<Page> ----------------------------- OMB APPROVAL ----------------------------- OMB Number: 3235-0570 Expires: November 30, 2005 Estimated average burden hours per response....... 5.0 ----------------------------- UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM N-CSR CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES Investment Company Act file number 811-05151 --------------------------------------------- J.P. Morgan Mutual Fund Group - ------------------------------------------------------------------------------- (Exact name of registrant as specified in charter) 522 Fifth Avenue, New York, NY 10036 - ------------------------------------------------------------------------------- (Address of principal executive offices) (Zip code) BISYS Fund Services, 3435 Stelzer Road, Columbus, OH 43219 - ------------------------------------------------------------------------------- (Name and address of agent for service) Registrant's telephone number, including area code: 1-800-348-4782 ---------------------------- Date of fiscal year end: December 31, 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. 84 <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. 89 <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> 91 <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. 92 <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