<Page>
-----------------------------
OMB APPROVAL
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OMB Number: 3235-0570
Expires: November 30, 2005
Estimated average burden
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 811-05151
---------------------------------------------
J.P. Morgan Mutual Fund Group
- -------------------------------------------------------------------------------
(Exact name of registrant as specified in charter)
522 Fifth Avenue, New York, NY 10036
- -------------------------------------------------------------------------------
(Address of principal executive offices) (Zip code)
BISYS Fund Services, 3435 Stelzer Road, Columbus, OH 43219
- -------------------------------------------------------------------------------
(Name and address of agent for service)
Registrant's telephone number, including area code: 1-800-348-4782
----------------------------
Date of fiscal year end: December 31, 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).
<Page>
[GRAPHIC]
JPMORGAN FUNDS
SEMI-ANNUAL REPORT JUNE 30 2004 (UNAUDITED)
U.S. MID/SMALL CAP EQUITY FUNDS
DYNAMIC SMALL CAP FUND
MID CAP EQUITY FUND
MID CAP GROWTH FUND
MID CAP VALUE FUND
SMALL CAP EQUITY FUND
SMALL CAP GROWTH FUND
TRUST SMALL CAP EQUITY FUND
U.S. SMALL COMPANY FUND
U.S. SMALL COMPANY OPPORTUNITIES FUND
[JPMORGAN FLEMING ASSET MANAGEMENT LOGO]
<Page>
[JPMORGAN FLEMING ASSET MANAGEMENT LOGO]
JPMORGAN FLEMING ASSET MANAGEMENT is a premier global wealth manager that has
been working with affluent investors for over a hundred years. This experience
provides us with a keen understanding of the unique needs of the affluent
investor's portfolio. The legacy of our experience, coupled with our GLOBAL
INTELLECTUAL CAPITAL, is the foundation from which our investment products have
been built. We have a worldwide investment presence. This local insight provides
us with a global view of every investment decision we make which we believe is
crucial in light of the ever-increasing rise of globalization in our
marketplace. JPMorgan Fleming Asset Management is an EXPERIENCED PARTNER
dedicated to working with your financial professional to help provide you with a
broad array of WEALTH SOLUTIONS.
CONTENTS
<Table>
President's Letter 1
Fund Commentaries:
Dynamic Small Cap Fund 3
Mid Cap Equity Fund 6
Mid Cap Growth Fund 9
Mid Cap Value Fund 12
Small Cap Equity Fund 15
Small Cap Growth Fund 18
Trust Small Cap Equity 21
U.S. Small Company Fund 24
U.S. Small Company Opportunities Fund 27
Portfolios of Investments 30
Financial Statements 68
Notes to Financial Statements 81
Financial Highlights 104
</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 U.S. MID AND SMALL CAP EQUITY FUNDS
PRESIDENT'S LETTER AUGUST 2, 2004
[PHOTO OF GEORGE C.W. GATCH]
"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.
DEAR SHAREHOLDER:
We are pleased to present this semi-annual report for the JPMorgan U.S. Mid and
Small Cap Equity Funds. Inside, you'll find information detailing the
performance of the Funds for the six months ended June 30, 2004, along with
reports from the Portfolio Managers.
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 6.8%. 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
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
<Page>
services, an extensive client base and greater scale. And, we have an
extraordinarily talented team that shares common values and a strong client
orientation.
JPMORGAN TRUST SMALL CAP EQUITY FUND UPDATE
Effective July 16, 2004, the Fund's portfolio management team has been run by
Christopher Blum and Dennis Ruhl. The team will use a three-step investment
process that combines research, valuation and stock selection. They will take an
in-depth look at company prospects over a relatively long period -- often as
much as five years -- rather than focusing on near-term expectations. This
approach is designed to provide insight into a company's real growth potential.
Additionally, the Fund will compare its performance to that of the Russell 2000
Index, as the advisor believes that it more accurately reflects the Fund's
investment style.
As always, everyone 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
<Page>
JPMORGAN DYNAMIC SMALL CAP FUND
AS OF JUNE 30, 2004 (Unaudited)
FUND FACTS
<Table>
Fund Inception 5/19/1997
Fiscal Year End DECEMBER 31
Net Assets as of 6/30/2004
(In Millions) $208.5
Primary Benchmark S&P SMALL CAP
600/BARRA
GROWTH INDEX
</Table>
Q: HOW DID THE FUND PERFORM?
A: JPMorgan Dynamic Small Cap Fund, which seeks capital growth over the long
term, rose by 4.6% (Class A shares, no sales charge) during the six months
ended June 30, 2004. This compares with appreciation of 10.4% in the S&P
Small Cap 600/Barra Growth Index, the Fund's benchmark.
Q: WHY DID THE FUND PERFORM THIS WAY?
A: The Fund delivered positive absolute returns in the half-year. It
outperformed its peer group, as represented by the Lipper Small Cap Growth
Index, which gained +3.4%, but trailed the benchmark S&P Small Cap 600/Barra
Growth Index.
Stock selection in the Retail, Software & Services and Systems Hardware
sectors contributed to performance, as did our overweight in Systems
Hardware. In Retail, apparel retailer Aeropostale, catalog retailer J. Jill
Group, and rural sporting goods retailer Hibbett Sporting Goods, led
performance. In Software, Internet security software provider RSA Security,
and product testing software maker Ansys, Inc., performed well. In addition,
our underweight in information technology consulting service providers added
to performance. In Systems Hardware, Zebra Technologies, a maker of bar code
label printers and software, and our stock selection in communications
equipment, both made strong contributions.
By contrast, stock selection in the Industrial Cyclicals, Consumer Cyclicals,
and Health Services & Systems sectors detracted from performance. In
Industrial Cyclicals, Rofin-Sinar Technologies, a maker of industrial lasers
used in manufacturing processes, and Wabash National Corp, a maker of truck
trailers, performed poorly. In Consumer Cyclicals, slot machine and casino
management software maker, Alliance Gaming Corp, declined, as did customer
service outsourcing provider, Sykes Enterprises. In Health Services &
Systems, the chief detractor was Advanced Neuromodulation Systems, a maker of
implantable medical devices used to manage chronic pain. Merit Medical
Systems, a maker of medical devices used to treat cardiovascular diseases,
also fell.
Q: HOW WAS THE FUND MANAGED?
A: The Fund was overweight in Systems Hardware companies throughout the period
in anticipation of a pick-up in corporate technology spending. For most of
the period it was also overweight Industrial Cyclicals, but we have recently
reduced the weighting as robust earnings have been discounted by rising stock
prices. The Fund has been underweight areas with exposure to rising interest
rates, such as the Consumer Cyclicals stocks, including homebuilders and home
furnishings manufacturers. Over the period, we have sold biotechnology stocks
due to valuation and added medical device manufacturers with strong product
cycles. We have also reduced our weight in the Retail sector, due to
potential negative pressure from rising interest rates on consumer
spending.
3
<Page>
[CHART]
PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS
<Table>
Technology 32.1%
Consumer Goods & Services 20.8%
Health Services & Systems 14.6%
Industrial Products & Services 10.2%
Finance & Insurance 7.0%
Energy 6.7%
Pharmaceuticals 5.4%
Short-Term Investments 1.9%
Telecommunications 1.0%
Utilities 0.3%
</Table>
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO
<Table>
1. Ansys, Inc. 1.8%
2. East-West Bancorp, Inc. 1.7%
3. Immucor, Inc. 1.6%
4. RSA Security, Inc. 1.5%
5. Regis Corp. 1.5%
6. Arthocare Corp. 1.5%
7. Wabash National Corp. 1.4%
8. Possis Medical, Inc. 1.4%
9. Zebra Technologies Corp., Class A 1.4%
10. VCA Antech, Inc. 1.3%
</Table>
Top 10 equity holdings comprised 15.1% ($31,574 in thousands) of the Portfolio's
market value of investments. As of June 30, 2004 the Fund held 121 equity
holdings. Portfolio holdings are subject to change at any time.
4
<Page>
AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2004
<Table>
<Caption>
SINCE
INCEPTION
1 YEAR 3 YEARS 5 YEARS (5/19/97)
------------------------------------------
CLASS A SHARES
Without Sales Charge 28.68% 2.07% 5.67% 11.05%
With Sales Charge* 21.31% 0.08% 4.42% 10.13%
CLASS B SHARES
Without CDSC 27.87% 1.44% 4.99% 10.32%
With CDSC** 22.87% 0.46% 4.66% 10.32%
CLASS C SHARES
Without CDSC 27.84% 1.42% 4.97% 10.31%
With CDSC*** 26.84% 1.42% 4.97% 10.31%
SELECT SHARES 29.21% 2.45% 6.08% 11.36%
</Table>
* Sales Charge for Class A Shares is 5.75%.
** Assumes 5% CDSC (contingent deferred sales charge) for the one year period,
3% CDSC for the three year period, 2% CDSC for the five year period and 1%
for the period since inception.
*** Assumes a 1% CDSC for the one year period and 0% CDSC thereafter.
[CHART]
LIFE OF FUND PERFORMANCE (05/19/97 TO 06/30/04)
<Table>
<Caption>
JPMORGAN DYNAMIC S&P SMALLCAP LIPPER SMALL-CAP
SMALL CAP FUND 600/BARRA GROWTH
(CLASS A SHARES) GROWTH INDEX FUNDS INDEX
May-1997 $ 9,425 $ 10,000 $ 10,000
May-1997 $ 9,925 $ 10,000 $ 10,000
Jun-1997 $ 10,962 $ 10,357 $ 10,535
Jul-1997 $ 12,083 $ 10,977 $ 11,169
Aug-1997 $ 12,497 $ 11,317 $ 11,347
Sep-1997 $ 13,384 $ 12,036 $ 12,302
Oct-1997 $ 13,054 $ 11,372 $ 11,674
Nov-1997 $ 12,545 $ 11,157 $ 11,410
Dec-1997 $ 12,602 $ 11,289 $ 11,258
Jan-1998 $ 12,442 $ 11,083 $ 11,091
Feb-1998 $ 13,676 $ 12,177 $ 11,988
Mar-1998 $ 14,778 $ 12,500 $ 12,529
Apr-1998 $ 14,938 $ 12,565 $ 12,621
May-1998 $ 13,892 $ 11,779 $ 11,727
Jun-1998 $ 14,353 $ 11,856 $ 12,071
Jul-1998 $ 13,468 $ 11,132 $ 11,163
Aug-1998 $ 10,490 $ 8,847 $ 8,725
Sep-1998 $ 11,630 $ 9,463 $ 9,192
Oct-1998 $ 12,055 $ 9,929 $ 9,554
Nov-1998 $ 12,950 $ 10,621 $ 10,331
Dec-1998 $ 14,299 $ 11,546 $ 11,366
Jan-1999 $ 14,148 $ 11,389 $ 11,641
Feb-1999 $ 12,905 $ 10,269 $ 10,521
Mar-1999 $ 13,216 $ 10,565 $ 10,997
Apr-1999 $ 13,706 $ 11,049 $ 11,426
May-1999 $ 13,640 $ 11,146 $ 11,488
Jun-1999 $ 15,082 $ 11,739 $ 12,564
Jul-1999 $ 15,102 $ 11,711 $ 12,520
Aug-1999 $ 14,828 $ 11,174 $ 12,345
Sep-1999 $ 15,008 $ 11,438 $ 12,793
Oct-1999 $ 15,065 $ 11,611 $ 13,538
Nov-1999 $ 16,366 $ 12,281 $ 15,247
Dec-1999 $ 18,610 $ 13,806 $ 18,321
Jan-2000 $ 18,327 $ 13,616 $ 18,130
Feb-2000 $ 22,673 $ 16,456 $ 23,442
Mar-2000 $ 22,144 $ 14,955 $ 21,602
Apr-2000 $ 22,249 $ 14,385 $ 18,932
May-2000 $ 20,411 $ 13,770 $ 17,383
Jun-2000 $ 23,276 $ 15,021 $ 20,445
Jul-2000 $ 21,919 $ 13,994 $ 19,114
Aug-2000 $ 25,021 $ 15,680 $ 21,169
Sep-2000 $ 23,757 $ 14,846 $ 20,121
Oct-2000 $ 23,135 $ 14,962 $ 18,612
Nov-2000 $ 19,637 $ 12,718 $ 15,442
Dec-2000 $ 20,735 $ 13,886 $ 16,807
Jan-2001 $ 20,679 $ 13,897 $ 17,320
Feb-2001 $ 18,148 $ 12,718 $ 15,103
Mar-2001 $ 16,418 $ 12,061 $ 13,636
Apr-2001 $ 17,751 $ 13,231 $ 15,109
May-2001 $ 18,350 $ 13,382 $ 15,519
Jun-2001 $ 18,689 $ 13,812 $ 15,910
Jul-2001 $ 18,136 $ 13,477 $ 15,023
Aug-2001 $ 17,311 $ 13,076 $ 14,134
Sep-2001 $ 15,242 $ 11,416 $ 11,928
Oct-2001 $ 16,056 $ 12,111 $ 12,802
Nov-2001 $ 16,778 $ 12,910 $ 13,794
Dec-2001 $ 17,762 $ 13,722 $ 14,630
Jan-2002 $ 17,479 $ 13,703 $ 14,188
Feb-2002 $ 17,186 $ 13,279 $ 13,330
Mar-2002 $ 18,169 $ 14,214 $ 14,420
Apr-2002 $ 18,338 $ 14,419 $ 14,040
May-2002 $ 17,604 $ 13,761 $ 13,477
Jun-2002 $ 16,351 $ 12,943 $ 12,475
Jul-2002 $ 14,328 $ 11,395 $ 10,706
Aug-2002 $ 14,294 $ 11,622 $ 10,690
Sep-2002 $ 13,423 $ 11,048 $ 10,042
Oct-2002 $ 13,955 $ 11,528 $ 10,471
Nov-2002 $ 14,452 $ 12,107 $ 11,349
Dec-2002 $ 13,717 $ 11,615 $ 10,591
Jan-2003 $ 13,266 $ 11,297 $ 10,311
Feb-2003 $ 12,984 $ 10,991 $ 9,989
Mar-2003 $ 13,198 $ 11,201 $ 10,195
Apr-2003 $ 14,147 $ 12,001 $ 11,037
May-2003 $ 15,085 $ 12,813 $ 12,163
Jun-2003 $ 15,447 $ 13,093 $ 12,575
Jul-2003 $ 16,329 $ 13,815 $ 13,311
Aug-2003 $ 17,075 $ 14,496 $ 14,016
Sep-2003 $ 16,703 $ 14,119 $ 13,672
Oct-2003 $ 18,263 $ 15,309 $ 14,910
Nov-2003 $ 19,110 $ 15,834 $ 15,307
Dec-2003 $ 18,990 $ 15,950 $ 15,328
Jan-2004 $ 19,358 $ 16,490 $ 16,046
Feb-2004 $ 19,370 $ 16,728 $ 15,985
Mar-2004 $ 19,597 $ 16,862 $ 15,874
Apr-2004 $ 18,817 $ 16,373 $ 15,098
May-2004 $ 19,167 $ 16,674 $ 15,414
Jun-2004 $ 19,871 $ 17,608 $ 15,853
</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 PROSPECTUS WHICH INCLUDES INFORMATION
ON THE FUND'S INVESTMENT OBJECTIVES, RISK, AS WELL AS CHARGES AND EXPENSES ALONG
WITH OTHER INFORMATION. INVESTORS SHOULD REVIEW THE INFORMATION IN THE
PROSPECTUS CAREFULLY BEFORE INVESTING. FOR UP TO DATE MONTH-END PERFORMANCE
INFORMATION, OR TO RECEIVE A FUND PROSPECTUS PLEASE CALL 800 348-4782. PLEASE
READ CAREFULLY BEFORE INVESTING OR SENDING MONEY.
The Fund commenced operations on 5/19/97. Class A and Class B Shares were
introduced on 5/19/97.
Returns for the Select Shares prior to 4/5/99 (offering date of the Select
Shares) are calculated using the historical expenses of the Class A Shares,
which are higher than the expenses of the Select Shares.
Returns for the Class C Shares prior to 1/7/98 (offering date of the Class C
Shares) are calculated using the historical expenses of the Class A Shares,
which are lower than the expenses of the Class C Shares.
The graph illustrates comparative performance for $10,000 invested in Class A
Shares of the JPMorgan Dynamic Small Cap Fund, S&P SmallCap 600/BARRA Growth
Index, and Lipper Small-Cap Growth Funds Index from May 19, 1997 to June 30,
2004.
The performance of the Fund assumes reinvestment of all dividends and capital
gains and includes a sales charge. The performance of the indices reflects an
initial investment at the end of the month following the Fund's inception. The
performance of the indices does not include a sales charge and has been adjusted
to reflect reinvestment of all dividends and capital gains of the securities
included in the benchmark. The S&P SmallCap 600/BARRA Growth Index is a
capitalization-weighted index of all the stocks in the S&P SmallCap 600 Index
with higher price-to-book ratios. The Lipper Small-Cap Growth Funds Index
represents the total returns of the funds in the indicated category, as defined
by Lipper, Inc. Investors cannot invest directly in an index.
Class A Shares have a $2,500 minimum initial deposit and carry a 5.75% sales
charge.
Certain fees and expenses of the fund are currently being waived and reimbursed
as described in the prospectus. Had the expenses not been subsidized or waived,
returns would have been lower. Also all performance shown in this section does
not reflect the deduction of taxes that a shareholder would pay on fund
distributions or redemption of fund shares.
5
<Page>
JPMORGAN MID CAP EQUITY FUND
AS OF JUNE 30, 2004 (Unaudited)
FUND FACTS
<Table>
Fund Inception 1/1/1997
Fiscal Year End DECEMBER 31
Net Assets as of 6/30/2004
(In Millions) $209.0
Primary Benchmark RUSSELL MID CAP
INDEX
</Table>
Q: HOW DID THE FUND PERFORM?
A: JPMorgan Mid Cap Equity Fund, which seeks long-term capital growth, rose 8.5%
during the six months ended June 30, 2004. This compares with a gain of 6.7%
for the Russell Mid Cap Index, the Fund's benchmark.
Q: WHY DID THE FUND OUTPERFORM ITS BENCHMARK?
A: The Fund performed well during the first half of 2004. After the year began
with the market's more speculative names posting the highest gains, market
leadership shifted to higher-quality names in February. This development
helped the Fund's performance, as our overriding focus is on strong, durable
businesses. The positive performance relative to the benchmark is
attributable to stock selection rather than sector weightings, with the
Healthcare and Information Technology sectors doing particularly well. The
Fund's overweight position in Consumer Discretionary was the largest
detractor from performance. In addition, the Fund's Industrial holdings,
which rose moderately during the first half of the year, underperformed their
benchmark peer group.
ImClone proved to be the Fund's top contributor, as the company's shares
doubled during the first half of 2004. The advance was driven by the approval
and launch of the cancer drug Erbitux, which is expected to be a blockbuster.
In particular, the FDA's approval of Erbitux as a treatment for colon cancer
resulted in a $250M milestone payment from Bristol Myers Squibb. Another top
contributor was Biogen, up 72% this year as its current drugs continue to
exhibit healthy growth, while a number of drugs in its pipeline are entering
late-stage clinical development. In addition, Antegren, a very promising MS
drug expected to play a critical role in the treatment of that disease, is on
the verge of U.S. and European regulatory approvals and a commercial launch.
Among a number of stocks that performed well, there were a few holdings that
detracted from performance. The Fund's biggest detractor was Amkor
Technology, as the provider of semiconductor packaging and test services
pre-announced disappointing second-quarter results, particularly with respect
to margins. Key factors affecting their margins were an unfavorable product
mix, rising material costs and higher depreciation. Because we did not feel
that management was executing well on its business plan, the position was
sold. Another detractor from the Fund was Doubleclick, as the online
advertising company failed to meet the Street's revenue expectations.
Although Doubleclick has strong exposure to the rapidly growing online ad
market, its core technology serving business has experienced pricing
pressure. As the company increases headcount to generate additional revenue,
we expect margin expansion to be lower than consensus expectations and thus
eliminated the position from the Portfolio.
Q: HOW WAS THE FUND MANAGED?
A: The portfolio manager's focus remained on stock selection, believing that
quality companies, regardless of their economic sector, trading at attractive
valuations will outperform in the long term. The portfolio manager sought to
maintain significant sector diversification in the Portfolio to avoid any
large bets contingent on macroeconomic or sector trends.
6
<Page>
[CHART]
PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS
<Table>
Consumer Goods & Services 25.2%
Technology 19.0%
Finance & Insurance 15.9%
Industrial Products & Services 11.2%
Energy 6.1%
Pharmaceuticals 6.0%
Health Services & Systems 5.9%
Telecommunications 3.7%
Short-Term Investments 2.8%
REITs 2.4%
Utilities 1.8%
</Table>
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO
<Table>
1. Wilmington Trust Corp. 1.3%
2. AutoZone, Inc. 1.2%
3. Mohawk Industries, Inc. 1.2%
4. Assurant, Inc. 1.2%
5. Outback Steakhouse, Inc. 1.2%
6. Kinder Morgan, Inc. 1.1%
7. Golden West Financial Corp. 1.1%
8. VF Corp. 1.1%
9. NBTY, Inc. 1.1%
10. The E.W. Scripps Co., Class A 1.1%
</Table>
Top 10 equity holdings comprised 11.6% ($24,369 in thousands) of the Portfolio's
market value of investments. As of June 30, 2004, the Fund held 182 equity
holdings. Portfolio holdings are subject to change at any time.
7
<Page>
AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2004
<Table>
<Caption>
1 YEAR 3 YEARS 5 YEARS 10 YEARS
-----------------------------------------------------
SELECT SHARES 26.24% 7.15% 9.51% 12.29%
</Table>
[CHART]
TEN-YEAR FUND PERFORMANCE (06/30/94 TO 06/30/04)
<Table>
<Caption>
JPMORGAN RUSSELL LIPPER
MID CAP MIDCAP MID-CAP CORE
EQUITY FUND INDEX FUNDS INDEX
Jun-1994 $ 1,000,000 $ 1,000,000 $ 1,000,000
Jul-1994 $ 1,020,700 $ 1,034,300 $ 1,023,000
Aug-1994 $ 1,066,529 $ 1,083,326 $ 1,081,823
Sep-1994 $ 1,072,289 $ 1,056,893 $ 1,083,121
Oct-1994 $ 1,068,536 $ 1,064,925 $ 1,095,252
Nov-1994 $ 1,029,962 $ 1,017,962 $ 1,054,837
Dec-1994 $ 1,039,746 $ 1,031,195 $ 1,078,782
Jan-1995 $ 1,026,333 $ 1,052,335 $ 1,064,650
Feb-1995 $ 1,068,003 $ 1,106,846 $ 1,105,852
Mar-1995 $ 1,116,383 $ 1,138,502 $ 1,128,743
Apr-1995 $ 1,120,960 $ 1,155,693 $ 1,128,065
May-1995 $ 1,153,917 $ 1,193,715 $ 1,144,197
Jun-1995 $ 1,187,149 $ 1,233,824 $ 1,214,679
Jul-1995 $ 1,267,519 $ 1,293,665 $ 1,292,054
Aug-1995 $ 1,279,688 $ 1,313,458 $ 1,309,368
Sep-1995 $ 1,308,097 $ 1,343,142 $ 1,340,924
Oct-1995 $ 1,245,700 $ 1,313,055 $ 1,297,746
Nov-1995 $ 1,288,552 $ 1,378,314 $ 1,337,197
Dec-1995 $ 1,296,026 $ 1,386,308 $ 1,352,441
Jan-1996 $ 1,297,970 $ 1,415,560 $ 1,367,183
Feb-1996 $ 1,322,242 $ 1,448,825 $ 1,421,050
Mar-1996 $ 1,333,085 $ 1,469,833 $ 1,437,392
Apr-1996 $ 1,374,543 $ 1,511,430 $ 1,516,592
May-1996 $ 1,402,309 $ 1,534,252 $ 1,555,417
Jun-1996 $ 1,362,203 $ 1,511,238 $ 1,501,444
Jul-1996 $ 1,237,153 $ 1,417,693 $ 1,388,536
Aug-1996 $ 1,336,744 $ 1,485,175 $ 1,463,517
Sep-1996 $ 1,452,372 $ 1,558,542 $ 1,540,205
Oct-1996 $ 1,389,194 $ 1,571,011 $ 1,524,033
Nov-1996 $ 1,402,391 $ 1,666,685 $ 1,590,785
Dec-1996 $ 1,391,873 $ 1,649,685 $ 1,594,603
Jan-1997 $ 1,429,315 $ 1,711,383 $ 1,645,152
Feb-1997 $ 1,368,998 $ 1,708,816 $ 1,600,075
Mar-1997 $ 1,262,763 $ 1,636,192 $ 1,524,391
Apr-1997 $ 1,269,456 $ 1,676,933 $ 1,534,300
May-1997 $ 1,415,951 $ 1,799,349 $ 1,692,640
Jun-1997 $ 1,486,749 $ 1,858,188 $ 1,753,913
Jul-1997 $ 1,577,738 $ 2,013,160 $ 1,877,038
Aug-1997 $ 1,545,868 $ 1,991,217 $ 1,881,918
Sep-1997 $ 1,654,078 $ 2,104,915 $ 2,009,512
Oct-1997 $ 1,585,434 $ 2,023,034 $ 1,928,730
Nov-1997 $ 1,571,324 $ 2,071,182 $ 1,926,223
Dec-1997 $ 1,600,707 $ 2,128,140 $ 1,948,952
Jan-1998 $ 1,606,470 $ 2,088,131 $ 1,914,650
Feb-1998 $ 1,773,543 $ 2,251,423 $ 2,077,779
Mar-1998 $ 1,875,876 $ 2,358,140 $ 2,178,966
Apr-1998 $ 1,922,586 $ 2,364,036 $ 2,204,025
May-1998 $ 1,797,233 $ 2,290,987 $ 2,090,517
Jun-1998 $ 1,886,016 $ 2,322,603 $ 2,114,349
Jul-1998 $ 1,770,969 $ 2,211,814 $ 1,994,043
Aug-1998 $ 1,380,116 $ 1,858,145 $ 1,587,657
Sep-1998 $ 1,518,818 $ 1,978,367 $ 1,726,101
Oct-1998 $ 1,574,407 $ 2,113,292 $ 1,824,316
Nov-1998 $ 1,675,641 $ 2,213,462 $ 1,915,896
Dec-1998 $ 1,860,632 $ 2,343,392 $ 2,100,206
Jan-1999 $ 1,890,960 $ 2,339,408 $ 2,090,335
Feb-1999 $ 1,738,549 $ 2,261,506 $ 1,942,966
Mar-1999 $ 1,809,656 $ 2,332,291 $ 1,999,506
Apr-1999 $ 1,886,204 $ 2,504,648 $ 2,114,278
May-1999 $ 1,866,210 $ 2,497,384 $ 2,139,438
Jun-1999 $ 2,022,972 $ 2,585,542 $ 2,256,037
Jul-1999 $ 1,974,016 $ 2,514,698 $ 2,212,044
Aug-1999 $ 1,941,445 $ 2,449,567 $ 2,150,992
Sep-1999 $ 1,967,848 $ 2,363,342 $ 2,110,768
Oct-1999 $ 2,041,249 $ 2,475,365 $ 2,215,463
Nov-1999 $ 2,148,823 $ 2,546,655 $ 2,381,844
Dec-1999 $ 2,326,960 $ 2,770,761 $ 2,692,674
Jan-2000 $ 2,224,109 $ 2,679,049 $ 2,664,132
Feb-2000 $ 2,378,907 $ 2,885,068 $ 3,106,911
Mar-2000 $ 2,549,236 $ 3,050,382 $ 3,082,988
Apr-2000 $ 2,522,469 $ 2,906,099 $ 2,873,345
May-2000 $ 2,416,778 $ 2,829,087 $ 2,755,250
Jun-2000 $ 2,482,273 $ 2,912,828 $ 2,979,527
Jul-2000 $ 2,474,578 $ 2,880,205 $ 2,894,015
Aug-2000 $ 2,750,245 $ 3,156,128 $ 3,176,471
Sep-2000 $ 2,694,691 $ 3,110,996 $ 3,091,977
Oct-2000 $ 2,672,864 $ 3,063,086 $ 2,982,212
Nov-2000 $ 2,458,233 $ 2,787,409 $ 2,652,379
Dec-2000 $ 2,669,395 $ 2,999,530 $ 2,860,856
Jan-2001 $ 2,689,148 $ 3,047,823 $ 2,945,251
Feb-2001 $ 2,554,691 $ 2,862,210 $ 2,714,049
Mar-2001 $ 2,367,177 $ 2,684,753 $ 2,533,022
Apr-2001 $ 2,562,469 $ 2,914,300 $ 2,777,965
May-2001 $ 2,610,899 $ 2,968,506 $ 2,843,803
Jun-2001 $ 2,590,012 $ 2,940,602 $ 2,851,197
Jul-2001 $ 2,547,536 $ 2,856,501 $ 2,761,384
Aug-2001 $ 2,467,034 $ 2,746,525 $ 2,642,368
Sep-2001 $ 2,191,219 $ 2,415,294 $ 2,304,674
Oct-2001 $ 2,264,844 $ 2,510,940 $ 2,419,907
Nov-2001 $ 2,411,153 $ 2,721,357 $ 2,602,852
Dec-2001 $ 2,564,020 $ 2,830,755 $ 2,720,241
Jan-2002 $ 2,514,535 $ 2,813,771 $ 2,689,230
Feb-2002 $ 2,467,513 $ 2,783,945 $ 2,642,707
Mar-2002 $ 2,606,434 $ 2,950,982 $ 2,821,089
Apr-2002 $ 2,603,046 $ 2,893,733 $ 2,774,541
May-2002 $ 2,582,221 $ 2,861,033 $ 2,718,218
Jun-2002 $ 2,414,119 $ 2,669,344 $ 2,521,691
Jul-2002 $ 2,220,265 $ 2,408,816 $ 2,265,992
Aug-2002 $ 2,240,469 $ 2,422,065 $ 2,291,824
Sep-2002 $ 2,089,014 $ 2,198,508 $ 2,108,936
Oct-2002 $ 2,195,762 $ 2,309,533 $ 2,208,056
Nov-2002 $ 2,288,423 $ 2,469,814 $ 2,358,204
Dec-2002 $ 2,220,686 $ 2,372,504 $ 2,247,840
Jan-2003 $ 2,189,819 $ 2,324,579 $ 2,203,333
Feb-2003 $ 2,149,745 $ 2,293,895 $ 2,156,843
Mar-2003 $ 2,189,300 $ 2,316,604 $ 2,162,235
Apr-2003 $ 2,323,285 $ 2,484,790 $ 2,325,483
May-2003 $ 2,500,087 $ 2,712,148 $ 2,520,824
Jun-2003 $ 2,523,838 $ 2,739,541 $ 2,565,191
Jul-2003 $ 2,592,234 $ 2,829,945 $ 2,644,711
Aug-2003 $ 2,672,593 $ 2,952,765 $ 2,761,872
Sep-2003 $ 2,631,703 $ 2,915,855 $ 2,715,473
Oct-2003 $ 2,805,395 $ 3,138,335 $ 2,914,788
Nov-2003 $ 2,873,005 $ 3,226,522 $ 2,994,362
Dec-2003 $ 2,937,648 $ 3,323,318 $ 3,070,419
Jan-2004 $ 3,015,789 $ 3,420,027 $ 3,153,320
Feb-2004 $ 3,105,358 $ 3,493,557 $ 3,213,549
Mar-2004 $ 3,122,748 $ 3,494,256 $ 3,205,836
Apr-2004 $ 3,051,862 $ 3,366,017 $ 3,104,852
May-2004 $ 3,111,373 $ 3,449,494 $ 3,153,598
Jun-2004 $ 3,186,852 $ 3,545,045 $ 3,239,376
</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 PROSPECTUS WHICH INCLUDES INFORMATION
ON THE FUND'S INVESTMENT OBJECTIVES, RISK, AS WELL AS CHARGES AND EXPENSES ALONG
WITH OTHER INFORMATION. INVESTORS SHOULD REVIEW THE INFORMATION IN THE
PROSPECTUS CAREFULLY BEFORE INVESTING. FOR UP TO DATE MONTH-END PERFORMANCE
INFORMATION, OR TO RECEIVE A FUND PROSPECTUS PLEASE CALL 800 348-4782. PLEASE
READ CAREFULLY BEFORE INVESTING OR SENDING MONEY.
The Fund commenced operations on 1/1/97.
Returns for the Fund prior to 1/1/97 (offering date of the Shares) are
calculated using the historical expenses at the level indicated (absent
reimbursements) in the Expense Summary for the Fund as disclosed in the
Prospectus. The account was not registered with the SEC and was not subject to
investment restrictions of registered mutual funds. If the account had been
registered, performance may have been adversely affected.
The graph illustrates comparative performance for $1,000,000 invested in the
JPMorgan Mid Cap Equity Fund, Russell MidCap Index, and Lipper Mid-Cap Core
Funds Index from June 30, 1994 to June 30, 2004. The performance of the Fund
assumes reinvestment of all dividends and capital gains. The performance of the
indices does not include a sales charge and has been adjusted to reflect
reinvestment of all dividends and capital gains of the securities included in
the benchmark. The Russell MidCap Index measures the performance of the smallest
800 companies of the Russell 1000 Index, which represents approximately 25% of
the total market capitalization of the Russell 1000 Index. The Lipper Mid-Cap
Core Funds Index represents the total returns of the funds in the indicated
category, as defined by Lipper, Inc. Investors cannot invest directly in an
Index.
Select Shares have a $1,000,000 minimum initial deposit and carry no sales
charge.
Certain fees and expenses of the Fund are currently being waived and reimbursed
as described in the prospectus. Had the expenses not been subsidized or waived,
returns would have been lower. Also all performance shown in this section does
not reflect the deduction of taxes that a shareholder would pay on fund
distributions or redemption of fund shares.
8
<Page>
JPMORGAN MID CAP GROWTH FUND
AS OF JUNE 30, 2004 (Unaudited)
FUND FACTS
<Table>
Fund Inception 10/29/1999
Fiscal Year End DECEMBER 31
Net Assets as of 6/30/2004
(In Millions) $59.5
Primary Benchmark RUSSELL MID CAP
GROWTH INDEX
</Table>
Q: HOW DID THE FUND PERFORM?
A: JPMorgan Mid Cap Growth Fund, which seeks to provide long-term growth from a
portfolio of mid-capitalization stocks, rose 8.8% (Class A shares, no sales
charge) during the six months ended June 30, 2004. This compares with a gain
of 5.9% for the Russell Mid Cap Growth Index, the Fund's benchmark.
Q: WHY DID THE FUND OUTPERFORM ITS BENCHMARK?
A: The Fund performed well during the first half of 2004. After the year began
with the market's more speculative names posting the highest gains, market
leadership shifted to higher-quality names in February. This development
helped the Fund's performance, as our overriding focus is on strong, durable
businesses. The positive performance relative to the benchmark is
attributable to stock selection, rather than sector weightings, with the
Healthcare and Information Technology sectors doing particularly well. The
Fund's stock selections in Telecommunications were the largest detractors
from performance. In addition, the Fund's Industrial holdings, which rose
marginally during the first half of the year, underperformed their benchmark
peer group.
ImClone proved to be the Fund's top contributor, as the company's shares
doubled during the first half of 2004. The advance was driven by the approval
and launch of the cancer drug Erbitux, which is expected to be a blockbuster.
In particular, the FDA's approval of Erbitux as a treatment for colon cancer
resulted in a $250M milestone payment from Bristol-Myers Squibb. Another top
contributor was Biogen, up 72% this year as its current drugs continue to
exhibit healthy growth, while a number of drugs in its pipeline are entering
late-stage clinical development. In addition, Antegren, a very promising MS
drug expected to play a critical role in the treatment of that disease, is on
the verge of U.S. and European regulatory approvals and a commercial launch.
Amongst a number of stocks that performed well, there were a few holdings
that detracted from performance. The Fund's biggest detractor was Amkor
Technology, as the provider of semiconductor packaging and test services
pre-announced disappointing second-quarter results, particularly with respect
to margins. Key factors affecting their margins were an unfavorable product
mix, rising material costs and higher depreciation. Because we did not feel
that management was executing well on its business plan, the position was
sold. Another detractor from the portfolio was Doubleclick, as the online
advertising company failed to meet the Street's revenue expectations.
Although Doubleclick has strong exposure to the rapidly growing online ad
market, its core technology serving business has experienced pricing
pressure. As the company increases headcount to generate additional revenue,
we expect margin expansion to be lower than consensus expectations and thus
eliminated the position from the portfolio.
Q: HOW WAS THE FUND MANAGED?
A: The portfolio manager's focus remained on stock selection, believing that
quality companies, regardless of their economic sector, trading at attractive
valuations will outperform in the long term. The portfolio manager sought to
maintain significant sector diversification in the Portfolio to avoid any
large bets contingent on macroeconomic or sector trends.
9
<Page>
[CHART]
PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS
<Table>
Technology 30.6%
Consumer Goods & Services 26.4%
Pharmaceuticals 10.8%
Health Services & Systems 10.1%
Industrial Products & Services 6.9%
Finance & Insurance 6.6%
Energy 3.9%
Telecommunications 2.6%
Short-Term Investments 2.1%
</Table>
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO
<Table>
1. Amphenol Corp., Class A 2.1%
2. Zimmer Holdings, Inc. 1.9%
3. Omnicare, Inc. 1.7%
4. Gilead Sciences, Inc. 1.5%
5. Biogen Idec, Inc. 1.5%
6. Harsco Corp. 1.5%
7. Arrow Electronics, Inc. 1.5%
8. Staples, Inc. 1.4%
9. ImClone Systems, Inc. 1.4%
10. AmeriCredit Corp. 1.4%
</Table>
Top 10 equity holdings comprised 15.9% ($9,661 in thousands) of the Portfolio's
market value of investments. As of June 30, 2004, the Fund held 104 equity
holdings. Portfolio holdings are subject to change at any time.
10
<Page>
AVERAGE ANNUAL TOTAL RETURNS
<Table>
<Caption>
SINCE
INCEPTION
1 YEAR 3 YEAR (10/29/99)
-----------------------------------
CLASS A SHARES
Without Sales Charge 28.67% (2.32%) (12.14%)
With Sales Charge* 21.36% (4.23%) (13.25%)
CLASS B SHARES
Without CDSC 27.65% (3.03%) (12.76%)
With CDSC** 22.65% (4.01%) (13.12%)
</Table>
* Sales Charge for Class A Shares is 5.75%.
** Assumes 5% CDSC (contingent deferred sales charge) for the one year period,
3% CDSC for the three year period, 2% CDSC for the period since inception.
[CHART]
LIFE OF FUND PERFORMANCE (10/29/99 TO 06/30/04)
<Table>
<Caption>
JPMORGAN MID CAP RUSSELL LIPPER
GROWTH FUND MIDCAP MID-CAP
(CLASS A SHARES) GROWTH INDEX GROWTH FUNDS INDEX
Oct-1999 $ 9,425 $ 10,000 $ 10,000
Oct-1999 $ 9,623 $ 10,000 $ 10,000
Nov-1999 $ 11,902 $ 11,036 $ 11,254
Dec-1999 $ 13,635 $ 12,947 $ 13,602
Jan-2000 $ 13,903 $ 12,945 $ 13,368
Feb-2000 $ 18,711 $ 15,666 $ 16,718
Mar-2000 $ 15,509 $ 15,682 $ 15,541
Apr-2000 $ 11,510 $ 14,159 $ 13,491
May-2000 $ 9,692 $ 13,127 $ 12,278
Jun-2000 $ 12,846 $ 14,519 $ 14,186
Jul-2000 $ 11,980 $ 13,600 $ 13,597
Aug-2000 $ 13,211 $ 15,651 $ 15,376
Sep-2000 $ 12,028 $ 14,886 $ 14,636
Oct-2000 $ 9,683 $ 13,868 $ 13,452
Nov-2000 $ 6,558 $ 10,854 $ 10,639
Dec-2000 $ 6,938 $ 11,426 $ 11,406
Jan-2001 $ 7,245 $ 12,079 $ 11,562
Feb-2001 $ 5,721 $ 9,989 $ 9,827
Mar-2001 $ 5,200 $ 8,560 $ 8,785
Apr-2001 $ 5,780 $ 9,987 $ 9,942
May-2001 $ 5,898 $ 9,940 $ 10,024
Jun-2001 $ 5,633 $ 9,945 $ 9,985
Jul-2001 $ 5,220 $ 9,274 $ 9,460
Aug-2001 $ 4,866 $ 8,602 $ 8,826
Sep-2001 $ 4,197 $ 7,180 $ 7,553
Oct-2001 $ 4,473 $ 7,935 $ 7,974
Nov-2001 $ 4,787 $ 8,789 $ 8,629
Dec-2001 $ 4,974 $ 9,123 $ 9,003
Jan-2002 $ 4,827 $ 8,827 $ 8,659
Feb-2002 $ 4,482 $ 8,326 $ 8,229
Mar-2002 $ 4,797 $ 8,962 $ 8,747
Apr-2002 $ 4,620 $ 8,487 $ 8,457
May-2002 $ 4,453 $ 8,235 $ 8,174
Jun-2002 $ 4,040 $ 7,325 $ 7,440
Jul-2002 $ 3,647 $ 6,613 $ 6,638
Aug-2002 $ 3,568 $ 6,590 $ 6,559
Sep-2002 $ 3,332 $ 6,066 $ 6,152
Oct-2002 $ 3,539 $ 6,536 $ 6,462
Nov-2002 $ 3,706 $ 7,048 $ 6,846
Dec-2002 $ 3,509 $ 6,623 $ 6,441
Jan-2003 $ 3,460 $ 6,558 $ 6,346
Feb-2003 $ 3,381 $ 6,501 $ 6,248
Mar-2003 $ 3,480 $ 6,622 $ 6,337
Apr-2003 $ 3,676 $ 7,072 $ 6,782
May-2003 $ 4,000 $ 7,753 $ 7,343
Jun-2003 $ 4,079 $ 7,864 $ 7,458
Jul-2003 $ 4,217 $ 8,144 $ 7,752
Aug-2003 $ 4,413 $ 8,593 $ 8,133
Sep-2003 $ 4,275 $ 8,426 $ 7,860
Oct-2003 $ 4,639 $ 9,106 $ 8,476
Nov-2003 $ 4,757 $ 9,350 $ 8,678
Dec-2003 $ 4,826 $ 9,452 $ 8,722
Jan-2004 $ 4,993 $ 9,763 $ 8,943
Feb-2004 $ 5,111 $ 9,928 $ 9,066
Mar-2004 $ 5,130 $ 9,909 $ 9,064
Apr-2004 $ 4,953 $ 9,629 $ 8,777
May-2004 $ 5,071 $ 9,856 $ 8,968
Jun-2004 $ 5,146 $ 10,013 $ 9,184
</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 PROSPECTUS WHICH INCLUDES INFORMATION
ON THE FUND'S INVESTMENT OBJECTIVES, RISK, AS WELL AS CHARGES AND EXPENSES ALONG
WITH OTHER INFORMATION. INVESTORS SHOULD REVIEW THE INFORMATION IN THE
PROSPECTUS CAREFULLY BEFORE INVESTING. FOR UP TO DATE MONTH-END PERFORMANCE
INFORMATION, OR TO RECEIVE A FUND PROSPECTUS PLEASE CALL 800 348-4782. PLEASE
READ CAREFULLY BEFORE INVESTING OR SENDING MONEY.
The JPMorgan MidCap Growth Fund (formerly J.P. Morgan H&Q IPO & Emerging Company
Fund) commenced operations on 10/29/99.
All Share Classes were introduced on 10/29/99.
The graph illustrates comparative performance for $10,000 invested in Class A
Shares of the JPMorgan Mid Cap Growth Fund, Russell MidCap Growth Index, and
Lipper Mid-Cap Growth Funds Index from October 29, 1999 to June 30, 2004. The
performance of the Fund assumes reinvestment of all dividends and capital gains
and assumes a sales charge. The performance of the indices reflects an initial
investment at the end of the month following the Fund's inception. The
performance of the indices does not include a sales charge and has been adjusted
to reflect reinvestment of all dividends and capital gains of the securities
included in the benchmark. The Russell MidCap Growth Index measures the
performance of those Russell MidCap companies with higher price-to-book ratios
and higher forecasted growth values. The Lipper Mid-Cap Growth Funds Index
represents the total returns of the funds in the indicated category, as defined
by Lipper, Inc. Investors cannot invest directly in an index.
Class A Shares have a $2,500 minimum initial deposit and carry a 5.75% sales
charge.
Certain fees and expenses of the Fund are currently being waived and reimbursed
as described in the prospectus. Had the expenses not been subsidized or waived,
returns would have been lower. Also all performance shown in this section does
not reflect the deduction of taxes that a shareholder would pay on fund
distributions or redemption of fund shares.
11
<Page>
JPMORGAN MID CAP VALUE FUND
AS OF JUNE 30, 2004 (Unaudited)
FUND FACTS
<Table>
Fund Inception 11/13/1997
Fiscal Year End DECEMBER 31
Net Assets as of 6/30/2004
(In Millions) $1,819.7
Primary Benchmark RUSSELL MID CAP
VALUE INDEX
</Table>
Q: HOW DID THE FUND PERFORM?
A: JPMorgan Mid Cap Value Fund, which seeks growth from capital appreciation,
rose 7.7% (Institutional Shares) during the six months ended June 30, 2004.
This compares with a gain of 7.2% for the Russell Mid Cap Value Index, the
Fund's benchmark.
Q: WHY DID THE FUND OUTPERFORM ITS BENCHMARK?
A: After the year began with the market's more speculative names posting the
highest gains, market leadership shifted to higher-quality names in February.
This development helped the Fund's performance, as our overriding focus is on
quality and value. The positive performance relative to the benchmark is
attributable to stock selection rather than sector weightings, with the
Utilities and Information Technology sectors doing particularly well. The
Fund's overweight position in Telecommunications was the largest detractor
from performance. In addition, the Fund's Consumer Staples holdings, which
rose moderately during the first half of the year, underperformed their
benchmark peer group.
Despite continued fears about interest rate rises and their impact on shares
of financial companies, several of the Fund's top performers were in the
financial sector. MGIC, the country's leading provider of mortgage insurance,
appreciated 33% during the first half of the year. MGIC reported solid
earnings in the first quarter, driven by both strong mortgage volumes and an
improving credit picture. Assurant, an insurance company spun off from the
French concern Fortis early in the year, was also up 33% as its strong
business model with four diversified, uncorrelated lines of business made its
IPO very attractive to U.S. investors. A strong performer in the energy area
was Premcor (+44%), whose better-than-expected results and robust margins
encouraged many sell-side analysts to raise full-year estimates. In addition,
many analysts are optimistic that the medium-term outlook for all refiners
will be lifted by projected growth in the demand for gas.
Among a number of stocks that performed well, there were a few holdings that
detracted from performance. The Fund's biggest detractor was Autozone, as the
autoparts supplier declined 6% year to date. Though the stock sold off on
concerns about weak same-store sales results, we continue to find the
company's defensive characteristics and modest valuation attractive. Another
detractor from the portfolio was BB&T Corp., a regional banking company,
which saw its share price decline 12%. Management lowered the company's
profit forecast for 2004 as a result of ongoing concern about a decline in
its mortgage business. Although we have been impressed with BB&T's
acquisition strategy and use of capital, we were concerned about its ability
to weather the rising interest rate environment and sold our position in the
stock.
Q: HOW WAS THE FUND MANAGED?
A: As is always the case, our primary emphasis was on high-quality companies
with solid management teams who generate good cash flow. Our quality bias
helped our relative performance as we moved from the early phase of the
market cycle, when the more speculative areas typically outperform the
higher-quality segments, to a more solid phase when companies whose earnings
and cash flows are superior assume market leadership.
12
<Page>
[CHART]
PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS
<Table>
Finance & Insurance 26.1%
Consumer Goods & Services 24.0%
Industrial Products & Services 15.0%
Energy 8.8%
Technology 6.6%
REITs 4.6%
Short-Term Investments 4.5%
Telecommunications 4.5%
Utilities 3.5%
Health Services & Systems 1.6%
Pharmaceuticals 0.8%
</Table>
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO
<Table>
1. Golden West Financial Corp. 2.7%
2. Kinder Morgan, Inc. 2.5%
3. Wilmington Trust Corp. 2.5%
4. Assurant, Inc. 2.4%
5. AutoZone, Inc. 2.4%
6. M&T Bank Corp. 2.2%
7. VF Corp. 2.1%
8. Devon Energy Corp. 1.9%
9. Columbia Sportswear Co. 1.9%
10. MGIC Investment Corp. 1.9%
</Table>
Top 10 equity holdings comprised 22.5% ($402,773 in thousands) of the
Portfolio's market value of investments. As of June 30, 2004, the Fund held 91
equity holdings. Portfolio holdings are subject to change at any time.
13
<Page>
AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2004
<Table>
<Caption>
SINCE
INCEPTION
1 YEAR 3 YEARS 5 YEARS (11/13/97)
----------------------------------------------
CLASS A SHARES
Without Sales Charge 24.61% 13.17% 15.87% 18.27%
With Sales Charge* 17.43% 10.97% 14.50% 17.21%
----------------------------------------------
CLASS B SHARES
Without CDSC 23.82% 12.39% 15.35% 17.87%
With CDSC** 18.82% 11.59% 15.13% 17.87%
----------------------------------------------
CLASS C SHARES
Without CDSC 23.79% 12.46% 15.40% 17.90%
With CDSC*** 22.79% 12.46% 15.40% 17.90%
----------------------------------------------
INSTITUTIONAL SHARES 25.19% 13.74% 16.25% 18.56%
----------------------------------------------
SELECT SHARES 24.89% 13.48% 16.09% 18.43%
</Table>
* Sales Charge for Class A Shares is 5.75%.
** Assumes 5% CDSC (contingent deferred sales charge) for the one year period,
3% CDSC for the three year period, 2% CDSC for the five year period and 0%
CDSC for the period since inception.
*** Assumes a 1% CDSC for the one year period and 0% CDSC thereafter.
[CHART]
LIFE OF FUND PERFORMANCE (11/13/97 TO 06/30/04)
<Table>
<Caption>
JPMORGAN RUSSELL S&P LIPPER
MID CAP MIDCAP MIDCAP MID-CAP
VALUE FUND VALUE 400/BARRA VALUE
(INSTITUTIONAL SHARE) INDEX VALUE INDEX FUNDS INDEX
11/13/97 $ 3,000,000 $ 3,000,000 $ 3,000,000 $ 3,000,000
11/30/97 $ 3,060,000 $ 3,000,000 $ 3,000,000 $ 3,000,000
12/31/97 $ 3,146,904 $ 3,114,900 $ 3,180,000 $ 3,031,200
1/31/98 $ 3,170,820 $ 3,054,471 $ 3,107,178 $ 2,992,098
2/28/98 $ 3,321,117 $ 3,258,510 $ 3,337,109 $ 3,200,048
3/31/98 $ 3,579,832 $ 3,426,323 $ 3,493,286 $ 3,333,810
4/30/98 $ 3,597,732 $ 3,407,135 $ 3,515,643 $ 3,372,149
5/31/98 $ 3,555,638 $ 3,327,408 $ 3,373,611 $ 3,240,973
6/30/98 $ 3,591,906 $ 3,338,056 $ 3,348,646 $ 3,228,009
7/31/98 $ 3,408,359 $ 3,168,817 $ 3,202,980 $ 3,045,949
8/31/98 $ 3,050,482 $ 2,723,281 $ 2,678,332 $ 2,536,057
9/30/98 $ 3,194,769 $ 2,882,048 $ 2,886,706 $ 2,608,588
10/31/98 $ 3,423,515 $ 3,068,805 $ 3,114,467 $ 2,764,843
11/30/98 $ 3,637,142 $ 3,176,520 $ 3,187,034 $ 2,866,865
12/31/98 $ 3,768,807 $ 3,273,086 $ 3,329,176 $ 2,978,673
1/31/99 $ 3,699,084 $ 3,196,823 $ 3,155,060 $ 2,958,716
2/28/99 $ 3,683,917 $ 3,126,493 $ 3,004,564 $ 2,804,567
3/31/99 $ 3,701,969 $ 3,171,202 $ 3,061,050 $ 2,860,378
4/30/99 $ 4,002,198 $ 3,471,515 $ 3,357,359 $ 3,081,199
5/31/99 $ 4,226,722 $ 3,486,095 $ 3,412,084 $ 3,107,389
6/30/99 $ 4,366,203 $ 3,525,837 $ 3,518,200 $ 3,227,334
7/31/99 $ 4,461,387 $ 3,437,691 $ 3,471,408 $ 3,167,952
8/31/99 $ 4,243,225 $ 3,318,747 $ 3,339,842 $ 3,060,241
9/30/99 $ 4,166,423 $ 3,150,818 $ 3,175,521 $ 2,990,162
10/31/99 $ 4,316,830 $ 3,243,767 $ 3,239,032 $ 3,018,867
11/30/99 $ 4,299,131 $ 3,184,406 $ 3,304,136 $ 3,127,245
12/31/99 $ 4,291,393 $ 3,269,749 $ 3,406,565 $ 3,333,330
1/31/2000 $ 4,204,707 $ 3,074,218 $ 3,259,401 $ 3,158,997
2/29/2000 $ 3,944,015 $ 2,945,715 $ 3,139,781 $ 3,247,133
3/31/2000 $ 4,540,350 $ 3,302,736 $ 3,620,167 $ 3,470,536
4/30/2000 $ 4,500,849 $ 3,315,947 $ 3,587,224 $ 3,415,701
5/31/2000 $ 4,737,594 $ 3,372,981 $ 3,690,536 $ 3,390,766
6/30/2000 $ 4,698,272 $ 3,247,169 $ 3,523,724 $ 3,398,904
7/31/2000 $ 4,844,388 $ 3,323,153 $ 3,663,263 $ 3,422,697
8/31/2000 $ 5,010,066 $ 3,526,862 $ 3,925,187 $ 3,642,434
9/30/2000 $ 5,156,360 $ 3,560,720 $ 3,983,279 $ 3,610,745
10/31/2000 $ 5,377,568 $ 3,628,374 $ 3,945,438 $ 3,584,386
11/30/2000 $ 5,389,398 $ 3,581,205 $ 3,950,567 $ 3,391,188
12/31/2000 $ 5,805,999 $ 3,897,067 $ 4,354,315 $ 3,686,560
1/31/2001 $ 5,878,574 $ 3,883,038 $ 4,548,518 $ 3,815,590
2/28/2001 $ 5,925,602 $ 3,866,729 $ 4,397,962 $ 3,683,570
3/31/2001 $ 5,755,538 $ 3,759,620 $ 4,204,451 $ 3,544,331
4/30/2001 $ 6,049,070 $ 3,966,400 $ 4,584,954 $ 3,776,840
5/31/2001 $ 6,214,815 $ 4,079,045 $ 4,675,736 $ 3,882,213
6/30/2001 $ 6,299,958 $ 4,024,794 $ 4,683,218 $ 3,914,048
7/31/2001 $ 6,385,007 $ 4,008,695 $ 4,683,686 $ 3,900,348
8/31/2001 $ 6,231,767 $ 3,935,336 $ 4,588,607 $ 3,809,860
9/30/2001 $ 5,733,849 $ 3,559,905 $ 4,073,765 $ 3,433,065
10/31/2001 $ 5,737,862 $ 3,578,772 $ 4,137,723 $ 3,499,323
11/30/2001 $ 6,061,478 $ 3,829,286 $ 4,389,297 $ 3,762,122
12/31/2001 $ 6,381,524 $ 3,988,202 $ 4,665,823 $ 3,934,804
1/31/2002 $ 6,385,991 $ 4,028,482 $ 4,664,890 $ 3,918,671
2/28/2002 $ 6,566,714 $ 4,093,744 $ 4,775,447 $ 3,933,170
3/31/2002 $ 6,841,860 $ 4,302,934 $ 5,128,831 $ 4,180,173
4/30/2002 $ 6,963,645 $ 4,299,922 $ 5,205,763 $ 4,168,887
5/31/2002 $ 7,045,119 $ 4,293,472 $ 5,115,183 $ 4,107,604
6/30/2002 $ 6,679,478 $ 4,101,983 $ 4,827,709 $ 3,817,197
7/31/2002 $ 6,278,709 $ 3,700,399 $ 4,327,076 $ 3,443,111
8/31/2002 $ 6,455,141 $ 3,743,324 $ 4,365,154 $ 3,452,752
9/30/2002 $ 6,089,134 $ 3,365,248 $ 3,935,623 $ 3,150,982
10/31/2002 $ 6,459,354 $ 3,472,263 $ 4,093,048 $ 3,257,800
11/30/2002 $ 6,703,517 $ 3,691,016 $ 4,355,822 $ 3,520,378
12/31/2002 $ 6,587,546 $ 3,603,169 $ 4,194,221 $ 3,358,441
1/31/2003 $ 6,492,027 $ 3,503,362 $ 4,049,101 $ 3,276,831
2/28/2003 $ 6,414,772 $ 3,445,206 $ 3,963,665 $ 3,203,758
3/31/2003 $ 6,510,352 $ 3,456,920 $ 3,950,981 $ 3,216,573
4/30/2003 $ 6,923,108 $ 3,719,645 $ 4,271,801 $ 3,463,284
5/31/2003 $ 7,367,572 $ 4,046,974 $ 4,689,156 $ 3,774,633
6/30/2003 $ 7,403,673 $ 4,075,303 $ 4,708,850 $ 3,833,140
7/31/2003 $ 7,603,572 $ 4,202,045 $ 4,850,586 $ 3,953,884
8/31/2003 $ 7,794,422 $ 4,351,218 $ 5,097,966 $ 4,131,018
9/30/2003 $ 7,735,184 $ 4,317,278 $ 5,048,006 $ 4,069,879
10/31/2003 $ 8,175,316 $ 4,634,166 $ 5,461,438 $ 4,351,921
11/30/2003 $ 8,356,808 $ 4,768,557 $ 5,677,165 $ 4,487,701
12/31/2003 $ 8,604,170 $ 4,974,559 $ 5,880,975 $ 4,670,799
1/31/2004 $ 8,755,603 $ 5,105,887 $ 6,035,056 $ 4,805,318
2/29/2004 $ 9,021,773 $ 5,232,003 $ 6,194,985 $ 4,939,867
3/31/2004 $ 9,085,828 $ 5,240,374 $ 6,206,136 $ 4,932,457
4/30/2004 $ 8,984,975 $ 5,018,706 $ 5,965,959 $ 4,800,268
5/31/2004 $ 9,140,415 $ 5,147,185 $ 6,090,647 $ 4,864,111
6/30/2004 $ 9,269,378 $ 5,330,939 $ 6,280,067 $ 5,040,678
</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 PROSPECTUS WHICH INCLUDES INFORMATION
ON THE FUND'S INVESTMENT OBJECTIVES, RISK, AS WELL AS CHARGES AND EXPENSES ALONG
WITH OTHER INFORMATION. INVESTORS SHOULD REVIEW THE INFORMATION IN THE
PROSPECTUS CAREFULLY BEFORE INVESTING. FOR UP TO DATE MONTH-END PERFORMANCE
INFORMATION, OR TO RECEIVE A FUND PROSPECTUS PLEASE CALL 800 348-4782. PLEASE
READ CAREFULLY BEFORE INVESTING OR SENDING MONEY.
The Fund commenced operations on 11/13/97.
Returns for the Select Shares prior to 10/31/01 (offering date of the Select
Shares) are calculated using the historical expenses of the Institutional
Shares, which are lower than the expenses of the Select Shares. Returns for the
Class A, Class B, and Class C Shares prior to 4/30/01 (offering date of the
Class A, Class B, and Class C Shares) are calculated using the historical
expenses of the Institutional Shares, which are lower than the expenses of the
Class A Shares, Class B and C Shares.
The graph illustrates comparative performance for $3,000,000 invested in
Institutional Shares of the JPMorgan Mid Cap Value Fund, Russell MidCap Value
Index, S&P MidCap 400/BARRA Value Index, and Lipper Mid-Cap Value Funds Index
from November 13, 1997 to 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 reflects an initial investment at the end
of the month following the Fund's inception. The performance of the indices does
not include a sales charge and has been adjusted to reflect reinvestment of all
dividends and capital gains of the securities included in the benchmark. The
Russell MidCap Value Index is an unmanaged, capitalization weighted, price only
index that measures the performance of those companies included in the Russell
MidCap Index that have lower price-to-book ratios and lower forecasted growth
rates. The S&P MidCap 400/BARRA Value Index is an unmanaged, capitalization
weighted, price only index of 400 stocks that measure performance of the
mid-sized company segment of the U.S. market. The S&P MidCap 400/BARRA Value
Index is a subset of the MidCap 400 Index, which contains companies with lower
price-to-book ratios. The Lipper Mid-Cap Value Funds Index represents the total
returns of the funds in the indicated category, as defined by Lipper, Inc.
Investors cannot invest directly in an index.
Institutional Shares have a $3,000,000 minimum initial deposit and carry no
sales charge.
Certain fees and expenses of the Fund are currently being waived and reimbursed
as described in the prospectus. Had the expenses not been subsidized or waived,
returns would have been lower. Also all performance shown in this section does
not reflect the deduction of taxes that a shareholder would pay on fund
distributions or redemption of fund shares.
14
<Page>
JPMORGAN SMALL CAP EQUITY FUND
AS OF JUNE 30, 2004 (Unaudited)
FUND FACTS
<Table>
Fund Inception 12/20/1994
Fiscal Year End DECEMBER 31
Net Assets as of 6/30/2004
(In Millions) $778.9
Primary Benchmark S&P SMALL CAP
600 INDEX
</Table>
Q: HOW DID THE FUND PERFORM?
A: JPMorgan Small Cap Equity Fund, which seeks capital growth over the long
term, rose by 10.0% (A shares, no sales charge) during the six months ended
June 30, 2004. This compares with appreciation of 10.1% in the S&P Small Cap
600 Index, the Fund's benchmark.
Q: WHY DID THE FUND PERFORM IN THIS WAY?
A: The Fund delivered strong absolute returns in the half-year, trailing its S&P
Small Cap 600 Index benchmark by a small margin. The Fund outperformed its
peer group, as represented by the Lipper Small Cap Core Index, which gained
+7.8%. During the second half of the period, higher quality stocks returned
to favor, which helped the performance of the Fund against both the index and
its peers.
Relative to the benchmark, stock selection in the Consumer Cyclicals and
Industrial Cyclicals sectors made the greatest contributions to performance.
In Consumer Cyclicals, the leading contributors to performance included Toro
Co., a maker of lawn-care equipment; Boyd Gaming Corp., an owner and operator
of casinos; and Fossil, which makes branded designer accessories and watches.
In Industrial Cyclicals, there were strong contributions from transportation
stocks, such as the two global freight-forwarding companies, UTI Worldwide
and EGL, and trucker, Landstar System. Also in the sector, Ametek, which
makes electric motors and blowers for vacuum cleaners, also did well.
The weakest performances occurred in the Semiconductors, Media and Energy
sectors. In Semiconductors, stock prices were weak due to concern regarding a
cyclical downtrend in the semiconductor cycle. Additionally, unfortunate
timing in the purchase of Cirrus Logic and Standard Microsystems detracted
from performance. In Media, advertising sales are failing to match
expectations in spite of the improving economy, the presidential election and
the Olympics. Sinclair Broadcast Group, the diversified television
broadcaster, and Emmis Communications Corp., the radio and television
broadcaster, performed poorly. Finally, in Energy, the Fund's oilfield
service companies delivered positive returns, but still trailed their peers
in the index.
Q: HOW WAS THE FUND MANAGED?
A: As the Federal Reserve starts to tighten monetary policy, we are altering our
holdings in sympathy with the interest rate cycle. We are looking for
attractive Software companies positioned to benefit from an increase in
corporate technology spending, and for Financials with strong commercial
lending businesses that will gain from an increase in lending. By contrast,
we are reducing our holdings in Industrial Cyclicals, where we believe that
robust earnings are already discounted by stock prices, and we are moving to
underweight in areas dependent on consumer spending such as Retail and
Consumer Cyclicals.
15
<Page>
[CHART]
PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS
<Table>
Consumer Goods & Services 24.8%
Industrial Products & Services 21.1%
Technology 19.2%
Health Services & Systems 10.7%
Finance & Insurance 10.1%
Energy 6.9%
Pharmaceuticals 2.1%
Utilities 1.9%
Short-Term Investments 1.6%
REITs 1.6%
</Table>
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO
<Table>
1. Patina Oil & Gas Corp. 1.6%
2. Cooper Companies, Inc. 1.6%
3. Toro Co. 1.5%
4. Ametek, Inc. 1.5%
5. Curtiss-Wright Corp. 1.5%
6. Southwestern Energy Co. 1.4%
7. Sierra Health Services 1.4%
8. Landstar System, Inc. 1.4%
9. Boyd Gaming Corp. 1.4%
10. East-West Bancorp., Inc. 1.4%
</Table>
Top 10 equity holdings comprised 14.7% ($114,763 in thousands) of the
Portfolio's market value of investments. As of June 30, 2004 the Fund held 120
equity holdings. Portfolio holdings are subject to change at any time.
16
<Page>
AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2004
<Table>
<Caption>
SINCE
INCEPTION
1 YEAR 3 YEARS 5 YEARS (12/20/94)
----------------------------------------------
CLASS A SHARES
Without Sales Charge 35.38% 7.10% 8.53% 15.00%
With Sales Charge* 27.56% 5.00% 7.25% 14.29%
----------------------------------------------
CLASS B SHARES
Without CDSC 34.34% 6.30% 7.71% 14.29%
With CDSC** 29.34% 5.41% 7.41% 14.29%
----------------------------------------------
SELECT SHARES 36.11% 7.67% 9.12% 15.49%
</Table>
* Sales Charge for Class A Shares is 5.75%.
** Assumes 5% CDSC (contingent deferred sales charge) for the one year period,
3% CDSC for the three year period, 2% CDSC for the five year period and 0%
CDSC for the period since inception.
[CHART]
LIFE OF FUND PERFORMANCE (12/20/94 TO 06/30/04)
<Table>
<Caption>
JPMORGAN SMALL S&P LIPPER
CAP EQUITY FUND SMALLCAP SMALL-CAP CORE
(CLASS A SHARES) 600 INDEX FUNDS INDEX
Dec-1994 $ 9,425 $ 10,000 $ 10,000
Dec-1994 $ 9,791 $ 10,000 $ 10,000
Jan-1995 $ 9,489 $ 9,858 $ 10,103
Feb-1995 $ 10,045 $ 10,264 $ 10,505
Mar-1995 $ 10,838 $ 10,471 $ 10,728
Apr-1995 $ 11,225 $ 10,705 $ 10,908
May-1995 $ 11,583 $ 10,872 $ 11,040
Jun-1995 $ 12,449 $ 11,469 $ 11,479
Jul-1995 $ 13,424 $ 12,346 $ 12,114
Aug-1995 $ 13,906 $ 12,614 $ 12,518
Sep-1995 $ 14,322 $ 12,936 $ 12,732
Oct-1995 $ 14,256 $ 12,297 $ 12,281
Nov-1995 $ 14,653 $ 12,739 $ 12,648
Dec-1995 $ 15,081 $ 12,950 $ 13,073
Jan-1996 $ 15,149 $ 12,978 $ 13,169
Feb-1996 $ 15,714 $ 13,403 $ 13,635
Mar-1996 $ 16,165 $ 13,689 $ 13,976
Apr-1996 $ 17,699 $ 14,475 $ 14,940
May-1996 $ 18,466 $ 14,989 $ 15,614
Jun-1996 $ 18,283 $ 14,401 $ 14,905
Jul-1996 $ 16,692 $ 13,411 $ 13,695
Aug-1996 $ 17,909 $ 14,239 $ 14,393
Sep-1996 $ 18,733 $ 14,864 $ 14,998
Oct-1996 $ 18,398 $ 14,762 $ 14,717
Nov-1996 $ 18,867 $ 15,528 $ 15,248
Dec-1996 $ 19,423 $ 15,710 $ 15,518
Jan-1997 $ 20,035 $ 15,971 $ 15,864
Feb-1997 $ 19,228 $ 15,627 $ 15,449
Mar-1997 $ 18,061 $ 14,794 $ 14,670
Apr-1997 $ 17,526 $ 14,975 $ 14,674
May-1997 $ 19,647 $ 16,734 $ 16,239
Jun-1997 $ 20,873 $ 17,474 $ 17,156
Jul-1997 $ 22,087 $ 18,573 $ 18,189
Aug-1997 $ 22,456 $ 19,041 $ 18,635
Sep-1997 $ 23,887 $ 20,300 $ 20,032
Oct-1997 $ 22,924 $ 19,423 $ 19,235
Nov-1997 $ 22,729 $ 19,281 $ 18,989
Dec-1997 $ 22,870 $ 19,670 $ 18,968
Jan-1998 $ 22,690 $ 19,287 $ 18,691
Feb-1998 $ 24,691 $ 21,044 $ 20,087
Mar-1998 $ 26,352 $ 21,848 $ 21,033
Apr-1998 $ 26,052 $ 21,977 $ 21,235
May-1998 $ 24,580 $ 20,814 $ 20,133
Jun-1998 $ 25,101 $ 20,874 $ 20,061
Jul-1998 $ 23,540 $ 19,278 $ 18,614
Aug-1998 $ 18,396 $ 15,557 $ 15,016
Sep-1998 $ 19,798 $ 16,511 $ 15,648
Oct-1998 $ 20,418 $ 17,277 $ 16,290
Nov-1998 $ 21,708 $ 18,249 $ 17,199
Dec-1998 $ 23,634 $ 19,416 $ 18,279
Jan-1999 $ 22,979 $ 19,171 $ 18,142
Feb-1999 $ 20,831 $ 17,444 $ 16,660
Mar-1999 $ 21,143 $ 17,669 $ 16,735
Apr-1999 $ 22,232 $ 18,837 $ 17,864
May-1999 $ 22,132 $ 19,294 $ 18,234
Jun-1999 $ 23,717 $ 20,392 $ 19,288
Jul-1999 $ 23,747 $ 20,213 $ 19,182
Aug-1999 $ 23,232 $ 19,323 $ 18,478
Sep-1999 $ 23,232 $ 19,404 $ 18,463
Oct-1999 $ 22,970 $ 19,356 $ 18,624
Nov-1999 $ 24,210 $ 20,165 $ 19,825
Dec-1999 $ 26,885 $ 21,823 $ 21,964
Jan-2000 $ 26,162 $ 21,146 $ 21,542
Feb-2000 $ 29,673 $ 23,978 $ 24,580
Mar-2000 $ 29,661 $ 23,090 $ 24,231
Apr-2000 $ 29,955 $ 22,696 $ 22,884
May-2000 $ 28,181 $ 22,024 $ 21,911
Jun-2000 $ 30,427 $ 23,325 $ 23,844
Jul-2000 $ 29,445 $ 22,752 $ 23,102
Aug-2000 $ 32,436 $ 24,767 $ 25,160
Sep-2000 $ 31,622 $ 24,094 $ 24,514
Oct-2000 $ 31,486 $ 24,245 $ 23,776
Nov-2000 $ 28,098 $ 21,721 $ 21,408
Dec-2000 $ 30,692 $ 24,398 $ 23,487
Jan-2001 $ 29,568 $ 25,444 $ 24,323
Feb-2001 $ 27,469 $ 23,892 $ 22,778
Mar-2001 $ 26,214 $ 22,795 $ 21,701
Apr-2001 $ 28,326 $ 24,533 $ 23,430
May-2001 $ 28,740 $ 25,001 $ 24,283
Jun-2001 $ 29,062 $ 25,916 $ 25,034
Jul-2001 $ 29,262 $ 25,483 $ 24,453
Aug-2001 $ 28,393 $ 24,902 $ 23,768
Sep-2001 $ 25,333 $ 21,536 $ 20,654
Oct-2001 $ 26,255 $ 22,683 $ 21,881
Nov-2001 $ 27,391 $ 24,342 $ 23,507
Dec-2001 $ 28,783 $ 25,989 $ 25,157
Jan-2002 $ 28,970 $ 26,216 $ 24,860
Feb-2002 $ 28,689 $ 25,765 $ 24,197
Mar-2002 $ 29,986 $ 27,800 $ 26,055
Apr-2002 $ 30,493 $ 28,587 $ 26,183
May-2002 $ 29,825 $ 27,403 $ 25,206
Jun-2002 $ 28,059 $ 25,987 $ 23,795
Jul-2002 $ 24,703 $ 22,317 $ 20,561
Aug-2002 $ 24,891 $ 22,529 $ 20,670
Sep-2002 $ 23,584 $ 21,150 $ 19,206
Oct-2002 $ 23,921 $ 21,827 $ 19,888
Nov-2002 $ 24,649 $ 22,962 $ 21,356
Dec-2002 $ 23,801 $ 22,188 $ 20,318
Jan-2003 $ 23,020 $ 21,425 $ 19,725
Feb-2003 $ 22,723 $ 20,740 $ 19,109
Mar-2003 $ 22,709 $ 20,903 $ 19,270
Apr-2003 $ 24,338 $ 22,599 $ 20,875
May-2003 $ 25,912 $ 24,420 $ 22,708
Jun-2003 $ 26,371 $ 25,055 $ 23,230
Jul-2003 $ 27,597 $ 26,358 $ 24,422
Aug-2003 $ 29,104 $ 27,642 $ 25,479
Sep-2003 $ 28,336 $ 26,829 $ 24,926
Oct-2003 $ 30,841 $ 29,155 $ 26,886
Nov-2003 $ 31,689 $ 30,257 $ 27,854
Dec-2003 $ 32,456 $ 30,793 $ 28,628
Jan-2004 $ 32,900 $ 31,679 $ 29,535
Feb-2004 $ 33,466 $ 32,288 $ 30,049
Mar-2004 $ 34,125 $ 32,711 $ 30,374
Apr-2004 $ 33,518 $ 31,625 $ 29,329
May-2004 $ 33,625 $ 32,108 $ 29,584
Jun-2004 $ 35,713 $ 33,887 $ 30,847
</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 PROSPECTUS WHICH INCLUDES INFORMATION
ON THE FUND'S INVESTMENT OBJECTIVES, RISK, AS WELL AS CHARGES AND EXPENSES ALONG
WITH OTHER INFORMATION. INVESTORS SHOULD REVIEW THE INFORMATION IN THE
PROSPECTUS CAREFULLY BEFORE INVESTING. FOR UP TO DATE MONTH-END PERFORMANCE
INFORMATION, OR TO RECEIVE A FUND PROSPECTUS PLEASE CALL 800 348-4782. PLEASE
READ CAREFULLY BEFORE INVESTING OR SENDING MONEY.
The Fund commenced operations on 12/20/94.
Returns for the Select Shares prior to 5/7/96 (offering date of the Select
Shares) are calculated using the historical expenses of the Class A Shares,
which are higher than the expenses of the Select Shares.
Returns for the Class B Shares prior to 3/28/95 (offering date of the Class B
Shares) are calculated using the historical expenses of the Class A Shares,
which are lower than the expenses of the Class B Shares.
The graph illustrates comparative performance for $10,000 invested in Class A
Shares of the JPMorgan Small Cap Equity Fund, S&P SmallCap 600 Index and Lipper
Small-Cap Core Funds Index from December 20, 1994 to June 30, 2004. The
performance of the Fund assumes reinvestment of all dividends and capital gains
and includes a sales charge. The performance of the indices reflects an initial
investment at the end of the month following the Fund's inception. The
performance of the indices does not include a sales charge and has been adjusted
to reflect reinvestment of all dividends and capital gains of the securities
included in the benchmark. The S&P SmallCap 600 Index includes 600 stocks of
small U.S. Companies chosen for market size, liquidity and industry group
representation. The Lipper Small-Cap Core Funds Index represents the total
returns of the funds in the indicated category, as defined by Lipper, Inc.
Investors cannot invest directly in an index.
Class A Shares have a $2,500 minimum initial deposit and carry a 5.75% sales
charge.
Certain fees and expenses of the Fund are currently being waived and reimbursed
as described in the prospectus. Had the expenses not been subsidized or waived,
returns would have been lower. Also all performance shown in this section does
not reflect the deduction of taxes that a shareholder would pay on fund
distributions or redemption of fund shares.
17
<Page>
JPMORGAN SMALL CAP GROWTH FUND
AS OF JUNE 30, 2004 (Unaudited)
FUND FACTS
<Table>
Fund Inception 11/14/1997
Fiscal Year End DECEMBER 31
Net Assets as of 6/30/2004
(In Millions) $4.7
Primary Benchmark RUSSELL 2000
GROWTH INDEX
</Table>
Q: HOW DID THE FUND PERFORM?
A: JPMorgan Small Cap Growth Fund, which seeks growth from capital appreciation,
rose 7.5% (Institutional Shares) during the six months ended June 30, 2004.
This compares with a gain of 5.7% for the Russell 2000 Growth Index, the
Fund's benchmark
Q: WHY DID THE FUND OUTPERFORM ITS BENCHMARK?
A: The Fund performed well during the first half of 2004, outperforming its
benchmark. After the year began with the market's more speculative names
posting the highest gains, market leadership shifted to higher-quality names
in February. This development helped the Fund's performance, as our
overriding focus is on strong, durable businesses. The positive performance
relative to the benchmark is attributable to stock selection rather than
sector weightings, with the Fund's Technology and Financial names
outperforming their peer group. The Fund's stock selection in Materials and
Processing was the largest detractor from performance.
Alliance Data Systems Corp. was the Fund's top contributor, as the company's
share price increased 50% during the first half of 2004. The provider of
private-label credit card and marketing services reported a stellar quarter
with better than-expected revenue, margin and EPS growth. Another top
contributor was specialty retailer Urban Outfitters Inc. The company posted a
150% gain in first-quarter earnings per share, compared to the same period a
year earlier, as same-store sales were significantly ahead of target. One of
the top contributors from the aforementioned technology sector was Verint
Systems Inc., a leader in communications interception solutions and digital
video security. The company's revenues from homeland security initiatives
have somewhat cushioned the effect of the global slowdown in
telecommunications and IT spending.
Despite the Fund's positive return for the period, a number of individual
holdings performed poorly. In particular, shares of Staktek Holdings declined
after the company pre-announced a shortfall in second-quarter revenue.
Staktek attributed the shortfall to a shortage of DRAMs (memory chip
devices), with license revenues from Samsung making up the bulk of that
business. We continue to have a positive view on the stock, as the company is
the leading solution provider in the high-growth, high-density memory
stacking market for servers, routers and other high-end platforms, and we
added modestly to the position.
Q: HOW WAS THE FUND MANAGED?
A: The portfolio managers utilize a "bottom up" approach to construct the Fund's
portfolio, basing their stock selection on a combination of proprietary
company research complemented by research derived from third-party sources.
The research process is designed to identify companies with predictable and
durable business models deemed capable of achieving sustainable growth.
Potential investments are subjected to rigorous financial analysis and a
disciplined approach to valuation.
18
<Page>
[CHART]
PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS
<Table>
Technology 25.7%
Consumer Goods & Services 25.2%
Health Services & Systems 12.3%
Pharmaceuticals 10.5%
Finance & Insurance 7.7%
Industrial Products & Services 6.2%
Telecommunications 6.1%
Energy 4.4%
REITs 1.2%
Short-Term Investments 0.7%
</Table>
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO
<Table>
1. Aeroflex, Inc. 1.6%
2. Alliance Data Systems Corp. 1.5%
3. Nextel Partners, Inc., Class A 1.5%
4. LIFE TIME FITNESS, Inc. 1.5%
5. Cooper Companies, Inc. 1.5%
6. Wright Medical Group, Inc. 1.4%
7. Electronics for Imaging, Inc. 1.4%
8. Gray Television, Inc. 1.4%
9. Covance, Inc. 1.4%
10. Verint Systems, Inc. 1.4%
</Table>
Top 10 equity holdings comprised 14.6% ($698 in thousands) of the Portfolio's
market value of investments. As of June 30, 2004 the Fund held 104 equity
holdings. Portfolio holdings are subject to change at any time.
19
<Page>
AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2004
<Table>
<Caption>
SINCE
INCEPTION
1 YEAR 3 YEARS 5 YEARS (11/14/97)
---------------------------------------
CLASS A SHARES
Without Sales Charge 29.29% (7.40%) (1.97%) 3.34%
With Sales Charge* 21.81% (9.21%) (3.12%) 2.42%
---------------------------------------
INSTITUTIONAL SHARES 30.09% (6.64%) (1.45%) 3.75%
---------------------------------------
SELECT SHARES 29.66% (6.94%) (1.63%) 3.61%
</Table>
* Sales Charge for Class A Shares is 5.75%.
[CHART]
LIFE OF FUND PERFORMANCE (11/14/97 TO 06/30/04)
<Table>
<Caption>
JPMORGAN SMALL RUSSELL RUSSELL LIPPER SMALL-CAP
CAP GROWTH FUND 2000 2000 GROWTH
(INSTITUTIONAL SHARES) INDEX GROWTH INDEX FUNDS INDEX
Nov-1997 $ 3,000,000 $ 3,000,000 $ 3,000,000 $ 3,000,000
Nov-1997 $ 2,991,000 $ 3,000,000 $ 3,000,000 $ 3,000,000
Dec-1997 $ 3,061,887 $ 3,052,500 $ 3,001,800 $ 2,960,100
Jan-1998 $ 3,116,082 $ 3,004,271 $ 2,961,876 $ 2,916,291
Feb-1998 $ 3,278,430 $ 3,226,286 $ 3,223,410 $ 3,151,927
Mar-1998 $ 3,485,627 $ 3,359,209 $ 3,358,471 $ 3,294,394
Apr-1998 $ 3,524,666 $ 3,377,685 $ 3,378,957 $ 3,318,443
May-1998 $ 3,389,319 $ 3,195,628 $ 3,133,645 $ 3,083,497
Jun-1998 $ 3,482,525 $ 3,202,338 $ 3,165,608 $ 3,173,844
Jul-1998 $ 3,233,176 $ 2,942,949 $ 2,901,280 $ 2,935,171
Aug-1998 $ 2,599,150 $ 2,371,428 $ 2,231,664 $ 2,294,129
Sep-1998 $ 2,845,550 $ 2,557,111 $ 2,457,955 $ 2,416,865
Oct-1998 $ 3,019,697 $ 2,661,441 $ 2,586,261 $ 2,512,090
Nov-1998 $ 3,193,934 $ 2,800,901 $ 2,786,954 $ 2,716,323
Dec-1998 $ 3,516,521 $ 2,974,276 $ 3,039,174 $ 2,988,498
Jan-1999 $ 3,590,016 $ 3,013,834 $ 3,175,937 $ 3,060,820
Feb-1999 $ 3,427,748 $ 2,769,714 $ 2,885,338 $ 2,766,369
Mar-1999 $ 3,461,340 $ 2,812,921 $ 2,988,056 $ 2,891,409
Apr-1999 $ 3,819,588 $ 3,064,959 $ 3,251,902 $ 3,004,174
May-1999 $ 3,969,698 $ 3,109,707 $ 3,257,105 $ 3,020,697
Jun-1999 $ 4,118,562 $ 3,250,266 $ 3,428,754 $ 3,303,434
Jul-1999 $ 4,338,905 $ 3,161,209 $ 3,322,806 $ 3,291,872
Aug-1999 $ 4,090,720 $ 3,044,244 $ 3,198,533 $ 3,245,786
Sep-1999 $ 4,171,307 $ 3,044,853 $ 3,260,264 $ 3,363,608
Oct-1999 $ 4,286,018 $ 3,057,032 $ 3,343,727 $ 3,559,706
Nov-1999 $ 4,599,754 $ 3,239,537 $ 3,697,159 $ 4,008,941
Dec-1999 $ 5,152,645 $ 3,606,253 $ 4,348,968 $ 4,817,144
Jan-2000 $ 4,814,116 $ 3,548,192 $ 4,308,523 $ 4,767,045
Feb-2000 $ 5,118,849 $ 4,133,999 $ 5,311,116 $ 6,163,790
Mar-2000 $ 5,393,220 $ 3,861,568 $ 4,752,918 $ 5,679,932
Apr-2000 $ 5,272,951 $ 3,629,102 $ 4,272,873 $ 4,977,892
May-2000 $ 5,020,904 $ 3,417,525 $ 3,898,570 $ 4,570,701
Jun-2000 $ 5,746,927 $ 3,715,533 $ 4,402,265 $ 5,375,601
Jul-2000 $ 5,468,775 $ 3,595,893 $ 4,024,991 $ 5,025,650
Aug-2000 $ 5,991,590 $ 3,870,260 $ 4,448,420 $ 5,565,907
Sep-2000 $ 5,687,217 $ 3,756,474 $ 4,227,333 $ 5,290,395
Oct-2000 $ 5,367,596 $ 3,588,936 $ 3,884,074 $ 4,893,615
Nov-2000 $ 4,524,883 $ 3,220,711 $ 3,178,726 $ 4,060,232
Dec-2000 $ 4,751,580 $ 3,497,370 $ 3,373,264 $ 4,419,157
Jan-2001 $ 5,014,817 $ 3,679,583 $ 3,646,161 $ 4,553,941
Feb-2001 $ 4,283,657 $ 3,438,202 $ 3,146,272 $ 3,971,037
Mar-2001 $ 3,683,945 $ 3,270,074 $ 2,860,276 $ 3,585,449
Apr-2001 $ 4,265,272 $ 3,525,794 $ 3,210,374 $ 3,972,678
May-2001 $ 4,460,621 $ 3,612,528 $ 3,284,855 $ 4,080,337
Jun-2001 $ 4,705,955 $ 3,737,161 $ 3,374,531 $ 4,183,162
Jul-2001 $ 4,228,771 $ 3,534,980 $ 3,086,684 $ 3,950,159
Aug-2001 $ 3,915,419 $ 3,420,800 $ 2,893,766 $ 3,716,310
Sep-2001 $ 3,102,187 $ 2,960,361 $ 2,426,712 $ 3,136,194
Oct-2001 $ 3,529,048 $ 3,133,542 $ 2,660,162 $ 3,366,077
Nov-2001 $ 3,951,475 $ 3,376,078 $ 2,882,285 $ 3,626,948
Dec-2001 $ 4,233,215 $ 3,584,382 $ 3,061,852 $ 3,846,741
Jan-2002 $ 4,165,060 $ 3,547,104 $ 2,952,850 $ 3,730,570
Feb-2002 $ 3,688,161 $ 3,449,914 $ 2,761,800 $ 3,504,870
Mar-2002 $ 3,947,070 $ 3,727,287 $ 3,001,801 $ 3,791,568
Apr-2002 $ 3,674,722 $ 3,761,205 $ 2,936,962 $ 3,691,471
May-2002 $ 3,356,858 $ 3,594,207 $ 2,765,150 $ 3,543,443
Jun-2002 $ 3,007,074 $ 3,415,935 $ 2,530,665 $ 3,280,165
Jul-2002 $ 2,534,662 $ 2,900,129 $ 2,141,702 $ 2,815,038
Aug-2002 $ 2,548,350 $ 2,892,588 $ 2,140,631 $ 2,810,815
Sep-2002 $ 2,298,611 $ 2,684,900 $ 1,986,077 $ 2,640,480
Oct-2002 $ 2,471,237 $ 2,771,086 $ 2,086,573 $ 2,753,228
Nov-2002 $ 2,721,079 $ 3,018,267 $ 2,293,352 $ 2,983,949
Dec-2002 $ 2,539,311 $ 2,850,149 $ 2,135,111 $ 2,784,621
Jan-2003 $ 2,475,828 $ 2,771,200 $ 2,077,036 $ 2,711,107
Feb-2003 $ 2,380,509 $ 2,687,510 $ 2,021,579 $ 2,626,521
Mar-2003 $ 2,421,454 $ 2,722,179 $ 2,052,105 $ 2,680,627
Apr-2003 $ 2,621,466 $ 2,980,241 $ 2,246,234 $ 2,902,047
May-2003 $ 2,884,923 $ 3,300,021 $ 2,499,385 $ 3,198,055
Jun-2003 $ 2,944,064 $ 3,359,751 $ 2,547,623 $ 3,306,469
Jul-2003 $ 3,103,043 $ 3,570,072 $ 2,740,223 $ 3,499,898
Aug-2003 $ 3,289,226 $ 3,733,581 $ 2,887,373 $ 3,685,393
Sep-2003 $ 3,171,143 $ 3,664,510 $ 2,814,322 $ 3,594,732
Oct-2003 $ 3,434,665 $ 3,972,329 $ 3,057,480 $ 3,920,415
Nov-2003 $ 3,507,480 $ 4,113,346 $ 3,157,154 $ 4,024,698
Dec-2003 $ 3,561,846 $ 4,196,847 $ 3,171,361 $ 4,030,332
Jan-2004 $ 3,779,830 $ 4,378,991 $ 3,337,857 $ 4,218,952
Feb-2004 $ 3,761,687 $ 4,418,401 $ 3,332,851 $ 4,202,920
Mar-2004 $ 3,784,257 $ 4,459,493 $ 3,348,515 $ 4,173,920
Apr-2004 $ 3,611,695 $ 4,232,059 $ 3,180,420 $ 3,969,815
May-2004 $ 3,707,044 $ 4,299,348 $ 3,243,710 $ 4,052,784
Jun-2004 $ 3,829,715 $ 4,480,351 $ 3,351,725 $ 4,168,288
</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 PROSPECTUS WHICH INCLUDES INFORMATION
ON THE FUND'S INVESTMENT OBJECTIVES, RISK, AS WELL AS CHARGES AND EXPENSES ALONG
WITH OTHER INFORMATION. INVESTORS SHOULD REVIEW THE INFORMATION IN THE
PROSPECTUS CAREFULLY BEFORE INVESTING. FOR UP TO DATE MONTH-END PERFORMANCE
INFORMATION, OR TO RECEIVE A FUND PROSPECTUS PLEASE CALL 800 348-4782. PLEASE
READ CAREFULLY BEFORE INVESTING OR SENDING MONEY.
The Fund commenced operations on 11/14/97.
Returns for the Select Shares prior to 10/31/01 (offering date of the Select
Shares) are calculated using the historical expenses of the Institutional
Shares, which are lower than the expenses of the Select Shares.
Returns for the Class A Shares prior to 4/30/01 (offering date of the Class A
Shares) are calculated using the historical expenses of the Institutional
Shares, which are lower than the expenses of the Class A Shares.
The graph illustrates comparative performance for $3,000,000 invested in
Institutional Shares of the JPMorgan Small Cap Growth Fund, Russell 2000 Index,
Russell 2000 Growth Index and Lipper Small-Cap Growth Funds Index from November
14, 1997 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 reflects an initial investment at the end of the
month following the Fund's inception. The performance of the indices does not
include a sales charge and has been adjusted to reflect reinvestment of all
dividends and capital gains of the securities included in the benchmark. The
Russell 2000 Index is an unmanaged, capitalization weighted price only index,
which is comprised of 2000 of the smallest stocks (on the basis of
capitalization) in the Russell 3000 Index. The Russell 2000 Growth Index
measures the performance of those Russell 2000 companies with higher
price-to-book ratios and higher forecasted growth rates. The Lipper Small-Cap
Growth Funds Index represents the total returns of the funds in the indicated
category, as defined by Lipper, Inc. Investors cannot invest directly in an
index.
Institutional Shares have a $3,000,000 minimum initial deposit and carry no
sales charge.
Certain fees and expenses of the Fund are currently being waived and reimbursed
as described in the prospectus. Had the expenses not been subsidized or waived,
returns would have been lower. Also all performance shown in this section does
not reflect the deduction of taxes that a shareholder would pay on fund
distributions or redemption of fund shares.
20
<Page>
JPMORGAN TRUST SMALL CAP EQUITY FUND
AS OF JUNE 30, 2004 (Unaudited)
FUND FACTS
<Table>
Fund Inception 1/1/1997
Fiscal Year End DECEMBER 31
Net Assets as of 6/30/2004
(In Millions) $361.5
S&P SMALL CAP
Primary Benchmark 600 INDEX
</Table>
Q: HOW DID THE FUND PERFORM?
A: JPMorgan Trust Small Cap Equity Fund, which seeks capital growth over the
long term, rose by 11.0% during the six months ended June 30, 2004. This
compares with appreciation of 10.1% in the S&P Small Cap 600 Index, the
Fund's benchmark.
Q: WHY DID THE FUND PERFORM IN THIS WAY?
A: The Fund delivered strong absolute returns in the half-year, outperforming
its S&P Small Cap 600 Index benchmark and its peer group, as represented by
the Lipper Small Cap Core Index, which gained +7.8%. During the second half
of the period, higher-quality stocks returned to favor, which helped the
performance of the Fund against both the index and its peers.
Relative to the benchmark, stock selection in the Consumer Cyclicals, Retail
and Industrial Cyclicals sectors made the greatest contributions to
performance. In Consumer Cyclicals, the leading contributors to performance
included Toro Co., a maker of lawn-care equipment; Boyd Gaming Corp., an
owner and operator of casinos; and Fossil, which makes branded designer
accessories and watches. In Retail, there were strong contributions from home
furnishings rental retailer, Aaron Rents, and women's apparel retailer,
Charlotte Russe Holding. In Industrial Cyclicals, freight forwarder UTI
Worldwide, trucker Landstar System, and electric motor and blower
manufacturer Ametek, led performance.
The weakest performances occurred in the Semiconductors, Media, and Energy
sectors. In Semiconductors, stock prices were weak due to concern regarding a
cyclical downtrend in the semiconductor cycle. Additionally, unfortunate
timing in the purchase of Cirrus Logic and Standard Microsystems detracted
from performance. In Media, advertising sales are failing to match
expectations in spite of the improving economy, the presidential election and
the Olympics. Sinclair Broadcast Group, the diversified television
broadcaster, and Emmis Communications Corp., the radio and television
broadcaster, performed poorly. Finally, in Energy, the Fund's oilfield
service companies delivered positive returns, but still trailed their peers
in the index.
Q: HOW WAS THE FUND MANAGED?
A: As the Federal Reserve starts to tighten monetary policy, we are altering our
holdings in sympathy with the interest rate cycle. We are looking for
attractive Software companies positioned to benefit from an increase in
corporate technology spending, and for Financials with strong commercial
lending businesses that will gain from an increase in lending. By contrast,
we are reducing our holdings in Industrial Cyclicals, where we believe that
robust earnings are already discounted by stock prices, and we are moving to
underweight in areas dependent on consumer spending such as Retail and
Consumer Cyclicals.
Effective July 16, 2004, the Fund's portfolio management team has been run by
Christopher Blum and Dennis Ruhl. The team uses a three-step investment
process that combines research, valuation and stock selection. They take an
in-depth look at company prospects over a relatively long period - often as
much as five years rather than focusing on near-term expectations. This
approach is designed to provide insight into a company's real growth
potential. Additionally, the Fund will compare its performance to that of the
Russell 2000 Index, as the advisor believes that it more accurately reflects
the Fund's investment style.
21
<Page>
[CHART]
PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS
<Table>
Consumer Goods & Services 26.5%
Technology 20.6%
Industrial Products & Services 19.1%
Health Services & Systems 11.2%
Finance & Insurance 10.4%
Energy 6.9%
Pharmaceuticals 2.1%
Utilities 1.5%
Short-Term Investments 1.2%
REITs 0.5%
</Table>
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO
<Table>
1. Toro Co. 1.6%
2. Sierra Health Services 1.6%
3. Southwestern Energy Co. 1.5%
4. Cooper Companies, Inc. 1.5%
5. Ametek, Inc. 1.5%
6. Landstar System, Inc. 1.5%
7. Aaron Rents, Inc. 1.5%
8. Boyd Gaming Corp. 1.4%
9. St. Mary Land & Exploration Co. 1.4%
10. Jarden Corp. 1.4%
</Table>
Top 10 equity holdings comprised 14.9% ($54,004 in thousands) of the Portfolio's
market value of investments. As of June 30, 2004, the Fund held 113 equity
holdings. Portfolio holdings are subject to change at any time.
22
<Page>
AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2004
<Table>
<Caption>
1 YEAR 3 YEARS 5 YEARS 10 YEARS
-------------------------------------------------
SELECT SHARES 35.76% 7.77% 4.33% 8.38%
</Table>
[CHART]
TEN-YEAR FUND PERFORMANCE (06/30/94 TO 06/30/04)
<Table>
<Caption>
JPMORGAN TRUST S&P SMALL LIPPER SMALL-CAP
SMALL CAP CAP 600 CORE FUNDS
EQUITY INDEX INDEX
Jun-1994 $ 1,000,000 $ 1,000,000 $ 1,000,000
Jul-1994 $ 1,002,000 $ 1,012,400 $ 1,014,400
Aug-1994 $ 1,043,984 $ 1,081,344 $ 1,061,164
Sep-1994 $ 1,045,759 $ 1,075,721 $ 1,063,074
Oct-1994 $ 1,060,713 $ 1,064,964 $ 1,068,602
Nov-1994 $ 1,017,966 $ 1,024,283 $ 1,041,566
Dec-1994 $ 1,029,164 $ 1,049,173 $ 1,050,628
Jan-1995 $ 1,043,160 $ 1,034,274 $ 1,061,449
Feb-1995 $ 1,069,865 $ 1,076,887 $ 1,103,695
Mar-1995 $ 1,078,638 $ 1,098,640 $ 1,127,093
Apr-1995 $ 1,086,404 $ 1,123,139 $ 1,146,029
May-1995 $ 1,104,221 $ 1,140,660 $ 1,159,896
Jun-1995 $ 1,154,574 $ 1,203,283 $ 1,206,059
Jul-1995 $ 1,200,988 $ 1,295,334 $ 1,272,754
Aug-1995 $ 1,223,927 $ 1,323,442 $ 1,315,137
Sep-1995 $ 1,252,077 $ 1,357,190 $ 1,337,626
Oct-1995 $ 1,207,127 $ 1,290,145 $ 1,290,274
Nov-1995 $ 1,245,031 $ 1,336,590 $ 1,328,853
Dec-1995 $ 1,233,452 $ 1,358,644 $ 1,373,503
Jan-1996 $ 1,233,206 $ 1,361,633 $ 1,383,529
Feb-1996 $ 1,259,350 $ 1,406,158 $ 1,432,506
Mar-1996 $ 1,306,072 $ 1,436,250 $ 1,468,319
Apr-1996 $ 1,365,628 $ 1,518,691 $ 1,569,633
May-1996 $ 1,378,056 $ 1,572,604 $ 1,640,423
Jun-1996 $ 1,361,243 $ 1,510,958 $ 1,565,948
Jul-1996 $ 1,302,029 $ 1,407,004 $ 1,438,793
Aug-1996 $ 1,360,360 $ 1,493,957 $ 1,512,172
Sep-1996 $ 1,405,660 $ 1,559,542 $ 1,575,683
Oct-1996 $ 1,376,001 $ 1,548,781 $ 1,546,218
Nov-1996 $ 1,432,692 $ 1,629,163 $ 1,602,036
Dec-1996 $ 1,429,110 $ 1,648,224 $ 1,630,392
Jan-1997 $ 1,405,387 $ 1,675,585 $ 1,666,750
Feb-1997 $ 1,403,138 $ 1,639,560 $ 1,623,081
Mar-1997 $ 1,349,539 $ 1,552,171 $ 1,541,278
Apr-1997 $ 1,358,446 $ 1,571,107 $ 1,541,740
May-1997 $ 1,494,154 $ 1,755,713 $ 1,706,089
Jun-1997 $ 1,581,861 $ 1,833,315 $ 1,802,484
Jul-1997 $ 1,664,751 $ 1,948,631 $ 1,910,993
Aug-1997 $ 1,662,254 $ 1,997,736 $ 1,957,812
Sep-1997 $ 1,735,725 $ 2,129,786 $ 2,104,648
Oct-1997 $ 1,683,653 $ 2,037,780 $ 2,020,883
Nov-1997 $ 1,646,950 $ 2,022,904 $ 1,995,016
Dec-1997 $ 1,681,700 $ 2,063,767 $ 1,992,821
Jan-1998 $ 1,647,057 $ 2,023,523 $ 1,963,726
Feb-1998 $ 1,772,893 $ 2,207,866 $ 2,110,417
Mar-1998 $ 1,862,424 $ 2,292,207 $ 2,209,817
Apr-1998 $ 1,859,444 $ 2,305,731 $ 2,231,032
May-1998 $ 1,788,599 $ 2,183,757 $ 2,115,241
Jun-1998 $ 1,774,827 $ 2,190,090 $ 2,107,626
Jul-1998 $ 1,702,946 $ 2,022,548 $ 1,955,666
Aug-1998 $ 1,449,548 $ 1,632,197 $ 1,577,636
Sep-1998 $ 1,492,309 $ 1,732,250 $ 1,644,054
Oct-1998 $ 1,540,213 $ 1,812,627 $ 1,711,461
Nov-1998 $ 1,639,556 $ 1,914,678 $ 1,806,960
Dec-1998 $ 1,739,241 $ 2,037,025 $ 1,920,437
Jan-1999 $ 1,727,241 $ 2,011,359 $ 1,906,034
Feb-1999 $ 1,595,970 $ 1,830,135 $ 1,750,311
Mar-1999 $ 1,570,754 $ 1,853,744 $ 1,758,187
Apr-1999 $ 1,694,215 $ 1,976,277 $ 1,876,865
May-1999 $ 1,757,579 $ 2,024,300 $ 1,915,716
Jun-1999 $ 1,808,724 $ 2,139,483 $ 2,026,445
Jul-1999 $ 1,775,987 $ 2,120,655 $ 2,015,299
Aug-1999 $ 1,654,331 $ 2,027,347 $ 1,941,338
Sep-1999 $ 1,556,064 $ 2,035,861 $ 1,939,785
Oct-1999 $ 1,475,616 $ 2,030,772 $ 1,956,661
Nov-1999 $ 1,565,038 $ 2,115,658 $ 2,082,865
Dec-1999 $ 1,677,408 $ 2,289,565 $ 2,307,607
Jan-2000 $ 1,595,886 $ 2,218,589 $ 2,263,300
Feb-2000 $ 1,741,590 $ 2,515,658 $ 2,582,426
Mar-2000 $ 1,769,455 $ 2,422,578 $ 2,545,755
Apr-2000 $ 1,795,289 $ 2,381,152 $ 2,404,211
May-2000 $ 1,716,476 $ 2,310,670 $ 2,302,032
Jun-2000 $ 1,857,399 $ 2,447,231 $ 2,505,072
Jul-2000 $ 1,797,219 $ 2,387,029 $ 2,427,164
Aug-2000 $ 1,984,669 $ 2,598,520 $ 2,643,424
Sep-2000 $ 1,924,534 $ 2,527,840 $ 2,575,488
Oct-2000 $ 1,920,492 $ 2,543,765 $ 2,497,966
Nov-2000 $ 1,712,311 $ 2,278,959 $ 2,249,169
Dec-2000 $ 1,874,295 $ 2,559,727 $ 2,467,563
Jan-2001 $ 1,815,068 $ 2,669,539 $ 2,555,408
Feb-2001 $ 1,690,010 $ 2,506,697 $ 2,393,140
Mar-2001 $ 1,618,522 $ 2,391,640 $ 2,279,944
Apr-2001 $ 1,741,530 $ 2,573,883 $ 2,461,656
May-2001 $ 1,765,911 $ 2,623,044 $ 2,551,260
Jun-2001 $ 1,786,043 $ 2,719,048 $ 2,630,094
Jul-2001 $ 1,796,580 $ 2,673,640 $ 2,569,076
Aug-2001 $ 1,745,198 $ 2,612,681 $ 2,497,142
Sep-2001 $ 1,562,650 $ 2,259,446 $ 2,170,016
Oct-2001 $ 1,623,281 $ 2,379,875 $ 2,298,915
Nov-2001 $ 1,702,984 $ 2,553,843 $ 2,469,724
Dec-2001 $ 1,792,391 $ 2,726,739 $ 2,643,099
Jan-2002 $ 1,811,032 $ 2,750,461 $ 2,611,911
Feb-2002 $ 1,794,189 $ 2,703,153 $ 2,542,173
Mar-2002 $ 1,879,054 $ 2,916,702 $ 2,737,411
Apr-2002 $ 1,913,253 $ 2,999,245 $ 2,750,825
May-2002 $ 1,872,501 $ 2,875,076 $ 2,648,219
Jun-2002 $ 1,763,334 $ 2,726,435 $ 2,499,919
Jul-2002 $ 1,554,203 $ 2,341,462 $ 2,160,180
Aug-2002 $ 1,567,103 $ 2,363,706 $ 2,171,629
Sep-2002 $ 1,479,815 $ 2,219,047 $ 2,017,877
Oct-2002 $ 1,498,165 $ 2,290,057 $ 2,089,512
Nov-2002 $ 1,541,911 $ 2,409,140 $ 2,243,718
Dec-2002 $ 1,488,715 $ 2,327,952 $ 2,134,673
Jan-2003 $ 1,438,694 $ 2,247,870 $ 2,072,341
Feb-2003 $ 1,421,718 $ 2,175,938 $ 2,007,684
Mar-2003 $ 1,420,154 $ 2,193,128 $ 2,024,548
Apr-2003 $ 1,520,559 $ 2,370,991 $ 2,193,193
May-2003 $ 1,617,418 $ 2,562,093 $ 2,385,756
Jun-2003 $ 1,646,208 $ 2,628,707 $ 2,440,628
Jul-2003 $ 1,719,958 $ 2,765,400 $ 2,565,832
Aug-2003 $ 1,813,352 $ 2,900,075 $ 2,676,933
Sep-2003 $ 1,758,408 $ 2,814,813 $ 2,618,843
Oct-2003 $ 1,915,609 $ 3,058,857 $ 2,824,684
Nov-2003 $ 1,974,035 $ 3,174,482 $ 2,926,373
Dec-2003 $ 2,012,726 $ 3,230,670 $ 3,007,726
Jan-2004 $ 2,036,275 $ 3,323,714 $ 3,103,071
Feb-2004 $ 2,078,426 $ 3,387,529 $ 3,157,065
Mar-2004 $ 2,123,736 $ 3,431,906 $ 3,191,161
Apr-2004 $ 2,095,278 $ 3,317,966 $ 3,081,385
May-2004 $ 2,105,335 $ 3,368,731 $ 3,108,193
Jun-2004 $ 2,235,144 $ 3,555,359 $ 3,240,913
</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 PROSPECTUS WHICH INCLUDES INFORMATION
ON THE FUND'S INVESTMENT OBJECTIVES, RISK, AS WELL AS CHARGES AND EXPENSES ALONG
WITH OTHER INFORMATION. INVESTORS SHOULD REVIEW THE INFORMATION IN THE
PROSPECTUS CAREFULLY BEFORE INVESTING. FOR UP TO DATE MONTH-END PERFORMANCE
INFORMATION, OR TO RECEIVE A FUND PROSPECTUS PLEASE CALL 800 348-4782. PLEASE
READ CAREFULLY BEFORE INVESTING OR SENDING MONEY.
The fund commenced operations on 1/1/97.
Returns for the Fund prior to 1/1/97 (offering date of the Shares) are
calculated using the historical expenses at the level indicated (absent
reimbursements) in the Expense Summary for the Fund as disclosed in the
Prospectus. The account was not registered with the SEC and was not subject to
investment restrictions of registered mutual funds. If the account had been
registered, performance may have been adversely affected.
The graph illustrates comparative performance for $1,000,000 invested in the
JPMorgan Trust Small Cap Equity Fund, S&P Small Cap 600 Index and Lipper
Small-Cap Core Funds Index from June 30, 1994 to June 30, 2004. The performance
of the Fund assumes reinvestment of all dividends and capital gains.
The performance of the indices does not include a sales charge and has been
adjusted to reflect reinvestment of all dividends and capital gains of the
securities included in the benchmark. The S&P Small Cap 600 Index includes 600
stocks of small U.S. Companies chosen for market size, liquidity and industry
group representation. The Lipper Small-Cap Core Funds Index represents the total
returns of the funds in the indicated category, as defined by Lipper, Inc.
Investor's cannot invest directly in an index.
Select Shares have a $1,000,000 minimum initial deposit and carry no sales
charge.
Certain fees and expenses of the Fund are currently being waived and reimbursed
as described in the prospectus. Had the expenses not been subsidized or waived,
returns would have been lower. Also all performance shown in this section does
not reflect the deduction of taxes that a shareholder would pay on fund
distributions or redemption of fund shares.
23
<Page>
JPMORGAN U.S. SMALL COMPANY FUND
AS OF JUNE 30, 2004 (UNAUDITED)
FUND FACTS
<Table>
Fund Inception 11/4/1993
Fiscal Year End DECEMBER 31
Net Assets as of 6/30/2004
(In Millions) $229.0
Primary Benchmark RUSSELL 2000 INDEX
</Table>
Q: HOW DID THE FUND PERFORM?
A: JPMorgan U.S. Small Company Fund, which seeks to provide high total return
from a portfolio of small company stocks, returned 1.5% (Institutional
Shares) during the six months ended June 30, 2004. This compares to a return
of 6.7% from the Russell 2000 Index, the Fund's benchmark.
Q: WHY DID THE FUND PERFORM THIS WAY?
A: The Fund's relative underperformance during the first half of 2004 occurred
mainly in January, as a result of the strong performance among more
speculative names. In addition, poor stock selection negatively impacted
relative performance during the period under review. The Fund's overweight
position in Consumer Cyclicals was the largest detractor from performance. In
addition, holdings within the Software & Services sectors also underperformed
their benchmark. The biggest detractor to the Fund was biotechnology company
Adolor Corp. The company's main product, Entereg, has experienced mixed
results across three separate studies. The weakness in the stock price has
been impacted by the increased uncertainty over an upcoming FDA review which
is expected in the fourth quarter. Maxtor, a hard disk drive manufacturer,
was another detractor to the Fund. The company came under pressure as its
peer group was hurt by high levels of inventories and weak pricing.
The largest stock contributor to the portfolio was Encore Wire Corp., a
leading manufacturer of copper electrical wire. Sold out supply and higher
copper prices resulted in manufacturing efficiencies and record prices for
finished goods.
Q: HOW WAS THE FUND MANAGED?
A: During the period under review, portfolio management of the Fund was changed.
The portfolio managers strive to add value through stock selection rather
than market timing or sector bets. Holdings in the Fund have increased to
over 650 names. To control risk, securities and sectors are weighted to +/-
1% relative to the Russell 2000 Index. In addition, the strategy's targeted
tracking error relative to the benchmark is approximately 3%.
24
<Page>
[CHART]
PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS
<Table>
Consumer Goods & Services 20.9%
Technology 18.4%
Industrial Products & Services 16.8%
Finance & Insurance 12.8%
REITs 6.9%
Health Services & Systems 6.8%
Pharmaceuticals 5.9%
Energy 5.3%
Telecommunications 2.5%
Utilities 2.0%
Short-Term Investments 1.5%
Investment Company 0.2%
</Table>
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO
<Table>
1. Houston Exploration Co. 1.0%
2. Applied Industrial Technologies, Inc. 0.8%
3. Delphi Financial Group, Inc., Class A 0.8%
4. CarrAmerica Realty Corp. 0.8%
5. Aaron Rents, Inc. 0.8%
6. R & G Financial Corp. (Puerto Rico), Class B 0.8%
7. Commercial Metals Co. 0.7%
8. Universal Forest Products, Inc. 0.7%
9. Southwestern Energy Co. 0.7%
10. Landry's Restaurants, Inc. 0.7%
</Table>
Top 10 equity holdings comprised 7.8% ($17,838 in thousands) of the Portfolio's
market value of investments. As of June 30, 2004, the Fund held 691 equity
holdings. Portfolio holdings are subject to change at any time.
25
<Page>
AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2004
<Table>
<Caption>
1 YEAR 3 YEARS 5 YEARS 10 YEARS
-----------------------------------------
INSTITUTIONAL SHARES 26.17% 1.64% 4.86% 10.02%
SELECT SHARES 25.94% 1.47% 4.67% 9.87%
</Table>
[CHART]
TEN YEAR PERFORMANCE (06/30/94 TO 06/30/04)
<Table>
<Caption>
JPMORGAN U.S. SMALL
COMPANY FUND LIPPER SMALL-CAP
(INSTITUTIONAL SHARES) RUSSELL 2000 INDEX CORE FUNDS INDEX
Jun-1994 $ 3,000,000 $ 3,000,000 $ 3,000,000
Jul-1994 $ 3,061,500 $ 3,049,200 $ 3,043,200
Aug-1994 $ 3,207,840 $ 3,219,040 $ 3,183,492
Sep-1994 $ 3,179,931 $ 3,208,096 $ 3,189,222
Oct-1994 $ 3,201,873 $ 3,195,263 $ 3,205,806
Nov-1994 $ 3,061,631 $ 3,066,175 $ 3,124,699
Dec-1994 $ 3,127,150 $ 3,148,348 $ 3,151,884
Jan-1995 $ 3,120,896 $ 3,108,679 $ 3,184,348
Feb-1995 $ 3,268,202 $ 3,238,000 $ 3,311,085
Mar-1995 $ 3,371,477 $ 3,293,370 $ 3,381,280
Apr-1995 $ 3,453,067 $ 3,366,483 $ 3,438,086
May-1995 $ 3,496,921 $ 3,424,386 $ 3,479,687
Jun-1995 $ 3,678,761 $ 3,602,112 $ 3,618,178
Jul-1995 $ 3,866,745 $ 3,809,593 $ 3,818,263
Aug-1995 $ 3,945,240 $ 3,888,452 $ 3,945,412
Sep-1995 $ 4,012,704 $ 3,958,055 $ 4,012,878
Oct-1995 $ 3,880,686 $ 3,781,130 $ 3,870,822
Nov-1995 $ 4,041,734 $ 3,939,938 $ 3,986,560
Dec-1995 $ 4,124,186 $ 4,043,952 $ 4,120,508
Jan-1996 $ 4,151,405 $ 4,039,504 $ 4,150,588
Feb-1996 $ 4,300,856 $ 4,165,536 $ 4,297,519
Mar-1996 $ 4,361,928 $ 4,250,513 $ 4,404,957
Apr-1996 $ 4,586,131 $ 4,477,916 $ 4,708,899
May-1996 $ 4,742,060 $ 4,654,345 $ 4,921,270
Jun-1996 $ 4,548,584 $ 4,463,052 $ 4,697,844
Jul-1996 $ 4,232,912 $ 4,073,427 $ 4,316,379
Aug-1996 $ 4,455,986 $ 4,310,094 $ 4,536,515
Sep-1996 $ 4,635,563 $ 4,478,618 $ 4,727,048
Oct-1996 $ 4,660,595 $ 4,409,648 $ 4,638,653
Nov-1996 $ 4,833,037 $ 4,591,325 $ 4,806,108
Dec-1996 $ 4,983,344 $ 4,711,618 $ 4,891,176
Jan-1997 $ 5,089,988 $ 4,805,850 $ 5,000,249
Feb-1997 $ 4,979,535 $ 4,689,068 $ 4,869,243
Mar-1997 $ 4,736,534 $ 4,467,744 $ 4,623,833
Apr-1997 $ 4,707,167 $ 4,480,254 $ 4,625,220
May-1997 $ 5,189,652 $ 4,978,906 $ 5,118,268
Jun-1997 $ 5,432,527 $ 5,192,501 $ 5,407,451
Jul-1997 $ 5,782,382 $ 5,433,952 $ 5,732,979
Aug-1997 $ 5,898,030 $ 5,558,390 $ 5,873,437
Sep-1997 $ 6,266,067 $ 5,965,264 $ 6,313,945
Oct-1997 $ 6,002,892 $ 5,703,389 $ 6,062,650
Nov-1997 $ 6,029,905 $ 5,666,317 $ 5,985,048
Dec-1997 $ 6,114,324 $ 5,765,477 $ 5,978,464
Jan-1998 $ 5,933,951 $ 5,674,383 $ 5,891,179
Feb-1998 $ 6,491,149 $ 6,093,720 $ 6,331,250
Mar-1998 $ 6,830,636 $ 6,344,781 $ 6,629,452
Apr-1998 $ 6,775,991 $ 6,379,677 $ 6,693,095
May-1998 $ 6,411,443 $ 6,035,813 $ 6,345,723
Jun-1998 $ 6,369,769 $ 6,048,488 $ 6,322,878
Jul-1998 $ 5,816,873 $ 5,558,560 $ 5,866,999
Aug-1998 $ 4,674,439 $ 4,479,088 $ 4,732,908
Sep-1998 $ 4,993,703 $ 4,829,800 $ 4,932,163
Oct-1998 $ 5,145,012 $ 5,026,856 $ 5,134,382
Nov-1998 $ 5,397,118 $ 5,290,264 $ 5,420,881
Dec-1998 $ 5,791,647 $ 5,617,731 $ 5,761,312
Jan-1999 $ 5,800,914 $ 5,692,447 $ 5,718,102
Feb-1999 $ 5,299,715 $ 5,231,358 $ 5,250,933
Mar-1999 $ 5,509,584 $ 5,312,968 $ 5,274,562
Apr-1999 $ 5,805,448 $ 5,789,010 $ 5,630,595
May-1999 $ 5,719,528 $ 5,873,529 $ 5,747,149
Jun-1999 $ 6,149,064 $ 6,139,013 $ 6,079,334
Jul-1999 $ 6,120,163 $ 5,970,804 $ 6,045,897
Aug-1999 $ 6,029,585 $ 5,749,884 $ 5,824,013
Sep-1999 $ 6,201,428 $ 5,751,034 $ 5,819,354
Oct-1999 $ 6,483,593 $ 5,774,038 $ 5,869,982
Nov-1999 $ 7,305,713 $ 6,118,748 $ 6,248,596
Dec-1999 $ 8,357,005 $ 6,811,390 $ 6,922,820
Jan-2000 $ 8,314,384 $ 6,701,727 $ 6,789,901
Feb-2000 $ 9,948,992 $ 7,808,182 $ 7,747,277
Mar-2000 $ 9,050,598 $ 7,293,623 $ 7,637,266
Apr-2000 $ 7,759,983 $ 6,854,547 $ 7,212,634
May-2000 $ 7,219,888 $ 6,454,927 $ 6,906,097
Jun-2000 $ 8,404,672 $ 7,017,796 $ 7,515,215
Jul-2000 $ 7,979,395 $ 6,791,823 $ 7,281,492
Aug-2000 $ 8,893,036 $ 7,310,039 $ 7,930,273
Sep-2000 $ 8,649,367 $ 7,095,124 $ 7,726,465
Oct-2000 $ 8,027,477 $ 6,778,682 $ 7,493,898
Nov-2000 $ 6,797,668 $ 6,083,189 $ 6,747,506
Dec-2000 $ 7,556,288 $ 6,605,735 $ 7,402,689
Jan-2001 $ 7,659,809 $ 6,949,894 $ 7,666,224
Feb-2001 $ 6,862,423 $ 6,493,981 $ 7,179,419
Mar-2001 $ 6,364,897 $ 6,176,425 $ 6,839,833
Apr-2001 $ 7,014,753 $ 6,659,421 $ 7,384,967
May-2001 $ 7,287,627 $ 6,823,243 $ 7,653,780
Jun-2001 $ 7,424,634 $ 7,058,645 $ 7,890,282
Jul-2001 $ 7,019,992 $ 6,676,772 $ 7,707,227
Aug-2001 $ 6,702,688 $ 6,461,113 $ 7,491,425
Sep-2001 $ 5,746,214 $ 5,591,447 $ 6,510,048
Oct-2001 $ 6,057,659 $ 5,918,547 $ 6,896,745
Nov-2001 $ 6,478,667 $ 6,376,642 $ 7,409,173
Dec-2001 $ 6,886,823 $ 6,770,081 $ 7,929,297
Jan-2002 $ 6,744,265 $ 6,699,672 $ 7,835,732
Feb-2002 $ 6,618,148 $ 6,516,101 $ 7,626,518
Mar-2002 $ 7,127,745 $ 7,039,996 $ 8,212,234
Apr-2002 $ 7,067,159 $ 7,104,060 $ 8,252,474
May-2002 $ 6,771,045 $ 6,788,639 $ 7,944,657
Jun-2002 $ 6,425,722 $ 6,451,923 $ 7,499,756
Jul-2002 $ 5,531,904 $ 5,477,682 $ 6,480,539
Aug-2002 $ 5,586,670 $ 5,463,440 $ 6,514,886
Sep-2002 $ 5,246,442 $ 5,071,165 $ 6,053,632
Oct-2002 $ 5,328,811 $ 5,233,950 $ 6,268,536
Nov-2002 $ 5,679,979 $ 5,700,818 $ 6,731,154
Dec-2002 $ 5,484,020 $ 5,383,283 $ 6,404,020
Jan-2003 $ 5,241,626 $ 5,234,166 $ 6,217,023
Feb-2003 $ 4,998,939 $ 5,076,094 $ 6,023,051
Mar-2003 $ 5,020,934 $ 5,141,575 $ 6,073,645
Apr-2003 $ 5,456,249 $ 5,628,997 $ 6,579,580
May-2003 $ 6,029,701 $ 6,232,988 $ 7,157,267
Jun-2003 $ 6,178,635 $ 6,345,805 $ 7,321,884
Jul-2003 $ 6,459,763 $ 6,743,053 $ 7,697,497
Aug-2003 $ 6,784,689 $ 7,051,885 $ 8,030,798
Sep-2003 $ 6,592,004 $ 6,921,425 $ 7,856,530
Oct-2003 $ 7,280,868 $ 7,502,824 $ 8,474,053
Nov-2003 $ 7,457,065 $ 7,769,175 $ 8,779,119
Dec-2003 $ 7,679,286 $ 7,926,889 $ 9,023,178
Jan-2004 $ 7,767,597 $ 8,270,916 $ 9,309,213
Feb-2004 $ 7,889,549 $ 8,345,354 $ 9,471,194
Mar-2004 $ 7,966,866 $ 8,422,966 $ 9,573,482
Apr-2004 $ 7,568,523 $ 7,993,395 $ 9,244,155
May-2004 $ 7,579,876 $ 8,120,490 $ 9,324,579
Jun-2004 $ 7,797,025 $ 8,462,362 $ 9,722,738
</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 PROSPECTUS WHICH INCLUDES INFORMATION
ON THE FUND'S INVESTMENT OBJECTIVES, RISK, AS WELL AS CHARGES AND EXPENSES ALONG
WITH OTHER INFORMATION. INVESTORS SHOULD REVIEW THE INFORMATION IN THE
PROSPECTUS CAREFULLY BEFORE INVESTING. FOR UP TO DATE MONTH-END PERFORMANCE
INFORMATION, OR TO RECEIVE A FUND PROSPECTUS PLEASE CALL 800 348-4782. PLEASE
READ CAREFULLY BEFORE INVESTING OR SENDING MONEY.
The Fund commenced operations on 11/4/93.
Returns for the Institutional Shares prior to 9/10/01 (offering date of the
Institutional Shares) are calculated using the historical expenses of the
J.P. Morgan Institutional U.S. Small Company Fund, which are similar to the
expenses of the Institutional Shares.
Returns for the Select Shares prior to 9/10/01 (offering date of the Select
Shares) are calculated using the historical expenses of the J.P. Morgan U.S.
Small Company Fund, which are similar to the expenses of the Select Shares.
The graph illustrates comparative performance for $3,000,000 invested in
Institutional Shares of the JPMorgan U.S. Small Company Fund, Russell 2000
Index, and Lipper Small-Cap Core Funds Index from June 30, 1994 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 Index is an unmanaged, capitalization weighted price only index,
which is comprised of 2000 of the smallest stocks (on the basis of
capitalization) in the Russell 3000 Index. The Lipper Small-Cap Core Funds Index
represents the total returns of the funds in the indicated category, as defined
by Lipper, Inc. Investors cannot invest directly in an index.
Institutional Shares have a $3,000,000 minimum initial deposit and carry no
sales charge.
Certain fees and expenses of the Fund are currently being waived and reimbursed
as described in the prospectus. Had the expenses not been subsidized or waived,
returns would have been lower. Also all performance shown in this section does
not reflect the deduction of taxes that a shareholder would pay on fund
distributions or redemption of fund shares.
26
<Page>
JPMORGAN U.S. SMALL COMPANY OPPORTUNITIES FUND
AS OF JUNE 30, 2004 (Unaudited)
FUND FACTS
<Table>
Fund Inception 6/16/1997
Fiscal Year End DECEMBER 31
Net Assets as of 6/30/2004
(In Millions) $7.8
Primary Benchmark RUSSELL 2000
GROWTH INDEX
</Table>
Q: HOW DID THE FUND PERFORM?
A: JPMorgan U.S. Small Company Opportunities Fund, which seeks to provide long
term growth from a portfolio of small cap growth stocks, rose 6.9% in the six
months through June 30, 2004. This compares with a gain of 5.7% for the
Russell 2000 Growth Index, the Fund's benchmark.
Q: WHY DID THE FUND OUTPERFORM ITS BENCHMARK?
A: The Fund performed well during the first half of 2004, outperforming its
benchmark. After the year began with the markets more speculative names
posting the highest gains, market leadership shifted to higher-quality names
in February. This development helped the Fund's performance, as our
overriding focus is on strong, durable businesses. The positive performance
relative to the benchmark is attributable to stock selection rather than
sector weightings, with the Fund's Technology and Financial names
outperforming their peer group. The Fund's stock selection in Materials and
Processing was the largest detractor from performance.
Alliance Data Systems Corp. was the Fund's top contributor, as the company's
share price increased 50% during the first half of 2004. The provider of
private-label credit card and marketing services reported a stellar quarter
with better than-expected revenue, margin and EPS growth. Another top
contributor was specialty retailer Urban Outfitters Inc. The company posted a
150% gain in first-quarter earnings per share compared to the same period a
year earlier as same-store sales were significantly ahead of target. One of
the top contributors from the aforementioned technology sector was Verint
Systems Inc., a leader in communications interception solutions and digital
video security. The company's revenues from homeland security initiatives
have somewhat cushioned the effect of the global slowdown in
telecommunications and IT spending.
Despite the Fund's positive return for the period, a number of individual
holdings performed poorly. In particular, shares of Staktek Holdings declined
after the company pre-announced a shortfall in second-quarter revenue.
Staktek attributed the shortfall to a shortage of DRAMs (memory chip
devices), with license revenues from Samsung making up the bulk of that
business. We continue to have a positive view on the stock, as the company is
the leading solution provider in the high-growth, high-density memory
stacking market for servers, routers and other high-end platforms, and we
added modestly to the position.
Q: HOW WAS THE FUND MANAGED?
A: The portfolio managers utilize a "bottom up" approach to construct the Fund's
portfolio, basing their stock selection on a combination of proprietary
company research complemented by research derived from third-party sources.
The research process is designed to identify companies with predictable and
durable business models deemed capable of achieving sustainable growth.
Potential investments are subjected to rigorous financial analysis and a
disciplined approach to valuation.
27
<Page>
[CHART]
PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS
<Table>
Consumer Goods & Services 26.1%
Technology 25.5%
Health Services & Systems 11.8%
Pharmaceuticals 10.3%
Finance & Insurance 7.7%
Industrial Products & Services 6.2%
Telecommunications 6.0%
Energy 4.4%
REITs 1.2%
Short-Term Investments 0.8%
</Table>
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO
<Table>
1. Life Time Fitness, Inc. 1.8%
2. Aeroflex, Inc. 1.6%
3. Alliance Data Systems Corp. 1.5%
4. Nextel Partners, Inc., Class A 1.5%
5. Cooper Companies, Inc. 1.4%
6. Wright Medical Group, Inc. 1.4%
7. Electronics for Imaging, Inc. 1.4%
8. Verint Systems, Inc. 1.4%
9. Gray Television, Inc. 1.4%
10. Covance, Inc. 1.3%
</Table>
Top 10 equity holdings comprised 14.7% ($1,161 in thousands) of the Portfolio's
market value of investments. As of June 30, 2004, the Fund held 107 equity
holdings. Portfolio holdings are subject to change at any time.
28
<Page>
<Table>
<Caption>
SINCE
INCEPTION
1 YEAR 3 YEARS 5 YEARS (6/16/97)
----------------------------------------------
SELECT SHARES 26.51% (7.63%) (4.71%) 1.26%
</Table>
[CHART]
LIFE OF FUND PERFORMANCE (06/16/97 TO 06/30/04)
<Table>
<Caption>
JPMORGAN U.S.
SMALL COMPANY RUSSELL 2000 LIPPER SMALL-CAP
OPPORTUNITIES FUND GROWTH INDEX GROWTH FUNDS INDEX
Jun-1997 $ 1,000,000 $ 1,000,000 $ 1,000,000
Jun-1997 $ 1,028,000 $ 1,000,000 $ 1,000,000
Jul-1997 $ 1,092,970 $ 1,051,200 $ 1,060,200
Aug-1997 $ 1,114,938 $ 1,082,736 $ 1,077,057
Sep-1997 $ 1,222,976 $ 1,169,138 $ 1,167,745
Oct-1997 $ 1,151,921 $ 1,098,873 $ 1,108,074
Nov-1997 $ 1,136,946 $ 1,072,720 $ 1,083,031
Dec-1997 $ 1,183,902 $ 1,073,364 $ 1,068,627
Jan-1998 $ 1,182,955 $ 1,059,088 $ 1,052,811
Feb-1998 $ 1,288,947 $ 1,152,605 $ 1,137,878
Mar-1998 $ 1,363,964 $ 1,200,899 $ 1,189,310
Apr-1998 $ 1,360,963 $ 1,208,225 $ 1,197,992
May-1998 $ 1,256,986 $ 1,120,508 $ 1,113,175
Jun-1998 $ 1,268,047 $ 1,131,937 $ 1,145,791
Jul-1998 $ 1,186,005 $ 1,037,420 $ 1,059,627
Aug-1998 $ 905,040 $ 797,984 $ 828,205
Sep-1998 $ 1,012,016 $ 878,899 $ 872,513
Oct-1998 $ 1,045,008 $ 924,778 $ 906,890
Nov-1998 $ 1,131,012 $ 996,540 $ 980,621
Dec-1998 $ 1,245,696 $ 1,086,727 $ 1,078,879
Jan-1999 $ 1,303,248 $ 1,135,630 $ 1,104,988
Feb-1999 $ 1,189,213 $ 1,031,720 $ 998,688
Mar-1999 $ 1,229,290 $ 1,068,449 $ 1,043,829
Apr-1999 $ 1,274,528 $ 1,162,793 $ 1,084,538
May-1999 $ 1,250,949 $ 1,164,654 $ 1,090,503
Jun-1999 $ 1,389,679 $ 1,226,031 $ 1,192,574
Jul-1999 $ 1,384,537 $ 1,188,147 $ 1,188,400
Aug-1999 $ 1,361,969 $ 1,143,710 $ 1,171,762
Sep-1999 $ 1,412,362 $ 1,165,784 $ 1,214,297
Oct-1999 $ 1,485,381 $ 1,195,628 $ 1,285,091
Nov-1999 $ 1,688,879 $ 1,322,005 $ 1,447,269
Dec-1999 $ 2,013,650 $ 1,555,075 $ 1,739,039
Jan-2000 $ 2,083,524 $ 1,540,613 $ 1,720,953
Feb-2000 $ 2,616,906 $ 1,899,113 $ 2,225,192
Mar-2000 $ 2,220,183 $ 1,699,517 $ 2,050,514
Apr-2000 $ 1,849,190 $ 1,527,865 $ 1,797,071
May-2000 $ 1,634,314 $ 1,394,024 $ 1,650,070
Jun-2000 $ 2,042,403 $ 1,574,132 $ 1,940,648
Jul-2000 $ 1,863,488 $ 1,439,229 $ 1,814,312
Aug-2000 $ 2,193,512 $ 1,590,636 $ 2,009,350
Sep-2000 $ 2,084,494 $ 1,511,582 $ 1,909,887
Oct-2000 $ 1,851,239 $ 1,388,841 $ 1,766,646
Nov-2000 $ 1,401,018 $ 1,136,628 $ 1,465,786
Dec-2000 $ 1,577,967 $ 1,206,189 $ 1,595,362
Jan-2001 $ 1,607,475 $ 1,303,770 $ 1,644,020
Feb-2001 $ 1,341,277 $ 1,125,023 $ 1,433,585
Mar-2001 $ 1,155,510 $ 1,022,758 $ 1,294,384
Apr-2001 $ 1,349,173 $ 1,147,944 $ 1,434,178
May-2001 $ 1,380,879 $ 1,174,576 $ 1,473,044
Jun-2001 $ 1,385,436 $ 1,206,642 $ 1,510,165
Jul-2001 $ 1,261,994 $ 1,103,716 $ 1,426,049
Aug-2001 $ 1,179,333 $ 1,034,733 $ 1,341,627
Sep-2001 $ 940,282 $ 867,727 $ 1,132,199
Oct-2001 $ 1,021,805 $ 951,203 $ 1,215,189
Nov-2001 $ 1,123,781 $ 1,030,628 $ 1,309,366
Dec-2001 $ 1,187,274 $ 1,094,836 $ 1,388,713
Jan-2002 $ 1,119,244 $ 1,055,860 $ 1,346,774
Feb-2002 $ 1,040,001 $ 987,546 $ 1,265,294
Mar-2002 $ 1,138,593 $ 1,073,364 $ 1,368,796
Apr-2002 $ 1,085,307 $ 1,050,179 $ 1,332,659
May-2002 $ 1,011,723 $ 988,744 $ 1,279,220
Jun-2002 $ 933,517 $ 904,898 $ 1,184,174
Jul-2002 $ 796,477 $ 765,815 $ 1,016,258
Aug-2002 $ 808,902 $ 765,433 $ 1,014,733
Sep-2002 $ 761,338 $ 710,168 $ 953,241
Oct-2002 $ 780,600 $ 746,103 $ 993,944
Nov-2002 $ 836,101 $ 820,042 $ 1,077,237
Dec-2002 $ 797,557 $ 763,459 $ 1,005,277
Jan-2003 $ 752,255 $ 742,693 $ 978,738
Feb-2003 $ 703,509 $ 722,863 $ 948,201
Mar-2003 $ 722,785 $ 733,778 $ 967,734
Apr-2003 $ 768,104 $ 803,193 $ 1,047,669
May-2003 $ 850,829 $ 893,713 $ 1,154,531
Jun-2003 $ 863,251 $ 910,962 $ 1,193,670
Jul-2003 $ 888,199 $ 979,831 $ 1,263,499
Aug-2003 $ 931,277 $ 1,032,448 $ 1,330,465
Sep-2003 $ 898,403 $ 1,006,327 $ 1,297,736
Oct-2003 $ 975,485 $ 1,093,273 $ 1,415,310
Nov-2003 $ 1,003,775 $ 1,128,914 $ 1,452,958
Dec-2003 $ 1,021,943 $ 1,133,994 $ 1,454,992
Jan-2004 $ 1,083,157 $ 1,193,529 $ 1,523,085
Feb-2004 $ 1,077,525 $ 1,191,738 $ 1,517,298
Mar-2004 $ 1,083,236 $ 1,197,340 $ 1,506,828
Apr-2004 $ 1,032,215 $ 1,137,233 $ 1,433,144
May-2004 $ 1,059,363 $ 1,159,864 $ 1,463,097
Jun-2004 $ 1,091,905 $ 1,198,488 $ 1,504,795
</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 PROSPECTUS WHICH INCLUDES INFORMATION
ON THE FUND'S INVESTMENT OBJECTIVES, RISK, AS WELL AS CHARGES AND EXPENSES ALONG
WITH OTHER INFORMATION. INVESTORS SHOULD REVIEW THE INFORMATION IN THE
PROSPECTUS CAREFULLY BEFORE INVESTING. FOR UP TO DATE MONTH-END PERFORMANCE
INFORMATION, OR TO RECEIVE A FUND PROSPECTUS PLEASE CALL 800 348-4782. PLEASE
READ CAREFULLY BEFORE INVESTING OR SENDING MONEY.
The Fund commenced operations on 6/16/97.
Returns for the Select Shares prior to 9/10/01 (offering date of the Select
Shares) are calculated using the historical expenses of the J.P. Morgan U.S.
Small Company Opportunities Fund, which are similar to the expenses of the
Select Shares.
The graph illustrates comparative performance for $1,000,000 invested in Select
Shares of the JPMorgan U.S. Small Company Opportunities Fund, Russell 2000
Growth Index, and Lipper Small-Cap Growth Funds Index from June 16, 1997 to 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 measures the performance of those Russell
2000 companies with higher price-to-book ratios and higher forecasted growth
rates. The Lipper Small-Cap Growth Funds Index represents the total returns of
the funds in the indicated category, as defined by Lipper, Inc. Investors cannot
invest directly in an index.
Select Shares have a $1,000,000 minimum initial deposit and carry no sales
charge.
Certain fees and expenses of the Fund are currently being waived and reimbursed
as described in the prospectus. Had the expenses not been subsidized or waived,
returns would have been lower. Also all performance shown in this section does
not reflect the deduction of taxes that a shareholder would pay on fund
distributions or redemption of fund shares.
29
<Page>
JPMORGAN DYNAMIC SMALL CAP FUND
PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2004 (UNAUDITED)
(Amounts in thousands)
<Table>
<Caption>
SHARES ISSUER VALUE
- -------------------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- 98.1%
COMMON STOCKS -- 98.1%
AEROSPACE -- 1.2%
42 Engineered Support Systems, Inc. (l) $ 2,456
-------------------------------------------------------------------------------------
AIRLINES -- 0.5%
69 Airtran Holdings, Inc.* (l) 981
-------------------------------------------------------------------------------------
AUTOMOTIVE -- 2.5%
110 Wabash National Corp.* 3,017
58 Winnebago Industries, Inc. (l) 2,155
-------------------------------------------------------------------------------------
5,172
-------------------------------------------------------------------------------------
BANKING -- 6.1%
52 CVB Financial Corp. (l) 1,128
112 East-West Bancorp, Inc. (l) 3,450
77 PrivateBancorp, Inc. (l) 2,120
46 Southwest Bancorp of Texas, Inc. (l) 2,043
41 Texas Regional Bancshares, Inc., Class A 1,876
55 UCBH Holdings, Inc. (l) 2,158
-------------------------------------------------------------------------------------
12,775
-------------------------------------------------------------------------------------
BIOTECHNOLOGY -- 0.5%
32 Integra LifeSciences Holdings Corp.* (l) 1,143
-------------------------------------------------------------------------------------
BUSINESS SERVICES -- 2.5%
117 Administaff, Inc.* (l) 1,946
70 Heidrick & Struggles International, Inc.* 2,089
77 Learning Tree International, Inc.* (l) 1,114
-------------------------------------------------------------------------------------
5,149
-------------------------------------------------------------------------------------
COMPUTER NETWORKS -- 0.9%
53 Avocent Corp.* 1,934
-------------------------------------------------------------------------------------
COMPUTER SOFTWARE -- 12.6%
82 Ansys, Inc.* (l) 3,851
41 Cerner Corp.* (l) 1,823
42 DSP Group, Inc.* 1,139
48 Global Payments, Inc. 2,152
26 Kronos, Inc.* (l) 1,055
53 Manhattan Associates, Inc.* (l) 1,641
166 MAPICS, Inc.* (l) 1,752
127 MRO Software, Inc.* 1,723
46 National Instruments Corp. (l) 1,421
77 Progress Software Corp.* 1,677
155 RSA Security, Inc.* $ 3,176
73 Serena Software, Inc.* (l) 1,390
52 THQ, Inc.* (l) 1,179
110 Transaction Systems Architects, Inc.,
Class A* 2,360
-------------------------------------------------------------------------------------
26,339
-------------------------------------------------------------------------------------
COMPUTERS/COMPUTER HARDWARE -- 3.1%
81 Mercury Computer Systems, Inc.* (l) 2,006
224 Sykes Enterprises, Inc.* 1,695
33 Zebra Technologies Corp., Class A* 2,880
-------------------------------------------------------------------------------------
6,581
-------------------------------------------------------------------------------------
CONSTRUCTION -- 0.5%
2 NVR, Inc.* (l) 1,114
-------------------------------------------------------------------------------------
CONSTRUCTION MATERIALS -- 0.5%
32 NCI Building Systems, Inc.* 1,042
-------------------------------------------------------------------------------------
CONSUMER PRODUCTS -- 1.0%
33 The Scotts Co., Class A* 2,089
-------------------------------------------------------------------------------------
CONSUMER SERVICES -- 2.3%
45 Arbitron, Inc.* (l) 1,651
71 Regis Corp. 3,175
-------------------------------------------------------------------------------------
4,826
-------------------------------------------------------------------------------------
ELECTRONICS/ELECTRICAL EQUIPMENT -- 5.2%
39 Dionex Corp.* (l) 2,152
48 FEI Co.* (l) 1,150
19 II-VI, Inc. 592
155 Integrated Electrical Services, Inc.* 1,251
86 ROFIN-SINAR Technologies, Inc.* 2,176
40 Varian, Inc.* 1,686
133 X-Rite, Inc. (l) 1,935
-------------------------------------------------------------------------------------
10,942
-------------------------------------------------------------------------------------
ENTERTAINMENT/LEISURE -- 2.9%
79 Alliance Gaming Corp.* (l) 1,349
85 Macrovision Corp.* 2,123
79 Penn National Gaming, Inc.* 2,622
-------------------------------------------------------------------------------------
6,094
-------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
30
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- -------------------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
ENVIRONMENTAL SERVICES -- 1.5%
35 Stericycle, Inc.* $ 1,806
45 Waste Connections, Inc.* 1,346
-------------------------------------------------------------------------------------
3,152
-------------------------------------------------------------------------------------
FOOD/BEVERAGE PRODUCTS -- 1.0%
70 United Natural Foods, Inc.* 2,018
-------------------------------------------------------------------------------------
HEALTH CARE/HEALTH CARE SERVICES -- 14.6%
64 Advanced Neuromodulation
Systems, Inc.* (l) 2,086
104 Arthrocare Corp.* (l) 3,024
40 ICU Medical, Inc.* (l) 1,324
35 Idexx Laboratories, Inc.* (l) 2,171
102 Immucor, Inc.* 3,314
56 Intuitive Surgical, Inc.* (l) 1,066
67 Mentor Corp. 2,304
110 Merit Medical Systems, Inc.* 1,760
79 Odyssey Healthcare, Inc.* (l) 1,487
18 Pediatrix Medical Group, Inc.* 1,261
88 Possis Medical, Inc.* (l) 3,002
30 Respironics, Inc.* 1,780
52 Select Medical Corp. 692
26 TECHNE Corp.* (l) 1,123
60 VCA Antech, Inc.* 2,685
40 Wright Medical Group, Inc.* 1,424
-------------------------------------------------------------------------------------
30,503
-------------------------------------------------------------------------------------
HOTELS/OTHER LODGING -- 1.5%
20 Choice Hotels International, Inc. 1,023
121 Orient-Express Hotels LTD (Bermuda),
Class A 2,055
-------------------------------------------------------------------------------------
3,078
-------------------------------------------------------------------------------------
INSURANCE -- 0.9%
56 ProAssurance Corp.* (l) 1,893
-------------------------------------------------------------------------------------
INTERNET SERVICES/SOFTWARE -- 0.4%
42 Digital Insight Corp.* 873
-------------------------------------------------------------------------------------
MACHINERY & ENGINEERING EQUIPMENT -- 2.1%
20 Cascade Corp. $ 627
82 Graco, Inc. 2,543
50 Lindsay Manufacturing Co. (l) 1,201
-------------------------------------------------------------------------------------
4,371
-------------------------------------------------------------------------------------
MANUFACTURING -- 0.6%
19 Gardner Denver, Inc.* 516
28 Wilson Greatbatch
Technologies, Inc.* (l) 791
-------------------------------------------------------------------------------------
1,307
-------------------------------------------------------------------------------------
MULTI-MEDIA -- 0.7%
93 Radio One, Inc., Class D* (l) 1,481
-------------------------------------------------------------------------------------
OIL & GAS -- 6.7%
96 Core Laboratories N.V.
(The Netherlands)* 2,217
68 Key Energy Services, Inc.* (l) 637
58 Oceaneering International, Inc.* (l) 1,973
46 Patina Oil & Gas Corp. 1,362
44 Penn Virginia Corp. 1,589
64 Spinnaker Exploration Co.* 2,509
69 Unit Corp.* 2,167
81 W-H Energy Services, Inc.* (l) 1,593
-------------------------------------------------------------------------------------
14,047
-------------------------------------------------------------------------------------
PHARMACEUTICALS -- 4.9%
38 Cephalon, Inc.* (l) 2,068
7 Eyetech Pharmaceuticals, Inc.* 292
61 Medicines Co.* (l) 1,867
49 Medicis Pharmaceutical Corp., Class A 1,938
61 MGI Pharma, Inc.* 1,653
82 NBTY, Inc.* 2,410
-------------------------------------------------------------------------------------
10,228
-------------------------------------------------------------------------------------
RESTAURANTS/FOOD SERVICES -- 2.4%
23 P.F. Chang's China Bistro, Inc.* (l) 926
50 Panera Bread Co., Class A* (l) 1,798
98 Sonic Corp.* 2,227
-------------------------------------------------------------------------------------
4,951
-------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
31
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- -------------------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
RETAILING -- 5.4%
74 AC Moore Arts & Crafts, Inc.* (l) $ 2,025
80 Aeropostale, Inc.* 2,162
74 Cache, Inc.* 1,003
9 Gander Mountain Co.* (l) 209
45 Haverty Furniture Companies, Inc. (l) 787
81 Hibbett Sporting Goods, Inc.* (l) 2,219
66 Movado Group, Inc. 1,132
62 The J. Jill Group, Inc.* 1,467
23 Too, Inc.* (l) 377
-------------------------------------------------------------------------------------
11,381
-------------------------------------------------------------------------------------
SEMI-CONDUCTORS -- 6.7%
99 Advanced Energy Industries, Inc.* 1,555
35 Cymer, Inc.* 1,307
108 ESS Technology, Inc.* (l) 1,156
59 Genesis Microchip, Inc.* (l) 812
64 MKS Instruments, Inc.* (l) 1,454
89 Pixelworks, Inc.* (l) 1,368
40 Rudolph Technologies, Inc.* (l) 719
64 Semtech Corp.* (l) 1,502
98 Silicon Image, Inc.* 1,291
32 Silicon Laboratories, Inc.* 1,479
33 Varian Semiconductor Equipment
Associates, Inc.* 1,284
-------------------------------------------------------------------------------------
13,927
-------------------------------------------------------------------------------------
STEEL -- 1.0%
77 Steel Dynamics, Inc.* (l) 2,196
-------------------------------------------------------------------------------------
TELECOMMUNICATIONS -- 1.0%
85 Viasat, Inc.* (l) 2,131
-------------------------------------------------------------------------------------
TELECOMMUNICATIONS EQUIPMENT -- 0.7%
91 Audiovox Corp., Class A* (l) 1,538
-------------------------------------------------------------------------------------
TOYS & GAMES -- 0.6%
37 RC2 Corp.* 1,299
-------------------------------------------------------------------------------------
TRANSPORTATION -- 2.8%
60 Forward Air Corp.* 2,252
80 Heartland Express, Inc. (l) 2,188
80 Pacer International, Inc.* 1,487
-------------------------------------------------------------------------------------
5,927
-------------------------------------------------------------------------------------
UTILITIES -- 0.3%
23 American States Water Co. (l) $ 529
-------------------------------------------------------------------------------------
Total Common Stocks 205,467
(Cost $161,858)
-------------------------------------------------------------------------------------
SHORT-TERM INVESTMENT -- 1.9%
MONEY MARKET FUND -- 1.9%
3,910 JPMorgan Prime Money Market Fund (a) 3,910
(Cost $3,910)
-------------------------------------------------------------------------------------
TOTAL INVESTMENTS-- 100.0% $ 209,377
(COST $165,768)
-------------------------------------------------------------------------------------
<Caption>
SHARES COLLATERAL INVESTMENTS VALUE
- -------------------------------------------------------------------------------------------------
MONEY MARKET FUND (c)
3,027 AIM Short Term Investment Co. $ 3,027
-------------------------------------------------------------------------------------
<Caption>
PRINCIPAL
AMOUNT
(USD)
- -------------------------------------------------------------------------------------------------
REPURCHASE AGREEMENT (c)
$ 42,843 Credit Suisse First Boston LLC, 1.51%,
due 07/01/04, dated 06/30/04,
proceeds $42,845 secured by
U.S. Government Agency Securities 42,843
-------------------------------------------------------------------------------------
$ 45,870
-------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
32
<Page>
JPMORGAN MID CAP EQUITY FUNDS
PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2004 (UNAUDITED)
(Amounts in thousands)
<Table>
<Caption>
SHARES ISSUER VALUE
- -------------------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- 97.2%
COMMON STOCKS -- 97.2%
AEROSPACE -- 1.1%
25 Rockwell Collins, Inc. $ 843
45 United Defense Industries, Inc.* 1,568
-------------------------------------------------------------------------------------
2,411
-------------------------------------------------------------------------------------
AGRICULTURAL PRODUCTION/SERVICES -- 0.2%
13 Bunge LTD 502
-------------------------------------------------------------------------------------
AIRLINES -- 0.5%
61 SkyWest, Inc. 1,063
-------------------------------------------------------------------------------------
APPAREL -- 2.5%
36 Columbia Sportswear Co.* 1,944
31 Polo Ralph Lauren Corp. 1,065
48 VF Corp. 2,318
-------------------------------------------------------------------------------------
5,327
-------------------------------------------------------------------------------------
AUTOMOTIVE -- 2.2%
27 Autoliv, Inc. (Sweden) 1,121
17 BorgWarner, Inc. 735
23 Genuine Parts Co. 893
16 Oshkosh Truck Corp. 900
20 Polaris Industries, Inc. (l) 943
-------------------------------------------------------------------------------------
4,592
-------------------------------------------------------------------------------------
BANKING -- 4.9%
29 BOK Financial Corp.* 1,121
15 Cullen/Frost Bankers, Inc. 689
22 M&T Bank Corp. 1,956
57 North Fork Bancorporation, Inc. 2,184
11 TCF Financial Corp. 610
22 Webster Financial Corp. 1,053
75 Wilmington Trust Corp. 2,776
-------------------------------------------------------------------------------------
10,389
-------------------------------------------------------------------------------------
BIOTECHNOLOGY -- 2.1%
26 Biogen Idec, Inc.* 1,632
22 Genzyme Corp.* 1,027
25 Gilead Sciences, Inc.* 1,659
-------------------------------------------------------------------------------------
4,318
-------------------------------------------------------------------------------------
BROADCASTING/CABLE -- 0.4%
29 Univision Communications, Inc., Class A* 918
-------------------------------------------------------------------------------------
BUSINESS SERVICES -- 2.5%
29 Affiliated Computer Services, Inc.,
Class A* $ 1,543
29 Deluxe Corp. 1,244
19 Equifax, Inc. 468
37 IMS Health, Inc. 856
62 Interactive Data Corp.* 1,071
-------------------------------------------------------------------------------------
5,182
-------------------------------------------------------------------------------------
CHEMICALS -- 1.5%
3 Albemarle Corp. 82
24 Sigma-Aldrich Corp. 1,454
37 The Sherwin-Williams Co. 1,542
-------------------------------------------------------------------------------------
3,078
-------------------------------------------------------------------------------------
COMPUTER NETWORKS -- 1.0%
45 Juniper Networks, Inc.* 1,108
50 Network Appliance, Inc.* 1,066
-------------------------------------------------------------------------------------
2,174
-------------------------------------------------------------------------------------
COMPUTER SOFTWARE -- 3.9%
26 Adobe Systems, Inc. 1,207
16 Cognos, Inc. (Canada)* (l) 584
70 Computer Associates International, Inc. 1,956
37 DST Systems, Inc.* 1,755
20 Dun & Bradstreet Corp.* 1,092
22 Fiserv, Inc.* 859
17 Mercury Interactive Corp.* 822
-------------------------------------------------------------------------------------
8,275
-------------------------------------------------------------------------------------
COMPUTERS/COMPUTER HARDWARE -- 2.6%
25 Apple Computer, Inc.* 799
20 Lexmark International, Inc., Class A* 1,944
9 Research In Motion LTD (Canada)* 582
23 Tech Data Corp.* 889
15 Zebra Technologies Corp., Class A* 1,325
-------------------------------------------------------------------------------------
5,539
-------------------------------------------------------------------------------------
CONSTRUCTION -- 0.4%
21 Lennar Corp., Class A 937
-------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
33
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- -------------------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
CONSTRUCTION MATERIALS -- 1.4%
41 Florida Rock Industries, Inc. $ 1,712
28 Vulcan Materials Co. 1,317
-------------------------------------------------------------------------------------
3,029
-------------------------------------------------------------------------------------
CONSUMER PRODUCTS -- 0.9%
6 Fortune Brands, Inc. 460
107 Tempur-Pedic International, Inc.* 1,494
-------------------------------------------------------------------------------------
1,954
-------------------------------------------------------------------------------------
DISTRIBUTION -- 0.3%
9 Hughes Supply, Inc. 554
-------------------------------------------------------------------------------------
ELECTRONICS/ELECTRICAL EQUIPMENT -- 4.1%
68 Amphenol Corp., Class A* 2,252
58 Arrow Electronics, Inc.* 1,568
24 Fisher Scientific International* (l) 1,409
46 Flextronics International LTD (Singapore)* 738
32 Jabil Circuit, Inc.* 817
27 Tektronix, Inc. 920
46 Vishay Intertechnology, Inc.* 847
-------------------------------------------------------------------------------------
8,551
-------------------------------------------------------------------------------------
ENTERTAINMENT/LEISURE -- 1.7%
61 Regal Entertainment Group, Class A 1,097
31 Royal Caribbean Cruises LTD (l) 1,346
26 Station Casinos, Inc. 1,234
-------------------------------------------------------------------------------------
3,677
-------------------------------------------------------------------------------------
ENVIRONMENTAL SERVICES -- 0.7%
48 Republic Services, Inc. 1,378
-------------------------------------------------------------------------------------
FINANCIAL SERVICES -- 4.5%
74 AmeriCredit Corp.* 1,450
93 Ameritrade Holding Corp.* 1,057
9 Charter One Financial, Inc. 398
22 Golden West Financial Corp. 2,318
7 H & R Block, Inc. 353
20 Legg Mason, Inc. (l) 1,775
43 T. Rowe Price Group, Inc. 2,182
-------------------------------------------------------------------------------------
9,533
-------------------------------------------------------------------------------------
FOOD/BEVERAGE PRODUCTS -- 1.7%
8 Brown-Forman Corp., Class B $ 394
22 Constellation Brands, Inc., Class A* 809
19 Dean Foods Co.* 713
19 Hormel Foods Corp. 603
23 The J.M. Smucker Co. 1,036
-------------------------------------------------------------------------------------
3,555
-------------------------------------------------------------------------------------
HEALTH CARE/HEALTH CARE SERVICES -- 5.9%
10 Aetna, Inc. 829
17 Bausch & Lomb, Inc. 1,090
35 Caremark Rx, Inc.* 1,148
6 Coventry Health Care, Inc.* 308
46 DaVita, Inc.* 1,413
23 Lincare Holdings, Inc.* 759
44 Omnicare, Inc. 1,867
1 Quest Diagnostics, Inc. 85
11 St. Jude Medical, Inc.* 794
19 WellChoice, Inc.* 793
11 WellPoint Health Networks, Inc.* 1,193
24 Zimmer Holdings, Inc.* 2,094
-------------------------------------------------------------------------------------
12,373
-------------------------------------------------------------------------------------
HOTELS/OTHER LODGING -- 1.2%
43 Fairmont Hotels & Resorts, Inc. (Canada) 1,168
68 Hilton Hotels Corp. 1,262
-------------------------------------------------------------------------------------
2,430
-------------------------------------------------------------------------------------
INSURANCE -- 6.5%
10 AMBAC Financial Group, Inc. 701
93 Assurant, Inc. 2,452
30 Cincinnati Financial Corp. 1,297
53 IPC Holdings LTD (Bermuda) 1,943
25 MGIC Investment Corp. 1,897
73 Old Republic International Corp. 1,733
14 PartnerRe LTD (Bermuda) 806
24 Principal Financial Group, Inc. 842
23 SAFECO Corp. 1,025
23 Willis Group Holdings LTD
(United Kingdom) 865
-------------------------------------------------------------------------------------
13,561
-------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
34
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- -------------------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
INTERNET SERVICES/SOFTWARE -- 0.5%
16 CheckFree Corp.* (l) $ 494
16 Netflix, Inc.* 560
-------------------------------------------------------------------------------------
1,054
-------------------------------------------------------------------------------------
MACHINERY & ENGINEERING EQUIPMENT -- 0.4%
23 IDEX Corp. 773
-------------------------------------------------------------------------------------
MANUFACTURING -- 3.5%
12 Carlisle Companies, Inc. 722
19 Cooper Industries LTD, Class A 1,141
40 Crane Co. 1,243
40 Donaldson Co., Inc. (l) 1,184
41 Harsco Corp. 1,924
14 ITT Industries, Inc. 1,129
-------------------------------------------------------------------------------------
7,343
-------------------------------------------------------------------------------------
METALS/MINING -- 0.8%
23 CONSOL Energy, Inc. 842
16 Precision Castparts Corp. 878
-------------------------------------------------------------------------------------
1,720
-------------------------------------------------------------------------------------
MULTI-MEDIA -- 2.1%
19 Gannett Co., Inc. 1,621
9 Knight Ridder, Inc. 634
21 The E.W. Scripps Co., Class A 2,251
-------------------------------------------------------------------------------------
4,506
-------------------------------------------------------------------------------------
OIL & GAS -- 5.0%
19 BJ Services Co.* 853
40 Burlington Resources, Inc. 1,439
31 Devon Energy Corp. 2,032
15 Energen Corp. 701
20 Equitable Resources, Inc. 1,024
29 FMC Technologies, Inc.* 831
19 Nabors Industries LTD (Barbados)* 875
15 Newfield Exploration Co.* 842
32 Premcor, Inc.* 1,204
26 XTO Energy, Inc. 777
-------------------------------------------------------------------------------------
10,578
-------------------------------------------------------------------------------------
PACKAGING -- 0.3%
21 Pactiv Corp.* 526
-------------------------------------------------------------------------------------
PAPER/FOREST PRODUCTS -- 0.9%
24 Plum Creek Timber Co., Inc. $ 779
25 Rayonier, Inc. 1,125
-------------------------------------------------------------------------------------
1,904
-------------------------------------------------------------------------------------
PHARMACEUTICALS -- 3.9%
16 Eon Labs, Inc.* (l) 643
18 ImClone Systems, Inc.* (l) 1,553
21 IVAX Corp.* 512
36 Medicis Pharmaceutical Corp., Class A 1,432
77 NBTY, Inc.* 2,253
13 OSI Pharmaceuticals, Inc.* (l) 944
18 Sepracor, Inc.* (l) 947
-------------------------------------------------------------------------------------
8,284
-------------------------------------------------------------------------------------
PIPELINES -- 1.1%
39 Kinder Morgan, Inc. 2,336
-------------------------------------------------------------------------------------
PRINTING & PUBLISHING -- 0.2%
1 Washington Post Co., Class B 512
-------------------------------------------------------------------------------------
REAL ESTATE -- 1.2%
41 Brookfield Properties Corp. (Canada) 1,170
25 LNR Property Corp. 1,362
-------------------------------------------------------------------------------------
2,532
-------------------------------------------------------------------------------------
REAL ESTATE INVESTMENT TRUST -- 1.2%
18 Kimco Realty Corp. 819
16 PS Business Parks, Inc. 640
21 Public Storage, Inc. 984
-------------------------------------------------------------------------------------
2,443
-------------------------------------------------------------------------------------
RESTAURANTS/FOOD SERVICES -- 2.3%
59 Outback Steakhouse, Inc. 2,423
28 Ruby Tuesday, Inc. 769
25 The Cheesecake Factory, Inc.* 997
16 Yum! Brands, Inc. 588
-------------------------------------------------------------------------------------
4,777
-------------------------------------------------------------------------------------
RETAILING -- 7.9%
23 Abercrombie & Fitch Co., Class A 880
22 Advanced Auto Parts, Inc.* 963
45 Autonation, Inc.* 764
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
35
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- -------------------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
RETAILING -- CONTINUED
33 AutoZone, Inc.* $ 2,650
32 CarMax, Inc.* (l) 691
22 CDW Corp. (l) 1,390
19 Chico's FAS, Inc.* (l) 876
37 Family Dollar Stores, Inc. 1,110
32 Foot Locker, Inc. 787
25 PETsMART, Inc. 808
51 Staples, Inc. 1,504
23 Talbots, Inc. 895
39 The TJX Companies, Inc. 932
29 Tiffany & Co. 1,065
14 Tuesday Morning Corp.* 418
7 Whole Foods Market, Inc.* 714
-------------------------------------------------------------------------------------
16,447
-------------------------------------------------------------------------------------
SEMI-CONDUCTORS -- 3.2%
39 Altera Corp.* 871
19 Broadcom Corp., Class A* 893
22 KLA-Tencor Corp.* 1,081
30 Lam Research Corp.* 795
21 Linear Technology Corp. 825
27 Microchip Technology, Inc. 844
25 Novellus Systems, Inc.* 799
13 Silicon Laboratories, Inc.* 623
-------------------------------------------------------------------------------------
6,731
-------------------------------------------------------------------------------------
TELECOMMUNICATIONS -- 3.7%
29 Adtran, Inc. 964
32 Alltel Corp. 1,605
67 CenturyTel, Inc. 2,004
32 Nextel Communications, Inc., Class A* 842
64 Nextel Partners, Inc., Class A* (l) 1,016
20 Telephone & Data Systems, Inc. 1,388
-------------------------------------------------------------------------------------
7,819
-------------------------------------------------------------------------------------
TELECOMMUNICATIONS EQUIPMENT -- 1.2%
32 Andrew Corp.* 641
61 Corning, Inc.* 803
45 Polycom, Inc.* 1,016
-------------------------------------------------------------------------------------
2,460
-------------------------------------------------------------------------------------
TEXTILES -- 1.2%
35 Mohawk Industries, Inc.* $ 2,592
-------------------------------------------------------------------------------------
TOYS & GAMES -- 0.1%
10 Mattel, Inc. 190
-------------------------------------------------------------------------------------
UTILITIES -- 1.8%
18 Dominion Resources, Inc. 1,160
23 Energy East Corp. 546
29 SCANA Corp. 1,062
28 Sempra Energy 964
-------------------------------------------------------------------------------------
3,732
-------------------------------------------------------------------------------------
Total Common Stocks 204,559
(Cost $163,330)
-------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS -- 2.8%
MONEY MARKET FUND -- 2.8%
5,816 JPMorgan Prime Money Market Fund (a) 5,816
(Cost $5,816)
-------------------------------------------------------------------------------------
TOTAL INVESTMENTS-- 100.0% $ 210,375
(COST $169,146)
-------------------------------------------------------------------------------------
<Caption>
SHARES COLLATERAL INVESTMENTS VALUE
- -------------------------------------------------------------------------------------------------
MONEY MARKET FUNDS (c)
7,669 AIM Short Term Investment Co. $ 7,669
5,317 Barclays Global Investors Prime
Money Market Fund 5,317
-------------------------------------------------------------------------------------
$ 12,986
-------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
36
<Page>
JPMORGAN MID CAP GROWTH FUND
PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2004 (UNAUDITED)
(Amounts in thousands)
<Table>
<Caption>
SHARES ISSUER VALUE
- -------------------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- 97.9%
COMMON STOCKS -- 97.9%
AEROSPACE -- 0.8%
14 Rockwell Collins, Inc. $ 471
-------------------------------------------------------------------------------------
AIRLINES -- 1.0%
34 SkyWest, Inc. (l) 594
-------------------------------------------------------------------------------------
APPAREL -- 1.0%
17 Polo Ralph Lauren Corp. 594
-------------------------------------------------------------------------------------
AUTOMOTIVE -- 2.7%
15 Autoliv, Inc. (Sweden) 627
9 Oshkosh Truck Corp. 504
11 Polaris Industries, Inc. (l) 528
-------------------------------------------------------------------------------------
1,659
-------------------------------------------------------------------------------------
BANKING -- 1.8%
16 BOK Financial Corp.* (l) 627
12 North Fork Bancorporation, Inc. 441
-------------------------------------------------------------------------------------
1,068
-------------------------------------------------------------------------------------
BIOTECHNOLOGY -- 4.0%
15 Biogen Idec, Inc.* 917
12 Genzyme Corp.* 573
14 Gilead Sciences, Inc.* 925
-------------------------------------------------------------------------------------
2,415
-------------------------------------------------------------------------------------
BROADCASTING/CABLE -- 0.8%
16 Univision Communications, Inc., Class A* 512
-------------------------------------------------------------------------------------
BUSINESS SERVICES -- 0.9%
11 Affiliated Computer Services, Inc., Class A* 564
-------------------------------------------------------------------------------------
COMPUTER NETWORKS -- 2.0%
25 Juniper Networks, Inc.* 619
28 Network Appliance, Inc.* 595
-------------------------------------------------------------------------------------
1,214
-------------------------------------------------------------------------------------
COMPUTER SOFTWARE -- 6.1%
15 Adobe Systems, Inc. 675
9 Cognos, Inc. (Canada)* (l) 325
25 Computer Associates International, Inc. 691
10 DST Systems, Inc.* 459
11 Dun & Bradstreet Corp.* $ 609
12 Fiserv, Inc.* 480
9 Mercury Interactive Corp.* 458
-------------------------------------------------------------------------------------
3,697
-------------------------------------------------------------------------------------
COMPUTERS/COMPUTER HARDWARE -- 4.1%
14 Apple Computer, Inc.* 449
5 Lexmark International, Inc., Class A* 478
5 Research In Motion LTD (Canada)* 329
13 Tech Data Corp.* 496
8 Zebra Technologies Corp., Class A* 737
-------------------------------------------------------------------------------------
2,489
-------------------------------------------------------------------------------------
CONSTRUCTION -- 0.9%
12 Lennar Corp., Class A 525
-------------------------------------------------------------------------------------
CONSUMER PRODUCTS -- 1.4%
60 Tempur-Pedic International, Inc.* 834
-------------------------------------------------------------------------------------
ELECTRONICS/ELECTRICAL EQUIPMENT -- 7.9%
38 Amphenol Corp., Class A* 1,258
33 Arrow Electronics, Inc.* 881
14 Fisher Scientific International* (l) 788
26 Flextronics International LTD (Singapore)* 412
18 Jabil Circuit, Inc.* 457
15 Tektronix, Inc. 514
25 Vishay Intertechnology, Inc.* (l) 473
-------------------------------------------------------------------------------------
4,783
-------------------------------------------------------------------------------------
ENTERTAINMENT/LEISURE -- 3.4%
34 Regal Entertainment Group, Class A (l) 613
17 Royal Caribbean Cruises LTD 750
14 Station Casinos, Inc. (l) 690
-------------------------------------------------------------------------------------
2,053
-------------------------------------------------------------------------------------
FINANCIAL SERVICES -- 4.1%
43 AmeriCredit Corp.* 835
52 Ameritrade Holding Corp.* 591
5 Legg Mason, Inc. (l) 473
12 T. Rowe Price Group, Inc. 597
-------------------------------------------------------------------------------------
2,496
-------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
37
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- -------------------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
HEALTH CARE/HEALTH CARE SERVICES -- 10.1%
5 Aetna, Inc. $ 463
9 Bausch & Lomb, Inc. 608
19 Caremark Rx, Inc.* 641
26 DaVita, Inc.* 788
24 Omnicare, Inc. 1,042
6 St. Jude Medical, Inc.* 443
11 WellChoice, Inc.* 443
4 WellPoint Health Networks, Inc.* 420
13 Zimmer Holdings, Inc.* 1,170
-------------------------------------------------------------------------------------
6,018
-------------------------------------------------------------------------------------
HOTELS/OTHER LODGING -- 2.2%
24 Fairmont Hotels & Resorts, Inc. (Canada) 652
38 Hilton Hotels Corp. 705
-------------------------------------------------------------------------------------
1,357
-------------------------------------------------------------------------------------
INSURANCE -- 0.7%
6 AMBAC Financial Group, Inc. 430
-------------------------------------------------------------------------------------
INTERNET SERVICES/SOFTWARE -- 1.0%
9 CheckFree Corp.* 276
9 Netflix, Inc.* 317
-------------------------------------------------------------------------------------
593
-------------------------------------------------------------------------------------
MANUFACTURING -- 3.6%
23 Donaldson Co., Inc. (l) 661
19 Harsco Corp. 897
8 ITT Industries, Inc. 631
-------------------------------------------------------------------------------------
2,189
-------------------------------------------------------------------------------------
METALS/MINING -- 1.6%
13 CONSOL Energy, Inc. 470
9 Precision Castparts Corp. 489
-------------------------------------------------------------------------------------
959
-------------------------------------------------------------------------------------
MULTI-MEDIA -- 0.7%
4 The E.W. Scripps Co., Class A 441
-------------------------------------------------------------------------------------
OIL & GAS -- 3.9%
10 BJ Services Co.* 477
16 FMC Technologies, Inc.* 464
11 Nabors Industries LTD (Barbados)* $ 488
8 Newfield Exploration Co.* 471
15 XTO Energy, Inc. 435
-------------------------------------------------------------------------------------
2,335
-------------------------------------------------------------------------------------
PHARMACEUTICALS -- 6.8%
9 Eon Labs, Inc.* (l) 360
10 ImClone Systems, Inc.* (l) 867
12 IVAX Corp.* 287
20 Medicis Pharmaceutical Corp., Class A 799
26 NBTY, Inc.* (l) 752
8 OSI Pharmaceuticals, Inc.* (l) 528
10 Sepracor, Inc.* (l) 529
-------------------------------------------------------------------------------------
4,122
-------------------------------------------------------------------------------------
RESTAURANTS/FOOD SERVICES -- 2.4%
11 Outback Steakhouse, Inc. 436
16 Ruby Tuesday, Inc. 430
14 The Cheesecake Factory, Inc.* 557
-------------------------------------------------------------------------------------
1,423
-------------------------------------------------------------------------------------
RETAILING -- 9.8%
13 Abercrombie & Fitch Co., Class A 490
12 Advanced Auto Parts, Inc.* 539
18 CarMax, Inc.* (l) 386
12 CDW Corp. (l) 778
11 Chico's FAS, Inc.* (l) 490
18 Foot Locker, Inc. 439
14 PETsMART, Inc. 451
30 Staples, Inc. 869
13 Talbots, Inc. 499
16 Tiffany & Co. 595
4 Whole Foods Market, Inc.* 399
-------------------------------------------------------------------------------------
5,935
-------------------------------------------------------------------------------------
SEMI-CONDUCTORS -- 6.3%
22 Altera Corp.* 487
11 Broadcom Corp., Class A* 503
13 KLA-Tencor Corp.* 621
17 Lam Research Corp.* 445
12 Linear Technology Corp. 462
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
38
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- -------------------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
SEMI-CONDUCTORS -- CONTINUED
15 Microchip Technology, Inc. $ 472
14 Novellus Systems, Inc.* 446
8 Silicon Laboratories, Inc.* 348
-------------------------------------------------------------------------------------
3,784
-------------------------------------------------------------------------------------
TELECOMMUNICATIONS -- 2.6%
16 Adtran, Inc. 539
18 Nextel Communications, Inc., Class A* 471
36 Nextel Partners, Inc., Class A* (l) 567
-------------------------------------------------------------------------------------
1,577
-------------------------------------------------------------------------------------
TELECOMMUNICATIONS EQUIPMENT -- 2.3%
18 Andrew Corp.* (l)358
34 Corning, Inc.* 448
25 Polycom, Inc.* 567
-------------------------------------------------------------------------------------
1,373
-------------------------------------------------------------------------------------
TEXTILES -- 1.0%
8 Mohawk Industries, Inc.* 579
-------------------------------------------------------------------------------------
Total Common Stocks 59,083
(Cost $48,425)
-------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS -- 2.1%
MONEY MARKET FUND -- 2.1%
1,255 JPMorgan Prime Money Market Fund (a) 1,255
(Cost $1,255)
-------------------------------------------------------------------------------------
TOTAL INVESTMENTS-- 100.0% $ 60,338
(COST $49,680)
-------------------------------------------------------------------------------------
MONEY MARKET FUNDS (c)
700 AIM Short Term Investment Co. $ 700
912 Barclays Global Investors Prime
Money Market Fund 912
-------------------------------------------------------------------------------------
1,612
-------------------------------------------------------------------------------------
<Caption>
PRINCIPAL
AMOUNT
(USD)
- -------------------------------------------------------------------------------------------------
REPURCHASE AGREEMENT (c)
$ 8,000 UBS Securities, 1.50%, due 07/01/04,
dated 06/30/04, proceeds $8,000,
secured by U.S. Government
Agency Securities 8,000
-------------------------------------------------------------------------------------
$ 9,612
-------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
39
<Page>
JPMORGAN MID CAP VALUE FUND
PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2004 (UNAUDITED)
(Amounts in thousands)
<Table>
<Caption>
SHARES ISSUER VALUE
- -------------------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- 95.5%
COMMON STOCKS -- 95.5%
AEROSPACE -- 1.6%
815 United Defense Industries, Inc.* $ 28,511
-------------------------------------------------------------------------------------
AGRICULTURAL PRODUCTION/SERVICES -- 0.5%
235 Bunge LTD (l) 9,131
-------------------------------------------------------------------------------------
APPAREL -- 3.9%
607 Columbia Sportswear Co.* (l) 33,132
761 VF Corp. 37,056
-------------------------------------------------------------------------------------
70,188
-------------------------------------------------------------------------------------
AUTOMOTIVE -- 1.6%
309 BorgWarner, Inc. (l) 13,538
361 Genuine Parts Co.14,309
-------------------------------------------------------------------------------------
27,847
-------------------------------------------------------------------------------------
BANKING -- 8.7%
267 Cullen/Frost Bankers, Inc. 11,944
452 M&T Bank Corp. 39,433
857 North Fork Bancorporation, Inc. (l) 32,597
181 TCF Financial Corp. 10,501
376 Webster Financial Corp. 17,675
1,199 Wilmington Trust Corp. 44,620
-------------------------------------------------------------------------------------
156,770
-------------------------------------------------------------------------------------
BUSINESS SERVICES -- 4.2%
180 Affiliated Computer Services, Inc.,
Class A* 9,524
560 Deluxe Corp. 24,360
413 Equifax, Inc. (l) 10,209
631 IMS Health, Inc. (l) 14,781
914 Interactive Data Corp.* (l) 15,924
-------------------------------------------------------------------------------------
74,798
-------------------------------------------------------------------------------------
CHEMICALS -- 2.8%
40 Albemarle Corp. 1,253
444 Sigma-Aldrich Corp. (l) 26,467
536 The Sherwin-Williams Co. 22,279
-------------------------------------------------------------------------------------
49,999
-------------------------------------------------------------------------------------
COMPUTER SOFTWARE -- 1.6%
463 Computer Associates International, Inc. $ 13,000
307 DST Systems, Inc.* (l) 14,769
-------------------------------------------------------------------------------------
27,769
-------------------------------------------------------------------------------------
COMPUTERS/COMPUTER HARDWARE -- 0.8%
143 Lexmark International, Inc., Class A* 13,833
-------------------------------------------------------------------------------------
CONSTRUCTION MATERIALS -- 2.9%
713 Florida Rock Industries, Inc. (l) 30,082
460 Vulcan Materials Co. 21,849
-------------------------------------------------------------------------------------
51,931
-------------------------------------------------------------------------------------
CONSUMER PRODUCTS -- 0.5%
111 Fortune Brands, Inc. 8,350
-------------------------------------------------------------------------------------
DISTRIBUTION -- 0.5%
150 Hughes Supply, Inc. 8,845
-------------------------------------------------------------------------------------
ENVIRONMENTAL SERVICES -- 1.4%
862 Republic Services, Inc. 24,938
-------------------------------------------------------------------------------------
FINANCIAL SERVICES -- 4.9%
141 Charter One Financial, Inc. 6,240
459 Golden West Financial Corp. 48,783
101 H & R Block, Inc. 4,816
148 Legg Mason, Inc. (l) 13,424
271 T. Rowe Price Group, Inc. (l) 13,668
-------------------------------------------------------------------------------------
86,931
-------------------------------------------------------------------------------------
FOOD/BEVERAGE PRODUCTS -- 3.4%
132 Brown-Forman Corp., Class B 6,378
353 Constellation Brands, Inc., Class A* (l) 13,118
323 Dean Foods Co.* 12,066
318 Hormel Foods Corp. 9,884
409 The J.M. Smucker Co. 18,793
-------------------------------------------------------------------------------------
60,239
-------------------------------------------------------------------------------------
HEALTH CARE/HEALTH CARE SERVICES -- 1.6%
109 Coventry Health Care, Inc.* 5,320
479 Lincare Holdings, Inc.* (l) 15,730
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
40
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- -------------------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
HEALTH CARE/HEALTH CARE SERVICES -- CONTINUED
17 Quest Diagnostics, Inc. $ 1,453
57 WellPoint Health Networks, Inc.* 6,396
-------------------------------------------------------------------------------------
28,899
-------------------------------------------------------------------------------------
INSURANCE -- 12.5%
1,650 Assurant, Inc.43,525
506 Cincinnati Financial Corp. (l) 22,000
884 IPC Holdings LTD (Bermuda) 32,661
437 MGIC Investment Corp. (l) 33,128
1,296 Old Republic International Corp. 30,743
231 PartnerRe LTD (Bermuda) 13,076
426 Principal Financial Group, Inc. (l) 14,799
349 SAFECO Corp. 15,365
542 Willis Group Holdings LTD
(United Kingdom) 20,283
-------------------------------------------------------------------------------------
225,580
-------------------------------------------------------------------------------------
MACHINERY & ENGINEERING EQUIPMENT -- 0.6%
337 IDEX Corp. 11,569
-------------------------------------------------------------------------------------
MANUFACTURING -- 3.3%
235 Carlisle Companies, Inc. (l) 14,629
315 Cooper Industries LTD, Class A 18,726
676 Crane Co. 21,207
111 Harsco Corp. 5,198
-------------------------------------------------------------------------------------
59,760
-------------------------------------------------------------------------------------
MULTI-MEDIA -- 3.6%
348 Gannett Co., Inc. 29,502
144 Knight Ridder, Inc. 10,397
233 The E.W. Scripps Co., Class A 24,507
-------------------------------------------------------------------------------------
64,406
-------------------------------------------------------------------------------------
OIL & GAS -- 6.3%
691 Burlington Resources, Inc. 24,993
528 Devon Energy Corp. 34,821
270 Energen Corp. 12,953
327 Equitable Resources, Inc. 16,888
597 Premcor, Inc.* 22,388
-------------------------------------------------------------------------------------
112,043
-------------------------------------------------------------------------------------
PACKAGING -- 0.6%
422 Pactiv Corp.* 10,520
-------------------------------------------------------------------------------------
PAPER/FOREST PRODUCTS -- 1.8%
441 Plum Creek Timber Co., Inc. $ 14,351
407 Rayonier, Inc. (l) 18,113
-------------------------------------------------------------------------------------
32,464
-------------------------------------------------------------------------------------
PHARMACEUTICALS -- 0.8%
476 NBTY, Inc.* (l) 13,978
-------------------------------------------------------------------------------------
PIPELINES -- 2.5%
756 Kinder Morgan, Inc. 44,805
-------------------------------------------------------------------------------------
PRINTING & PUBLISHING -- 0.4%
7 Washington Post Co., Class B 6,510
-------------------------------------------------------------------------------------
REAL ESTATE -- 2.2%
652 Brookfield Properties Corp. (Canada) 18,748
396 LNR Property Corp. (l) 21,477
-------------------------------------------------------------------------------------
40,225
-------------------------------------------------------------------------------------
REAL ESTATE INVESTMENT TRUST -- 2.4%
296 Kimco Realty Corp. (l) 13,468
361 PS Business Parks, Inc. 14,515
345 Public Storage, Inc. (l) 15,850
-------------------------------------------------------------------------------------
43,833
-------------------------------------------------------------------------------------
RESTAURANTS/FOOD SERVICES -- 2.2%
715 Outback Steakhouse, Inc. (l) 29,581
276 Yum! Brands, Inc. 10,258
-------------------------------------------------------------------------------------
39,839
-------------------------------------------------------------------------------------
RETAILING -- 5.7%
801 Autonation, Inc.* 13,699
543 AutoZone, Inc.* 43,470
665 Family Dollar Stores, Inc. 20,214
697 The TJX Companies, Inc. 16,830
246 Tuesday Morning Corp.* 7,146
-------------------------------------------------------------------------------------
101,359
-------------------------------------------------------------------------------------
TELECOMMUNICATIONS -- 4.5%
542 Alltel Corp. 27,411
1,067 CenturyTel, Inc. 32,064
292 Telephone & Data Systems, Inc. (l) 20,798
-------------------------------------------------------------------------------------
80,273
-------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
41
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- -------------------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
TEXTILES -- 1.5%
367 Mohawk Industries, Inc.* $ 26,905
-------------------------------------------------------------------------------------
TOYS & GAMES -- 0.2%
150 Mattel, Inc. 2,734
-------------------------------------------------------------------------------------
UTILITIES -- 3.5%
314 Dominion Resources, Inc. 19,806
360 Energy East Corp. 8,728
475 SCANA Corp. 17,258
501 Sempra Energy 17,246
-------------------------------------------------------------------------------------
63,038
-------------------------------------------------------------------------------------
Total Common Stocks 1,708,820
(Cost $1,536,633)
-------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS -- 4.5%
MONEY MARKET FUND -- 4.5%
81,279 JPMorgan Prime Money Market Fund (a) 81,279
(Cost $81,279)
-------------------------------------------------------------------------------------
TOTAL INVESTMENTS-- 100.0% $ 1,790,099
(COST $1,617,912)
-------------------------------------------------------------------------------------
MONEY MARKET FUNDS (c)
11,116 AIM Short Term Investment Co. $ 11,116
-------------------------------------------------------------------------------------
17,249 Barclays Global Investors Prime
Money Market Fund 17,249
-------------------------------------------------------------------------------------
28,365
-------------------------------------------------------------------------------------
<Caption>
PRINCIPAL
AMOUNT
(USD)
- -------------------------------------------------------------------------------------------------
REPURCHASE AGREEMENT (c)
$ 75,000 REFCO Securities, Inc., 1.60%,
due 07/01/04, dated 06/30/04,
proceeds $75,003, secured by
U.S. Government Agency Securities 75,000
-------------------------------------------------------------------------------------
$ 103,365
-------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
42
<Page>
JPMORGAN SMALL CAP EQUITY FUND
PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2004 (UNAUDITED)
(Amounts in thousands)
<Table>
<Caption>
SHARES ISSUER VALUE
- -------------------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- 98.4%
COMMON STOCKS -- 98.4%
AEROSPACE -- 2.5%
130 Alliant Techsystems, Inc.* $ 8,213
201 Curtiss-Wright Corp. (l) 11,305
-------------------------------------------------------------------------------------
19,518
-------------------------------------------------------------------------------------
APPAREL -- 3.3%
229 Kenneth Cole Productions, Inc., Class A (l) 7,844
384 Quiksilver, Inc.* 9,151
132 Timberland Co., Class A* 8,519
-------------------------------------------------------------------------------------
25,514
-------------------------------------------------------------------------------------
AUTOMOTIVE -- 3.5%
160 Bandag, Inc. 7,125
152 Lithia Motors, Inc., Class A (l) 3,757
135 Oshkosh Truck Corp. 7,742
84 Polaris Industries, Inc. (l) 4,013
115 Winnebago Industries, Inc. (l) 4,291
-------------------------------------------------------------------------------------
26,928
-------------------------------------------------------------------------------------
BANKING -- 7.1%
72 Alabama National Bancorp 3,983
105 Bank of the Ozarks, Inc. (l) 2,440
141 Boston Private Financial Holdings, Inc. (l) 3,275
352 East-West Bancorp, Inc. 10,812
204 Hancock Holding Co. 5,934
204 Hudson United Bancorp 7,605
79 MB Financial, Inc. 2,901
286 Sterling Bancshares, Inc. (l) 4,058
129 The South Financial Group, Inc. 3,659
176 UCBH Holdings, Inc. (l) 6,948
83 Wintrust Financial Corp. 4,187
-------------------------------------------------------------------------------------
55,802
-------------------------------------------------------------------------------------
BIOTECHNOLOGY -- 0.5%
209 Serologicals Corp.* (l) 4,168
-------------------------------------------------------------------------------------
BROADCASTING/CABLE -- 0.5%
405 Sinclair Broadcast Group, Inc., Class A (l) 4,161
-------------------------------------------------------------------------------------
BUSINESS SERVICES -- 2.0%
142 Banta Corp. 6,284
767 MPS Group, Inc.* 9,301
-------------------------------------------------------------------------------------
15,585
-------------------------------------------------------------------------------------
CHEMICALS -- 2.7%
218 Albemarle Corp. $ 6,912
236 Georgia Gulf Corp. 8,474
206 Spartech Corp. 5,345
-------------------------------------------------------------------------------------
20,731
-------------------------------------------------------------------------------------
COMPUTER NETWORKS -- 1.9%
169 Avocent Corp.* 6,191
179 Micros Systems, Inc.* (l) 8,606
-------------------------------------------------------------------------------------
14,797
-------------------------------------------------------------------------------------
COMPUTER SOFTWARE -- 4.7%
246 CACI International, Inc., Class A* 9,956
265 FileNet Corp.* (l) 8,366
141 Hyperion Solutions Corp.* 6,143
292 Intergraph Corp.* 7,538
407 MSC.Software Corp.* (l) 3,639
41 Transaction Systems Architects, Inc.,
Class A* 881
-------------------------------------------------------------------------------------
36,523
-------------------------------------------------------------------------------------
COMPUTERS/COMPUTER HARDWARE -- 1.3%
103 Imation Corp. (l) 4,376
64 Zebra Technologies Corp., Class A* 5,572
-------------------------------------------------------------------------------------
9,948
-------------------------------------------------------------------------------------
CONSUMER PRODUCTS -- 5.9%
189 Church & Dwight Co., Inc. 8,648
322 Fossil, Inc.* 8,778
266 Jarden Corp.* (l) 9,570
111 The Scotts Co., Class A* 7,110
170 Toro Co. 11,932
-------------------------------------------------------------------------------------
46,038
-------------------------------------------------------------------------------------
CONSUMER SERVICES -- 0.8%
136 Regis Corp. 6,064
-------------------------------------------------------------------------------------
DISTRIBUTION -- 1.0%
268 Watsco, Inc. 7,534
-------------------------------------------------------------------------------------
ELECTRONICS/ELECTRICAL EQUIPMENT -- 3.1%
369 Ametek, Inc. 11,402
99 Brady Corp., Class A (l) 4,555
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
43
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- -------------------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
ELECTRONICS/ELECTRICAL EQUIPMENT -- CONTINUED
437 Paxar Corp.* $ 8,528
-------------------------------------------------------------------------------------
24,485
-------------------------------------------------------------------------------------
ENTERTAINMENT/LEISURE -- 2.4%
209 Argosy Gaming Co.* 7,870
409 Boyd Gaming Corp. (l) 10,875
-------------------------------------------------------------------------------------
18,745
-------------------------------------------------------------------------------------
ENVIRONMENTAL SERVICES -- 1.0%
269 Waste Connections, Inc.* (l) 7,988
-------------------------------------------------------------------------------------
FINANCIAL SERVICES -- 1.5%
159 Affiliated Managers Group, Inc.* (l) 7,990
80 Piper Jaffray Companies* 3,609
-------------------------------------------------------------------------------------
11,599
-------------------------------------------------------------------------------------
HEALTH CARE/HEALTH CARE SERVICES -- 10.7%
167 Advanced Medical Optics, Inc.* (l) 7,113
91 AMERIGROUP Corp.* (l) 4,477
195 Cooper Companies, Inc. (l) 12,319
102 Datascope Corp. (l) 4,036
85 Idexx Laboratories, Inc.* (l) 5,325
181 Invacare Corp. (l) 8,108
270 Kindred Healthcare, Inc.* (l) 7,104
133 Ocular Sciences, Inc.* (l) 5,062
765 PSS World Medical, Inc.* 8,562
64 Respironics, Inc.* 3,784
249 Sierra Health Services, Inc.* (l) 11,148
221 Sybron Dental Specialties, Inc.* 6,606
-------------------------------------------------------------------------------------
83,644
-------------------------------------------------------------------------------------
INSURANCE -- 1.5%
71 Philadelphia Consolidated Holding Corp.* 4,247
238 Platinum Underwriters Holdings LTD
(Bermuda) (l) 7,230
-------------------------------------------------------------------------------------
11,477
-------------------------------------------------------------------------------------
MACHINERY & ENGINEERING EQUIPMENT -- 4.6%
272 IDEX Corp. 9,337
91 Kennametal, Inc. 4,145
177 Regal-Beloit Corp. (l) 3,940
240 The Manitowoc Co., Inc. 8,131
177 UNOVA, Inc.* (l) $ 3,578
394 Wabtec Corp. 7,111
-------------------------------------------------------------------------------------
36,242
-------------------------------------------------------------------------------------
MANUFACTURING -- 3.1%
251 Actuant Corp., Class A* (l) 9,786
170 AptarGroup, Inc. 7,419
236 Kaydon Corp. 7,284
-------------------------------------------------------------------------------------
24,489
-------------------------------------------------------------------------------------
METALS/MINING -- 2.4%
100 Century Aluminum Co.* 2,469
151 Cleveland-Cliffs, Inc.* (l) 8,521
247 Commercial Metals Co. 7,999
-------------------------------------------------------------------------------------
18,989
-------------------------------------------------------------------------------------
MULTI-MEDIA -- 0.8%
284 Emmis Communications Corp., Class A* 5,965
-------------------------------------------------------------------------------------
OIL & GAS -- 6.9%
166 Maverick Tube Corp.* (l) 4,364
420 Patina Oil & Gas Corp. 12,542
440 Plains Exploration & Production Co.* 8,078
394 Southwestern Energy Co.* (l) 11,305
227 St. Mary Land & Exploration Co. (l) 8,103
253 Swift Energy Co.* (l) 5,577
170 Varco International, Inc.* 3,728
-------------------------------------------------------------------------------------
53,697
-------------------------------------------------------------------------------------
PAPER/FOREST PRODUCTS -- 0.5%
230 Wausau-Mosinee Paper Corp. 3,974
-------------------------------------------------------------------------------------
PHARMACEUTICALS -- 1.6%
88 Cephalon, Inc.* (l) 4,730
242 Medicines Co.* 7,369
-------------------------------------------------------------------------------------
12,099
-------------------------------------------------------------------------------------
REAL ESTATE -- 0.8%
225 Jones Lang LaSalle, Inc.* (l) 6,108
-------------------------------------------------------------------------------------
REAL ESTATE INVESTMENT TRUST -- 0.8%
104 Alexandria Real Estate Equities, Inc. 5,928
-------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
44
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- -------------------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
RESTAURANTS/FOOD SERVICES -- 2.6%
144 Applebee's International, Inc. $ 3,322
321 Lone Star Steakhouse & Saloon 8,730
173 Luby's, Inc.* 1,196
249 Papa John's International, Inc.* (l) 7,353
-------------------------------------------------------------------------------------
20,601
-------------------------------------------------------------------------------------
RETAILING -- 4.0%
268 AnnTaylor Stores Corp.* 7,767
90 Chico's FAS, Inc.* (l) 4,051
165 Genesco, Inc.* (l) 3,891
187 Men's Wearhouse, Inc.* (l) 4,930
183 School Specialty, Inc.* (l) 6,639
122 The Finish Line, Inc., Class A* 3,669
-------------------------------------------------------------------------------------
30,947
-------------------------------------------------------------------------------------
SEMI-CONDUCTORS -- 4.9%
497 ANADIGICS, Inc.* (l) 2,564
695 Axcelis Technologies, Inc.* 8,645
716 Cirrus Logic, Inc.* (l) 4,304
89 Cymer, Inc.* 3,340
387 FSI International, Inc.* (l) 3,019
111 International Rectifier Corp.* 4,577
198 Standard Microsystems Corp.* 4,610
188 Varian Semiconductor Equipment
Associates, Inc.* 7,230
-------------------------------------------------------------------------------------
38,289
-------------------------------------------------------------------------------------
SHIPPING/TRANSPORTATION -- 1.1%
165 UTI Worldwide, Inc. (Virgin Islands) 8,683
-------------------------------------------------------------------------------------
TELECOMMUNICATIONS EQUIPMENT -- 1.3%
283 CommScope, Inc.* (l) 6,079
164 Inter-Tel, Inc. (l) 4,085
-------------------------------------------------------------------------------------
10,164
-------------------------------------------------------------------------------------
TRANSPORTATION -- 3.2%
193 Arkansas Best Corp. (l) 6,354
296 EGL, Inc.* (l) 7,871
210 Landstar System, Inc.* 11,123
-------------------------------------------------------------------------------------
25,348
-------------------------------------------------------------------------------------
UTILITIES -- 1.9%
136 American States Water Co. (l) $ 3,160
247 Aqua America, Inc. (l) 4,942
121 Atmos Energy Corp. (l) 3,085
96 New Jersey Resources Corp. (l) 4,000
-------------------------------------------------------------------------------------
15,187
-------------------------------------------------------------------------------------
Total Common Stocks 767,959
(Cost $582,525)
-------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS -- 1.6%
MONEY MARKET FUND -- 1.6%
12,546 JPMorgan Prime Money Market Fund (a) 12,546
(Cost $12,546)
-------------------------------------------------------------------------------------
TOTAL INVESTMENTS-- 100.0% $ 780,505
(COST $595,071)
-------------------------------------------------------------------------------------
<Caption>
SHARES COLLATERAL INVESTMENTS VALUE
- -------------------------------------------------------------------------------------------------
MONEY MARKET FUNDS (c)
21,557 AIM Short Term Investment Co. $ 21,557
5,403 Barclays Global Investors Prime
Money Market Fund 5,403
-------------------------------------------------------------------------------------
26,960
-------------------------------------------------------------------------------------
<Caption>
PRINCIPAL
AMOUNT
(USD)
- -------------------------------------------------------------------------------------------------
REPURCHASE AGREEMENT (c)
$ 114,000 Lehman Brothers Inc., 1.48%,
due 07/01/04, dated 06/30/04,
proceeds $114,004, secured by
U.S. Government Agency Securities 114,000
-------------------------------------------------------------------------------------
$ 140,960
-------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
45
<Page>
JPMORGAN SMALL CAP GROWTH FUND
PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2004 (UNAUDITED)
(Amounts in thousands)
<Table>
<Caption>
SHARES ISSUER VALUE
- -------------------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- 99.3%
COMMON STOCKS -- 99.3%
AIRLINES -- 2.0%
3 Republic Airways Holdings, Inc.* $ 42
3 SkyWest, Inc. 55
-------------------------------------------------------------------------------------
97
-------------------------------------------------------------------------------------
APPLIANCES & HOUSEHOLD DURABLES -- 0.9%
5 Jacuzzi Brands, Inc.* 41
-------------------------------------------------------------------------------------
AUTOMOTIVE -- 0.9%
1 Winnebago Industries, Inc. (l) 45
-------------------------------------------------------------------------------------
BANKING -- 2.7%
1 East-West Bancorp, Inc. 37
1 MB Financial, Inc. 47
1 Texas Regional Bancshares, Inc., Class A (l) 46
-------------------------------------------------------------------------------------
130
-------------------------------------------------------------------------------------
BIOTECHNOLOGY -- 2.2%
1 Cytokinetics, Inc.* 21
4 Encysive Pharmaceuticals, Inc.* 32
3 Incyte Genomics, Inc.* (l) 24
1 Telik, Inc.* 26
-------------------------------------------------------------------------------------
103
-------------------------------------------------------------------------------------
BROADCASTING/CABLE -- 0.6%
1 Salem Communications Corp., Class A* 31
-------------------------------------------------------------------------------------
BUSINESS SERVICES -- 1.6%
2 Alliance Data Systems Corp.* 74
-------------------------------------------------------------------------------------
COMPUTER SOFTWARE -- 9.3%
7 Aspen Technology, Inc.* 49
2 DSP Group, Inc.* 49
3 Epicor Software Corp.* 46
1 Hyperion Solutions Corp.* 52
7 Lawson Software, Inc.* (l) 49
2 Packeteer, Inc.* 40
3 Serena Software, Inc.* (l) 50
2 Verint Systems, Inc.* 64
3 Witness Systems, Inc.* 41
-------------------------------------------------------------------------------------
440
-------------------------------------------------------------------------------------
COMPUTERS/COMPUTER HARDWARE -- 2.7%
2 Electronics for Imaging, Inc.* (l) $ 67
2 Tech Data Corp.* 62
-------------------------------------------------------------------------------------
129
-------------------------------------------------------------------------------------
CONSTRUCTION -- 0.7%
4 Champion Enterprises, Inc.* 34
-------------------------------------------------------------------------------------
CONSUMER SERVICES -- 4.6%
4 Jackson Hewitt Tax Service, Inc.* (l) 63
1 Laureate Education, Inc.* 46
2 Ritchie Bros. Auctioneers, Inc. (Canada) (l) 49
2 Startek, Inc. 61
-------------------------------------------------------------------------------------
219
-------------------------------------------------------------------------------------
ELECTRONICS/ELECTRICAL EQUIPMENT -- 1.6%
4 Integrated Electrical Services, Inc.* 29
4 TTM Technologies, Inc.* 45
-------------------------------------------------------------------------------------
74
-------------------------------------------------------------------------------------
ENTERTAINMENT/LEISURE -- 6.1%
2 Boyd Gaming Corp. 40
1 Carmike Cinemas, Inc.* 47
2 Gaylord Entertainment Co.* (l) 47
2 K2, Inc.* 36
4 LIFE TIME FITNESS, Inc.* 74
2 Scientific Games Corp., Class A* 47
-------------------------------------------------------------------------------------
291
-------------------------------------------------------------------------------------
FINANCIAL SERVICES -- 2.8%
1 Affiliated Managers Group, Inc.* (l) 60
1 Greenhill & Co., Inc.* 24
1 National Financial Partners Corp. 51
-------------------------------------------------------------------------------------
135
-------------------------------------------------------------------------------------
HEALTH CARE/HEALTH CARE SERVICES -- 12.3%
2 Abaxis, Inc.* (l) 34
1 Cooper Companies, Inc. (l) 69
2 Covance, Inc.* 66
1 Kyphon, Inc.* (l) 38
3 Psychiatric Solutions, Inc.* (l) 64
1 Sunrise Assisted Living, Inc.* (l) 44
4 TriPath Imaging, Inc.* (l) 35
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
46
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- -------------------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
HEALTH CARE/HEALTH CARE SERVICES -- CONTINUED
2 United Surgical Partners International, Inc.* (l) $ 60
1 VCA Antech, Inc.* 57
1 Ventana Medical Systems, Inc.* (l) 45
2 Wright Medical Group, Inc.* 68
-------------------------------------------------------------------------------------
580
-------------------------------------------------------------------------------------
INSURANCE -- 2.2%
2 Infinity Property & Casualty Corp. 54
2 ProAssurance Corp.* (l) 53
-------------------------------------------------------------------------------------
107
-------------------------------------------------------------------------------------
INTERNET SERVICES/SOFTWARE -- 1.8%
2 Equinix, Inc.* (l) 51
7 Mindspeed Technologies, Inc.* (l) 37
-------------------------------------------------------------------------------------
88
-------------------------------------------------------------------------------------
MANUFACTURING -- 0.9%
5 General Cable Corp.* (l) 42
-------------------------------------------------------------------------------------
METALS/MINING -- 1.2%
2 Arch Coal, Inc. (l) 58
-------------------------------------------------------------------------------------
MULTI-MEDIA -- 1.4%
5 Gray Television, Inc. 66
-------------------------------------------------------------------------------------
OFFICE/BUSINESS EQUIPMENT -- 1.3%
2 Global Imaging Systems, Inc.* 60
-------------------------------------------------------------------------------------
OIL & GAS -- 4.4%
1 Headwaters, Inc.* (l) 34
1 Newfield Exploration Co.* 57
2 Unit Corp.* 62
2 Universal Compression Holding, Inc.* 58
-------------------------------------------------------------------------------------
211
-------------------------------------------------------------------------------------
PHARMACEUTICALS -- 8.3%
1 Able Laboratories, Inc.* (l) 27
2 Adolor Corp.* (l) 22
2 Alkermes, Inc.* 23
1 AtheroGenics, Inc.* 26
1 Connetics Corp.* 21
3 Cubist Pharmaceuticals, Inc.* (l) $ 31
2 CV Therapeutics, Inc.* (l) 29
2 Cypress Bioscience, Inc.* 33
3 Discovery Laboratories, Inc.* (l) 29
2 Nabi Biopharmaceuticals* 28
2 NBTY, Inc.* 56
0^^ Onyx Pharmaceuticals, Inc.* 19
0^^ Pharmion Corp.* 15
1 Taro Pharmaceutical Industries LTD (Israel)* 22
1 United Therapeutics Corp.* 17
-------------------------------------------------------------------------------------
398
-------------------------------------------------------------------------------------
REAL ESTATE INVESTMENT TRUST -- 1.2%
1 American Financial Realty Trust (l) 20
2 Global Signal, Inc. 37
-------------------------------------------------------------------------------------
57
-------------------------------------------------------------------------------------
RESTAURANTS/FOOD SERVICES -- 2.0%
4 CKE Restaurants, Inc.* (l) 57
1 Ruby Tuesday, Inc. 39
-------------------------------------------------------------------------------------
96
-------------------------------------------------------------------------------------
RETAILING -- 6.7%
2 Aeropostale, Inc.* 46
1 CDW Corp. (l) 43
2 Genesco, Inc.* (l) 54
1 Guitar Center, Inc.* 47
2 Pacific Sunwear of California, Inc.* 32
2 PETCO Animal Supplies, Inc.* 52
1 Urban Outfitters, Inc.* (l) 46
-------------------------------------------------------------------------------------
320
-------------------------------------------------------------------------------------
SEMI-CONDUCTORS -- 7.0%
3 Artisan Components, Inc.* (l) 64
3 Axcelis Technologies, Inc.* 42
3 Credence Systems Corp.* (l) 45
1 Cymer, Inc.* 45
4 Entegris, Inc.* (l) 49
5 Mattson Technology, Inc.* 63
5 Staktek Holdings, Inc.* 28
-------------------------------------------------------------------------------------
336
-------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
47
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- -------------------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
SHIPPING/TRANSPORTATION -- 1.1%
1 UTI Worldwide, Inc. (Virgin Islands) $ 54
-------------------------------------------------------------------------------------
TELECOMMUNICATIONS -- 6.1%
5 Aeroflex, Inc.* 76
3 Atheros Communications, Inc.* (l) 32
10 LCC International, Inc.* 48
5 Nextel Partners, Inc., Class A* 74
3 Tekelec* 60
-------------------------------------------------------------------------------------
290
-------------------------------------------------------------------------------------
TELECOMMUNICATIONS EQUIPMENT -- 1.7%
4 C-COR.net Corp.* 37
2 Inter-Tel, Inc. 45
-------------------------------------------------------------------------------------
82
-------------------------------------------------------------------------------------
TRANSPORTATION -- 1.0%
2 Sirva, Inc.* 49
-------------------------------------------------------------------------------------
Total Common Stocks 4,737
(Cost $3,849)
-------------------------------------------------------------------------------------
MONEY MARKET FUND -- 0.7%
33 JPMorgan Prime Money Market Fund (a) $ 33
(Cost $33)
-------------------------------------------------------------------------------------
TOTAL INVESTMENTS-- 100.0% $ 4,770
(COST $3,882)
-------------------------------------------------------------------------------------
<Caption>
SHARES COLLATERAL INVESTMENTS VALUE
- -------------------------------------------------------------------------------------------------
MONEY MARKET FUNDS (c)
147 AIM Short Term Investment Co. $ 147
100 Barclays Global Investors Prime
Money Market Fund 100
-------------------------------------------------------------------------------------
247
-------------------------------------------------------------------------------------
<Caption>
PRINCIPAL
AMOUNT
(USD)
- -------------------------------------------------------------------------------------------------
REPURCHASE AGREEMENT (c)
$ 877 Nomura Securities, 1.55%, due 07/01/04,
dated 06/30/04, proceeds $877, secured
by U.S. Government Agency Securities 877
-------------------------------------------------------------------------------------
$ 1,124
-------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
48
<Page>
JPMORGAN TRUST SMALL CAP EQUITY FUND
PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2004 (UNAUDITED)
(Amounts in thousands)
<Table>
<Caption>
SHARES ISSUER VALUE
- -------------------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- 98.8%
COMMON STOCKS -- 98.8%
ADVERTISING -- 0.6%
91 Thomas Nelson, Inc. $ 2,065
-------------------------------------------------------------------------------------
AEROSPACE -- 2.2%
62 Alliant Techsystems, Inc.* 3,900
73 Curtiss-Wright Corp. (l) 4,091
-------------------------------------------------------------------------------------
7,991
-------------------------------------------------------------------------------------
APPAREL -- 2.9%
115 Kenneth Cole Productions, Inc., Class A 3,924
188 Quiksilver, Inc.* 4,484
34 Timberland Co., Class A* 2,215
-------------------------------------------------------------------------------------
10,623
-------------------------------------------------------------------------------------
AUTOMOTIVE -- 2.4%
68 Oshkosh Truck Corp. 3,919
55 Polaris Industries, Inc. 2,650
53 Winnebago Industries, Inc. (l) 1,980
-------------------------------------------------------------------------------------
8,549
-------------------------------------------------------------------------------------
BANKING -- 6.5%
54 Bank of the Ozarks, Inc. (l) 1,258
73 Boston Private Financial Holdings, Inc. (l) 1,695
49 Cathay General Bancorp (l) 3,282
148 East-West Bancorp, Inc. 4,544
101 Hudson United Bancorp 3,754
42 MB Financial, Inc. 1,551
67 The South Financial Group, Inc. 1,907
89 UCBH Holdings, Inc. (l) 3,498
43 Wintrust Financial Corp. (l) 2,162
-------------------------------------------------------------------------------------
23,651
-------------------------------------------------------------------------------------
BIOTECHNOLOGY -- 0.5%
95 Serologicals Corp.* (l) 1,901
-------------------------------------------------------------------------------------
BROADCASTING/CABLE -- 0.5%
190 Sinclair Broadcast Group, Inc., Class A (l) 1,947
-------------------------------------------------------------------------------------
BUSINESS SERVICES -- 2.0%
64 Banta Corp. 2,842
365 MPS Group, Inc.* 4,420
-------------------------------------------------------------------------------------
7,262
-------------------------------------------------------------------------------------
CHEMICALS -- 2.7%
113 Albemarle Corp. $ 3,570
118 Georgia Gulf Corp. (l) 4,228
78 Spartech Corp. 2,016
-------------------------------------------------------------------------------------
9,814
-------------------------------------------------------------------------------------
COMPUTER NETWORKS -- 1.9%
67 Avocent Corp.* 2,458
91 Micros Systems, Inc.* (l) 4,356
-------------------------------------------------------------------------------------
6,814
-------------------------------------------------------------------------------------
COMPUTER SOFTWARE -- 4.1%
85 CACI International, Inc., Class A* 3,437
131 FileNet Corp.* (l) 4,145
71 Hyperion Solutions Corp.* 3,122
145 Intergraph Corp.* 3,742
22 Transaction Systems Architects, Inc.,
Class A* 469
-------------------------------------------------------------------------------------
14,915
-------------------------------------------------------------------------------------
COMPUTERS/COMPUTER HARDWARE -- 2.7%
145 Electronics for Imaging, Inc.* (l) 4,095
53 Imation Corp. (l) 2,237
40 Zebra Technologies Corp., Class A* 3,515
-------------------------------------------------------------------------------------
9,847
-------------------------------------------------------------------------------------
CONSTRUCTION MATERIALS -- 0.7%
75 NCI Building Systems, Inc.* 2,425
-------------------------------------------------------------------------------------
CONSUMER PRODUCTS -- 6.0%
70 Church & Dwight Co., Inc. 3,223
152 Fossil, Inc.* 4,149
136 Jarden Corp.* 4,902
57 The Scotts Co., Class A* 3,628
84 Toro Co. (l) 5,886
-------------------------------------------------------------------------------------
21,788
-------------------------------------------------------------------------------------
CONSUMER SERVICES -- 0.9%
69 Regis Corp. 3,095
-------------------------------------------------------------------------------------
ELECTRONICS/ELECTRICAL EQUIPMENT -- 3.7%
177 Ametek, Inc. 5,472
56 Benchmark Electronics, Inc.* 1,633
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
49
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- -------------------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
ELECTRONICS/ELECTRICAL EQUIPMENT -- CONTINUED
49 Brady Corp., Class A (l) $ 2,245
211 Paxar Corp.* 4,123
-------------------------------------------------------------------------------------
13,473
-------------------------------------------------------------------------------------
ENTERTAINMENT/LEISURE -- 2.6%
108 Argosy Gaming Co.* 4,050
197 Boyd Gaming Corp. (l) 5,231
-------------------------------------------------------------------------------------
9,281
-------------------------------------------------------------------------------------
ENVIRONMENTAL SERVICES -- 0.6%
70 Waste Connections, Inc.* 2,082
-------------------------------------------------------------------------------------
FINANCIAL SERVICES -- 1.7%
82 Affiliated Managers Group, Inc.* (l) 4,140
41 Piper Jaffray Companies* (l) 1,841
-------------------------------------------------------------------------------------
5,981
-------------------------------------------------------------------------------------
HEALTH CARE/HEALTH CARE SERVICES -- 11.2%
86 Advanced Medical Optics, Inc.* (l) 3,648
63 AMERIGROUP Corp.* (l) 3,075
88 Cooper Companies, Inc. (l) 5,527
41 Idexx Laboratories, Inc.* (l) 2,555
91 Invacare Corp. (l) 4,087
142 Kindred Healthcare, Inc.* (l) 3,736
372 PSS World Medical, Inc.* (l) 4,170
38 Respironics, Inc.* 2,238
126 Sierra Health Services, Inc.* (l) 5,611
52 Sunrise Assisted Living, Inc.* (l) 2,039
136 Sybron Dental Specialties, Inc.* (l) 4,069
-------------------------------------------------------------------------------------
40,755
-------------------------------------------------------------------------------------
INSURANCE -- 2.2%
36 Philadelphia Consolidated Holding Corp.* 2,157
120 Platinum Underwriters Holdings LTD
(Bermuda) 3,648
68 ProAssurance Corp.* (l) 2,326
-------------------------------------------------------------------------------------
8,131
-------------------------------------------------------------------------------------
MACHINERY & ENGINEERING EQUIPMENT -- 4.6%
138 IDEX Corp. 4,730
46 Kennametal, Inc. 2,125
120 The Manitowoc Co., Inc. 4,072
53 Thomas Industries, Inc. $ 1,743
211 Wabtec Corp. 3,799
-------------------------------------------------------------------------------------
16,469
-------------------------------------------------------------------------------------
MANUFACTURING -- 3.4%
123 Actuant Corp., Class A* (l) 4,807
88 AptarGroup, Inc. 3,832
119 Kaydon Corp. (l) 3,687
-------------------------------------------------------------------------------------
12,326
-------------------------------------------------------------------------------------
METALS/MINING -- 0.6%
67 Commercial Metals Co. 2,168
-------------------------------------------------------------------------------------
MULTI-MEDIA -- 1.3%
143 Emmis Communications Corp., Class A* 2,996
123 Gray Television, Inc. 1,703
-------------------------------------------------------------------------------------
4,699
-------------------------------------------------------------------------------------
OIL & GAS -- 6.9%
69 Holly Corp. 2,569
84 Maverick Tube Corp.* (l) 2,208
140 Patina Oil & Gas Corp. 4,188
227 Plains Exploration & Production Co.* 4,165
195 Southwestern Energy Co.* 5,580
143 St. Mary Land & Exploration Co. (l) 5,088
68 Swift Energy Co.* (l) 1,491
-------------------------------------------------------------------------------------
25,289
-------------------------------------------------------------------------------------
PHARMACEUTICALS -- 1.6%
44 Cephalon, Inc.* (l) 2,376
115 Medicines Co.* (l) 3,515
-------------------------------------------------------------------------------------
5,891
-------------------------------------------------------------------------------------
REAL ESTATE INVESTMENT TRUST -- 0.5%
67 AMLI Residential Properties Trust 1,954
-------------------------------------------------------------------------------------
RESTAURANTS/FOOD SERVICES -- 2.7%
78 Applebee's International, Inc. 1,792
150 Lone Star Steakhouse & Saloon 4,087
128 Papa John's International, Inc.* (l) 3,766
-------------------------------------------------------------------------------------
9,645
-------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
50
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- -------------------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
RETAILING -- 6.6%
158 Aaron Rents, Inc. $ 5,246
100 AnnTaylor Stores Corp.* 2,891
120 Charlotte Russe Holding, Inc.* 2,563
42 Chico's FAS, Inc.* (l) 1,888
100 Men's Wearhouse, Inc.* (l) 2,626
97 School Specialty, Inc.* (l) 3,515
61 The Finish Line, Inc., Class A* (l) 1,840
118 West Marine, Inc.* (l) 3,168
-------------------------------------------------------------------------------------
23,737
-------------------------------------------------------------------------------------
SEMI-CONDUCTORS -- 4.8%
250 ANADIGICS, Inc.* (l) 1,290
356 Axcelis Technologies, Inc.* 4,431
359 Cirrus Logic, Inc.* (l) 2,160
195 FSI International, Inc.* (l) 1,520
56 International Rectifier Corp.* 2,299
100 Standard Microsystems Corp.* 2,320
89 Varian Semiconductor Equipment
Associates, Inc.* (l) 3,432
-------------------------------------------------------------------------------------
17,452
-------------------------------------------------------------------------------------
SHIPPING/TRANSPORTATION -- 1.2%
81 UTI Worldwide, Inc. (Virgin Islands) 4,263
-------------------------------------------------------------------------------------
TELECOMMUNICATIONS EQUIPMENT -- 1.4%
146 CommScope, Inc.* (l) 3,121
73 Inter-Tel, Inc. (l) 1,825
-------------------------------------------------------------------------------------
4,946
-------------------------------------------------------------------------------------
TRANSPORTATION -- 3.1%
99 Arkansas Best Corp. (l) 3,256
90 EGL, Inc.* (l) 2,394
103 Landstar System, Inc.* 5,461
-------------------------------------------------------------------------------------
11,111
-------------------------------------------------------------------------------------
UTILITIES -- 1.5%
36 Atmos Energy Corp. (l) $ 916
155 Avista Corp. 2,854
36 New Jersey Resources Corp. (l) 1,484
-------------------------------------------------------------------------------------
5,254
-------------------------------------------------------------------------------------
Total Common Stocks 357,594
(Cost $268,901)
-------------------------------------------------------------------------------------
MONEY MARKET FUND -- 1.2%
4,242 JPMorgan Prime Money Market Fund (a) 4,242
(Cost $4,242)
-------------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100.0% $ 361,836
(COST $273,143)
-------------------------------------------------------------------------------------
<Caption>
SHARES COLLATERAL INVESTMENTS VALUE
- -------------------------------------------------------------------------------------------------
MONEY MARKET FUNDS (c)
14,000 AIM Short Term Investment Co. $ 14,000
14,806 Barclays Global Investors Prime
Money Market Fund 14,806
-------------------------------------------------------------------------------------
28,806
-------------------------------------------------------------------------------------
<Caption>
PRINCIPAL
AMOUNT
(USD)
- -------------------------------------------------------------------------------------------------
REPURCHASE AGREEMENT (c)
$ 61,000 Credit Suisse First Boston LLC, 1.51%,
due 07/01/04, dated 06/30/04,
proceeds $61,003, secured by
U.S. Government Agency Securities 61,000
-------------------------------------------------------------------------------------
$ 89,806
-------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
51
<Page>
JPMORGAN U.S. SMALL COMPANY FUND
PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2004 (UNAUDITED)
(Amounts in thousands)
<Table>
<Caption>
SHARES ISSUER VALUE
- -------------------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- 98.5%
COMMON STOCKS -- 98.3%
ADVERTISING -- 0.4%
4 ADVO, Inc. $ 145
11 aQuantive, Inc.* 106
4 Catalina Marketing Corp.* 68
13 R.H. Donnelley Corp.* 581
-------------------------------------------------------------------------------------
900
-------------------------------------------------------------------------------------
AEROSPACE -- 1.8%
23 Aviall, Inc.* 439
3 Curtiss-Wright Corp. 174
24 Esterline Technologies Corp.* 718
10 HEICO Corp. 188
13 Kaman Corp., Class A 183
22 Moog, Inc., Class A* 831
36 Orbital Sciences Corp.* 490
35 Triumph Group, Inc.* 1,116
-------------------------------------------------------------------------------------
4,139
-------------------------------------------------------------------------------------
AGRICULTURAL PRODUCTION/SERVICES -- 0.1%
10 Standard Commercial Corp. 186
-------------------------------------------------------------------------------------
AIRLINES -- 0.9%
3 Atlantic Coast Airlines Holdings, Inc.* 14
1 Continental Airlines, Inc., Class B* 11
58 Delta Air Lines, Inc.* 416
53 ExpressJet Holdings, Inc.* 643
30 Mesa Air Group, Inc.* 246
3 Northwest Airlines Corp.* 34
37 SkyWest, Inc. 650
-------------------------------------------------------------------------------------
2,014
-------------------------------------------------------------------------------------
APPAREL -- 1.1%
6 DHB Industries, Inc.* 85
12 Kellwood Co. 540
13 Kenneth Cole Productions, Inc., Class A 446
27 Quiksilver, Inc.* 633
47 Tommy Hilfiger Corp. (Hong Kong)* 710
11 Vans, Inc.* 216
-------------------------------------------------------------------------------------
2,630
-------------------------------------------------------------------------------------
APPLIANCES & HOUSEHOLD DURABLES -- 0.6%
15 Furniture Brands International, Inc. 376
128 Jacuzzi Brands, Inc.* 1,031
-------------------------------------------------------------------------------------
1,407
-------------------------------------------------------------------------------------
AUTOMOTIVE -- 1.4%
27 ArvinMeritor, Inc. $ 529
8 Bandag, Inc. 338
23 Collins & Aikman Corp.* 130
15 Lithia Motors, Inc., Class A 361
6 Sonic Automotive, Inc. 137
25 Tenneco Automotive, Inc.* 324
22 Tower Automotive, Inc.* 81
72 Visteon Corp. 844
11 Wabash National Corp.* 314
4 Winnebago Industries, Inc. 130
-------------------------------------------------------------------------------------
3,188
-------------------------------------------------------------------------------------
BANKING -- 8.4%
4 ABC Bancorp 77
10 Amcore Financial, Inc. 299
2 AmericanWest Bancorp* 40
1 Bancfirst Corp. 66
4 Bank of the Ozarks, Inc. 96
62 BankAtlantic Bancorp, Inc., Class A 1,141
2 Capital Corp of the West 66
8 Capitol Bancorp LTD 200
4 Center Financial Corp. 62
11 Central Pacific Financial Corp. 308
5 Chemical Financial Corp. 166
3 City Holding Co. 107
5 City National Corp. 319
7 Columbia Banking Systems, Inc. 153
6 Commercial Capital Bancorp, Inc.* 102
57 Community Bank System, Inc. 1,302
5 Community Trust Bancorp, Inc. 140
22 Corus Bankshares, Inc. 897
6 Dime Community Bancshares 108
17 First Bancorp (Puerto Rico) 705
0^^ First Citizens Banc Corp. 6
7 First Niagara Financial Group, Inc. 87
3 First Republic Bank 116
23 First State Bancorporation 701
23 Flagstar Bancorp, Inc. 449
0^^ Fulton Financial Corp. 4
6 Glacier Bancorp, Inc. 180
20 Gold Banc Corp., Inc. 310
12 Greater Bay Bancorp 344
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
52
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- -------------------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
BANKING -- CONTINUED
12 Hudson River Bancorp $ 201
6 Humboldt Bancorp 125
8 IBERIABANK Corp. 456
15 Independent Bank Corp. 381
1 International Bancshares Corp. 55
31 Irwin Financial Corp. 810
2 Macatawa Bank Corp. 47
8 MB Financial, Inc. 283
7 Mercantile Bank Corp. 262
7 Nara Bancorp, Inc. 125
31 NetBank, Inc. 341
11 Oriental Financial Group, Inc. (Puerto Rico) 298
3 Peoples Bancorp, Inc. 90
26 PrivateBancorp, Inc. 703
30 Provident Bancorp, Inc. 340
53 R&G Financial Corp. (Puerto Rico), Class B 1,767
20 Republic Bancorp, Inc. 274
1 Republic Bancorp, Inc., Class A 26
15 Santander BanCorp (Puerto Rico) 376
2 Second Bancorp, Inc. 63
3 Simmons First National Corp., Class A 86
3 Southwest Bancorp, Inc. 46
2 State Financial Services Corp., Class A 47
6 Sterling Bancorp 157
34 Sterling Bancshares, Inc. 485
11 Sterling Financial Corp.* 362
2 Summit Bancshares, Inc. 49
5 Sun Bancorp, Inc.* 115
2 Taylor Capital Group, Inc. 33
3 TriCo Bancshares 64
52 W Holding Co., Inc. (Puerto Rico) 887
28 West Coast Bancorp 591
18 Westamerica Bancorporation 929
2 Western Sierra Bancorp* 46
5 Wintrust Financial Corp. 227
-------------------------------------------------------------------------------------
19,698
-------------------------------------------------------------------------------------
BIOTECHNOLOGY -- 2.5%
10 Abgenix, Inc.* 111
14 Aksys LTD* 80
3 Albany Molecular Research, Inc.* 36
5 Alexion Pharmaceuticals, Inc.* 100
10 Applera Corp. - Celera Genomics Group* $ 120
31 Ariad Pharmaceuticals, Inc.* 234
1 Bio-Rad Laboratories, Inc., Class A* 82
13 Cell Genesys, Inc.* 133
36 Cytogen Corp.* 574
32 Cytokinetics, Inc.* 468
7 Diversa Corp.* 75
72 Encysive Pharmaceuticals, Inc.* 610
10 Enzon Pharmaceuticals, Inc.* 124
4 Exelixis, Inc.* 38
234 Genelabs Technologies* 541
18 Human Genome Sciences, Inc.* 209
71 Incyte Genomics, Inc.* 539
9 Integra LifeSciences Holdings Corp.* 324
16 Maxygen, Inc.* 172
25 Regeneration Technologies, Inc.* 270
27 Seattle Genetics, Inc.* 190
26 Telik, Inc.* 613
8 Transkaryotic Therapies, Inc.* 120
-------------------------------------------------------------------------------------
5,763
-------------------------------------------------------------------------------------
BROADCASTING/CABLE -- 0.4%
48 Charter Communications, Inc., Class A* 187
40 Mediacom Communications Corp., Class A* 312
14 Saga Communications, Inc., Class A* 263
7 Sinclair Broadcast Group, Inc., Class A 73
-------------------------------------------------------------------------------------
835
-------------------------------------------------------------------------------------
BUSINESS SERVICES -- 1.9%
4 Banta Corp. 169
11 CSG Systems International, Inc.* 230
9 Digital River, Inc.* 277
18 Dollar Thrifty Automotive Group, Inc.* 505
40 Gartner, Inc., Class A* 533
2 Gevity HR, Inc. 55
10 Harris Interactive, Inc.* 69
22 Labor Ready, Inc.* 335
15 Metris Companies, Inc.* 130
23 Navigant Consulting Co.* 495
4 Parexel International Corp.* 69
8 PDI, Inc.* 255
11 Pre-Paid Legal Services, Inc.* 257
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
53
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- -------------------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
BUSINESS SERVICES -- CONTINUED
12 Quanta Services, Inc.* $ 74
46 Spherion Corp.* 471
33 TeleTech Holdings, Inc.* 293
9 Tyler Technologies, Inc.* 85
2 Valassis Communications, Inc.* 49
-------------------------------------------------------------------------------------
4,351
-------------------------------------------------------------------------------------
CHEMICALS -- 2.1%
22 Aceto Corp. 394
10 Albemarle Corp. 307
11 Cabot Microelectronics Corp.* 337
9 Cytec Industries, Inc. 400
13 FMC Corp.* 539
27 Georgia Gulf Corp. 971
11 HB Fuller Co. 298
25 Hercules, Inc.* 307
36 IMC Global, Inc. 484
1 Kronos Worldwide, Inc. 21
9 NewMarket Corp.* 182
9 Octel Corp. (United Kingdom) 224
6 OM Group, Inc.* 195
2 Quaker Chemical Corp. 58
21 W.R. Grace & Co.* 131
-------------------------------------------------------------------------------------
4,848
-------------------------------------------------------------------------------------
COMPUTER NETWORKS -- 1.1%
25 Anixter International, Inc. 865
11 Black Box Corp. 511
67 Brocade Communications Systems, Inc.* 399
10 Factset Research Systems, Inc. 477
13 SafeNet, Inc.* 357
-------------------------------------------------------------------------------------
2,609
-------------------------------------------------------------------------------------
COMPUTER SOFTWARE -- 4.3%
10 Ascential Software Corp.* 155
9 Aspen Technology, Inc.* 68
21 Atari, Inc.* 51
12 CACI International, Inc., Class A* 486
7 Cerner Corp.* 290
37 Ciber, Inc.* 302
29 Computer Programs & Systems, Inc. 582
1 Datastream Systems, Inc.* 6
13 Dendrite International, Inc.* 240
7 DSP Group, Inc.* $ 193
18 E.piphany, Inc.* 88
7 Echelon Corp.* 83
8 EPIQ Systems, Inc.* 113
5 FileNet Corp.* 148
16 Hyperion Solutions Corp.* 712
13 Informatica Corp.* 101
16 Intergraph Corp.* 401
10 JDA Software Group, Inc.* 130
4 Kronos, Inc.* 148
17 Lexar Media, Inc.* 110
11 Magma Design Automation, Inc.* 212
9 Manhattan Associates, Inc.* 266
27 ManTech International Corp., Class A* 509
7 Manugistics Group, Inc.* 23
7 MAPICS, Inc.* 75
23 Mentor Graphics Corp.* 350
2 MicroStrategy, Inc., Class A* 102
14 MRO Software, Inc.* 185
3 PalmSource, Inc.* 53
6 Pegasystems, Inc.* 53
24 Per-Se Technologies, Inc.* 348
17 Perot Systems Corp., Class A* 225
27 Progress Software Corp.* 585
1 Quality Systems, Inc.* 44
7 Quest Software, Inc.* 89
11 Retek, Inc.* 65
62 Secure Computing Corp.* 724
2 SPSS, Inc.* 27
3 SRA International, Inc., Class A* 144
2 Stratasys, Inc.* 52
21 Take-Two Interactive Software, Inc.* 656
3 TALX Corp. 83
14 Transaction Systems Architects, Inc.,
Class A* 293
7 webMethods, Inc.* 57
25 Wind River Systems, Inc.* 295
-------------------------------------------------------------------------------------
9,922
-------------------------------------------------------------------------------------
COMPUTERS/COMPUTER HARDWARE -- 1.6%
11 Advanced Digital Information Corp.* 102
25 Agilysys, Inc. 348
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
54
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- -------------------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
COMPUTERS/COMPUTER HARDWARE -- CONTINUED
2 Concurrent Computer Corp.* $ 3
44 Cray, Inc.* 289
8 Dot Hill Systems Corp.* 90
4 Electronics for Imaging, Inc.* 105
25 Gateway, Inc.* 112
27 Hutchinson Technology, Inc.* 657
6 Imagistics International, Inc.* 216
16 Imation Corp. 659
17 Komag, Inc.* 241
10 PalmOne, Inc.* 344
8 RadiSys Corp.* 152
60 Silicon Graphics, Inc.* 132
23 Sykes Enterprises, Inc.* 175
-------------------------------------------------------------------------------------
3,625
-------------------------------------------------------------------------------------
CONSTRUCTION -- 1.4%
96 Apogee Enterprises, Inc. 1,000
3 Beazer Homes USA, Inc. 251
97 Champion Enterprises, Inc.* 893
5 Dycom Industries, Inc.* 140
15 Levitt Corp., Class A* 397
4 Meritage Corp.* 296
10 WCI Communities, Inc.* 230
-------------------------------------------------------------------------------------
3,207
-------------------------------------------------------------------------------------
CONSTRUCTION MATERIALS -- 1.5%
5 Ameron International Corp. 154
7 Eagle Materials, Inc. 490
17 ElkCorp 404
10 NCI Building Systems, Inc.* 332
5 Texas Industries, Inc. 222
49 Universal Forest Products, Inc. 1,593
13 USG Corp.* 232
-------------------------------------------------------------------------------------
3,427
-------------------------------------------------------------------------------------
CONSUMER PRODUCTS -- 0.8%
4 American Greetings Corp., Class A* 88
2 CSS Industries, Inc. 60
6 Elizabeth Arden, Inc.* 130
39 Revlon, Inc., Class A* 114
5 Stanley Furniture Company, Inc. 211
3 Toro Co. 210
19 Universal Corp. 983
-------------------------------------------------------------------------------------
1,796
-------------------------------------------------------------------------------------
CONSUMER SERVICES -- 1.0%
12 Alderwoods Group, Inc. (Canada)* $ 148
9 Arbitron, Inc.* 340
32 Exult, Inc.* 171
2 MemberWorks, Inc.* 47
52 Rent-Way, Inc.* 468
9 SOURCECORP, Inc.* 245
9 Startek, Inc. 319
50 Stewart Enterprises, Inc., Class A* 407
10 The GEO Group, Inc.* 200
-------------------------------------------------------------------------------------
2,345
-------------------------------------------------------------------------------------
DISTRIBUTION -- 0.1%
5 Building Material Holding Corp. 102
11 WESCO International, Inc.* 206
-------------------------------------------------------------------------------------
308
-------------------------------------------------------------------------------------
ELECTRONICS/ELECTRICAL EQUIPMENT -- 2.4%
5 Analogic Corp. 212
2 BEI Technologies, Inc. 65
6 Bel Fuse, Inc., Class B 234
16 Benchmark Electronics, Inc.* 466
14 Checkpoint Systems, Inc.* 258
18 CTS Corp. 211
14 Encore Wire Corp.* 397
1 Innovex, Inc.* 5
10 Integrated Electrical Services, Inc.* 84
11 Itron, Inc.* 248
7 MTS Systems Corp. 155
1 Pemstar, Inc.* 2
8 Planar Systems, Inc.* 102
16 Power-One, Inc.* 170
23 Rayovac Corp.* 657
8 ROFIN-SINAR Technologies, Inc.* 190
18 Stoneridge, Inc.* 303
16 Sypris Solutions, Inc. 309
24 Trimble Navigation LTD* 655
27 TTM Technologies, Inc.* 316
9 Valence Technology, Inc.* 32
11 Watts Water Technologies, Inc., Class A 302
4 Zygo Corp.* 45
-------------------------------------------------------------------------------------
5,418
-------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
55
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- -------------------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
ENGINEERING SERVICES -- 0.4%
22 McDermott International, Inc.* $ 225
6 URS Corp.* 164
15 Washington Group International, Inc.* 542
-------------------------------------------------------------------------------------
931
-------------------------------------------------------------------------------------
ENTERTAINMENT/LEISURE -- 2.5%
24 AMC Entertainment, Inc.* 370
11 Ameristar Casinos, Inc. 383
9 Arctic Cat, Inc. 251
9 Argosy Gaming Co.* 320
5 Aztar Corp.* 132
1 Bally Total Fitness Holding Corp.* 4
18 Callaway Golf Co. 198
15 Carmike Cinemas, Inc.* 580
13 Isle of Capri Casinos, Inc.* 222
14 K2, Inc.* 214
9 Macrovision Corp.* 225
15 Multimedia Games, Inc.* 397
18 Navigant International, Inc.* 318
14 Penn National Gaming, Inc.* 478
43 Scientific Games Corp., Class A* 826
22 Thor Industries, Inc. 733
-------------------------------------------------------------------------------------
5,651
-------------------------------------------------------------------------------------
ENVIRONMENTAL SERVICES -- 0.2%
11 Duratek, Inc.* 160
7 Tetra Tech, Inc.* 116
4 Waste Connections, Inc.* 125
-------------------------------------------------------------------------------------
401
-------------------------------------------------------------------------------------
FINANCIAL SERVICES -- 1.6%
13 Accredited Home Lenders Holding Co.* 374
9 Affiliated Managers Group, Inc.* 439
6 Coinstar, Inc.* 130
15 CompuCredit Corp.* 261
4 eSpeed, Inc., Class A* 77
4 Euronet Worldwide, Inc.* 95
4 ITLA Capital Corp.* 166
46 Knight Trading Group, Inc., Class A* 464
16 New Century Financial Corp. 769
56 Safeguard Scientifics, Inc.* 129
17 World Acceptance Corp.* 302
9 WSFS Financial Corp. 428
-------------------------------------------------------------------------------------
3,634
-------------------------------------------------------------------------------------
FOOD/BEVERAGE PRODUCTS -- 1.0%
44 Chiquita Brands International, Inc.* $ 921
12 Corn Products International, Inc. 535
8 Flowers Foods, Inc. 209
4 J & J Snack Foods Corp.* 167
9 Sanderson Farms, Inc. 499
-------------------------------------------------------------------------------------
2,331
-------------------------------------------------------------------------------------
HEALTH CARE/HEALTH CARE SERVICES -- 6.8%
14 Align Technology, Inc.* 266
6 Animas Corp.* 108
16 Apria Healthcare Group, Inc.* 445
7 Arrow International, Inc. 194
19 Beverly Enterprises, Inc.* 167
7 Biosite, Inc.* 310
12 Centene Corp.* 466
25 CONMED Corp.* 690
8 CTI Molecular Imaging, Inc.* 112
1 Curative Health Services, Inc.* 4
9 Diagnostic Products Corp. 409
74 Encore Medical Corp.* 463
4 Epix Medical, Inc.* 91
8 Genesis HealthCare Corp.* 224
28 Gentiva Health Services* 455
2 Immucor, Inc.* 65
30 Inveresk Research Group, Inc.* 929
5 Inverness Medical Innovations, Inc.* 103
44 Kindred Healthcare, Inc.* 1,149
27 Kyphon, Inc.* 762
45 Mariner Health Care, Inc.* 1,216
11 Mentor Corp. 387
6 Merit Medical Systems, Inc.* 88
5 Ocular Sciences, Inc.* 179
112 Orthovita, Inc.* 575
24 Owens & Minor, Inc. 619
39 Palatin Technologies, Inc.* 165
15 Pediatrix Medical Group, Inc.* 1,029
3 Possis Medical, Inc.* 109
17 Province Healthcare Co.* 292
40 PSS World Medical, Inc.* 446
8 Sierra Health Services, Inc.* 371
19 Sola International, Inc.* 327
35 Steris Corp.* 781
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
56
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- -------------------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
HEALTH CARE/HEALTH CARE SERVICES -- CONTINUED
4 SurModics, Inc.* $ 106
11 Symbion, Inc.* 197
4 TECHNE Corp.* 191
13 United Surgical Partners International, Inc.* 521
14 US Oncology, Inc.* 209
23 VISX, Inc.* 615
-------------------------------------------------------------------------------------
15,835
-------------------------------------------------------------------------------------
HOTELS/OTHER LODGING -- 0.1%
20 La Quinta Corp.* 171
-------------------------------------------------------------------------------------
INDUSTRIAL COMPONENTS -- 0.4%
6 Hexcel Corp.* 72
44 Lennox International, Inc. 787
-------------------------------------------------------------------------------------
859
-------------------------------------------------------------------------------------
INSURANCE -- 2.5%
3 AmerUs Group Co. 104
11 Argonaut Group, Inc.* 200
42 Delphi Financial Group, Inc., Class A 1,852
24 Direct General Corp. 761
0^^ FBL Financial Group, Inc., Class A 8
15 LandAmerica Financial Group, Inc. 596
3 NYMAGIC, Inc. 71
66 PMA Capital Corp., Class A 590
9 Selective Insurance Group 355
15 Stewart Information Services Corp. 517
1 The Navigators Group, Inc.* 17
2 United Fire & Casualty Co. 116
7 Vesta Insurance Group, Inc. 43
9 Zenith National Insurance Corp. 437
-------------------------------------------------------------------------------------
5,667
-------------------------------------------------------------------------------------
INTERNET SERVICES/SOFTWARE -- 2.6%
64 Ariba, Inc.* 126
18 AsiaInfo Holdings, Inc. (China)* 96
1 Blue Coat Systems, Inc.* 44
102 CMGI, Inc.* 199
37 CNET Networks, Inc.* 411
8 Digital Insight Corp.* 160
33 Digitas, Inc.* 364
35 DoubleClick, Inc.* 272
77 EarthLink, Inc.* $ 797
5 Equinix, Inc.* 176
53 Homestore, Inc.* 211
4 Infospace, Inc.* 141
15 Internet Security Systems, Inc.* 227
2 Interwoven, Inc.* 19
9 j2 Global Communications, Inc.* 259
12 Lionbridge Technologies, Inc.* 95
50 LookSmart LTD* 109
25 Mindspeed Technologies, Inc.* 124
8 Netegrity, Inc.* 68
11 Openwave Systems, Inc.* 145
4 PC-Tel, Inc.* 45
9 Portal Software, Inc.* 33
8 ProQuest Co.* 221
39 SupportSoft, Inc.* 339
23 United Online, Inc.* 398
20 Valueclick, Inc.* 244
13 WebEx Communications, Inc.* 285
10 Websense, Inc.* 361
-------------------------------------------------------------------------------------
5,969
-------------------------------------------------------------------------------------
LEASING -- 0.3%
24 GATX Corp. 658
5 Interpool, Inc. 83
-------------------------------------------------------------------------------------
741
-------------------------------------------------------------------------------------
MACHINERY & ENGINEERING EQUIPMENT -- 2.3%
62 Applied Industrial Technologies, Inc. 1,871
14 Astec Industries, Inc.* 268
11 Cascade Corp. 340
15 Flowserve Corp.* 377
0^^ Global Power Equipment Group, Inc.* 1
108 Milacron, Inc.* 433
4 NACCO Industries, Inc., Class A 399
4 Sauer-Danfoss, Inc. 72
7 Tecumseh Products Co., Class A 280
7 Thomas Industries, Inc. 226
16 UNOVA, Inc.* 314
15 York International Corp. 620
-------------------------------------------------------------------------------------
5,201
-------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
57
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- -------------------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
MANUFACTURING -- 2.8%
9 Albany International Corp., Class A $ 312
8 Armor Holdings, Inc.* 279
29 Barnes Group, Inc. 829
6 Cyberoptics Corp.* 156
7 ESCO Technologies, Inc.* 395
18 Fleetwood Enterprises, Inc.* 259
22 Griffon Corp.* 486
17 JLG Industries, Inc. 231
17 Joy Global, Inc. 500
17 Lincoln Electric Holdings, Inc. 586
9 NN, Inc. 117
2 Penn Engineering & Manufacturing Corp. 39
23 Quanex Corp. 1,104
79 Walter Industries, Inc. 1,076
-------------------------------------------------------------------------------------
6,369
-------------------------------------------------------------------------------------
METALS/MINING -- 0.9%
51 Commercial Metals Co. 1,649
5 Mueller Industries, Inc. 165
8 Valmont Industries, Inc. 174
-------------------------------------------------------------------------------------
1,988
-------------------------------------------------------------------------------------
MULTI-MEDIA -- 0.7%
4 Digital Generation Systems, Inc.* 6
11 Emmis Communications Corp., Class A* 227
10 Gray Television, Inc. 138
27 Insight Communications Co., Inc.* 250
10 Journal Register Co.* 197
37 Lodgenet Entertainment Corp.* 610
21 World Wrestling Entertainment, Inc. 269
-------------------------------------------------------------------------------------
1,697
-------------------------------------------------------------------------------------
OFFICE/BUSINESS EQUIPMENT -- 0.5%
3 General Binding Corp.* 40
24 Global Imaging Systems, Inc.* 894
8 United Stationers, Inc.* 330
-------------------------------------------------------------------------------------
1,264
-------------------------------------------------------------------------------------
OIL & GAS -- 5.3%
7 Black Hills Corp. 233
13 Cimarex Energy Co.* 381
7 Comstock Resources, Inc.* 138
51 Denbury Resources, Inc.* $ 1,058
17 Gulf Island Fabrication, Inc. 376
14 Hanover Compressor Co.* 161
8 Headwaters, Inc.* 207
13 Helmerich & Payne, Inc. 340
44 Houston Exploration Co.* 2,266
7 Hydril Co.* 208
64 Key Energy Services, Inc.* 602
13 Lone Star Technologies, Inc.* 367
4 Magnum Hunter Resources, Inc.* 40
20 Oceaneering International, Inc.* 699
9 Oil States International, Inc.* 135
1 Quicksilver Resources, Inc.* 34
37 Southern Union Co.* 782
17 Southwest Gas Corp. 415
56 Southwestern Energy Co.* 1,591
10 Stone Energy Corp.* 469
23 Tesoro Petroleum Corp.* 624
13 Veritas DGC, Inc.* 308
29 Vintage Petroleum, Inc. 497
5 World Fuel Services Corp. 230
-------------------------------------------------------------------------------------
12,161
-------------------------------------------------------------------------------------
PACKAGING -- 1.2%
9 Chesapeake Corp. 243
96 Crown Holdings, Inc.* 956
37 Silgan Holdings, Inc. 1,478
-------------------------------------------------------------------------------------
2,677
-------------------------------------------------------------------------------------
PAPER/FOREST PRODUCTS -- 0.2%
7 Schweitzer-Mauduit International, Inc. 199
19 Wausau-Mosinee Paper Corp. 332
-------------------------------------------------------------------------------------
531
-------------------------------------------------------------------------------------
PHARMACEUTICALS -- 3.4%
22 Able Laboratories, Inc.* 443
39 Adolor Corp.* 496
14 Alkermes, Inc.* 184
5 Antigenics, Inc.* 40
23 AtheroGenics, Inc.* 444
337 AVANIR Pharmaceuticals, Class A* 566
4 Bradley Pharmaceuticals, Inc.* 123
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
58
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- -------------------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
PHARMACEUTICALS -- CONTINUED
13 Connetics Corp.* $ 261
11 Corixa Corp.* 49
42 Cubist Pharmaceuticals, Inc.* 462
98 Cypress Bioscience, Inc.* 1,348
18 Dendreon Corp.* 221
48 Discovery Laboratories, Inc.* 458
11 Kos Pharmaceuticals, Inc.* 373
15 Ligand Pharmaceuticals, Inc., Class B* 257
7 Medicines Co.* 217
1 NeighborCare, Inc.* 31
4 NPS Pharmaceuticals, Inc.* 82
9 Onyx Pharmaceuticals, Inc.* 360
8 Par Pharmaceutical Companies, Inc.* 296
5 PolyMedica Corp. 152
11 Rigel Pharmaceuticals, Inc.* 158
3 Tanox, Inc.* 59
16 United Therapeutics Corp.* 419
28 Vertex Pharmaceuticals, Inc.* 306
-------------------------------------------------------------------------------------
7,805
-------------------------------------------------------------------------------------
PRINTING & PUBLISHING -- 0.4%
34 Bowne & Co., Inc. 540
11 John H. Harland Co. 317
-------------------------------------------------------------------------------------
857
-------------------------------------------------------------------------------------
REAL ESTATE -- 0.1%
4 LNR Property Corp. 195
-------------------------------------------------------------------------------------
REAL ESTATE INVESTMENT TRUST -- 6.8%
3 Alexandria Real Estate Equities, Inc. 172
29 American Financial Realty Trust 414
52 American Home Mortgage Investment Corp. 1,355
62 Anthracite Capital, Inc. 745
23 Bedford Property Investors, Inc. 661
17 Capital Automotive Real Estate
Investment Trust 496
61 CarrAmerica Realty Corp. 1,832
13 Entertainment Properties Trust 465
76 Equity Inns, Inc. 707
14 Gables Residential Trust 466
32 Glenborough Realty Trust, Inc. 584
58 Government Properties Trust, Inc. 604
16 Highwoods Properties, Inc. 364
13 IMPAC Mortgage Holdings, Inc. $ 284
33 InnKeepers USA Trust 341
7 LaSalle Hotel Properties 181
29 Lexington Corporate Properties Trust 578
30 LTC Properties, Inc. 496
47 Meristar Hospitality Corp.* 318
29 MFA Mortgage Investments, Inc. 255
32 Mid-America Apartment
Communities, Inc. 1,216
4 National Health Investors, Inc. 117
20 NovaStar Financial, Inc. 771
5 Parkway Properties, Inc. 204
28 Pennsylvania Real Estate Investment Trust 942
23 RAIT Investment Trust 557
19 Saul Centers, Inc. 597
7 Tanger Factory Outlet Centers, Inc. 289
-------------------------------------------------------------------------------------
16,011
-------------------------------------------------------------------------------------
RESTAURANTS/FOOD SERVICES -- 1.5%
24 CBRL Group, Inc. 747
4 CEC Entertainment, Inc.* 106
12 CKE Restaurants, Inc.* 161
2 Jack in the Box, Inc.* 50
53 Landry's Restaurants, Inc. 1,588
8 Rare Hospitality International, Inc.* 192
37 Ryan's Restaurant Group, Inc.* 588
-------------------------------------------------------------------------------------
3,432
-------------------------------------------------------------------------------------
RETAILING -- 5.3%
8 1-800-FLOWERS.COM, Inc., Class A* 63
55 Aaron Rents, Inc. 1,829
40 Aeropostale, Inc.* 1,082
29 Asbury Automotive Group, Inc.* 428
26 Brookstone, Inc.* 527
6 Brown Shoe Co., Inc. 225
59 Cash America International, Inc. 1,352
7 Charlotte Russe Holding, Inc.* 152
97 Charming Shoppes, Inc.* 870
3 Electronics Boutique Holdings Corp.* 79
11 Genesco, Inc.* 255
22 Goody's Family Clothing, Inc. 227
4 Group 1 Automotive, Inc.* 126
41 Hollywood Entertainment Corp.* 552
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
59
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- -------------------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
RETAILING -- CONTINUED
10 Hot Topic, Inc.* $ 213
13 Insight Enterprises, Inc.* 236
2 Jo-Ann Stores, Inc.* 50
2 Linens `N Things, Inc.* 62
10 MarineMax, Inc.* 281
2 Movado Group, Inc. 35
6 Movie Gallery, Inc. 111
4 Nash-Finch Co. 98
1 Party City Corp.* 9
10 Pathmark Stores, Inc.* 75
22 ShopKo Stores, Inc.* 315
30 Stein Mart, Inc.* 488
10 The Children's Place Retail Stores, Inc.* 226
26 The J. Jill Group, Inc.* 620
20 The Pantry, Inc.* 427
4 The Sports Authority, Inc.* 140
6 Trans World Entertainment Corp.* 61
7 United Auto Group, Inc. 227
52 Winn-Dixie Stores, Inc. 372
13 Zale Corp.* 349
-------------------------------------------------------------------------------------
12,162
-------------------------------------------------------------------------------------
SEMI-CONDUCTORS -- 3.7%
7 Actel Corp.* 135
4 Artisan Components, Inc.* 101
8 Asyst Technologies, Inc.* 80
5 ATMI, Inc.* 147
41 Axcelis Technologies, Inc.* 509
2 Bookham Technology PLC
(United Kingdom), ADR* 2
16 Brooks Automation, Inc.* 312
1 Ceva, Inc.* 4
11 ChipPAC, Inc., Class A* 71
22 Cirrus Logic, Inc.* 134
34 Credence Systems Corp.* 466
13 Cymer, Inc.* 468
7 Diodes, Inc.* 163
17 ESS Technology, Inc.* 177
6 Exar Corp.* 91
5 Genesis Microchip, Inc.* 69
30 Integrated Silicon Solutions, Inc.* 368
8 IXYS Corp.* 63
7 Kopin Corp.* $ 37
31 Kulicke & Soffa Industries, Inc.* 345
14 Lattice Semiconductor Corp.* 100
17 LTX Corp.* 182
19 Mattson Technology, Inc.* 227
19 Microsemi Corp.* 268
6 MKS Instruments, Inc.* 128
16 Mykrolis Corp.* 280
11 Omnivision Technologies, Inc.* 182
95 ON Semiconductor Corp.* 476
21 Photronics, Inc.* 394
21 Pixelworks, Inc.* 314
5 Power Integrations, Inc.* 134
13 Semitool, Inc.* 149
22 Silicon Image, Inc.* 288
42 Silicon Storage Technology, Inc.* 430
2 Siliconix, Inc.* 114
28 Skyworks Solutions, Inc.* 242
4 Supertex, Inc.* 60
31 Transmeta Corp.* 68
3 Ultratech, Inc.* 41
7 Varian Semiconductor Equipment
Associates, Inc.* 266
63 Vitesse Semiconductor Corp.* 308
1 White Electronic Designs Corp.* 4
5 Xicor, Inc.* 82
8 Zoran Corp.* 143
-------------------------------------------------------------------------------------
8,622
-------------------------------------------------------------------------------------
SHIPPING/TRANSPORTATION -- 0.1%
10 Swift Transportation Co., Inc.* 176
-------------------------------------------------------------------------------------
STEEL -- 0.7%
6 Gibraltar Steel Corp. 190
12 Reliance Steel & Aluminum Co. 490
5 Schnitzer Steel Industries, Inc., Class A 175
25 Steel Dynamics, Inc.* 710
-------------------------------------------------------------------------------------
1,565
-------------------------------------------------------------------------------------
TELECOMMUNICATIONS -- 2.5%
18 Aeroflex, Inc.* 256
1 Aether Systems, Inc.* 2
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
60
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- -------------------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
TELECOMMUNICATIONS -- CONTINUED
55 Alamosa Holdings, Inc.* $ 402
32 Arris Group, Inc.* 191
25 Aspect Communications* 358
11 Boston Communications Group* 109
24 Centennial Communications Corp.* 169
107 Cincinnati Bell, Inc.* 477
4 Commonwealth Telephone
Enterprises, Inc.* 157
4 Computer Network Technology Corp.* 26
19 CT Communications, Inc. 286
22 Extreme Networks, Inc.* 120
46 Finisar Corp.* 90
8 Hypercom Corp.* 66
3 Interdigital Communications Corp.* 55
9 Intrado, Inc.* 142
32 MasTec, Inc.* 174
36 MRV Communications, Inc.* 98
1 Network Equipment Technologies, Inc.* 4
36 Primus Telecommunications GP* 183
137 PTEK Holdings, Inc.* 1,575
2 Raindance Communications, Inc.* 5
35 Symmetricom, Inc.* 310
9 Talk America Holdings, Inc.* 71
15 Tekelec* 274
23 Time Warner Telecom, Inc., Class A* 98
22 Westell Technologies, Inc., Class A* 110
-------------------------------------------------------------------------------------
5,808
-------------------------------------------------------------------------------------
TELECOMMUNICATIONS EQUIPMENT -- 0.9%
5 Audiovox Corp., Class A* 79
19 C-COR.net Corp.* 192
1 Centillium Communications, Inc.* 2
3 Comtech Telecommunications* 61
120 Corvis Corp.* 169
7 Ditech Communications Corp.* 152
24 Inter-Tel, Inc. 592
16 Remec, Inc.* 98
54 RF Micro Devices, Inc.* 404
45 Sonus Networks, Inc.* 215
14 Terayon Communications Systems, Inc.* 33
0^^ Tollgrade Communications, Inc.* 3
-------------------------------------------------------------------------------------
2,000
-------------------------------------------------------------------------------------
TEXTILES -- 0.2%
8 Angelica Corp. $ 198
11 UniFirst Corp. 317
-------------------------------------------------------------------------------------
515
-------------------------------------------------------------------------------------
TIRE & RUBBER -- 0.4%
42 Cooper Tire & Rubber Co. 966
-------------------------------------------------------------------------------------
TOYS & GAMES -- 0.7%
9 Action Performance Companies, Inc. 131
34 RC2 Corp.* 1,211
8 Steinway Musical Instruments, Inc.* 291
-------------------------------------------------------------------------------------
1,633
-------------------------------------------------------------------------------------
TRANSPORTATION -- 1.5%
23 Genesee & Wyoming, Inc., Class A* 552
9 Offshore Logistics, Inc.* 256
5 Old Dominion Freight Line* 139
16 Overseas Shipholding Group, Inc. 684
24 RailAmerica, Inc.* 352
30 SCS Transportation, Inc.* 797
9 The Greenbrier Companies, Inc.* 177
5 US Xpress Enterprises, Inc.* 72
24 Werner Enterprises, Inc. 504
-------------------------------------------------------------------------------------
3,533
-------------------------------------------------------------------------------------
UTILITIES -- 2.0%
23 Aquila, Inc.* 82
18 Atmos Energy Corp. 471
17 Avista Corp. 313
63 CMS Energy Corp.* 574
17 El Paso Electric Co.* 255
1 MGE Energy, Inc. 42
23 New Jersey Resources Corp. 970
0^^ Nicor, Inc. 10
32 PNM Resources, Inc. 658
1 SEMCO Energy, Inc. 3
53 Sierra Pacific Resources* 411
5 South Jersey Industries, Inc. 238
1 UIL Holdings Corp. 68
23 UniSource Energy Corp. 562
-------------------------------------------------------------------------------------
4,657
-------------------------------------------------------------------------------------
Total Common Stocks 226,631
(Cost $208,622)
-------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
61
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- -------------------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
INVESTMENT COMPANY -- 0.2%
26 Technology Investment Capital Corp. $ 355
(Cost $373)
-------------------------------------------------------------------------------------
Total Long-Term Investments 226,986
(Cost $208,995)
-------------------------------------------------------------------------------------
<Caption>
PRINCIPAL
AMOUNT
- -------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS -- 1.5%
U.S. TREASURY SECURITY -- 0.1%
$ 225 U.S. Treasury Note, 2.13%, 10/31/04 @ $ 225
(Cost $225)
-------------------------------------------------------------------------------------
MONEY MARKET FUND -- 1.4%
3,331 JPMorgan Prime Money Market Fund (a) + $ 3,331
(Cost $3,331)
-------------------------------------------------------------------------------------
Total Short-Term Investments 3,556
(Cost 3,556)
-------------------------------------------------------------------------------------
TOTAL INVESTMENTS-- 100.0% $ 230,542
(COST $212,551)
-------------------------------------------------------------------------------------
</Table>
FUTURES CONTRACTS
(Amounts in thousands, except number of contracts)
<Table>
<Caption>
NOTIONAL UNREALIZED
NUMBER OF VALUE AT APPRECIATION
CONTRACTS DESCRIPTION EXPIRATION DATE 6/30/04 (USD) (DEPRECIATION)(USD)
- ----------------------------------------------------------------------------------------------------------------------
LONG FUTURES OUTSTANDING
10 Russell 2000 Index September, 2004 $ 2,962 $ 51
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
62
<Page>
JPMORGAN U.S. SMALL COMPANY OPPORTUNITIES FUND
PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2004 (UNAUDITED)
(Amounts in thousands)
<Table>
<Caption>
SHARES ISSUER VALUE
- -------------------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- 99.2%
COMMON STOCKS -- 99.2%
AIRLINES -- 2.0%
5 Republic Airways Holdings, Inc.* $ 69
5 SkyWest, Inc. 90
-------------------------------------------------------------------------------------
159
-------------------------------------------------------------------------------------
APPLIANCES & HOUSEHOLD DURABLES -- 0.8%
8 Jacuzzi Brands, Inc.* 66
-------------------------------------------------------------------------------------
AUTOMOTIVE -- 0.9%
2 Winnebago Industries, Inc. 73
-------------------------------------------------------------------------------------
BANKING -- 2.7%
2 East-West Bancorp, Inc. 60
2 MB Financial, Inc. 77
2 Texas Regional Bancshares, Inc., Class A 76
-------------------------------------------------------------------------------------
213
-------------------------------------------------------------------------------------
BIOTECHNOLOGY -- 2.2%
2 Cytokinetics, Inc.* 36
6 Encysive Pharmaceuticals, Inc.* 53
5 Incyte Genomics, Inc.* (l) 42
2 Telik, Inc.* 42
-------------------------------------------------------------------------------------
173
-------------------------------------------------------------------------------------
BROADCASTING/CABLE -- 0.6%
2 Salem Communications Corp., Class A* 49
-------------------------------------------------------------------------------------
BUSINESS SERVICES -- 1.5%
3 Alliance Data Systems Corp.* 120
-------------------------------------------------------------------------------------
COMPUTER SOFTWARE -- 9.2%
11 Aspen Technology, Inc.* 79
3 DSP Group, Inc.* 80
5 Epicor Software Corp.* 76
2 Hyperion Solutions Corp.* 87
11 Lawson Software, Inc.* 79
4 Packeteer, Inc.* (l) 65
4 Serena Software, Inc.* (l) 82
3 Verint Systems, Inc.* 108
6 Witness Systems, Inc.* 67
-------------------------------------------------------------------------------------
723
-------------------------------------------------------------------------------------
COMPUTERS/COMPUTER HARDWARE -- 2.7%
4 Electronics for Imaging, Inc.* $ 109
3 Tech Data Corp.* 103
-------------------------------------------------------------------------------------
212
-------------------------------------------------------------------------------------
CONSTRUCTION -- 0.7%
6 Champion Enterprises, Inc.* 55
-------------------------------------------------------------------------------------
CONSUMER SERVICES -- 4.6%
6 Jackson Hewitt Tax Service, Inc.* (l) 104
2 Laureate Education, Inc.* 78
3 Ritchie Bros. Auctioneers, Inc. (Canada) (l) 82
3 Startek, Inc. 98
-------------------------------------------------------------------------------------
362
-------------------------------------------------------------------------------------
ELECTRONICS/ELECTRICAL EQUIPMENT -- 1.5%
6 Integrated Electrical Services, Inc.* 47
6 TTM Technologies, Inc.* 74
-------------------------------------------------------------------------------------
121
-------------------------------------------------------------------------------------
ENTERTAINMENT/LEISURE -- 6.4%
3 Boyd Gaming Corp. 66
2 Carmike Cinemas, Inc.* 79
3 Gaylord Entertainment Co.* 83
4 K2, Inc.* 59
7 LIFE TIME FITNESS, Inc.* 143
4 Scientific Games Corp., Class A* 77
-------------------------------------------------------------------------------------
507
-------------------------------------------------------------------------------------
FINANCIAL SERVICES -- 2.8%
2 Affiliated Managers Group, Inc.* (l) 97
2 Greenhill & Co., Inc.* 39
2 National Financial Partners Corp. 85
-------------------------------------------------------------------------------------
221
-------------------------------------------------------------------------------------
HEALTH CARE/HEALTH CARE SERVICES -- 11.8%
3 Abaxis, Inc.* 56
2 Cooper Companies, Inc. 113
3 Covance, Inc.* 106
2 Kyphon, Inc.* (l) 61
4 Psychiatric Solutions, Inc.* 103
2 Sunrise Assisted Living, Inc.* (l) 72
6 TriPath Imaging, Inc.* 57
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
63
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- -------------------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
HEALTH CARE/HEALTH CARE SERVICES -- CONTINUED
3 United Surgical Partners International, Inc.* (l) $ 99
2 VCA Antech, Inc.* 75
2 Ventana Medical Systems, Inc.* 74
3 Wright Medical Group, Inc.* 110
-------------------------------------------------------------------------------------
926
-------------------------------------------------------------------------------------
INSURANCE -- 2.2%
3 Infinity Property & Casualty Corp. 87
3 ProAssurance Corp.* 89
-------------------------------------------------------------------------------------
176
-------------------------------------------------------------------------------------
INTERNET SERVICES/SOFTWARE -- 1.8%
2 Equinix, Inc.* 83
12 Mindspeed Technologies, Inc.* 60
-------------------------------------------------------------------------------------
143
-------------------------------------------------------------------------------------
MANUFACTURING -- 0.9%
8 General Cable Corp.* (l) 68
-------------------------------------------------------------------------------------
METALS/MINING -- 1.2%
3 Arch Coal, Inc. (l) 93
-------------------------------------------------------------------------------------
MULTI-MEDIA -- 1.4%
8 Gray Television, Inc. 107
-------------------------------------------------------------------------------------
OFFICE/BUSINESS EQUIPMENT -- 1.3%
3 Global Imaging Systems, Inc.* 99
-------------------------------------------------------------------------------------
OIL & GAS -- 4.4%
2 Headwaters, Inc.* 56
2 Newfield Exploration Co.* 92
3 Unit Corp.* 100
3 Universal Compression Holding, Inc.* 97
0^^ XTO Energy, Inc. 0^^
-------------------------------------------------------------------------------------
345
-------------------------------------------------------------------------------------
PHARMACEUTICALS -- 8.1%
2 Able Laboratories, Inc.* 43
3 Adolor Corp.* 36
3 Alkermes, Inc.* (l) 38
2 AtheroGenics, Inc.* 42
2 Connetics Corp.* $ 35
5 Cubist Pharmaceuticals, Inc.* 51
3 CV Therapeutics, Inc.* 48
4 Cypress Bioscience, Inc.* 54
3 Discovery Laboratories, Inc.* 31
3 Nabi Biopharmaceuticals* 38
3 NBTY, Inc.* 90
1 Onyx Pharmaceuticals, Inc.* 32
1 Pharmion Corp.* 24
1 Taro Pharmaceutical Industries LTD (Israel)* (l) 37
1 United Therapeutics Corp.* 35
-------------------------------------------------------------------------------------
634
-------------------------------------------------------------------------------------
PRINTING & PUBLISHING -- 0.7%
2 Information Holdings, Inc.* 56
-------------------------------------------------------------------------------------
REAL ESTATE INVESTMENT TRUST -- 1.2%
2 American Financial Realty Trust 32
3 Global Signal, Inc. 61
-------------------------------------------------------------------------------------
93
-------------------------------------------------------------------------------------
RESTAURANTS/FOOD SERVICES -- 2.0%
7 CKE Restaurants, Inc.* (l) 91
2 Ruby Tuesday, Inc. 65
-------------------------------------------------------------------------------------
156
-------------------------------------------------------------------------------------
RETAILING -- 6.7%
3 Aeropostale, Inc.* 77
1 CDW Corp. 73
4 Genesco, Inc.* 90
2 Guitar Center, Inc.* (l) 78
3 Pacific Sunwear of California, Inc.* 53
3 PETCO Animal Supplies, Inc.* 81
1 Urban Outfitters, Inc.* (l) 76
-------------------------------------------------------------------------------------
528
-------------------------------------------------------------------------------------
SEMI-CONDUCTORS -- 7.0%
4 Artisan Components, Inc.* 105
6 Axcelis Technologies, Inc.* 68
5 Credence Systems Corp.* (l) 72
2 Cymer, Inc.* 73
7 Entegris, Inc.* 80
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
64
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- -------------------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
SEMI-CONDUCTORS -- CONTINUED
9 Mattson Technology, Inc.* $ 104
9 Staktek Holdings, Inc.* 45
-------------------------------------------------------------------------------------
547
-------------------------------------------------------------------------------------
SHIPPING/TRANSPORTATION -- 1.1%
2 UTI Worldwide, Inc. (Virgin Islands) 90
-------------------------------------------------------------------------------------
TELECOMMUNICATIONS -- 6.0%
9 Aeroflex, Inc.* 125
5 Atheros Communications, Inc.* 52
16 LCC International, Inc.* 78
8 Nextel Partners, Inc., Class A* 120
5 Tekelec* 97
-------------------------------------------------------------------------------------
472
-------------------------------------------------------------------------------------
TELECOMMUNICATIONS EQUIPMENT -- 1.8%
6 C-COR.net Corp.* 61
3 Inter-Tel, Inc. 77
-------------------------------------------------------------------------------------
138
-------------------------------------------------------------------------------------
TRANSPORTATION -- 1.0%
3 Sirva, Inc.* 79
-------------------------------------------------------------------------------------
Total Common Stocks 7,804
(Cost $6,566)
-------------------------------------------------------------------------------------
MONEY MARKET FUND -- 0.8%
63 JPMorgan Prime Money Market Fund (a) $ 63
(Cost $63)
-------------------------------------------------------------------------------------
TOTAL INVESTMENTS-- 100.0% $ 7,867
(COST $6,629)
<Caption>
SHARES COLLATERAL INVESTMENTS VALUE
- -------------------------------------------------------------------------------------------------
MONEY MARKET FUNDS (c)
447 AIM Short Term Investment Co. $ 447
315 Barclays Global Investors Prime
Money Market Fund 315
-------------------------------------------------------------------------------------
762
-------------------------------------------------------------------------------------
<Caption>
PRINCIPAL
AMOUNT
(USD)
- -------------------------------------------------------------------------------------------------
REPURCHASE AGREEMENT (c)
$ 500 Morgan Stanley, 1.52%, due 07/01/04,
dated 06/30/04, proceeds $500, secured
by U.S. Government Agency Securities 500
-------------------------------------------------------------------------------------
$ 1,262
-------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
65
<Page>
Abbreviations
* -- Non-income producing security.
^^ -- Amount rounds to less than one thousand.
@ -- Security is fully or partially segregated with brokers as initial margin
for futures contracts
+ -- All or portion of this security is segregated with the custodian for
futures contracts
(a) -- Affiliated. Money market fund registered under the Investment Company
Act of 1940, as amended and advised by J. P. Morgan Investment
Management, Inc.
(c) -- Investment of cash collateral for portfolio securities on loan.
(l) -- Security, or portion of a security, has been delivered to counterparty
as part of security lending transaction.
ADR -- American Depository Receipt.
USD -- United States Dollar
SEE NOTES TO FINANCIAL STATEMENTS.
66
<Page>
THIS PAGE IS INTENTIONALLY LEFT BLANK
67
<Page>
JPMORGAN FUNDS
STATEMENT OF ASSETS
AND LIABILITIES AS OF JUNE 30, 2004 (UNAUDITED)
(Amounts in thousands, except per share amounts)
<Table>
<Caption>
DYNAMIC MID CAP MID CAP MID CAP SMALL CAP
SMALL CAP EQUITY GROWTH VALUE EQUITY
FUND FUND FUND FUND FUND
ASSETS
Investments in non-affiliates, at value $ 205,467 $ 204,559 $ 59,083 $ 1,708,820 $ 767,959
Investments in affiliates, at value 3,910 5,816 1,255 81,279 12,546
- ----------------------------------------------------------------------------------------------------------------------------------
Total investment securities, at value 209,377 210,375 60,338 1,790,099 780,505
- ----------------------------------------------------------------------------------------------------------------------------------
Investments held as collateral for
securities lending program 45,870 12,986 9,612 103,365 140,960
Cash -- 6 -- 86 19
Receivables:
Investment securities sold 957 5,523 2,448 14,758 --
Fund shares sold 651 192 6 21,425 2,068
Interest and dividends 35 114 11 1,485 392
Securities lending (net) 5 2 1 14 16
- ----------------------------------------------------------------------------------------------------------------------------------
Total Assets 256,895 229,198 72,416 1,931,232 923,960
- ----------------------------------------------------------------------------------------------------------------------------------
LIABILITIES
Payables:
Due to custodian -- -- 8 -- --
Distributions -- 307 -- -- --
Investment securities purchased 1,803 6,651 3,140 4,603 2,387
Collateral for securities
lending program 45,870 12,986 9,612 103,365 140,960
Fund shares redeemed 322 6 31 2,015 941
Accrued liabilities:
Investment advisory fees 108 109 24 811 400
Administration fees 22 21 2 140 86
Shareholder servicing fees 18 8 3 145 10
Distribution fees 76 -- 13 302 28
Custodian fees 11 5 9 28 31
Trustees' fees - deferred
compensation plan 8 7 1 4 33
Other 120 44 50 35 139
- ----------------------------------------------------------------------------------------------------------------------------------
Total Liabilities 48,358 20,144 12,893 111,448 145,015
- ----------------------------------------------------------------------------------------------------------------------------------
NET ASSETS $ 208,537 $ 209,054 $ 59,523 $ 1,819,784 $ 778,945
- ----------------------------------------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
68
<Page>
<Table>
<Caption>
DYNAMIC MID CAP MID CAP MID CAP SMALL CAP
SMALL CAP EQUITY GROWTH VALUE EQUITY
FUND FUND FUND FUND FUND
NET ASSETS
Paid in capital 194,055 149,689 305,954 1,624,493 507,675
Accumulated undistributed
(overdistributed) net investment income (1,359) 3 (134) 2,922 (1,311)
Accumulated net realized gain (loss)
on investments and futures (27,768) 18,133 (256,955) 20,182 87,147
Net unrealized appreciation
(depreciation) of investments
and futures 43,609 41,229 10,658 172,187 185,434
- ----------------------------------------------------------------------------------------------------------------------------------
Total Net Assets $ 208,537 $ 209,054 $ 59,523 $ 1,819,784 $ 778,945
- ----------------------------------------------------------------------------------------------------------------------------------
Class A $ 98,955 $ -- $ 56,554 $ 632,827 $ 88,547
Class B $ 62,767 $ -- $ 2,969 $ 101,246 $ 21,824
Class C $ 31,593 $ -- $ -- $ 208,261 $ --
Institutional $ -- $ -- $ -- $ 684,702 $ --
Select $ 15,222 $ 209,054 $ -- $ 192,748 $ 668,574
- ----------------------------------------------------------------------------------------------------------------------------------
Total $ 208,537 $ 209,054 $ 59,523 $ 1,819,784 $ 778,945
- ----------------------------------------------------------------------------------------------------------------------------------
Shares of beneficial interest
outstanding ($0.001 par value;
unlimited number of shares authorized):
Class A 5,625 -- 10,595 31,639 3,339
Class B 3,759 -- 574 5,145 891
Class C 1,895 -- -- 10,563 --
Institutional -- -- -- 33,863 --
Select 847 6,199 -- 9,579 24,068
Net Asset Value:
Class A (and redemption price) $ 17.59 $ -- $ 5.34 $ 20.00 $ 26.52
Class B* $ 16.70 $ -- $ 5.17 $ 19.68 $ 24.49
Class C* $ 16.67 $ -- $ -- $ 19.72 $ --
Institutional (and redemption price) $ -- $ -- $ -- $ 20.22 $ --
Select (and redemption price) $ 17.96 $ 33.72 $ -- $ 20.12 $ 27.78
Class A Maximum Public Offering
Price Per Share (net asset value per
share/94.25%) $ 18.66 $ -- $ 5.67 $ 21.22 $ 28.14
Cost of investments $ 165,768 $ 169,146 $ 49,680 $ 1,617,912 $ 595,071
- ----------------------------------------------------------------------------------------------------------------------------------
Investment securities on loan, at value $ 45,381 $ 12,691 $ 9,451 $ 101,650 $ 139,945
- ----------------------------------------------------------------------------------------------------------------------------------
</Table>
* Redemption price may be reduced by contingent deferred sales charge.
SEE NOTES TO FINANCIAL STATEMENTS.
69
<Page>
<Table>
<Caption>
TRUST U.S. SMALL
SMALL CAP SMALL CAP U.S. SMALL COMPANY
GROWTH EQUITY COMPANY OPPORTUNITIES
FUND FUND FUND FUND
ASSETS
Investments in non-affiliates, at value $ 4,737 $ 357,594 $ 227,211 $ 7,804
Investments in affiliates, at value 33 4,242 3,331 63
- ----------------------------------------------------------------------------------------------------------------
Total investment securities, at value 4,770 361,836 230,542 7,867
- ----------------------------------------------------------------------------------------------------------------
Investments held as collateral for
securities lending program 1,124 89,806 -- 1,262
Cash -- 39 506 --
Receivables:
Investment securities sold 135 -- 22,387 1,721
Fund shares sold --^ 8 56 1
Interest and dividends 1 133 140 1
Variation margin -- -- 16 --
Securities lending (net) --^ 7 -- --^
Expense reimbursements 15 -- -- 7
- ----------------------------------------------------------------------------------------------------------------
Total Assets 6,045 451,829 253,647 10,859
- ----------------------------------------------------------------------------------------------------------------
LIABILITIES
Payables:
Investment securities purchased 156 -- 23,152 269
Collateral for securities
lending program 1,124 89,806 -- 1,262
Fund shares redeemed -- 242 1,258 1,548
Accrued liabilities:
Investment advisory fees -- 145 112 --
Administration fees -- 26 23 --
Shareholder servicing fees -- -- 16 --
Distribution fees --^ -- -- --
Custodian fees 14 12 16 5
Trustees' fees - deferred
compensation plan --^ 22 1 1
Other 37 38 64 23
- ----------------------------------------------------------------------------------------------------------------
Total Liabilities 1,331 90,291 24,642 3,108
- ----------------------------------------------------------------------------------------------------------------
NET ASSETS $ 4,714 $ 361,538 $ 229,005 $ 7,751
- ----------------------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
70
<Page>
<Table>
<Caption>
TRUST U.S. SMALL
SMALL CAP SMALL CAP U.S. SMALL COMPANY
GROWTH EQUITY COMPANY OPPORTUNITIES
FUND FUND FUND FUND
NET ASSETS
Paid in capital 5,050 227,256 187,367 164,127
Accumulated undistributed
(overdistributed) net investment income (16) (197) (251) (35)
Accumulated net realized gain (loss)
on investments and futures (1,208) 45,786 23,847 (157,579)
Net unrealized appreciation
(depreciation) of investments
and futures 888 88,693 18,042 1,238
- ----------------------------------------------------------------------------------------------------------------
Total Net Assets $ 4,714 $ 361,538 $ 229,005 $ 7,751
- ----------------------------------------------------------------------------------------------------------------
Class A $ 1,014 $ -- $ -- $ --
Class B $ -- $ -- $ -- $ --
Class C $ -- $ -- $ -- $ --
Institutional $ 3,418 $ -- $ 111,668 $ --
Select $ 282 $ 361,538 $ 117,337 $ 7,751
- ----------------------------------------------------------------------------------------------------------------
Total $ 4,714 $ 361,538 $ 229,005 $ 7,751
- ----------------------------------------------------------------------------------------------------------------
Shares of beneficial interest
outstanding ($0.001 par value;
unlimited number of shares authorized):
Class A 123 -- -- --
Class B -- -- -- --
Class C -- -- -- --
Institutional 406 -- 7,927 --
Select 34 7,335 8,320 804
Net Asset Value:
Class A (and redemption price) $ 8.21 $ -- $ -- $ --
Class B* $ -- $ -- $ -- $ --
Class C* $ -- $ -- $ -- $ --
Institutional (and redemption price) $ 8.43 $ -- $ 14.09 $ --
Select (and redemption price) $ 8.35 $ 49.29 $ 14.10 $ 9.64
Class A Maximum Public Offering
Price Per Share (net asset value per
share/94.25%) $ 8.71 $ -- $ -- $ --
Cost of investments $ 3,882 $ 273,143 $ 212,551 $ 6,629
- ----------------------------------------------------------------------------------------------------------------
Investment securities on loan, at value $ 1,103 $ 88,655 $ -- $ 1,167
- ----------------------------------------------------------------------------------------------------------------
</Table>
^ Amount rounds to less than one thousand.
* Redemption price may be reduced by contingent deferred sales charge.
SEE NOTES TO FINANCIAL STATEMENTS.
71
<Page>
STATEMENT OF
OPERATIONS FOR THE SIX MONTHS ENDED JUNE 30, 2004 (UNAUDITED)
(Amounts in thousands)
<Table>
<Caption>
DYNAMIC MID CAP MID CAP MID CAP SMALL CAP
SMALL CAP EQUITY GROWTH VALUE EQUITY
FUND FUND FUND FUND FUND
INVESTMENT INCOME
Dividend $ 361 $ 1,458 $ 276 $ 10,017 $ 2,222
Dividend income from affiliated
investments* 24 27 2 474 31
Securities lending (net) 24 5 5 28 76
Foreign taxes withheld -- -- --^ -- --
- ----------------------------------------------------------------------------------------------------------------------------------
Total investment income 409 1,490 283 10,519 2,329
- ----------------------------------------------------------------------------------------------------------------------------------
EXPENSES
Investment advisory fees 649 645 196 4,609 2,434
Administration fees 150 149 45 988 562
Shareholder servicing fees 250 248 75 1,271 936
Distribution fees 453 -- 83 1,459 189
Custodian fees 33 25 27 89 60
Interest expense 1 1 --^ -- 1
Printing and postage 29 13 24 73 41
Professional fees 28 23 25 41 32
Registration expenses 23 4 13 121 28
Transfer agent fees 269 11 50 669 167
Trustees' fees 2 1 --^ 10 7
Other 21 9 3 41 32
- ----------------------------------------------------------------------------------------------------------------------------------
Total expenses 1,908 1,129 541 9,371 4,489
- ----------------------------------------------------------------------------------------------------------------------------------
Less amounts waived 164 234 125 1,774 939
Less earnings credits --^ --^ --^ 1 --^
- ----------------------------------------------------------------------------------------------------------------------------------
Net expenses 1,744 895 416 7,596 3,550
- ----------------------------------------------------------------------------------------------------------------------------------
Net investment income (loss) (1,335) 595 (133) 2,923 (1,221)
- ----------------------------------------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
72
<Page>
<Table>
<Caption>
DYNAMIC MID CAP MID CAP MID CAP SMALL CAP
SMALL CAP EQUITY GROWTH VALUE EQUITY
FUND FUND FUND FUND FUND
REALIZED AND UNREALIZED
GAIN (LOSS) ON INVESTMENTS
Net realized gain (loss) on
transactions from:
Investments 13,505 17,961 6,591 20,871 74,344
Change in net unrealized
appreciation/depreciation of:
Investments (3,596) (2,167) (1,368) 66,752 910
Net realized and unrealized gain (loss)
on investments and futures 9,909 15,794 5,223 87,623 75,254
- ----------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets
from operations $ 8,574 $ 16,389 $ 5,090 $ 90,546 $ 74,033
- ----------------------------------------------------------------------------------------------------------------------------------
* Includes reimbursements of
investment advisory, administration
and shareholder servicing fees : $ 4 $ 5 $ --^ $ 78 $ 5
- ----------------------------------------------------------------------------------------------------------------------------------
</Table>
^ Amount rounds to less than one thousand.
SEE NOTES TO FINANCIAL STATEMENTS.
73
<Page>
<Table>
<Caption>
U.S. SMALL
SMALL CAP TRUST SMALL U.S. SMALL COMPANY
GROWTH CAP EQUITY COMPANY OPPORTUNITIES
FUND FUND FUND FUND
INVESTMENT INCOME
Interest $ -- $ -- $ 3 $ --
Dividend 7 1,019 1,068 15
Dividend income from affiliated
investments* 1 12 30 1
Securities lending (net) 1 17 11 --^
Foreign taxes withheld --^ -- (2) --^
- ----------------------------------------------------------------------------------------------------------------
Total investment income 9 1,048 1,110 16
- ----------------------------------------------------------------------------------------------------------------
EXPENSES
Investment advisory fees 19 1,215 875 29
Administration fees 3 280 219 7
Shareholder servicing fees 3 467 268 12
Distribution fees 1 -- -- --
Custodian fees 29 30 44 21
Interest expense -- 2 2 1
Printing and postage -- 24 15 1
Professional fees 25 25 28 27
Registration expenses 20 15 18 10
Transfer agent fees 17 11 42 12
Trustees' fees --^ 3 2 --^
Other 4 11 13 3
- ----------------------------------------------------------------------------------------------------------------
Total expenses 121 2,083 1,526 123
- ----------------------------------------------------------------------------------------------------------------
Less amounts waived 25 899 166 48
Less earnings credits --^ --^ --^ --^
Less expense reimbursements 71 -- -- 25
- ----------------------------------------------------------------------------------------------------------------
Net expenses 25 1,184 1,360 50
- ----------------------------------------------------------------------------------------------------------------
Net investment income (loss) (16) (136) (250) (34)
- ----------------------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
74
<Page>
<Table>
<Caption>
U.S. SMALL
SMALL CAP TRUST SMALL U.S. SMALL COMPANY
GROWTH CAP EQUITY COMPANY OPPORTUNITIES
FUND FUND FUND FUND
REALIZED AND UNREALIZED
GAIN (LOSS) ON INVESTMENTS
Net realized gain (loss) on
transactions from:
Investments 236 39,471 81,599 1,053
Futures -- -- 242 --
Change in net unrealized
appreciation/depreciation of:
Investments 95 (348) (78,569) (382)
Futures -- -- 90 --
Net realized and unrealized gain (loss)
on investments and futures 331 39,123 3,362 671
- ----------------------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets
from operations $ 315 $ 38,987 $ 3,112 $ 637
- ----------------------------------------------------------------------------------------------------------------
* Includes reimbursements of
investment advisory, administration
and shareholder servicing fees : $ --^ $ 2 $ 5 $ --^
- ----------------------------------------------------------------------------------------------------------------
</Table>
^ Amount rounds to less than one thousand.
SEE NOTES TO FINANCIAL STATEMENTS.
75
<Page>
STATEMENT OF CHANGES
IN NET ASSETS FOR THE PERIODS INDICATED (UNAUDITED)
(Amounts in thousands)
<Table>
<Caption>
DYNAMIC SMALL CAP FUND MID CAP EQUITY FUND
--------------------------------- ---------------------------------
1/1/04 Through Year Ended 1/1/04 Through Year Ended
6/30/04 12/31/03 6/30/04 12/31/03
INCREASE (DECREASE) IN NET
ASSETS FROM OPERATIONS
Net investment income (loss) $ (1,335) $ (2,278) $ 595 $ 779
Net realized gain (loss) on
investments 13,505 6,539 17,961 6,558
Change in net unrealized appreciation/
depreciation of investments (3,596) 47,379 (2,167) 39,408
- ----------------------------------------------------------------------------------------------------------------
Increase (decrease) in net assets
from operations 8,574 51,640 16,389 46,745
- ----------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO
SHAREHOLDERS FROM
Net investment income -- -- (582) (782)
Net realized gain on
investment transactions -- -- -- (5,709)
- ----------------------------------------------------------------------------------------------------------------
Total distributions to shareholders -- -- (582) (6,491)
- ----------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS
Increase (decrease) 8,598 (12,619) (819) 15,181
- ----------------------------------------------------------------------------------------------------------------
NET ASSETS
Total increase (decrease) in net assets 17,172 39,021 14,988 55,435
- ----------------------------------------------------------------------------------------------------------------
Beginning of period 191,365 152,344 194,066 138,631
- ----------------------------------------------------------------------------------------------------------------
End of period $ 208,537 $ 191,365 $ 209,054 $ 194,066
- ----------------------------------------------------------------------------------------------------------------
Accumulated undistributed
(overdistributed) net
investment income $ (1,359) $ (24) $ 3 $ (10)
- ----------------------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
76
<Page>
<Table>
<Caption>
MID CAP GROWTH FUND MID CAP VALUE FUND
--------------------------------- ---------------------------------
1/1/04 Through Year Ended 1/1/04 Through Year Ended
6/30/04 12/31/03 6/30/04 12/31/03
INCREASE (DECREASE) IN NET
ASSETS FROM OPERATIONS
Net investment income (loss) $ (133) $ (629) $ 2,923 $ 2,226
Net realized gain (loss) on
investments 6,591 (1,935) 20,871 5,402
Change in net unrealized appreciation/
depreciation of investments (1,368) 21,065 66,752 102,487
- ----------------------------------------------------------------------------------------------------------------
Increase (decrease) in net assets
from operations 5,090 18,501 90,546 110,115
- ----------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO
SHAREHOLDERS FROM
Net investment income -- -- -- (2,288)
Net realized gain on
investment transactions -- -- -- (4,605)
- ----------------------------------------------------------------------------------------------------------------
Total distributions to shareholders -- -- -- (6,893)
- ----------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS
Increase (decrease) (6,134) (14,090) 872,909 631,214
- ----------------------------------------------------------------------------------------------------------------
NET ASSETS
Total increase (decrease) in net assets (1,044) 4,411 963,455 734,436
- ----------------------------------------------------------------------------------------------------------------
Beginning of period 60,567 56,156 856,329 121,893
- ----------------------------------------------------------------------------------------------------------------
End of period $ 59,523 $ 60,567 $ 1,819,784 $ 856,329
- ----------------------------------------------------------------------------------------------------------------
Accumulated undistributed
(overdistributed) net
investment income $ (134) $ (1) $ 2,922 $ (1)
- ----------------------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
77
<Page>
<Table>
<Caption>
SMALL CAP EQUITY FUND SMALL CAP GROWTH FUND
--------------------------------- ---------------------------------
1/1/04 Through Year Ended 1/1/04 Through Year Ended
6/30/04 12/31/03 6/30/04 12/31/03
INCREASE (DECREASE) IN NET
ASSETS FROM OPERATIONS
Net investment income (loss) $ (1,221) $ (2,067) $ (16) $ (21)
Net realized gain (loss) on
investments 74,344 34,654 236 (334)
Change in net unrealized appreciation/
depreciation of investments 910 173,648 95 1,296
- ----------------------------------------------------------------------------------------------------------------
Increase (decrease) in net assets
from operations 74,033 206,235 315 941
- ----------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO
SHAREHOLDERS FROM
Net Investment Income -- -- -- --
- ----------------------------------------------------------------------------------------------------------------
Net realized gain on
investment transactions -- -- -- --
- ----------------------------------------------------------------------------------------------------------------
Total distributions to shareholders -- -- -- --
- ----------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS
Increase (decrease) (41,553) (62,159) 3 1,655
- ----------------------------------------------------------------------------------------------------------------
NET ASSETS
Total increase (decrease) in net assets 32,480 144,076 318 2,596
- ----------------------------------------------------------------------------------------------------------------
Beginning of period 746,465 602,389 4,396 1,800
- ----------------------------------------------------------------------------------------------------------------
End of period $ 778,945 $ 746,465 $ 4,714 $ 4,396
- ----------------------------------------------------------------------------------------------------------------
Accumulated undistributed
(overdistributed) net
investment income $ (1,311) $ (90) $ (16) $ --^
- ----------------------------------------------------------------------------------------------------------------
</Table>
^ Amount rounds to less than one thousand.
SEE NOTES TO FINANCIAL STATEMENTS.
78
<Page>
<Table>
<Caption>
TRUST SMALL CAP EQUITY FUND U.S. SMALL COMPANY FUND
--------------------------------- ---------------------------------
1/1/04 Through Year Ended 1/1/04 Through Year Ended
6/30/04 12/31/03 6/30/04 12/31/03
INCREASE (DECREASE) IN NET
ASSETS FROM OPERATIONS
Net investment income (loss) $ (136) $ 121 $ (250) $ 853
Net realized gain (loss) on
investments and futures 39,471 18,926 81,841 7,207
Change in net unrealized appreciation
(depreciation) of investments
and futures (348) 77,999 (78,479) 105,478
- ----------------------------------------------------------------------------------------------------------------
Increase (decrease) in net assets
from operations 38,987 97,046 3,112 113,538
- ----------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO
SHAREHOLDERS FROM
Net investment income -- (111) -- (1,000)
Net realized gain on
investment transactions -- (5,840) -- --
- ----------------------------------------------------------------------------------------------------------------
Total distributions to shareholders -- (5,951) -- (1,000)
- ----------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS
Increase (decrease) (63,402) 35,795 (113,565) (186,555)
- ----------------------------------------------------------------------------------------------------------------
NET ASSETS
Total increase (decrease) in net assets (24,415) 126,890 (110,453) (74,017)
- ----------------------------------------------------------------------------------------------------------------
Beginning of period 385,953 259,063 339,458 413,475
- ----------------------------------------------------------------------------------------------------------------
End of period $ 361,538 $ 385,953 $ 229,005 $ 339,458
- ----------------------------------------------------------------------------------------------------------------
Accumulated undistributed
(overdistributed) net
investment income $ (197) $ (61) $ (251) $ (1)
- ----------------------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
79
<Page>
<Table>
<Caption>
U.S. SMALL COMPANY
OPPORTUNITIES FUND
---------------------------------
1/1/04 through Year Ended
6/30/04 12/31/03
INCREASE (DECREASE) IN NET
ASSETS FROM OPERATIONS
Net investment income (loss) $ (34) $ (137)
Net realized gain (loss) on
investments 1,053 (3,387)
Change in net unrealized appreciation
(depreciation) of investments (382) 3,777
- ----------------------------------------------------------------------------
Increase (decrease) in net assets
from operations 637 253
- ----------------------------------------------------------------------------
DISTRIBUTIONS TO
SHAREHOLDERS FROM
Net investment income -- --
Net realized gain on
investment transactions -- --
- ----------------------------------------------------------------------------
Total distributions to shareholders -- --
- ----------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS
Increase (decrease) (2,619) (45,370)
- ----------------------------------------------------------------------------
NET ASSETS
Total increase (decrease) in net assets (1,982) (45,117)
- ----------------------------------------------------------------------------
Beginning of period 9,733 54,850
- ----------------------------------------------------------------------------
End of period $ 7,751 $ 9,733
- ----------------------------------------------------------------------------
Accumulated undistributed
(overdistributed) net
investment income $ (35) $ (1)
- ----------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
80
<Page>
JPMORGAN FUNDS
NOTES TO FINANCIAL
STATEMENTS (UNAUDITED)
1. ORGANIZATION
J.P. Morgan Funds ("JPMF"), J.P. Morgan Institutional Funds ("JPMIF"), J.P.
Morgan Mutual Fund Group ("JPMMFG"), J.P. Morgan Mutual Fund Select Group
("JPMMFSG") and J.P. Morgan Mutual Fund Investment Trust ("JPMMFIT") were
organized as Massachusetts business trusts and J.P. Morgan Fleming Mutual Fund
Group, Inc. ("JPMFMFG") was organized as a Maryland corporation. JPMF, JPMIF,
JPMMFG, JPMMFSG, JPMMFIT and JPMFMFG (collectively, the "Trusts") are registered
under the Investment Company Act of 1940, as amended (the "1940 Act"), as
open-end management investment companies. The Trusts were organized on the
following dates:
<Table>
<Caption>
TRUST DATE
JPMF November 4, 1992
JPMIF November 4, 1992
JPMMFG May 11, 1987
JPMMFSG October 1, 1996
JPMMFIT September 23, 1997
JPMFMFG August 19, 1997
</Table>
The following are nine separate portfolios of the Trusts (collectively, the
"Funds"):
<Table>
<Caption>
FUND CLASSES OFFERED
JPMorgan Dynamic Small Cap Fund ("DSCF") Class A, Class B, Class C and Select
JPMorgan Mid Cap Equity Fund ("MCEF") Select
JPMorgan Mid Cap Growth Fund ("MCGF") Class A and Class B
JPMorgan Mid Cap Value Fund ("MCVF") Class A, Class B, Class C, Institutional and Select
JPMorgan Small Cap Equity Fund ("SCEF") Class A, Class B and Select
JPMorgan Small Cap Growth Fund ("SCGF") Class A, Institutional and Select
JPMorgan Trust Small Cap Equity Fund ("TSCEF") Select
JPMorgan U.S. Small Company Fund ("USSCF") Institutional and Select
JPMorgan U.S. Small Company Opportunities Fund ("USSCOF") Select
</Table>
USSCOF is a separate series of JPMF. USSCF is a separate series of JPMIF. SCEF
and DSCF are separate series of JPMMFG. MCEF and TSCEF are separate series of
JPMMFSG. MCGF is a separate series of JPMMFIT. MCVF and SCGF are separate series
of JPMFMFG. On September 12, 2003, SCGF Class B and Class C shares merged into
Class A shares and Class B and Class C shares closed.
Class A shares generally provide for a front-end sales charge while Class B and
Class C shares provide for a contingent deferred sales charge. Class B shares
automatically convert to Class A shares after eight years. No sales charges are
assessed with respect to the Institutional Class shares and Select Class shares.
All classes of shares have equal rights as to earnings, assets and voting
privileges except that each class may bear different transfer agent,
distribution and shareholder servicing fees and each class has exclusive voting
rights with respect to its distribution plan and shareholder servicing
agreements. Class A shares for which front-end charges have been waived may be
subject to redemption charges as described in the Funds' prospectus.
81
<Page>
2. SIGNIFICANT ACCOUNTING POLICIES
THE FOLLOWING IS A SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES FOLLOWED BY THE
FUNDS:
The preparation of financial statements in accordance with accounting principles
generally accepted in the United States of America requires management to make
estimates and assumptions that affect the reported amounts and disclosures in
the financial statements. Actual results could differ from those estimates.
A. VALUATION OF INVESTMENTS -- Equity securities, purchased options and futures
contracts are valued at the last sale price on the exchange on which they are
primarily traded. The value of National Market Systems equity securities quotes
by the Nasdaq Stock Market, Inc. shall generally be the Nasdaq Official Closing
Price. Securities for which sale prices are not available and other
over-the-counter securities are valued at the mean between the bid and asked
quotations. Fixed income securities, other than convertible bonds, with a
maturity of 61 days or more held by the Funds will be valued each day based on
readily available market quotations received from independent or affiliated
commercial pricing services. Such pricing services will generally provide
bidside quotations. Convertible bonds are valued at the last sale price on the
primary exchange on which the bond is principally traded. All short-term
securities with a remaining maturity of sixty days or less are valued using the
amortized cost method, which approximates market value. When valuations are not
readily available, securities are valued at fair value as determined in
accordance with procedures adopted by the Trustees. It is possible that the
estimated values may differ significantly from the values that would have been
used had a ready market for the investments existed, and such differences could
have been material. Trading in securities on most foreign exchanges and over-the
counter markets is normally completed before the close of the domestic market
and may also take place on days when the domestic market is closed. In
accordance with procedures adopted by the Trustees, each of the Funds applies
fair value pricing on a daily basis for all non-U.S. and non-Canadian equity
securities held in its portfolio by utilizing the quotations of an independent
pricing service, unless the Fund's advisor, J.P. Morgan Investment Management
Inc. ("JPMIM" or the "Advisor"), determines that use of another valuation
methodology is appropriate. The pricing service uses statistical 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 the
amounts shown on the Statement of Assets and Liabilities, up to the notional
value of the futures contract. Use of short futures contracts subjects the Funds
to unlimited risk of loss. The Funds may enter into futures contracts only on
exchanges or boards of trade. The exchange or board of trade acts as the
counterparty to each futures transaction; therefore, the
82
<Page>
Funds' credit risk is limited to failure of the exchange or board of trade.
As of June 30, 2004, the Funds had outstanding futures contracts as listed on
the Funds' Portfolio of Investments.
C. RESTRICTED AND ILLIQUID SECURITIES -- The Funds may invest in securities that
are subject to legal or contractual restrictions on resale or are illiquid.
Restricted securities generally may be resold in transactions exempt from
registration. A security may be considered illiquid if it lacks a readily
available market or if its valuation has not changed for a certain period of
time. Disposal of these securities may involve time-consuming negotiations and
expense, and prompt sale at the current valuation may be difficult.
D. SECURITIES ON LOAN -- For all of the Funds, the Board of Trustees has
approved the lending of securities, through its custodian JPMorgan Chase Bank
("JPMCB"), an affiliate of the Funds, acting as lending agent to certain
borrowers. By lending investment securities, the Funds attempt to increase net
investment income through the receipt of interest (after rebates and fees) on
collateral received in connection with the loan. The net amount of interest
earned, after the rebate and fee, is included in the Statement of Operations as
Securities lending (net).
The loans are secured by collateral at least equal, at all times, to the value
of the securities loaned plus accrued interest. Gain or loss on the value of the
securities loaned that may occur during the term of the loan will be for the
account of the Fund. The Fund also continues to receive interest or dividends on
the securities loaned. The Fund has the right under the lending agreement to
recover the securities from the borrower on demand. JPMCB invests the cash
collateral on behalf of the Funds in accordance with investment guidelines
contained in the securities lending agreement.
At June 30, 2004, the market value of securities loaned and the amount of
collateral received were as follows (amounts in thousands):
<Table>
<Caption>
MARKET VALUE OF MARKET VALUE OF
SECURITIES LOANED COLLATERAL RECEIVED
DSCF $ 45,381 $ 45,870
MCEF 12,691 12,986
MCGF 9,451 9,612
MCVF 101,650 103,365
SCEF 139,945 140,960
SCGF 1,103 1,124
TSCEF 88,655 89,806
USSCOF 1,167 1,262
</Table>
JPMCB as lending agent receives a fee equal to 0.05% (0.06% prior to January 31,
2004) of the average dollar value of loans of U.S. securities outstanding during
a given month and 0.10% (0.1142% prior to January 31, 2004) of the average
dollar value of loans on non-U.S. securities outstanding during a given month
from the Funds as detailed below (amounts in thousands):
<Table>
DSCF $ 9
MCEF 2
MCGF 2
MCVF 13
SCEF 39
SCGF --^
TSCEF 4
USSCF 2
USSCOF --^
</Table>
^ Amount rounds to less than one thousand.
Risks of delay in recovery of securities or even loss of rights in the
collateral may occur should the borrower of the securities fail financially.
Risks may also arise to the extent that the value of the securities loaned
increases
83
<Page>
above the value of the collateral received. JPMCB will indemnify the
Fund from any loss resulting from a borrower's failure to return a loaned
security when due.
E. SECURITY TRANSACTIONS AND INVESTMENT INCOME -- Investment transactions are
accounted for on the trade date (the date the order to buy or sell is executed).
Securities gains and losses are calculated on the identified cost basis.
Interest income is determined on the basis of coupon interest accrued using the
interest method adjusted for amortization of premiums and accretion of
discounts. Dividend income less foreign taxes withheld, if any, is recorded on
the ex-dividend date or when the Fund first learns of the dividend.
F. ALLOCATION OF INCOME AND EXPENSES -- Expenses directly attributable to a Fund
are charged to that Fund; other expenses of the Trusts are allocated
proportionately among each of the Funds within the Trusts in relation to the net
assets of each Fund or on another reasonable basis. Expenses directly
attributable to a particular class are charged directly to such class. In
calculating the net asset value per share of each class, investment income,
realized and unrealized gains and losses and expenses other than class specific
expenses are allocated daily to each class of shares based upon the proportion
of net assets of each class at the beginning of each day.
G. FEDERAL INCOME TAXES -- Each Fund is treated as a separate taxable entity for
Federal income tax purposes. The Fund's policy is to comply with the provisions
of the Internal Revenue Code applicable to regulated investment companies and to
distribute to shareholders all of its distributable net investment income and
net realized gain on investments. In addition, the Funds intend to make
distributions as required to avoid excise taxes. Accordingly, no provision for
Federal income or excise tax is necessary.
H. DISTRIBUTIONS TO SHAREHOLDERS -- Dividends and distributions paid to
shareholders are recorded on the ex-dividend date. The amount of dividends and
distributions from net investment income and net realized capital gains is
determined in accordance with Federal income tax regulations, which may differ
from accounting principles generally accepted in the United States of America.
To the extent these "book/tax" differences are permanent in nature (i.e., that
they result from other than timing of recognition -- "temporary differences"),
such amounts are reclassified within the capital accounts based on their Federal
tax-basis treatment.
I. OTHER EXPENSES -- Other expenses in the Statement of Operations include fees
related to line of credit, insurance, pricing and reporting services.
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<Page>
3. FEES AND OTHER TRANSACTIONS WITH AFFILIATES
A. INVESTMENT ADVISORY FEE -- Pursuant to the Investment Advisory Agreements,
J.P. Morgan Investment Management ("JPMIM" or the "Advisor") acts as the
investment advisor to the Funds. JPMIM is a wholly owned subsidiary of J.P
Morgan Fleming Asset Management Holdings, Inc., which is a wholly owned
subsidiary of J.P Morgan Chase & Co. The Advisor supervises the investments of
each respective Fund and for such services is paid a fee. The fee is accrued
daily and paid monthly based on each Fund's respective average daily net assets.
The annual fee for each Fund is as follows:
<Table>
<Caption>
INVESTMENT
ADVISORY FEE (%)
FUND
DSCF 0.65%
MCEF 0.65%
MCGF 0.65%
MCVF 0.70%
SCEF 0.65%
SCGF 0.80%
TSCEF 0.65%
USSCF 0.60%
USSCOF 0.60%
</Table>
The Advisors waived fees as outlined in Note 3.F.
The Funds may invest in one or more of the affiliated JPMorgan Money Market
Funds. The Adviser has agreed to waive and/or reimburse its advisory fee from
the Funds in an amount sufficient to offset any doubling up of investment
advisory, administration and shareholder servicing fees related to each Fund's
investment in an affiliated money market fund.
B. DISTRIBUTION FEE -- Pursuant to a Distribution Agreement, J.P. Morgan Fund
Distributors, Inc. ("JPMFD" or "Distributor"), a wholly-owned subsidiary of The
BISYS Group, Inc., serves as the Trusts' exclusive underwriter and promotes and
arranges for the sale of each Fund's shares. JPMFD receives no compensation in
its capacity as the Funds' underwriter.
The Trustees have adopted Distribution Plans (the "Distribution Plans") for
Class A, B, and C Shares of the Funds in accordance with Rule 12b-1 under the
1940 Act. The Distribution Plans provide that each Fund shall pay distribution
fees, including payments to the Distributor, at annual rates of the average
daily net assets as shown in the table below (%):
<Table>
<Caption>
CLASS A CLASS B CLASS C
FUND
DSCF 0.25 0.75 0.75
MCGF 0.25 0.75 n/a
MCVF 0.25 0.75 0.75
SCEF 0.25 0.75 n/a
SCGF 0.25 n/a n/a
</Table>
85
<Page>
In addition, JPMFD is entiltled to receive the contingent deferred sales charge
("CDSC") from redemptions of Class B and C shares.
The Distributor waived fees as outlined in 3.F.
C. SHAREHOLDER SERVICING FEE -- The Trusts have entered into Shareholder
Servicing Agreements on behalf of the Funds with JPMCB, under which JPMCB
provides account administration and personal account maintenance services to
shareholders. For performing these services, JPMCB receives a fee that is
computed daily and paid monthly equal to a percentage of the average daily net
assets as shown in the table below (%):
<Table>
<Caption>
INSTITUTIONAL SELECT
CLASS A CLASS B CLASS C CLASS CLASS
FUND
DSCF 0.25 0.25 0.25 n/a 0.25
MCEF n/a n/a n/a n/a 0.25
MCGF 0.25 0.25 n/a n/a n/a
MCVF 0.25 0.25 0.25 0.10 0.25
SCEF 0.25 0.25 n/a n/a 0.25
SCGF 0.25 n/a n/a 0.10 0.25
TSCEF n/a n/a n/a n/a 0.25
USSCF n/a n/a n/a 0.10 0.25
USSCOF n/a n/a n/a n/a 0.25
</Table>
JPMCB may enter into services contracts with certain entities under which it
will pay all or a portion of the annual fee to such entities for performing
shareholder and administrative services
In addition, JPMCB, Charles Schwab & Co. ("Schwab") and the Trusts are parties
to separate services and operating agreements (the "Schwab Agreements") whereby
Schwab makes shares of the Funds available to customers of investment advisers
and other financial intermediaries who are Schwab's clients. The Funds are not
responsible for payments to Schwab under the Schwab Agreements; however, in the
event the servicing agreement with Schwab is terminated for reasons other than a
breach by Schwab and the relationship between the JPMMFG, JPMMFSG, JPMMFIT,
JPMFMFG, JPMF, and JPMIF with JPMCB are terminated, the Funds would be
responsible for the ongoing payments to Schwab with respect to pre-termination
shares.
JPMCB waived fees as outlined in Note 3.F.
D. CUSTODIAN AND ACCOUNTING FEES -- JPMCB provides portfolio custody 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 FEE -- Pursuant to the Administration Agreement, JPMCB (the
"Administrator") provides certain administration services to the Funds. In
consideration of these services, the Administrator receives a fee computed daily
and paid monthly at the annual rate
86
<Page>
equal to 0.15% of the first $25 billion of the average daily net assets of all
non-money market funds in the JPMorgan Fund Complex and 0.075% of the average
daily net assets in excess of $25 billion.
BISYS Fund Services, LP ("BISYS") serves as the Funds' sub-administrator. For
its services as sub-administrator, BISYS receives a portion of the fees payable
to JPMCB as Administrator. The Administrator has contractually agreed to
reimburse the Funds to the extent that total operating expenses (excluding
interest, taxes, extraordinary expenses and expenses related to the deferred
compensation plan) exceed the percentages of their respective average daily net
assets as shown in the table below (%):
<Table>
<Caption>
INSTITUTIONAL SELECT
CLASS A CLASS B CLASS C CLASS CLASS
FUND
DSCF 1.50 2.12 2.12 n/a 1.10
MCEF n/a n/a n/a n/a 1.00
MCGF 1.35 2.05 n/a n/a n/a
MCVF 1.25 2.00 2.00 0.75 1.00
SCEF 1.38 2.12 n/a n/a 0.85
SCGF 1.60 n/a n/a 0.85 1.10
USSCF n/a n/a n/a 0.83 1.01
USSCOF n/a n/a n/a n/a 1.02
</Table>
The contractual expense limitation agreements were in effect for the six months
ended June 30, 2004 for the Funds. The expense limitation percentages in the
table above are due to expire on April 30, 2005.
The Administrator waived fees and reimbursed expenses as outlined in Note 3.F.
F. WAIVERS AND REIMBURSEMENTS -- For the six months ended June 30, 2004, the
Funds' vendors waived fees and the Administrator contractually reimbursed
expenses for each of the Funds as follows (amounts in thousands).
Neither the Funds' service providers nor the Administrator expect the Funds to
repay any such waived fees and reimbursed expenses in future years.
<Table>
<Caption>
CONTRACTUAL WAIVERS
--------------------------------------------------------------------
INVESTMENT SHAREHOLDER CONTRACTUAL
ADVISORY ADMINISTRATION SERVICING DISTRIBUTION TOTAL REIMBURSEMENTS
FUND
DSCF $ -- $ 20 $ 144 $ -- $ 164 $ --
MCEF -- -- 135 -- 135 --
MCGF 38 30 57 -- 125 --
MCVF 793 270 593 -- 1,656 --
SCEF -- 37 889 13 939 --
SCGF 19 3 3 -- 25 71
USSCF -- 34 132 -- 166 --
USSCOF 29 7 12 -- 48 25
- -------------------------------------------------------------------------------------------------------
Total $ 879 $ 401 $ 1,965 $ 13 $ 3,258 $ 96
- -------------------------------------------------------------------------------------------------------
</Table>
87
<Page>
<Table>
<Caption>
VOLUNTARY WAIVERS
--------------------------------------------------
INVESTMENT SHAREHOLDER
ADVISORY ADMINISTRATION SERVICING TOTAL
FUND
MCEF $ -- $ 36 $ 63 $ 99
MCVF 59 59 -- 118
TSCEF 338 94 467 899
- --------------------------------------------------------------------
Total $ 397 $ 189 $ 530 $ 1,116
- --------------------------------------------------------------------
</Table>
G. OTHER Certain officers of the Trusts are officers of JPMorgan Chase & Co. or
of BISYS or their subsidiaries.
During the period, certain Funds may have purchased securities from an
underwriting syndicate in which the principal underwriter or members of the
syndicate were affiliated with the Advisors.
The Funds may use related party broker/dealers. For the six months ended June
30, 2004 MCEF incurred approximately $1 (in thousands), as brokerage commissions
with brokers/dealers affiliated with JPMCB.
The SEC has granted an exemptive order permitting each fund to engage in
principal transactions with J.P. Morgan Securities Inc., an affiliated broker,
involving taxable money market instruments subject to certain conditions.
4. CLASS SPECIFIC EXPENSES
The Funds' class specific expenses for the six months ended June 30, 2004 are as
follows (amounts in thousands):
<Table>
<Caption>
SHAREHOLDER
SERVICING DISTRIBUTION TRANSFER AGENT
DSCF
Class A $ 119 $ 119 $ 135
Class B 78 232 88
Class C 34 102 38
Select 19 -- 8
- -------------------------------------------------------------
$ 250 $ 453 $ 269
MCEF
Select $ 248 $ -- $ 11
MCGF
Class A $ 71 $ 72 $ 48
Class B 4 11 2
- -------------------------------------------------------------
$ 75 $ 83 $ 50
- -------------------------------------------------------------
</Table>
88
<Page>
<Table>
<Caption>
SHAREHOLDER
SERVICING DISTRIBUTION TRANSFER AGENT
MCVF
Class A $ 572 $ 572 $ 395
Class B 105 315 72
Class C 190 572 132
Institutional 250 -- 56
Select 154 -- 14
- -------------------------------------------------------------
$ 1,271 $ 1,459 $ 669
SCEF
Class A $ 106 $ 106 $ 117
Class B 28 83 31
Select 802 -- 19
- -------------------------------------------------------------
$ 936 $ 189 $ 167
SCGF
Class A $ 1 $ 1 $ 8
Institutional 2 -- 5
Select --^ -- 4
- -------------------------------------------------------------
$ 3 $ 1 $ 17
TSCEF
Select $ 467 $ -- $ 11
USSCF
Institutional $ 65 $ -- $ 11
Select 203 -- 31
- -------------------------------------------------------------
$ 268 $ -- $ 42
USSCOF
Select $ 12 $ -- $ 12
</Table>
^ Amount rounds to less than one thousand.
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<Page>
5. CLASS SPECIFIC DISTRIBUTIONS
The Funds' class specific distributions from net investment income and realized
gain on investment transactions for the six months ended June 30, 2004, and the
year ended December 31, 2003 are as follows (amounts in thousands):
<Table>
<Caption>
SIX MONTHS ENDED JUNE 30, 2004 YEAR ENDED DECEMBER 31, 2003
------------------------------------ ------------------------------------
NET NET
INVESTMENT INCOME REALIZED GAIN INVESTMENT INCOME REALIZED GAIN
MCEF
Select $ 582 $ -- $ 782 $ 5,709
MCVF
Class A $ -- $ -- $ 669 $ 1,468
Class B -- -- -- 389
Class C -- -- 20 561
Institutional -- -- 1,392 1,820
Select -- -- 207 367
- ---------------------------------------------------------------------------------------------------
$ -- $ -- $ 2,288 $ 4,605
TSCEF
Select $ -- $ -- $ 111 $ 5,840
USSCF
Institutional $ -- $ -- $ 587 $ --
Select -- -- 413 --
- ---------------------------------------------------------------------------------------------------
$ -- $ -- $ 1,000 $ --
- ---------------------------------------------------------------------------------------------------
</Table>
90
<Page>
6. 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 PURCHASES SALES
(EXCLUDING U.S. (EXCLUDING U.S. OF U.S. OF U.S.
GOVERNMENT) GOVERNMENT) GOVERNMENT GOVERNMENT
FUND
DSCF $ 64,519 $ 58,612 $ -- $ --
MCEF 115,766 120,296 -- --
MCGF 40,604 47,111 -- --
MCVF 1,093,599 276,681 -- --
SCEF 195,338 249,124 -- --
SCGF 2,517 2,409 -- --
TSCEF 81,545 150,054 -- --
USSCF 285,258 407,657 -- --
USSCOF 5,668 9,673 -- --
</Table>
7. 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, were as
follows (amounts in thousands):
<Table>
<Caption>
GROSS GROSS NET UNREALIZED
AGGREGATE UNREALIZED UNREALIZED APPRECIATION/
COST APPRECIATION (DEPRECIATION) (DEPRECIATION)
FUND
DSCF $ 165,768 $ 50,434 $ (6,825) $ 43,609
MCEF 169,146 42,261 (1,032) 41,229
MCGF 49,680 11,526 (868) 10,658
MCVF 1,617,912 176,686 (4,499) 172,187
SCEF 595,071 199,888 (14,454) 185,434
SCGF 3,882 1,027 (139) 888
TSCEF 273,143 94,647 (5,954) 88,693
USSCF 212,551 20,467 (2,476) 17,991
USSCOF 6,629 1,458 (220) 1,238
</Table>
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<Page>
8. BANK BORROWINGS
Pursuant to a Line of Credit Agreement, dated April 17, 2003, the Funds may
borrow money for temporary or emergency purposes. The Funds had entered into the
agreement, enabling them to participate with other JPMorgan Funds in a line of
credit with JPMCB, as administrative agent, and with a syndicate of banks, which
permits borrowings up to $250 million, collectively. Interest is charged to each
Fund based on its borrowings at an annual rate equal to the sum of the Federal
Funds Rate plus 0.50%. The Funds also pay a commitment fee of 0.09% per annum on
the average daily amount of the available commitment, which is allocated on a
pro-rata basis to the Funds. The commitment fee is included in Other expenses on
the Statement of Operations. This agreement expired on April 15, 2004, and has
been extended to April 14, 2005.
The Funds had no borrowings outstanding at June 30, 2004 nor at any time during
the period then ended.
9. CONCENTRATIONS AND INDEMNIFICATIONS
From time to time, the Funds may have a concentration of several shareholders
which may be a related party, holding a significant percentage of shares
outstanding. Investment activities of these shareholders could have a material
impact on the Funds.
As of June 30, 2004, there were individual shareholders who owned 35% and 29% of
SCGF.
In the normal course of business, the Funds enter into contracts that contain a
variety of representations which provide general indemnifications. Each Fund's
maximum exposure under these arrangements is unknown as this would involve
future claims that may be made against each Fund that have not yet occurred.
However, based on experience, the Funds expect the risk of loss to be remote.
10. CORPORATE EVENT
On May 25, 2004, J.P. Morgan Chase & Co. and Bank One Corp. announced that, at
separate meetings, their respective shareholders had approved the merger of the
two companies. The companies completed the merger of their holding companies on
July 1, 2004. Effective July 20, 2004, the name of the combined holding company
changed to JPMorgan Chase & Co.
11. SUBSEQUENT EVENTS
TSCEF will undergo changes to its portfolio management team, benchmark, and
investment process effective July 16, 2004.
On August 19, 2004, the Board of Trustees approved management's proposals:
1) to enter into an Administration Agreement with One Group Administrative
Services, Inc., an indirect wholly-owned subsidiary of JPMorgan Chase & Co., and
2) to enter into a Distribution Agreement with One Group Dealer Services, Inc.,
a direct wholly-owned subsidiary of JPMorgan Chase & Co.
The foregoing changes in service providers are expected to occur effective
February 19, 2005.
On August 19, 2004, the Board of Trustees of the Trust approved management's
proposal to merge the JPMorgan Small Cap Growth Fund and the JPMorgan U.S. Small
Company Opportunities Fund (the "Target Funds") with and into the One Group
Small Cap Growth Fund. The proposed merger is contingent upon, among other
things, approval by the Target Funds' shareholders and regulatory review and
receipt of an opinion of counsel to the effect that the merger will qualify as a
tax-free reorganization for Federal income tax purposes. If approved, the merger
is expected to occur on February 18, 2005, or such later date as the parties to
such merger transaction may agree.
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<Page>
12. CAPITAL SHARE TRANSACTIONS
Capital share transactions were as follows for the periods presented (amounts in
thousands):
<Table>
<Caption>
DYNAMIC SMALL CAP FUND
-------------------------------------
SIX MONTHS ENDED YEAR ENDED
JUNE 30, 2004 DECEMBER 31, 2003
CLASS A SHARES
AMOUNT
Shares sold $ 19,230 $ 33,709
Shares redeemed (13,639) (53,209)
- --------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ 5,591 $ (19,500)
- --------------------------------------------------------------------------------------
SHARES
Shares sold 1,117 2,294
Shares redeemed (795) (3,769)
- --------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding 322 (1,475)
- --------------------------------------------------------------------------------------
CLASS B SHARES
AMOUNT
Shares sold $ 6,539 $ 10,241
Shares redeemed (8,917) (12,042)
- --------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ (2,378) $ (1,801)
- --------------------------------------------------------------------------------------
SHARES
Shares sold 398 756
Shares redeemed (550) (932)
- --------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding (152) (176)
- --------------------------------------------------------------------------------------
CLASS C SHARES
AMOUNT
Shares sold $ 9,666 $ 11,002
Shares redeemed (2,478) (2,766)
- --------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ 7,188 $ 8,236
- --------------------------------------------------------------------------------------
SHARES
Shares sold 594 789
Shares redeemed (153) (209)
- --------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding 441 580
- --------------------------------------------------------------------------------------
</Table>
93
<Page>
<Table>
<Caption>
DYNAMIC SMALL CAP FUND
-------------------------------------
SIX MONTHS ENDED YEAR ENDED
JUNE 30, 2004 DECEMBER 31, 2003
SELECT SHARES
AMOUNT
Shares sold $ 5,240 $ 11,103
Shares redeemed (7,043) (10,657)
- --------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ (1,803) $ 446
- --------------------------------------------------------------------------------------
SHARES
Shares sold 296 806
Shares redeemed (402) (861)
- --------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding (106) (55)
- --------------------------------------------------------------------------------------
</Table>
<Table>
<Caption>
MID CAP EQUITY FUND
-------------------------------------
SIX MONTHS ENDED YEAR ENDED
JUNE 30, 2004 DECEMBER 31, 2003
SELECT SHARES
AMOUNT
Shares sold $ 25,225 $ 38,236
Shares issued in reinvestment
of distributions 21 4,884
Shares redeemed (26,065) (27,939)
- --------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ (819) $ 15,181
- --------------------------------------------------------------------------------------
SHARES
Shares sold 771 1,383
Shares issued in reinvestment
of distributions 1 160
Shares redeemed (797) (1,002)
- --------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding (25) 541
- --------------------------------------------------------------------------------------
</Table>
94
<Page>
<Table>
<Caption>
MID CAP GROWTH FUND
-------------------------------------
SIX MONTHS ENDED YEAR ENDED
JUNE 30, 2004 DECEMBER 31, 2003
CLASS A SHARES
AMOUNT
Shares sold $ 1,241 $ 829
Shares redeemed (7,158) (14,203)
- --------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ (5,917) $ (13,374)
- --------------------------------------------------------------------------------------
SHARES
Shares sold 240 191
Shares redeemed (1,391) (3,409)
- --------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding (1,151) (3,218)
- --------------------------------------------------------------------------------------
CLASS B SHARES
AMOUNT
Shares sold $ 95 $ 351
Shares redeemed (312) (1,067)
- --------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ (217) $ (716)
- --------------------------------------------------------------------------------------
SHARES
Shares sold 19 85
Shares redeemed (63) (255)
- --------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding (44) (170)
- --------------------------------------------------------------------------------------
</Table>
95
<Page>
<Table>
<Caption>
MID CAP VALUE FUND
-------------------------------------
SIX MONTHS ENDED YEAR ENDED
JUNE 30, 2004 DECEMBER 31, 2003
CLASS A SHARES
AMOUNT
Shares sold $ 376,803 $ 251,409
Shares issued in reinvestment
of distributions -- 1,676
Shares redeemed (49,247) (33,488)
- --------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ 327,556 $ 219,597
- --------------------------------------------------------------------------------------
SHARES
Shares sold 19,432 14,916
Shares issued in reinvestment
of distributions -- 92
Shares redeemed (2,538) (2,080)
- --------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding 16,894 12,928
- --------------------------------------------------------------------------------------
CLASS B SHARES
AMOUNT
Shares sold $ 31,317 $ 46,760
Shares issued in reinvestment
of distributions -- 317
Shares redeemed (4,205) (2,807)
- --------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ 27,112 $ 44,270
- --------------------------------------------------------------------------------------
SHARES
Shares sold 1,638 2,882
Shares issued in reinvestment
of distributions -- 18
Shares redeemed (220) (177)
- --------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding 1,418 2,723
- --------------------------------------------------------------------------------------
CLASS C SHARES
AMOUNT
Shares sold $ 103,760 $ 84,896
Shares issued in reinvestment
of distributions -- 404
Shares redeemed (8,246) (2,423)
- --------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ 95,514 $ 82,877
- --------------------------------------------------------------------------------------
SHARES
Shares sold 5,412 5,088
Shares issued in reinvestment
of distributions -- 23
Shares redeemed (430) (152)
- --------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding 4,982 4,959
- --------------------------------------------------------------------------------------
</Table>
96
<Page>
<Table>
<Caption>
MID CAP VALUE FUND
-------------------------------------
SIX MONTHS ENDED YEAR ENDED
JUNE 30, 2004 DECEMBER 31, 2003
INSTITUTIONAL SHARES
AMOUNT
Shares sold $ 353,211 $ 281,596
Shares issued in reinvestment
of distributions -- 2,657
Shares redeemed (38,424) (53,554)
- --------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ 314,787 $ 230,699
- --------------------------------------------------------------------------------------
SHARES
Shares sold 18,035 16,975
Shares issued in reinvestment
of distributions -- 145
Shares redeemed (1,973) (3,357)
- --------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding 16,062 13,763
- --------------------------------------------------------------------------------------
SELECT SHARES
AMOUNT
Shares sold $ 133,714 $ 61,454
Shares issued in reinvestment
of distributions -- 528
Shares redeemed (25,774) (8,211)
- --------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ 107,940 $ 53,771
- --------------------------------------------------------------------------------------
SHARES
Shares sold 6,824 3,598
Shares issued in reinvestment
of distributions -- 29
Shares redeemed (1,329) (490)
- --------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding 5,495 3,137
- --------------------------------------------------------------------------------------
</Table>
97
<Page>
<Table>
<Caption>
SMALL CAP EQUITY FUND
-------------------------------------
SIX MONTHS ENDED YEAR ENDED
JUNE 30, 2004 DECEMBER 31, 2003
CLASS A SHARES
AMOUNT
Shares sold $ 12,349 $ 16,547
Shares redeemed (20,493) (29,997)
- --------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ (8,144) $ (13,450)
- --------------------------------------------------------------------------------------
SHARES
Shares sold 493 857
Shares redeemed (817) (1,535)
- --------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding (324) (678)
- --------------------------------------------------------------------------------------
CLASS B SHARES
AMOUNT
Shares sold $ 978 $ 2,152
Shares redeemed (3,255) (8,560)
- --------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ (2,277) $ (6,408)
- --------------------------------------------------------------------------------------
SHARES
Shares sold 42 119
Shares redeemed (141) (502)
- --------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding (99) (383)
- --------------------------------------------------------------------------------------
SELECT SHARES
AMOUNT
Shares sold $ 56,996 $ 86,699
Shares redeemed (88,128) (129,000)
- --------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ (31,132) $ (42,301)
- --------------------------------------------------------------------------------------
SHARES
Shares sold 2,201 4,330
Shares redeemed (3,393) (6,457)
- --------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding (1,192) (2,127)
- --------------------------------------------------------------------------------------
</Table>
98
<Page>
<Table>
<Caption>
SMALL CAP GROWTH FUND
-------------------------------------
SIX MONTHS ENDED YEAR ENDED
JUNE 30, 2004 DECEMBER 31, 2003
CLASS A SHARES
AMOUNT
Shares sold $ 202 $ 718
Shares redeemed (260) (156)
- --------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ (58) $ 562
- --------------------------------------------------------------------------------------
SHARES
Shares sold 24 104
Shares redeemed (33) (22)
- --------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding (9) 82
- --------------------------------------------------------------------------------------
CLASS B SHARES*
AMOUNT
Shares sold $ -- $ 75
Shares redeemed -- (275)
- --------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ -- $ (200)
- --------------------------------------------------------------------------------------
SHARES
Shares sold -- 12
Shares redeemed -- (42)
- --------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding -- (30)
- --------------------------------------------------------------------------------------
CLASS C SHARES*
AMOUNT
Shares sold $ -- $ 52
Shares redeemed -- (97)
- --------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ -- $ (45)
- --------------------------------------------------------------------------------------
SHARES
Shares sold -- 9
Shares redeemed -- (15)
- --------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding -- (6)
- --------------------------------------------------------------------------------------
</Table>
* Class ceased operations as of September 12, 2003.
99
<Page>
<Table>
<Caption>
SMALL CAP GROWTH FUND
-------------------------------------
SIX MONTHS ENDED YEAR ENDED
JUNE 30, 2004 DECEMBER 31, 2003
INSTITUTIONAL SHARES
AMOUNT
Shares sold $ 1 $ 1,620
Shares redeemed -- (374)
- --------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ 1 $ 1,246
- --------------------------------------------------------------------------------------
SHARES
Shares sold --^ 232
Shares redeemed -- (48)
- --------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding --^ 184
- --------------------------------------------------------------------------------------
SELECT SHARES
AMOUNT
Shares sold $ 86 $ 155
Shares redeemed (26) (63)
- --------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ 60 $ 92
- --------------------------------------------------------------------------------------
SHARES
Shares sold 11 22
Shares redeemed (3) (12)
- --------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding 8 10
- --------------------------------------------------------------------------------------
</Table>
^ Amount rounds to less than one thousand.
100
<Page>
<Table>
<Caption>
TRUST SMALL CAP EQUITY FUND
-------------------------------------
SIX MONTHS ENDED YEAR ENDED
JUNE 30, 2004 DECEMBER 31, 2003
SELECT SHARES
AMOUNT
Shares sold $ 21,384 $ 78,208
Shares issued in reinvestment
of distributions -- 4,679
Shares redeemed (84,786) (47,092)
- --------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ (63,402) $ 35,795
- --------------------------------------------------------------------------------------
SHARES
Shares sold 464 2,037
Shares issued in reinvestment
of distributions -- 107
Shares redeemed (1,823) (1,219)
- --------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding (1,359) 925
- --------------------------------------------------------------------------------------
</Table>
101
<Page>
<Table>
<Caption>
U.S. SMALL COMPANY FUND
-------------------------------------
SIX MONTHS ENDED YEAR ENDED
JUNE 30, 2004 DECEMBER 31, 2003
INSTITUTIONAL SHARES
AMOUNT
Shares sold $ 9,676 $ 44,698
Shares issued in reinvestment
of distributions -- 272
Shares redeemed (56,220) (153,678)
- --------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ (46,544) $ (108,708)
- --------------------------------------------------------------------------------------
SHARES
Shares sold 688 3,883
Shares issued in reinvestment
of distributions -- 21
Shares redeemed (4,025) (14,211)
- --------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding (3,337) (10,307)
- --------------------------------------------------------------------------------------
SELECT SHARES
AMOUNT
Shares sold $ 12,829 $ 35,591
Shares issued in reinvestment
of distributions -- 368
Shares redeemed (79,850) (113,806)
- --------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ (67,021) $ (77,847)
- --------------------------------------------------------------------------------------
SHARES
Shares sold 906 3,163
Shares issued in reinvestment
of distributions -- 28
Shares redeemed (5,757) (9,973)
- --------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding (4,851) (6,782)
- --------------------------------------------------------------------------------------
</Table>
102
<Page>
<Table>
<Caption>
U.S. SMALL COMPANY OPPORTUNITIES FUND
-------------------------------------
SIX MONTHS ENDED YEAR ENDED
JUNE 30, 2004 DECEMBER 31, 2003
SELECT SHARES
AMOUNT
Shares sold $ 843 $ 12,334
Shares redeemed (3,462) (57,704)
- --------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ (2,619) $ (45,370)
- --------------------------------------------------------------------------------------
SHARES
Shares sold 90 1,667
Shares redeemed (365) (8,376)
- --------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding (275) (6,709)
- --------------------------------------------------------------------------------------
</Table>
103
<Page>
JPMORGAN FUNDS
FINANCIAL HIGHLIGHTS (UNAUDITED)
CLASS A SHARES
<Table>
<Caption>
PER SHARE OPERATING PERFORMANCE:
------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS: LESS DISTRIBUTIONS:
------------------------------------------ ------------------------------------------
NET GAINS
OR LOSSES ON
NET ASSET NET SECURITIES DIVIDENDS
VALUE, INVESTMENT (BOTH TOTAL FROM FROM NET DISTRIBUTIONS
BEGINNING INCOME REALIZED AND INVESTMENT INVESTMENT FROM CAPITAL TOTAL
OF PERIOD (LOSS) UNREALIZED) OPERATIONS INCOME GAINS DISTRIBUTIONS
DYNAMIC SMALL CAP FUND
1/1/04 Through 6/30/04 $ 16.81 (0.09)@ 0.87 0.78 -- -- --
Year Ended 12/31/03 $ 12.14 (0.16)@ 4.83 4.67 -- -- --
Year Ended 12/31/02 $ 15.72 (0.18) (3.40) (3.58) -- -- --
11/1/01 Through 12/31/01^ $ 14.21 (0.03) 1.54 1.51 -- -- --
Year Ended 10/31/01 $ 24.54 (0.24) (6.71) (6.95) -- 3.38 3.38
Year Ended 10/31/00 $ 15.98 (0.22)@ 8.78 8.56 -- -- --
Year Ended 10/31/99 $ 12.79 (0.15) 3.34 3.19 -- -- --
MID CAP GROWTH FUND
1/1/04 Through 6/30/04 $ 4.91 (0.01)@ 0.44 0.43 -- -- --
Year Ended 12/31/03 $ 3.57 (0.04)@ 1.38 1.34 -- -- --
Year Ended 12/31/02 $ 5.06 (0.05)@ (1.44) (1.49) -- -- --
10/1/01 Through 12/31/01++ $ 4.27 (0.01) 0.80 0.79 -- -- --
Year Ended 9/30/01 $ 12.51 (0.02)@ (8.06) (8.08) -- 0.16 0.16
10/29/99* Through 9/30/00 $ 10.00 (0.09) 2.60 2.51 -- -- --
MID CAP VALUE FUND
1/1/04 Through 6/30/04 $ 18.62 0.03@ 1.35 1.38 -- -- --
Year Ended 12/31/03 $ 14.44 0.09@ 4.25 4.34 0.05 0.11 0.16
Year Ended 12/31/02 $ 14.10 0.07@ 0.31 0.38 0.03 0.01 0.04
10/1/01 Through 12/31/01++ $ 13.43 0.02@ 1.48 1.50 0.08 0.75 0.83
4/30/01** Through 9/30/01 $ 14.24 0.04@ (0.85) (0.81) -- -- --
</Table>
^ The Fund changed its fiscal year end from October 31 to December 31.
++ The Fund changed its fiscal year end from September 30 to December 31.
* Commencement of operations.
** Commencement of offering of class of shares.
@ Calculated based upon average shares outstanding.
SEE NOTES TO FINANCIAL STATEMENTS.
104
<Page>
<Table>
<Caption>
PER SHARE OPERATING PERFORMANCE:
--------------------------------
NET ASSET
VALUE, END TOTAL
OF PERIOD RETURN (1)(a)
DYNAMIC SMALL CAP FUND
1/1/04 Through 6/30/04 $ 17.59 4.64%
Year Ended 12/31/03 $ 16.81 38.47%
Year Ended 12/31/02 $ 12.14 (22.77%)
11/1/01 Through 12/31/01^ $ 15.72 10.63%
Year Ended 10/31/01 $ 14.21 (30.60%)
Year Ended 10/31/00 $ 24.54 53.57%
Year Ended 10/31/99 $ 15.98 24.94%
MID CAP GROWTH FUND
1/1/04 Through 6/30/04 $ 5.34 8.76%
Year Ended 12/31/03 $ 4.91 37.53%
Year Ended 12/31/02 $ 3.57 (29.45%)
10/1/01 Through 12/31/01++ $ 5.06 18.50%
Year Ended 9/30/01 $ 4.27 (65.10%)
10/29/99* Through 9/30/00 $ 12.51 25.12%
MID CAP VALUE FUND
1/1/04 Through 6/30/04 $ 20.00 7.41%
Year Ended 12/31/03 $ 18.62 30.07%
Year Ended 12/31/02 $ 14.44 2.68%
10/1/01 Through 12/31/01++ $ 14.10 11.20%
4/30/01** Through 9/30/01 $ 13.43 (5.69%)
<Caption>
RATIOS/SUPPLEMENTAL DATA:
-----------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
-----------------------------------------------------------------------
NET INVESTMENT
NET ASSETS, NET EXPENSES INCOME (LOSS)
END OF INVESTMENT WITHOUT WAIVERS, WITHOUT WAIVERS, PORTFOLIO
PERIOD NET INCOME REIMBURSEMENTS REIMBURSEMENTS TURNOVER
(MILLIONS) EXPENSES (LOSS) AND EARNINGS CREDITS AND EARNINGS CREDITS RATE (a)
DYNAMIC SMALL CAP FUND
1/1/04 Through 6/30/04 $ 99 1.50% (1.09%) 1.72% (1.31%) 30%
Year Ended 12/31/03 $ 89 1.50% (1.19%) 1.86% (1.54%) 55%
Year Ended 12/31/02 $ 82 1.50% (1.20%) 1.82% (1.52%) 52%
11/1/01 Through 12/31/01^ $ 125 1.50% (1.21%) 1.63% (1.34%) 8%
Year Ended 10/31/01 $ 120 1.50% (1.13%) 1.64% (1.27%) 57%
Year Ended 10/31/00 $ 154 1.50% (0.99%) 1.76% (1.25%) 87%
Year Ended 10/31/99 $ 78 1.49% (0.95%) 1.89% (1.35%) 92%
MID CAP GROWTH FUND
1/1/04 Through 6/30/04 $ 57 1.35% (0.41%) 1.78% (0.84%) 68%
Year Ended 12/31/03 $ 58 1.35% (1.05%) 1.77% (1.47%) 69%
Year Ended 12/31/02 $ 53 1.35% (1.15%) 1.62% (1.42%) 39%
10/1/01 Through 12/31/01++ $ 101 1.35% (0.84%) 1.35% (0.84%) 135%
Year Ended 9/30/01 $ 94 1.30% (0.54%) 1.30% (0.54%) 159%
10/29/99* Through 9/30/00 $ 33 1.16% (0.68%) 1.20% (0.72%) 147%
MID CAP VALUE FUND
1/1/04 Through 6/30/04 $ 633 1.25% 0.35% 1.58% 0.02% 22%
Year Ended 12/31/03 $ 275 1.25% 0.51% 1.65% 0.11% 32%
Year Ended 12/31/02 $ 26 1.25% 0.50% 1.70% 0.05% 51%
10/1/01 Through 12/31/01++ $ 5 1.25% 0.47% 3.72%!! (2.00%) 15%
4/30/01** Through 9/30/01 $ 2 1.30% 0.71% 15.30%!! (13.29%)!! 98%
</Table>
(1) Total return figures do not include the effect of any front-end sales load.
(a) Not annualized for periods less than one year.
# Short periods have been annualized.
!! Due to the size of net assets and fixed expenses, ratios may appear
disproportionate.
SEE NOTES TO FINANCIAL STATEMENTS.
105
<Page>
<Table>
<Caption>
PER SHARE OPERATING PERFORMANCE:
------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS: LESS DISTRIBUTIONS:
------------------------------------------ ------------------------------------------
NET GAINS
OR LOSSES ON
NET ASSET NET SECURITIES DIVIDENDS
VALUE, INVESTMENT (BOTH TOTAL FROM FROM NET DISTRIBUTIONS
BEGINNING INCOME REALIZED AND INVESTMENT INVESTMENT FROM CAPITAL TOTAL
OF PERIOD (LOSS) UNREALIZED) OPERATIONS INCOME GAINS DISTRIBUTIONS
SMALL CAP EQUITY FUND
1/1/04 Through 6/30/04 $ 24.11 (0.09)@ 2.50 2.41 -- -- --
Year Ended 12/31/03 $ 17.68 (0.15)@ 6.58 6.43 -- -- --
Year Ended 12/31/02 $ 21.53 (0.15)@ (3.57) (3.72) -- 0.13 0.13
11/1/01 Through 12/31/01^ $ 19.64 (0.03)@ 1.92 1.89 -- -- --
Year Ended 10/31/01 $ 27.89 (0.10) (4.26) (4.36) -- 3.89 3.89
Year Ended 10/31/00 $ 22.77 (0.20)@ 7.97 7.77 -- 2.65 2.65
Year Ended 10/31/99 $ 20.40 (0.13)@ 2.67 2.54 -- 0.17 0.17
SMALL CAP GROWTH FUND
1/1/04 Through 6/30/04 $ 7.67 (0.05)@ 0.59 0.54 -- -- --
Year Ended 12/31/03 $ 5.50 (0.09)@ 2.26 2.17 -- -- --
Year Ended 12/31/02 $ 9.25 (0.09)@ (3.66) (3.75) -- -- --
10/1/01 Through 12/31/01++ $ 6.80 (0.01) 2.46 2.45 -- -- --
4/30/01** Through 9/30/01 $ 9.20 (0.05)@ (2.35) (2.40) -- -- --
</Table>
^ The Fund changed its fiscal year end from October 31 to December 31.
++ The Fund changed its fiscal year end from September 30 to December 31.
** Commencement of offering of class of shares.
@ Calculated based upon average shares outstanding.
(1) Total return figures do not include the effect of any front-end sales load.
SEE NOTES TO FINANCIAL STATEMENTS.
106
<Page>
<Table>
<Caption>
PER SHARE OPERATING PERFORMANCE:
--------------------------------
NET ASSET
VALUE, END TOTAL
OF PERIOD RETURN (1)(a)
SMALL CAP EQUITY FUND
1/1/04 Through 6/30/04 $ 26.52 10.00%
Year Ended 12/31/03 $ 24.11 36.37%
Year Ended 12/31/02 $ 17.68 (17.30%)
11/1/01 Through 12/31/01^ $ 21.53 9.62%
Year Ended 10/31/01 $ 19.64 (16.62%)
Year Ended 10/31/00 $ 27.89 37.10%
Year Ended 10/31/99 $ 22.77 12.49%
SMALL CAP GROWTH FUND
1/1/04 Through 6/30/04 $ 8.21 7.04%
Year Ended 12/31/03 $ 7.67 39.45%
Year Ended 12/31/02 $ 5.50 (40.54%)
10/1/01 Through 12/31/01++ $ 9.25 36.03%
4/30/01** Through 9/30/01 $ 6.80 (26.09%)
<Caption>
RATIOS/SUPPLEMENTAL DATA:
-----------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
-----------------------------------------------------------------------
NET INVESTMENT
NET ASSETS, NET EXPENSES INCOME (LOSS)
END OF INVESTMENT WITHOUT WAIVERS, WITHOUT WAIVERS, PORTFOLIO
PERIOD NET INCOME REIMBURSEMENTS REIMBURSEMENTS TURNOVER
(MILLIONS) EXPENSES (LOSS) AND EARNINGS CREDITS AND EARNINGS CREDITS RATE (a)
SMALL CAP EQUITY FUND
1/1/04 Through 6/30/04 $ 88 1.38% (0.75%) 1.63% (1.00%) 26%
Year Ended 12/31/03 $ 88 1.38% (0.75%) 1.65% (1.02%) 38%
Year Ended 12/31/02 $ 77 1.38% (0.74%) 1.40% (0.76%) 51%
11/1/01 Through 12/31/01^ $ 71 1.38% (0.81%) 1.38% (0.81%) 6%
Year Ended 10/31/01 $ 67 1.39% (0.80%) 1.40% (0.81%) 47%
Year Ended 10/31/00 $ 93 1.44% (0.77%) 1.44% (0.77%) 75%
Year Ended 10/31/99 $ 98 1.40% (0.59%) 1.40% (0.59%) 92%
SMALL CAP GROWTH FUND
1/1/04 Through 6/30/04 $ 1 1.60% (1.23%) 6.23%!! (5.86%)!! 52%
Year Ended 12/31/03 $ 1 1.60% (1.30%) 15.48%!! (15.18%)!! 143%
Year Ended 12/31/02 $ 1 1.60% (1.39%) 21.25%!! (21.04%)!! 76%
10/1/01 Through 12/31/01++ $ --+ 1.54% (1.27%) 12.17%!! (11.90%)!! 25%
4/30/01** Through 9/30/01 $ --+ 1.60% (1.37%) 11.04%!! (10.81%)!! 71%
</Table>
(a) Not annualized for periods less than one year.
# Short periods have been annualized.
+ Amount rounds to less than one million.
!! Due to the size of net assets and fixed expenses, ratios may appear
disproportionate.
SEE NOTES TO FINANCIAL STATEMENTS.
107
<Page>
CLASS B SHARES
<Table>
<Caption>
PER SHARE OPERATING PERFORMANCE:
------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS: LESS DISTRIBUTIONS:
------------------------------------------ ------------------------------------------
NET GAINS
OR LOSSES ON
NET ASSET NET SECURITIES DIVIDENDS
VALUE, INVESTMENT (BOTH TOTAL FROM FROM NET DISTRIBUTIONS
BEGINNING INCOME REALIZED AND INVESTMENT INVESTMENT FROM CAPITAL TOTAL
OF PERIOD (LOSS) UNREALIZED) OPERATIONS INCOME GAINS DISTRIBUTIONS
DYNAMIC SMALL CAP FUND
1/1/04 Through 6/30/04 $ 16.01 (0.14)@ 0.83 0.69 -- -- --
Year Ended 12/31/03 $ 11.63 (0.24)@ 4.62 4.38 -- -- --
Year Ended 12/31/02 $ 15.16 (0.27) (3.26) (3.53) -- -- --
11/1/01 Through 12/31/01^ $ 13.72 (0.04) 1.48 1.44 -- -- --
Year Ended 10/31/01 $ 23.96 (0.23) (6.63) (6.86) -- 3.38 3.38
Year Ended 10/31/00 $ 15.71 (0.40)@ 8.65 8.25 -- -- --
Year Ended 10/31/99 $ 12.67 (0.27) 3.31 3.04 -- -- --
MID CAP GROWTH FUND
1/1/04 Through 6/30/04 $ 4.77 (0.03)@ 0.43 0.40 -- -- --
Year Ended 12/31/03 $ 3.49 (0.07)@ 1.35 1.28 -- -- --
Year Ended 12/31/02 $ 4.99 (0.08)@ (1.42) (1.50) -- -- --
10/1/01 Through 12/31/01++ $ 4.22 (0.02) 0.79 0.77 -- -- --
Year Ended 9/30/01 $ 12.43 (0.07)@ (7.98) (8.05) -- 0.16 0.16
10/29/99* Through 9/30/00 $ 10.00 (0.17) 2.60 2.43 -- -- --
</Table>
^ The Fund changed its fiscal year end from October 31 to December 31.
++ The Fund changed its fiscal year end from September 30 to December 31.
* Commencement of operations.
@ Calculated based upon average shares outstanding.
SEE NOTES TO FINANCIAL STATEMENTS.
108
<Page>
<Table>
<Caption>
PER SHARE OPERATING PERFORMANCE:
--------------------------------
NET ASSET
VALUE, END TOTAL
OF PERIOD RETURN (1)(a)
DYNAMIC SMALL CAP FUND
1/1/04 Through 6/30/04 $ 16.70 4.31%
Year Ended 12/31/03 $ 16.01 37.66%
Year Ended 12/31/02 $ 11.63 (23.28%)
11/1/01 Through 12/31/01^ $ 15.16 10.50%
Year Ended 10/31/01 $ 13.72 (31.02%)
Year Ended 10/31/00 $ 23.96 52.51%
Year Ended 10/31/99 $ 15.71 23.99%
MID CAP GROWTH FUND
1/1/04 Through 6/30/04 $ 5.17 8.39%
Year Ended 12/31/03 $ 4.77 36.68%
Year Ended 12/31/02 $ 3.49 (30.06%)
10/1/01 Through 12/31/01++ $ 4.99 18.25%
Year Ended 9/30/01 $ 4.22 (65.30%)
10/29/99* Through 9/30/00 $ 12.43 24.31%
<Caption>
RATIOS/SUPPLEMENTAL DATA:
-----------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
-----------------------------------------------------------------------
NET INVESTMENT
NET ASSETS, NET EXPENSES INCOME (LOSS)
END OF INVESTMENT WITHOUT WAIVERS, WITHOUT WAIVERS, PORTFOLIO
PERIOD NET INCOME REIMBURSEMENTS REIMBURSEMENTS TURNOVER
(MILLIONS) EXPENSES (LOSS) AND EARNINGS CREDITS AND EARNINGS CREDITS RATE (a)
DYNAMIC SMALL CAP FUND
1/1/04 Through 6/30/04 $ 63 2.12% (1.71%) 2.22% (1.81%) 30%
Year Ended 12/31/03 $ 63 2.12% (1.81%) 2.35% (2.05%) 55%
Year Ended 12/31/02 $ 48 2.12% (1.82%) 2.32% (2.02%) 52%
11/1/01 Through 12/31/01^ $ 72 2.12% (1.83%) 2.12% (1.83%) 8%
Year Ended 10/31/01 $ 67 2.13% (1.75%) 2.14% (1.76%) 57%
Year Ended 10/31/00 $ 110 2.20% (1.69%) 2.26% (1.75%) 87%
Year Ended 10/31/99 $ 66 2.23% (1.69%) 2.39% (1.85%) 92%
MID CAP GROWTH FUND
1/1/04 Through 6/30/04 $ 3 2.05% (1.11%) 2.27% (1.33%) 68%
Year Ended 12/31/03 $ 3 2.05% (1.75%) 2.33% (2.03%) 69%
Year Ended 12/31/02 $ 3 2.05% (1.85%) 2.32% (2.12%) 39%
10/1/01 Through 12/31/01++ $ 5 2.05% (1.53%) 2.05% (1.53%) 135%
Year Ended 9/30/01 $ 6 2.00% (1.22%) 2.00% (1.22%) 159%
10/29/99* Through 9/30/00 $ 25 1.86% (1.38%) 1.91% (1.43%) 147%
</Table>
(1) Total return figures do not include the effect of any deferred sales load.
(a) Not annualized for periods less than one year.
# Short periods have been annualized.
SEE NOTES TO FINANCIAL STATEMENTS.
109
<Page>
<Table>
<Caption>
PER SHARE OPERATING PERFORMANCE:
------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS: LESS DISTRIBUTIONS:
------------------------------------------ ------------------------------------------
NET GAINS
OR LOSSES ON
NET ASSET NET SECURITIES DIVIDENDS
VALUE, INVESTMENT (BOTH TOTAL FROM FROM NET DISTRIBUTIONS
BEGINNING INCOME REALIZED AND INVESTMENT INVESTMENT FROM CAPITAL TOTAL
OF PERIOD (LOSS) UNREALIZED) OPERATIONS INCOME GAINS DISTRIBUTIONS
MID CAP VALUE FUND
1/1/04 Through 6/30/04 $ 18.37 (0.03)@ 1.34 1.31 -- -- --
Year Ended 12/31/03 $ 14.32 (0.03)@ 4.19 4.16 -- 0.11 0.11
Year Ended 12/31/02 $ 14.06 (0.04)@ 0.31 0.27 -- 0.01 0.01
10/1/01 Through 12/31/01++ $ 13.40 (0.01)@ 1.47 1.46 0.05 0.75 0.80
4/30/01** Through 9/30/01 $ 14.24 --@ (0.84) (0.84) -- -- --
SMALL CAP EQUITY FUND
1/1/04 Through 6/30/04 $ 22.34 (0.17)@ 2.32 2.15 -- -- --
Year Ended 12/31/03 $ 16.50 (0.27)@ 6.11 5.84 -- -- --
Year Ended 12/31/02 $ 20.26 (0.29)@ (3.34) (3.63) -- 0.13 0.13
11/1/01 Through 12/31/01^ $ 18.50 (0.05)@ 1.81 1.76 -- -- --
Year Ended 10/31/01 $ 26.73 (0.09) (4.25) (4.34) -- 3.89 3.89
Year Ended 10/31/00 $ 22.06 (0.37)@ 7.69 7.32 -- 2.65 2.65
Year Ended 10/31/99 $ 19.91 (0.28)@ 2.60 2.32 -- 0.17 0.17
</Table>
^ The Fund changed its fiscal year end from October 31 to December 31.
++ The Fund changed its fiscal year end from September 30 to December 31.
** Commencement of offering of class of shares.
@ Calculated based upon average shares outstanding.
(1) Total return figures do not include the effect of any deferred sales load.
SEE NOTES TO FINANCIAL STATEMENTS.
110
<Page>
<Table>
<Caption>
PER SHARE OPERATING PERFORMANCE:
--------------------------------
NET ASSET
VALUE, END TOTAL
OF PERIOD RETURN (1)(a)
MID CAP VALUE FUND
1/1/04 Through 6/30/04 $ 19.68 7.13%
Year Ended 12/31/03 $ 18.37 29.06%
Year Ended 12/31/02 $ 14.32 1.94%
10/1/01 Through 12/31/01++ $ 14.06 10.94%
4/30/01** Through 9/30/01 $ 13.40 (5.90%)
SMALL CAP EQUITY FUND
1/1/04 Through 6/30/04 $ 24.49 9.62%
Year Ended 12/31/03 $ 22.34 35.39%
Year Ended 12/31/02 $ 16.50 (17.94%)
11/1/01 Through 12/31/01^ $ 20.26 9.51%
Year Ended 10/31/01 $ 18.50 (17.37%)
Year Ended 10/31/00 $ 26.73 36.17%
Year Ended 10/31/99 $ 22.06 11.69%
<Caption>
RATIOS/SUPPLEMENTAL DATA:
-----------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
-----------------------------------------------------------------------
NET INVESTMENT
NET ASSETS, NET EXPENSES INCOME (LOSS)
END OF INVESTMENT WITHOUT WAIVERS, WITHOUT WAIVERS, PORTFOLIO
PERIOD NET INCOME REIMBURSEMENTS REIMBURSEMENTS TURNOVER
(MILLIONS) EXPENSES (LOSS) AND EARNINGS CREDITS AND EARNINGS CREDITS RATE (a)
MID CAP VALUE FUND
1/1/04 Through 6/30/04 $ 101 1.90% (0.31%) 2.08% (0.49%) 22%
Year Ended 12/31/03 $ 68 1.95% (0.21%) 2.19% (0.45%) 32%
Year Ended 12/31/02 $ 14 2.00% (0.27%) 2.49% (0.76%) 51%
10/1/01 Through 12/31/01++ $ 3 1.99% (0.27%) 4.47%!! (2.75%) 15%
4/30/01** Through 9/30/01 $ 1 2.03% 0.01% 16.00%!! (13.96%)!! 98%
SMALL CAP EQUITY FUND
1/1/04 Through 6/30/04 $ 22 2.12% (1.50%) 2.13% (1.51%) 26%
Year Ended 12/31/03 $ 22 2.12% (1.49%) 2.21% (1.58%) 38%
Year Ended 12/31/02 $ 23 2.12% (1.50%) 2.16% (1.54%) 51%
11/1/01 Through 12/31/01^ $ 42 2.12% (1.55%) 2.12% (1.55%) 6%
Year Ended 10/31/01 $ 39 2.13% (1.54%) 2.14% (1.55%) 47%
Year Ended 10/31/00 $ 57 2.17% (1.50%) 2.17% (1.50%) 75%
Year Ended 10/31/99 $ 57 2.12% (1.31%) 2.12% (1.31%) 92%
</Table>
(a) Not annualized for periods less than one year.
# Short periods have been annualized.
!! Due to the size of net assets and fixed expenses, ratios may appear
disproportionate.
SEE NOTES TO FINANCIAL STATEMENTS.
111
<Page>
CLASS C SHARES
<Table>
<Caption>
PER SHARE OPERATING PERFORMANCE:
------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS: LESS DISTRIBUTIONS:
------------------------------------------ ------------------------------------------
NET GAINS
OR LOSSES ON
NET ASSET NET SECURITIES DIVIDENDS
VALUE, INVESTMENT (BOTH TOTAL FROM FROM NET DISTRIBUTIONS
BEGINNING INCOME REALIZED AND INVESTMENT INVESTMENT FROM CAPITAL TOTAL
OF PERIOD (LOSS) UNREALIZED) OPERATIONS INCOME GAINS DISTRIBUTIONS
DYNAMIC SMALL CAP FUND
1/1/04 Through 6/30/04 $ 15.98 (0.14)@ 0.83 0.69 -- -- --
Year Ended 12/31/03 $ 11.61 (0.25)@ 4.62 4.37 -- -- --
Year Ended 12/31/02 $ 15.13 (0.21) (3.31) (3.52) -- -- --
11/1/01 Through 12/31/01^ $ 13.70 (0.04) 1.47 1.43 -- -- --
Year Ended 10/31/01 $ 23.93 (0.23) (6.62) (6.85) -- 3.38 3.38
Year Ended 10/31/00 $ 15.69 (0.35)@ 8.59 8.24 -- -- --
Year Ended 10/31/99 $ 12.66 (0.26) 3.29 3.03 -- -- --
MID CAP VALUE FUND
1/1/04 Through 6/30/04 $ 18.41 (0.03)@ 1.34 1.31 -- -- --
Year Ended 12/31/03 $ 14.35 (0.03)@ 4.20 4.17 --^^ 0.11 0.11
Year Ended 12/31/02 $ 14.09 (0.04)@ 0.31 0.27 -- 0.01 0.01
10/1/01 Through 12/31/01++ $ 13.41 (0.01)@ 1.48 1.47 0.04 0.75 0.79
4/30/01** Through 9/30/01 $ 14.24 --@ (0.83) (0.83) -- -- --
</Table>
^ The Fund changed its fiscal year end from October 31 to December 31.
++ The Fund changed its fiscal year end from September 30 to December 31.
** Commencement of offering of class of shares.
@ Calculated based upon average shares outstanding.
^^ Amount is less than .005.
SEE NOTES TO FINANCIAL STATEMENTS.
112
<Page>
<Table>
<Caption>
PER SHARE OPERATING PERFORMANCE:
--------------------------------
NET ASSET
VALUE, END TOTAL
OF PERIOD RETURN (1)(a)
DYNAMIC SMALL CAP FUND
1/1/04 Through 6/30/04 $ 16.67 4.32%
Year Ended 12/31/03 $ 15.98 37.64%
Year Ended 12/31/02 $ 11.61 (23.26%)
11/1/01 Through 12/31/01^ $ 15.13 10.44%
Year Ended 10/31/01 $ 13.70 (31.02%)
Year Ended 10/31/00 $ 23.93 52.52%
Year Ended 10/31/99 $ 15.69 23.93%
MID CAP VALUE FUND
1/1/04 Through 6/30/04 $ 19.72 7.12%
Year Ended 12/31/03 $ 18.41 29.09%
Year Ended 12/31/02 $ 14.35 1.94%
10/1/01 Through 12/31/01++ $ 14.09 11.05%
4/30/01** Through 9/30/01 $ 13.41 (5.83%)
<Caption>
RATIOS/SUPPLEMENTAL DATA:
-----------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
-----------------------------------------------------------------------
NET INVESTMENT
NET ASSETS, NET EXPENSES INCOME (LOSS)
END OF INVESTMENT WITHOUT WAIVERS, WITHOUT WAIVERS, PORTFOLIO
PERIOD NET INCOME REIMBURSEMENTS REIMBURSEMENTS TURNOVER
(MILLIONS) EXPENSES (LOSS) AND EARNINGS CREDITS AND EARNINGS CREDITS RATE (a)
DYNAMIC SMALL CAP FUND
1/1/04 Through 6/30/04 $ 32 2.12% (1.71%) 2.22% (1.81%) 30%
Year Ended 12/31/03 $ 23 2.12% (1.82%) 2.35% (2.04%) 55%
Year Ended 12/31/02 $ 10 2.12% (1.82%) 2.32% (2.02%) 52%
11/1/01 Through 12/31/01^ $ 11 2.12% (1.83%) 2.12% (1.83%) 8%
Year Ended 10/31/01 $ 10 2.13% (1.76%) 2.14% (1.77%) 57%
Year Ended 10/31/00 $ 14 2.20% (1.69%) 2.26% (1.75%) 87%
Year Ended 10/31/99 $ 6 2.23% (1.69%) 2.39% (1.85%) 92%
MID CAP VALUE FUND
1/1/04 Through 6/30/04 $ 208 1.90% (0.30%) 2.08% (0.48%) 22%
Year Ended 12/31/03 $ 103 1.95% (0.19%) 2.19% (0.43%) 32%
Year Ended 12/31/02 $ 9 2.00% (0.28%) 2.51% (0.79%) 51%
10/1/01 Through 12/31/01++ $ 3 1.99% (0.30%) 4.48%!! (2.79%) 15%
4/30/01** Through 9/30/01 $ 2 2.04% 0.03% 15.95%!! (13.88%)!! 98%
</Table>
(1) Total return figures do not include the effect of any deferred sales load.
(a) Not annualized for periods less than one year.
# Short periods have been annualized.
!! Due to the size of net assets and fixed expenses, ratios may appear
disproportionate.
SEE NOTES TO FINANCIAL STATEMENTS.
113
<Page>
INSTITUTIONAL SHARES
<Table>
<Caption>
PER SHARE OPERATING PERFORMANCE:
------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS: LESS DISTRIBUTIONS:
------------------------------------------ ------------------------------------------
NET GAINS
OR LOSSES ON
NET ASSET NET SECURITIES DIVIDENDS
VALUE, INVESTMENT (BOTH TOTAL FROM FROM NET DISTRIBUTIONS
BEGINNING INCOME REALIZED AND INVESTMENT INVESTMENT FROM CAPITAL TOTAL
OF PERIOD (LOSS) UNREALIZED) OPERATIONS INCOME GAINS DISTRIBUTIONS
MID CAP VALUE FUND
1/1/04 Through 6/30/04 $ 18.77 0.08@ 1.37 1.45 -- -- --
Year Ended 12/31/03 $ 14.52 0.17@ 4.27 4.44 0.08 0.11 0.19
Year Ended 12/31/03 $ 14.14 0.15@ 0.30 0.45 0.06 0.01 0.07
10/1/01 Through 12/31/01^ $ 13.47 0.03@ 1.48 1.51 0.09 0.75 0.84
Year Ended 9/30/01 $ 13.06 0.15@ 1.28 1.43 0.15 0.87 1.02
Year Ended 9/30/00 $ 13.56 0.11 2.59 2.70 0.09 3.11 3.20
Year Ended 9/30/99 $ 10.62 0.02 3.20 3.22 0.10 0.18 0.28
SMALL CAP GROWTH FUND
1/1/04 Through 6/30/04 $ 7.84 (0.02)@ 0.61 0.59 -- -- --
Year Ended 12/31/03 $ 5.59 (0.04)@ 2.29 2.25 -- -- --
Year Ended 12/31/02 $ 9.32 (0.04)@ (3.69) (3.73) -- -- --
10/1/01 Through 12/31/01^ $ 6.83 -- 2.49 2.49 -- -- --
Year Ended 8/30/01 $ 15.12 (0.07)@ (6.07) (6.14) -- 2.15 2.15
Year Ended 9/30/00 $ 13.45 (0.08) 4.34 4.26 0.04 2.55 2.59
Year Ended 9/30/99 $ 9.47 0.08 4.28 4.36 0.09 0.29 0.38
U.S. SMALL COMPANY FUND
1/1/04 Through 6/30/04 $ 13.88 (0.01)@ 0.22 0.21 -- -- --
Year Ended 12/31/03 $ 9.95 0.04@ 3.94 3.98 0.05 -- 0.05
Year Ended 12/31/02 $ 12.57 0.05 (2.61) (2.56) 0.06 -- 0.06
6/1/01 Through 12/31/01++ $ 13.34 0.05@ (0.78) (0.73) 0.04 -- 0.04
Year Ended 5/31/01 $ 15.11 0.08 0.03 0.11 0.09 1.79 1.88
Year Ended 5/31/00 $ 11.98 0.04 3.10 3.14 0.01 -- 0.01
Year Ended 5/31/99 $ 15.30 0.08 (1.83) (1.75) 0.08 1.49 1.57
</Table>
^ The Fund changed its fiscal year end from September 30 to December 31.
++ The fund changed its fiscal year end from May 31 to December 31.
@ Calculated based upon average shares outstanding.
(a) Not annualized for periods less than one year.
SEE NOTES TO FINANCIAL STATEMENTS.
114
<Page>
<Table>
<Caption>
PER SHARE OPERATING PERFORMANCE:
-------------------------------
NET ASSET
VALUE, END TOTAL
OF PERIOD RETURN (a)
MID CAP VALUE FUND
1/1/04 Through 6/30/04 $ 20.22 7.73%
Year Ended 12/31/03 $ 18.77 30.62%
Year Ended 12/31/03 $ 14.52 3.23%
10/1/01 Through 12/31/01^ $ 14.14 11.30%
Year Ended 9/30/01 $ 13.47 11.19%
Year Ended 9/30/00 $ 13.06 23.76%
Year Ended 9/30/99 $ 13.56 30.41%
SMALL CAP GROWTH FUND
1/1/04 Through 6/30/04 $ 8.43 7.53%
Year Ended 12/31/03 $ 7.84 40.25%
Year Ended 12/31/02 $ 5.59 (40.02%)
10/1/01 Through 12/31/01^ $ 9.32 36.46%
Year Ended 8/30/01 $ 6.83 (45.44%)
Year Ended 9/30/00 $ 15.12 36.33%
Year Ended 9/30/99 $ 13.45 46.61%
U.S. SMALL COMPANY FUND
1/1/04 Through 6/30/04 $ 14.09 1.51%
Year Ended 12/31/03 $ 13.88 40.03%
Year Ended 12/31/02 $ 9.95 (20.36%)
6/1/01 Through 12/31/01++ $ 12.57 (5.50%)
Year Ended 5/31/01 $ 13.34 0.94%
Year Ended 5/31/00 $ 15.11 26.23%
Year Ended 5/31/99 $ 11.98 (10.79%)
<Caption>
RATIOS/SUPPLEMENTAL DATA:
-----------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
-----------------------------------------------------------------------
NET INVESTMENT
NET ASSETS, NET EXPENSES INCOME (LOSS)
END OF INVESTMENT WITHOUT WAIVERS, WITHOUT WAIVERS, PORTFOLIO
PERIOD NET INCOME REIMBURSEMENTS REIMBURSEMENTS TURNOVER
(MILLIONS) EXPENSES (LOSS) AND EARNINGS CREDITS AND EARNINGS CREDITS RATE (a)
MID CAP VALUE FUND
1/1/04 Through 6/30/04 $ 685 0.75% 0.85% 1.03% 0.57% 22%
Year Ended 12/31/03 $ 334 0.75% 1.00% 1.07% 0.68% 32%
Year Ended 12/31/03 $ 59 0.75% 1.01% 1.22% 0.54% 51%
10/1/01 Through 12/31/01^ $ 4 0.75% 0.94% 3.30%!! (1.61%) 15%
Year Ended 9/30/01 $ 4 0.75% 1.07% 3.25%!! (1.43%) 98%
Year Ended 9/30/00 $ 5 0.97% 0.84% 4.24%!! (2.43%) 99%
Year Ended 9/30/99 $ 4 1.25% 0.06% 5.11%!! (3.80%)!! 109%
SMALL CAP GROWTH FUND
1/1/04 Through 6/30/04 $ 3 0.85% (0.48%) 4.70% (4.33%) 52%
Year Ended 12/31/03 $ 3 0.85% (0.58%) 10.08%!! (9.81%)!! 143%
Year Ended 12/31/02 $ 1 0.85% (0.64%) 8.07%!! (7.86%)!! 76%
10/1/01 Through 12/31/01^ $ 2 0.85% (0.62%) 6.66%!! (6.43%)!! 25%
Year Ended 8/30/01 $ 2 0.85% (0.53%) 5.82%!! (5.50%)!! 71%
Year Ended 9/30/00 $ 4 1.05% (0.61%) 5.47%!! (5.03%)!! 88%
Year Ended 9/30/99 $ 2 1.35% (0.68%) 10.19%!! (9.52%)!! 71%
U.S. SMALL COMPANY FUND
1/1/04 Through 6/30/04 $ 112 0.83% (0.07%) 0.95% (0.19%) 100%
Year Ended 12/31/03 $ 183 0.83% 0.33% 0.95% 0.21% 78%
Year Ended 12/31/02 $ 214 0.83% 0.41% 0.93% 0.31% 90%
6/1/01 Through 12/31/01++ $ 269 0.82% 0.57% 0.86% 0.53% 48%~
Year Ended 5/31/01 $ 410 0.82% 0.54% 0.82% 0.54% 110%~
Year Ended 5/31/00 $ 358 0.80% 0.26% 0.82% 0.24% 104%~
Year Ended 5/31/99 $ 345 0.80% 0.55% 0.85% 0.50% 104%~
</Table>
# Short periods have been annualized.
!! Due to the size of net assets and fixed expenses, ratios may appear
disproportionate.
~ Prior to September 10, 2001, USSCF invested all of its investable assets in
The U.S. Small Company Portfolio ("USSCP"). The portfolio turnover rate
disclosed prior to September 10, 2001 is the turnover rate of USSCP.
SEE NOTES TO FINANCIAL STATEMENTS.
115
<Page>
SELECT SHARES
<Table>
<Caption>
PER SHARE OPERATING PERFORMANCE:
------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS: LESS DISTRIBUTIONS:
------------------------------------------ ------------------------------------------
NET GAINS
OR LOSSES ON
NET ASSET NET SECURITIES DIVIDENDS
VALUE, INVESTMENT (BOTH TOTAL FROM FROM NET DISTRIBUTIONS
BEGINNING INCOME REALIZED AND INVESTMENT INVESTMENT FROM CAPITAL TOTAL
OF PERIOD (LOSS) UNREALIZED) OPERATIONS INCOME GAINS DISTRIBUTIONS
DYNAMIC SMALL CAP FUND
1/1/04 Through 6/30/04 $ 17.13 (0.06)@ 0.89 0.83 -- -- --
Year Ended 12/31/03 $ 12.32 (0.11)@ 4.92 4.81 -- -- --
Year Ended 12/31/02 $ 15.89 (0.08) (3.49) (3.57) -- -- --
11/1/01 Through 12/31/01^ $ 14.37 (0.02) 1.54 1.52 -- -- --
Year Ended 10/31/01 $ 24.65 (0.21) (6.69) (6.90) -- 3.38 3.38
Year Ended 10/31/00 $ 15.98 (0.13)@ 8.80 8.67 -- -- --
4/15/99** Through 10/31/99 $ 14.11 (0.05) 1.92 1.87 -- -- --
MID CAP EQUITY FUND
1/1/04 Through 6/30/04 $ 31.18 0.10 2.53 2.63 0.09 -- 0.09
Year Ended 12/31/03 $ 24.39 0.13 7.71 7.84 0.13 0.92 1.05
Year Ended 12/31/02 $ 29.51 0.13 (4.07) (3.94) 0.13 1.05 1.18
11/1/01 Through 12/31/01^ $ 26.17 0.02 3.43 3.45 0.02 0.09 0.11
Year Ended 10/31/01 $ 37.85 0.12 (5.30) (5.18) 0.12 6.38 6.50
Year Ended 10/31/00 $ 37.55 0.17 9.34 9.51 0.20 9.01 9.21
Year Ended 10/31/99 $ 29.63 0.15 8.52 8.67 0.14 0.61 0.75
MID CAP VALUE FUND
1/1/04 Through 6/30/04 $ 18.70 0.06@ 1.36 1.42 -- -- --
Year Ended 12/31/03 $ 14.48 0.12@ 4.27 4.39 0.06 0.11 0.17
Year Ended 12/31/02 $ 14.14 0.14@ 0.27 0.41 0.06 0.01 0.07
10/31/01** Through
12/31/01++ $ 13.48 0.01@ 1.49 1.50 0.09 0.75 0.84
</Table>
^ The Fund changed its fiscal year end from October 31 to December 31.
++ The Fund changed its fiscal year end from September 30 to December 31.
** Commencement of offering of class of shares.
@ Calculated based upon average shares outstanding.
(a) Not annualized for periods less than one year.
SEE NOTES TO FINANCIAL STATEMENTS.
116
<Page>
<Table>
<Caption>
PER SHARE OPERATING PERFORMANCE:
--------------------------------
NET ASSET
VALUE, END TOTAL
OF PERIOD RETURN (a)
DYNAMIC SMALL CAP FUND
1/1/04 Through 6/30/04 $ 17.96 4.85%
Year Ended 12/31/03 $ 17.13 39.04%
Year Ended 12/31/02 $ 12.32 (22.47%)
11/1/01 Through 12/31/01^ $ 15.89 10.58%
Year Ended 10/31/01 $ 14.37 (30.20%)
Year Ended 10/31/00 $ 24.65 54.26%
4/15/99** Through 10/31/99 $ 15.98 13.25%
MID CAP EQUITY FUND
1/1/04 Through 6/30/04 $ 33.72 8.45%
Year Ended 12/31/03 $ 31.18 32.29%
Year Ended 12/31/02 $ 24.39 (13.39%)
11/1/01 Through 12/31/01^ $ 29.51 13.20%
Year Ended 10/31/01 $ 26.17 (15.27%)
Year Ended 10/31/00 $ 37.85 30.94%
Year Ended 10/31/99 $ 37.55 29.65%
MID CAP VALUE FUND
1/1/04 Through 6/30/04 $ 20.12 7.59%
Year Ended 12/31/03 $ 18.70 30.34%
Year Ended 12/31/02 $ 14.48 2.90%
10/31/01** Through
12/31/01++ $ 14.14 11.18%
<Caption>
RATIOS/SUPPLEMENTAL DATA:
-----------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
-----------------------------------------------------------------------
NET INVESTMENT
NET ASSETS, NET EXPENSES INCOME (LOSS)
END OF INVESTMENT WITHOUT WAIVERS, WITHOUT WAIVERS, PORTFOLIO
PERIOD NET INCOME REIMBURSEMENTS REIMBURSEMENTS TURNOVER
(MILLIONS) EXPENSES (LOSS) AND EARNINGS CREDITS AND EARNINGS CREDITS RATE (a)
DYNAMIC SMALL CAP FUND
1/1/04 Through 6/30/04 $ 15 1.10% (0.69%) 1.29% (0.88%) 30%
Year Ended 12/31/03 $ 16 1.10% (0.79%) 1.28% (0.97%) 55%
Year Ended 12/31/02 $ 12 1.10% (0.79%) 1.22% (0.91%) 52%
11/1/01 Through 12/31/01^ $ 8 1.10% (0.82%) 10.33%!! (10.05%)!! 8%
Year Ended 10/31/01 $ --+ 1.12% (0.76%) 12.21%!! (11.86%)!! 57%
Year Ended 10/31/00 $ --+ 1.10% (0.59%) 15.48%!! (14.97%)!! 87%
4/15/99** Through 10/31/99 $ --+ 1.91% (0.96%) 34.70%!! (33.75%)!! 92%
MID CAP EQUITY FUND
1/1/04 Through 6/30/04 $ 209 0.90% 0.60% 1.14% 0.36% 59%
Year Ended 12/31/03 $ 194 0.90% 0.48% 1.14% 0.24% 62%
Year Ended 12/31/02 $ 139 0.77% 0.51% 1.14% 0.14% 84%
11/1/01 Through 12/31/01^ $ 155 0.60% 0.38% 1.15% (0.17%) 2%
Year Ended 10/31/01 $ 133 0.55% 0.38% 1.15% (0.22%) 55%
Year Ended 10/31/00 $ 164 0.41% 0.52% 1.14% (0.21%) 84%
Year Ended 10/31/99 $ 129 0.07% 0.44% 0.93% (0.42%) 101%
MID CAP VALUE FUND
1/1/04 Through 6/30/04 $ 193 1.00% 0.60% 1.18% 0.42% 22%
Year Ended 12/31/03 $ 76 1.00% 0.74% 1.24% 0.50% 32%
Year Ended 12/31/02 $ 14 1.00% 0.96% 1.71% 0.25% 51%
10/31/01** Through
12/31/01++ $ --+ 0.99% 0.58% 3.68%!! (2.11%)!! 15%
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
+ Amounts round to less than one million.
# Short periods have been annualized.
!! Due to the size of net assets and fixed expenses, ratios may appear
disproportionate.
117
<Page>
<Table>
<Caption>
PER SHARE OPERATING PERFORMANCE:
------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS: LESS DISTRIBUTIONS:
------------------------------------------ ------------------------------------------
NET GAINS
OR LOSSES ON
NET ASSET NET SECURITIES DIVIDENDS
VALUE, INVESTMENT (BOTH TOTAL FROM FROM NET DISTRIBUTIONS
BEGINNING INCOME REALIZED AND INVESTMENT INVESTMENT FROM CAPITAL TOTAL
OF PERIOD (LOSS) UNREALIZED) OPERATIONS INCOME GAINS DISTRIBUTIONS
SMALL CAP EQUITY FUND
1/1/04 Through 6/30/04 $ 25.18 (0.03)@ 2.63 2.60 -- -- --
Year Ended 12/31/03 $ 18.37 (0.04)@ 6.85 6.81 -- -- --
Year Ended 12/31/02 $ 22.25 (0.04)@ (3.71) (3.75) -- 0.13 0.13
11/1/01 Through 12/31/01^ $ 20.27 (0.01)@ 1.99 1.98 -- -- --
Year Ended 10/31/01 $ 28.52 (0.10) (4.26) (4.36) -- 3.89 3.89
Year Ended 10/31/00 $ 23.10 (0.05)@ 8.12 8.07 -- 2.65 2.65
Year Ended 10/31/99 $ 20.59 (0.02)@ 2.70 2.68 -- 0.17 0.17
SMALL CAP GROWTH FUND
1/1/04 Through 6/30/04 $ 7.79 (0.03)@ 0.59 0.56 -- -- --
Year Ended 12/31/03 $ 5.56 (0.05)@ 2.28 2.23 -- -- --
Year Ended 12/31/02 $ 9.30 (0.06)@ (3.68) (3.74) -- -- --
10/31/01** Through
12/31/01++ $ 7.77 (0.01) 1.54 1.53 -- -- --
TRUST SMALL CAP EQUITY FUND
1/1/04 Through 6/30/04 $ 44.39 (0.02) 4.92 4.90 -- -- --
Year Ended 12/31/03 $ 33.35 0.02 11.70 11.72 0.01 0.67 0.68
Year Ended 12/31/02 $ 40.46 0.04 (6.86) (6.82) 0.03 0.26 0.29
11/1/01 Through 12/31/01^ $ 36.65 0.01 3.81 3.82 0.01 -- 0.01
Year Ended 10/31/01 $ 51.12 0.10 (7.61) (7.51) 0.14 6.82 6.96
Year Ended 10/31/00 $ 47.66 0.08 12.44 12.52 0.08 8.98 9.06
Year Ended 10/31/99 $ 52.73 0.64 (2.50) (1.86) 0.64 2.57 3.21
</Table>
^ The Fund changed its fiscal year end from October 31 to December 31.
++ The Fund changed its fiscal year end from September 30 to December 31.
** Commencement of offering of class of shares.
@ Calculated based upon average shares outstanding.
SEE NOTES TO FINANCIAL STATEMENTS.
118
<Page>
<Table>
<Caption>
PER SHARE OPERATING PERFORMANCE:
--------------------------------
NET ASSET
VALUE, END TOTAL
OF PERIOD RETURN (1)(a)
SMALL CAP EQUITY FUND
1/1/04 Through 6/30/04 $ 27.78 10.33%
Year Ended 12/31/03 $ 25.18 37.07%
Year Ended 12/31/02 $ 18.37 (16.87%)
11/1/01 Through 12/31/01^ $ 22.25 9.77%
Year Ended 10/31/01 $ 20.27 (16.19%)
Year Ended 10/31/00 $ 28.52 37.94%
Year Ended 10/31/99 $ 23.10 13.06%
SMALL CAP GROWTH FUND
1/1/04 Through 6/30/04 $ 8.35 7.19%
Year Ended 12/31/03 $ 7.79 40.11%
Year Ended 12/31/02 $ 5.56 (40.22%)
10/31/01** Through
12/31/01++ $ 9.30 19.69%
TRUST SMALL CAP EQUITY FUND
1/1/04 Through 6/30/04 $ 49.29 11.04%
Year Ended 12/31/03 $ 44.39 35.20%
Year Ended 12/31/02 $ 33.35 (16.94%)
11/1/01 Through 12/31/01^ $ 40.46 10.42%
Year Ended 10/31/01 $ 36.65 (15.47%)
Year Ended 10/31/00 $ 51.12 30.16%
Year Ended 10/31/99 $ 47.66 (4.20%)
<Caption>
RATIOS/SUPPLEMENTAL DATA:
-----------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
-----------------------------------------------------------------------
NET INVESTMENT
NET ASSETS, NET EXPENSES INCOME (LOSS)
END OF INVESTMENT WITHOUT WAIVERS, WITHOUT WAIVERS, PORTFOLIO
PERIOD NET INCOME REIMBURSEMENTS REIMBURSEMENTS TURNOVER
(MILLIONS) EXPENSES (LOSS) AND EARNINGS CREDITS AND EARNINGS CREDITS RATE (a)
SMALL CAP EQUITY FUND
1/1/04 Through 6/30/04 $ 669 0.85% (0.23%) 1.11% (0.49%) 26%
Year Ended 12/31/03 $ 636 0.85% (0.22%) 1.12% (0.49%) 38%
Year Ended 12/31/02 $ 502 0.85% (0.22%) 1.09% (0.46%) 51%
11/1/01 Through 12/31/01^ $ 532 0.88% (0.31%) 1.10% (0.53%) 6%
Year Ended 10/31/01 $ 390 0.88% (0.30%) 1.12% (0.54%) 47%
Year Ended 10/31/00 $ 383 0.88% (0.20%) 1.13% (0.45%) 75%
Year Ended 10/31/99 $ 269 0.88% (0.07%) 1.13% (0.32%) 92%
SMALL CAP GROWTH FUND
1/1/04 Through 6/30/04 $ --+ 1.10% (0.72%) 7.65% (7.27%) 52%
Year Ended 12/31/03 $ --+ 1.10% (0.81%) 24.96%!! (24.67%)!! 143%
Year Ended 12/31/02 $ --+ 1.10% (0.89%) 24.20%!! (23.99%)!! 76%
10/31/01** Through
12/31/01++ $ --+ 1.10% (0.88%) 9.40%!! (9.18%)!! 25%
TRUST SMALL CAP EQUITY FUND
1/1/04 Through 6/30/04 $ 362 0.63% (0.07%) 1.11% (0.55%) 22%
Year Ended 12/31/03 $ 386 0.60% 0.04% 1.10% (0.46%) 48%
Year Ended 12/31/02 $ 259 0.51% 0.10% 1.11% (0.50%) 52%
11/1/01 Through 12/31/01^ $ 317 0.40% 0.09% 1.12% (0.63%) 7%
Year Ended 10/31/01 $ 299 0.34% 0.28% 1.13% (0.51%) 50%
Year Ended 10/31/00 $ 380 0.50% 0.19% 1.07% (0.38%) 76%
Year Ended 10/31/99 $ 339 0.04% 1.16% 0.86% 0.34% 55%
</Table>
(a) Not annualized for periods less than one year.
+ Amount rounds to less than one million.
# Short periods have been annualized.
!! Due to the size of net assets and fixed expenses, ratios may appear
disproportionate.
SEE NOTES TO FINANCIAL STATEMENTS.
119
<Page>
<Table>
<Caption>
PER SHARE OPERATING PERFORMANCE:
------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS: LESS DISTRIBUTIONS:
------------------------------------------ ------------------------------------------
NET GAINS
OR LOSSES ON
NET ASSET NET SECURITIES DIVIDENDS
VALUE, INVESTMENT (BOTH TOTAL FROM FROM NET DISTRIBUTIONS
BEGINNING INCOME REALIZED AND INVESTMENT INVESTMENT FROM CAPITAL TOTAL
OF PERIOD (LOSS) UNREALIZED) OPERATIONS INCOME GAINS DISTRIBUTIONS
U.S. SMALL COMPANY FUND+
1/1/04 Through 6/30/04 $ 13.90 (0.02)@ 0.22 0.20 -- -- --
Year Ended 12/31/03 $ 9.97 0.02@ 3.94 3.96 0.03 -- 0.03
Year Ended 12/31/02 $ 12.57 0.03 (2.60) (2.57) 0.03 -- 0.03
6/1/01 Through 12/31/01^ $ 13.43 0.04@ (0.79) (0.75) 0.05 0.06 0.11
Year Ended 5/31/01 $ 14.45 0.05 0.04 0.09 0.03 1.08 1.11
Year Ended 5/31/00 $ 11.49 -- 2.97 2.97 0.01 -- 0.01
Year Ended 5/31/99 $ 14.76 0.04 (1.76) (1.72) 0.04 1.51 1.55
U.S. SMALL COMPANY
OPPORTUNITIES FUND
1/1/04 Through 6/30/04 $ 9.02 (0.04) 0.66 0.62 -- -- --
Year Ended 12/31/03 $ 7.04 (0.13) 2.11 1.98 -- -- --
Year Ended 12/31/02 $ 10.48 (0.09) (3.35) (3.44) -- -- --
6/1/01 Through 12/31/01^ $ 12.19 (0.04) (1.67) (1.71) -- -- --
Year Ended 5/31/01 $ 15.90 (0.07) (2.29) (2.36) -- 1.35 1.35
Year Ended 5/31/00 $ 12.17 -- 3.73 3.73 -- -- --
Year Ended 5/31/99 $ 12.57 (0.01) (0.08) (0.09) -- 0.31 0.31
</Table>
+ On September 10, 2001, the class underwent a split of shares. Prior periods
have been restated to reflect the split
^ The fund changed its fiscal year end from May 31 to December 31.
@ Calculated based upon average shares outstanding.
(a) Not annualized for periods less than one year.
SEE NOTES TO FINANCIAL STATEMENTS.
120
<Page>
<Table>
<Caption>
PER SHARE OPERATING PERFORMANCE:
--------------------------------
NET ASSET
VALUE, END TOTAL
OF PERIOD RETURN (a)
U.S. SMALL COMPANY FUND+
1/1/04 Through 6/30/04 $ 14.10 1.44%
Year Ended 12/31/03 $ 13.90 39.72%
Year Ended 12/31/02 $ 9.97 (20.48%)
6/1/01 Through 12/31/01^ $ 12.57 (5.56%)
Year Ended 5/31/01 $ 13.43 0.75%
Year Ended 5/31/00 $ 14.45 25.90%
Year Ended 5/31/99 $ 11.49 (10.95%)
U.S. SMALL COMPANY
OPPORTUNITIES FUND
1/1/04 Through 6/30/04 $ 9.64 6.87%
Year Ended 12/31/03 $ 9.02 28.13%
Year Ended 12/31/02 $ 7.04 (32.82%)
6/1/01 Through 12/31/01^ $ 10.48 (14.03%)
Year Ended 5/31/01 $ 12.19 (15.51%)
Year Ended 5/31/00 $ 15.90 30.65%
Year Ended 5/31/99 $ 12.17 (0.49%)
<Caption>
RATIOS/SUPPLEMENTAL DATA:
-----------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
-----------------------------------------------------------------------
NET INVESTMENT
NET ASSETS, NET EXPENSES INCOME (LOSS)
END OF INVESTMENT WITHOUT WAIVERS, WITHOUT WAIVERS, PORTFOLIO
PERIOD NET INCOME REIMBURSEMENTS REIMBURSEMENTS TURNOVER
(MILLIONS) EXPENSES (LOSS) AND EARNINGS CREDITS AND EARNINGS CREDITS RATE (a)
U.S. SMALL COMPANY FUND+
1/1/04 Through 6/30/04 $ 117 1.01% (0.25%) 1.12% (0.36%) 100%
Year Ended 12/31/03 $ 156 1.01% 0.15% 1.11% 0.05% 78%
Year Ended 12/31/02 $ 199 1.01% 0.23% 1.10% 0.14% 90%
6/1/01 Through 12/31/01^ $ 286 1.01% 0.39% 1.04% 0.36% 48%~
Year Ended 5/31/01 $ 296 1.01% 0.35% 1.01% 0.35% 110%~
Year Ended 5/31/00 $ 285 1.00% 0.05% 1.00% 0.05% 104%~
Year Ended 5/31/99 $ 187 1.02% 0.34% 1.02% 0.34% 104%~
U.S. SMALL COMPANY
OPPORTUNITIES FUND
1/1/04 Through 6/30/04 $ 8 1.02%(o) (0.70%) 2.54% (2.22%) 59%
Year Ended 12/31/03 $ 10 1.02% (0.62%) 1.68% (1.28%) 207%
Year Ended 12/31/02 $ 55 1.02% (0.66%) 1.17% (0.81%) 100%
6/1/01 Through 12/31/01^ $ 195 1.02% (0.50%) 1.07% (0.55%) 55%
Year Ended 5/31/01 $ 339 0.99% (0.35%) 0.99% (0.35%) 117%
Year Ended 5/31/00 $ 529 0.99% (0.47%) 0.99% (0.47%) 132%
Year Ended 5/31/99 $ 286 1.07% (0.42%) 1.07% (0.42%) 116%
</Table>
# Short periods have been annualized.
(o) Excludes interest expense for custody overdraft of 1 basis point.
~ Prior to September 10, 2001, USSCF invested all of its investable assets in
The U.S. Small Company Portfolio ("USSCP"). The portfolio turnover rate
disclosed prior to September 10, 2001 is the turnover rate of USSCP.
SEE NOTES TO FINANCIAL STATEMENTS.
121
<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.
122
<Page>
THIS PAGE IS INTENTIONALLY LEFT BLANK
<Page>
THIS PAGE IS INTENTIONALLY LEFT BLANK
<Page>
[JPMORGAM FLEMING ASSET MANAGEMENT LOGO]
JPMorgan Funds are distributed by J.P. Morgan Fund Distributors, Inc., which is
unaffiliated with The JPMorgan Chase Bank. JPMorgan Chase and its respective
affiliates receive compensation from JPMorgan Funds for providing services to
the Funds.
This report is submitted for the general information of the shareholders of the
Funds. It is not authorized for distribution to prospective investors in the
Funds unless preceded or accompanied by a prospectus.
The financial information in this report has been taken from the books and
records of the Funds without examination by independent auditors, who express no
opinion thereon.
INVESTORS SHOULD CAREFULLY READ THE 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.
<Page>
JPMorgan Funds Fulfillment Center PRSRT STD
6112 W. 73rd Street U.S. POSTAGE
Bedford Park, IL 60638 PAID
PERMIT 2891
KANSAS CITY, MO
(C) J.P. Morgan Chase & Co., 2004 All rights reserved. August 2004.
SAN-MSC-604
<Page>
[GRAPHIC]
JPMORGAN FUNDS
SEMI-ANNUAL REPORT JUNE 30 2004 (UNAUDITED)
U.S. EQUITY FUNDS
CAPITAL GROWTH FUND
[JPMORGAN FLEMING ASSET MANAGEMENT LOGO]
<Page>
[JPMORGAN FLEMING ASSET MANAGEMENT LOGO]
JPMORGAN FLEMING ASSET MANAGEMENT is a premier global wealth manager that has
been working with affluent investors for over a hundred years. This experience
provides us with a keen understanding of the unique needs of the affluent
investor's portfolio. The legacy of our experience, coupled with our GLOBAL
INTELLECTUAL CAPITAL, is the foundation from which our investment products have
been built. We have a worldwide investment presence. This local insight provides
us with a global view of every investment decision we make which we believe is
crucial in light of the ever-increasing rise of globalization in our
marketplace. JPMorgan Fleming Asset Management is an EXPERIENCED PARTNER
dedicated to working with your financial professional to help provide you with a
broad array of WEALTH SOLUTIONS.
CONTENTS
<Table>
President's Letter 1
JPMorgan Capital Growth Fund Fund Commentary 2
Portfolio of Investments 5
Financial Statements 8
Notes to Financial Statements 12
Financial Highlights 21
</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 InveCenter at (800) 348-4782 for a prospectus containing more complete
information about a Fund including management fees and other expenses. Please
read it carefully before investing.
JPMorgan Funds are distributed by J.P. Morgan Fund Distributors, Inc.
<Page>
JPMORGAN CAPITAL GROWTH FUND
PRESIDENT'S LETTER AUGUST 2, 2004
[PHOTO OF GEORGE C.W. GATCH]
"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"
DEAR SHAREHOLDER:
We are pleased to present this semi-annual report for the JPMorgan Capital
Growth Fund. Inside, you'll find information detailing the performance of the
Fund for the six months ended June 30, 2004, along with a report from the
Portfolio Managers.
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 30th, 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, towards 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 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, everyone 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
<Page>
JPMORGAN CAPITAL GROWTH FUND
AS OF JUNE 30, 2004 (Unaudited)
FUND FACTS
<Table>
Fund Inception 9/23/1987
Fiscal Year End DECEMBER 31
Net Assets as of 6/30/04
(In Millions) $490.6
Primary Benchmark RUSSELL MIDCAP
GROWTH INDEX
</Table>
Q. HOW DID THE FUND PERFORM?
A. JPMorgan Capital Growth Fund, which seeks capital growth over the long term,
rose 8.62% (Class A shares, without sales charge) during the six months ended
June 30, 2004. This compares with a gain of 5.94% for the Russell MidCap
Growth Index, the Fund's benchmark.
Q. WHY DID THE FUND OUTPERFORM ITS BENCHMARK?
A. The Fund performed well during the first half of 2004. After the year began
with the market's more speculative names posting the highest gains, market
leadership shifted to higher quality names in February. This development
helped the Fund's performance, as our overriding focus is on strong, durable
businesses. The positive performance relative to the benchmark is
attributable to stock selection rather than sector weightings, with the
Healthcare and Information Technology sectors doing particularly well. The
Fund's stock selections in Telecommunications were the largest detractors
from performance. In addition, the Fund's industrial holdings, which rose
marginally during the first half of the year, underperformed their benchmark
peer group.
ImClone proved to be the Fund's top contributor, as the company's shares
doubled during the first half of 2004. The advance was driven by the approval
and launch of the cancer drug Erbitux, which is expected to be a blockbuster.
In particular, the FDA's approval of Erbitux as a treatment for colon cancer
resulted in a $250M milestone payment from Bristol Myers Squibb. Another top
contributor was Biogen, up 72% this year as its current drugs continue to
exhibit healthy growth, while a number of drugs in its pipeline are entering
late-stage clinical development. In addition, Antegren, a very promising MS
drug expected to play a critical role in the treatment of that disease, is on
the verge of U.S. and European regulatory approvals and a commercial launch.
Amongst a number of stocks that performed well, there were a few holdings
that detracted from performance. The Fund's biggest detractor was Amkor
Technology, as the provider of semiconductor packaging and test services
pre-announced disappointing second quarter results, particularly with respect
to margins. Key factors affecting their margins were an unfavorable product
mix, rising material costs, and higher depreciation. Because we did not feel
that management was executing well on its business plan, the position was
sold. Another detractor from the portfolio was Doubleclick, as the on-line
advertising company failed to meet the street's revenue expectations.
Although Doubleclick has strong exposure to the rapidly growing online ad
market, its core technology serving business has experienced pricing
pressure. As the company increases headcount to generate additional revenue,
we expect margin expansion to be lower than consensus expectations and thus
eliminated the position from the portfolio.
Q. HOW WAS THE FUND MANAGED?
A. The portfolio manager's focus remained on stock selection, believing that
quality companies, regardless of their economic sector, trading at attractive
valuations will outperform in the long term. The portfolio manager sought to
maintain significant sector diversification in the portfolio to avoid any
large bets contingent on macroeconomic or sector trends.
2
<Page>
SEMI-ANNUAL REPORT JUNE 30 2004
(Unaudited)
[CHART]
PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS
<Table>
Technology 30.4%
Consumer Goods & Services 26.3%
Pharmaceuticals 10.8%
Health Services & Systems 9.8%
Industrial Products & Services 6.8%
Finance & Insurance 6.6%
Energy 3.8%
Short-Term Investments 2.9%
Telecommunications 2.6%
</Table>
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO
<Table>
1. Amphenol Corp., Class A 2.1%
2. Zimmer Holdings, Inc. 1.9%
3. Omnicare, Inc. 1.7%
4. Gilead Sciences, Inc. 1.5%
5. Biogen Idec, Inc. 1.5%
6. Harsco Corp. 1.5%
7. Arrow Electronics, Inc. 1.4%
8. ImClone Systems, Inc. 1.4%
9. Staples, Inc. 1.4%
10. Tempur-Pedic International, Inc. 1.4%
</Table>
Top 10 equity holdings comprised 15.8% ($79,241 in thousands) of the Portfolio's
market value of investments. As of June 30, 2004, the Fund held 104 equity
holdings. Portfolio holdings are subject to change at any time.
3
<Page>
AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2004
<Table>
<Caption>
1 YEAR 3 YEARS 5 YEARS 10 YEARS
------------------------------------------------------
CLASS A SHARES
Without Sales Charge 28.59% 1.69% 4.66% 10.30%
With Sales Charge* 21.18% (0.31%) 3.43% 9.65%
------------------------------------------------------
CLASS B SHARES
Without CDSC 27.96% 1.17% 4.14% 9.87%
With CDSC** 22.96% 0.20% 3.84% 9.87%
------------------------------------------------------
CLASS C SHARES
Without CDSC 27.99% 1.13% 4.12% 9.66%
With CDSC*** 26.99% 1.13% 4.12% 9.66%
------------------------------------------------------
SELECT SHARES 29.14% 2.12% 5.18% 10.72%
</Table>
* Sales Charge for Class A Shares is 5.75%.
** Assumes 5% CDSC (contingent deferred sales charge) for the one year period,
3% CDSC for the three year period, 2% CDSC for the five year period and 0%
for the ten year period.
*** Assumes a 1% CDSC for the one year period and 0% CDSC thereafter.
[CHART]
TEN YEAR FUND PERFORMANCE (6/30/94 TO 6/30/04)
<Table>
<Caption>
JPMORGAN CAPITAL GROWTH RUSSELL MIDCAP LIPPER MID-CAP GROWTH
FUND (CLASS A SHARES) GROWTH INDEX FUNDS INDEX
Jun-1994 $ 9,425 $ 10,000 $ 10,000
Jul-1994 $ 9,633 $ 10,277 $ 10,252
Aug-1994 $ 10,081 $ 10,890 $ 11,091
Sep-1994 $ 10,035 $ 10,710 $ 11,170
Oct-1994 $ 10,001 $ 10,895 $ 11,545
Nov-1994 $ 9,550 $ 10,415 $ 11,121
Dec-1994 $ 9,721 $ 10,560 $ 11,400
Jan-1995 $ 9,654 $ 10,687 $ 11,247
Feb-1995 $ 10,077 $ 11,256 $ 11,773
Mar-1995 $ 10,405 $ 11,703 $ 12,185
Apr-1995 $ 10,497 $ 11,801 $ 12,265
May-1995 $ 10,711 $ 12,092 $ 12,459
Jun-1995 $ 10,970 $ 12,643 $ 13,479
Jul-1995 $ 11,606 $ 13,438 $ 14,618
Aug-1995 $ 11,657 $ 13,586 $ 14,864
Sep-1995 $ 11,773 $ 13,889 $ 15,446
Oct-1995 $ 11,389 $ 13,537 $ 15,142
Nov-1995 $ 11,730 $ 14,142 $ 15,718
Dec-1995 $ 11,882 $ 14,149 $ 15,867
Jan-1996 $ 12,018 $ 14,400 $ 15,761
Feb-1996 $ 12,337 $ 14,944 $ 16,434
Mar-1996 $ 12,612 $ 15,062 $ 16,818
Apr-1996 $ 13,033 $ 15,790 $ 18,259
May-1996 $ 13,282 $ 16,112 $ 18,979
Jun-1996 $ 12,873 $ 15,625 $ 18,149
Jul-1996 $ 12,178 $ 14,413 $ 16,164
Aug-1996 $ 12,913 $ 15,192 $ 17,211
Sep-1996 $ 13,692 $ 16,157 $ 18,380
Oct-1996 $ 13,835 $ 15,968 $ 17,691
Nov-1996 $ 14,633 $ 16,909 $ 18,096
Dec-1996 $ 14,757 $ 16,625 $ 18,004
Jan-1997 $ 15,253 $ 17,361 $ 18,464
Feb-1997 $ 14,884 $ 16,979 $ 17,237
Mar-1997 $ 14,238 $ 16,020 $ 15,925
Apr-1997 $ 14,488 $ 16,412 $ 15,786
May-1997 $ 15,540 $ 17,883 $ 17,842
Jun-1997 $ 16,148 $ 18,378 $ 18,593
Jul-1997 $ 17,248 $ 20,137 $ 19,729
Aug-1997 $ 17,218 $ 19,940 $ 19,674
Sep-1997 $ 17,993 $ 20,949 $ 21,082
Oct-1997 $ 17,495 $ 19,899 $ 19,902
Nov-1997 $ 17,846 $ 20,108 $ 19,583
Dec-1997 $ 18,205 $ 20,371 $ 20,041
Jan-1998 $ 18,059 $ 20,005 $ 19,663
Feb-1998 $ 19,634 $ 21,885 $ 21,332
Mar-1998 $ 20,638 $ 22,802 $ 22,437
Apr-1998 $ 20,879 $ 23,112 $ 22,534
May-1998 $ 19,939 $ 22,162 $ 21,220
Jun-1998 $ 20,340 $ 22,789 $ 22,196
Jul-1998 $ 19,270 $ 21,814 $ 20,718
Aug-1998 $ 15,574 $ 17,650 $ 16,251
Sep-1998 $ 16,359 $ 18,984 $ 17,946
Oct-1998 $ 17,215 $ 20,381 $ 18,606
Nov-1998 $ 17,724 $ 21,755 $ 20,020
Dec-1998 $ 19,213 $ 24,009 $ 22,603
Jan-1999 $ 18,929 $ 24,729 $ 23,724
Feb-1999 $ 18,020 $ 23,520 $ 21,881
Mar-1999 $ 18,177 $ 24,830 $ 23,441
Apr-1999 $ 19,197 $ 25,962 $ 24,402
May-1999 $ 19,201 $ 25,627 $ 24,300
Jun-1999 $ 20,005 $ 27,416 $ 26,258
Jul-1999 $ 19,711 $ 26,544 $ 25,898
Aug-1999 $ 19,118 $ 26,268 $ 25,766
Sep-1999 $ 18,994 $ 26,045 $ 26,519
Oct-1999 $ 19,677 $ 28,058 $ 28,863
Nov-1999 $ 20,356 $ 30,965 $ 32,482
Dec-1999 $ 21,665 $ 36,328 $ 39,258
Jan-2000 $ 20,642 $ 36,321 $ 38,583
Feb-2000 $ 22,017 $ 43,955 $ 48,252
Mar-2000 $ 23,640 $ 43,999 $ 44,855
Apr-2000 $ 23,444 $ 39,727 $ 38,938
May-2000 $ 22,440 $ 36,831 $ 35,438
Jun-2000 $ 23,024 $ 40,739 $ 40,945
Jul-2000 $ 22,920 $ 38,160 $ 39,246
Aug-2000 $ 25,487 $ 43,915 $ 44,379
Sep-2000 $ 24,955 $ 41,767 $ 42,244
Oct-2000 $ 24,752 $ 38,910 $ 38,827
Nov-2000 $ 22,742 $ 30,455 $ 30,708
Dec-2000 $ 24,732 $ 32,060 $ 32,922
Jan-2001 $ 24,886 $ 33,891 $ 33,370
Feb-2001 $ 23,627 $ 28,028 $ 28,364
Mar-2001 $ 21,883 $ 24,017 $ 25,355
Apr-2001 $ 23,649 $ 28,020 $ 28,697
May-2001 $ 24,091 $ 27,889 $ 28,932
Jun-2001 $ 23,891 $ 27,903 $ 28,819
Jul-2001 $ 23,490 $ 26,022 $ 27,303
Aug-2001 $ 22,736 $ 24,135 $ 25,474
Sep-2001 $ 20,158 $ 20,146 $ 21,801
Oct-2001 $ 20,829 $ 22,263 $ 23,015
Nov-2001 $ 22,176 $ 24,661 $ 24,904
Dec-2001 $ 23,613 $ 25,598 $ 25,985
Jan-2002 $ 22,900 $ 24,766 $ 24,993
Feb-2002 $ 21,540 $ 23,362 $ 23,751
Mar-2002 $ 22,966 $ 25,144 $ 25,247
Apr-2002 $ 22,176 $ 23,814 $ 24,409
May-2002 $ 21,504 $ 23,105 $ 23,593
Jun-2002 $ 19,536 $ 20,554 $ 21,475
Jul-2002 $ 17,626 $ 18,556 $ 19,160
Aug-2002 $ 17,293 $ 18,491 $ 18,932
Sep-2002 $ 16,063 $ 17,021 $ 17,756
Oct-2002 $ 17,120 $ 18,340 $ 18,651
Nov-2002 $ 17,887 $ 19,776 $ 19,759
Dec-2002 $ 16,991 $ 18,582 $ 18,591
Jan-2003 $ 16,760 $ 18,400 $ 18,316
Feb-2003 $ 16,332 $ 18,240 $ 18,034
Mar-2003 $ 16,742 $ 18,579 $ 18,292
Apr-2003 $ 17,657 $ 19,844 $ 19,574
May-2003 $ 19,177 $ 21,753 $ 21,193
Jun-2003 $ 19,533 $ 22,064 $ 21,526
Jul-2003 $ 20,188 $ 22,852 $ 22,374
Aug-2003 $ 21,163 $ 24,111 $ 23,474
Sep-2003 $ 20,498 $ 23,643 $ 22,686
Oct-2003 $ 22,251 $ 25,549 $ 24,464
Nov-2003 $ 22,834 $ 26,233 $ 25,046
Dec-2003 $ 23,129 $ 26,519 $ 25,174
Jan-2004 $ 23,924 $ 27,395 $ 25,811
Feb-2004 $ 24,479 $ 27,855 $ 26,167
Mar-2004 $ 24,589 $ 27,802 $ 26,162
Apr-2004 $ 23,751 $ 27,018 $ 25,333
May-2004 $ 24,299 $ 27,655 $ 25,885
Jun-2004 $ 25,125 $ 28,095 $ 26,509
</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 9/23/87.
Returns for the Select Shares prior to 1/25/96 (offering date of the Select
Shares) are calculated using the historical expenses of the Class A Shares,
which are higher than the expenses of the Select Shares.
Returns for the Class C Shares prior to 1/2/98 (offering date of the Class C
Shares) are calculated using the historical expenses of the Class A Shares,
which are lower than the expenses of the Class C Shares.
The graph illustrates comparative performance for $10,000 invested in Class A
Shares of the JPMorgan Capital Growth Fund, Russell MidCap Growth Index, and
Lipper Mid-Cap Growth Funds Index from June 30, 1994 to June 30, 2004. The
performance of the Fund assumes reinvestment of all dividends and capital gains
and includes a sales charge. The performance of the indices does not include a
sales charge and has been adjusted to reflect reinvestment of all dividends and
capital gains of the securities included in the benchmark. The Russell MidCap
Growth Index measures the performance of those Russell MidCap companies with
higher price-to-book ratios and higher financial growth values.
The Lipper Mid-Cap Growth Funds Index represents the total returns of the funds
in the indicated category, as defined by Lipper, Inc. Investors cannot invest
directly in an index.
Class A shares have a $2,500 minimum initial deposit and carry a 5.75% sales
charge.
Certain fees and expenses of the Fund are currently being waived and reimbursed
as described in the prospectus. Had the expenses not been subsidized or waived,
returns would have been lower. Also all performance shown in this section does
not reflect the deduction of taxes that a shareholder would pay on fund
distributions or redemption of fund shares.
4
<Page>
JPMORGAN CAPITAL GROWTH FUND
PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2004 (Unaudited)
(Amounts in thousands)
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------
LONG-TERM INVESTMENTS - 97.1%
COMMON STOCKS -- 97.1%
AEROSPACE -- 0.8%
117 Rockwell Collins, Inc. $ 3,882
AIRLINES -- 1.0%
281 SkyWest, Inc. 4,891
APPAREL -- 1.0%
142 Polo Ralph Lauren Corp. 4,902
AUTOMOTIVE -- 2.7%
122 Autoliv, Inc. (Sweden) 5,161
72 Oshkosh Truck Corp. 4,146
90 Polaris Industries, Inc. (l) 4,342
-------------------------------------------------------------------
13,649
-------------------------------------------------------------------
BANKING -- 1.8%
131 BOK Financial Corp.* 5,159
95 North Fork Bancorporation, Inc. 3,624
-------------------------------------------------------------------
8,783
-------------------------------------------------------------------
BIOTECHNOLOGY -- 4.0%
119 Biogen Idec, Inc.* 7,501
100 Genzyme Corp.* 4,724
114 Gilead Sciences, Inc.* 7,624
-------------------------------------------------------------------
19,849
-------------------------------------------------------------------
BROADCASTING/CABLE -- 0.8%
132 Univision Communications, Inc., Class A* 4,228
BUSINESS SERVICES -- 0.9%
88 Affiliated Computer Services, Inc., Class A* 4,645
COMPUTER NETWORKS -- 2.0%
208 Juniper Networks, Inc.* 5,101
228 Network Appliance, Inc.* 4,903
-------------------------------------------------------------------
10,004
-------------------------------------------------------------------
COMPUTER SOFTWARE -- 6.1%
119 Adobe Systems, Inc. 5,552
74 Cognos, Inc. (Canada)* (l) 2,688
203 Computer Associates International, Inc. 5,686
93 D & B Corp.* 5,027
79 DST Systems, Inc.* $ 3,789
102 Fiserv, Inc.* 3,955
76 Mercury Interactive Corp.* 3,787
-------------------------------------------------------------------
30,484
-------------------------------------------------------------------
COMPUTERS/COMPUTER HARDWARE -- 4.1%
113 Apple Computer, Inc.* 3,666
41 Lexmark International, Inc., Class A* 3,938
39 Research In Motion LTD (Canada)* 2,673
105 Tech Data Corp.* 4,089
70 Zebra Technologies Corp., Class A* (l) 6,046
-------------------------------------------------------------------
20,412
-------------------------------------------------------------------
CONSTRUCTION -- 0.9%
97 Lennar Corp., Class A 4,318
CONSUMER PRODUCTS -- 1.4%
487 Tempur-Pedic International, Inc.* 6,824
ELECTRONICS/ELECTRICAL EQUIPMENT -- 7.8%
309 Amphenol Corp., Class A* 10,280
268 Arrow Electronics, Inc.* (l) 7,196
112 Fisher Scientific International* (l) 6,491
213 Flextronics International LTD (Singapore)* 3,399
149 Jabil Circuit, Inc.* 3,763
125 Tektronix, Inc. 4,237
210 Vishay Intertechnology, Inc.* (l) 3,897
-------------------------------------------------------------------
39,263
-------------------------------------------------------------------
ENTERTAINMENT/LEISURE -- 3.4%
279 Regal Entertainment Group, Class A (l) 5,050
143 Royal Caribbean Cruises LTD 6,192
117 Station Casinos, Inc. 5,675
-------------------------------------------------------------------
16,917
-------------------------------------------------------------------
FINANCIAL SERVICES -- 4.1%
347 AmeriCredit Corp.* (l) 6,776
429 Ameritrade Holding Corp.* 4,866
43 Legg Mason, Inc. (l) 3,895
98 T. Rowe Price Group, Inc. 4,919
-------------------------------------------------------------------
20,456
-------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
5
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------
LONG-TERM INVESTMENTS - CONTINUED
HEALTH CARE/HEALTH CARE SERVICES -- 9.8%
45 Aetna, Inc. $ 3,808
77 Bausch & Lomb, Inc. 5,020
160 Caremark Rx, Inc.* 5,282
211 DaVita, Inc.* 6,501
201 Omnicare, Inc. 8,594
48 St. Jude Medical, Inc.* 3,658
88 WellChoice, Inc.* 3,651
31 WellPoint Health Networks, Inc.* 3,472
109 Zimmer Holdings, Inc.* 9,635
-------------------------------------------------------------------
49,621
-------------------------------------------------------------------
HOTELS/OTHER LODGING -- 2.2%
200 Fairmont Hotels & Resorts, Inc. (Canada) 5,378
311 Hilton Hotels Corp. 5,805
-------------------------------------------------------------------
11,183
-------------------------------------------------------------------
INSURANCE -- 0.7%
47 AMBAC Financial Group, Inc. 3,485
INTERNET SERVICES/SOFTWARE -- 1.0%
76 CheckFree Corp.* (l) 2,271
79 Netflix, Inc.* 2,851
-------------------------------------------------------------------
5,122
-------------------------------------------------------------------
MANUFACTURING -- 3.6%
186 Donaldson Co., Inc. (l) 5,450
158 Harsco Corp. 7,407
63 ITT Industries, Inc. 5,188
-------------------------------------------------------------------
18,045
-------------------------------------------------------------------
METALS/MINING -- 1.6%
108 CONSOL Energy, Inc. 3,875
74 Precision Castparts Corp. 4,042
-------------------------------------------------------------------
7,917
-------------------------------------------------------------------
MULTI-MEDIA -- 0.7%
35 The E.W. Scripps Co., Class A 3,644
OIL & GAS -- 3.8%
86 BJ Services Co.* 3,922
133 FMC Technologies, Inc.* 3,823
89 Nabors Industries LTD (Barbados)* (l) 4,028
70 Newfield Exploration Co.* $ 3,874
120 XTO Energy, Inc. 3,579
-------------------------------------------------------------------
19,226
-------------------------------------------------------------------
PHARMACEUTICALS -- 6.8%
72 Eon Labs, Inc.* (l) 2,961
83 ImClone Systems, Inc.* (l) 7,142
98 IVAX Corp.* (l) 2,359
165 Medicis Pharmaceutical Corp., Class A (l) 6,588
211 NBTY, Inc.* 6,203
62 OSI Pharmaceuticals, Inc.* (l) 4,350
82 Sepracor, Inc.* (l) 4,356
-------------------------------------------------------------------
33,959
-------------------------------------------------------------------
RESTAURANTS/FOOD SERVICES -- 2.3%
87 Outback Steakhouse, Inc. 3,598
129 Ruby Tuesday, Inc. 3,540
115 The Cheesecake Factory, Inc.* 4,584
-------------------------------------------------------------------
11,722
-------------------------------------------------------------------
RETAILING -- 9.7%
104 Abercrombie & Fitch Co., Class A 4,047
100 Advanced Auto Parts, Inc.* (l) 4,436
145 CarMax, Inc.* (l) 3,179
100 CDW Corp. 6,402
89 Chico's FAS, Inc.* (l) 4,035
149 Foot Locker, Inc. 3,622
115 PETsMART, Inc. 3,722
240 Staples, Inc. 7,038
105 Talbots, Inc. (l) 4,115
133 Tiffany & Co. 4,903
34 Whole Foods Market, Inc. 3,283
-------------------------------------------------------------------
48,782
-------------------------------------------------------------------
SEMI-CONDUCTORS -- 6.2%
181 Altera Corp.* 4,011
88 Broadcom Corp., Class A* 4,102
102 KLA-Tencor Corp.* 5,036
137 Lam Research Corp.* 3,660
96 Linear Technology Corp. 3,799
123 Microchip Technology, Inc. (l) 3,879
117 Novellus Systems, Inc.* 3,675
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
6
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------
LONG-TERM INVESTMENTS - CONTINUED
SEMI-CONDUCTORS -- CONTINUED
62 Silicon Laboratories, Inc.* $ 2,874
-------------------------------------------------------------------
31,036
-------------------------------------------------------------------
TELECOMMUNICATIONS -- 2.6%
133 Adtran, Inc. (l) 4,440
145 Nextel Communications, Inc., Class A* 3,876
294 Nextel Partners, Inc., Class A* (l) 4,676
-------------------------------------------------------------------
12,992
-------------------------------------------------------------------
TELECOMMUNICATIONS EQUIPMENT -- 2.3%
148 Andrew Corp.* (l) 2,951
283 Corning, Inc.* 3,694
209 Polycom, Inc.* 4,677
-------------------------------------------------------------------
11,322
-------------------------------------------------------------------
TEXTILES -- 1.0%
65 Mohawk Industries, Inc.* 4,774
-------------------------------------------------------------------
Total Common Stocks 486,337
(Cost $391,233)
-------------------------------------------------------------------
SHORT-TERM INVESTMENTS - 2.9%
MONEY MARKET FUND -- 2.9%
14,602 JPMorgan Prime Money Market Fund (a) $ 14,602
(Cost $14,602)
-------------------------------------------------------------------
TOTAL INVESTMENTS -- 100.0% $ 500,939
(COST $405,835)
-------------------------------------------------------------------
COLLATERAL INVESTMENTS
MONEY MARKET FUNDS (c)
8,874 AIM Short Term Investment Co. $ 8,874
2,230 Barclays Global Investors Fund 2,230
-------------------------------------------------------------------
11,104
-------------------------------------------------------------------
<Caption>
PRINCIPAL
AMOUNT
(USD)
- --------------------------------------------------------------------------------
REPURCHASE AGREEMENT (c)
$ 56,000 Credit Suisse First Boston,
1.51%, due 07/01/04, dated
06/30/04, proceeds $56,002,
secured by U.S. Government
Agency Securities $ 56,000
-------------------------------------------------------------------
$ 67,104
-------------------------------------------------------------------
</Table>
Abbreviations:
* -- Non-income producing security.
(a) -- Affiliated. Money market fund registered under the Investment Company
Act of 1940, as amended and advised by JPMorgan Investment Management,
Inc.
(c) -- Investment of cash collateral for portfolio securities on loan.
(l) -- Security, or a portion of the security, has been delivered to
counterparty as part of security lending transaction.
USD -- United States Dollar.
SEE NOTES TO FINANCIAL STATEMENTS.
7
<Page>
JPMORGAN CAPITAL GROWTH FUND
STATEMENT OF ASSETS AND LIABILITIES AS OF JUNE 30, 2004 (Unaudited)
(Amounts in thousands, except per share amounts)
<Table>
ASSETS:
Investments in non-affiliates, at value $ 486,337
Investments in affiliates, at value 14,602
- --------------------------------------------------------------------------------
Total investment securities, at value 500,939
- --------------------------------------------------------------------------------
Investments held as collateral for
securities lending program 67,104
Receivables:
Investment securities sold 19,989
Fund shares sold 392
Interest and dividends 99
Securities lending (net) 7
Expense reimbursements 1
- --------------------------------------------------------------------------------
Total Assets 588,531
- --------------------------------------------------------------------------------
LIABILITIES:
Payables:
Investment securities purchased 29,451
Collateral for securities lending program 67,104
Fund shares redeemed 546
Accrued liabilities:
Investment advisory fees 158
Administration fees 59
Shareholder servicing fees 98
Distribution fees 124
Custodian fees 5
Trustees' fees - deferred compensation plan 59
Other 316
- --------------------------------------------------------------------------------
Total Liabilities 97,920
- --------------------------------------------------------------------------------
NET ASSETS $ 490,611
- --------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
8
<Page>
<Table>
NET ASSETS:
Paid in capital $ 342,961
Accumulated undistributed
(overdistributed) net investment income (1,332)
Accumulated net realized gain (loss)
on investments 53,878
Net unrealized appreciation
(depreciation) of investments 95,104
- --------------------------------------------------------------------------------
Total Net Assets $ 490,611
- --------------------------------------------------------------------------------
Class A $ 422,569
Class B $ 57,828
Class C $ 5,911
Select $ 4,303
- --------------------------------------------------------------------------------
Total $ 490,611
- --------------------------------------------------------------------------------
Shares of beneficial interest outstanding ($0.001 par value;
unlimited number of shares authorized):
Class A 10,381
Class B 1,513
Class C 157
Select 101
Net Asset Value:
Class A (and redemption price) $ 40.70
Class B * $ 38.22
Class C * $ 37.73
Select (and redemption price) $ 42.40
Class A Maximum Public Offering Price
Per Share (net asset value per
share/94.25%) $ 43.18
Cost of investments $ 405,835
- --------------------------------------------------------------------------------
Investment securities on loan, at value $ 65,712
- --------------------------------------------------------------------------------
</Table>
* Redemption price may be reduced by contingent deferred sales charge.
SEE NOTES TO FINANCIAL STATEMENTS.
9
<Page>
STATEMENT OF OPERATIONS FOR THE SIX MONTHS ENDED JUNE 30, 2004 (Unaudited)
(Amounts in thousands)
<Table>
INVESTMENT INCOME:
Dividend $ 2,224
Dividend income from affiliated
investments* 36
Securities lending (net) 35
Foreign taxes withheld (1)
- --------------------------------------------------------------------------------
Total investment income 2,294
- --------------------------------------------------------------------------------
EXPENSES:
Investment advisory fees 975
Administration fees 366
Shareholder servicing fees 609
Distribution fees 769
Custodian fees 11
Accounting fees 46
Printing and postage 52
Professional fees 29
Registration expenses 34
Transfer agent fees 640
Trustees' fees 5
Other 18
- --------------------------------------------------------------------------------
Total expenses 3,554
- --------------------------------------------------------------------------------
Less amounts waived 107
Less expense reimbursements 1
- --------------------------------------------------------------------------------
Net expenses 3,446
- --------------------------------------------------------------------------------
Net investment income (loss) (1,152)
- --------------------------------------------------------------------------------
REALIZED AND UNREALIZED
GAIN (LOSS) ON INVESTMENTS:
Net realized gain (loss) on transactions from:
Investments 54,856
Change in net unrealized appreciation (depreciation) of:
Investments (13,541)
Net realized and unrealized gain (loss)
on investments 41,315
- --------------------------------------------------------------------------------
Net increase (decrease) in net assets
from operations $ 40,163
- --------------------------------------------------------------------------------
* Includes reimbursements of
investment advisory, administration
and shareholder servicing fees: $ 6
- --------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
10
<Page>
STATEMENT OF CHANGES
IN NET ASSETS FOR THE PERIODS INDICATED (Unaudited)
(Amounts in thousands)
<Table>
<Caption>
1/1/04
THROUGH YEAR ENDED
6/30/04 12/31/03
INCREASE (DECREASE) IN NET
ASSETS FROM OPERATIONS:
Net investment income (loss) $ (1,152) $ (4,749)
Net realized gain (loss) on investments 54,856 25,812
Change in net unrealized appreciation
(depreciation) of investments (13,541) 111,200
- -------------------------------------------------------------------------------
Increase (decrease) in net assets
from operations 40,163 132,263
- -------------------------------------------------------------------------------
DISTRIBUTIONS TO
SHAREHOLDERS FROM:
Net realized gain on investment
transactions -- (17,445)
- -------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS:
Increase (decrease) (30,083) (28,774)
- -------------------------------------------------------------------------------
NET ASSETS:
Total increase (decrease) in net assets 10,080 86,044
- -------------------------------------------------------------------------------
Beginning of period 480,531 394,487
- -------------------------------------------------------------------------------
End of period $ 490,611 $ 480,531
- -------------------------------------------------------------------------------
Accumulated undistributed
(overdistributed) net
investment income $ (1,332) $ (180)
- -------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
11
<Page>
JPMORGAN CAPITAL GROWTH FUND
NOTES TO FINANCIAL STATEMENTS (Unaudited)
1. ORGANIZATION
J.P. Morgan Mutual Fund Group ("JPMMFG" or the "Trust") was organized on May 11,
1987, as a Massachusetts business trust, and is registered under the Investment
Company Act of 1940, as amended, (the "1940 Act"), as an open-end management
investment company. JPMorgan Capital Growth Fund ("CGF" or the "Fund") is a
separate series of the Trust. The Fund offers Class A, Class B, Class C and
Select shares.
Class A shares generally provide for a front-end sales charge while Class B and
Class C shares provide for a contingent deferred sales charge. Class B shares
automatically convert to Class A shares after eight years. No sales charges are
assessed with respect to the Select Class shares. All classes of shares have
equal rights as to earnings, assets and voting privileges except that each class
may bear different transfer agent, distribution and shareholder servicing fees
and each class has exclusive voting rights with respect to its distribution plan
and shareholder servicing agreements. Class A shares, for which front-end sales
charges have been waived, may be subject to redemption charges as described in
the Fund's prospectus.
2. REORGANIZATIONS
Prior to the open of business on March 24, 2003, CGF acquired all the net assets
of JPMorgan H&Q Technology Fund ("HQTF"). This reorganization was pursuant to
the Reorganization Plan approved by the HQTF's shareholders on February 13,
2003. The transaction was structured for tax purposes to qualify as a tax-free
reorganization under the Internal Revenue Code. Under the Reorganization Plan,
shareholders of the HQTF received shares in the CGF with a value equal to their
holdings in the HQTF.
The following is a summary of Shares Outstanding, Net Assets, Net Asset Values
Per Share and Net Unrealized Appreciation (Depreciation) immediately before and
after the Reorganization (amounts in thousands, except per share amounts):
JPMORGAN CAPITAL GROWTH FUND REORGANIZATION
<Table>
<Caption>
NET ASSET NET UNREALIZED
SHARES VALUE APPRECIATION
OUTSTANDING NET ASSETS PER SHARE (DEPRECIATION)
TARGET FUND
JPMorgan H&Q Technology Fund $ (19)
Class A 1,025 $ 1,205 $ 1.18
Class B 833 $ 968 $ 1.16
Class C 233 $ 271 $ 1.16
ACQUIRING FUND
JPMorgan Capital Growth Fund $ 1,902
Class A 11,346 $ 330,493 $ 29.13
Class B 1,895 $ 52,299 $ 27.59
Class C 108 $ 2,941 $ 27.29
Select Class 78 $ 2,358 $ 30.14
POST REORGANIZATION
JPMorgan Capital Growth Fund $ 1,883
Class A 11,387 $ 331,698 $ 29.13
Class B 1,930 $ 53,267 $ 27.59
Class C 118 $ 3,212 $ 27.29
Select Class 78 $ 2,358 $ 30.14
</Table>
12
<Page>
3. SIGNIFICANT ACCOUNTING POLICIES
THE FOLLOWING IS A SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES FOLLOWED BY THE
FUND:
The preparation of financial statements in accordance with accounting principles
generally accepted in the United States of America requires management to make
estimates and assumptions that affect the reported amounts and disclosures in
the financial statements. Actual results could differ from those estimates.
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 Fund will be valued each day based on
readily available market quotations received from independent or affiliated
commercial pricing services. Such pricing services will generally provide
bidside quotations. Convertible bonds are valued at the last sale price on the
primary exchange on which the bond is principally traded. All short-term
securities with a remaining maturity of sixty days or less are valued using the
amortized cost method, which approximates market value. When valuations are not
readily available, securities are valued at fair value as determined in
accordance with procedures adopted by the Trustees. It is possible that the
estimated values may differ significantly from the values that would have been
used had a ready market for the investments existed, and such differences could
have been material. Trading in securities on most foreign exchanges and over-the
counter markets is normally completed before the close of the domestic market
and may also take place on days when the domestic market is closed. In
accordance with procedures adopted by the Trustees, the Fund applies fair value
pricing on a daily basis for all non-U.S. and non-Canadian equity securities
held in its portfolio by utilizing the quotations of an independent pricing
service, unless the Fund's advisor, J.P. Morgan Investment Management Inc.
("JPMIM" or the "Advisor"), determines that use of another valuation methodology
is appropriate. The pricing service uses statistical analysis and quantitative
models to adjust local market prices using factors such as subsequent movements
and changes in the prices of indices, securities and exchange rates in other
markets, in determining fair value as of the time the Fund calculates its net
asset value.
B. RESTRICTED AND ILLIQUID SECURITIES -- The Fund may invest in securities that
are subject to legal or contractual restrictions on resale or are illiquid.
Restricted securities generally may be resold in transactions exempt from
registration. A security may be considered illiquid if it lacks a readily
available market or if its valuation has not changed for a certain period of
time. Disposal of these securities may involve time-consuming negotiations and
expense, and prompt sale at the current valuation may be difficult.
C. SECURITIES ON LOAN -- The Board of Trustees has approved the lending of
securities, through its custodian JPMorgan Chase Bank ("JPMCB", an affiliate of
the Fund), acting as lending agent to certain borrowers. By lending investment
securities, the Fund attempts to increase its net investment income through the
receipt of interest (after rebates and fees) on collateral received in
connection with the loan. The net amount of interest earned, after the rebate
and fee, is included in the Statement of Operations as Securities lending (net).
The loans are secured by collateral at least equal at all times to the value of
the securities loaned plus accrued interest. Gain or loss on the value of the
securities loaned that may occur during the term of the loan will be for the
account of the Fund. The Fund also continues to receive interest or dividends on
the securities loaned.
13
<Page>
The Fund has the right under the lending agreement to recover the securities
from the borrower on demand. JPMCB invests the cash collateral on behalf of the
Fund in accordance with investment guidelines contained in the securities
lending agreement.
At June 30, 2004, the market value of securities loaned was $65,712 (amount in
thousands) and the amount of collateral received was $67,104 (amount in
thousands).
JPMCB as lending agent received a fee of $15 (amount in thousands) from the
Fund, which is equal to 0.05% (0.06% prior to January 31, 2004) of the average
dollar value of the loans of U.S. securities outstanding during a given month
and 0.10% (0.1142% prior to January 31, 2004) of the average dollar value of
loans of non-U.S. securities outstanding during a given month.
Risks of delay in recovery of securities or even loss of rights in the
collateral may occur should the borrower of the securities fail financially.
Risks may also arise to the extent that the value of the securities loaned
increases above the value of the securities received. JPMCB will indemnify the
Fund from any loss resulting from a borrower's failure to return a loaned
security when due.
D. SECURITY TRANSACTIONS AND INVESTMENT INCOME -- Investment transactions are
accounted for on the trade date (the date the order to buy or sell is executed).
Securities gains and losses are calculated on the identified cost basis.
Interest income is determined on the basis of coupon interest accrued using the
interest method adjusted for amortization of premiums and accretion of
discounts. Dividend income less foreign taxes withheld (if any) is recorded on
the ex-dividend date or when the Fund first learns of the dividend.
E. ALLOCATION OF INCOME AND EXPENSES -- Expenses directly attributable to a Fund
are charged to that Fund; other expenses of the Trust are allocated
proportionately among each of the Funds within the Trust in relation to the net
assets of each Fund or on another reasonable basis. Expenses directly
attributable to a particular class are charged directly to such class. In
calculating the net asset value per share of each class, investment income,
realized and unrealized gains and losses and expenses other than class specific
expenses are allocated daily to each class of shares based upon the proportion
of net assets of each class at the beginning of each day.
F. FEDERAL INCOME TAXES -- The Fund is treated as a separate taxable entity for
Federal income tax purposes. The Fund's policy is to comply with the provisions
of the Internal Revenue Code applicable to regulated investment companies and to
distribute to shareholders all of its distributable net investment income and
net realized gain on investments. In addition, the Fund intends to make
distributions as required to avoid excise taxes. Accordingly, no provision for
Federal income or excise tax is necessary.
G. FOREIGN TAXES -- The Fund may be subject to foreign taxes on income, gains on
investments or currency repatriation, a portion of which may be recoverable. The
Fund will accrue such taxes and recoveries as applicable, based upon its current
interpretation of tax rules and regulations that exist in the markets in which
it invests.
H. DISTRIBUTIONS TO SHAREHOLDERS -- Dividends and distributions paid to
shareholders are recorded on the ex-dividend date. The amount of dividends and
distributions from net investment income and net realized capital gains is
determined in accordance with Federal income tax regulations, which may differ
from accounting principles generally accepted in the United States of America.
To the extent these "book/tax" differences are permanent in nature, (i.e., that
they result from other than timing of recognition -- "temporary differences"),
such amounts are reclassified within the capital accounts based on their Federal
tax-basis treatment.
I. OTHER EXPENSES-- Other expenses in the Statement of Operations include fees
related to line of credit, insurance, pricing and reporting services.
14
<Page>
4. FEES AND OTHER TRANSACTIONS WITH AFFILIATES
A. INVESTMENT ADVISORY FEE -- Pursuant to the Investment Advisory Agreement,
JPMIM acts as the investment advisor to the Fund. JPMIM is a wholly owned
subsidiary of J.P. Morgan Fleming Asset Management Holdings, Inc., which is a
wholly owned subsidiary of J.P. Morgan Chase & Co. The Advisor supervises the
investments of the Fund and for such services is paid a fee. The fee is accrued
daily and paid monthly at a rate of 0.40% of the Fund's average daily net
assets.
The Fund may invest in one or more of the affiliated JPMorgan Money Market
Funds. The Advisor has agreed to waive and/or reimburse its advisory fee from
the Fund in an amount sufficient to offset any doubling up of investment
advisory, administration and shareholder servicing fees related to the Fund's
investment in an affiliated money market fund.
B. DISTRIBUTION FEE -- Pursuant to a Distribution Agreement, J.P. Morgan Fund
Distributors, Inc. ("JPMFD" or "Distributor"), a wholly-owned subsidiary of The
BISYS Group, Inc., serves as the Trust's exclusive underwriter and promotes and
arranges for the sale of the Fund's shares. JPMFD receives no compensation in
its capacity as the Fund's underwriter.
The Trustees have adopted Distribution Plans (the "Distribution Plans") for
Class A, B, and C Shares of the Fund in accordance with Rule 12b-1 under the
1940 Act. The Distribution Plans provide that the Fund shall pay distribution
fees, including payments to the Distributor, at annual rates of the average
daily net assets of 0.25% for Class A shares and 0.75% for both Class B and
Class C shares. In addition, JPMFD is entitled to receive the contingent
deferred sales charge ("CDSC") from redemptions of Class B and C shares.
C. SHAREHOLDER SERVICING FEE -- The Trust has entered into Shareholder Servicing
Agreements on behalf of the Funds with JPMCB under which JPMCB provides account
administration and personal account maintenance services to the shareholders.
For performing these services, JPMCB receives a fee that is computed daily and
paid monthly equal to 0.25% of the average daily net assets. JPMCB may enter
into services contracts with certain entities under which it will pay all or a
portion of the 0.25% annual fee to such entities for performing shareholding and
administrative services.
In addition, JPMCB, Charles Schwab & Co. ("Schwab"), and the Trust are parties
to separate servicing and operating agreements (the "Schwab Agreements") whereby
Schwab makes shares of the Fund available to customers of investment advisors
and other financial intermediaries who are Schwab's clients. The Fund is not
responsible for payments to Schwab under the Schwab Agreements; however, in the
event the servicing agreement with Schwab is terminated for reasons other than a
breach by Schwab and the relationships between JPMMFG and JPMCB is terminated,
the Fund would be responsible for the ongoing payments to Schwab with respect to
pre-termination shares.
JPMCB waived fees as outlined in Note 4.F.
D. CUSTODIAN FEES -- JPMCB provides portfolio custody services for the Fund.
Compensation for such services is presented in the Statement of Operations as
custodian fees. The custodian fees may be reduced by credits earned by the Fund,
based on the uninvested cash balances held by the custodian. Such earning
credits are presented separately in the Statement of Operations.
E. ADMINISTRATION FEE -- Pursuant to the Administration Agreement, JPMCB (the
"Administrator") provides certain administration services to the Fund. In
consideration of these services, the Administrator receives a fee computed daily
and paid monthly at the annual rate equal to 0.15% of the first $25 billion of
the average daily net assets of all non-money market funds in the JPMorgan Fund
Complex and 0.075% of the average daily net assets in excess of $25 billion.
15
<Page>
BISYS Fund Services, L.P. ("BISYS") serves as the Fund's sub-administrator. For
its services as sub-administrator, BISYS receives a portion of the fees payable
to JPMCB as Administrator.
The Administrator has contractually agreed to reimburse the Fund to the extent
that total operating expenses (excluding interest, taxes, extraordinary expenses
and expenses related to the deferred compensation plan) exceed the percentages
of their respective average daily net assets of 1.35% for Class A shares, 1.85%
for both Class B and Class C shares, and 0.93% for Select Class shares.
The expense limitation percentages above are due to expire on April 30, 2005.
The Administrator waived fees and reimbursed expenses as outlined in
Note 4.F.
F. WAIVERS AND REIMBURSEMENTS -- For the six months ended June 30, 2004, the
Fund's service providers waived fees and the Administrator contractually
reimbursed expenses for the Fund as follows (amounts in thousands).
Neither the Fund's service providers nor the Administrator expect the Fund to
repay any such waived fees and reimbursed expenses in future years.
<Table>
<Caption>
CONTRACTUAL WAIVERS
-------------------------------------------------
SHAREHOLDER CONTRACTUAL
ADMINISTRATION SERVICING TOTAL REIMBURSEMENTS
$ 102 $ 5 $ 107 $ 1
</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 Fund may have purchased securities from an underwriting
syndicate in which the principal underwriter or members of the syndicate were
affiliated with the Advisors.
The Fund may use related party broker/dealers. For the six months ended June 30,
2004, the Fund had no brokerage commissions with broker/dealers affiliated with
JPMCB.
The SEC has granted an exemptive order permitting the Fund to engage in
principal transactions with J.P. Morgan Securities Inc., an affiliated broker,
involving taxable money market instruments subject to certain conditions.
5. CLASS SPECIFIC EXPENSES
The Fund's class specific expenses for the six months ended June 30, 2004, are
as follows (amounts in thousands):
<Table>
<Caption>
SHAREHOLDER
SERVICING DISTRIBUTION TRANSFER AGENT
Class A $ 522 $ 522 $ 547
Class B 76 228 79
Class C 6 19 7
Select 5 -- 7
$ 609 $ 769 $ 640
</Table>
16
<Page>
6. CLASS SPECIFIC DISTRIBUTIONS
The Fund's class specific distributions from net investment income and realized
gain on investment transactions for the six months ended June 30, 2004, and the
year ended December 31, 2003, are as follows (amounts in thousands):
<Table>
<Caption>
SIX MONTHS ENDED 6/30/04 YEAR ENDED 12/31/03
------------------------------------ ------------------------------------
NET NET
INVESTMENT INCOME REALIZED GAIN INVESTMENT INCOME REALIZED GAIN
Class A $ -- $ -- $ -- $ 14,844
Class B -- -- -- 2,326
Class C -- -- -- 157
Select -- -- -- 118
- ---------------------------------------------------------------------------------------------
$ -- $ -- $ -- $ 17,445
</Table>
7. INVESTMENT TRANSACTIONS
For the six months ended June 30, 2004, purchases and sales of investments
(excluding short-term investments) are as follows (amounts in thousands):
<Table>
<Caption>
PURCHASES SALES PURCHASES SALES
(EXCLUDING U.S. (EXCLUDING U.S. OF U.S. OF U.S.
GOVERNMENT) GOVERNMENT) GOVERNMENT GOVERNMENT
$ 334,262 $ 363,398 $ -- $ --
</Table>
8. 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, were as
follows (amounts in thousands):
<Table>
<Caption>
GROSS GROSS NET UNREALIZED
AGGREGATE UNREALIZED UNREALIZED APPRECIATION/
COST APPRECIATION DEPRECIATION (DEPRECIATION)
$ 405,835 $100,770 ($ 5,666) $ 95,104
</Table>
17
<Page>
9. BANK BORROWINGS
Pursuant to a Line of Credit Agreement dated April 17, 2003, the Fund may borrow
money for temporary or emergency purposes. The Fund has entered into the
agreement, enabling it to participate with other JPMorgan Funds in a line of
credit with JPMCB, as administrative agent, and with a syndicate of banks, which
permits borrowings up to $250 million, collectively. Interest is charged to the
Fund based on its borrowings at an annual rate equal to the sum of the Federal
Funds Rate plus 0.50%. The Fund also pays a commitment fee of 0.09% per annum on
the average daily amount of the available commitment, which is allocated on a
pro-rata basis to the Fund. The commitment fee is included in Other expenses on
the Statement of Operations. This agreement expired on April 15, 2004 and has
been extended to April 14, 2005.
The Fund had no borrowings outstanding at June 30, 2004, nor at anytime during
the period then ended.
10. CONCENTRATIONS AND INDEMNIFICATIONS
From time to time, the Fund may have a concentration of several shareholders
which may be a related party, holding a significant percentage of shares
outstanding. Investment activities of these shareholders could have a material
impact on the Fund.
In the normal course of business the Fund enters into contracts that contain a
variety of representations which provide general indemnifications. The Fund's
maximum exposure under these arrangements is unknown, as this would involve
future claims that may be made against the Fund that have not yet occurred.
However, based on experience, the Fund can expect the risk of loss to be remote.
11. 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.
12. SUBSEQUENT EVENTS
On August 19, 2004, the Board of Trustees approved management's proposals: 1) to
enter into an Administration Agreement with One Group Administrative Services,
Inc., an indirect wholly-owned subsidiary of JPMorgan Chase & Co., and 2) to
enter into a Distribution Agreement with One Group Dealer Services, Inc., a
direct wholly-owned subsidiary of JPMorgan Chase & Co.
The foregoing changes in service providers are expected to occur effective
February 19, 2005.
18
<Page>
13. CAPITAL SHARE TRANSACTIONS
Capital share transactions were as follows for the periods presented (amounts in
thousands):
<Table>
<Caption>
SIX MONTHS ENDED YEAR ENDED
JUNE 30, 2004 DECEMBER 31, 2003
CLASS A SHARES
AMOUNT
Shares sold $ 18,487 $ 43,360
Shares issued in connection with
Fund Reorganization (Note 2) -- 1,205
Shares issued in reinvestment
of distributions -- 13,680
Shares redeemed (42,726) (74,812)
- --------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ (24,239) $ (16,567)
- --------------------------------------------------------------------------------
SHARES
Shares sold 470 1,403
Shares issued in connection with
Fund Reorganization (Note 2) -- 42
Shares issued in reinvestment
of distributions -- 381
Shares redeemed (1,089) (2,353)
- --------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding (619) (527)
- --------------------------------------------------------------------------------
CLASS B SHARES
AMOUNT
Shares sold $ 1,804 $ 7,960
Shares issued in connection with
Fund Reorganization (Note 2) -- 968
Shares issued in reinvestment
of distributions -- 2,111
Shares redeemed (9,648) (23,677)
- --------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ (7,844) $ (12,638)
- --------------------------------------------------------------------------------
SHARES
Shares sold 48 269
Shares issued in connection with
Fund Reorganization (Note 2) -- 35
Shares issued in reinvestment
of distributions -- 62
Shares redeemed (262) (827)
- --------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding (214) (461)
- --------------------------------------------------------------------------------
</Table>
19
<Page>
Capital share transactions were as follows for the periods presented (amounts in
thousands):
<Table>
<Caption>
SIX MONTHS ENDED YEAR ENDED
JUNE 30, 2004 DECEMBER 31, 2003
CLASS C SHARES
AMOUNT
Shares sold $ 1,963 $ 649
Shares issued in connection with
Fund Reorganization (Note 2) -- 270
Shares issued in reinvestment
of distributions -- 107
Shares redeemed (539) (966)
- --------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ 1,424 $ 60
- --------------------------------------------------------------------------------
SHARES
Shares sold 54 21
Shares issued in connection with
Fund Reorganization (Note 2) -- 10
Shares issued in reinvestment
of distributions -- 3
Shares redeemed (15) (32)
- --------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding 39 2
- --------------------------------------------------------------------------------
SELECT SHARES
AMOUNT
Shares sold $ 932 $ 769
Shares issued in reinvestment
of distributions -- 118
Shares redeemed (356) (516)
- --------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ 576 $ 371
- --------------------------------------------------------------------------------
SHARES
Shares sold 23 22
Shares issued in reinvestment
of distributions -- 3
Shares redeemed (9) (16)
- --------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding 14 9
- --------------------------------------------------------------------------------
</Table>
20
<Page>
FINANCIAL HIGHLIGHTS (Unaudited)
CLASS A
<Table>
<Caption>
1/1/04 YEAR ENDED 11/1/01 YEAR ENDED
THROUGH ----------------------- THROUGH ------------------------------------
6/30/04 12/31/03 12/31/02 12/31/01^ 10/31/01 10/31/00 10/31/99
PER SHARE OPERATING PERFORMANCE:
Net asset value, beginning of period $ 37.47 $ 28.60 $ 40.10 $ 35.37 $ 47.91 $ 42.85 $ 41.22
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) (0.08)@ (0.34)@ (0.38)@ (0.03) (0.19)@ (0.14)@ (0.20)@
Net gains or losses on securities
(both realized and unrealized) 3.31 10.61 (10.86) 4.76 (6.87) 10.11 5.75
- ----------------------------------------------------------------------------------------------------------------------------------
Total from investment operations 3.23 10.27 (11.24) 4.73 (7.06) 9.97 5.55
- ----------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS:
Distributions from capital gains -- 1.40 0.26 -- 5.48 4.91 3.92
- ----------------------------------------------------------------------------------------------------------------------------------
Total distributions -- 1.40 0.26 -- 5.48 4.91 3.92
- ----------------------------------------------------------------------------------------------------------------------------------
Net asset value, end of period $ 40.70 $ 37.47 $ 28.60 $ 40.10 $ 35.37 $ 47.91 $ 42.85
- ----------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN(1)(a) 8.62% 36.10% (28.04%) 13.37% (15.86%) 25.81% 14.30%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (millions) $ 423 $ 412 $ 330 $ 495 $ 426 $ 523 $ 577
RATIOS TO AVERAGE NET ASSETS:#
Net expenses 1.35% 1.35% 1.35% 1.35% 1.35% 1.35% 1.30%
Net investment income (loss) (0.41%) (1.05%) (1.13%) (0.40%) (0.47%) (0.32%) (0.48%)
Expenses without waivers,
reimbursements and earnings credits 1.39% 1.46% 1.38% 1.35% 1.37% 1.35% 1.30%
Net investment income (loss)
without waivers, reimbursements
and earnings credits (0.45%) (1.16%) (1.16%) (0.40%) (0.49%) (0.32%) (0.48%)
PORTFOLIO TURNOVER RATE(a)~ 69% 68% 93% 2% 43% 66% 86%
- ----------------------------------------------------------------------------------------------------------------------------------
</Table>
^ The fund changed its fiscal year end from October 31 to December 31.
@ Calculated based upon average shares outstanding.
(1) Total return figures do not include the effect of any front-end or
deferred sales load.
(a) Not annualized for periods less than one year.
# Short periods have been annualized.
~ The portfolio turnover rates disclosed prior to September 10, 2001 are
those of the Capital Growth Portfolio, of which the Fund invested all of
its investable assets.
SEE NOTES TO FINANCIAL STATEMENTS.
21
<Page>
CLASS B
<Table>
<Caption>
1/1/04 YEAR ENDED 11/1/01 YEAR ENDED
THROUGH ----------------------- THROUGH ------------------------------------
6/30/04 12/31/03 12/31/02 12/31/01^ 10/31/01 10/31/00 10/31/99
PER SHARE OPERATING PERFORMANCE:
Net asset value, beginning of period $ 35.27 $ 27.13 $ 38.24 $ 33.75 $ 46.20 $ 41.67 $ 40.38
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) (0.17)@ (0.48)@ (0.65)@ (0.06) (0.38)@ (0.35)@ (0.40)@
Net gains or losses on securities
(both realized and unrealized) 3.12 10.02 (10.20) 4.55 (6.59) 9.79 5.61
- ----------------------------------------------------------------------------------------------------------------------------------
Total from investment operations 2.95 9.54 (10.85) 4.49 (6.97) 9.44 5.21
- ----------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS:
Distributions from capital gains -- 1.40 0.26 -- 5.48 4.91 3.92
- ----------------------------------------------------------------------------------------------------------------------------------
Total distributions -- 1.40 0.26 -- 5.48 4.91 3.92
- ----------------------------------------------------------------------------------------------------------------------------------
Net asset value, end of period $ 38.22 $ 35.27 $ 27.13 $ 38.24 $ 33.75 $ 46.20 $ 41.67
- ----------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN(1)(a) 8.36% 35.37% (28.39%) 13.30% (16.30%) 25.21% 13.71%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (millions) $ 58 $ 61 $ 59 $ 170 $ 164 $ 318 $ 338
RATIOS TO AVERAGE NET ASSETS:#
Net expenses 1.85% 1.85% 1.85% 1.85% 1.85% 1.85% 1.80%
Net investment income (loss) (0.92%) (1.55%) (1.64%) (0.93%) (0.97%) (0.82%) (0.98%)
Expenses without waivers,
reimbursements and earnings credits 1.89% 1.96% 1.89% 1.85% 1.87% 1.85% 1.80%
Net investment income (loss)
without waivers, reimbursements
and earnings credits (0.96%) (1.66%) (1.68%) (0.93%) (0.99%) (0.82%) (0.98%)
PORTFOLIO TURNOVER RATE(a)~ 69% 68% 93% 2% 43% 66% 86%
- ----------------------------------------------------------------------------------------------------------------------------------
</Table>
^ The fund changed its fiscal year end from October 31 to December 31.
@ Calculated based upon average shares outstanding.
(1) Total return figures do not include the effect of any front-end or
deferred sales load.
(a) Not annualized for periods less than one year.
# Short periods have been annualized.
~ The portfolio turnover rates disclosed prior to September 10, 2001 are
those of the Capital Growth Portfolio, of which the Fund invested all of
its investable assets.
SEE NOTES TO FINANCIAL STATEMENTS.
22
<Page>
CLASS C
<Table>
<Caption>
1/1/04 YEAR ENDED 11/1/01 YEAR ENDED
THROUGH ----------------------- THROUGH ------------------------------------
6/30/04 12/31/03 12/31/02 12/31/01^ 10/31/01 10/31/00 10/31/99
PER SHARE OPERATING PERFORMANCE:
Net asset value, beginning of period $ 34.81 $ 26.83 $ 37.82 $ 33.38 $ 45.76 $ 41.31 $ 40.03
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) (0.15)@ (0.47)@ (0.53)@ (0.05) (0.37)@ (0.35)@ (0.39)@
Net gains or losses on securities
(both realized and unrealized) 3.07 9.85 (10.20) 4.49 (6.53) 9.71 5.59
- ----------------------------------------------------------------------------------------------------------------------------------
Total from investment operations 2.92 9.38 (10.73) 4.44 (6.90) 9.36 5.20
- ----------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS:
Distributions from capital gains -- 1.40 0.26 -- 5.48 4.91 3.92
- ----------------------------------------------------------------------------------------------------------------------------------
Total distributions -- 1.40 0.26 -- 5.48 4.91 3.92
- ----------------------------------------------------------------------------------------------------------------------------------
Net asset value, end of period $ 37.73 $ 34.81 $ 26.83 $ 37.82 $ 33.38 $ 45.76 $ 41.31
- ----------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN(1)(a) 8.39% 35.17% (28.39%) 13.30% (16.30%) 25.25% 13.81%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (millions) $ 6 $ 4 $ 3 $ 5 $ 4 $ 5 $ 6
RATIOS TO AVERAGE NET ASSETS:#
Net expenses 1.85% 1.85% 1.85% 1.85% 1.85% 1.85% 1.80%
Net investment income (loss) (0.82%) (1.55%) (1.63%) (0.91%) (0.97%) (0.82%) (0.97%)
Expenses without waivers,
reimbursements and earnings credits 1.89% 1.96% 1.88% 1.85% 1.87% 1.85% 1.80%
Net investment income (loss)
without waivers, reimbursements
and earnings credits (0.86%) (1.66%) (1.66%) (0.91%) (0.99%) (0.82%) (0.97%)
PORTFOLIO TURNOVER RATE(a)~ 69% 68% 93% 2% 43% 66% 86%
- ----------------------------------------------------------------------------------------------------------------------------------
</Table>
^ The fund changed its fiscal year end from October 31 to December 31.
@ Calculated based upon average shares outstanding.
(1) Total return figures do not include the effect of any deferred sales
load.
(a) Not annualized for periods less than one year.
# Short periods have been annualized.
~ The portfolio turnover rates disclosed prior to September 10, 2001 are
those of the Capital Growth Portfolio, of which the Fund invested all of
its investable assets.
SEE NOTES TO FINANCIAL STATEMENTS.
23
<Page>
SELECT CLASS
<Table>
<Caption>
1/1/04 YEAR ENDED 11/1/01 YEAR ENDED
THROUGH ----------------------- THROUGH ------------------------------------
6/30/04 12/31/03 12/31/02 12/31/01^ 10/31/01 10/31/00 10/31/99
PER SHARE OPERATING PERFORMANCE:
Net asset value, beginning of period $ 38.95 $ 29.57 $ 41.26 $ 36.37 $ 48.76 $ 43.36 $ 41.53
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.01@ (0.21)@ (0.24)@ 0.01 --+ 0.04@ (0.05)@
Net gains or losses on securities
(both realized and unrealized) 3.44 10.99 (11.19) 4.88 (6.91) 10.27 5.80
- ----------------------------------------------------------------------------------------------------------------------------------
Total from investment operations 3.45 10.78 (11.43) 4.89 (6.91) 10.31 5.75
- ----------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS:
Distributions from capital gains -- 1.40 0.26 -- 5.48 4.91 3.92
- ----------------------------------------------------------------------------------------------------------------------------------
Total distributions -- 1.40 0.26 -- 5.48 4.91 3.92
- ----------------------------------------------------------------------------------------------------------------------------------
Net asset value, end of period $ 42.40 $ 38.95 $ 29.57 $ 41.26 $ 36.37 $ 48.76 $ 43.36
- ----------------------------------------------------------------------------------------------------------------------------------
Total Return (1)(a) 8.86% 36.64% (27.71%) 13.45% (15.20%) 26.34% 14.71%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (millions) $ 4 $ 4 $ 2 $ 3 $ 3 $ 15 $ 18
RATIOS TO AVERAGE NET ASSETS:#
Net expenses 0.93% 0.93% 0.93% 0.93% 0.93% 0.94% 0.92%
Net investment income (loss) 0.05% (0.63%) (0.71%) 0.01% (0.01%) 0.09% (0.11%)
Expenses without waivers,
reimbursements and earnings credits 1.26% 1.54% 1.26% 2.06% 1.18% 1.06% 0.99%
Net investment income (loss)
without waivers, reimbursements
and earnings credits (0.28%) (1.24%) (1.04%) (1.12%) (0.26%) (0.03%) (0.18%)
PORTFOLIO TURNOVER RATE(a)~ 69% 68% 93% 2% 43% 66% 86%
- ----------------------------------------------------------------------------------------------------------------------------------
</Table>
^ The fund changed its fiscal year end from October 31 to December 31.
@ Calculated based upon average shares outstanding.
+ Amount rounds to less than one cent per share.
(a) Not annualized for periods less than one year.
# Short periods have been annualized.
~ The portfolio turnover rates disclosed prior to September 10, 2001 are
those of the Capital Growth Portfolio, of which the Fund invested all of
its investable assets.
SEE NOTES TO FINANCIAL STATEMENTS.
24
<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.
25
<Page>
THIS PAGE IS INTENTIONALLY LEFT BLANK
<Page>
THIS PAGE IS INTENTIONALLY LEFT BLANK
<Page>
THIS PAGE IS INTENTIONALLY LEFT BLANK
<Page>
[JPMORGAN FLEMING ASSET MANAGEMENT LOGO]
JPMorgan Funds are distributed by J.P. Morgan Fund Distributors, Inc., which is
unaffiliated with The JPMorgan Chase Bank. JPMorgan Chase and its respective
affiliates receive compensation from JPMorgan Funds for providing services to
the Funds.
This report is submitted for the general information of the shareholders of the
Funds. It is not authorized for distribution to prospective investors in the
Funds unless preceded or accompanied by a prospectus.
The financial information in this report has been taken from the books and
records of the Fund without examination by independent auditors, who express no
opinion thereon.
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 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.
<Page>
JPMorgan Funds Fulfillment Center PRSRT STD
6112 W. 73rd Street U.S. POSTAGE
Bedford Park, IL 60638 PAID
PERMIT 2891
KANSAS CITY, MO
(C) J.P. Morgan Chase & Co., 2004 All rights reserved. August 2004. SAN-CGF-604
<Page>
[GRAPHIC]
JPMORGAN FUNDS
SEMI-ANNUAL REPORT JUNE 30 2004 (UNAUDITED)
U.S. EQUITY FUNDS
GROWTH AND INCOME FUND
[JPMORGAN FLEMING ASSET MANAGEMENT LOGO]
<Page>
[JPMORGAN FLEMING ASSET MANAGEMENT LOGO]
JPMORGAN FLEMING ASSET MANAGEMENT is a premier global wealth manager that has
been working with affluent investors for over a hundred years. This experience
provides us with a keen understanding of the unique needs of the affluent
investor's portfolio. The legacy of our EXPERIENCE, coupled with our GLOBAL
INTELLECTUAL CAPITAL, is the foundation from which our investment products have
been built. We have a worldwide investment presence. This local insight provides
us with a global view of every investment decision we make which we believe is
crucial in light of the ever-increasing rise of globalization in our
marketplace. JPMorgan Fleming Asset Management is an EXPERIENCED PARTNER
dedicated to working with your financial professional to help provide you with a
broad array of WEALTH SOLUTIONS.
CONTENTS
<Table>
President's Letter 1
JPMorgan Growth and Income Fund Fund Commentary 3
Financial Statements 6
Notes to Financial Statements 10
Financial Highlights 16
Growth and Income Portfolio of Investments 20
Financial Statements 23
Notes to Financial Statements 26
Supplementary Data 30
</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
GROWTH AND INCOME FUND
PRESIDENT'S LETTER AUGUST 2, 2004
[PHOTO OF GEORGE C.W. GATCH]
"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."
DEAR SHAREHOLDER:
We are pleased to present this semi-annual report for the JPMorgan Growth and
Income Fund. Inside, you'll find information detailing the performance of the
fund for the 6 months ended June 30, 2004, along with a report from the
Portfolio Managers.
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, towards 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
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.
<Page>
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.
The JPMorgan Growth and Income Fund utilizes a Master Feeder Fund Structure and
seeks to achieve its investment objective by investing all of its investable
assets in the Growth and Income Portfolio (the "Portfolio") which, like the
Fund, is an open-end management investment company having the same investment
objective as the Fund. As of June 30, 2004 the Fund owned 60.1% of the net
assets of the Portfolio. The financial statements of the Portfolio, including
the Portfolio of Investments, are included elsewhere in this report and should
be read in conjunction with the financial statement of the Fund.
As always, all of us at JPMorgan Fleming Asset Management 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
<Page>
JPMORGAN
GROWTH AND INCOME FUND
AS OF JUNE 30, 2004 (Unaudited)
<Table>
FUND FACTS
Fund Inception 9/23/1987
Fiscal Year End DECEMBER 31
Net Assets as of 6/30/04
(In Millions) $657.4
Primary Benchmark S&P 500/BARRA
VALUE INDEX
</Table>
Q: HOW DID THE FUND PERFORM?
A: JPMorgan Growth and Income Fund, which seeks to provide capital growth over
the long term and earn income from dividends, returned 3.45% (Class A Shares,
without sales charge) during the six months ended June 30, 2004. This
compares to a return of 4.17% from the S&P 500/BARRA Value Index, the Fund's
benchmark.
Q: WHY DID THE FUND PERFORM THIS WAY?
A: Stock selection in the Fund's Consumer Staples sector hurt performance. In
particular, shares of Altria Corp. declined on news of a setback in its case
with the Department of Justice (DOJ). The DOJ is attempting to prove that the
industry participated in an unlawful conspiracy to deceive the public and is
seeking $280 billion in damages. However, we continue to have a positive view
of the industry's defense in this case, and though the litigation may create
a negative overhang in the near term, we believe the company's long term
prospects remain positive.
The Fund was aided by strong stock selection in the Financials sector.
Amongst the top contributor in the Financials sector was MGIC Investment
Corporation, which specializes in mortgage insurance. The company advanced
after releasing strong first quarter earnings. MGIC was aided by favorable
default statistics, which in our view will persist due to current job growth
and the improving economic picture.
Q: HOW WAS THE FUND MANAGED?
A: The Portfolio Manager's focus remained on stock selection, believing that
quality companies -- regardless of their economic sector -- trading at
attractive valuations will outperform in the long-term. The Portfolio Manager
sought to maintain significant sector diversification in the Fund and to
avoid any large bets contingent on macroeconomic or sector trends.
3
<Page>
[CHART]
PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS
<Table>
Finance & Insurance 36.4%
Consumer Goods & Services 20.3%
Energy 12.2%
Industrial Products & Services 8.4%
Telecommunications 7.2%
Technology 7.2%
Utilities 2.7%
Pharmaceuticals 2.0%
Short-Term Investments 1.7%
REITs 1.0%
Health Services & Systems 0.9%
</Table>
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO
<Table>
1. Citigroup, Inc. 4.4%
2. Exxon Mobil Corp. 4.0%
3. Bank of America Corp. 2.7%
4. Verizon Communications, Inc. 2.5%
5. ConocoPhillips 2.4%
6. Golden West Financial Corp. 2.2%
7. Freddie Mac 2.1%
8. SBC Communications, Inc. 1.9%
9. American International Group, Inc. 1.8%
10. Alltel Corp. 1.7%
</Table>
Top 10 equity holdings comprised 25.7% ($280,519 in thousands) of the
Portfolio's market value of investments. As of June 30, 2004, the Fund held 94
equity holdings. Portfolio holdings are subject to change at any time.
4
<Page>
SEMI-ANNUAL REPORT JUNE 30 2004
(Unaudited)
AVERAGE ANNUAL TOTAL RETURNS
<Table>
<Caption>
1 YEAR 3 YEARS 5 YEARS 10 YEARS
------------------------------------------------------
CLASS A SHARES
Without Sales Charge 17.72% (0.30%) (1.39%) 8.62%
With Sales Charge* 10.96% (2.24%) (2.55%) 7.98%
CLASS B SHARES
Without CDSC 17.13% (0.80%) (1.89%) 8.18%
With CDSC** 12.13% (1.79%) (2.17%) 8.18%
CLASS C SHARES
Without CDSC 17.12% (0.80%) (1.89%) 7.89%
With CDSC** 16.12% (0.80%) (1.89%) 7.89%
SELECT SHARES 18.22% 0.10% (0.70%) 9.14%
</Table>
* Sales Charge for Class A Shares is 5.75%.
** Assumes 5% CDSC (contingent deferred sales charge) for the one year period,
3% CDSC for the three year period, 2% CDSC for the five year period and 0%
for the ten year period.
*** Assumes a 1% CDSC for the one year period and 0% CDSC thereafter.
[CHART]
TEN-YEAR FUND PERFORMANCE (6/30/94 TO 6/30/04)
<Table>
<Caption>
JPMORGAN GROWTH AND LIPPER LARGE-CAP S&P 500/BARRA
INCOME FUND (CLASS A SHARES) VALUE FUNDS INDEX VALUE INDEX
6/30/94 $ 9,425 $ 10,000 $ 10,000
7/31/94 $ 9,602 $ 10,292 $ 10,338
8/31/94 $ 9,918 $ 10,709 $ 10,631
9/30/94 $ 9,713 $ 10,429 $ 10,256
10/31/94 $ 9,810 $ 10,600 $ 10,480
11/30/94 $ 9,460 $ 10,231 $ 10,056
12/31/94 $ 9,484 $ 10,347 $ 10,179
1/31/95 $ 9,569 $ 10,533 $ 10,455
2/28/95 $ 9,951 $ 10,925 $ 10,861
3/31/95 $ 10,228 $ 11,181 $ 11,160
4/30/95 $ 10,389 $ 11,506 $ 11,528
5/31/95 $ 10,740 $ 11,933 $ 12,041
6/30/95 $ 11,014 $ 12,192 $ 12,132
7/31/95 $ 11,504 $ 12,577 $ 12,551
8/31/95 $ 11,573 $ 12,654 $ 12,657
9/30/95 $ 11,780 $ 13,108 $ 13,098
10/31/95 $ 11,555 $ 13,003 $ 12,894
11/30/95 $ 12,004 $ 13,566 $ 13,569
12/31/95 $ 12,098 $ 13,786 $ 13,945
1/31/96 $ 12,528 $ 14,211 $ 14,362
2/29/96 $ 12,643 $ 14,370 $ 14,497
3/31/96 $ 12,879 $ 14,525 $ 14,836
4/30/96 $ 13,061 $ 14,723 $ 14,988
5/31/96 $ 13,232 $ 14,995 $ 15,214
6/30/96 $ 13,187 $ 15,004 $ 15,141
7/31/96 $ 12,590 $ 14,416 $ 14,502
8/31/96 $ 13,029 $ 14,791 $ 14,902
9/30/96 $ 13,622 $ 15,516 $ 15,540
10/31/96 $ 13,819 $ 15,843 $ 16,067
11/30/96 $ 14,711 $ 16,977 $ 17,296
12/31/96 $ 14,441 $ 16,690 $ 17,012
1/31/97 $ 15,234 $ 17,533 $ 17,796
2/28/97 $ 15,227 $ 17,673 $ 17,926
3/31/97 $ 14,628 $ 16,998 $ 17,313
4/30/97 $ 15,215 $ 17,755 $ 17,963
5/31/97 $ 16,097 $ 18,777 $ 19,089
6/30/97 $ 16,715 $ 19,560 $ 19,818
7/31/97 $ 18,039 $ 21,035 $ 21,403
8/31/97 $ 17,386 $ 20,135 $ 20,436
9/30/97 $ 18,306 $ 21,166 $ 21,634
10/31/97 $ 17,804 $ 20,527 $ 20,837
11/30/97 $ 18,364 $ 21,200 $ 21,631
12/31/97 $ 18,705 $ 21,442 $ 22,112
1/31/98 $ 18,612 $ 21,472 $ 21,840
2/28/98 $ 19,929 $ 22,885 $ 23,478
3/31/98 $ 20,848 $ 23,901 $ 24,668
4/30/98 $ 20,992 $ 24,144 $ 24,959
5/31/98 $ 20,454 $ 23,734 $ 24,607
6/30/98 $ 20,843 $ 24,178 $ 24,794
7/31/98 $ 20,197 $ 23,759 $ 24,256
8/31/98 $ 17,109 $ 20,516 $ 20,356
9/30/98 $ 18,300 $ 21,503 $ 21,593
10/31/98 $ 19,423 $ 23,226 $ 23,284
11/30/98 $ 19,975 $ 24,410 $ 24,497
12/31/98 $ 21,343 $ 25,352 $ 25,357
1/31/99 $ 21,537 $ 25,773 $ 25,869
2/28/99 $ 20,637 $ 25,183 $ 25,313
3/31/99 $ 21,335 $ 25,948 $ 26,080
4/30/99 $ 22,561 $ 27,477 $ 28,328
5/31/99 $ 22,352 $ 27,007 $ 27,827
6/30/99 $ 23,094 $ 28,198 $ 28,895
7/31/99 $ 22,241 $ 27,397 $ 28,005
8/31/99 $ 21,621 $ 26,899 $ 27,297
9/30/99 $ 20,864 $ 25,903 $ 26,229
10/31/99 $ 21,914 $ 27,152 $ 27,711
11/30/99 $ 22,054 $ 27,247 $ 27,548
12/31/99 $ 23,071 $ 28,086 $ 28,584
1/31/2000 $ 22,519 $ 26,898 $ 27,675
2/29/2000 $ 21,733 $ 25,766 $ 25,945
3/31/2000 $ 23,841 $ 28,126 $ 28,651
4/30/2000 $ 23,536 $ 27,814 $ 28,459
5/31/2000 $ 23,028 $ 27,833 $ 28,547
6/30/2000 $ 22,712 $ 27,527 $ 27,420
7/31/2000 $ 23,123 $ 27,403 $ 27,968
8/31/2000 $ 24,511 $ 28,990 $ 29,842
9/30/2000 $ 23,763 $ 28,532 $ 29,836
10/31/2000 $ 23,856 $ 28,760 $ 30,394
11/30/2000 $ 22,520 $ 27,526 $ 28,838
12/31/2000 $ 23,178 $ 28,635 $ 30,323
1/31/2001 $ 23,157 $ 28,873 $ 31,603
2/28/2001 $ 21,879 $ 27,481 $ 29,507
3/31/2001 $ 20,826 $ 26,412 $ 28,342
4/30/2001 $ 22,363 $ 27,910 $ 30,263
5/31/2001 $ 22,605 $ 28,359 $ 30,581
6/30/2001 $ 21,725 $ 27,588 $ 29,590
7/31/2001 $ 21,567 $ 27,400 $ 29,078
8/31/2001 $ 20,202 $ 26,118 $ 27,398
9/30/2001 $ 18,618 $ 24,081 $ 24,795
10/31/2001 $ 18,729 $ 24,237 $ 24,795
11/30/2001 $ 19,778 $ 25,791 $ 26,369
12/31/2001 $ 20,057 $ 26,180 $ 26,770
1/31/2002 $ 19,849 $ 25,696 $ 26,037
2/28/2002 $ 19,793 $ 25,555 $ 25,805
3/31/2002 $ 20,654 $ 26,682 $ 27,126
4/30/2002 $ 19,609 $ 25,545 $ 25,767
5/31/2002 $ 19,797 $ 25,578 $ 25,870
6/30/2002 $ 18,481 $ 23,795 $ 24,238
7/31/2002 $ 16,812 $ 21,739 $ 21,618
8/31/2002 $ 16,953 $ 21,885 $ 21,767
9/30/2002 $ 15,137 $ 19,355 $ 19,279
10/31/2002 $ 16,500 $ 20,776 $ 20,881
11/30/2002 $ 17,305 $ 22,079 $ 22,349
12/31/2002 $ 16,485 $ 21,028 $ 21,187
1/31/2003 $ 16,053 $ 20,527 $ 20,606
2/28/2003 $ 15,571 $ 20,014 $ 20,046
3/31/2003 $ 15,539 $ 20,002 $ 20,020
4/30/2003 $ 16,929 $ 21,690 $ 22,000
5/31/2003 $ 18,079 $ 23,026 $ 23,619
6/30/2003 $ 18,292 $ 23,289 $ 23,791
7/31/2003 $ 18,491 $ 23,612 $ 24,319
8/31/2003 $ 18,769 $ 24,011 $ 24,845
9/30/2003 $ 18,457 $ 23,743 $ 24,395
10/31/2003 $ 19,447 $ 25,053 $ 26,064
11/30/2003 $ 19,730 $ 25,361 $ 26,298
12/31/2003 $ 20,816 $ 26,916 $ 27,923
1/31/2004 $ 21,165 $ 27,322 $ 28,418
2/29/2004 $ 21,587 $ 27,899 $ 29,060
3/31/2004 $ 21,334 $ 27,564 $ 28,859
4/30/2004 $ 21,084 $ 27,057 $ 28,147
5/31/2004 $ 21,249 $ 27,254 $ 28,470
6/30/2004 $ 21,540 $ 27,854 $ 29,088
</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 9/23/87.
Returns for the Select Shares prior to 1/25/96 (offering date of the Select
Shares) are calculated using the historical expenses of the Class A Shares,
which are higher than the expenses of the Select Shares.
Returns for the Class C Shares prior to 1/2/98 (offering date of the Class C
Shares) are calculated using the historical expenses of the Class A Shares,
which are lower than the expenses of the Class C Shares.
The graph illustrates comparative performance for $10,000 invested in Class A
Shares of the JPMorgan Growth and Income Fund, S&P 500/BARRA Value Index, and
Lipper Large-Cap Value Funds Index from June 30, 1994 to June 30, 2004. The
performance of the Fund assumes reinvestment of all dividends and capital gains
and includes a sales charge. The performance of the indices does not include a
sales charge and has been adjusted to reflect reinvestment of all dividends and
capital gains of the securities included in the benchmark. The S&P 500/BARRA
Value Index contains large U.S. companies with low price-to-book ratios relative
to the S&P 500 Index. The Lipper Large-Cap Value Funds Index represents the
total returns of the funds in the indicated category, as defined by Lipper, Inc.
Investors cannot invest directly in an index.
Class A Shares have a $2,500 minimum initial deposit and carry a 5.75% sales
charge.
Certain fees and expenses of the Fund are currently being waived and reimbursed
as described in the prospectus. Had the expenses not been subsidized or waived,
returns would have been lower. Also, all performance shown in this section does
not reflect the deduction of taxes that a shareholder would pay on fund
distributions or redemption of fund shares.
5
<Page>
JPMORGAN GROWTH AND INCOME FUND
STATEMENT OF ASSETS
AND LIABILITIES AS OF JUNE 30, 2004 (Unaudited)
(Amounts in thousands, except per share amounts)
<Table>
ASSETS:
Investment in Growth and
Income Portfolio, at value $ 658,849
Receivables:
Fund shares sold 117
Expense reimbursements 1
- -----------------------------------------------------------------
Total Assets 658,967
- -----------------------------------------------------------------
LIABILITIES:
Payables:
Distributions 79
Fund shares redeemed 703
Accrued liabilities:
Administration fees 27
Shareholder servicing fees 108
Distribution fees 167
Trustees' fees - deferred
compensation plan 51
Transfer agent fees 278
Other 107
- -----------------------------------------------------------------
Total Liabilities 1,520
- -----------------------------------------------------------------
NET ASSETS $ 657,447
- -----------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
6
<Page>
<Table>
NET ASSETS:
Paid in capital $ 609,994
Accumulated undistributed
(overdistributed) net investment income (240)
Accumulated net realized gain (loss)
on investment in Portfolio (69,731)
Net unrealized appreciation
(depreciation) of investment in Portfolio 117,424
- -----------------------------------------------------------------
Total Net Assets $ 657,447
- -----------------------------------------------------------------
Class A $ 580,208
Class B $ 70,193
Class C $ 5,706
Select $ 1,340
- -----------------------------------------------------------------
Total $ 657,447
- -----------------------------------------------------------------
Shares of beneficial interest outstanding
($0.001 par value; unlimited number
of shares authorized):
Class A 19,290
Class B 2,375
Class C 200
Select 43
Net Asset Value:
Class A (and redemption price) $ 30.08
Class B* $ 29.55
Class C* $ 28.58
Select (and redemption price) $ 30.95
Class A Maximum Public Offering
Price Per Share (net asset value per
share/94.25%) $ 31.92
</Table>
* Redemption price may be reduced by contingent deferred sales charge.
SEE NOTES TO FINANCIAL STATEMENTS.
7
<Page>
STATEMENT OF
OPERATIONS FOR THE SIX MONTHS ENDED JUNE 30, 2004 (Unaudited)
(Amounts in thousands)
<Table>
INVESTMENT INCOME:
Allocated investment income
from Portfolio $ 6,734
Allocated expenses from Portfolio (1,562)
- -----------------------------------------------------------------
Total investment income 5,172
- -----------------------------------------------------------------
EXPENSES:
Administration fees 338
Shareholder servicing fees 845
Distribution fees 1,044
Printing and postage 74
Professional fees 17
Registration expenses 41
Transfer agent fees 1,011
Trustees' fees 3
Accounting fees 34
Other 34
- -----------------------------------------------------------------
Total expenses 3,441
- -----------------------------------------------------------------
Less amounts waived 396
Less expense reimbursements 7
- -----------------------------------------------------------------
Net expenses 3,038
- -----------------------------------------------------------------
Net investment income (loss) 2,134
- -----------------------------------------------------------------
REALIZED AND UNREALIZED
GAIN (LOSS) ON INVESTMENTS:
Net realized gain (loss) allocated
from Portfolio 19,995
Change in net unrealized appreciation
(depreciation) allocated from Portfolio 812
- -----------------------------------------------------------------
Net realized and unrealized gain (loss)
on investments 20,807
- -----------------------------------------------------------------
Net increase (decrease) in net assets
from operations $ 22,941
- -----------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
8
<Page>
STATEMENT OF CHANGES
IN NET ASSETS FOR THE PERIODS INDICATED (Unaudited)
(Amounts in thousands)
<Table>
<Caption>
1/1/04
THROUGH YEAR ENDED
6/30/04 12/31/03
INCREASE (DECREASE) IN NET
ASSETS FROM OPERATIONS:
Net investment income (loss) $ 2,134 $ 5,383
Net realized gain (loss) allocated
from Portfolio 19,995 (52,619)
Change in net unrealized appreciation
(depreciation) allocated from Portfolio 812 209,514
- ---------------------------------------------------------------------
Increase (decrease) in net assets
from operations 22,941 162,278
- ---------------------------------------------------------------------
DISTRIBUTIONS TO
SHAREHOLDERS FROM:
Net investment income (2,183) (5,522)
- ---------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS:
Increase (decrease) (56,807) (168,592)
- ---------------------------------------------------------------------
NET ASSETS:
Total increase (decrease) in net assets (36,049) (11,836)
- ---------------------------------------------------------------------
Beginning of period 693,496 705,332
- ---------------------------------------------------------------------
End of period $ 657,447 $ 693,496
- ---------------------------------------------------------------------
Accumulated undistributed
(overdistributed) net
investment income $ (240) $ (191)
- ---------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
9
<Page>
JPMORGAN GROWTH AND INCOME FUND
NOTES TO FINANCIAL
STATEMENTS (Unaudited)
1. ORGANIZATION
J.P. Morgan Mutual Fund Group ("JPMMFG" or the "Trust") was organized on May 11,
1987 as a Massachusetts business trust, and is registered under the Investment
Company Act of 1940, as amended, (the "1940 Act"), as an open-end management
investment company. JPMorgan Growth and Income Fund ("GIF" or the "Fund") is a
separate series of the Trust. The Fund offers Class A, Class B, Class C and
Select shares.
Class A shares generally provide for a front-end sales charge while Class B and
Class C shares provide for a contingent deferred sales charge. Class B shares
automatically convert to Class A shares after eight years. No sales charges are
assessed with respect to the Select Class shares. All classes of shares have
equal rights as to earnings, assets and voting privileges except that each class
may bear different transfer agent, distribution and shareholder servicing fees
and each class has exclusive voting rights with respect to its distribution plan
and shareholder servicing agreements. Class A shares, for which front-end sales
charges have been waived, may be subject to redemption charges as described in
the Fund's prospectus.
2. SIGNIFICANT ACCOUNTING POLICIES
THE FOLLOWING IS A SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES FOLLOWED BY THE
FUND:
The preparation of financial statements in accordance with accounting principles
generally accepted in the United States of America requires management to make
estimates and assumptions that affect the reported amounts and disclosures in
the financial statements. Actual results could differ from those estimates.
The Fund utilizes a Master Feeder Fund Structure and seeks to achieve its
investment objective by investing all of its investable assets in the Growth and
Income Portfolio (the "Portfolio") which, like the Fund, is an open-end
management investment company having the same investment objective as the Fund.
As of June 30, 2004, the Fund owned 60.1% of the net assets of the Portfolio.
The financial statements of the Portfolio, including the Portfolio of
Investments, are included elsewhere in this report and should be read in
conjunction with the financial statements of the Fund.
A. VALUATION OF INVESTMENTS -- The Fund records its investments in the Portfolio
at value. Securities of the Portfolio are recorded at value as more fully
discussed in the notes to the Portfolio's financial statements.
B. INVESTMENT INCOME AND EXPENSES -- The Fund records daily its pro rata share
of the Portfolio's income, expenses and realized and unrealized gains and
losses. In addition, the Fund accrues its own expenses daily as incurred.
Realized gains/losses and changes in unrealized appreciation/depreciation
represent the Fund's share of such elements allocated from the Portfolio.
C. ALLOCATION OF INCOME AND EXPENSES -- Expenses directly attributable to a Fund
are charged to that Fund; other expenses of the Trust are allocated
proportionately among each of the Funds within the Trust in relation to the net
assets of each Fund or on another reasonable basis. Expenses directly
attributable to a particular class are charged directly to such class. In
calculating the net asset value per share of each class, investment income,
realized and unrealized gains and losses and expenses other than class specific
expenses are allocated daily to each class of shares based upon the proportion
of net assets of each class at the beginning of each day.
D. FEDERAL INCOME TAXES -- The Fund is treated as a separate taxable entity for
Federal income tax purposes. The Fund's policy is to comply with the provisions
of the Internal Revenue Code applicable to regulated investment companies and to
distribute to shareholders all of its distributable net investment income and
net realized gain on investments. In addition, the Fund intends to make
distributions as required to avoid excise taxes. Accordingly, no provision for
Federal income or excise tax is necessary.
10
<Page>
E. DISTRIBUTIONS TO SHAREHOLDERS -- Dividends and distributions paid to
shareholders are recorded on the ex-dividend date. The amount of dividends and
distributions from net investment income and net realized capital gains is
determined in accordance with Federal income tax regulations, which may differ
from accounting principles generally accepted in the United States of America.
To the extent these "book/tax" differences are permanent in nature, (i.e., that
they result from other than timing of recognition -- "temporary differences")
such amounts are reclassified within the capital accounts based on their Federal
tax-basis treatment.
F. OTHER EXPENSES -- Other expenses in the Statement of Operations include fees
related to line of credit, insurance and reporting services.
3. FEES AND OTHER TRANSACTIONS WITH AFFILIATES
A. DISTRIBUTION FEES-- Pursuant to the Distribution Agreement, J.P. Morgan Fund
Distributors, Inc. ("JPMFD" or "Distributor"), a wholly-owned subsidiary of The
BISYS Group, Inc., serves as the Trust's exclusive underwriter and promotes and
arranges for the sale of the Fund's shares. JPMFD receives no compensation in
its capacity as the Fund's underwriter.
The Trustees have adopted Distribution Plans (the "Distribution Plans") for
Class A, Class B, and Class C shares of the Fund in accordance with Rule 12b-1
under the 1940 Act. The Distribution Plans provide that the Fund shall pay
distribution fees, including payments to the Distributor, at annual rates of the
average daily net assets of 0.25% for class A shares and 0.75% for class B and
class C shares, respectively.
In addition, JPMFD is entitled to receive the contingent deferred sales charge
("CDSC") from redemptions of Class B and C shares.
The Distributor waived fees as outlined in Note 3.D.
B. SHAREHOLDER SERVICING FEES -- The Trust has entered into a Shareholder
Servicing Agreement on behalf of the Fund with JPMorgan Chase Bank ("JPMCB")
under which JPMCB provides account administration and personal account
maintenance service to shareholders. For performing these services JPMCB
receives a fee that is computed daily and paid monthly equal to 0.25% of the
average daily net assets of each share class.
JPMCB may enter into service contracts with certain entities under which it will
pay all or a portion of the annual fee to such entities performing shareholding
and administrative services.
In addition, JPMCB, Charles Schwab & Co. ("Schwab") and the Trust are parties to
separate servicing and operating agreements (the "Schwab Agreements") whereby
Schwab makes shares of the Fund available to customers of investment advisers
and other financial intermediaries who are Schwab's clients. The Fund is not
responsible for payments to Schwab under the Schwab Agreements; however, in the
event the servicing agreement with Schwab is terminated for reasons other than a
breach by Schwab and the relationship between Schwab, the Trust and JPMCB is
terminated, the Fund would be responsible for the ongoing payments to Schwab
with respect to pre-termination shares.
JPMCB waived fees as outlined in Note 3.D.
C. ADMINISTRATION FEE -- Pursuant to the Administration Agreement, JPMCB (the
"Administrator") provides certain administration services to the Fund. In
consideration of these services, the Administrator receives a fee computed daily
and paid monthly at the annual rate equal to 0.10% of the first $25 billion of
the average daily net assets of all non-money market funds in the JPMorgan Fund
Complex and 0.025% of the average daily net assets in excess of $25 billion.
BISYS Fund Services, L.P. ("BISYS") serves as the Fund's sub-administrator. For
its services as sub-administrator, BISYS receives a portion of the fees payable
to JPMCB as Administrator.
The Administrator has contractually agreed to reimburse the Fund to the extent
that total operating expenses (excluding interest, taxes, extraordinary expenses
and
11
<Page>
expenses related to the deferred compensation plan) exceed the percentage of its
respective average daily net assets of 1.30%, 1.80%, 1.80%, and 0.90% of Class
A, Class B, Class C, and Select class shares, respectively.
The expense limitation percentages are due to expire April 30, 2005.
The Administrator waived fees and reimbursed expenses as outlined in Note 3.D.
D. WAIVERS AND REIMBURSEMENTS -- For the six months ended June 30, 2004, the
Fund's service providers waived fees and the Administrator contractually
reimbursed expenses as follows (amounts in thousands).
Neither the Fund's service providers nor the Administrator expect the Fund to
repay any such waived fees and reimbursed expenses in future years.
<Table>
<Caption>
CONTRACTUAL WAIVERS
-----------------------------------------------
SHAREHOLDER CONTRACTUAL
ADMINISTRATION SERVICING TOTAL REIMBURSEMENTS
$ 226 $ 170 $ 396 $ 7
</Table>
E. OTHER -- Certain officers of the Trust are officers of J.P. Morgan Chase &
Co. or of BISYS or their subsidiaries.
4. CLASS SPECIFIC EXPENSES
The Fund's class specific expenses for the six months ended June 30, 2004, are
as follows (amounts in thousands):
<Table>
<Caption>
SHAREHOLDER
SERVICING DISTRIBUTION TRANSFER AGENT
Class A $ 744 $ 744 $ 883
Class B 93 278 110
Class C 7 22 9
Select 1 -- 9
- ---------------------------------------------------------
$ 845 $ 1,044 $ 1,011
- ---------------------------------------------------------
</Table>
5. CLASS SPECIFIC DISTRIBUTIONS
The Fund's class specific distributions from net investment income and realized
gain on investment transactions for the six months ended June 30, 2004, and the
year ended December 31, 2003, are as follows (amounts in thousands):
<Table>
<Caption>
SIX MONTHS ENDED 6/30/04 YEAR ENDED 12/31/03
--------------------------------- ---------------------------------
NET NET
INVESTMENT INCOME REALIZED GAIN INVESTMENT INCOME REALIZED GAIN
Class A $ 2,090 $ -- $ 5,191 $ --
Class B 78 -- 293 --
Class C 8 -- 27 --
Select 7 -- 11 --
- --------------------------------------------------------------------------------------------
$ 2,183 $ -- $ 5,522 $ --
- --------------------------------------------------------------------------------------------
</Table>
12
<Page>
6. BANK BORROWINGS
Pursuant to a Line of Credit Agreement dated April 17, 2003, the Fund may borrow
money for temporary or emergency purposes. The Fund has entered into the
agreement, enabling it to participate with other JPMorgan Funds in a line of
credit with JPMCB, as administrative agent, and with a syndicate of banks, which
permits borrowings up to $250 million, collectively. Interest is charged to the
Fund based on its borrowings at an annual rate equal to the sum of the Federal
Funds Rate plus 0.50%. The Fund also pays a commitment fee of 0.09% per annum on
the average daily amount of the available commitment, which is allocated on a
pro-rata basis to the Funds. The commitment fee is included in Other expenses on
the Statement of Operations. This agreement expired on April 15, 2004 and has
been extended to April 14, 2005.
The Fund 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 Fund may have a concentration of several shareholders
which may be a related party, holding a significant percentage of shares
outstanding. Investment activities of these shareholders could have a material
impact on the Funds.
In the normal course of business, the Fund enters into contracts that contain a
variety of representations which provide general indemnifications. The Fund's
maximum exposure under these arrangements is unknown, as this would involve
future claims that may be made against the Fund that have not yet occurred.
However, based on experience, the Fund can expect the risk of loss to be remote.
8. CORPORATE EVENT
On May 25, 2004, J.P. Morgan Chase and Co. & Bank One Corp. announced that, at
separate meetings, their respective shareholders 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.
9. SUBSEQUENT EVENTS:
On August 19, 2004, the Board of Trustees approved management's proposals:
1. to enter into an Administration Agreement with One Group Administrative
Services, Inc., an indirect wholly-owned subsidiary of JPMorgan Chase &
Co., and
2. to enter into a Distribution Agreement with One Group Dealer Services,
Inc., a direct wholly-owned subsidiary of JPMorgan Chase & Co.
The foregoing changes in service providers are expected to occur effective
February 19, 2005.
13
<Page>
10. CAPITAL SHARE TRANSACTIONS
Capital share transactions were as follows for the periods presented (amounts in
thousands):
<Table>
<Caption>
SIX MONTHS ENDED YEAR ENDED
JUNE 30, 2004 DECEMBER 31, 2003
CLASS A SHARES
AMOUNT
Shares sold $ 6,845 $ 21,322
Shares issued in reinvestment
of distributions 1,927 4,804
Shares redeemed (56,640) (170,999)
- ---------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ (47,868) $ (144,873)
- ---------------------------------------------------------------------------------------
SHARES
Shares sold 230 894
Shares issued in reinvestment
of distributions 65 192
Shares redeemed (1,901) (6,581)
- ---------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding (1,606) (5,495)
- ---------------------------------------------------------------------------------------
CLASS B SHARES
AMOUNT
Shares sold $ 1,022 $ 3,700
Shares issued in reinvestment
of distributions 71 265
Shares redeemed (9,611) (28,062)
- ---------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ (8,518) $ (24,097)
- ---------------------------------------------------------------------------------------
SHARES
Shares sold 35 148
Shares issued in reinvestment
of distributions 2 11
Shares redeemed (329) (1,189)
- ---------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding (292) (1,030)
- ---------------------------------------------------------------------------------------
</Table>
14
<Page>
<Table>
<Caption>
SIX MONTHS ENDED YEAR ENDED
JUNE 30, 2004 DECEMBER 31, 2003
CLASS C SHARES
AMOUNT
Shares sold $ 376 $ 525
Shares issued in reinvestment
of distributions 8 24
Shares redeemed (864) (833)
- ---------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ (480) $ (284)
- ---------------------------------------------------------------------------------------
SHARES
Shares sold 13 22
Shares issued in reinvestment
of distributions --^ 1
Shares redeemed (30) (35)
- ---------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding (17) (12)
- ---------------------------------------------------------------------------------------
SELECT SHARES
AMOUNT
Shares sold $ 183 $ 782
Shares issued in reinvestment
of distributions 7 11
Shares redeemed (131) (131)
- ---------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ 59 $ 662
- ---------------------------------------------------------------------------------------
SHARES
Shares sold 6 30
Shares issued in reinvestment
of distributions --^ --^
Shares redeemed (4) (5)
- ---------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding 2 25
- ---------------------------------------------------------------------------------------
</Table>
^ Amounts rounds to less than one thousand.
15
<Page>
JPMORGAN GROWTH AND INCOME FUND
FINANCIAL HIGHLIGHTS (Unaudited)
CLASS A SHARES
<Table>
<Caption>
1/1/04 YEAR ENDED 11/1/01 YEAR ENDED
THROUGH ------------------- THROUGH ------------------------------
6/30/04 12/31/03 12/31/02 12/31/01^ 10/31/01 10/31/00 10/31/99
PER SHARE OPERATING PERFORMANCE:
Net asset value, beginning of period $ 29.18 $ 23.31 $ 28.83 $ 26.95 $ 40.71 $ 43.65 $ 43.24
- -------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.10@ 0.21@ 0.21@ 0.03 0.19 0.09@ 0.18@
Net gains or losses on securities
(both realized and unrealized) 0.91 5.88 (5.31) 1.88 (8.04) 3.31 5.07
- -------------------------------------------------------------------------------------------------------------------------------
Total from investment operations 1.01 6.09 (5.10) 1.91 (7.85) 3.40 5.25
- -------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS:
Dividends from net investment income 0.11 0.22 0.21 0.03 0.21 0.03 0.17
Distributions from capital gains -- -- 0.21 -- 5.70 6.31 4.67
- -------------------------------------------------------------------------------------------------------------------------------
Total distributions 0.11 0.22 0.42 0.03 5.91 6.34 4.84
- -------------------------------------------------------------------------------------------------------------------------------
Net asset value, end of period $ 30.08 $ 29.18 $ 23.31 $ 28.83 $ 26.95 $ 40.71 $ 43.65
- -------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN(1)(a) 3.45% 26.27% (17.81%) 7.09% (21.50%) 8.88% 12.82%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (millions) $ 580 $ 610 $ 615 $ 876 $ 833 $ 1,131 $ 1,385
RATIOS TO AVERAGE NET ASSETS:#
Net expenses* 1.30% 1.30% 1.30% 1.30% 1.30% 1.30% 1.26%
Net investment income (loss) 0.69% 0.83% 0.81% 0.62% 0.59% 0.23% 0.41%
Expenses without waivers
and reimbursements* 1.42% 1.45% 1.44% 1.30% 1.32% 1.30% 1.26%
Net investment income (loss)
without waivers and reimbursements 0.57% 0.68% 0.67% 0.62% 0.57% 0.23% 0.41%
PORTFOLIO TURNOVER RATE(a)~ 15% 37% 70% 0% 12% 30% 125%
</Table>
^ The Fund changed its fiscal year end from October 31 to December 31.
@ Calculated based upon average shares outstanding.
(1) Total return figures do not include the effect of any front-end or deferred
sales load.
(a) Not annualized for periods less than one year.
# Short periods have been annualized.
~ The percentages reflect the portfolio turnover of the Growth and Income
Portfolio, of which the Fund invested all of its investable assets.
* Includes expenses allocated from portfolio.
SEE NOTES TO FINANCIAL STATEMENTS.
16
<Page>
CLASS B SHARES
<Table>
<Caption>
1/1/04 YEAR ENDED 11/1/01 YEAR ENDED
THROUGH ------------------- THROUGH ------------------------------
6/30/04 12/31/03 12/31/02 12/31/01^ 10/31/01 10/31/00 10/31/99
PER SHARE OPERATING PERFORMANCE:
Net asset value, beginning of period $ 28.67 $ 22.91 $ 28.32 $ 26.48 $ 40.09 $ 43.25 $ 42.92
- -------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.03@ 0.08@ 0.08@ 0.01 0.02 (0.11)@ (0.04)@
Net gains or losses on securities
(both realized and unrealized) 0.88 5.78 (5.21) 1.83 (7.89) 3.26 5.04
- -------------------------------------------------------------------------------------------------------------------------------
Total from investment operations 0.91 5.86 (5.13) 1.84 (7.87) 3.15 5.00
- -------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS:
Dividends from net investment income 0.03 0.10 0.07 -- 0.04 -- --
Distributions from capital gains -- -- 0.21 -- 5.70 6.31 4.67
- -------------------------------------------------------------------------------------------------------------------------------
Total distributions 0.03 0.10 0.28 -- 5.74 6.31 4.67
- -------------------------------------------------------------------------------------------------------------------------------
Net asset value, end of period $ 29.55 $ 28.67 $ 22.91 $ 28.32 $ 26.48 $ 40.09 $ 43.25
- -------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN(1)(a) 3.18% 25.66% (18.21%) 6.95% (21.90%) 8.32% 12.29%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (millions) $ 70 $ 76 $ 85 $ 180 $ 185 $ 409 $ 528
RATIOS TO AVERAGE NET ASSETS:#
Net expenses* 1.80% 1.80% 1.80% 1.80% 1.80% 1.80% 1.76%
Net investment income (loss) 0.19% 0.32% 0.30% 0.12% 0.10% (0.27%) (0.09%)
Expenses without waivers
and reimbursements* 1.92% 2.00% 1.95% 1.80% 1.82% 1.80% 1.76%
Net investment income (loss)
without waivers and reimbursements 0.07% 0.12% 0.15% 0.12% 0.08% (0.27%) (0.09%)
PORTFOLIO TURNOVER RATE(a)~ 15% 37% 70% 0% 12% 30% 125%
</Table>
^ The Fund changed its fiscal year end from October 31 to December 31.
@ Calculated based upon average shares outstanding.
(1) Total return figures do not include the effect of any front-end or deferred
sales load.
(a) Not annualized for periods less than one year.
# Short periods have been annualized.
~ The percentages reflect the portfolio turnover of the Growth and Income
Portfolio, of which the Fund invested all of its investable assets.
* Includes expenses allocated from portfolio.
SEE NOTES TO FINANCIAL STATEMENTS.
17
<Page>
CLASS C SHARES
<Table>
<Caption>
1/1/04 YEAR ENDED 11/1/01 YEAR ENDED
THROUGH ------------------- THROUGH ------------------------------
6/30/04 12/31/03 12/31/02 12/31/01^ 10/31/01 10/31/00 10/31/99
PER SHARE OPERATING PERFORMANCE:
Net asset value, beginning of period $ 27.74 $ 22.19 $ 27.47 $ 25.68 $ 39.10 $ 42.34 $ 42.13
- -------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.03@ 0.08@ 0.08@ 0.01 0.05 (0.11)@ (0.03)@
Net gains or losses on securities
(both realized and unrealized) 0.85 5.59 (5.06) 1.78 (7.70) 3.18 4.94
- -------------------------------------------------------------------------------------------------------------------------------
Total from investment operations 0.88 5.67 (4.98) 1.79 (7.65) 3.07 4.91
- -------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS:
Dividends from net investment income 0.04 0.12 0.09 -- 0.07 -- 0.03
Distributions from capital gains -- -- 0.21 -- 5.70 6.31 4.67
- -------------------------------------------------------------------------------------------------------------------------------
Total distributions 0.04 0.12 0.30 -- 5.77 6.31 4.70
- -------------------------------------------------------------------------------------------------------------------------------
Net asset value, end of period $ 28.58 $ 27.74 $ 22.19 $ 27.47 $ 25.68 $ 39.10 $ 42.34
- -------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN(1)(a) 3.18% 25.64% (18.21%) 6.97% (21.89%) 8.31% 12.29%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (millions) $ 6 $ 6 $ 5 $ 7 $ 7 $ 9 $ 10
RATIOS TO AVERAGE NET ASSETS:#
Net expenses* 1.80% 1.80% 1.80% 1.80% 1.80% 1.80% 1.76%
Net investment income (loss) 0.19% 0.32% 0.31% 0.12% 0.09% (0.27%) (0.07%)
Expenses without waivers
and reimbursements* 1.92% 2.00% 1.94% 1.80% 1.82% 1.80% 1.76%
Net investment income (loss)
without waivers and reimbursements 0.07% 0.12% 0.17% 0.12% 0.07% (0.27%) (0.07%)
PORTFOLIO TURNOVER RATE(a)~ 15% 37% 70% 0% 12% 30% 125%
</Table>
^ The Fund changed its fiscal year end from October 31 to December 31.
@ Calculated based upon average shares outstanding.
(1) Total return figures do not include the effect of any front-end or deferred
sales load.
(a) Not annualized for periods less than one year.
# Short periods have been annualized.
~ The percentages reflect the portfolio turnover of the Growth and Income
Portfolio, of which the Fund invested all of its investable assets.
* Includes expenses allocated from portfolio.
SEE NOTES TO FINANCIAL STATEMENTS.
18
<Page>
<Table>
<Caption>
1/1/04 YEAR ENDED 11/1/01 YEAR ENDED
THROUGH ------------------- THROUGH ------------------------------
6/30/04 12/31/03 12/31/02 12/31/01^ 10/31/01 10/31/00 10/31/99
PER SHARE OPERATING PERFORMANCE:
Net asset value, beginning of period $ 30.02 $ 23.98 $ 29.64 $ 27.72 $ 40.99 $ 43.89 $ 43.43
- -------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.17@ 0.32@ 0.32@ 0.05 0.14 0.26@ 0.35@
Net gains or losses on securities
(both realized and unrealized) 0.93 6.05 (5.46) 1.93 (7.53) 3.33 5.12
- -------------------------------------------------------------------------------------------------------------------------------
Total from investment operations 1.10 6.37 (5.14) 1.98 (7.39) 3.59 5.47
- -------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS:
Dividends from net investment income 0.17 0.33 0.31 0.06 0.18 0.18 0.34
Distributions from capital gains -- -- 0.21 -- 5.70 6.31 4.67
- -------------------------------------------------------------------------------------------------------------------------------
Total distributions 0.17 0.33 0.52 0.06 5.88 6.49 5.01
- -------------------------------------------------------------------------------------------------------------------------------
Net asset value, end of period $ 30.95 $ 30.02 $ 23.98 $ 29.64 $ 27.72 $ 40.99 $ 43.89
- -------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN(a) 3.66% 26.78% (17.47%) 7.13% (20.01%) 9.34% 13.30%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (millions) $ 1 $ 1 $ --+ $ 3 $ 3 $ 5 $ 15
RATIOS TO AVERAGE NET ASSETS:#
Net expenses* 0.90% 0.90% 0.90% 0.90% 0.89% 0.89% 0.85%
Net investment income (loss) 1.10% 1.22% 1.16% 1.02% 0.93% 0.64% 0.80%
Expenses without waivers
and reimbursements* 2.24% 1.00% 1.56% 3.34% 2.07% 0.93% 0.85%
Net investment income (loss)
without waivers and reimbursements (0.24%) 1.12% 0.50% (1.42%) (0.25%) 0.60% 0.80%
PORTFOLIO TURNOVER RATE(a)~ 15% 37% 70% 0% 12% 30% 125%
</Table>
^ The Fund changed its fiscal year end from October 31 to December 31.
@ Calculated based upon average shares outstanding.
(a) Not annualized for periods less than one year.
+ Amount rounds to less than one million.
# Short periods have been annualized.
~ The percentages reflect the portfolio turnover of the Growth and Income
Portfolio, of which the Fund invested all of its investable assets.
* Includes expenses allocated from portfolio.
SEE NOTES TO FINANCIAL STATEMENTS.
19
<Page>
GROWTH AND INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2004 (Unaudited)
(Amounts in thousands)
<Table>
<Caption>
SHARES ISSUER VALUE
- ----------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- 98.3%
COMMON STOCKS -- 98.3%
AEROSPACE -- 2.7%
137 General Dynamics Corp. $ 13,644
180 United Technologies Corp. 16,448
-----------------------------------------------------------------
30,092
-----------------------------------------------------------------
APPAREL -- 1.1%
250 VF Corp. 12,190
-----------------------------------------------------------------
APPLIANCES & HOUSEHOLD DURABLES -- 0.3%
47 Whirlpool Corp. 3,252
-----------------------------------------------------------------
AUTOMOTIVE -- 0.4%
111 Genuine Parts Co. 4,389
-----------------------------------------------------------------
BANKING -- 11.6%
353 Bank of America Corp. 29,883
125 M&T Bank Corp. 10,921
262 North Fork Bancorporation, Inc. 9,961
198 SouthTrust Corp. 7,684
129 SunTrust Banks, Inc. 8,403
132 TCF Financial Corp. (l) 7,663
353 The Bank of New York Co., Inc. 10,395
513 U.S. Bancorp 14,149
348 Wachovia Corp. 15,464
226 Wells Fargo & Co. 12,917
-----------------------------------------------------------------
127,440
-----------------------------------------------------------------
BROADCASTING/CABLE -- 1.1%
328 Cablevision Systems New York Group,
Class A* (l) 6,445
150 Clear Channel Communications, Inc. 5,543
-----------------------------------------------------------------
11,988
-----------------------------------------------------------------
BUSINESS SERVICES -- 1.7%
157 Affiliated Computer Services, Inc., Class A* 8,322
192 Equifax, Inc. 4,747
223 IMS Health, Inc. 5,234
-----------------------------------------------------------------
18,303
-----------------------------------------------------------------
CHEMICALS -- 1.2%
112 PPG Industries, Inc. $ 7,011
150 The Sherwin-Williams Co. 6,233
-----------------------------------------------------------------
13,244
-----------------------------------------------------------------
COMPUTER SOFTWARE -- 2.9%
379 Computer Associates International, Inc. 10,626
193 DST Systems, Inc.* (l) 9,277
429 Microsoft Corp. 12,255
-----------------------------------------------------------------
32,158
-----------------------------------------------------------------
COMPUTERS/COMPUTER HARDWARE -- 2.6%
403 Hewlett-Packard Co. 8,499
93 International Business Machines Corp. 8,154
124 Lexmark International, Inc., Class A* 11,970
-----------------------------------------------------------------
28,623
-----------------------------------------------------------------
CONSTRUCTION MATERIALS -- 1.0%
228 Vulcan Materials Co. 10,818
-----------------------------------------------------------------
CONSUMER PRODUCTS -- 1.1%
235 Altria Group, Inc. 11,747
-----------------------------------------------------------------
DIVERSIFIED -- 1.2%
392 Tyco International LTD (Bermuda) (l) 12,994
-----------------------------------------------------------------
ENTERTAINMENT/LEISURE -- 0.3%
77 Carnival Corp. (l) 3,638
-----------------------------------------------------------------
ENVIRONMENTAL SERVICES -- 1.0%
352 Waste Management, Inc. 10,780
-----------------------------------------------------------------
FINANCIAL SERVICES -- 13.4%
305 American Express Co. 15,666
236 Ameritrade Holding Corp.* 2,681
1,034 Citigroup, Inc. 48,097
364 Freddie Mac 23,054
222 Golden West Financial Corp. 23,578
95 H & R Block, Inc. 4,534
191 Prudential Financial, Inc. 8,871
127 T. Rowe Price Group, Inc. 6,421
380 Washington Mutual, Inc. (l) 14,683
-----------------------------------------------------------------
147,585
-----------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
20
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- ----------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
FOOD/BEVERAGE PRODUCTS -- 2.4%
167 Anheuser-Busch Companies, Inc. $ 9,007
97 Brown-Forman Corp., Class B 4,677
200 Dean Foods Co.* 7,462
120 Kellogg Co. 5,022
-----------------------------------------------------------------
26,168
-----------------------------------------------------------------
HEALTH CARE/HEALTH CARE SERVICES -- 0.9%
87 WellPoint Health Networks, Inc.* 9,700
-----------------------------------------------------------------
HOTELS/OTHER LODGING -- 0.3%
153 Hilton Hotels Corp. 2,851
-----------------------------------------------------------------
INSURANCE -- 11.4%
278 American International Group, Inc. 19,783
447 Assurant, Inc. 11,792
223 Chubb Corp. 15,177
360 Genworth Financial, Inc., Class A* (l) 8,262
115 Hartford Financial Services Group, Inc. 7,905
235 MGIC Investment Corp. 17,850
326 Old Republic International Corp. 7,728
242 Principal Financial Group, Inc. 8,399
216 SAFECO Corp. 9,500
384 The St. Paul Travelers Companies, Inc. 15,563
98 Willis Group Holdings LTD
(United Kingdom) 3,663
-----------------------------------------------------------------
125,622
-----------------------------------------------------------------
MANUFACTURING -- 0.8%
148 Cooper Industries LTD, Class A 8,763
-----------------------------------------------------------------
METALS/MINING -- 0.5%
150 Alcoa, Inc. 4,945
-----------------------------------------------------------------
MULTI-MEDIA -- 7.1%
303 Comcast Corp., Class A* 8,481
125 Gannett Co., Inc. 10,589
124 Knight Ridder, Inc. 8,906
1,608 Liberty Media Corp., Class A* 14,454
80 Liberty Media International, Inc.,
Class A * (l) 2,982
93 The E.W. Scripps Co., Class A (l) 9,713
882 Time Warner, Inc.* 15,509
193 Viacom, Inc., Class B $ 6,897
-----------------------------------------------------------------
77,531
-----------------------------------------------------------------
OIL & GAS -- 10.6%
433 Burlington Resources, Inc. 15,651
172 ChevronTexaco Corp. 16,194
341 ConocoPhillips 26,008
214 Devon Energy Corp. 14,137
984 Exxon Mobil Corp. 43,709
-----------------------------------------------------------------
115,699
-----------------------------------------------------------------
PHARMACEUTICALS -- 2.0%
214 Johnson & Johnson 11,892
294 Pfizer, Inc. 10,071
-----------------------------------------------------------------
21,963
-----------------------------------------------------------------
PIPELINES -- 1.6%
299 Kinder Morgan, Inc. 17,745
-----------------------------------------------------------------
PRINTING & PUBLISHING -- 0.5%
6 Washington Post Co., Class B (l) 5,394
-----------------------------------------------------------------
REAL ESTATE -- 1.0%
362 Brookfield Properties Corp. (Canada) 10,416
-----------------------------------------------------------------
RESTAURANTS/FOOD SERVICES -- 1.7%
243 McDonald's Corp. 6,323
303 Outback Steakhouse, Inc. (l) 12,549
-----------------------------------------------------------------
18,872
-----------------------------------------------------------------
RETAILING -- 3.3%
196 AutoZone, Inc.* 15,708
308 Home Depot, Inc. 10,845
409 The TJX Companies, Inc. 9,868
-----------------------------------------------------------------
36,421
-----------------------------------------------------------------
TELECOMMUNICATIONS -- 7.2%
367 Alltel Corp. 18,562
411 CenturyTel, Inc. 12,337
859 SBC Communications, Inc. 20,838
746 Verizon Communications, Inc. 27,007
-----------------------------------------------------------------
78,744
-----------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
21
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- ----------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
TOYS & GAMES -- 0.7%
414 Mattel, Inc. $ 7,552
-----------------------------------------------------------------
UTILITIES -- 2.7%
194 Dominion Resources, Inc. 12,256
210 DPL, Inc. (l) 4,086
86 FirstEnergy Corp. 3,210
101 FPL Group, Inc. 6,478
76 PPL Corp. 3,493
-----------------------------------------------------------------
29,523
-----------------------------------------------------------------
Total Common Stocks 1,077,150
(Cost $887,363)
-----------------------------------------------------------------
SHORT-TERM INVESTMENTS -- 1.7%
MONEY MARKET FUND -- 1.7%
18,930 JPMorgan Prime Money Market Fund (a) 18,930
(Cost $18,930)
-----------------------------------------------------------------
TOTAL INVESTMENTS -- 100.0% $ 1,096,080
(COST $906,293)
-----------------------------------------------------------------
<Caption>
SHARES COLLATERAL INVESTMENTS VALUE
- ----------------------------------------------------------------------------
MONEY MARKET FUND (c)
10,952 AIM Short Term Investment Co. $ 10,952
-----------------------------------------------------------------
<Caption>
PRINCIPAL
AMOUNT
(USD)
- ----------------------------------------------------------------------------
REPURCHASE AGREEMENT (c)
$ 45,000 Credit Suisse First Boston, 1.51%,
due 07/01/04, dated 06/30/04,
proceeds $45,002 secured by
U.S. Government Agency Securities 45,000
-----------------------------------------------------------------
$ 55,952
-----------------------------------------------------------------
</Table>
Abbreviations:
* -- Non-income producing security.
(a) -- Affiliated. Money market fund registered under the Investment Company
Act of 1940, as amended and advised by J.P. Morgan Investment
Management, Inc.
(c) -- Investment of cash collateral for portfolio securities on loan.
(l) -- Security, or portion of the security, has been delivered to a
counterparty as part of a security lending transaction.
USD -- United States Dollar.
SEE NOTES TO FINANCIAL STATEMENTS.
22
<Page>
GROWTH AND INCOME PORTFOLIO
STATEMENT OF ASSETS
AND LIABILITIES AS OF JUNE 30, 2004 (Unaudited)
(Amounts in thousands)
<Table>
ASSETS:
Investments in non-affiliates, at value $ 1,077,150
Investments in affiliates, at value 18,930
- --------------------------------------------------------------------------------
Total investment securities, at value 1,096,080
- --------------------------------------------------------------------------------
Investments held as collateral for
securities lending program 55,952
Cash 46
Receivables:
Investment securities sold 2,321
Interest and dividends 1,048
Securities lending (net) 4
- --------------------------------------------------------------------------------
Total Assets 1,155,451
- --------------------------------------------------------------------------------
LIABILITIES:
Payables:
Investment securities purchased 2,694
Collateral for securities
lending program 55,952
Accrued liabilities:
Investment advisory fees 360
Administration fees 45
Custodian fees 9
Trustees' fees - deferred
compensation plan 57
Other 53
- --------------------------------------------------------------------------------
Total Liabilities 59,170
- --------------------------------------------------------------------------------
NET ASSETS APPLICABLE TO
INVESTORS' BENEFICIAL INTERESTS $ 1,096,281
- --------------------------------------------------------------------------------
Cost of investments $ 906,293
- --------------------------------------------------------------------------------
Investment securities on loan, at value $ 55,237
- --------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
23
<Page>
STATEMENT OF
OPERATIONS FOR THE SIX MONTHS ENDED JUNE 30, 2004 (Unaudited)
(Amounts in thousands)
<Table>
INVESTMENT INCOME:
Dividend $ 10,918
Dividend income from affiliated
investments* 113
Securities lending (net) 13
Foreign tax withholding (14)
- --------------------------------------------------------------------------------
Total investment income 11,030
- --------------------------------------------------------------------------------
EXPENSES:
Investment advisory fees 2,220
Administration fees 277
Custodian fees 5
Interest expense 6
Accounting fees 17
Professional fees 27
Trustees' fees 4
Other 3
- --------------------------------------------------------------------------------
Total expenses 2,559
- --------------------------------------------------------------------------------
Net investment income (loss) 8,471
- --------------------------------------------------------------------------------
REALIZED AND UNREALIZED
GAIN (LOSS) ON INVESTMENTS:
Net realized gain (loss) on
transactions from investments 32,621
Change in net unrealized appreciation
(depreciation) of investments 1,317
Net realized and unrealized gain (loss)
on investments 33,938
- --------------------------------------------------------------------------------
Net increase (decrease) in net assets
from operations $ 42,409
- --------------------------------------------------------------------------------
* Includes reimbursements of
investment advisory and
administration fees: $ 19
- --------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
24
<Page>
STATEMENT OF CHANGES
IN NET ASSETS FOR THE PERIODS INDICATED (Unaudited)
(Amounts in thousands)
<Table>
<Caption>
1/1/04
THROUGH YEAR ENDED
6/30/04 12/31/03
INCREASE (DECREASE) IN NET
ASSETS FROM OPERATIONS:
Net investment income (loss) $ 8,471 $ 17,769
Net realized gain (loss) on investments 32,621 (85,558)
Change in net unrealized appreciation
(depreciation) of investments 1,317 328,402
- ------------------------------------------------------------------------------------------------
Increase (decrease) in net assets
from operations 42,409 260,613
- ------------------------------------------------------------------------------------------------
TRANSACTIONS IN INVESTORS'
BENEFICIAL INTEREST:
Contributions 22,524 55,219
Withdrawals (92,202) (257,032)
Increase (decrease) from transactions
in investors' beneficial interest (69,678) (201,813)
- ------------------------------------------------------------------------------------------------
NET ASSETS:
Total increase (decrease) in
net assets (27,269) 58,800
- ------------------------------------------------------------------------------------------------
Beginning of period 1,123,550 1,064,750
- ------------------------------------------------------------------------------------------------
End of period $ 1,096,281 $ 1,123,550
- ------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
25
<Page>
GROWTH AND INCOME PORTFOLIO
NOTES TO FINANCIAL
STATEMENTS (Unaudited)
1. ORGANIZATION
Growth and Income Portfolio ("GIP" or the "Portfolio") is separately registered
under the Investment Company Act of 1940, as amended, (the "1940 Act"), as a
non-diversified, open end management investment company organized as a trust
under the laws of the State of New York. The declaration of trust permits the
Trustees to issue beneficial interests in the Portfolio.
2. SIGNIFICANT ACCOUNTING PRINCIPLES
THE FOLLOWING IS A SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES FOLLOWED BY THE
PORTFOLIO:
The preparation of financial statements in accordance with accounting principles
generally accepted in the United States of America requires management to make
estimates and assumptions that affect the reported amounts and disclosures in
the financial statements. Actual results could differ from those estimates.
A. VALUATION OF INVESTMENTS -- Equity securities, purchased options and futures
contracts are valued at the last sale price on the exchange on which they are
primarily traded. The value of National Market Systems equity securities quotes
by the Nasdaq Stock Market, Inc. shall generally be the Nasdaq Official Closing
Price. Securities for which sale prices are not available and other
over-the-counter securities are valued at the mean between the bid and asked
quotations. Fixed income securities, other than convertible bonds, with a
maturity of 61 days or more held by the Portfolio will be valued each day based
on readily available market quotations received from independent or affiliated
commercial pricing services. Such pricing services will generally provide
bidside quotations. Convertible bonds are valued at the last sale price on the
primary exchange on which the bond is principally traded. All short-term
securities with a remaining maturity of sixty days or less are valued using the
amortized cost method, which approximates market value. When valuations are not
readily available, securities are valued at fair value as determined in
accordance with procedures adopted by the Trustees. It is possible that the
estimated values may differ significantly from the values that would have been
used had a ready market for the investments existed, and such differences could
have been material. Trading in securities on most foreign exchanges and over-the
counter markets is normally completed before the close of the domestic market
and may also take place on days when the domestic market is closed. In
accordance with procedures adopted by the Trustees, the Portfolio applies fair
value pricing on a daily basis for all non-U.S. and non-Canadian equity
securities held in its Portfolio by utilizing the quotations of an independent
pricing service, unless the Portfolio's advisor, J.P. Morgan Investment
Management Inc. ("JPMIM" or the "Advisor"), determines that use of another
valuation methodology is appropriate. The pricing service uses statistical
analyses and quantitative models to adjust local market prices using factors
such as subsequent movements and changes in the prices of indices, securities,
and exchange rates in other markets, in determining fair value as of the time a
Fund calculates its net asset value.
B. RESTRICTED AND ILLIQUID SECURITIES -- The Portfolio may invest in securities
that are subject to legal or contractual restrictions on resale or are illiquid.
Restricted securities generally may be resold in transactions exempt from
registration. A security may be considered illiquid if it lacks a readily
available market or if its valuation has not changed for a certain period of
time. Disposal of these securities may involve time-consuming negotiations and
expense, and prompt sale at the current valuation may be difficult.
C. SECURITIES ON LOAN -- For the Portfolio, the Board of Trustees has approved
the lending of securities, through its custodian JPMorgan Chase Bank ("JPMCB",
an affiliate of the Portfolio) acting as lending agent to certain borrowers. By
lending investment securities, the Portfolio attempts to increase its net
investment income through the receipt of interest (after rebates and fees) on
26
<Page>
collateral received in connection with the loan. The net amount of interest
earned, after the rebate and fee, is included in the Statement of Operations as
Securities lending (net).
The loans are secured by collateral at least equal, at all times to the value of
the securities loaned plus accrued interest. Gain or loss on the value of the
securities loaned that may occur during the term of the loan will be for the
account of the Portfolio. The Portfolio also continues to receive interest or
dividends on the securities loaned. The Portfolio has the right under the
lending agreement to recover the securities from the borrower on demand.
JPMCB invests the cash collateral on behalf of the Portfolio in accordance with
investment guidelines contained in the securities lending agreement.
At June 30, 2004, the market value of securities loaned was $55,237 and the
amount of collateral received was $55,952 (amounts in thousands).
JPMCB as lending agent received a fee of $6 (amount in thousands), equal to
0.05% (0.06% prior to January 31, 2004) of the average dollar value of loans of
U.S. securities outstanding during a given month and 0.10% (0.1142% prior to
January 31, 2004) of the average dollar value of loans on non-U.S. securities
outstanding during a given month.
Risks of delay in recovery of securities or even loss of rights in the
collateral may occur should the borrower of the securities fail financially.
Risks may also arise to the extent that the value of the securities loaned
increases above the value of the collateral received. JPMCB will indemnify the
Portfolio from any loss resulting from a borrower's failure to return a loaned
security when due.
D. SECURITY TRANSACTIONS AND INVESTMENT INCOME -- Investment transactions are
accounted for on the trade date (the date the order to buy or sell is executed).
Securities gains and losses are calculated on the identified cost basis.
Interest income is determined on the basis of coupon interest accrued using the
interest method adjusted for amortization of premiums and accretion of
discounts. Dividend income less foreign taxes withheld (if any) is recorded on
the ex-dividend date or when the Portfolio first learns of the dividend.
E. EXPENSES-- Expenses directly attributable to the Portfolio are charged to the
Portfolio; other expenses are allocated on another reasonable basis.
F. OTHER EXPENSES-- Other expenses in the Statement of Operations include fees
related to insurance, pricing and reporting services.
G. FEDERAL INCOME TAXES -- The Portfolio intends to continue to qualify as a
partnership and therefore net investment income and net realized gains are taxed
to the partners. Accordingly, no tax provisions are recorded by the Portfolio.
The investors in the Portfolio must take into account their proportionate share
of the Portfolio's income, gains, losses, deductions, credits and tax preference
items in computing their federal income tax liability, without regard to whether
they have received any cash distributions from the Portfolio. The Portfolio does
not intend to distribute to investors its net investment income or its net
realized gains, if any. It is intended that the Portfolio will be managed in
such a way that investors in the Portfolio will be able to satisfy the
requirements of subchapter M of the Internal Revenue Code to be taxed as
regulated investment companies.
3. FEES AND OTHER TRANSACTIONS WITH AFFILIATES
A. INVESTMENT ADVISORY FEE-- Pursuant to the Investment Advisory Agreement,
JPMIM acts as the investment advisor to the Portfolio. JPMIM is a wholly owned
subsidiary of J.P. Morgan Fleming Asset Management Holdings, Inc., which is a
wholly owned subsidiary of J.P. Morgan Chase & Co. The Advisor supervises the
investments of the Portfolio and for such services is paid a fee. The fee is
accrued daily and paid monthly at an annual rate equal to 0.40% of the
Portfolio's average daily net assets.
27
<Page>
The Portfolio may invest in one or more of the affiliated JPMorgan Money Market
Funds. The Advisor has agreed to waive and/or reimburse its advisory fee from
the Portfolio in an amount to offset any doubling up of investment advisory and
administration fees related to the Portfolio's investment in an affiliated money
market fund.
B. CUSTODIAN FEES -- JPMCB provides portfolio custody services for the
Portfolio. Compensation for such services is presented in the Statement of
Operations as custodian fees. The custodian fees may be reduced by credits
earned by the Portfolio, based on the uninvested cash balances held by the
custodian. Such earnings credits are presented separately in the Statement of
Operations.
C. ADMINISTRATION FEE -- Pursuant to an Administration Agreement, JPMCB (the
"Administrator"), provides certain administration services to the Portfolio. In
consideration of these services, the Administrator receives a fee computed daily
and paid monthly at an annual rate equal to 0.05% of the Portfolio's average
daily net assets.
BISYS Fund Services, L.P. ("BISYS") serves as the Portfolio's sub-administrator.
For its services as sub-administrator, BISYS receives a portion of the fees
payable to JPMCB as Administrator.
D. OTHER -- The Portfolio may purchase securities from an underwriting syndicate
in which the principal underwriter or members of the syndicate are affiliated
with the Advisor.
For the six months ended June 30, 2004, the Portfolio did not purchase any
securities from brokers/dealers affiliated with JPMCB.
The SEC has granted an exemptive order permitting the Portfolio 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 PURCHASES SALES
(EXCLUDING U.S. (EXCLUDING U.S. OF U.S. OF U.S.
GOVERNMENT) GOVERNMENT) GOVERNMENT GOVERNMENT
$ 168,042 $ 244,390 $ -- $ --
</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
AGGREGATE UNREALIZED UNREALIZED APPRECIATION
COST APPRECIATION DEPRECIATION (DEPRECIATION)
$ 906,293 $ 208,132 $ (18,345) $ 189,787
</Table>
28
<Page>
6. BANK BORROWINGS
Pursuant to a Line of Credit Agreement, dated April 17, 2003, the Portfolio may
borrow money for temporary or emergency purposes. The Portfolio has entered into
the agreement, enabling it to participate with other JPMorgan Funds in a line of
credit with JPMCB, as administrative agent, and with a syndicate of banks, which
permits borrowings up to $250 million, collectively. Interest is charged to the
Portfolio based on its borrowings at an annual rate equal to the sum of the
Federal Funds Rate plus 0.50%. This agreement expired on April 15, 2004 and has
been extended to April 14, 2005.
The Portfolio had no borrowings outstanding at June 30, 2004, nor at anytime
during the period then ended.
7. CONCENTRATIONS AND INDEMNIFICATIONS
In the normal course of business, the Portfolio enters into contracts that
contain a variety of representations which provide general indemnifications. The
Portfolio's maximum exposure under these arrangements is unknown, as this would
involve future claims that may be made against the Portfolio that have not yet
occurred. However, based on experience, the Portfolio can expect the risk of
loss to be remote.
8. CORPORATE EVENT
On May 25, 2004, J. P. Morgan Chase and Co. and Bank One Corp. announced that,
at separate meetings, their respective shareholders 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.
9. SUBSEQUENT EVENTS:
On August 19, 2004, the Board of Trustees approved management's proposal to
enter into an Administration Agreement with One Group Administrative Services,
Inc., an indirect wholly-owned subsidiary of JPMorgan Chase & Co.
The foregoing change in the service provider is expected to occur effective
February 19, 2005.
29
<Page>
GROWTH AND INCOME PORTFOLIO
SUPPLEMENTARY DATA (Unaudited)
<Table>
<Caption>
1/1/04 YEAR ENDED 11/1/01 YEAR ENDED
THROUGH ------------------ THROUGH -----------------------------
6/30/04 12/31/03 12/31/02 12/31/01* 10/31/01 10/31/00 10/31/99
RATIOS TO AVERAGE NET ASSETS:#
Net expenses 0.46% 0.46% 0.47% 0.46% 0.47% 0.47% 0.47%
Net investment income (loss) 1.53% 1.66% 1.64% 1.45% 1.43% 1.05% 1.20%
Expenses without reimbursements 0.46% 0.46% 0.47% 0.46% 0.48% 0.47% 0.47%
Net investment income (loss)
without reimbursements 1.53% 1.66% 1.64% 1.45% 1.42% 1.05% 1.20%
PORTFOLIO TURNOVER RATE(a) 15% 37% 70% 0% 12% 30% 125%
- --------------------------------------------------------------------------------------------------------------
TOTAL RETURN(a) 3.9% 27.5% (15.9)% 7.1% (18.7)% 9.1% 14.1%
- --------------------------------------------------------------------------------------------------------------
</Table>
* The Portfolio changed its fiscal year end from October 31 to December 31.
# Short periods have been annualized.
(a) Not annualized for periods less than one year.
SEE NOTES TO FINANCIAL STATEMENTS.
30
<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.
31
<Page>
THIS PAGE IS INTENTIONALLY LEFT BLANK
<Page>
[JPMORGAN FLEMING ASSET MANAGEMENT LOGO]
JPMorgan Funds are distributed by J.P. Morgan Fund Distributors, Inc., which is
unaffiliated with The JPMorgan Chase Bank. JPMorgan Chase and its respective
affiliates receive compensation from JPMorgan Funds for providing services to
the Funds.
This report is submitted for the general information of the shareholders of the
Funds. It is not authorized for distribution to prospective investors in the
Funds unless preceded or accompanied by a prospectus.
The financial information in this report has been taken from the books and
records of the Fund without examination by independent auditors, who express no
opinion thereon.
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.
A list of portfolio holdings is available thirty days after month end upon
request. Please contact yourJPMorgan 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.
<Page>
JPMorgan Funds Fulfillment Center PRSRT STD
6112 W. 73rd Street U.S. POSTAGE
Bedford Park, IL 60638 PAID
PERMIT 2891
KANSAS CITY, MO
(C) J.P. Morgan Chase & Co., 2004 All rights reserved. August 2004. SAN-GIF-604
<Page>
[JP MORGAN LOGO]
SELECT GROWTH AND INCOME FUND
SEMI-ANNUAL REPORT
(UNAUDITED)
JUNE 30, 2004
<Page>
JPMORGAN SELECT GROWTH AND INCOME FUND
As of June 30, 2004
PRESIDENT'S LETTER
August 2, 2004
Dear Shareholder:
We are pleased to present this semi-annual report for the JPMorgan Select Growth
and Income Fund. Inside, you'll find information detailing the performance of
the fund for the 6 months ended June 30, 2004, along with reports from the
Portfolio Managers.
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, towards 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
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.
The JPMorgan Select Growth and Income Fund utilizes a Master Feeder Fund
Structure and seeks to achieve its investment objective by investing all of its
investable assets in the Growth and Income Portfolio (the "Portfolio") which,
like the Fund, is an open-end management investment company having the same
investment objective as the Fund. As of June 30, 2004 the Fund owned 39.9% of
the net assets of the Portfolio. The financial statements of the Portfolio,
including the Portfolio of Investments, are included elsewhere in this report
and should be read in conjunction with the financial statement of the Fund.
UNAUDITED
<Page>
As always, all of us at JPMorgan Fleming Asset Management 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
UNAUDITED
<Page>
Fund Facts
<Table>
Fund Inception 1/6/1998
Fiscal Year End DECEMBER 31
Net Assets as of 6/30/04 (In Millions) $438.4
Primary Benchmark S&P 500/BARRA VALUE INDEX
</Table>
Q: HOW DID THE FUND PERFORM?
A: JPMorgan Select Growth and Income Fund, which seeks to provide capital growth
over the long term and earn income from dividends, returned 3.79% during the six
months ended June 30, 2004. This compares to a return of 4.17% from the S&P
500/BARRA Value Index, the Fund's benchmark.
Q: WHY DID THE FUND PERFORM THIS WAY?
A: Stock selection in the Fund's Consumer Staples sector hurt performance. In
particular, shares of Altria Corp. declined on news of a setback in its case
with the Department of Justice (DOJ). The DOJ is attempting to prove that the
industry participated in an unlawful conspiracy to deceive the public and is
seeking $280 billion in damages. However, we continue to have a positive view of
the industry's defense in this case, and though the litigation may create a
negative overhang in the near term, we believe the company's long term prospects
remain positive.
The Fund was aided by strong stock selection in the financials sector. Amongst
the top contributor in the financials sector was MGIC Investment Corporation,
which specializes in mortgage insurance. The company advanced after releasing
strong first quarter earnings. MGIC was aided by favorable default statistics,
which in our view will persist due to current job growth and the improving
economic picture.
Q: HOW WAS THE FUND MANAGED?
A: The Portfolio Manager's focus remained on stock selection, believing that
quality companies - regardless of their economic sector - trading at attractive
valuations will outperform in the long-term. The Portfolio Manager sought to
maintain significant sector diversification in the Fund and to avoid any large
bets contingent on macroeconomic or sector trends.
UNAUDITED
<Page>
[CHART]
PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS
<Table>
Finance & Insurance 36.4%
Consumer Goods & Services 20.3%
Energy 12.2%
Industrial Products & Services 8.4%
Telecommunications 7.2%
Technology 7.2%
Utilities 2.7%
Pharmaceuticals 2.0%
Short-Term Investments 1.7%
REITs 1.0%
Health Services & Systems 0.9%
</Table>
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO
<Table>
1. Citigroup, Inc. 4.4%
2. Exxon Mobil Corp. 4.0%
3. Bank of America Corp. 2.7%
4. Verizon Communications, Inc. 2.5%
5. ConocoPhillips 2.4%
6. Golden West Financial Corp. 2.2%
7. Freddie Mac 2.1%
8. SBC Communications, Inc. 1.9%
9. American International Group Inc. 1.8%
10. Alltel Corp 1.7%
</Table>
Top 10 equity holdings comprised 25.7% ($280,529 in thousands) of the
Portfolio's market value of investments. As of June 30, 2004, the Fund held 94
equity holdings. Portfolio holdings are subject to change at any time.
AVERAGE ANNUAL TOTAL RETURNS
<Table>
<Caption>
1 YEAR 3 YEARS 5 YEARS 10 YEARS
Select Growth and Income Fund 18.52% 0.42% (0.69)% 9.19%
</Table>
UNAUDITED
<Page>
[CHART]
TEN-YEAR PERFORMANCE (6/30/94 TO 6/30/04)*
<Table>
<Caption>
JPMORGAN SELECT GROWTH AND LIPPER LARGE-CAP S&P 500/BARRA
INCOME FUND (CLASS A SHARES) VALUE FUNDS INDEX VALUE INDEX
6/30/94 $ 9,425 $ 10,000 $ 10,000
7/31/94 $ 9,602 $ 10,292 $ 10,338
8/31/94 $ 9,918 $ 10,709 $ 10,631
9/30/94 $ 9,713 $ 10,429 $ 10,256
10/31/94 $ 9,810 $ 10,600 $ 10,480
11/30/94 $ 9,460 $ 10,231 $ 10,056
12/31/94 $ 9,484 $ 10,347 $ 10,179
1/31/95 $ 9,569 $ 10,533 $ 10,455
2/28/95 $ 9,951 $ 10,925 $ 10,861
3/31/95 $ 10,228 $ 11,181 $ 11,160
4/30/95 $ 10,389 $ 11,506 $ 11,528
5/31/95 $ 10,740 $ 11,933 $ 12,041
6/30/95 $ 11,014 $ 12,192 $ 12,132
7/31/95 $ 11,504 $ 12,577 $ 12,551
8/31/95 $ 11,573 $ 12,654 $ 12,657
9/30/95 $ 11,780 $ 13,108 $ 13,098
10/31/95 $ 11,555 $ 13,003 $ 12,894
11/30/95 $ 12,004 $ 13,566 $ 13,569
12/31/95 $ 12,098 $ 13,786 $ 13,945
1/31/96 $ 12,528 $ 14,211 $ 14,362
2/29/96 $ 12,643 $ 14,370 $ 14,497
3/31/96 $ 12,879 $ 14,525 $ 14,836
4/30/96 $ 13,061 $ 14,723 $ 14,988
5/31/96 $ 13,232 $ 14,995 $ 15,214
6/30/96 $ 13,187 $ 15,004 $ 15,141
7/31/96 $ 12,590 $ 14,416 $ 14,502
8/31/96 $ 13,029 $ 14,791 $ 14,902
9/30/96 $ 13,622 $ 15,516 $ 15,540
10/31/96 $ 13,819 $ 15,843 $ 16,067
11/30/96 $ 14,711 $ 16,977 $ 17,296
12/31/96 $ 14,441 $ 16,690 $ 17,012
1/31/97 $ 15,234 $ 17,533 $ 17,796
2/28/97 $ 15,227 $ 17,673 $ 17,926
3/31/97 $ 14,628 $ 16,998 $ 17,313
4/30/97 $ 15,215 $ 17,755 $ 17,963
5/31/97 $ 16,097 $ 18,777 $ 19,089
6/30/97 $ 16,715 $ 19,560 $ 19,818
7/31/97 $ 18,039 $ 21,035 $ 21,403
8/31/97 $ 17,386 $ 20,135 $ 20,436
9/30/97 $ 18,306 $ 21,166 $ 21,634
10/31/97 $ 17,804 $ 20,527 $ 20,837
11/30/97 $ 18,364 $ 21,200 $ 21,631
12/31/97 $ 18,705 $ 21,442 $ 22,112
1/31/98 $ 18,612 $ 21,472 $ 21,840
2/28/98 $ 19,929 $ 22,885 $ 23,478
3/31/98 $ 20,848 $ 23,901 $ 24,668
4/30/98 $ 20,992 $ 24,144 $ 24,959
5/31/98 $ 20,454 $ 23,734 $ 24,607
6/30/98 $ 20,843 $ 24,178 $ 24,794
7/31/98 $ 20,197 $ 23,759 $ 24,256
8/31/98 $ 17,109 $ 20,516 $ 20,356
9/30/98 $ 18,300 $ 21,503 $ 21,593
10/31/98 $ 19,423 $ 23,226 $ 23,284
11/30/98 $ 19,975 $ 24,410 $ 24,497
12/31/98 $ 21,343 $ 25,352 $ 25,357
1/31/99 $ 21,537 $ 25,773 $ 25,869
2/28/99 $ 20,637 $ 25,183 $ 25,313
3/31/99 $ 21,335 $ 25,948 $ 26,080
4/30/99 $ 22,561 $ 27,477 $ 28,328
5/31/99 $ 22,352 $ 27,007 $ 27,827
6/30/99 $ 23,094 $ 28,198 $ 28,895
7/31/99 $ 22,241 $ 27,397 $ 28,005
8/31/99 $ 21,621 $ 26,899 $ 27,297
9/30/99 $ 20,864 $ 25,903 $ 26,229
10/31/99 $ 21,914 $ 27,152 $ 27,711
11/30/99 $ 22,054 $ 27,247 $ 27,548
12/31/99 $ 23,071 $ 28,086 $ 28,584
1/31/2000 $ 22,519 $ 26,898 $ 27,675
2/29/2000 $ 21,733 $ 25,766 $ 25,945
3/31/2000 $ 23,841 $ 28,126 $ 28,651
4/30/2000 $ 23,536 $ 27,814 $ 28,459
5/31/2000 $ 23,028 $ 27,833 $ 28,547
6/30/2000 $ 22,712 $ 27,527 $ 27,420
7/31/2000 $ 23,123 $ 27,403 $ 27,968
8/31/2000 $ 24,511 $ 28,990 $ 29,842
9/30/2000 $ 23,763 $ 28,532 $ 29,836
10/31/2000 $ 23,856 $ 28,760 $ 30,394
11/30/2000 $ 22,520 $ 27,526 $ 28,838
12/31/2000 $ 23,178 $ 28,635 $ 30,323
1/31/2001 $ 23,157 $ 28,873 $ 31,603
2/28/2001 $ 21,879 $ 27,481 $ 29,507
3/31/2001 $ 20,826 $ 26,412 $ 28,342
4/30/2001 $ 22,363 $ 27,910 $ 30,263
5/31/2001 $ 22,605 $ 28,359 $ 30,581
6/30/2001 $ 21,725 $ 27,588 $ 29,590
7/31/2001 $ 21,567 $ 27,400 $ 29,078
8/31/2001 $ 20,202 $ 26,118 $ 27,398
9/30/2001 $ 18,618 $ 24,081 $ 24,795
10/31/2001 $ 18,729 $ 24,237 $ 24,795
11/30/2001 $ 19,778 $ 25,791 $ 26,369
12/31/2001 $ 20,057 $ 26,180 $ 26,770
1/31/2002 $ 19,849 $ 25,696 $ 26,037
2/28/2002 $ 19,793 $ 25,555 $ 25,805
3/31/2002 $ 20,654 $ 26,682 $ 27,126
4/30/2002 $ 19,609 $ 25,545 $ 25,767
5/31/2002 $ 19,797 $ 25,578 $ 25,870
6/30/2002 $ 18,481 $ 23,795 $ 24,238
7/31/2002 $ 16,812 $ 21,739 $ 21,618
8/31/2002 $ 16,953 $ 21,885 $ 21,767
9/30/2002 $ 15,137 $ 19,355 $ 19,279
10/31/2002 $ 16,500 $ 20,776 $ 20,881
11/30/2002 $ 17,305 $ 22,079 $ 22,349
12/31/2002 $ 16,485 $ 21,028 $ 21,187
1/31/2003 $ 16,053 $ 20,527 $ 20,606
2/28/2003 $ 15,571 $ 20,014 $ 20,046
3/31/2003 $ 15,539 $ 20,002 $ 20,020
4/30/2003 $ 16,929 $ 21,690 $ 22,000
5/31/2003 $ 18,079 $ 23,026 $ 23,619
6/30/2003 $ 18,292 $ 23,289 $ 23,791
7/31/2003 $ 18,491 $ 23,612 $ 24,319
8/31/2003 $ 18,769 $ 24,011 $ 24,845
9/30/2003 $ 18,457 $ 23,743 $ 24,395
10/31/2003 $ 19,447 $ 25,053 $ 26,064
11/30/2003 $ 19,730 $ 25,361 $ 26,298
12/31/2003 $ 20,816 $ 26,916 $ 27,923
1/31/2004 $ 21,165 $ 27,322 $ 28,418
2/29/2004 $ 21,587 $ 27,899 $ 29,060
3/31/2004 $ 21,334 $ 27,564 $ 28,859
4/30/2004 $ 21,084 $ 27,057 $ 28,147
5/31/2004 $ 21,249 $ 27,254 $ 28,470
6/30/2004 $ 21,540 $ 27,854 $ 29,088
</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 the 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 1/6/98.
Returns for the Fund prior to 1/6/98 (offering date of the Fund) are calculated
using the historical expenses of the JPMorgan Growth and Income Fund (Select
Shares), which are higher than the expenses of the Select Growth and Income
Fund.
The graph illustrates comparative performance for $5,000,000 invested in the
JPMorgan Select Growth and Income Fund, S&P 500/BARRA Value Index, and Lipper
Large-Cap Value Funds Index from June 30, 1994 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 reflects an initial
investment at the end of the month following the Fund's inception. The
performance of the indices does not include a sales charge and has been adjusted
to reflect reinvestment of all dividends and capital gains of the securities
included in the benchmark. The S&P 500/BARRA Value Index contains large U.S.
companies with lower price-to-book ratios relative to the S&P 500 Index. The
Lipper Large-Cap Value Funds Index represents the total returns of the funds in
the indicated category, as defined by Lipper, Inc. Investors cannot invest
directly in an index.
The Fund has a $5,000,000 minimum initial deposit and carries no sales charge.
UNAUDITED
<Page>
JPMORGAN SELECT GROWTH AND INCOME FUND
Statement of Assets & Liabilities
As of June 30, 2004 (Unaudited)
(Amounts in thousands, except per share amount)
<Table>
ASSETS:
Investment in Growth and Income Portfolio, at value $ 437,431
Receivables:
Fund shares sold 1,109
- -----------------------------------------------------------------------------------------------------------------------
Total Assets 438,540
- -----------------------------------------------------------------------------------------------------------------------
LIABILITIES:
Payables:
Distributions 4
Fund shares redeemed 55
Accrued liabilities:
Administration fees 36
Professional fees 19
Printing/Postage fees 27
Trustees' fees - deferred compensation plan 10
Other 3
- -----------------------------------------------------------------------------------------------------------------------
Total Liabilities 154
- -----------------------------------------------------------------------------------------------------------------------
NET ASSETS:
Paid in capital 417,251
Accumulated undistributed (overdistributed) net investment income 3,005
Accumulated net realized gain (loss) on investment in Portfolio (47,470)
Net unrealized appreciation (depreciation) of investment in Portfolio 65,600
- -----------------------------------------------------------------------------------------------------------------------
Total Net Assets $ 438,386
- -----------------------------------------------------------------------------------------------------------------------
Shares of beneficial interest outstanding ($0.001 par value;
unlimited number of shares authorized): 10,452
Net asset value, redemption and offering price per share: $ 41.94
- -----------------------------------------------------------------------------------------------------------------------
</Table>
See notes to financial statements.
<Page>
Statement of Operations
For the six months ended June 30, 2004 (Unaudited)
(Amounts in thousands)
<Table>
INVESTMENT INCOME:
Allocated investment income from Portfolio $ 4,296
Allocated expenses from Portfolio (997)
- -----------------------------------------------------------------------------------------------------------------------
Total investment income 3,299
- -----------------------------------------------------------------------------------------------------------------------
EXPENSES:
Administration fees 216
Accounting fees 7
Professional fees 12
Transfer agent fees 8
Trustees' fees 2
Other 12
- -----------------------------------------------------------------------------------------------------------------------
Total expenses 257
- -----------------------------------------------------------------------------------------------------------------------
Net investment income (loss) 3,042
- -----------------------------------------------------------------------------------------------------------------------
REALIZED AND UNREALIZED GAIN (LOSS)
ON INVESTMENTS:
Net realized gain (loss) allocated from Portfolio 12,625
Change in net unrealized appreciation (depreciation) allocated from Portfolio 505
- -----------------------------------------------------------------------------------------------------------------------
Net realized and unrealized gain (loss) on investments 13,130
- -----------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets from operations $ 16,172
- -----------------------------------------------------------------------------------------------------------------------
</Table>
See notes to financial statements.
<Page>
Statement of Changes in Net Assets
For the periods indicated (Unaudited)
(Amounts in thousands)
<Table>
<Caption>
1/1/04 YEAR
THROUGH ENDED
6/30/04 12/31/03
- ---------------------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS:
Net investment income (loss) $ 3,042 $ 5,719
Net realized gain (loss) allocated from Portfolio 12,625 (29,481)
Change in net unrealized appreciation (depreciation) allocated from Portfolio 505 115,689
- ---------------------------------------------------------------------------------------------------------------------
Increase (decrease) in net assets from operations 16,172 91,927
- ---------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
- ---------------------------------------------------------------------------------------------------------------------
Net investment income -- (5,804)
- ---------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS:
Proceeds from shares issued 14,790 28,327
Dividends reinvested -- 5,800
Cost of shares redeemed (20,421) (35,202)
- ---------------------------------------------------------------------------------------------------------------------
Increase (decrease) from capital share transactions (5,631) (1,075)
- ---------------------------------------------------------------------------------------------------------------------
NET ASSETS:
Total increase (decrease) in net assets 10,541 85,048
- ---------------------------------------------------------------------------------------------------------------------
Beginning of period 427,845 342,797
- ---------------------------------------------------------------------------------------------------------------------
End of period $ 438,386 $ 427,845
- ---------------------------------------------------------------------------------------------------------------------
ACCUMULATED UNDISTRIBUTED (OVERDISTRIBUTED) NET INVESTMENT INCOME $ 3,005 $ (37)
- ---------------------------------------------------------------------------------------------------------------------
SHARE TRANSACTIONS:
Issued 358 812
Reinvested -- 147
Redeemed (495) (1,009)
- ---------------------------------------------------------------------------------------------------------------------
Change in shares (137) (50)
- ---------------------------------------------------------------------------------------------------------------------
</Table>
See notes to financial statements.
<Page>
JPMORGAN SELECT GROWTH AND INCOME FUND
Notes to Financial Statements (Unaudited)
1. ORGANIZATION
J.P. Morgan Mutual Fund Group ("JPMMFG" or the "Trust") was organized on May 11,
1987 as a Massachusetts business trust, and is registered under the Investment
Company Act of 1940, as amended, (the "1940 Act"), as an open-end management
investment company. JPMorgan Select Growth and Income Fund (the "Fund") is a
separate series of the Trust.
2. SIGNIFICANT ACCOUNTING POLICIES
THE FOLLOWING IS A SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES FOLLOWED BY THE
FUND:
The preparation of financial statements in accordance with accounting principles
generally accepted in the United States of America requires management to make
estimates and assumptions that affect the reported amounts and disclosures in
the financial statements. Actual results could differ from those estimates.
The Fund utilizes a Master Feeder Fund structure and seeks to achieve its
investment objective by investing all of its investable assets in the Growth and
Income Portfolio (the "Portfolio") which, like the Fund, is an open-end
management investment company having the same investment objective as the Fund.
As of June 30, 2004, the Fund owned 39.9% of the net assets of the Portfolio.
The financial statements of the Portfolio, including the Portfolio of
Investments, are included elsewhere in this report and should be read in
conjunction with the financial statements of the Fund.
A. VALUATION OF INVESTMENTS - The Fund records its investment in the Portfolio
at value. Securities of the Portfolio are recorded at value as more fully
discussed in the notes to the Portfolio's financial statements.
B. INVESTMENT INCOME AND EXPENSES - The Fund records daily its pro rata share of
the Portfolio's income, expenses, and realized and unrealized gains and losses.
In addition, the Fund accrues its own expenses daily as incurred. Realized
gains/losses and changes in unrealized appreciation/depreciation represent the
Fund's share of such elements allocated from the Portfolio.
C. ALLOCATION OF EXPENSES - Expenses directly attributable to the Fund are
charged to the Fund; other expenses of the Trust are allocated proportionately
among each of the Funds within the Trust in relation to the net assets of each
Fund or on another reasonable basis.
D. FEDERAL INCOME TAXES - The Fund is treated as a separate taxable entity for
Federal income tax purposes. The Fund's policy is to comply with the provisions
of the Internal Revenue Code applicable to regulated investment companies and to
distribute to shareholders all of its distributable net investment income and
net realized gain on investments. In addition, the Fund intends to make
distributions as required to avoid excise taxes. Accordingly, no provision for
Federal income or excise tax is necessary.
E. DISTRIBUTIONS TO SHAREHOLDERS - Dividends and distributions paid to
shareholders are recorded on the ex-dividend date. The amount of dividends and
distributions from net investment income and net realized capital gains is
determined in accordance with Federal income tax regulations, which may differ
from accounting principles generally accepted in the United States of America.
To the extent these "book/tax" differences are permanent in nature (i.e., that
they result from other than timing of recognition - "temporary differences")
such amounts are reclassified within the capital accounts based on their Federal
tax-basis treatment.
F. OTHER EXPENSES - Other expenses in the Statement of Operations include fees
related to line of credit, insurance and reporting services.
<Page>
3. FEES AND OTHER TRANSACTIONS WITH AFFILIATES
A. ADMINISTRATION FEE - Pursuant to the Administration Agreement, JPMorgan Chase
Bank ("JPMCB" or the "Administrator") provides certain administration services
to the Fund. In consideration of these services, the Administrator receives a
fee computed daily and paid monthly at an annual rate equal to 0.10% of the
first $25 billion of the average daily net assets of all non-money market funds
in the JPMorgan Fund Complex plus 0.025% of the average daily net assets in
excess of $25 billion.
BISYS Fund Services, L.P. ("BISYS") serves as the Fund's sub-administrator. For
its services as sub-administrator, BISYS receives a portion of the fees payable
to JPMCB as Administrator.
The Administrator has contractually agreed to reimburse the Fund to the extent
that total operating expenses (excluding interest, taxes, extraordinary expenses
and expenses related to the deferred compensation plan) exceed 0.58%. The
expense limitation percentage is due to expire April 30, 2005.
B. OTHER - Certain officers of the Trust are officers of J.P. Morgan Chase & Co.
or of BISYS or their subsidiaries.
4. BANK BORROWINGS
Pursuant to a Line of Credit Agreement dated April 17, 2003, the Fund may borrow
money for temporary or emergency purposes. The Fund has entered into the
agreement, enabling it to participate with other JPMorgan Funds in a line of
credit with JPMCB, as administrative agent, and with a syndicate of banks, which
permits borrowings up to $250 million, collectively. Interest is charged to the
Fund based on its borrowings at an annual rate equal to the sum of the Federal
Funds Rate plus 0.50%. The Funds also pay a commitment fee of 0.09% per annum on
the average daily amount of the available commitment, which is allocated on a
pro-rata basis to the Funds. The commitment fee is included in Other expenses on
the Statement of Operations. This agreement expired on April 15, 2004 and has
been extended to April 14, 2005.
The Fund had no borrowings outstanding at June 30, 2004, nor at anytime during
the period then ended.
5. CONCENTRATIONS AND INDEMNIFICATIONS
At June 30, 2004, all of the Fund's outstanding shares are owned by the
participants in the 401(k) Savings Plan of J.P. Morgan Chase & Co.
In the normal course of business the Fund enters into contracts that contain a
variety of representations which provide general indemnifications. The Fund's
maximum exposure under these arrangements is unknown, as this would involve
future claims that may be made against the Fund that have not yet occurred.
However, based on experience, the Fund can expect the risk of loss to be remote.
6. CORPORATE EVENT
On May 25, 2004, J.P. Morgan Chase & Co. and Bank One Corp. announced that, at
separate meetings, their respective shareholders 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.
7. SUBSEQUENT EVENTS
On August 19, 2004, the Board of Trustees approved management's proposal to
enter into an Administration Agreement with One Group Administrative Services,
Inc., an indirect wholly-owned subsidiary of JPMorgan Chase & Co.
The foregoing change in the service provider is expected to occur effective
February 19, 2005.
<Table>
<Caption>
1/1/04 YEAR ENDED 11/1/01
THROUGH ------------------------ THROUGH
PER SHARE OPERATING PERFORMANCE: 6/30/04 12/31/03 12/31/02 12/31/01 ^
- --------------------------------------------------------------------------------------------------------------
Net asset value, beginning of period $ 40.41 $ 32.22 $ 39.57 $ 37.45
- --------------------------------------------------------------------------------------------------------------
Income from investment operations:
Net investment income (loss) 0.29 0.55 0.57 0.09
Net gains or losses on securities (both realized and 1.24 8.19 (7.36) 2.60
unrealized)
---------- ---------- ---------- ----------
Total from investment operations 1.53 8.74 (6.79) 2.69
---------- ---------- ---------- ----------
Less distributions:
Dividends from net investment income - 0.55 0.56 0.57
Distributions from capital gains - - - -
---------- ---------- ---------- ----------
Total distributions - 0.55 0.56 0.57
---------- ---------- ---------- ----------
Net asset value, end of period $ 41.94 $ 40.41 $ 32.22 $ 39.57
- --------------------------------------------------------------------------------------------------------------
TOTAL RETURN (a) 3.79% 27.18% (17.19)% 7.19%
==============================================================================================================
RATIOS/SUPPLEMENTAL DATA:
- --------------------------------------------------------------------------------------------------------------
Net assets, end of period (millions) $ 438 $ 428 $ 343 $ 445
- --------------------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
- --------------------------------------------------------------------------------------------------------------
Net expenses + 0.58% 0.58% 0.58% 0.58%
- --------------------------------------------------------------------------------------------------------------
Net investment income (loss) 1.41% 1.55% 1.54% 1.34%
- --------------------------------------------------------------------------------------------------------------
Expenses without reimbursements + 0.58% 0.58% 0.58% 0.58%
- --------------------------------------------------------------------------------------------------------------
Net investment income (loss) without reimbursements 1.41% 1.55% 1.54% 1.34%
- --------------------------------------------------------------------------------------------------------------
PORTFOLIO TURNOVER RATE ~ (a) 15% 37% 70% 0%
- --------------------------------------------------------------------------------------------------------------
<Caption>
YEAR ENDED
---------------------------------------
PER SHARE OPERATING PERFORMANCE: 10/31/01 10/31/00 10/31/99
- ------------------------------------------------------------------------------------------------
Net asset value, beginning of period $ 52.99 $ 48.88 $ 43.51
- ------------------------------------------------------------------------------------------------
Income from investment operations:
Net investment income (loss) 0.53 0.49 0.53
Net gains or losses on securities (both realized and (10.81) 4.18 5.37
unrealized)
---------- ---------- ----------
Total from investment operations (10.28) 4.67 5.90
---------- ---------- ----------
Less distributions:
Dividends from net investment income 0.47 0.11 0.53
Distributions from capital gains 4.79 0.45 -
---------- ---------- ----------
Total distributions 5.26 0.56 0.53
---------- ---------- ----------
Net asset value, end of period $ 37.45 $ 52.99 $ 48.88
- ------------------------------------------------------------------------------------------------
TOTAL RETURN (a) (20.92)% 9.63% 13.57%
================================================================================================
RATIOS/SUPPLEMENTAL DATA:
- ------------------------------------------------------------------------------------------------
Net assets, end of period (millions) $ 403 $ 531 $ 553
- ------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
- ------------------------------------------------------------------------------------------------
Net expenses + 0.58% 0.60% 0.59%
- ------------------------------------------------------------------------------------------------
Net investment income (loss) 1.31% 0.92% 1.08%
- ------------------------------------------------------------------------------------------------
Expenses without reimbursements + 0.59% 0.60% 0.59%
- ------------------------------------------------------------------------------------------------
Net investment income (loss) without reimbursements 1.30% 0.92% 1.08%
- ------------------------------------------------------------------------------------------------
PORTFOLIO TURNOVER RATE ~ (a) 12% 30% 125%
- ------------------------------------------------------------------------------------------------
</Table>
+ Includes expenses allocated from Portfolio.
(a) Not annualized for periods less than one year.
~ The percentages reflect the portfolio turnover of the Growth and Income
Portfolio, of which the Fund invested all of its investable assets.
# Short periods have been annualized.
^ The Fund changed its fiscal year end from October 31 to December 31.
See notes to financial statements.
<Page>
The Growth and Income Portfolio
Semi-Annual Report June 30, 2004
(The following pages should be read in conjunction with JPMorgan Select Growth
and Income Fund Semi-Annual Financial Statements)
<Page>
GROWTH AND INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2004 (Unaudited)
(Amounts in thousands)
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- 98.3%
COMMON STOCKS -- 98.3%
AEROSPACE -- 2.7%
137 General Dynamics Corp. $ 13,644
180 United Technologies Corp. 16,448
---------------------------------------------------------------------
30,092
---------------------------------------------------------------------
APPAREL -- 1.1%
250 VF Corp. 12,190
APPLIANCES & HOUSEHOLD DURABLES -- 0.3%
47 Whirlpool Corp. 3,252
AUTOMOTIVE -- 0.4%
111 Genuine Parts Co. 4,389
BANKING -- 11.6%
353 Bank of America Corp. 29,883
125 M&T Bank Corp. 10,921
262 North Fork Bancorporation, Inc. 9,961
198 SouthTrust Corp. 7,684
129 SunTrust Banks, Inc. 8,403
132 TCF Financial Corp. (l) 7,663
353 The Bank of New York Co., Inc. 10,395
513 U.S. Bancorp 14,149
348 Wachovia Corp. 15,464
226 Wells Fargo & Co. 12,917
---------------------------------------------------------------------
127,440
---------------------------------------------------------------------
BROADCASTING/CABLE -- 1.1%
328 Cablevision Systems New York Group,
Class A* (l) 6,445
150 Clear Channel Communications, Inc. 5,543
---------------------------------------------------------------------
11,988
---------------------------------------------------------------------
BUSINESS SERVICES -- 1.7%
157 Affiliated Computer Services, Inc., Class A* 8,322
192 Equifax, Inc. 4,747
223 IMS Health, Inc. 5,234
---------------------------------------------------------------------
18,303
---------------------------------------------------------------------
CHEMICALS -- 1.2%
112 PPG Industries, Inc. $ 7,011
150 The Sherwin-Williams Co. 6,233
---------------------------------------------------------------------
13,244
---------------------------------------------------------------------
COMPUTER SOFTWARE -- 2.9%
379 Computer Associates International, Inc.10,626
193 DST Systems, Inc.* (l) 9,277
429 Microsoft Corp. 12,255
---------------------------------------------------------------------
32,158
---------------------------------------------------------------------
COMPUTERS/COMPUTER HARDWARE -- 2.6%
403 Hewlett-Packard Co. 8,499
93 International Business Machines Corp. 8,154
124 Lexmark International, Inc., Class A* 11,970
---------------------------------------------------------------------
28,623
---------------------------------------------------------------------
CONSTRUCTION MATERIALS -- 1.0%
228 Vulcan Materials Co. 10,818
CONSUMER PRODUCTS -- 1.1%
235 Altria Group, Inc. 11,747
DIVERSIFIED -- 1.2%
392 Tyco International LTD (Bermuda) (l) 12,994
ENTERTAINMENT/LEISURE -- 0.3%
77 Carnival Corp. (l) 3,638
ENVIRONMENTAL SERVICES -- 1.0%
352 Waste Management, Inc. 10,780
FINANCIAL SERVICES -- 13.4%
305 American Express Co. 15,666
236 Ameritrade Holding Corp.* 2,681
1,034 Citigroup, Inc. 48,097
364 Freddie Mac 23,054
222 Golden West Financial Corp. 23,578
95 H & R Block, Inc. 4,534
191 Prudential Financial, Inc. 8,871
127 T. Rowe Price Group, Inc. 6,421
380 Washington Mutual, Inc. (l) 14,683
---------------------------------------------------------------------
147,585
---------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
FOOD/BEVERAGE PRODUCTS -- 2.4%
167 Anheuser-Busch Companies, Inc. $ 9,007
97 Brown-Forman Corp., Class B 4,677
200 Dean Foods Co.* 7,462
120 Kellogg Co. 5,022
---------------------------------------------------------------------
26,168
---------------------------------------------------------------------
HEALTH CARE/HEALTH CARE SERVICES -- 0.9%
87 WellPoint Health Networks, Inc.* 9,700
HOTELS/OTHER LODGING -- 0.3%
153 Hilton Hotels Corp. 2,851
INSURANCE -- 11.4%
278 American International Group, Inc. 19,783
447 Assurant, Inc. 11,792
223 Chubb Corp. 15,177
360 Genworth Financial, Inc., Class A* (l) 8,262
115 Hartford Financial Services Group, Inc. 7,905
235 MGIC Investment Corp. 17,850
326 Old Republic International Corp. 7,728
242 Principal Financial Group, Inc. 8,399
216 SAFECO Corp. 9,500
384 The St. Paul Travelers Companies, Inc. 15,563
98 Willis Group Holdings LTD
(United Kingdom) 3,663
---------------------------------------------------------------------
125,622
---------------------------------------------------------------------
MANUFACTURING -- 0.8%
148 Cooper Industries LTD, Class A 8,763
METALS/MINING -- 0.5%
150 Alcoa, Inc. 4,945
MULTI-MEDIA -- 7.1%
303 Comcast Corp., Class A* 8,481
125 Gannett Co., Inc. 10,589
124 Knight Ridder, Inc. 8,906
1,608 Liberty Media Corp., Class A* 14,454
80 Liberty Media International, Inc., Class A * (l) 2,982
93 The E.W. Scripps Co., Class A (l) 9,713
882 Time Warner, Inc.* 15,509
193 Viacom, Inc., Class B $ 6,897
---------------------------------------------------------------------
77,531
---------------------------------------------------------------------
OIL & GAS -- 10.6%
433 Burlington Resources, Inc. 15,651
172 ChevronTexaco Corp. 16,194
341 ConocoPhillips 26,008
214 Devon Energy Corp. 14,137
984 Exxon Mobil Corp. 43,709
---------------------------------------------------------------------
115,699
---------------------------------------------------------------------
PHARMACEUTICALS -- 2.0%
214 Johnson & Johnson 11,892
294 Pfizer, Inc. 10,071
---------------------------------------------------------------------
21,963
---------------------------------------------------------------------
PIPELINES -- 1.6%
299 Kinder Morgan, Inc. 17,745
PRINTING & PUBLISHING -- 0.5%
6 Washington Post Co., Class B (l) 5,394
REAL ESTATE -- 1.0%
362 Brookfield Properties Corp. (Canada) 10,416
RESTAURANTS/FOOD SERVICES -- 1.7%
243 McDonald's Corp. 6,323
303 Outback Steakhouse, Inc. (l) 12,549
---------------------------------------------------------------------
18,872
---------------------------------------------------------------------
RETAILING -- 3.3%
196 AutoZone, Inc.* 15,708
308 Home Depot, Inc. 10,845
409 The TJX Companies, Inc. 9,868
---------------------------------------------------------------------
36,421
---------------------------------------------------------------------
TELECOMMUNICATIONS -- 7.2%
367 Alltel Corp. 18,562
411 CenturyTel, Inc. 12,337
859 SBC Communications, Inc. 20,838
746 Verizon Communications, Inc. 27,007
---------------------------------------------------------------------
78,744
---------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
TOYS & GAMES -- 0.7%
414 Mattel, Inc. $ 7,552
UTILITIES -- 2.7%
194 Dominion Resources, Inc. 12,256
210 DPL, Inc. (l) 4,086
86 FirstEnergy Corp. 3,210
101 FPL Group, Inc. 6,478
76 PPL Corp. 3,493
---------------------------------------------------------------------
29,523
---------------------------------------------------------------------
Total Common Stocks 1,077,150
(Cost $887,363)
---------------------------------------------------------------------
SHORT-TERM INVESTMENTS -- 1.7%
MONEY MARKET FUND -- 1.7%
18,930 JPMorgan Prime Money Market Fund (a) 18,930
(Cost $18,930)
---------------------------------------------------------------------
TOTAL INVESTMENTS -- 100.0% $ 1,096,080
(COST $906,293)
---------------------------------------------------------------------
<Caption>
SHARES COLLATERAL INVESTMENTS VALUE
- --------------------------------------------------------------------------------
MONEY MARKET FUND (c)
10,952 AIM Short Term Investment Co. $ 10,952
<Caption>
PRINCIPAL
AMOUNT
(USD)
- --------------------------------------------------------------------------------
REPURCHASE AGREEMENT (c)
$ 45,000 Credit Suisse First Boston, 1.51%,
due 07/01/04, dated 06/30/04,
proceeds $45,002 secured by
U.S. Government Agency Securities 45,000
---------------------------------------------------------------------
$ 55,952
---------------------------------------------------------------------
</Table>
Abbreviations:
* --Non-income producing security.
(a) --Affiliated. Money market fund registered under the Investment Company Act
of 1940, as amended and advised by J.P. Morgan Investment Management,
Inc.
(c) --Investment of cash collateral for portfolio securities on loan.
(l) --Security, or portion of the security, has been delivered to a
counterparty as part of a security lending transaction.
USD --United States Dollar.
SEE NOTES TO FINANCIAL STATEMENTS.
<Page>
Growth and Income Portfolio
STATEMENT OF ASSETS
AND LIABILITIES AS OF JUNE 30, 2004 (Unaudited)
(Amounts in thousands)
<Table>
ASSETS:
Investments in non-affiliates, at value $ 1,077,150
Investments in affiliates, at value 18,930
- --------------------------------------------------------------------------------
Total investment securities, at value 1,096,080
- --------------------------------------------------------------------------------
Investments held as collateral for
securities lending program 55,952
Cash 46
Receivables:
Investment securities sold 2,321
Interest and dividends 1,048
Securities lending (net) 4
- --------------------------------------------------------------------------------
Total Assets 1,155,451
- --------------------------------------------------------------------------------
LIABILITIES:
Payables:
Investment securities purchased 2,694
Collateral for securities lending program 55,952
Accrued liabilities:
Investment advisory fees 360
Administration fees 45
Custodian fees 9
Trustees' fees - deferred compensation plan 57
Other 53
- --------------------------------------------------------------------------------
Total Liabilities 59,170
- --------------------------------------------------------------------------------
NET ASSETS APPLICABLE TO
INVESTORS' BENEFICIAL INTERESTS $ 1,096,281
- --------------------------------------------------------------------------------
Cost of investments $ 906,293
- --------------------------------------------------------------------------------
Investment securities on loan, at value $ 55,237
- --------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
<Page>
STATEMENT OF
OPERATIONS FOR THE SIX MONTHS ENDED JUNE 30, 2004 (Unaudited)
(Amounts in thousands)
<Table>
INVESTMENT INCOME:
Dividend $ 10,918
Dividend income from affiliated investments* 113
Securities lending (net) 13
Foreign tax withholding (14)
- --------------------------------------------------------------------------------
Total investment income 11,030
- --------------------------------------------------------------------------------
EXPENSES:
Investment advisory fees 2,220
Administration fees 277
Custodian fees 5
Interest expense 6
Accounting fees 17
Professional fees 27
Trustees' fees 4
Other 3
- --------------------------------------------------------------------------------
Total expenses 2,559
- --------------------------------------------------------------------------------
Net investment income (loss) 8,471
- --------------------------------------------------------------------------------
REALIZED AND UNREALIZED
GAIN (LOSS) ON INVESTMENTS:
Net realized gain (loss) on
transactions from investments 32,621
Change in net unrealized appreciation
(depreciation) of investments 1,317
Net realized and unrealized gain (loss)
on investments 33,938
- --------------------------------------------------------------------------------
Net increase (decrease) in net assets
from operations $ 42,409
- --------------------------------------------------------------------------------
* Includes reimbursements of
investment advisory and
administration fees: $ 19
- --------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
<Page>
STATEMENT OF CHANGES
IN NET ASSETS FOR THE PERIODS INDICATED (Unaudited)
(Amounts in thousands)
<Table>
<Caption>
1/1/04
THROUGH YEAR ENDED
6/30/04 12/31/03
INCREASE (DECREASE) IN NET
ASSETS FROM OPERATIONS:
Net investment income (loss) $ 8,471 $ 17,769
Net realized gain (loss) on investments 32,621 (85,558)
Change in net unrealized appreciation
(depreciation) of investments 1,317 328,402
- -----------------------------------------------------------------------
Increase (decrease) in net assets
from operations 42,409 260,613
- -----------------------------------------------------------------------
TRANSACTIONS IN INVESTORS'
BENEFICIAL INTEREST:
Contributions 22,524 55,219
Withdrawals (92,202) (257,032)
Increase (decrease) from transactions
in investors' beneficial interest (69,678) (201,813)
- -----------------------------------------------------------------------
NET ASSETS:
Total increase (decrease) in
net assets (27,269) 58,800
- -----------------------------------------------------------------------
Beginning of period 1,123,550 1,064,750
- -----------------------------------------------------------------------
End of period $ 1,096,281 $ 1,123,550
- -----------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
<Page>
Growth and Income Portfolio
NOTES TO FINANCIAL
STATEMENTS (Unaudited)
1. ORGANIZATION
Growth and Income Portfolio ("GIP" or the "Portfolio") is separately registered
under the Investment Company Act of 1940, as amended, (the "1940 Act"), as a
non-diversified, open end management investment company organized as a trust
under the laws of the State of New York. The declaration of trust permits the
Trustees to issue beneficial interests in the Portfolio.
2. SIGNIFICANT ACCOUNTING PRINCIPLES
THE FOLLOWING IS A SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES FOLLOWED BY THE
PORTFOLIO:
The preparation of financial statements in accordance with accounting principles
generally accepted in the United States of America requires management to make
estimates and assumptions that affect the reported amounts and disclosures in
the financial statements. Actual results could differ from those estimates.
A. VALUATION OF INVESTMENTS -- Equity securities, purchased options and futures
contracts are valued at the last sale price on the exchange on which they are
primarily traded. The value of National Market Systems equity securities quotes
by the Nasdaq Stock Market, Inc. shall generally be the Nasdaq Official Closing
Price. Securities for which sale prices are not available and other
over-the-counter securities are valued at the mean between the bid and asked
quotations. Fixed income securities, other than convertible bonds, with a
maturity of 61 days or more held by the Portfolio will be valued each day based
on readily available market quotations received from independent or affiliated
commercial pricing services. Such pricing services will generally provide
bidside quotations. Convertible bonds are valued at the last sale price on the
primary exchange on which the bond is principally traded. All short-term
securities with a remaining maturity of sixty days or less are valued using the
amortized cost method, which approximates market value. When valuations are not
readily available, securities are valued at fair value as determined in
accordance with procedures adopted by the Trustees. It is possible that the
estimated values may differ significantly from the values that would have been
used had a ready market for the investments existed, and such differences could
have been material. Trading in securities on most foreign exchanges and over-the
counter markets is normally completed before the close of the domestic market
and may also take place on days when the domestic market is closed. In
accordance with procedures adopted by the Trustees, the Portfolio applies fair
value pricing on a daily basis for all non-U.S. and non-Canadian equity
securities held in its Portfolio by utilizing the quotations of an independent
pricing service, unless the Portfolio's advisor, J.P. Morgan Investment
Management Inc. ("JPMIM" or the "Advisor"), determines that use of another
valuation methodology is appropriate. The pricing service uses statistical
analyses and quantitative models to adjust local market prices using factors
such as subsequent movements and changes in the prices of indices, securities,
and exchange rates in other markets, in determining fair value as of the time a
Fund calculates its net asset value.
B. RESTRICTED AND ILLIQUID SECURITIES -- The Portfolio may invest in securities
that are subject to legal or contractual restrictions on resale or are illiquid.
Restricted securities generally may be resold in transactions exempt from
registration. A security may be considered illiquid if it lacks a readily
available market or if its valuation has not changed for a certain period of
time. Disposal of these securities may involve time-consuming negotiations and
expense, and prompt sale at the current valuation may be difficult.
C. SECURITIES ON LOAN -- For the Portfolio, the Board of Trustees has approved
the lending of securities, through its custodian JPMorgan Chase Bank ("JPMCB",
an affiliate of the Portfolio) acting as lending agent to certain borrowers. By
lending investment securities, the Portfolio attempts to increase its net
investment income through the receipt of interest (after rebates and fees) on
<Page>
collateral received in connection with the loan. The net amount of interest
earned, after the rebate and fee, is included in the Statement of Operations as
Securities lending (net).
The loans are secured by collateral at least equal, at all times to the value of
the securities loaned plus accrued interest. Gain or loss on the value of the
securities loaned that may occur during the term of the loan will be for the
account of the Portfolio. The Portfolio also continues to receive interest or
dividends on the securities loaned. The Portfolio has the right under the
lending agreement to recover the securities from the borrower on demand.
JPMCB invests the cash collateral on behalf of the Portfolio in accordance with
investment guidelines contained in the securities lending agreement.
At June 30, 2004, the market value of securities loaned was $55,237 and the
amount of collateral received was $55,952 (amounts in thousands).
JPMCB as lending agent received a fee of $6 (amount in thousands), equal to
0.05% (0.06% prior to January 31, 2004) of the average dollar value of loans of
U.S. securities outstanding during a given month and 0.10% (0.1142% prior to
January 31, 2004) of the average dollar value of loans on non-U.S. securities
outstanding during a given month.
Risks of delay in recovery of securities or even loss of rights in the
collateral may occur should the borrower of the securities fail financially.
Risks may also arise to the extent that the value of the securities loaned
increases above the value of the collateral received. JPMCB will indemnify the
Portfolio from any loss resulting from a borrower's failure to return a loaned
security when due.
D. SECURITY TRANSACTIONS AND INVESTMENT INCOME -- Investment transactions are
accounted for on the trade date (the date the order to buy or sell is executed).
Securities gains and losses are calculated on the identified cost basis.
Interest income is determined on the basis of coupon interest accrued using the
interest method adjusted for amortization of premiums and accretion of
discounts. Dividend income less foreign taxes withheld (if any) is recorded on
the ex-dividend date or when the Portfolio first learns of the dividend.
E. EXPENSES -- Expenses directly attributable to the Portfolio are charged to
the Portfolio; other expenses are allocated on another reasonable basis.
F. OTHER EXPENSES -- Other expenses in the Statement of Operations include fees
related to insurance, pricing and reporting services.
G. FEDERAL INCOME TAXES -- The Portfolio intends to continue to qualify as a
partnership and therefore net investment income and net realized gains are taxed
to the partners. Accordingly, no tax provisions are recorded by the Portfolio.
The investors in the Portfolio must take into account their proportionate share
of the Portfolio's income, gains, losses, deductions, credits and tax preference
items in computing their federal income tax liability, without regard to whether
they have received any cash distributions from the Portfolio. The Portfolio does
not intend to distribute to investors its net investment income or its net
realized gains, if any. It is intended that the Portfolio will be managed in
such a way that investors in the Portfolio will be able to satisfy the
requirements of subchapter M of the Internal Revenue Code to be taxed as
regulated investment companies.
3. FEES AND OTHER TRANSACTIONS WITH AFFILIATES
A. INVESTMENT ADVISORY FEE -- Pursuant to the Investment Advisory Agreement,
JPMIM acts as the investment advisor to the Portfolio. JPMIM is a wholly owned
subsidiary of J.P. Morgan Fleming Asset Management Holdings, Inc., which is a
wholly owned subsidiary of J.P. Morgan Chase & Co. The Advisor supervises the
investments of the Portfolio and for such services is paid a fee. The fee is
accrued daily and paid monthly at an annual rate equal to 0.40% of the
Portfolio's average daily net assets.
<Page>
The Portfolio may invest in one or more of the affiliated JPMorgan Money Market
Funds. The Advisor has agreed to waive and/or reimburse its advisory fee from
the Portfolio in an amount to offset any doubling up of investment advisory and
administration fees related to the Portfolio's investment in an affiliated money
market fund.
B. CUSTODIAN FEES -- JPMCB provides portfolio custody services for the
Portfolio. Compensation for such services is presented in the Statement of
Operations as custodian fees. The custodian fees may be reduced by credits
earned by the Portfolio, based on the uninvested cash balances held by the
custodian. Such earnings credits are presented separately in the Statement of
Operations.
C. ADMINISTRATION FEE -- Pursuant to an Administration Agreement, JPMCB (the
"Administrator"), provides certain administration services to the Portfolio. In
consideration of these services, the Administrator receives a fee computed daily
and paid monthly at an annual rate equal to 0.05% of the Portfolio's average
daily net assets.
BISYS Fund Services, L.P. ("BISYS") serves as the Portfolio's sub-administrator.
For its services as sub-administrator, BISYS receives a portion of the fees
payable to JPMCB as Administrator.
D. OTHER -- The Portfolio may purchase securities from an underwriting syndicate
in which the principal underwriter or members of the syndicate are affiliated
with the Advisor.
For the six months ended June 30, 2004, the Portfolio did not purchase any
securities from brokers/dealers affiliated with JPMCB.
The SEC has granted an exemptive order permitting the Portfolio 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 PURCHASES SALES
(EXCLUDING U.S. (EXCLUDING U.S. OF U.S. OF U.S.
GOVERNMENT) GOVERNMENT) GOVERNMENT GOVERNMENT
$ 168,042 $ 244,390 $ -- $ --
</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
AGGREGATE UNREALIZED UNREALIZED APPRECIATION
COST APPRECIATION DEPRECIATION (DEPRECIATION)
$ 906,293 $ 208,132 $ (18,345) $ 189,787
</Table>
<Page>
6. BANK BORROWINGS
Pursuant to a Line of Credit Agreement, dated April 17, 2003, the Portfolio may
borrow money for temporary or emergency purposes. The Portfolio has entered into
the agreement, enabling it to participate with other JPMorgan Funds in a line of
credit with JPMCB, as administrative agent, and with a syndicate of banks, which
permits borrowings up to $250 million, collectively. Interest is charged to the
Portfolio based on its borrowings at an annual rate equal to the sum of the
Federal Funds Rate plus 0.50%. This agreement expired on April 15, 2004 and has
been extended to April 14, 2005.
The Portfolio had no borrowings outstanding at June 30, 2004, nor at anytime
during the period then ended.
7. CONCENTRATIONS AND INDEMNIFICATIONS
In the normal course of business, the Portfolio enters into contracts that
contain a variety of representations which provide general indemnifications. The
Portfolio's maximum exposure under these arrangements is unknown, as this would
involve future claims that may be made against the Portfolio that have not yet
occurred. However, based on experience, the Portfolio can expect the risk of
loss to be remote.
8. CORPORATE EVENT
On May 25, 2004, J. P. Morgan Chase and Co. and Bank One Corp. announced that,
at separate meetings, their respective shareholders 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.
9. SUBSEQUENT EVENTS:
On August 19, 2004, the Board of Trustees approved management's proposal to
enter into an Administration Agreement with One Group Administrative Services,
Inc., an indirect wholly-owned subsidiary of JPMorgan Chase & Co.
The foregoing change in the service provider is expected to occur effective
February 19, 2005.
<Page>
SUPPLEMENTARY DATA (Unaudited)
<Table>
<Caption>
1/1/04 YEAR ENDED 11/1/01 YEAR ENDED
THROUGH ------------------ THROUGH -----------------------------
6/30/04 12/31/03 12/31/02 12/31/01* 10/31/01 10/31/00 10/31/99
RATIOS TO AVERAGE NET ASSETS:#
Net expenses 0.46% 0.46% 0.47% 0.46% 0.47% 0.47% 0.47%
Net investment income (loss) 1.53% 1.66% 1.64% 1.45% 1.43% 1.05% 1.20%
Expenses without reimbursements 0.46% 0.46% 0.47% 0.46% 0.48% 0.47% 0.47%
Net investment income (loss)
without reimbursements 1.53% 1.66% 1.64% 1.45% 1.42% 1.05% 1.20%
PORTFOLIO TURNOVER RATE(a) 15% 37% 70% 0% 12% 30% 125%
- ---------------------------------------------------------------------------------------------------------------
TOTAL RETURN(a) 3.9% 27.5% (15.9)% 7.1% (18.7)% 9.1% 14.1%
- ---------------------------------------------------------------------------------------------------------------
</Table>
* The Portfolio changed its fiscal year end from October 31 to December 31.
# Short periods have been annualized.
(a) Not annualized for periods less than one year.
SEE NOTES TO FINANCIAL STATEMENTS.
<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>
THIS PAGE IS INTENTIONALLY LEFT BLANK
<Page>
[JPMORGAN FLEMING LOGO]
Asset Management
JPMorgan Funds are distributed by J.P. Morgan Fund Distributors, Inc., which is
unaffiliated with The JPMorgan Chase Bank. JPMorgan Chase and its respective
affiliates receive compensation from JPMorgan Funds for providing services to
the Funds.
This report is submitted for the general information of the shareholders of the
Funds. It is not authorized for distribution to prospective investors in the
Funds unless preceded or accompanied by a prospectus.
The financial information in this report has been taken from the books and
records of the Fund without examination by independent auditors, who express no
opinion thereon.
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.
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.
<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.
THE COMMITTEE SHALL REVIEW NOMINEES RECOMMENDED TO THE BOARD BY SHAREHOLDERS AND
SHALL EVALUATE SUCH NOMINEES IN THE SAME MANNER AS IT EVALUATES NOMINEES
IDENTIFIED BY THE COMMITTEE.
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 Mutual Fund Group
----------------------------------------------------------------
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