingly, no provision for
Federal income or excise tax is necessary.
G. 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.
H. OTHER EXPENSES -- Other expenses in the Statement of Operations include fees
related to line of credit, insurance, pricing and reporting services.
3. FEES AND OTHER TRANSACTIONS WITH AFFILIATES
A. INVESTMENT ADVISORY FEE -- Pursuant to the Investment Advisory Agreement,
J.P. Morgan Investment Management, Inc. ("JPMIM" or the "Advisor"), acts as the
investment advisor to the Funds. The Advisor allocates portions of the Funds'
assets to the subadvisors and is responsible for monitoring and coordinating the
overall management of the Funds and for such services is paid a fee. The fee is
accrued daily and paid monthly at an annual rate of 0.85% of each Fund's average
daily net assets.
State Street Research and Management Company, J. & W. Seligman & Co. Inc. and
UBS Global Asset Management (New York) Inc. have been engaged by the Advisor to
serve as the subadvisors to the MMSCGF. The allocation of the assets of MMSCGF
was 34%, 33% and 33%, respectively. EARNEST Partners, LLC and ICM Asset
Management have been engaged by the Advisor to serve as the subadvisors to the
MMSCVF. The allocation of the assets of MMSCVF was 34%, 33% and the remaining
33% was allocated to the Advisor. Each subadvisor is paid monthly by the Advisor
at an annual rate of 0.55% of the average daily net assets of each of the Funds
allocated to the subadvisor. These fees are paid by the Advisor and are not
expenses of the Funds.
38
<Page>
The Funds may invest in one or more of the affiliated JPMorgan Money Market
Funds. The Advisor has agreed to reimburse its advisory fee from the Funds in an
amount sufficient to offset any doubling up of investment advisory,
administration and shareholder servicing fees related to each Fund's investment
in an affiliated money market fund.
B. DISTRIBUTION FEE -- Pursuant to a Distribution Agreement, J.P. Morgan Fund
Distributors, Inc. ("JPMFD" or "Distributor"), a wholly-owned subsidiary of The
BISYS Group, Inc., serves as the Trust's 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.
C. SHAREHOLDER SERVICING FEE -- The Trust has 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 these services JPMCB will receive a fee from each Fund
that is computed daily and paid monthly at an annual rate of 0.25% of the
average daily net assets of each Fund.
JPMCB waived fees as outlined in Note 3.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 the uninvested cash balances
held by the custodian. Such earning credits are presented separately in the
Statement of Operations.
E. ADMINISTRATION FEES -- 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 average daily net
assets of each Fund.
BISYS Funds 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 and extraordinary items) exceed 1.40% of the average daily net
assets of MMSCGF and MMSCVF. The contractual expense limitation agreements were
in effect for the six months ended June 30, 2004. The expense limitation
percentages on the Funds are due to expire on April 30, 2005.
The Administrator waived fees as outlined in Note 3.F.
39
<Page>
F. WAIVERS AND REIMBURSEMENTS -- For the six months ended June 30, 2004, the
Funds' vendors waived fees 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 expenses in future years.
<Table>
<Caption>
CONTRACTUAL WAIVERS
------------------------------------------
SHAREHOLDER CONTRACTUAL
FUND ADMINISTRATION SERVICING TOTAL REIMBURSEMENTS
- -----------------------------------------------------------------------------------
MMSCGF $ 13 $ 27 $ 40 $ --
MMSCVF 3 18 21 --
- -----------------------------------------------------------------------------------
Total 16 45 61 --
</Table>
G. OTHER -- Certain officers of the Trust are officers of J.P. Morgan Chase &
Co. or of BISYS or their subsidiaries.
During the period, the 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 June
30, 2004, MMSCGF and MMSCVF incurred $7 and $1, respectively, as 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.
4. INVESTMENT TRANSACTIONS
For the six months ended June 30, 2004, purchases and sales of investments
(excluding short-term investments) were as follows (amounts in thousands):
<Table>
<Caption>
PURCHASES SALES
(EXCLUDING U.S. (EXCLUDING U.S.
FUND GOVERNMENT) GOVERNMENT)
-------------------------------------------------
MMSCGF $ 174,066 $ 133,373
MMSCVF 98,395 48,429
</Table>
5. FEDERAL INCOME TAX MATTERS
For Federal income tax purposes, the cost and unrealized appreciation
(depreciation) in value of the investment securities at June 30, 2004, are as
follows (amounts in thousands):
<Table>
<Caption>
GROSS GROSS NET UNREALIZED
UNREALIZED UNREALIZED APPRECIATION
FUND AGGREGATE COST APPRECIATION DEPRECIATION (DEPRECIATION)
- -----------------------------------------------------------------------------------
MMSCGF $ 222,415 $ 41,448 $ (7,947) $ 33,501
MMSCVF 234,929 60,280 (2,643) 57,637
</Table>
40
<Page>
6. BANK BORROWINGS
Effective April 15, 2004, pursuant to a Line of Credit Agreement, the Funds may
borrow money for temporary or emergency purposes. The Funds have entered into
the agreement, enabling it to participate with other JPMorgan Funds in a line of
credit with JPMCB, as administrative agent, and with a syndicate of banks, which
permits borrowings up to $250 million, collectively. Interest is charged to the
Funds based on their borrowings at an annual rate equal to the sum of Federal
Funds Rate plus 0.50%. The Funds also pay a commitment fee of 0.09% per annum on
the average daily amount of the available commitment, which is allocated on a
pro-rata basis to the Funds. The commitment fee is included in Other expenses on
the Statement of Operations. This agreement will expire on April 14, 2005.
The Funds had no borrowings outstanding at June 30, 2004, nor at anytime during
the period then ended.
7. CONCENTRATIONS AND INDEMNIFICATIONS
From time to time, the Funds may have a concentration of several shareholders
which may be a related party, holding a significant percentage of shares
outstanding. Investment activities of these shareholders could have a material
impact on the Funds.
In the normal course of business the Funds enter into contracts that contain a
variety of representations which provide general indemnifications. Each Fund's
maximum exposure under these arrangements is unknown as this would involve
future claims that may be made against each Fund that have not yet occurred.
However, based on experience, the Funds expect the risk of loss to be remote.
Because each Subadvisor makes investment decisions independently, it is possible
that the stock selection process of the investment managers may not complement
one another. As a result, the Fund's exposure to a given stock, industry or
market capitalization could unintentionally be larger than intended.
8. 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 completed the merger of their holding companies on
July 1, 2004. Effective July 20, 2004, the name of the holding company changed
to JPMorgan Chase & Co.
41
<Page>
JPMORGAN FUNDS
Financial Highlights
<Table>
<Caption>
MULTI-MANAGER MULTI-MANAGER
SMALL CAP SMALL CAP
GROWTH FUND VALUE FUND
---------------------- ----------------------
1/1/04 2/28/03* 1/1/04 2/28/03*
THROUGH THROUGH THROUGH THROUGH
PER SHARE OPERATING PERFORMANCE: 6/30/04 12/31/03 6/30/04 12/31/03
- ------------------------------------------------------------------------------------------------------------------------------
Net asset value, beginning of period $ 14.15 $ 10.00 $ 15.47 $ 10.00
- ------------------------------------------------------------------------------------------------------------------------------
Income from investment operations:
Net investment income (loss) (0.07)@ (0.11)@ (0.02)@ (0.02)@
Net gains or losses on securities (both realized and unrealized) 0.63 4.86 1.13 5.81
---------- ---------- ---------- ----------
Total from investment operations 0.56 4.75 1.11 5.79
---------- ---------- ---------- ----------
Less distributions:
Distributions from capital gains -- 0.60 -- 0.32
---------- ---------- ---------- ----------
Total distributions -- 0.60 -- 0.32
---------- ---------- ---------- ----------
Net asset value, end of period $ 14.71 $ 14.15 $ 16.58 $ 15.47
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN (b) 3.96% 47.78% 7.18% 58.01%
==============================================================================================================================
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (millions) $ 253 $ 201 $ 287 $ 215
- ------------------------------------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
Net expenses 1.40% 1.40% 1.40% 1.40%
- ------------------------------------------------------------------------------------------------------------------------------
Net investment income (loss) (1.08%) (1.02%) (0.33%) (0.21%)
- ------------------------------------------------------------------------------------------------------------------------------
Expenses without waivers and earnings credits 1.43% 1.56% 1.42% 1.58%
- ------------------------------------------------------------------------------------------------------------------------------
Net investment income (loss) without waivers and earnings credit (1.11%) (1.18%) (0.35%) (0.39%)
- ------------------------------------------------------------------------------------------------------------------------------
PORTFOLIO TURNOVER RATE (b) 56% 138% 20% 34%
- ------------------------------------------------------------------------------------------------------------------------------
</Table>
* Commencement of operations.
@ Calculated based upon average shares outstanding.
(b) Not annualized for periods less than one year.
# Short periods have been annualized.
See notes to financial statements.
42
<Page>
JPMORGAN FUNDS
Report of Independent Registered Public Accounting Firm
To the Trustees of J.P. Morgan Fleming Series Trust
And Shareholders of JPMorgan Multi-Manager Small Cap Growth Fund and
JPMorgan Multi-Manager Small Cap Value Fund
In our opinion, the accompanying statements of assets and liabilities, including
the portfolios of investments, and the related statements of operations and of
changes in net assets and the financial highlights present fairly, in all
material respects, the financial position of JPMorgan Multi-Manager Small Cap
Growth Fund and JPMorgan Multi-Manager Small Cap Value Fund (two portfolios of
J.P. Morgan Fleming Series Trust and hereafter referred to as the "Funds") at
June 30, 2004, the results of each of their operations for the six months then
ended and the changes in each of their net assets and the financial highlights
for each of the periods presented, in conformity with accounting principles
generally accepted in the United States of America. These financial statements
and financial highlights (hereafter referred to as "financial statements") are
the responsibility of the Funds' management; our responsibility is to express an
opinion on these financial statements based on our audits. We conducted our
audits of these financial statements in accordance with the standards of the
Public Company Accounting Oversight Board (United States), which require that we
plan and perform the audit to obtain reasonable assurance about whether the
financial statements are free of material misstatement. An audit includes
examining, on a test basis, evidence supporting the amounts and disclosures in
the financial statements, assessing the accounting principles used and
significant estimates made by management, and evaluating the overall financial
statement presentation. We believe that our audits, which included confirmation
of securities at June 30, 2004 by correspondence with the custodian and brokers,
provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
New York, New York
August 16, 2004
43
<Page>
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<Page>
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<Page>
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<Page>
THIS PAGE IS INTENTIONALLY LEFT BLANK
<Page>
THIS PAGE IS INTENTIONALLY LEFT BLANK
<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.
<Page>
SEMI-ANNUAL REPORT
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.
INVESTORS SHOULD CAREFULLY READ THE FUNDS' PROSPECTUS WHICH INCLUDES INFORMATION
ON THE FUNDS' 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'S PROSPECTUS PLEASE CALL 800 348-4782. PLEASE
READ CAREFULLY BEFORE INVESTING OR SENDING MONEY.
A list of portfolio holdings is available thirty days after month end upon
request. Please contact your JPMorgan Fleming representative or call
1-800-348-4782 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.
JPMorgan Funds Fulfillment Center
6112 W.73rd Street
Bedford Park, IL 60638
(C) J.P. Morgan Chase & Co., 2004 All Rights Reserved. August 2004
SAN-MULTI-604
<Page>
ITEM 2. CODE OF ETHICS.
Disclose whether, as of the end of the period covered by the report, the
registrant has adopted a code of ethics that applies to the registrant's
principal executive officer, principal financial officer, principal
accounting officer or controller, or persons performing similar
functions, regardless of whether these individuals are employed by the
registrant or a third party. If the registrant has not adopted such a
code of ethics, explain why it has not done so.
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 principal accountant's full-time, permanent
employees.
2
<Page>
(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).
NOT APPLICABLE.
3
<Page>
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.
4
<Page>
SIGNATURES
[See General Instruction F]
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the registrant has duly caused this report to be
signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) J.P. Morgan Fleming Series Trust
--------------------------------------------------------
By (Signature and Title)* /s/ Stephanie J. Dorsey
-------------------------------------------------------
Stephanie J. Dorsey, Treasurer
Date August 24, 2004
---------------------------------------------------------------------------
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this report has been signed below by the
following persons on behalf of the registrant and in the capacities and on the
dates indicated.
By (Signature and Title)* /s/ Stephanie J. Dorsey
-------------------------------------------------------
Stephanie J. Dorsey, Treasurer
Date August 24, 2004
---------------------------------------------------------------------------
By (Signature and Title)* /s/ George C.W. Gatch
-------------------------------------------------------
George C.W. Gatch, President
Date August 24, 2004
---------------------------------------------------------------------------
* Print the name and title of each signing officer under his or her signature.
5
<Page>
CERTIFICATION PURSUANT TO RULE 30a-2(a) UNDER THE INVESTMENT COMPANY ACT OF 1940
I, George C.W. Gatch, certify that:
1. I have reviewed this report on Form N-CSR of the JPMorgan Multi-Manager Small
Cap Growth Fund and JPMorgan Multi-Manager Small Cap Value Fund (the "Funds"),
each a series of J.P. Morgan Fleming Series Trust (the "Registrant");
2. Based on my knowledge, this report does not contain any untrue statement of a
material fact or omit to state a material fact necessary to make the statements
made, in light of the circumstances under which such statements were made, not
misleading with respect to the period covered by this report;
3. Based on my knowledge, the financial statements, and other information
included in this report, fairly present in all material respects the financial
condition, results of operations, changes in net assets, and cash flows (if the
financial statements are required to include a statement of cash flows) of the
Funds as of, and for, the periods presented in this report;
4. The Registrant's other certifying officer(s) and I are responsible for
establishing and maintaining disclosure controls and procedures (as defined in
Rule 30a-3(c) under the Investment Company Act of 1940) for the Funds and have:
a) Designed such disclosure controls and procedures, or caused such
disclosure controls and procedures to be designed under our
supervision, to ensure that material information relating to the
Funds, including their consolidated subsidiaries, is made known to
us by others within those entities, particularly during the period
in which this report is being prepared;
b) Evaluated the effectiveness of the Funds' disclosure controls and
procedures and presented in this report our conclusions about the
effectiveness of the disclosure controls and procedures, as of a
date within 90 days prior to the filing date of this report based
on such evaluation; and
c) Disclosed in this report any change in the Funds' internal control
over financial reporting that occurred during the Funds' most
recent fiscal half-year (the Funds' second fiscal half-year in the
case of an annual report) that has materially affected, or is
reasonably likely to materially affect, the Funds' internal control
over financial reporting; and
5. The Registrant's other certifying officer(s) and I have disclosed to the
Registrant's auditors and the audit committee of the Registrant's board of
directors (or persons performing the equivalent functions):
a) All significant deficiencies and material weaknesses in the design
or operation of internal control over financial reporting which are
reasonably likely to adversely affect the Funds' ability to record,
process, summarize, and report financial information; and
b) Any fraud, whether or not material, that involves management or
other employees who have a significant role in the Funds' internal
control over financial reporting.
/s/ George C.W. Gatch
- ----------------------
George C.W. Gatch
President
August 24, 2004
- ----------------------
Date
<Page>
CERTIFICATION PURSUANT TO RULE 30a-2(a) UNDER THE INVESTMENT COMPANY ACT OF 1940
I, Stephanie J. Dorsey, certify that:
1. I have reviewed this report on Form N-CSR of the JPMorgan Multi-Manager Small
Cap Growth Fund and JPMorgan Multi-Manager Small Cap Value Fund (the "Funds"),
each a series of J.P. Morgan Fleming Series Trust (the "Registrant");
2. Based on my knowledge, this report does not contain any untrue statement of a
material fact or omit to state a material fact necessary to make the statements
made, in light of the circumstances under which such statements were made, not
misleading with respect to the period covered by this report;
3. Based on my knowledge, the financial statements, and other information
included in this report, fairly present in all material respects the financial
condition, results of operations, changes in net assets, and cash flows (if the
financial statements are required to include a statement of cash flows) of the
Funds as of, and for, the periods presented in this report;
4. The Registrant's other certifying officer(s) and I are responsible for
establishing and maintaining disclosure controls and procedures (as defined in
Rule 30a-3(c) under the Investment Company Act of 1940) for the Funds and have:
a) Designed such disclosure controls and procedures, or caused such
disclosure controls and procedures to be designed under our
supervision, to ensure that material information relating to the
Funds, including their consolidated subsidiaries, is made known to
us by others within those entities, particularly during the period
in which this report is being prepared;
b) Evaluated the effectiveness of the Funds' disclosure controls and
procedures and presented in this report our conclusions about the
effectiveness of the disclosure controls and procedures, as of a
date within 90 days prior to the filing date of this report based
on such evaluation; and
c) Disclosed in this report any change in the Funds' internal control
over financial reporting that occurred during the Funds' most
recent fiscal half-year (the Funds' second fiscal half-year in the
case of an annual report) that has materially affected, or is
reasonably likely to materially affect, the Funds' internal control
over financial reporting; and
5. The Registrant's other certifying officer(s) and I have disclosed to the
Registrant's auditors and the audit committee of the Registrant's board of
directors (or persons performing the equivalent functions):
a) All significant deficiencies and material weaknesses in the design
or operation of internal control over financial reporting which are
reasonably likely to adversely affect the Funds' ability to record,
process, summarize, and report financial information; and
b) Any fraud, whether or not material, that involves management or
other employees who have a significant role in the Funds' internal
control over financial reporting.
/s/ Stephanie J. Dorsey
- ------------------------
Stephanie J. Dorsey
Treasurer
August 24, 2004
- ------------------------
Date
<Page>
CERTIFICATION PURSUANT TO RULE 30a-2(b) UNDER THE INVESTMENT COMPANY ACT OF 1940
This certification is provided pursuant to Rule 30a-2(b) under the Investment
Company Act of 1940, and accompanies the report on Form N-CSR furnished to the
Securities and Exchange Commission on the date hereof of the JPMorgan
Multi-Manager Small Cap Growth Fund and JPMorgan Multi-Manager Small Cap Value
Fund (the "Funds"), each a series of J.P. Morgan Fleming Series Trust.
I, George C.W. Gatch, certify that:
1. The Form N-CSR fully complies with the requirements of Section 13(a) or
15(d) of the Securities Exchange Act of 1934, as applicable; and
2. The information contained in the Form N-CSR fairly presents, in all material
respects, the financial condition and results of the operations of the
Funds.
/s/ George C.W. Gatch
- ----------------------
George C.W. Gatch
President
August 24, 2004
- ----------------------
Date
This certificate is furnished pursuant to the requirements of Form N-CSR and
shall not be deemed "filed" for purposes of Section 18 of the Securities
Exchange Act of 1934, or otherwise subject to the liability of that section, and
shall not be deemed to be incorporated by reference into any filing under the
Securities Act of 1933 or the Securities Exchange Act of 1934.
<Page>
CERTIFICATION PURSUANT TO RULE 30a-2(b) UNDER THE INVESTMENT COMPANY ACT OF 1940
This certification is provided pursuant to Rule 30a-2(b) under the Investment
Company Act of 1940, and accompanies the report on Form N-CSR furnished to the
Securities and Exchange Commission on the date hereof of the JPMorgan
Multi-Manager Small Cap Growth Fund and JPMorgan Multi-Manager Small Cap Value
Fund (the "Funds"), each a series of J.P. Morgan Fleming Series Trust.
I, Stephanie J. Dorsey, certify that:
1. The Form N-CSR fully complies with the requirements of Section 13(a) or
15(d) of the Securities Exchange Act of 1934, as applicable; and
2. The information contained in the Form N-CSR fairly presents, in all material
respects, the financial condition and results of the operations of the
Funds.
/s/ Stephanie J. Dorsey
- ------------------------
Stephanie J. Dorsey
Treasurer
August 24, 2004
- ------------------------
Date
This certificate is furnished pursuant to the requirements of Form N-CSR and
shall not be deemed "filed" for purposes of Section 18 of the Securities
Exchange Act of 1934, or otherwise subject to the liability of that section, and
shall not be deemed to be incorporated by reference into any filing under the
Securities Act of 1933 or the Securities Exchange Act of 1934.