<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 811-07843
---------------------------------------------
J.P. Morgan Mutual Fund Select 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: October 31, 2004
--------------------------------------------------------
Date of reporting period: November 1, 2003 through October 31, 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
ANNUAL REPORT OCTOBER 31 2004
INTERNATIONAL EQUITY FUNDS
FLEMING INTREPID EUROPEAN FUND
FLEMING JAPAN FUND
FLEMING INTERNATIONAL GROWTH FUND
FLEMING INTERNATIONAL VALUE FUND
FLEMING INTERNATIONAL OPPORTUNITIES FUND
FLEMING EMERGING MARKETS EQUITY FUND
FLEMING ASIA EQUITY FUND
FLEMING INTERNATIONAL EQUITY FUND
[JPMORGAN FLEMING ASSET MANAGEMENT LOGO]
<Page>
[JPMORGAN FLEMING ASSET MANAGEMENT LOGO]
JPMORGAN FLEMING ASSET MANAGEMENT is a premier global wealth manager that has
been working with affluent investors for over a hundred years. This experience
provides us with a keen understanding of the unique needs of the affluent
investor's portfolio. The legacy of our experience, coupled with our GLOBAL
INTELLECTUAL CAPITAL, is the foundation from which our investment products have
been built. We have a worldwide investment presence. This local insight provides
us with a global view of every investment decision we make which we believe is
crucial in light of the ever-increasing rise of globalization in our
marketplace. JPMorgan Fleming Asset Management is an EXPERIENCED PARTNER
dedicated to working with your financial professional to help provide you with a
broad array of WEALTH SOLUTIONS.
CONTENTS
<Table>
President's Letter 1
Fund Commentaries:
Fleming Intrepid European Fund 3
Fleming Japan Fund 6
Fleming International Growth Fund 9
Fleming International Value Fund 12
Fleming International Opportunities Fund 15
Fleming Emerging Markets Equity Fund 18
Fleming Asia Equity Fund 21
Fleming International Equity Fund 24
Portfolio of Investments 27
Financial Statements 50
Notes to Financial Statements 62
Financial Highlights 88
</Table>
HIGHLIGHTS
- - Corporate earnings growth drives market rally
- - Weak dollar boosts returns
- - Wide diversity of market returns
- - Low inflation underpins our optimism
Investments in a Fund are not bank deposits or obligations of, or guaranteed or
endorsed by, any bank and are not insured or guaranteed by the FDIC, the Federal
Reserve Board or any other government agency. You could lose money if you sell
when the Fund's share price is lower than when you invested.
Past performance is no guarantee for future performance. The general market
views expressed in this report are opinions based on current market conditions
and are subject to change without notice. These views are not intended to
predict the future performance of a Fund or the securities markets. References
to specific securities and their issuers are for illustrative purposes only and
are not intended to be, and should not be interpreted as, recommendations to
purchase or sell such securities. Such views are not meant as investment advice
and may not be relied on as an indication of trading intent on behalf of any
Fund.
Prospective investors should refer to the Fund's prospectus for a discussion of
the Fund's investment objective, strategies and risks. Call JPMorgan Funds
Service Center at (800) 348-4782 for a prospectus containing more complete
information about a Fund including management fees and other expenses. Please
read it carefully before investing.
JPMorgan Funds are distributed by J.P. Morgan Fund Distributors, Inc.
<Page>
JPMORGAN INTERNATIONAL EQUITY FUNDS
PRESIDENT'S LETTER DECEMBER 6, 2004
[PHOTO OF GEORGE C.W. GATCH]
"WITHIN THIS BROAD PICTURE, THERE WAS A WIDE DIVERGENCE BETWEEN MARKET
PERFORMANCES."
DEAR SHAREHOLDER:
We are pleased to present this annual report for the JPMorgan Fleming
International Equity Funds. Inside, you'll find information detailing the
performance of the Funds for the year ended October 31, 2004, along with reports
from the Portfolio Managers.
INTERNATIONAL EQUITIES STAGE STELLAR RALLY
International equity markets rallied substantially in the period. As economic
growth picked up, companies from across the globe reported higher earnings,
lifting equity prices. For many companies, higher sales fed straight through to
bottom-line profits, following cost reduction restructurings carried out over
the past few years. For U.S. investors, dollar weakness magnified these returns.
In all, the MSCI EAFE Index, which represents a broad spread of European and
Asian markets, rose 18.84% in U.S. dollars.
But the rally was far from linear. By the second quarter, rising U.S. interest
rates, geopolitical uncertainty and surging oil prices raised fears that growth
would be choked off. It soon became evident that the United States was indeed
experiencing a "soft patch" in economic activity. Additionally, growth in Japan
and Continental Europe disappointed -- particularly as domestic demand failed to
pick up to the degree many had hoped for. This caused some setbacks in equity
prices during the mid to late summer.
DEFENSIVE MARKETS FAVORED
Within this broad picture, there was a wide divergence between market
performances. Generally speaking, the markets with least sensitivity to world
trade activity did best, escaping the worst of the gyrations in sentiment. In
emerging markets, Brazil and Russia were two of the leading markets, supported
respectively by improving government finances and the positive impact of
expensive energy on an oil-exporting economy. As a region with comparatively
little exposure to global demand, Continental Europe also did well. But Asian
markets were among the worst performers, with both Japan and Southeast Asia
rocked by slowing of export demand.
OUTLOOK
We believe the U.S economy is beginning to emerge from its mid-summer period of
weakness, and that the global economy is moving towards a broadly based
expansion. Even if economic growth does not accelerate strongly, we are
optimistic that the expansion is sustainable, and that stocks are likely to
outperform bonds in the period ahead. One reason for our optimism is that
inflation remains under control, which gives long-term interest rates the
ability to come down further if the global economy weakens slightly, providing
additional support to economic activity and equity prices.
<Page>
IMPORTANT FUND FAMILY UPDATE
Shareholders of JPMorgan Funds and One Group Funds have received a variety of
documents, some regarding the proposed integration of the two fund complexes.
The integration generally will be effective on February 18, 2005; however, some
of the changes will require shareholder approval at meetings on January 20,
2005, before they can be implemented. As a shareholder, your input in these
decisions is important, so we would greatly appreciate your response.
As always, we 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 FLEMING INTREPID EUROPEAN FUND
AS OF OCTOBER 31, 2004 (Unaudited)
FUND FACTS
Fund Inception 11/2/95
Fiscal Year End OCTOBER 31
Net Assets as of 10/31/2004
(In Millions) $109.1
Primary Benchmark MSCI EUROPE INDEX
Q: HOW DID THE FUND PERFORM?
A: JPMorgan Fleming Intrepid European Fund, which seeks total return from
long-term capital growth, underperformed its benchmark with a total return of
16.9% (A shares, no sales charge) for the year ended October 31, 2004. This
compares to a total return of 21.9% for the MSCI Europe Index.
Q: WHY DID THE FUND PERFORM THIS WAY?
A: At the beginning of the review period, especially during January and February
2004, returns were boosted by the Fund's exposure to cheaper Cyclical stocks,
such as those in the Construction, Transport and Retail sectors, which were
benefiting from expectations for a pick up in European economic growth.
However, the Fund struggled between March and July 2004, as renewed
geopolitical tensions, rising oil prices and concerns over U.S. interest
rates caused a rotation into defensive stocks, such as large-cap
pharmaceuticals, where we see little long-term value. At the same time
investors sold momentum stocks, notably in the small and mid-cap areas of the
market, where the Fund was overweight. The Fund's slight underperformance
over the period as a whole can be largely attributed to this period.
Relative Fund performance was stronger during the third quarter, thanks
largely to our overweight position in commodity-related stocks, such as
Mining and Oil companies. Exposure to selected stocks in the Electricity and
Utilities sectors also boosted returns.
Some of the Fund's gains of the third quarter were reversed during October as
the market became concerned that prices may have run ahead of fundamentals.
Such fears caused profit taking in some of the commodity sectors that the
fund had benefited from earlier in the year.
Q: HOW WAS THE FUND MANAGED?
A: The Fund's performance during the review period was again driven by our
bottom-up investment approach, which focuses on stocks with the best value
and growth (momentum) characteristics.
3
<Page>
[CHART]
PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS
<Table>
United Kingdom 21.8%
France 15.8%
Germany 11.1%
The Netherlands 7.5%
Italy 6.0%
Sweden 5.7%
Belgium 5.5%
Switzerland 5.4%
Greece 4.6%
Spain 4.1%
Ireland 3.6%
Norway 3.1%
Denmark 2.3%
Austria 1.8%
Finland 1.0%
Luxembourg 0.7%
</Table>
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO
<Table>
1. Suez SA (France) 2.4%
2. Deutsche Postbank AG (Germany) 2.3%
3. Belgacom SA (Belgium) 2.3%
4. France Telecom SA (France) 2.1%
5. BNP Paribas (France) 2.1%
6. Akzo Nobel NV (The Netherlands) 2.0%
7. Depfa Bank PLC (Ireland) 2.0%
8. Novartis AG (Switzerland) 2.0%
9. Telecom Italia SpA (Italy) 2.0%
10. Telefonica SA (Spain) 2.0%
</Table>
Top 10 equity holdings comprised 21.2% of the Portfolio's market value of
investments ($22,907,747). As of October 31, 2004, the Fund held 111 equity
holdings. Portfolio holdings are subject to change at any time.
4
<Page>
ANNUAL REPORT OCTOBER 31 2004
(Unaudited)
AVERAGE ANNUAL TOTAL RETURNS AS OF OCTOBER 31, 2004
<Table>
<Caption>
SINCE
INCEPTION
1 YEAR 3 YEARS 5 YEARS (11/2/95)
---------------------------------------
CLASS A SHARES
Without Sales Charge 16.94% 15.46% 6.42% 12.56%
With Sales Charge* 10.24% 13.21% 5.16% 11.89%
---------------------------------------
CLASS B SHARES
Without CDSC 16.36% 14.69% 5.71% 11.85%
With CDSC** 11.36% 13.93% 5.39% 11.85%
---------------------------------------
CLASS C SHARES
Without CDSC 16.38% 14.69% 5.68% 11.77%
With CDSC*** 15.38% 14.69% 5.68% 11.77%
---------------------------------------
INSTITUTIONAL SHARES 17.83% 16.22% 6.89% 12.84%
---------------------------------------
SELECT SHARES 17.43% 15.74% 6.59% 12.66%
</Table>
* Sales Charge for Class A Shares is 5.75%.
** Assumes 5% CDSC (contingent deferred sales charge) for the one year period,
3% CDSC for the three year period, 2% CDSC for the five year period and 0%
for the period since inception.
*** Assumes a 1% CDSC for the one year period and 0% CDSC thereafter.
[CHART]
LIFE OF FUND PERFORMANCE (11/02/95 TO 10/31/04)
<Table>
<Caption>
JPMORGAN FLEMING INTREPID
EUROPEAN FUND (CLASS A SHARES) MSCI EUROPE INDEX LIPPER EUROPEAN FUNDS INDEX
Nov-1995 $ 9,425 $ 10,000 $ 10,000
Nov-1995 $ 9,444 $ 10,000 $ 10,000
Dec-1995 $ 9,598 $ 10,317 $ 10,210
Jan-1996 $ 9,664 $ 10,384 $ 10,287
Feb-1996 $ 10,013 $ 10,573 $ 10,633
Mar-1996 $ 10,333 $ 10,700 $ 10,887
Apr-1996 $ 10,532 $ 10,777 $ 11,097
May-1996 $ 10,701 $ 10,860 $ 11,378
Jun-1996 $ 11,099 $ 10,979 $ 11,483
Jul-1996 $ 10,720 $ 10,842 $ 11,175
Aug-1996 $ 10,966 $ 11,164 $ 11,540
Sep-1996 $ 11,223 $ 11,399 $ 11,686
Oct-1996 $ 11,385 $ 11,663 $ 11,930
Nov-1996 $ 11,936 $ 12,254 $ 12,433
Dec-1996 $ 12,296 $ 12,492 $ 12,711
Jan-1997 $ 12,451 $ 12,526 $ 12,843
Feb-1997 $ 12,730 $ 12,691 $ 13,036
Mar-1997 $ 12,988 $ 13,101 $ 13,341
Apr-1997 $ 12,905 $ 13,036 $ 13,172
May-1997 $ 13,060 $ 13,592 $ 13,693
Jun-1997 $ 13,836 $ 14,272 $ 14,338
Jul-1997 $ 14,363 $ 14,941 $ 14,758
Aug-1997 $ 13,732 $ 14,088 $ 14,035
Sep-1997 $ 14,788 $ 15,455 $ 15,298
Oct-1997 $ 14,592 $ 14,694 $ 14,659
Nov-1997 $ 14,541 $ 14,921 $ 14,769
Dec-1997 $ 14,924 $ 15,465 $ 15,113
Jan-1998 $ 15,760 $ 16,108 $ 15,676
Feb-1998 $ 17,182 $ 17,368 $ 16,968
Mar-1998 $ 18,580 $ 18,605 $ 18,253
Apr-1998 $ 19,142 $ 18,966 $ 18,672
May-1998 $ 19,643 $ 19,351 $ 19,141
Jun-1998 $ 19,824 $ 19,564 $ 19,197
Jul-1998 $ 20,603 $ 19,951 $ 19,563
Aug-1998 $ 17,179 $ 17,441 $ 16,738
Sep-1998 $ 16,461 $ 16,743 $ 15,801
Oct-1998 $ 17,323 $ 18,083 $ 16,906
Nov-1998 $ 18,257 $ 19,045 $ 17,869
Dec-1998 $ 19,128 $ 19,877 $ 18,702
Jan-1999 $ 20,145 $ 19,750 $ 19,035
Feb-1999 $ 18,981 $ 19,248 $ 18,479
Mar-1999 $ 18,945 $ 19,458 $ 18,531
Apr-1999 $ 19,587 $ 20,038 $ 19,061
May-1999 $ 18,569 $ 19,076 $ 18,369
Jun-1999 $ 18,932 $ 19,399 $ 18,835
Jul-1999 $ 19,271 $ 19,579 $ 19,152
Aug-1999 $ 19,478 $ 19,779 $ 19,307
Sep-1999 $ 19,515 $ 19,626 $ 19,096
Oct-1999 $ 20,024 $ 20,349 $ 19,744
Nov-1999 $ 22,727 $ 20,898 $ 21,116
Dec-1999 $ 26,025 $ 23,040 $ 23,844
Jan-2000 $ 25,715 $ 21,400 $ 23,076
Feb-2000 $ 28,207 $ 22,515 $ 26,256
Mar-2000 $ 27,615 $ 23,057 $ 26,275
Apr-2000 $ 25,999 $ 22,040 $ 24,851
May-2000 $ 25,050 $ 21,860 $ 24,349
Jun-2000 $ 25,396 $ 22,330 $ 24,926
Jul-2000 $ 24,865 $ 21,972 $ 24,734
Aug-2000 $ 24,656 $ 21,713 $ 24,828
Sep-2000 $ 23,423 $ 20,697 $ 23,547
Oct-2000 $ 22,053 $ 20,540 $ 22,831
Nov-2000 $ 20,869 $ 19,745 $ 21,609
Dec-2000 $ 22,194 $ 21,105 $ 23,232
Jan-2001 $ 22,125 $ 21,116 $ 23,163
Feb-2001 $ 20,893 $ 19,262 $ 21,210
Mar-2001 $ 18,906 $ 17,825 $ 19,348
Apr-2001 $ 19,838 $ 19,092 $ 20,629
May-2001 $ 19,413 $ 18,160 $ 19,834
Jun-2001 $ 18,454 $ 17,474 $ 19,027
Jul-2001 $ 18,139 $ 17,518 $ 18,835
Aug-2001 $ 18,632 $ 17,062 $ 18,351
Sep-2001 $ 17,181 $ 15,359 $ 16,292
Oct-2001 $ 17,756 $ 15,848 $ 16,862
Nov-2001 $ 19,386 $ 16,483 $ 17,592
Dec-2001 $ 19,454 $ 16,905 $ 17,967
Jan-2002 $ 18,838 $ 16,021 $ 17,180
Feb-2002 $ 19,331 $ 16,018 $ 17,192
Mar-2002 $ 20,249 $ 16,886 $ 18,052
Apr-2002 $ 20,824 $ 16,758 $ 18,003
May-2002 $ 21,399 $ 16,706 $ 18,014
Jun-2002 $ 21,070 $ 16,126 $ 17,531
Jul-2002 $ 19,713 $ 14,331 $ 15,699
Aug-2002 $ 19,315 $ 14,328 $ 15,594
Sep-2002 $ 17,918 $ 12,443 $ 13,662
Oct-2002 $ 18,125 $ 13,646 $ 14,708
Nov-2002 $ 19,481 $ 14,316 $ 15,404
Dec-2002 $ 17,976 $ 13,796 $ 14,835
Jan-2003 $ 17,576 $ 13,144 $ 14,187
Feb-2003 $ 17,121 $ 12,715 $ 13,645
Mar-2003 $ 17,288 $ 12,526 $ 13,479
Apr-2003 $ 18,986 $ 14,216 $ 15,173
May-2003 $ 20,392 $ 15,138 $ 16,290
Jun-2003 $ 20,282 $ 15,284 $ 16,420
Jul-2003 $ 21,110 $ 15,594 $ 16,734
Aug-2003 $ 21,469 $ 15,564 $ 16,861
Sep-2003 $ 22,020 $ 15,880 $ 17,237
Oct-2003 $ 23,372 $ 16,942 $ 18,326
Nov-2003 $ 24,338 $ 17,664 $ 19,133
Dec-2003 $ 26,007 $ 19,114 $ 20,491
Jan-2004 $ 27,001 $ 19,338 $ 21,089
Feb-2004 $ 27,511 $ 19,905 $ 21,745
Mar-2004 $ 26,202 $ 19,284 $ 21,045
Apr-2004 $ 25,209 $ 19,124 $ 20,708
May-2004 $ 25,443 $ 19,433 $ 20,924
Jun-2004 $ 26,216 $ 19,694 $ 21,327
Jul-2004 $ 25,514 $ 19,152 $ 20,581
Aug-2004 $ 25,624 $ 19,164 $ 20,637
Sep-2004 $ 26,810 $ 19,932 $ 21,543
Oct-2004 $ 27,328 $ 20,652 $ 22,305
</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 11/2/95.
Returns for the Institutional and Select Shares prior to 9/10/01 (offering date
of the Institutional and Select Shares) are calculated using the historical
expenses of the Class A Shares, which are higher than the expenses of the
Institutional and Select Shares.
Returns for the Class B Shares prior to 11/3/95 (offering date of the Class B
Shares) are calculated using the historical expenses of the Class A Shares,
which are lower than the expenses of the Class B Shares.
Returns for the Class C Shares prior to 11/1/98 (offering date of the Class C
Shares) are calculated using the historical expenses of the Class A Shares,
which are lower than the expenses of the Class C Shares.
The graph illustrates comparative performance for $10,000 invested in Class A
Shares of the JPMorgan Fleming Intrepid European Fund, MSCI Europe Index, and
The Lipper European Funds Index from November 2, 1995 to October 31, 2004. The
performance of the Fund assumes reinvestment of all dividends and capital gains
and includes a sales charge. The performance of the indices reflects an initial
investment at the end of the month following the Fund's inception. The
performance of the indices does not include a sales charge and has been adjusted
to reflect reinvestment of all dividends and capital gains of the securities
included in the benchmark. The MSCI Europe Index is a replica (or model) of the
performance of the European markets. The Lipper European Funds Index represents
the total returns of the funds in the indicated category, as defined by Lipper,
Inc. Investors cannot invest directly in an index.
Class A Shares have a $2,500 minimum initial deposit and carry a 5.75% sales
charge.
Certain fees and expenses of the Fund are currently being waived and reimbursed
as described in the prospectus. Had the expenses not been subsidized or waived,
returns would have been lower. Also, all performance shown in this section does
not reflect the deduction of taxes that a shareholder would pay on fund
distributions or redemption of fund shares.
5
<Page>
JPMORGAN FLEMING JAPAN FUND
AS OF OCTOBER 31, 2004 (Unaudited)
FUND FACTS
Fund Inception 11/2/95
Fiscal Year End OCTOBER 31
Net Assets as of 10/31/2004
(In Millions) $48.1
Primary Benchmark MSCI JAPAN INDEX
Q: HOW DID THE FUND PERFORM?
A: JPMorgan Fleming Japan Fund, which seeks total return from long-term capital
growth, rose 5.1% (A shares, no sales charge) in the year ended October 31,
2004. This compares with a rise of 9.0% in the MSCI Japan Index (in U.S.
dollars).
Q: WHY DID THE FUND PERFORM THIS WAY?
A: The portfolio generated a significant positive return during the period,
although it trailed its MSCI Japan Index benchmark. Being overweight the
capital goods sector during the summer correction in the equity market caused
much of the shortfall against the Index. To an extent, this was offset by
successful stock selection among small capitalization stocks.
Japan's capital goods stocks rallied substantially in the first six months of
the period. But many lost value in the second half, when attempts to curb
Chinese demand, rising U.S. interest rates and high oil prices caused some
investors to question the durability of Japan's recovery. Shortly before the
correction, the portfolio raised its position to overweight in capital goods,
buying companies such as Nippon Metal.
The portfolio also suffered from having underweight holdings in bank stocks,
such as UFJ Holdings and Mitsubishi Tokyo Financial Group. Banks had an
astonishing rally during the period, in response to an economic recovery that
would reduce bad debt provisions, so improving their financial strength and
profitability.
Another detractor from relative performance was Toyota Motor Company. While
we were positive about the stock's prospects, we were underweight the
benchmark. Toyota's shares rallied as it reported a more than 50% increase in
profits for the 2003 fiscal year, with sales increases across all major
markets.
Stock selection among the small house building companies added to
performance. Many of these companies practice efficient building techniques,
helping them to generate strong profit growth. Additionally, there is
increasing optimism that deflation in Japanese asset prices may be coming to
an end. Both of these factors are pushing stock prices up from low
valuations.
An overweight allocation to small companies as a whole benefited the
portfolio. One stock that performed well was VT Holdings, a used car dealer
that exports to Southeast Asia.
Q: HOW WAS THE FUND MANAGED?
A: In line with the Fund's strategy of investing in growth-oriented stocks, we
increased the allocation to small company stocks at the beginning of the
period. At the time, many of these stocks offered far better earnings growth
than larger companies, yet traded on significantly lower valuations. As 2004
progressed, these stocks rallied and their valuations increased.
Consequently, we sold a number of these holdings later in the period.
6
<Page>
ANNUAL REPORT OCTOBER 31 2004
(Unaudited)
[CHART]
PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS
<Table>
Consumer Goods & Services 33.1%
Industrial Products & Services 23.1%
Technology 15.9%
Finance & Insurance 14.9%
Telecommunications 8.0%
REITs 2.5%
Technology 1.5%
Health Services & Systems 1.0%
</Table>
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO
<Table>
1. Toyota Motor Corp. (Japan) 4.5%
2. Nissan Motor Co., LTD (Japan) 2.9%
3. Mizuho Financial Group, Inc. (Japan) 2.6%
4. NTT DoCoMo, Inc. (Japan) 2.6%
5. Canon, Inc. (Japan) 2.5%
6. KDDI Corp. (Japan) 2.5%
7. Honda Motor Co., LTD (Japan) 2.0%
8. Mitsubishi Tokyo Financial Group,
Inc. (Japan) 1.9%
9. Sony Corp. (Japan) 1.8%
10. Mitsui O.S.K Lines LTD (Japan) 1.7%
</Table>
Top 10 equity holdings comprised 25.0% of the Portfolio's market value of
investments ($11,776,088). As of October 31, 2004, the Fund held 116 equity
holdings Portfolio holdings are subject to change at any time.
7
<Page>
AVERAGE ANNUAL TOTAL RETURNS AS OF OCTOBER 31, 2004
<Table>
<Caption>
SINCE
INCEPTION
1 YEAR 3 YEARS 5 YEARS (11/2/95)
---------------------------------------
CLASS A SHARES
Without Sales Charge 5.09% 9.89% (6.53%) (3.03%)
With Sales Charge* (0.99%) 7.76% (7.63%) (3.66%)
---------------------------------------
CLASS B SHARES
Without CDSC 4.40% 8.98% (7.20%) (3.64%)
With CDSC** (0.60%) 8.13% (7.58%) (3.64%)
</Table>
* Sales Charge for Class A Shares is 5.75%.
** Assumes 5% CDSC (contingent deferred sales charge) for the one year period,
3% CDSC for the three year period, 2% CDSC for the five year period and 0%
CDSC for the period since inception.
[CHART]
LIFE OF FUND PERFORMANCE (11/02/95 TO 10/31/04)
<Table>
<Caption>
JPMORGAN FLEMING TOKYO STOCK EXCHANGE LIPPER JAPAN
JAPAN FUND (CLASS A SHARES) MSCI JAPAN INDEX (TOPIX) 1ST SECTION INDEX FUNDS AVERAGE
Nov-1995 $ 9,425 $ 10,000 $ 10,000 $ 10,000
Nov-1995 $ 9,425 $ 10,000 $ 10,000 $ 10,000
Dec-1995 $ 9,679 $ 10,511 $ 10,479 $ 10,444
Jan-1996 $ 9,802 $ 10,373 $ 10,338 $ 10,459
Feb-1996 $ 9,604 $ 10,189 $ 10,168 $ 10,243
Mar-1996 $ 10,038 $ 10,548 $ 10,544 $ 10,618
Apr-1996 $ 10,518 $ 11,149 $ 11,246 $ 11,294
May-1996 $ 10,057 $ 10,574 $ 10,697 $ 10,888
Jun-1996 $ 10,179 $ 10,630 $ 10,744 $ 11,064
Jul-1996 $ 9,699 $ 10,154 $ 10,216 $ 10,513
Aug-1996 $ 9,190 $ 9,700 $ 9,782 $ 10,118
Sep-1996 $ 9,473 $ 10,036 $ 10,086 $ 10,365
Oct-1996 $ 8,879 $ 9,363 $ 9,409 $ 9,758
Nov-1996 $ 8,973 $ 9,541 $ 9,479 $ 9,809
Dec-1996 $ 8,605 $ 8,882 $ 8,749 $ 9,288
Jan-1997 $ 8,470 $ 7,916 $ 7,806 $ 8,741
Feb-1997 $ 8,768 $ 8,101 $ 7,957 $ 8,897
Mar-1997 $ 8,633 $ 7,834 $ 7,696 $ 8,710
Apr-1997 $ 8,951 $ 8,119 $ 7,880 $ 9,034
May-1997 $ 9,779 $ 9,015 $ 8,853 $ 10,155
Jun-1997 $ 10,260 $ 9,688 $ 9,423 $ 10,628
Jul-1997 $ 10,789 $ 9,393 $ 9,050 $ 10,756
Aug-1997 $ 9,573 $ 8,579 $ 8,239 $ 9,604
Sep-1997 $ 9,718 $ 8,449 $ 8,006 $ 9,487
Oct-1997 $ 9,187 $ 7,662 $ 7,392 $ 8,801
Nov-1997 $ 9,033 $ 7,191 $ 6,831 $ 8,371
Dec-1997 $ 8,745 $ 6,780 $ 6,293 $ 7,903
Jan-1998 $ 8,643 $ 7,385 $ 6,961 $ 8,537
Feb-1998 $ 8,368 $ 7,423 $ 7,016 $ 8,483
Mar-1998 $ 8,205 $ 6,918 $ 6,572 $ 8,108
Apr-1998 $ 8,094 $ 6,891 $ 6,481 $ 8,150
May-1998 $ 8,185 $ 6,512 $ 6,172 $ 7,987
Jun-1998 $ 8,114 $ 6,603 $ 6,209 $ 7,989
Jul-1998 $ 8,022 $ 6,516 $ 6,122 $ 8,130
Aug-1998 $ 7,279 $ 5,773 $ 5,489 $ 7,444
Sep-1998 $ 7,086 $ 5,615 $ 5,390 $ 7,188
Oct-1998 $ 6,526 $ 6,557 $ 6,248 $ 7,630
Nov-1998 $ 6,821 $ 6,857 $ 6,541 $ 8,208
Dec-1998 $ 7,025 $ 7,122 $ 6,777 $ 8,441
Jan-1999 $ 6,913 $ 7,174 $ 6,807 $ 8,515
Feb-1999 $ 6,689 $ 7,017 $ 6,641 $ 8,466
Mar-1999 $ 7,616 $ 7,990 $ 7,562 $ 9,628
Apr-1999 $ 7,921 $ 8,323 $ 7,917 $ 10,139
May-1999 $ 7,575 $ 7,854 $ 7,527 $ 9,822
Jun-1999 $ 8,206 $ 8,598 $ 8,270 $ 11,312
Jul-1999 $ 8,929 $ 9,456 $ 9,108 $ 12,515
Aug-1999 $ 9,132 $ 9,389 $ 9,393 $ 13,135
Sep-1999 $ 9,631 $ 9,959 $ 10,030 $ 13,904
Oct-1999 $ 10,018 $ 10,387 $ 10,621 $ 14,428
Nov-1999 $ 10,537 $ 10,832 $ 11,386 $ 15,707
Dec-1999 $ 11,260 $ 11,505 $ 11,928 $ 16,927
Jan-2000 $ 10,476 $ 11,007 $ 11,311 $ 16,159
Feb-2000 $ 10,394 $ 10,722 $ 11,094 $ 16,440
Mar-2000 $ 10,934 $ 11,606 $ 11,830 $ 17,476
Apr-2000 $ 10,089 $ 10,733 $ 10,852 $ 15,870
May-2000 $ 9,193 $ 10,187 $ 10,060 $ 14,743
Jun-2000 $ 9,682 $ 10,887 $ 10,704 $ 15,759
Jul-2000 $ 8,460 $ 9,633 $ 9,436 $ 13,853
Aug-2000 $ 9,152 $ 10,256 $ 10,086 $ 14,955
Sep-2000 $ 8,979 $ 9,746 $ 9,711 $ 14,143
Oct-2000 $ 8,266 $ 9,181 $ 9,017 $ 13,007
Nov-2000 $ 8,083 $ 8,800 $ 8,777 $ 12,472
Dec-2000 $ 7,442 $ 8,265 $ 8,022 $ 11,421
Jan-2001 $ 7,422 $ 8,167 $ 7,980 $ 11,327
Feb-2001 $ 6,800 $ 7,799 $ 7,556 $ 10,527
Mar-2001 $ 6,739 $ 7,567 $ 7,306 $ 10,401
Apr-2001 $ 7,146 $ 8,081 $ 7,929 $ 11,259
May-2001 $ 7,238 $ 8,062 $ 7,908 $ 11,088
Jun-2001 $ 6,759 $ 7,581 $ 7,481 $ 10,532
Jul-2001 $ 6,240 $ 7,017 $ 6,835 $ 9,619
Aug-2001 $ 5,976 $ 6,841 $ 6,652 $ 9,159
Sep-2001 $ 5,375 $ 6,202 $ 6,184 $ 8,296
Oct-2001 $ 5,385 $ 6,189 $ 6,229 $ 8,508
Nov-2001 $ 5,599 $ 6,257 $ 6,140 $ 8,545
Dec-2001 $ 5,253 $ 5,834 $ 5,668 $ 8,078
Jan-2002 $ 4,937 $ 5,377 $ 5,229 $ 7,482
Feb-2002 $ 5,212 $ 5,601 $ 5,454 $ 7,782
Mar-2002 $ 5,569 $ 5,922 $ 5,787 $ 8,344
Apr-2002 $ 5,752 $ 6,266 $ 6,096 $ 8,630
May-2002 $ 6,017 $ 6,657 $ 6,529 $ 9,118
Jun-2002 $ 5,701 $ 6,310 $ 6,186 $ 8,603
Jul-2002 $ 5,212 $ 5,871 $ 5,831 $ 8,018
Aug-2002 $ 5,080 $ 5,809 $ 5,749 $ 7,882
Sep-2002 $ 4,764 $ 5,549 $ 5,496 $ 7,478
Oct-2002 $ 4,510 $ 5,163 $ 5,113 $ 6,966
Nov-2002 $ 4,754 $ 5,372 $ 5,294 $ 7,221
Dec-2002 $ 4,622 $ 5,234 $ 5,165 $ 6,995
Jan-2003 $ 4,531 $ 5,022 $ 4,976 $ 6,730
Feb-2003 $ 4,541 $ 5,051 $ 5,035 $ 6,785
Mar-2003 $ 4,195 $ 4,822 $ 4,863 $ 6,457
Apr-2003 $ 4,225 $ 4,784 $ 4,888 $ 6,469
May-2003 $ 4,541 $ 5,016 $ 5,126 $ 6,802
Jun-2003 $ 5,091 $ 5,386 $ 5,509 $ 7,320
Jul-2003 $ 5,264 $ 5,605 $ 5,706 $ 7,654
Aug-2003 $ 5,865 $ 6,196 $ 6,289 $ 8,455
Sep-2003 $ 6,028 $ 6,563 $ 6,702 $ 8,916
Oct-2003 $ 6,802 $ 6,864 $ 6,974 $ 9,466
Nov-2003 $ 6,211 $ 6,651 $ 6,709 $ 9,070
Dec-2003 $ 6,689 $ 7,112 $ 7,160 $ 9,687
Jan-2004 $ 6,863 $ 7,241 $ 7,276 $ 9,785
Feb-2004 $ 6,679 $ 7,220 $ 7,286 $ 9,730
Mar-2004 $ 7,708 $ 8,190 $ 8,378 $ 11,042
Apr-2004 $ 7,566 $ 7,746 $ 7,946 $ 10,644
May-2004 $ 7,047 $ 7,474 $ 7,624 $ 10,253
Jun-2004 $ 7,688 $ 7,877 $ 8,064 $ 10,932
Jul-2004 $ 7,057 $ 7,410 $ 7,561 $ 10,080
Aug-2004 $ 7,169 $ 7,463 $ 7,615 $ 10,149
Sep-2004 $ 6,965 $ 7,288 $ 7,426 $ 9,853
Oct-2004 $ 7,147 $ 7,478 $ 7,591 $ 10,005
</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 11/2/95.
Returns for the Class B Shares prior to 11/3/95 (offering date of the Class B
Shares) are calculated using the historical expenses of the Class A Shares,
which are lower than the expenses of the Class B Shares.
The graph illustrates comparative performance for $10,000 invested in Class A
Shares of the JPMorgan Fleming Japan Fund, MSCI Japan Index, Tokyo Stock
Exchange (TOPIX) 1st Section Index and Lipper Japan Funds Average from November
2, 1995 to October 31, 2004. The performance of the Fund assumes reinvestment of
all dividends and capital gains and includes a sales charge. The performance of
the indices reflects an initial investment at the end of the month following the
Fund's inception. The performance of the indices does not include a sales charge
and has been adjusted to reflect reinvestment of all dividends and capital gains
of the securities included in the benchmark. The MSCI Japan Index is a replica
(or model) of the performance of the Japan Equity Markets. The Tokyo Stock
Exchange (TOPIX) 1st Section Index, also known as the Tokyo Price Index, is an
unmanaged capitalization-weighted index of all companies listed on the First
Section of the Tokyo Stock Exchange. The Lipper Japan Funds Average describes
the average total returns for all of the funds in the indicated category, as
defined by Lipper, Inc. Investors cannot invest directly in an index.
Class A Shares have a $2,500 minimum initial deposit and carry a 5.75% sales
charge.
Certain fees and expenses of the Fund are currently being waived and reimbursed
as described in the prospectus. Had the expenses not been subsidized or waived,
returns would have been lower. Also, all performance shown in this section does
not reflect the deduction of taxes that a shareholder would pay on fund
distributions or redemption of fund shares.
8
<Page>
JPMORGAN FLEMING INTERNATIONAL GROWTH FUND
AS OF OCTOBER 31, 2004 (Unaudited)
FUND FACTS
Fund Inception 12/29/00
Fiscal Year End OCTOBER 31
Net Assets as of 10/31/2004
(In Millions) $4.4
Primary Benchmark MSCI EAFE
GROWTH INDEX
Q: HOW DID THE FUND PERFORM?
A: JPMorgan Fleming International Growth Fund, which seeks total return from
long-term capital growth, rose 10.9% (A shares, no sales charge) over the
year ending October 31, 2004, compared with the 14.0% return of the MSCI EAFE
Growth Index over the same period.
Q: WHY DID THE FUND PERFORM THIS WAY?
A: The Fund generated substantial returns in the 12-month period, when strong
corporate earnings growth drove rallies in foreign equity markets. Worries
about how rising interest rates might impact growth caused stocks with
sensitivity to the economic cycle to underperform. As the Fund had a bias
towards these stocks, its performance trailed the MSCI EAFE Growth Index.
Against the Index, the Fund's greatest underperformance occurred in
Financials, where it owned banks with above-average capital markets exposure,
such as European investment bank UBS. After a very strong 2003, capital
markets activity was more subdued in 2004. Nikko Cordial, the Japanese
brokerage, was the biggest detractor from performance in the financials
sector, as competition in its markets increased and Citigroup sold down its
stake in the company. Deutsche Boerse, the German stock exchange company,
also trailed the sector.
Despite the Information Technology sector as a whole making a positive
contribution to performance, two particular Asian stocks with sensitivity to
global growth performed poorly. Samsung Electronics and Taiwan Semiconductor
Manufacturing (TSMC), among the most efficient semiconductor manufacturers
globally, both underperformed. The unsettled political environment in Taiwan
also impacted TSMC, which fell substantially.
From a positive perspective, stock picking added value in the Consumer
Staples and Healthcare sectors. Within Consumer Staples, Altadis, the Spanish
tobacco company, was the strongest contributor to performance due to ongoing
increases in profitability following restructuring. Tesco, the U.K. retailer,
also performed well as its successful retailing formula continued to drive
earnings growth both in the U.K. and overseas. Finally, Reckitt Benckiser,
the U.K. household goods company, delivered strong returns despite a profits
warning in the third quarter. In Healthcare, the best performing holding was
Aventis, the French pharmaceutical company which was taken over by rival
Sanofi-Synthelabo during the period.
Q: HOW WAS THE FUND MANAGED?
A: The Fund's exposure to cyclically sensitive and "growth" stocks was increased
to take advantage of how the valuation premium for growth has compressed as
the overall market has risen. During the past two years, value stocks have
significantly outperformed growth, and we believe growth stocks now are
poised to offer some of the most attractive opportunities we have seen for
some time.
9
<Page>
[CHART]
PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS
<Table>
United Kingdom 27.0%
Japan 21.8%
Switzerland 12.8%
Germany 7.7%
France 5.6%
Spain 5.5%
South Korea 3.9%
Hong Kong 2.2%
The Netherlands 2.2%
Australia 1.2%
Brazil 1.2%
China 1.1%
Finland 1.1%
Luxembourg 1.1%
Sweden 1.1%
Ireland 1.0%
Italy 1.0%
Mexico 0.9%
Belgium 0.8%
Taiwan 0.8%
</Table>
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO
<Table>
1. Vodafone Group PLC
(United Kingdom) 4.7%
2. GlaxoSmithKline PLC
(United Kingdom) 3.9%
3. Roche Holding AG
(Switzerland) 3.7%
4. Total SA (France) 3.2%
5. Telefonica SA (Spain) 2.9%
6. UBS AG (Switzerland) 2.8%
7. Novartis AG (Switzerland) 2.6%
8. Samsung (South Korea) 2.5%
9. Royal Bank of Scotland Group PLC
(United Kingdom) 2.4%
10. Canon, Inc. (Japan) 2.3%
</Table>
Top 10 equity holdings comprised 31.0% of the Portfolio's market value of
investments ($1,330,100). As of October 31, 2004, the Fund held 68 equity
holdings Portfolio holdings are subject to change at any time.
10
<Page>
ANNUAL REPORT OCTOBER 31 2004
(Unaudited)
AVERAGE ANNUAL TOTAL RETURNS AS OF OCTOBER 31, 2004
<Table>
<Caption>
SINCE
INCEPTION
1 YEAR 3 YEARS (12/29/00)
------------------------------
CLASS A SHARES
Without Sales Charge 10.93% 6.22% (3.66%)
With Sales Charge* 4.50% 4.15% (5.13%)
------------------------------
CLASS B SHARES
Without CDSC 10.39% 5.74% (4.15%)
With CDSC** 5.39% 4.84% (4.90%)
</Table>
* Sales Charge for Class A Shares is 5.75%.
** Assumes 5% CDSC (contingent deferred sales charge) for the one year period,
3% CDSC for the three year period, and 3% CDSC for the period since
inception.
[CHART]
LIFE OF FUND PERFORMANCE (12/29/00 TO 10/31/04)
<Table>
<Caption>
JPMORGAN FLEMING INTERNATIONAL
GROWTH FUND (CLASS A SHARES) MSCI EAFE GROWTH INDEX LIPPER INTERNATIONAL FUNDS INDEX
Dec-2000 $ 9,425 $ 10,000 $ 10,000
Dec-2000 $ 9,425 $ 10,000 $ 10,000
Jan-2001 $ 9,595 $ 9,972 $ 10,059
Feb-2001 $ 8,624 $ 8,960 $ 9,353
Mar-2001 $ 7,907 $ 8,340 $ 8,695
Apr-2001 $ 8,633 $ 8,911 $ 9,224
May-2001 $ 8,275 $ 8,552 $ 9,001
Jun-2001 $ 7,845 $ 8,136 $ 8,747
Jul-2001 $ 7,543 $ 7,939 $ 8,520
Aug-2001 $ 7,307 $ 7,577 $ 8,348
Sep-2001 $ 6,429 $ 6,860 $ 7,438
Oct-2001 $ 6,816 $ 7,133 $ 7,640
Nov-2001 $ 7,316 $ 7,500 $ 7,925
Dec-2001 $ 7,533 $ 7,543 $ 8,066
Jan-2002 $ 7,137 $ 7,136 $ 7,740
Feb-2002 $ 7,156 $ 7,233 $ 7,848
Mar-2002 $ 7,543 $ 7,508 $ 8,264
Apr-2002 $ 7,524 $ 7,548 $ 8,321
May-2002 $ 7,439 $ 7,563 $ 8,440
Jun-2002 $ 7,203 $ 7,368 $ 8,107
Jul-2002 $ 6,438 $ 6,583 $ 7,298
Aug-2002 $ 6,428 $ 6,532 $ 7,304
Sep-2002 $ 5,494 $ 5,964 $ 6,517
Oct-2002 $ 5,900 $ 6,301 $ 6,855
Nov-2002 $ 6,325 $ 6,486 $ 7,180
Dec-2002 $ 6,013 $ 6,335 $ 6,950
Jan-2003 $ 5,654 $ 6,022 $ 6,696
Feb-2003 $ 5,531 $ 5,892 $ 6,497
Mar-2003 $ 5,418 $ 5,830 $ 6,338
Apr-2003 $ 6,079 $ 6,335 $ 6,966
May-2003 $ 6,522 $ 6,662 $ 7,413
Jun-2003 $ 6,636 $ 6,778 $ 7,588
Jul-2003 $ 6,692 $ 6,867 $ 7,800
Aug-2003 $ 6,834 $ 6,993 $ 8,026
Sep-2003 $ 7,013 $ 7,229 $ 8,187
Oct-2003 $ 7,362 $ 7,645 $ 8,675
Nov-2003 $ 7,551 $ 7,824 $ 8,849
Dec-2003 $ 8,044 $ 8,362 $ 9,452
Jan-2004 $ 8,224 $ 8,525 $ 9,655
Feb-2004 $ 8,394 $ 8,687 $ 9,876
Mar-2004 $ 8,328 $ 8,694 $ 9,925
Apr-2004 $ 8,063 $ 8,478 $ 9,629
May-2004 $ 8,092 $ 8,461 $ 9,623
Jun-2004 $ 8,186 $ 8,569 $ 9,817
Jul-2004 $ 7,779 $ 8,221 $ 9,496
Aug-2004 $ 7,732 $ 8,230 $ 9,546
Sep-2004 $ 7,950 $ 8,433 $ 9,800
Oct-2004 $ 8,169 $ 8,715 $ 10,111
</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 12/29/00.
The graph illustrates comparative performance for $10,000 invested in Class A
Shares of the JPMorgan Fleming International Growth Fund, MSCI EAFE Growth Index
and Lipper International Funds Index from December 29, 2000 to October 31, 2004.
The performance of the Fund assumes reinvestment of all dividends and capital
gains and includes a sales charge. The performance of the indices reflects an
initial investment at the end of the month following the Fund's inception. The
performance of the indices does not include a sales charge and has been adjusted
to reflect reinvestment of all dividends and capital gains of the securities
included in the benchmark. The MSCI EAFE Growth Index is a market
capitalization-weighted index representing all 20 developed markets that make up
that index. The Lipper International Funds Index represents the total returns of
the funds in the indicated category, as defined by Lipper, Inc. Investors cannot
invest directly in an index.
Class A Shares have a $2,500 minimum initial deposit and carry a 5.75% sales
charge.
Certain fees and expenses of the Fund are currently being waived and reimbursed
as described in the prospectus. Had the expenses not been subsidized or waived,
returns would have been lower. Also, all performance shown in this section does
not reflect the deduction of taxes that a shareholder would pay on fund
distributions or redemption of fund shares.
11
<Page>
JPMORGAN FLEMING INTERNATIONAL VALUE FUND
AS OF OCTOBER 31, 2004 (Unaudited)
FUND FACTS
Fund Inception 11/4/93
Fiscal Year End OCTOBER 31
Net Assets as of 10/31/2004
(In Millions) $47.5
Primary Benchmark MSCI EAFE
VALUE INDEX
Q: HOW DID THE FUND PERFORM?
A: JPMorgan Fleming International Value Fund, which seeks to provide high total
return from a portfolio of foreign company equity securities, rose 24.9%
(Institutional Shares) in the year ended October 31, 2004. This compares with
a rally of 23.7% in the MSCI EAFE Value Index, the Fund's benchmark as of
March 2004.
Q: HOW DID THE FUND OUTPERFORM ITS BENCHMARK?
A: While economic recovery became increasingly established during the year, this
was a period in which value stocks outperformed growth, especially as
investors became nervous about the strength of economic growth later in the
year. The Fund led its benchmark due mainly to positive stock picking.
The Bank sector was an area in which stock picking was particularly strong.
In Japan, the Fund held Mizuho Financial and UFJ Holdings, two of the leading
banks, and Aiful, the consumer finance company. Economic recovery in Japan
had a particularly positive impact on bank stocks, many of which had a large
number of non-performing loans on their balance sheets. Additionally,
indications of takeover activity emerged in the sector. Another strong
performer in the Bank sector was HSBC Holdings, one of the largest global
bank stocks. HSBC continued to report strong corporate earnings growth, with
progress across a range of geographies, and a smooth integration of its
recently acquired Household International business in the United States.
There was also a positive performance from the Telecommunications sector,
where Telekom Indonesia, one of the country's largest companies and a
bellwether for the local market, was a strong performer. Local elections
resulted in the appointment of a pro-business government, which boosted the
stock price of Telekom Indonesia.
From a negative perspective, Healthcare was among the worst-performing
sectors. GlaxoSmithKline was a poor performer, as U.K. pharmaceutical stocks
broadly underperformed, with questions over their drug pipelines and
managements. Another holding that performed particularly poorly was Fujitsu,
the Japanese technology hardware company that suffered as demand for
semiconductors fell.
Q: HOW WAS THE FUND MANAGED?
A: As the year progressed, the Fund moved from being overweight financials, such
as retail banks to underweight. In part, this was a reflection of rising
interest rates in the United States and elsewhere. The Fund also moved to an
overweight position in industrial stocks. The Fund was overweight emerging
markets, where some of the most attractively valued stocks were found,
throughout the year.
12
<Page>
ANNUAL REPORT OCTOBER 31 2004
(Unaudited)
[CHART]
PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS
<Table>
United Kingdom 27.9%
Japan 22.8%
France 11.9%
Germany 8.1%
Switzerland 6.2%
The Netherlands 5.6%
Italy 2.9%
Sweden 2.5%
Spain 2.3%
Hong Kong 2.0%
South Korea 1.8%
India 1.7%
Indonesia 1.2%
Brazil 1.1%
Russia 1.0%
Singapore 0.7%
United States 0.3%
</Table>
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO
<Table>
1. HSBC Holdings PLC
(United Kingdom) 6.2%
2. BP PLC (United Kingdom) 3.7%
3. E. ON AG (Germany) 3.1%
4. HBOS PLC
(United Kingdom) 3.1%
5. ING Groep NV
(The Netherlands) 3.0%
6. Total SA (France) 2.9%
7. ENI-Ente Nazionale
Idrocarburi SPA (Italy) 2.9%
8. Royal Bank of Scotland Group PLC
(United Kingdom) 2.8%
9. Credit Agricole SA (France) 2.5%
10. BNP Paribas (France) 2.5%
</Table>
Top 10 equity holdings comprised 32.7% of the Portfolio's market value of
investments ($15,337,967). As of October 31, 2004, the Fund held 59 equity
holdings. Portfolio holdings are subject to change at any time.
13
<Page>
AVERAGE ANNUAL TOTAL RETURNS AS OF OCTOBER 31, 2004
<Table>
<Caption>
1 YEAR 3 YEARS 5 YEARS 10 YEARS
---------------------------------------
CLASS A SHARES
Without Sales Charge 24.18% 10.46% (1.37%) 3.25%
With Sales Charge* 17.05% 8.32% (2.54%) 2.64%
---------------------------------------
CLASS B SHARES
Without CDSC 23.51% 9.89% (1.66%) 3.10%
With CDSC** 18.51% 9.05% (2.02%) 3.10%
---------------------------------------
INSTITUTIONAL SHARES 24.85% 11.00% (0.83%) 3.64%
---------------------------------------
SELECT SHARES 24.17% 10.62% (1.27%) 3.30%
</Table>
* Sales Charge for Class A Shares is 5.75%.
** Assumes 5% CDSC (contingent deferred sales charge) for the one year period,
3% CDSC for the three year period, 2% CDSC for the five year period and 0%
CDSC for the ten year period.
[CHART]
TEN-YEAR PERFORMANCE (10/31/94 TO 10/31/04)
<Table>
<Caption>
JPMORGAN FLEMING INTERNATIONAL CITIGROUP PMI VALUE LIPPER INTERNATIONAL
VALUE FUND (INSTITUTIONAL SHARES) EPAC INDEX FUNDS INDEX MSCI EAFE VALUE INDEX
Oct-1994 $ 3,000,000 $ 3,000,000 $ 3,000,000 $ 3,000,000
Nov-1994 $ 2,858,700 $ 2,844,600 $ 2,859,900 $ 2,847,114
Dec-1994 $ 2,898,150 $ 2,860,814 $ 2,821,863 $ 2,845,703
Jan-1995 $ 2,785,992 $ 2,756,108 $ 2,681,899 $ 2,736,487
Feb-1995 $ 2,755,067 $ 2,732,130 $ 2,681,094 $ 2,721,593
Mar-1995 $ 2,884,004 $ 2,914,637 $ 2,751,607 $ 2,890,587
Apr-1995 $ 2,968,217 $ 3,023,061 $ 2,852,866 $ 2,979,960
May-1995 $ 2,909,447 $ 2,998,272 $ 2,880,824 $ 2,942,975
Jun-1995 $ 2,842,238 $ 2,941,305 $ 2,891,771 $ 2,901,837
Jul-1995 $ 3,024,426 $ 3,137,784 $ 3,050,819 $ 3,077,791
Aug-1995 $ 2,968,474 $ 3,005,997 $ 2,999,260 $ 2,972,811
Sep-1995 $ 2,993,706 $ 3,076,939 $ 3,049,348 $ 3,023,877
Oct-1995 $ 2,926,348 $ 2,987,707 $ 2,985,921 $ 2,943,106
Nov-1995 $ 2,993,654 $ 3,088,692 $ 3,016,975 $ 3,026,478
Dec-1995 $ 3,128,967 $ 3,218,108 $ 3,104,467 $ 3,166,267
Jan-1996 $ 3,166,514 $ 3,211,350 $ 3,177,733 $ 3,189,863
Feb-1996 $ 3,155,115 $ 3,220,663 $ 3,191,397 $ 3,200,621
Mar-1996 $ 3,227,051 $ 3,298,281 $ 3,241,183 $ 3,260,458
Apr-1996 $ 3,330,640 $ 3,401,187 $ 3,346,845 $ 3,370,218
May-1996 $ 3,290,339 $ 3,356,632 $ 3,343,164 $ 3,315,955
Jun-1996 $ 3,327,849 $ 3,381,471 $ 3,373,586 $ 3,350,087
Jul-1996 $ 3,215,368 $ 3,292,200 $ 3,259,897 $ 3,262,485
Aug-1996 $ 3,226,943 $ 3,322,488 $ 3,302,275 $ 3,273,527
Sep-1996 $ 3,313,425 $ 3,410,866 $ 3,376,246 $ 3,356,010
Oct-1996 $ 3,293,213 $ 3,395,859 $ 3,362,741 $ 3,313,957
Nov-1996 $ 3,411,439 $ 3,534,070 $ 3,520,790 $ 3,473,249
Dec-1996 $ 3,394,382 $ 3,495,549 $ 3,552,125 $ 3,446,050
Jan-1997 $ 3,316,311 $ 3,343,842 $ 3,556,743 $ 3,350,476
Feb-1997 $ 3,352,128 $ 3,401,356 $ 3,621,120 $ 3,408,524
Mar-1997 $ 3,381,962 $ 3,426,526 $ 3,640,312 $ 3,413,091
Apr-1997 $ 3,393,798 $ 3,429,267 $ 3,656,329 $ 3,415,040
May-1997 $ 3,582,833 $ 3,685,433 $ 3,862,546 $ 3,659,085
Jun-1997 $ 3,738,686 $ 3,894,029 $ 4,047,948 $ 3,849,459
Jul-1997 $ 3,777,569 $ 3,941,147 $ 4,177,887 $ 3,880,455
Aug-1997 $ 3,504,828 $ 3,703,496 $ 3,876,662 $ 3,600,863
Sep-1997 $ 3,681,822 $ 3,906,447 $ 4,125,543 $ 3,764,066
Oct-1997 $ 3,414,890 $ 3,640,809 $ 3,812,415 $ 3,547,033
Nov-1997 $ 3,390,986 $ 3,578,551 $ 3,780,390 $ 3,481,553
Dec-1997 $ 3,443,546 $ 3,597,875 $ 3,809,878 $ 3,497,013
Jan-1998 $ 3,568,202 $ 3,768,055 $ 3,902,077 $ 3,658,900
Feb-1998 $ 3,763,383 $ 3,996,775 $ 4,149,858 $ 3,885,350
Mar-1998 $ 3,878,542 $ 4,170,635 $ 4,375,196 $ 4,076,316
Apr-1998 $ 3,939,436 $ 4,194,408 $ 4,442,574 $ 4,099,850
May-1998 $ 3,942,587 $ 4,201,119 $ 4,451,459 $ 4,089,055
Jun-1998 $ 3,968,214 $ 4,230,107 $ 4,412,731 $ 4,093,593
Jul-1998 $ 3,977,738 $ 4,267,332 $ 4,480,246 $ 4,159,498
Aug-1998 $ 3,440,743 $ 3,673,746 $ 3,835,539 $ 3,572,077
Sep-1998 $ 3,255,287 $ 3,530,102 $ 3,716,253 $ 3,453,605
Oct-1998 $ 3,584,722 $ 3,926,180 $ 3,989,398 $ 3,823,400
Nov-1998 $ 3,760,732 $ 4,127,593 $ 4,189,267 $ 4,030,285
Dec-1998 $ 3,913,418 $ 4,203,540 $ 4,292,323 $ 4,115,299
Jan-1999 $ 3,910,287 $ 4,158,563 $ 4,318,506 $ 4,067,865
Feb-1999 $ 3,811,357 $ 4,106,996 $ 4,207,520 $ 4,008,312
Mar-1999 $ 3,979,437 $ 4,337,399 $ 4,347,631 $ 4,288,042
Apr-1999 $ 4,144,186 $ 4,605,450 $ 4,550,230 $ 4,585,561
May-1999 $ 3,953,139 $ 4,356,756 $ 4,380,962 $ 4,316,186
Jun-1999 $ 4,140,913 $ 4,497,915 $ 4,588,619 $ 4,485,311
Jul-1999 $ 4,269,696 $ 4,644,997 $ 4,690,946 $ 4,660,162
Aug-1999 $ 4,289,336 $ 4,696,556 $ 4,728,004 $ 4,668,434
Sep-1999 $ 4,305,636 $ 4,715,342 $ 4,743,134 $ 4,690,063
Oct-1999 $ 4,470,542 $ 4,871,420 $ 4,908,669 $ 4,794,527
Nov-1999 $ 4,665,010 $ 4,904,546 $ 5,268,474 $ 4,785,344
Dec-1999 $ 5,096,057 $ 5,184,595 $ 5,915,970 $ 5,108,094
Jan-2000 $ 4,816,284 $ 4,729,388 $ 5,569,886 $ 4,743,219
Feb-2000 $ 5,050,837 $ 4,676,892 $ 5,937,498 $ 4,723,458
Mar-2000 $ 5,137,206 $ 5,015,499 $ 5,952,936 $ 5,011,209
Apr-2000 $ 4,830,001 $ 4,844,470 $ 5,575,520 $ 4,816,327
May-2000 $ 4,664,332 $ 4,843,017 $ 5,422,193 $ 4,875,549
Jun-2000 $ 4,836,912 $ 5,060,952 $ 5,673,240 $ 5,081,527
Jul-2000 $ 4,664,235 $ 4,869,142 $ 5,489,427 $ 4,964,930
Aug-2000 $ 4,664,235 $ 4,970,421 $ 5,582,199 $ 4,999,668
Sep-2000 $ 4,418,896 $ 4,796,953 $ 5,256,756 $ 4,848,661
Oct-2000 $ 4,239,489 $ 4,734,113 $ 5,078,027 $ 4,845,345
Nov-2000 $ 4,039,385 $ 4,604,871 $ 4,863,734 $ 4,704,183
Dec-2000 $ 4,191,266 $ 4,833,273 $ 5,045,151 $ 4,947,588
Jan-2001 $ 4,179,949 $ 4,819,257 $ 5,074,918 $ 4,955,839
Feb-2001 $ 3,850,569 $ 4,585,523 $ 4,718,658 $ 4,707,110
Mar-2001 $ 3,581,799 $ 4,290,674 $ 4,386,937 $ 4,405,049
Apr-2001 $ 3,839,331 $ 4,584,156 $ 4,653,663 $ 4,715,220
May-2001 $ 3,729,526 $ 4,472,761 $ 4,541,044 $ 4,570,947
Jun-2001 $ 3,551,628 $ 4,359,153 $ 4,412,986 $ 4,416,808
Jul-2001 $ 3,449,341 $ 4,249,738 $ 4,298,249 $ 4,361,045
Aug-2001 $ 3,400,015 $ 4,208,090 $ 4,211,854 $ 4,331,584
Sep-2001 $ 3,074,294 $ 3,774,657 $ 3,752,762 $ 3,866,814
Oct-2001 $ 3,134,857 $ 3,841,469 $ 3,854,462 $ 3,915,847
Nov-2001 $ 3,248,339 $ 3,936,737 $ 3,998,233 $ 4,006,872
Dec-2001 $ 3,272,377 $ 3,956,027 $ 4,069,402 $ 4,031,237
Jan-2002 $ 3,126,102 $ 3,776,423 $ 3,904,998 $ 3,820,126
Feb-2002 $ 3,087,651 $ 3,822,118 $ 3,959,668 $ 3,823,201
Mar-2002 $ 3,280,011 $ 4,039,979 $ 4,169,134 $ 4,089,981
Apr-2002 $ 3,341,675 $ 4,105,022 $ 4,198,318 $ 4,121,966
May-2002 $ 3,430,230 $ 4,218,732 $ 4,258,354 $ 4,215,611
Jun-2002 $ 3,276,555 $ 4,052,514 $ 4,090,149 $ 3,991,261
Jul-2002 $ 2,961,351 $ 3,671,982 $ 3,681,952 $ 3,628,273
Aug-2002 $ 2,938,252 $ 3,681,897 $ 3,684,898 $ 3,639,205
Sep-2002 $ 2,592,126 $ 3,274,679 $ 3,288,034 $ 3,177,363
Oct-2002 $ 2,699,699 $ 3,408,613 $ 3,458,683 $ 3,339,386
Nov-2002 $ 2,819,026 $ 3,569,159 $ 3,622,279 $ 3,544,414
Dec-2002 $ 2,704,856 $ 3,439,242 $ 3,506,366 $ 3,390,000
Jan-2003 $ 2,629,120 $ 3,308,894 $ 3,378,033 $ 3,274,209
Feb-2003 $ 2,545,251 $ 3,235,106 $ 3,278,043 $ 3,194,557
Mar-2003 $ 2,461,512 $ 3,154,228 $ 3,197,731 $ 3,104,174
Apr-2003 $ 2,720,709 $ 3,465,551 $ 3,514,307 $ 3,442,507
May-2003 $ 2,872,253 $ 3,677,989 $ 3,739,925 $ 3,680,405
Jun-2003 $ 2,983,983 $ 3,794,214 $ 3,828,187 $ 3,794,101
Jul-2003 $ 3,051,720 $ 3,934,220 $ 3,935,377 $ 3,927,549
Aug-2003 $ 3,163,413 $ 4,031,395 $ 4,049,109 $ 4,044,684
Sep-2003 $ 3,215,293 $ 4,143,871 $ 4,130,496 $ 4,157,710
Oct-2003 $ 3,434,576 $ 4,438,500 $ 4,376,674 $ 4,436,079
Nov-2003 $ 3,502,237 $ 4,512,623 $ 4,464,645 $ 4,529,812
Dec-2003 $ 3,792,222 $ 4,887,622 $ 4,768,687 $ 4,925,659
Jan-2004 $ 3,901,059 $ 4,978,043 $ 4,871,214 $ 4,969,456
Feb-2004 $ 4,013,799 $ 5,103,988 $ 4,982,765 $ 5,104,460
Mar-2004 $ 4,090,463 $ 5,158,601 $ 5,007,180 $ 5,157,454
Apr-2004 $ 3,957,523 $ 5,038,921 $ 4,857,966 $ 5,051,911
May-2004 $ 3,969,791 $ 5,049,503 $ 4,855,052 $ 5,085,759
Jun-2004 $ 4,082,533 $ 5,173,216 $ 4,952,638 $ 5,252,063
Jul-2004 $ 3,945,360 $ 4,988,532 $ 4,790,687 $ 5,122,337
Aug-2004 $ 4,058,197 $ 5,036,921 $ 4,816,077 $ 5,160,755
Sep-2004 $ 4,195,364 $ 5,177,451 $ 4,944,185 $ 5,302,676
Oct-2004 $ 4,287,392 $ 5,373,676 $ 5,100,916 $ 5,486,678
</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 11/4/93.
Returns for the Institutional Shares prior to 11/4/93 (offering date of the
Institutional Shares) are calculated using the historical expenses of the J.P.
Morgan International Equity Fund, which are higher than the expenses of the
Institutional Shares.
Returns for the Select Shares prior to 9/10/01 (offering date of the Select
Shares) are calculated using the historical expenses of the J.P. Morgan
International Equity Fund, which were lower than the expenses of the Select
Share.
Returns for the Class A and B Shares prior to 9/28/01 (offering date of the
Class A and B Shares) are calculated using the historical expenses of the Select
Shares, which are lower than the expenses of the Class A and B Shares.
The graph illustrates comparative performance for $3,000,000 invested in
Institutional Shares of the JPMorgan Fleming International Value Fund, MSCI EAFE
Value Index, Citigroup PMI Value EPAC Index, and Lipper International Funds
Index from October 31, 1994 to October 31, 2004. The performance of the Fund
assumes reinvestment of all dividends and capital gains and does not include a
sales charge. The performance of the indices does not include a sales charge and
has been adjusted to reflect reinvestment of all dividends and capital gains of
the securities included in the benchmark. The MSCI EAFE Value Index is a market
capitalization weighted index composed of companies representative of the market
structure of developed market countries in Europe, Australasia and the Far East.
The Citigroup PMI Value EPAC Index consists of stocks in the Euro Pacific region
of the Primary Market Index (The Primary Market Index are stocks that fall in
the top 80% of each country's cumulative available capital) that have a value
style. The Lipper International Funds Index represents the total returns of the
funds in the indicated category, as defined by Lipper, Inc. Investors cannot
invest directly in an index.
Institutional Shares have a $3,000,000 minimum initial deposit and carry no
sales charge.
Certain fees and expenses of the Fund are currently being waived and reimbursed
as described in the prospectus. Had the expenses not been subsidized or waived,
returns would have been lower. Also, all performance shown in this section does
not reflect the deduction of taxes that a shareholder would pay on fund
distributions or redemption of fund shares.
14
<Page>
JPMORGAN FLEMING INTERNATIONAL OPPORTUNITIES FUND
AS OF OCTOBER 31, 2004 (Unaudited)
FUND FACTS
Fund Inception 2/26/97
Fiscal Year End OCTOBER 31
Net Assets as of 10/31/2004
(In Millions) $190.4
Primary Benchmark MSCI EAFE INDEX
Q: HOW DID THE FUND PERFORM?
A: JPMorgan Fleming International Opportunities, which seeks to provide high
total return from a portfolio of equity securities of foreign companies in
developed and, to a lesser extent, emerging markets, rose 14.9%
(Institutional Shares) in the year ended October 31, 2004. This compares with
a rally of 18.8% in the MSCI EAFE Index (in U.S. dollars).
Q: WHY DID THE FUND PERFORM THIS WAY?
A: While economic recovery became increasingly established during the year,
there was an unexpected mid-summer deceleration in economic growth. This
impacted the Fund, which held many economically sensitive stocks in
anticipation of steady recovery.
Continental Europe is a good example of this theme. The Fund was underweight
the region, which has less sensitivity to the economic cycle than Japan and
non-Japan Asia. And, within Europe, it held many of the stocks most leveraged
to economic growth, such as Cap Gemini, the French technology company, and
Ciba Specialty Chemicals, the Swiss chemicals company. Both the underweight
allocation to Continental Europe, and stock selection, detracted from
performance.
In non-Japan Asia, where corporate earnings are sensitive to economic
activity in the United States and China, the Fund was overweight. The summer
dip in global growth, and Chinese actions to curb inflationary forces, caused
earnings expectations and stock valuations to fall back across the region.
Cathay Pacific, the Hong Kong airline, was one holding that performed poorly,
due to declining China-related passenger loads and rising oil prices. Another
large holding, Reliance Industries, the Indian conglomerate, fell following
India's election of a new government that was not perceived to be business
friendly.
From a stock perspective, a number of holdings stood out. In Japan, two
financial sector stocks -- Aiful and UFJ Holdings -- added to performance as
the sector's prospects improved. In Continental Europe, Adecco, the Swiss
human resources solutions company, detracted from performance after
announcing the delayed publication of 2003 results. In emerging Europe,
Yukos, the Russian oil stock, fell after the Russian tax authorities charged
that it owed $3.5 billion in back taxes.
Q: HOW WAS THE FUND MANAGED?
A: The Fund was overweight emerging markets, which offer leveraged exposure to
global growth, and underweight Continental Europe, where growth was expected
to be less robust. Stock selection caused the Fund to be overweight the
Technology sector, but underweight Utilities. At the October 31, 2004,
year-end, the Fund continued to be overweight emerging markets, while
underweight Continental Europe and Japan.
15
<Page>
[CHART]
PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS
<Table>
United Kingdom 25.8%
Japan 18.6%
France 13.1%
Switzerland 8.5%
Germany 5.3%
The Netherlands 5.2%
Hong Kong 4.5%
South Korea 3.2%
India 2.1%
Spain 2.0%
Singapore 1.6%
Sweden 1.6%
Taiwan 1.6%
Australia 1.5%
United States 1.4%
Brazil 1.3%
Ireland 1.2%
Norway 0.7%
Italy 0.4%
Indonesia 0.4%
</Table>
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO
<Table>
1. Royal Bank of Scotland
Group PLC (United Kingdom) 4.1%
2. Vodafone Group PLC
(United Kingdom) 3.7%
3. Total SA (France) 3.5%
4. HSBC Holdings PLC
(United Kingdom) 3.5%
5. BNP Paribas (France) 2.2%
6. Tesco PLC
(United Kingdom) 2.2%
7. Reliance Industries LTD
(India), GDR, # 2.1%
8. Koninklijke KPN NV
(The Netherlands) 2.1%
9. Reckitt Benckiser PLC
(United Kingdom) 2.0%
10. Nippon Telegraph &
Telephone Corp. (Japan) 2.0%
</Table>
Top 10 equity holdings comprised 27.4% of the Portfolio's market value of
investments ($51,498,256). As of October 31, 2004, the Fund held 85 equity
holdings. Portfolio holdings are subject to change at any time.
16
<Page>
ANNUAL REPORT OCTOBER 31 2004
(Unaudited)
AVERAGE ANNUAL TOTAL RETURNS AS OF OCTOBER 31, 2004
<Table>
<Caption>
SINCE
INCEPTION
1 YEAR 3 YEARS 5 YEARS (2/26/97)
---------------------------------------
CLASS A SHARES
Without Sales Charge 13.81% 6.89% (2.48%) 1.57%
With Sales Charge* 7.22% 4.79% (3.63%) 0.79%
---------------------------------------
CLASS B SHARES
Without CDSC 13.23% 6.35% (2.78%) 1.37%
With CDSC** 8.23% 5.46% (3.15%) 1.37%
---------------------------------------
INSTITUTIONAL SHARES 14.93% 7.98% (1.69%) 2.17%
---------------------------------------
SELECT SHARES 14.63% 7.68% (2.03%) 1.88%
</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 (02/26/97 TO 10/31/04)
<Table>
<Caption>
JPMORGAN FLEMING
INTERNATIONAL
OPPORTUNITIES FUND MSCI ALL COUNTRY WORLD LIPPER INTERNATIONAL
(INSTITUTIONAL SHARES) INDEX FREE (EX - U.S.) MSCI EAFE INDEX FUNDS INDEX
Feb-1997 $ 3,000,000 $ 3,000,000 $ 3,000,000 $ 3,000,000
Feb-1997 $ 2,988,000 $ 3,000,000 $ 3,000,000 $ 3,000,000
Mar-1997 $ 3,002,940 $ 2,993,700 $ 3,010,800 $ 3,015,900
Apr-1997 $ 3,023,961 $ 3,019,146 $ 3,026,757 $ 3,029,170
May-1997 $ 3,140,988 $ 3,205,428 $ 3,223,799 $ 3,200,015
Jun-1997 $ 3,284,845 $ 3,382,367 $ 3,401,430 $ 3,353,616
Jul-1997 $ 3,374,850 $ 3,450,691 $ 3,456,534 $ 3,461,267
Aug-1997 $ 3,137,935 $ 3,179,122 $ 3,198,331 $ 3,211,710
Sep-1997 $ 3,314,915 $ 3,351,112 $ 3,377,437 $ 3,417,901
Oct-1997 $ 3,008,948 $ 3,065,598 $ 3,117,712 $ 3,158,483
Nov-1997 $ 2,981,868 $ 3,027,278 $ 3,085,912 $ 3,131,951
Dec-1997 $ 3,052,240 $ 3,062,091 $ 3,112,759 $ 3,156,381
Jan-1998 $ 3,091,614 $ 3,153,648 $ 3,255,012 $ 3,232,765
Feb-1998 $ 3,263,817 $ 3,363,996 $ 3,463,984 $ 3,438,046
Mar-1998 $ 3,408,730 $ 3,480,390 $ 3,570,675 $ 3,624,731
Apr-1998 $ 3,444,863 $ 3,505,449 $ 3,598,883 $ 3,680,552
May-1998 $ 3,351,162 $ 3,441,650 $ 3,581,248 $ 3,687,913
Jun-1998 $ 3,299,890 $ 3,428,916 $ 3,608,466 $ 3,655,829
Jul-1998 $ 3,312,099 $ 3,461,491 $ 3,644,911 $ 3,711,763
Aug-1998 $ 2,722,877 $ 2,973,420 $ 3,193,307 $ 3,177,640
Sep-1998 $ 2,595,718 $ 2,910,681 $ 3,095,272 $ 3,078,816
Oct-1998 $ 2,922,779 $ 3,215,430 $ 3,417,800 $ 3,305,108
Nov-1998 $ 3,062,195 $ 3,388,098 $ 3,592,791 $ 3,470,694
Dec-1998 $ 3,169,066 $ 3,504,988 $ 3,734,347 $ 3,556,073
Jan-1999 $ 3,196,954 $ 3,501,132 $ 3,723,144 $ 3,577,766
Feb-1999 $ 3,100,406 $ 3,422,707 $ 3,634,533 $ 3,485,817
Mar-1999 $ 3,293,251 $ 3,588,023 $ 3,786,093 $ 3,601,895
Apr-1999 $ 3,461,207 $ 3,767,425 $ 3,939,430 $ 3,769,743
May-1999 $ 3,361,524 $ 3,590,356 $ 3,736,549 $ 3,629,508
Jun-1999 $ 3,557,501 $ 3,755,512 $ 3,882,275 $ 3,801,547
Jul-1999 $ 3,674,899 $ 3,843,767 $ 3,997,578 $ 3,886,322
Aug-1999 $ 3,712,382 $ 3,857,220 $ 4,012,369 $ 3,917,024
Sep-1999 $ 3,749,878 $ 3,883,449 $ 4,052,894 $ 3,929,558
Oct-1999 $ 3,849,999 $ 4,027,913 $ 4,204,878 $ 4,066,700
Nov-1999 $ 4,037,494 $ 4,189,030 $ 4,350,787 $ 4,364,789
Dec-1999 $ 4,432,765 $ 4,588,663 $ 4,741,488 $ 4,901,221
Jan-2000 $ 4,157,047 $ 4,339,499 $ 4,440,403 $ 4,614,500
Feb-2000 $ 4,293,398 $ 4,456,665 $ 4,559,850 $ 4,919,057
Mar-2000 $ 4,325,169 $ 4,624,236 $ 4,736,772 $ 4,931,846
Apr-2000 $ 4,134,862 $ 4,366,203 $ 4,487,618 $ 4,619,167
May-2000 $ 4,071,598 $ 4,254,429 $ 4,378,120 $ 4,492,140
Jun-2000 $ 4,267,849 $ 4,435,667 $ 4,549,305 $ 4,700,126
Jul-2000 $ 4,141,094 $ 4,260,458 $ 4,358,689 $ 4,547,842
Aug-2000 $ 4,210,665 $ 4,313,288 $ 4,396,609 $ 4,624,701
Sep-2000 $ 3,985,394 $ 4,073,901 $ 4,182,494 $ 4,355,081
Oct-2000 $ 3,814,022 $ 3,944,351 $ 4,083,788 $ 4,207,008
Nov-2000 $ 3,611,116 $ 3,767,249 $ 3,930,646 $ 4,029,472
Dec-2000 $ 3,713,672 $ 3,896,089 $ 4,070,183 $ 4,179,772
Jan-2001 $ 3,726,670 $ 3,954,530 $ 4,068,148 $ 4,204,432
Feb-2001 $ 3,441,580 $ 3,641,332 $ 3,763,037 $ 3,909,281
Mar-2001 $ 3,169,695 $ 3,383,889 $ 3,512,043 $ 3,634,459
Apr-2001 $ 3,402,667 $ 3,613,994 $ 3,756,130 $ 3,855,434
May-2001 $ 3,383,272 $ 3,514,248 $ 3,623,538 $ 3,762,132
Jun-2001 $ 3,273,316 $ 3,379,301 $ 3,475,336 $ 3,656,040
Jul-2001 $ 3,129,617 $ 3,304,280 $ 3,412,084 $ 3,560,983
Aug-2001 $ 3,113,343 $ 3,222,334 $ 3,325,759 $ 3,489,407
Sep-2001 $ 2,742,855 $ 2,880,444 $ 2,988,859 $ 3,109,062
Oct-2001 $ 2,807,861 $ 2,961,097 $ 3,065,374 $ 3,193,317
Nov-2001 $ 2,957,239 $ 3,096,419 $ 3,178,486 $ 3,312,428
Dec-2001 $ 3,005,738 $ 3,136,363 $ 3,197,240 $ 3,371,389
Jan-2002 $ 2,851,243 $ 3,002,126 $ 3,027,466 $ 3,235,185
Feb-2002 $ 2,851,243 $ 3,023,742 $ 3,048,658 $ 3,280,478
Mar-2002 $ 3,008,917 $ 3,187,931 $ 3,213,591 $ 3,454,015
Apr-2002 $ 3,045,024 $ 3,208,652 $ 3,234,800 $ 3,478,193
May-2002 $ 3,097,703 $ 3,243,627 $ 3,275,882 $ 3,527,931
Jun-2002 $ 2,933,524 $ 3,103,502 $ 3,145,502 $ 3,388,578
Jul-2002 $ 2,641,052 $ 2,800,911 $ 2,835,041 $ 3,050,398
Aug-2002 $ 2,670,632 $ 2,801,191 $ 2,828,521 $ 3,052,838
Sep-2002 $ 2,348,821 $ 2,504,265 $ 2,524,738 $ 2,724,048
Oct-2002 $ 2,480,120 $ 2,638,493 $ 2,660,316 $ 2,865,426
Nov-2002 $ 2,611,566 $ 2,765,405 $ 2,781,094 $ 3,000,960
Dec-2002 $ 2,487,778 $ 2,676,082 $ 2,687,650 $ 2,904,930
Jan-2003 $ 2,364,882 $ 2,582,152 $ 2,575,575 $ 2,798,609
Feb-2003 $ 2,305,050 $ 2,529,734 $ 2,516,594 $ 2,715,770
Mar-2003 $ 2,235,207 $ 2,480,657 $ 2,467,269 $ 2,649,234
Apr-2003 $ 2,457,834 $ 2,719,792 $ 2,709,061 $ 2,911,508
May-2003 $ 2,610,711 $ 2,893,043 $ 2,873,230 $ 3,098,427
Jun-2003 $ 2,670,496 $ 2,973,180 $ 2,942,762 $ 3,171,550
Jul-2003 $ 2,740,196 $ 3,052,267 $ 3,013,977 $ 3,260,353
Aug-2003 $ 2,813,360 $ 3,143,225 $ 3,086,614 $ 3,354,577
Sep-2003 $ 2,889,883 $ 3,231,235 $ 3,181,682 $ 3,422,004
Oct-2003 $ 3,075,991 $ 3,440,619 $ 3,379,900 $ 3,625,956
Nov-2003 $ 3,135,666 $ 3,515,624 $ 3,454,934 $ 3,698,838
Dec-2003 $ 3,357,671 $ 3,784,218 $ 3,724,765 $ 3,950,729
Jan-2004 $ 3,463,437 $ 3,844,766 $ 3,777,284 $ 4,035,669
Feb-2004 $ 3,542,057 $ 3,942,807 $ 3,864,539 $ 4,128,086
Mar-2004 $ 3,559,059 $ 3,966,858 $ 3,886,180 $ 4,148,314
Apr-2004 $ 3,388,580 $ 3,843,489 $ 3,798,353 $ 4,024,694
May-2004 $ 3,391,969 $ 3,855,788 $ 3,811,267 $ 4,022,279
Jun-2004 $ 3,453,364 $ 3,939,459 $ 3,894,734 $ 4,103,127
Jul-2004 $ 3,310,049 $ 3,824,820 $ 3,768,155 $ 3,968,955
Aug-2004 $ 3,364,665 $ 3,855,419 $ 3,784,735 $ 3,989,990
Sep-2004 $ 3,450,127 $ 3,979,564 $ 3,883,516 $ 4,096,124
Oct-2004 $ 3,536,409 $ 4,118,052 $ 4,015,944 $ 4,225,971
</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 2/26/97.
Returns for the Institutional Shares prior to 9/10/01 (offering date of the
Institutional Shares) are calculated using the historical expenses of the J.P.
Morgan Institutional International Opportunities Fund, which are higher than the
expenses of the Institutional Shares.
Returns for the Select Shares prior to 9/10/01 (offering date of the Select
Shares) are calculated using the historical expenses of the J.P. Morgan
International Opportunities Fund, which are similar to the expenses of the
Select Shares.
Returns for the Class A and B Shares prior to 9/10/01 (offering date of the
Class A and B Shares) are calculated using the historical expenses of the J.P.
Morgan International Opportunities Fund, which are lower than the expenses of
the Class A and B Shares.
The graph illustrates comparative performance for $3,000,000 invested in
Institutional Shares of the JPMorgan Fleming International Opportunities Fund,
MSCI EAFE Index and Lipper International Funds Index from February 26, 1997 to
October 31, 2004. The performance of the Fund assumes reinvestment of all
dividends and capital gains and does not include a sales charge. The performance
of the indices reflects an initial investment at the end of the month following
the Fund's inception. The performance of the indices does not include a sales
charge and has been adjusted to reflect reinvestment of all dividends and
capital gains of the securities included in the benchmark. The MSCI EAFE
(Europe, Australasia, Far East) Index is a replica (or model) of the performance
of the worlds equity markets, excluding the U.S. and Canada. The Lipper
International Funds Index represents the total returns of the funds in the
indicated category, as defined by Lipper, Inc. Investors cannot invest directly
in an index.
Institutional Shares have a $3,000,000 minimum initial deposit and carry no
sales charge.
Certain fees and expenses of the Fund are currently being waived and reimbursed
as described in the prospectus. Had the expenses not been subsidized or waived,
returns would have been lower. Also, all performance shown in this section does
not reflect the deduction of taxes that a shareholder would pay on fund
distributions or redemption of fund shares.
17
<Page>
JPMORGAN FLEMING EMERGING MARKETS EQUITY FUND
AS OF OCTOBER 31, 2004 (Unaudited)
FUND FACTS
Fund Inception 11/15/93
Fiscal Year End OCTOBER 31
Net Assets as of 10/31/2004
(In Millions) $84.1
Primary Benchmark MSCI EMERGING
MARKETS EQUITY
FREE INDEX
Q: HOW DID THE FUND PERFORM?
A: JPMorgan Fleming Emerging Markets Equity Fund, which seeks high total return
from a portfolio of equity securities from emerging markets issuers, rose
29.1% (Institutional Shares) in the year ended October 31, 2004. This
compares with a rally of 19.4% in the MSCI Emerging Markets Equity Free Index
(in U.S. dollars).
Q: HOW DID THE FUND OUTPERFORM ITS BENCHMARK?
A: The Fund substantially outperformed its MSCI Emerging Markets Equity Free
Index benchmark during the period, when growth stocks driven by domestic
demand, such as cellular phone companies, outperformed. At the beginning of
the period, the reverse was true, with rapid global growth causing raw
material stocks and technology stocks to lead markets. But during 2004, as
the pace of global expansion slowed, the more defensive domestic consumption
driven growth stocks came into favor.
Orascom Telecom, the Egyptian cellular phone company, is a good example of a
company experiencing strong growth that is fairly independent of broad global
demand. Orascom has the largest and most diversified cellular network in the
Middle East, Africa and Pakistan, and is experiencing rapid subscriber
growth. As a relatively low percentage of the regional population owns
cellular phones, Orascom appears likely to continue its rapid growth. Orascom
was the portfolio's best performer.
In Russia, Mobil Telesystems and VimpelCom, the two cellular phone holdings,
have a similar story. Both are experiencing strong subscriber growth, which
is likely to continue because cellular phone penetration is low outside of
Moscow. Additionally, with high oil prices stoking the domestic economy,
Russia was one of the best performing markets during the period. Mobil
Telesystems and VimpelCom were two of the portfolio's leading holdings.
In South Africa, two plays on the strong domestic economy stood out.
FirstRand, the financial services group, and Steinhoff International, the
furniture group, both contributed as they rebounded from low valuations.
Asia illustrated the poor returns of the stocks with greatest sensitivity to
global demand, especially in the technology sector. In Taiwan, Quanta
Computer, a laptop computer manufacturer, and Taiwan Semiconductor, both
suffered from perceived risk related to the technology investment cycle. In
India, Reliance Industries, the industrial conglomerate, detracted as the
country's elections brought a government to power that was perceived to be
less business friendly than its rivals.
Q: HOW WAS THE FUND MANAGED?
A: In January 2004, portfolio concentration was increased to intensify the
impact of stock selection. The number of holdings was reduced from more than
100 to between 50 and 70. As a result, the potential for outperformance has
increased, as has the probable tracking error against the benchmark.
18
<Page>
ANNUAL REPORT OCTOBER 31 2004
(Unaudited)
[CHART]
PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS
<Table>
South Korea 16.7%
Brazil 13.0%
South Africa 10.6%
Taiwan 7.2%
Turkey 6.4%
Mexico 5.9%
Indonesia 5.5%
Russia 5.3%
India 5.3%
Malaysia 3.5%
Argentina 3.2%
Philippines 3.1%
Egypt 2.9%
Hungary 2.6%
China 2.6%
Thailand 2.5%
Hong Kong 2.3%
Chile 1.4%
</Table>
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO
<Table>
1. Daeduck Electronics Co.
(South Korea) 3.4%
2. Bunge LTD (Argentina) 3.2%
3. SM Prime Holdings, Inc.
(Philippines) 3.1%
4. Grupo Elektra SA de CV
(Mexico), ADR 3.0%
5. Steinhoff International
Holdings LTD (South Africa) 3.0%
6. Orascom Telecom
Holding SAE (Egypt) 2.9%
7. America Movil SA de CV
(Mexico), Ser. L, ADR 2.9%
8. Uniao de Bancos
Brasileiros SA
(Brazil), GDR 2.9%
9. Telekomunikasi Indonesia
TBK PT (Indonesia), ADR 2.9%
10. FirstRand LTD
(South Africa) 2.8%
</Table>
Top 10 equity holdings comprised 30.1% of the Portfolio's market value of
investments ($24,504,940). As of October 31, 2004, the Fund held 42 equity
holdings Portfolio holdings are subject to change at any time.
19
<Page>
AVERAGE ANNUAL TOTAL RETURNS AS OF OCTOBER 31, 2004
<Table>
<Caption>
1 YEAR 3 YEARS 5 YEARS 10 YEARS
---------------------------------------
CLASS A SHARES
Without Sales Charge 28.44% 23.81% 6.25% (0.61%)
With Sales Charge* 21.01% 21.41% 5.00% (1.20%)
---------------------------------------
CLASS B SHARES
Without CDSC 27.68% 23.33% 5.96% (0.74%)
With CDSC** 22.68% 22.67% 5.64% (0.74%)
---------------------------------------
INSTITUTIONAL SHARES 29.08% 24.61% 6.77% (0.21%)
---------------------------------------
SELECT SHARES 28.72% 24.20% 6.41% (0.54%)
</Table>
* Sales Charge for Class A Shares is 5.75%.
** Assumes 5% CDSC (contingent deferred sales charge) for the one year period,
3% CDSC for the three year period, 2% CDSC for the five year period and 0%
CDSC for the ten year period.
[CHART]
TEN-YEAR PERFORMANCE (10/31/94 TO 10/31/04)
<Table>
<Caption>
JPMORGAN FLEMING EMERGING MSCI EMERGING LIPPER EMERGING
MARKETS EQUITY FUND MARKETS EQUITY MARKET FUNDS
(INSTITUTIONAL SHARES) FREE INDEX AVERAGE
Oct-1994 $ 3,000,000 $ 3,000,000 $ 3,000,000
Nov-1994 $ 2,884,500 $ 2,844,000 $ 2,870,100
Dec-1994 $ 2,630,376 $ 2,615,627 $ 2,673,498
Jan-1995 $ 2,309,733 $ 2,337,324 $ 2,428,071
Feb-1995 $ 2,248,525 $ 2,277,489 $ 2,390,436
Mar-1995 $ 2,297,543 $ 2,292,065 $ 2,411,711
Apr-1995 $ 2,375,889 $ 2,394,978 $ 2,513,967
May-1995 $ 2,473,776 $ 2,522,391 $ 2,640,671
Jun-1995 $ 2,485,897 $ 2,529,958 $ 2,648,065
Jul-1995 $ 2,586,327 $ 2,586,629 $ 2,751,340
Aug-1995 $ 2,515,462 $ 2,525,585 $ 2,699,064
Sep-1995 $ 2,491,062 $ 2,513,715 $ 2,704,462
Oct-1995 $ 2,375,975 $ 2,417,439 $ 2,588,171
Nov-1995 $ 2,304,933 $ 2,374,409 $ 2,548,830
Dec-1995 $ 2,375,695 $ 2,479,833 $ 2,632,687
Jan-1996 $ 2,558,148 $ 2,656,149 $ 2,863,573
Feb-1996 $ 2,545,869 $ 2,613,916 $ 2,848,969
Mar-1996 $ 2,577,947 $ 2,634,305 $ 2,868,342
Apr-1996 $ 2,661,730 $ 2,739,677 $ 3,001,146
May-1996 $ 2,681,427 $ 2,727,348 $ 3,044,963
Jun-1996 $ 2,688,935 $ 2,744,258 $ 3,067,191
Jul-1996 $ 2,560,673 $ 2,556,825 $ 2,890,215
Aug-1996 $ 2,617,520 $ 2,622,280 $ 2,976,921
Sep-1996 $ 2,605,217 $ 2,645,094 $ 2,998,950
Oct-1996 $ 2,533,574 $ 2,574,470 $ 2,924,576
Nov-1996 $ 2,563,217 $ 2,617,721 $ 2,998,860
Dec-1996 $ 2,585,773 $ 2,629,500 $ 3,051,640
Jan-1997 $ 2,794,703 $ 2,808,832 $ 3,300,654
Feb-1997 $ 2,871,837 $ 2,929,050 $ 3,418,488
Mar-1997 $ 2,864,370 $ 2,852,016 $ 3,343,281
Apr-1997 $ 2,849,476 $ 2,857,150 $ 3,377,382
May-1997 $ 2,951,487 $ 2,938,864 $ 3,533,080
Jun-1997 $ 3,100,832 $ 3,096,094 $ 3,739,058
Jul-1997 $ 3,202,850 $ 3,142,225 $ 3,870,673
Aug-1997 $ 2,869,433 $ 2,742,220 $ 3,538,182
Sep-1997 $ 2,979,045 $ 2,818,180 $ 3,688,201
Oct-1997 $ 2,453,840 $ 2,355,716 $ 3,122,800
Nov-1997 $ 2,384,151 $ 2,269,733 $ 3,006,007
Dec-1997 $ 2,386,296 $ 2,324,433 $ 3,059,815
Jan-1998 $ 2,209,949 $ 2,142,198 $ 2,845,322
Feb-1998 $ 2,348,955 $ 2,365,843 $ 3,103,392
Mar-1998 $ 2,461,235 $ 2,468,521 $ 3,221,632
Apr-1998 $ 2,482,648 $ 2,441,614 $ 3,245,794
May-1998 $ 2,124,650 $ 2,107,113 $ 2,829,359
Jun-1998 $ 1,881,377 $ 1,886,077 $ 2,567,360
Jul-1998 $ 1,946,849 $ 1,945,865 $ 2,647,462
Aug-1998 $ 1,392,581 $ 1,383,316 $ 1,906,967
Sep-1998 $ 1,443,411 $ 1,471,018 $ 1,957,883
Oct-1998 $ 1,582,700 $ 1,625,916 $ 2,128,610
Nov-1998 $ 1,668,324 $ 1,761,192 $ 2,262,925
Dec-1998 $ 1,662,485 $ 1,735,655 $ 2,232,376
Jan-1999 $ 1,618,429 $ 1,707,711 $ 2,188,844
Feb-1999 $ 1,589,135 $ 1,724,276 $ 2,173,522
Mar-1999 $ 1,770,932 $ 1,951,535 $ 2,410,436
Apr-1999 $ 2,023,113 $ 2,192,940 $ 2,734,881
May-1999 $ 1,996,813 $ 2,180,221 $ 2,707,259
Jun-1999 $ 2,190,304 $ 2,427,676 $ 3,034,566
Jul-1999 $ 2,146,279 $ 2,361,643 $ 2,959,309
Aug-1999 $ 2,155,078 $ 2,383,134 $ 2,923,206
Sep-1999 $ 2,105,296 $ 2,302,584 $ 2,815,339
Oct-1999 $ 2,117,086 $ 2,351,629 $ 2,916,410
Nov-1999 $ 2,301,907 $ 2,562,571 $ 3,233,715
Dec-1999 $ 2,650,416 $ 2,888,530 $ 3,825,162
Jan-2000 $ 2,611,985 $ 2,905,861 $ 3,792,648
Feb-2000 $ 2,594,223 $ 2,944,218 $ 3,959,904
Mar-2000 $ 2,588,257 $ 2,958,645 $ 4,001,483
Apr-2000 $ 2,384,561 $ 2,678,165 $ 3,569,323
May-2000 $ 2,298,955 $ 2,567,557 $ 3,360,874
Jun-2000 $ 2,425,857 $ 2,657,935 $ 3,525,221
Jul-2000 $ 2,310,872 $ 2,521,317 $ 3,361,651
Aug-2000 $ 2,343,224 $ 2,533,672 $ 3,434,262
Sep-2000 $ 2,139,598 $ 2,312,482 $ 3,083,624
Oct-2000 $ 1,971,425 $ 2,144,827 $ 2,860,370
Nov-2000 $ 1,776,649 $ 1,957,369 $ 2,590,923
Dec-2000 $ 1,849,136 $ 2,004,542 $ 2,680,828
Jan-2001 $ 2,097,290 $ 2,280,567 $ 3,002,796
Feb-2001 $ 1,949,641 $ 2,101,999 $ 2,770,379
Mar-2001 $ 1,763,450 $ 1,895,583 $ 2,515,227
Apr-2001 $ 1,840,336 $ 1,989,224 $ 2,660,607
May-2001 $ 1,896,467 $ 2,012,896 $ 2,737,765
Jun-2001 $ 1,855,124 $ 1,971,632 $ 2,688,211
Jul-2001 $ 1,719,329 $ 1,847,025 $ 2,510,521
Aug-2001 $ 1,698,697 $ 1,828,739 $ 2,459,808
Sep-2001 $ 1,444,572 $ 1,545,650 $ 2,113,959
Oct-2001 $ 1,518,389 $ 1,641,635 $ 2,241,008
Nov-2001 $ 1,674,935 $ 1,813,022 $ 2,465,781
Dec-2001 $ 1,773,086 $ 1,956,976 $ 2,620,879
Jan-2002 $ 1,850,570 $ 2,023,317 $ 2,725,976
Feb-2002 $ 1,886,286 $ 2,056,500 $ 2,784,312
Mar-2002 $ 1,969,660 $ 2,180,301 $ 2,944,410
Apr-2002 $ 1,990,539 $ 2,194,473 $ 2,971,793
May-2002 $ 1,963,666 $ 2,159,581 $ 2,945,344
Jun-2002 $ 1,805,788 $ 1,997,612 $ 2,730,039
Jul-2002 $ 1,638,933 $ 1,845,594 $ 2,528,289
Aug-2002 $ 1,659,747 $ 1,874,016 $ 2,545,987
Sep-2002 $ 1,495,930 $ 1,671,810 $ 2,296,990
Oct-2002 $ 1,564,444 $ 1,780,310 $ 2,402,422
Nov-2002 $ 1,668,792 $ 1,902,796 $ 2,551,852
Dec-2002 $ 1,616,392 $ 1,839,623 $ 2,488,056
Jan-2003 $ 1,616,392 $ 1,831,528 $ 2,467,405
Feb-2003 $ 1,565,476 $ 1,782,077 $ 2,418,304
Mar-2003 $ 1,493,464 $ 1,731,466 $ 2,338,016
Apr-2003 $ 1,631,460 $ 1,885,740 $ 2,555,218
May-2003 $ 1,760,345 $ 2,021,136 $ 2,744,815
Jun-2003 $ 1,853,292 $ 2,136,341 $ 2,873,821
Jul-2003 $ 1,982,281 $ 2,270,076 $ 3,019,237
Aug-2003 $ 2,105,182 $ 2,422,398 $ 3,222,431
Sep-2003 $ 2,108,129 $ 2,440,081 $ 3,276,246
Oct-2003 $ 2,276,147 $ 2,647,732 $ 3,537,035
Nov-2003 $ 2,279,106 $ 2,680,299 $ 3,581,248
Dec-2003 $ 2,439,099 $ 2,874,621 $ 3,867,748
Jan-2004 $ 2,575,933 $ 2,976,670 $ 3,986,488
Feb-2004 $ 2,694,426 $ 3,113,894 $ 4,165,880
Mar-2004 $ 2,770,409 $ 3,153,752 $ 4,215,870
Apr-2004 $ 2,563,736 $ 2,895,775 $ 3,887,032
May-2004 $ 2,536,304 $ 2,838,728 $ 3,812,401
Jun-2004 $ 2,594,132 $ 2,851,787 $ 3,815,832
Jul-2004 $ 2,551,588 $ 2,801,310 $ 3,745,239
Aug-2004 $ 2,664,113 $ 2,918,685 $ 3,886,809
Sep-2004 $ 2,843,674 $ 3,087,385 $ 4,111,467
Oct-2004 $ 2,937,748 $ 3,161,482 $ 4,222,066
</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 11/15/93.
Returns for the Institutional Shares prior to 9/10/01 (offering date of the
Institutional Shares) are calculated using the historical expenses of the J.P.
Morgan Institutional Emerging Markets Equity Fund, which are similar to the
expenses of the Institutional Shares.
Returns for the Select Shares prior to 9/10/01 (offering date of the Select
Shares) are calculated using the historical expenses of the J.P. Morgan Emerging
Markets Equity Fund, which are similar to the expenses of the Select Shares.
Returns for the Class A and B Shares prior to 9/28/01 (offering date of the
Class A and B Shares) are calculated using the historical expenses of the Select
Shares, which are lower than the expenses of the Class A and B Shares.
The graph illustrates comparative performance for $3,000,000 invested in
Institutional Shares of the JPMorgan Fleming Emerging Markets Equity Fund, MSCI
Emerging Markets Equity Free Index and Lipper Emerging Markets Funds Average
from October 31, 1994 to October 31, 2004. The performance of the Fund assumes
reinvestment of all dividends and capital gains and does not include a sales
charge. The performance of the indices reflects an initial investment at the end
of the month following the Fund's inception. The performance of the indices does
not include a sales charge and has been adjusted to reflect reinvestment of all
dividends and capital gains of the securities included in the benchmark. The
MSCI Emerging Markets Equity Free Index is a replica (or model) of the world's
emerging market equity markets. The Lipper Emerging Market Funds Average
describes the average total returns for all the funds in the indicated category,
as defined by Lipper, Inc. Investors cannot invest directly in an index.
Institutional Shares have a $3,000,000 minimum initial deposit and carry no
sales charge.
Certain fees and expenses of the Fund are currently being waived and reimbursed
as described in the prospectus. Had the expenses not been subsidized or waived,
returns would have been lower. Also, all performance shown in this section does
not reflect the deduction of taxes that a shareholder would pay on fund
distributions or redemption of fund shares.
20
<Page>
JPMORGAN FLEMING ASIA EQUITY FUND
AS OF OCTOBER 31, 2004 (Unaudited)
FUND FACTS
Fund Inception 11/1/01
Fiscal Year End OCTOBER 31
Net Assets as of 10/31/2004
(In Millions) $35.5
Primary Benchmark MSCI ALL COUNTRY
FAR EAST FREE
(EX-JAPAN) INDEX
Q: HOW DID THE FUND PERFORM?
A: JPMorgan Fleming Asia Equity Fund, which seeks total return from long-term
capital growth, rose 3.9% (A shares, no sales charge) in the year ended
October 31, 2004. This compares with a rise of 9.3% in the MSCI All Country
Far East Free (Ex-Japan) Index (in U.S. dollars).
Q: WHY DID THE FUND PERFORM THIS WAY?
A: The portfolio trailed the MSCI Far East Free (Ex-Japan) Index over 12 months
due to pronounced swings in investor sentiment as events in China and the
United States caused uncertainty in the region. The high-growth markets of
China and Southeast Asia rallied when the robustness of the Chinese and U.S.
economies appeared beyond question in late 2003. In 2004, however, doubts
began to emerge, and defensive stocks outperformed. The portfolio's shortfall
against the Index resulted from low exposure both to mature economies such as
Hong Kong and to defensive stocks within them.
Our overweight position in China underperformed, as investors worried that
government actions to curb an overheating economy would drastically curtail
growth. This has so far proved to be overly cautious, and our view that the
Chinese authorities will achieve a soft landing for the economy seems to hold
water. Stock picking within China was positive. Overweight positions in
Sinopec, the oil company, and Jiangxi Copper, the mining stock,both performed
well.
In Hong Kong, the portfolio suffered from being underweight the market, and
underweight defensive utility companies, such as China Light & Power, the
local electricity company, which performed well in the middle of the period
as investors became nervous about economic growth. More recently the
portfolio has concentrated on asset reflation plays, such as banks and real
estate companies in Singapore and Hong Kong, which have added value over the
last few months.
Chinese growth did help a number of holdings. Two small capitalization
shipping companies -- Thoresen Thai Agencies, in Thailand, and U-Ming Marine
Transport Corporation, in Taiwan -- prospered with buoyant freight
transportation. Two natural resources companies -- Bumi Resources, the
Indonesian coal company, and Taiwanese Petrochemical Co. -- gained from
surging Chinese demand for raw materials.
Q: HOW WAS THE FUND MANAGED?
A: At the end of 2003, the portfolio was weighted towards China, India and
Southeast Asia, which were the fastest growing markets. As regional economic
growth became less certain, so weightings in these markets were reduced, and
weightings increased in Hong Kong and Singapore. Over the last few months,
portfolio country allocations have become more neutral, with the emphasis
increasingly on adding value through individual stock selection.
21
<Page>
[CHART]
PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS
<Table>
Hong Kong 32.0%
South Korea 24.5%
Taiwan 16.1%
Singapore 10.0%
Thailand 5.2%
Malaysia 4.7%
China 4.5%
Indonesia 2.1%
India 0.9%
</Table>
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO
<Table>
1. Samsung Electronics Co., LTD
(South Korea) 9.6%
2. HSBC Holdings PLC
(Hong Kong Registered
Shares) 5.6%
3. Kookmin Bank
(South Korea) 3.3%
4. DBS Group Holdings LTD
(Singapore) 3.2%
5. Cathay Financial Holding Co.,
LTD (Taiwan) 3.0%
6. Sun Hung Kai Properties LTD
(Hong Kong) 2.9%
7. China Mobile Hong Kong LTD
(Hong Kong) 2.7%
8. Wheelock & Co., LTD
(Hong Kong) 2.6%
9. Esprit Holdings LTD
(Hong Kong) 2.6%
10. Taiwan Semiconductor
Manufacturing Co., LTD
(Taiwan) 2.5%
</Table>
Top 10 equity holdings comprised 38.0% of the Portfolio's market value of
investments ($13,318,451). As of October 31, 2004, the Fund held 68 equity
holdings. Portfolio holdings are subject to change at any time.
22
<Page>
ANNUAL REPORT OCTOBER 31 2004
(Unaudited)
AVERAGE ANNUAL TOTAL RETURNS AS OF OCTOBER 31, 2004
<Table>
<Caption>
SINCE
INCEPTION
1 YEAR (11/1/01)
-------------------------
CLASS A SHARES
Without Sales Charge 3.91% 7.12%
With Sales Charge* (2.05%) 5.01%
-------------------------
INSTITUTIONAL SHARES 4.29% 7.45%
-------------------------
SELECT SHARES 4.21% 7.34%
</Table>
* Sales Charge for Class A Shares is 5.75%.
[CHART]
LIFE OF FUND PERFORMANCE (11/01/01 TO 10/31/04)
<Table>
<Caption>
JPMORGAN FLEMING ASIA MSCI ALL COUNTRY FAR EAST LIPPER PACIFIC REGION FUNDS
EQUITY FUND (CLASS A SHARES) FREE (EX-JAPAN) INDEX INDEX (EX-JAPAN)
Nov-2001 $ 9,425 $ 10,000 $ 10,000
Nov-2001 $ 9,689 $ 10,000 $ 10,000
Dec-2001 $ 9,921 $ 10,906 $ 10,661
Jan-2002 $ 9,878 $ 11,354 $ 11,083
Feb-2002 $ 10,003 $ 11,386 $ 11,208
Mar-2002 $ 10,455 $ 12,218 $ 11,954
Apr-2002 $ 10,399 $ 12,393 $ 12,039
May-2002 $ 10,543 $ 12,153 $ 11,980
Jun-2002 $ 9,966 $ 11,500 $ 11,378
Jul-2002 $ 9,382 $ 11,081 $ 10,869
Aug-2002 $ 9,174 $ 10,838 $ 10,607
Sep-2002 $ 8,319 $ 9,605 $ 9,442
Oct-2002 $ 8,602 $ 10,119 $ 9,697
Nov-2002 $ 8,891 $ 10,630 $ 10,329
Dec-2002 $ 8,338 $ 9,900 $ 9,736
Jan-2003 $ 8,451 $ 10,017 $ 9,806
Feb-2003 $ 7,986 $ 9,578 $ 9,404
Mar-2003 $ 7,583 $ 9,141 $ 8,966
Apr-2003 $ 7,765 $ 9,476 $ 9,435
May-2003 $ 8,468 $ 10,297 $ 10,278
Jun-2003 $ 9,009 $ 10,898 $ 10,913
Jul-2003 $ 9,693 $ 11,837 $ 11,697
Aug-2003 $ 10,316 $ 12,706 $ 12,524
Sep-2003 $ 10,277 $ 12,765 $ 12,683
Oct-2003 $ 11,145 $ 13,846 $ 13,707
Nov-2003 $ 10,950 $ 13,638 $ 13,600
Dec-2003 $ 11,581 $ 14,351 $ 14,612
Jan-2004 $ 12,270 $ 15,324 $ 15,204
Feb-2004 $ 12,757 $ 15,896 $ 15,680
Mar-2004 $ 12,112 $ 15,584 $ 15,377
Apr-2004 $ 11,126 $ 14,679 $ 14,673
May-2004 $ 11,032 $ 14,338 $ 14,403
Jun-2004 $ 10,868 $ 14,202 $ 14,270
Jul-2004 $ 10,520 $ 13,826 $ 13,952
Aug-2004 $ 11,184 $ 14,553 $ 14,532
Sep-2004 $ 11,531 $ 15,065 $ 15,124
Oct-2004 $ 11,583 $ 15,129 $ 15,343
</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 11/1/01.
Class A Shares were introduced on 11/1/01.
Returns for the Institutional and Select Shares prior to 6/28/02 (offering date
of the Institutional and Select Shares) are calculated using the historical
expenses of the Class A Shares, which are higher than the expenses of the
Institutional and Select Shares.
The graph illustrates comparative performance for $10,000 invested in Class A
Shares of the JPMorgan Fleming Asia Equity Fund, MSCI All Country Far East Free
Index (ex-Japan) and Lipper Pacific Region Funds Index (ex-Japan) from November
1, 2001 to October 31, 2004. The performance of the Fund assumes reinvestment of
all dividends and capital gains and includes a sales charge. The performance of
the indices reflects an initial investment at the end of the month following the
Fund's inception. The performance of the indices does not include a sales charge
and has been adjusted to reflect reinvestment of all dividends and capital gains
of the securities included in the benchmark. The MSCI All Country Far East Free
(Ex-Japan) Index is a free float-adjusted market capitalization index that is
designed to measure equity market performance in the Far East, excluding Japan.
The Lipper Pacific Region Funds Index (ex-Japan) represents the total returns of
the funds in the indicated category, as defined by Lipper, Inc. Investors cannot
invest directly in an index.
Class A Shares have a $2,500 minimum initial deposit and carry a 5.75% sales
charge.
Certain fees and expenses of the Fund are currently being waived and reimbursed
as described in the prospectus. Had the expenses not been subsidized or waived,
returns would have been lower. Also, all performance shown in this section does
not reflect the deduction of taxes that a shareholder would pay on fund
distributions or redemption of fund shares.
23
<Page>
JPMORGAN FLEMING INTERNATIONAL EQUITY FUND
AS OF OCTOBER 31, 2004 (Unaudited)
FUND FACTS
Fund Inception 1/1/97
Fiscal Year End OCTOBER 31
Net Assets as of 10/31/2004
(In Millions) $1,316.1
Primary Benchmark MSCI EAFE INDEX
Q: HOW DID THE FUND PERFORM?
A: JPMorgan Fleming International Equity Fund, which seeks total return from
long-term capital growth and income, rose 18.3% (Select Shares) over the year
ending October 31, 2004, compared with the 18.8% return of the MSCI EAFE
Index over the same period.
Q: WHY DID THE FUND PERFORM IN THIS WAY?
A: The Fund generated substantial returns when strong corporate earnings growth
drove rallies in foreign equity markets. Compared with the MSCI EAFE Index,
the greatest positive contribution came from the Consumer Staples sector. The
Fund successfully avoided buying expensive growth stocks, which later fell
back when earnings disappointed. Stocks that the Fund did hold, and which
made notable contributions, included Altadis, the Spanish tobacco company,
and Tesco, the U.K. discount retailer. Altadis continues to make profit gains
through restructuring, while Tesco reported rapid growth in sales and
earnings.
The two other positive sectors for the Fund were Materials and Healthcare.
Within materials, the Fund again benefited from avoiding stocks trading on
excessive valuations. The biggest contributor to performance was Imerys, the
French building materials company, which benefited from buoyant construction
activity. Within Healthcare, the Fund focused on companies with full drug
pipelines. The best performing holding was Aventis, the French pharmaceutical
company, which agreed to be taken over by rival Sanofi-Synthelabo during the
period.
From a negative perspective, the Fund's holdings in both the Consumer
Discretionary and Utilities sectors performed poorly relative to the Index.
In the case of Consumer Discretionary, the shortfall was largely caused by
just three stocks -- BMW, the German car manufacturer; Compass Group, the
U.K. catering company; Koninklijke Philips Electronics, the Dutch electronics
company. The Fund was underweight utilities in a period when the sector's
defensive characteristics caused it to rally more than the broad market.
Q: HOW WAS THE FUND MANAGED?
A: As always, the Fund focused on stock picking to build a diversified portfolio
of international equities demonstrating attractive earnings growth prospects
at reasonable valuations. In a year when many companies reported strong
earnings growth, it was important to avoid buying stocks at excessive
valuations at what may be the peak of the current earnings cycle.
24
<Page>
ANNUAL REPORT OCTOBER 31 2004
(Unaudited)
[CHART]
PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS
<Table>
United Kingdom 25.5%
Japan 19.9%
France 11.7%
Switzerland 11.0%
Germany 5.1%
The Netherlands 4.9%
Italy 4.7%
Hong Kong 3.5%
Spain 2.4%
Australia 2.3%
South Korea 2.3%
Belgium 2.0%
Finland 1.2%
Brazil 1.1%
Ireland 0.8%
Mexico 0.7%
Sweden 0.7%
Russia 0.2%
</Table>
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO
<Table>
1. Total SA (France) 4.1%
2. ENI-Ente Nazionale
Idrocarburi SPA (Italy) 3.7%
3. Vodafone Group PLC
(United Kingdom) 3.6%
4. HSBC Holdings PLC
(Hong Kong Registered
Shares) (United Kingdom) 3.0%
5. GlaxoSmithKline PLC
(United Kingdom) 2.7%
6. UBS AG (Switzerland) 2.1%
7. Novartis AG (Switzerland) 2.1%
8. Tesco PLC (United Kingdom) 1.9%
9. Nestle SA (Switzerland) 1.8%
10. Barclays PLC
(United Kingdom) 1.8%
</Table>
Top 10 equity holdings comprised 26.8% of the Portfolio's market value of
investments ($337,277,343). As of October 31, 2004, the Fund held 90 equity
holdings Portfolio holdings are subject to change at any time.
25
<Page>
AVERAGE ANNUAL TOTAL RETURNS AS OF OCTOBER 31, 2004
<Table>
<Caption>
1 YEAR 3 YEARS 5 YEARS 10 YEARS
-------------------------------------------------------------
CLASS A SHARES
Without Sales Charge 17.86% 9.27% 0.99% 5.22%
With Sales Charge* 11.10% 7.14% (0.20%) 4.61%
-------------------------------------------------------------
CLASS B SHARES
Without CDSC 17.27% 8.80% 0.72% 5.09%
With CDSC** 12.27% 7.95% 0.41% 5.09%
-------------------------------------------------------------
CLASS C SHARES
Without CDSC 17.26% 8.79% 0.72% 5.08%
With CDSC*** 16.26% 8.79% 0.72% 5.08%
-------------------------------------------------------------
SELECT SHARES 18.31% 9.68% 1.22% 5.34%
</Table>
* Sales Charge for Class A Shares is 5.75%.
** Assumes 5% CDSC (contingent deferred sales charge) for the one year period,
3% CDSC for the three year period, 2% CDSC for the five year period and 0%
CDSC for the ten year period.
*** Assumes a 1% CDSC for one year period and 0% thereafter.
[CHART]
TEN-YEAR PERFORMANCE (10/31/94 TO 10/31/04)
<Table>
<Caption>
JPMORGAN FLEMING INTERNATIONAL
EQUITY FUND (SELECT SHARES) MSCI EAFE INDEX LIPPER INTERNATIONAL FUNDS INDEX
Oct-1994 $ 1,000,000 $ 1,000,000 $ 1,000,000
Nov-1994 $ 966,200 $ 951,900 $ 953,300
Dec-1994 $ 973,736 $ 957,897 $ 940,621
Jan-1995 $ 949,685 $ 921,114 $ 893,966
Feb-1995 $ 928,412 $ 918,443 $ 893,698
Mar-1995 $ 955,429 $ 975,753 $ 917,202
Apr-1995 $ 975,780 $ 1,012,442 $ 950,955
May-1995 $ 955,191 $ 1,000,394 $ 960,275
Jun-1995 $ 936,278 $ 982,887 $ 963,924
Jul-1995 $ 985,620 $ 1,044,121 $ 1,016,940
Aug-1995 $ 1,008,486 $ 1,004,340 $ 999,753
Sep-1995 $ 1,027,143 $ 1,023,924 $ 1,016,449
Oct-1995 $ 1,015,434 $ 996,381 $ 995,307
Nov-1995 $ 1,032,391 $ 1,024,080 $ 1,005,658
Dec-1995 $ 1,070,177 $ 1,065,350 $ 1,034,822
Jan-1996 $ 1,106,777 $ 1,069,718 $ 1,059,244
Feb-1996 $ 1,099,251 $ 1,073,355 $ 1,063,799
Mar-1996 $ 1,123,105 $ 1,096,111 $ 1,080,394
Apr-1996 $ 1,168,927 $ 1,128,007 $ 1,115,615
May-1996 $ 1,154,199 $ 1,107,252 $ 1,114,388
Jun-1996 $ 1,170,358 $ 1,113,453 $ 1,124,529
Jul-1996 $ 1,120,149 $ 1,080,940 $ 1,086,632
Aug-1996 $ 1,113,540 $ 1,083,318 $ 1,100,758
Sep-1996 $ 1,155,187 $ 1,112,134 $ 1,125,415
Oct-1996 $ 1,130,004 $ 1,100,790 $ 1,120,914
Nov-1996 $ 1,180,741 $ 1,144,602 $ 1,173,597
Dec-1996 $ 1,181,922 $ 1,129,836 $ 1,184,042
Jan-1997 $ 1,174,003 $ 1,090,292 $ 1,185,581
Feb-1997 $ 1,204,409 $ 1,108,173 $ 1,207,040
Mar-1997 $ 1,204,409 $ 1,112,162 $ 1,213,437
Apr-1997 $ 1,207,541 $ 1,118,057 $ 1,218,776
May-1997 $ 1,255,842 $ 1,190,842 $ 1,287,515
Jun-1997 $ 1,310,095 $ 1,256,458 $ 1,349,316
Jul-1997 $ 1,363,285 $ 1,276,812 $ 1,392,629
Aug-1997 $ 1,244,270 $ 1,181,434 $ 1,292,221
Sep-1997 $ 1,316,935 $ 1,247,595 $ 1,375,181
Oct-1997 $ 1,230,808 $ 1,151,655 $ 1,270,805
Nov-1997 $ 1,220,100 $ 1,139,908 $ 1,260,130
Dec-1997 $ 1,242,184 $ 1,149,825 $ 1,269,959
Jan-1998 $ 1,285,163 $ 1,202,372 $ 1,300,692
Feb-1998 $ 1,367,799 $ 1,279,564 $ 1,383,286
Mar-1998 $ 1,444,396 $ 1,318,975 $ 1,458,399
Apr-1998 $ 1,478,917 $ 1,329,395 $ 1,480,858
May-1998 $ 1,497,255 $ 1,322,881 $ 1,483,820
Jun-1998 $ 1,472,700 $ 1,332,935 $ 1,470,910
Jul-1998 $ 1,518,796 $ 1,346,397 $ 1,493,415
Aug-1998 $ 1,277,307 $ 1,179,579 $ 1,278,513
Sep-1998 $ 1,219,318 $ 1,143,366 $ 1,238,751
Oct-1998 $ 1,289,916 $ 1,262,504 $ 1,329,799
Nov-1998 $ 1,347,962 $ 1,327,145 $ 1,396,422
Dec-1998 $ 1,410,373 $ 1,379,434 $ 1,430,774
Jan-1999 $ 1,452,261 $ 1,375,296 $ 1,439,502
Feb-1999 $ 1,386,328 $ 1,342,564 $ 1,402,507
Mar-1999 $ 1,425,423 $ 1,398,549 $ 1,449,210
Apr-1999 $ 1,483,010 $ 1,455,190 $ 1,516,743
May-1999 $ 1,411,826 $ 1,380,248 $ 1,460,321
Jun-1999 $ 1,460,110 $ 1,434,077 $ 1,529,540
Jul-1999 $ 1,497,489 $ 1,476,669 $ 1,563,649
Aug-1999 $ 1,523,994 $ 1,482,133 $ 1,576,001
Sep-1999 $ 1,543,959 $ 1,497,103 $ 1,581,045
Oct-1999 $ 1,584,410 $ 1,553,244 $ 1,636,223
Nov-1999 $ 1,734,137 $ 1,607,141 $ 1,756,158
Dec-1999 $ 1,962,870 $ 1,751,463 $ 1,971,990
Jan-2000 $ 1,892,403 $ 1,640,245 $ 1,856,629
Feb-2000 $ 2,032,251 $ 1,684,367 $ 1,979,166
Mar-2000 $ 2,043,022 $ 1,749,721 $ 1,984,312
Apr-2000 $ 1,903,484 $ 1,657,686 $ 1,858,507
May-2000 $ 1,818,779 $ 1,617,238 $ 1,807,398
Jun-2000 $ 1,868,977 $ 1,680,472 $ 1,891,080
Jul-2000 $ 1,773,846 $ 1,610,060 $ 1,829,809
Aug-2000 $ 1,790,166 $ 1,624,068 $ 1,860,733
Sep-2000 $ 1,675,774 $ 1,544,976 $ 1,752,252
Oct-2000 $ 1,627,512 $ 1,508,514 $ 1,692,676
Nov-2000 $ 1,585,359 $ 1,451,945 $ 1,621,245
Dec-2000 $ 1,637,518 $ 1,503,489 $ 1,681,717
Jan-2001 $ 1,635,716 $ 1,502,737 $ 1,691,639
Feb-2001 $ 1,506,822 $ 1,390,032 $ 1,572,886
Mar-2001 $ 1,421,536 $ 1,297,317 $ 1,462,312
Apr-2001 $ 1,516,068 $ 1,387,480 $ 1,551,221
May-2001 $ 1,470,586 $ 1,338,502 $ 1,513,681
Jun-2001 $ 1,409,409 $ 1,283,758 $ 1,470,995
Jul-2001 $ 1,376,993 $ 1,260,393 $ 1,432,750
Aug-2001 $ 1,343,945 $ 1,228,505 $ 1,403,951
Sep-2001 $ 1,232,398 $ 1,104,058 $ 1,250,921
Oct-2001 $ 1,275,778 $ 1,132,322 $ 1,284,821
Nov-2001 $ 1,328,723 $ 1,174,104 $ 1,332,744
Dec-2001 $ 1,359,284 $ 1,181,031 $ 1,356,467
Jan-2002 $ 1,298,524 $ 1,118,319 $ 1,301,666
Feb-2002 $ 1,313,586 $ 1,126,147 $ 1,319,889
Mar-2002 $ 1,386,359 $ 1,187,071 $ 1,389,711
Apr-2002 $ 1,413,532 $ 1,194,906 $ 1,399,439
May-2002 $ 1,422,013 $ 1,210,081 $ 1,419,451
Jun-2002 $ 1,384,614 $ 1,161,920 $ 1,363,383
Jul-2002 $ 1,244,491 $ 1,047,239 $ 1,227,317
Aug-2002 $ 1,255,940 $ 1,044,830 $ 1,228,299
Sep-2002 $ 1,111,633 $ 932,615 $ 1,096,011
Oct-2002 $ 1,176,997 $ 982,697 $ 1,152,894
Nov-2002 $ 1,231,492 $ 1,027,311 $ 1,207,426
Dec-2002 $ 1,192,330 $ 992,794 $ 1,168,789
Jan-2003 $ 1,124,248 $ 951,394 $ 1,126,011
Feb-2003 $ 1,093,894 $ 929,607 $ 1,092,681
Mar-2003 $ 1,069,281 $ 911,387 $ 1,065,910
Apr-2003 $ 1,185,084 $ 1,000,703 $ 1,171,436
May-2003 $ 1,264,248 $ 1,061,345 $ 1,246,642
Jun-2003 $ 1,285,614 $ 1,087,030 $ 1,276,062
Jul-2003 $ 1,299,112 $ 1,113,336 $ 1,311,792
Aug-2003 $ 1,326,654 $ 1,140,167 $ 1,349,703
Sep-2003 $ 1,356,105 $ 1,175,285 $ 1,376,832
Oct-2003 $ 1,422,961 $ 1,248,505 $ 1,458,891
Nov-2003 $ 1,467,785 $ 1,276,222 $ 1,488,215
Dec-2003 $ 1,573,025 $ 1,375,894 $ 1,589,562
Jan-2004 $ 1,602,598 $ 1,395,295 $ 1,623,738
Feb-2004 $ 1,642,022 $ 1,427,526 $ 1,660,922
Mar-2004 $ 1,637,260 $ 1,435,520 $ 1,669,060
Apr-2004 $ 1,578,155 $ 1,403,077 $ 1,619,322
May-2004 $ 1,592,989 $ 1,407,848 $ 1,618,351
Jun-2004 $ 1,628,194 $ 1,438,680 $ 1,650,879
Jul-2004 $ 1,574,464 $ 1,391,922 $ 1,596,896
Aug-2004 $ 1,588,634 $ 1,398,047 $ 1,605,359
Sep-2004 $ 1,636,611 $ 1,434,536 $ 1,648,062
Oct-2004 $ 1,682,842 $ 1,483,454 $ 1,700,305
</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 Select Shares prior to 1/1/97 (offering date of the Select
Shares) are calculated using performance of a predecessor account and the
historical expenses at the level indicated (absent reimbursements) in the
Expense Summary for the Fund as disclosed in the Prospectus. The account was not
registered with the SEC and was not subject to investment restrictions of
registered mutual funds. If the account had been registered, performance may
have been adversely affected.
Returns for the Class A and B Shares prior to 2/28/02 (offering date of the
Class A and B Shares) are calculated using the historical expenses of the Select
Shares, which are lower than the expenses of the Class A and B Shares.
Returns for Class C Shares prior to 1/31/03 (offering date of the Class C
Shares) are calculated using the historical expenses of the Class B Shares,
which are similar to the expenses of the Class C Shares.
The graph illustrates comparative performance for $1,000,000 invested in Select
Shares of the JPMorgan Fleming International Equity Fund, MSCI EAFE Index, and
Lipper International Funds Index from October 31, 1994 to October 31, 2004. The
performance of the Fund assumes reinvestment of all dividends and capital gains
and does not include a sales charge. The performance of the indices does not
include a sales charge and has been adjusted to reflect reinvestment of all
dividends and capital gains of the securities included in the benchmark. The
MSCI EAFE (Europe, Australasia, Far East) Index is a replica (or model) of the
world's equity markets, excluding the U.S. and Canada. The Lipper International
Funds Index represents the total returns of the funds in the indicated category,
as defined by Lipper, Inc. Investors cannot invest directly in an index.
Select Shares have a $1,000,000 minimum initial deposit and carry no sales
charge.
Certain fees and expenses of the Fund are currently being waived and reimbursed
as described in the prospectus. Had the expenses not been subsidized or waived,
returns would have been lower. Also, all performance shown in this section does
not reflect the deduction of taxes that a shareholder would pay on fund
distributions or redemption of fund shares.
26
<Page>
JPMORGAN FLEMING INTREPID EUROPEAN FUND
PORTFOLIO OF INVESTMENTS AS OF OCTOBER 31, 2004
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- 99.4%
COMMON STOCKS -- 99.4%
AUSTRIA -- 1.8%
9,285 Bank Austria Creditanstalt AG (f) $ 686,458
3,147 OMV AG (f) 755,343
9,142 Voest-Alpine AG (f) 531,300
--------------------------------------------------------------------------------
1,973,101
--------------------------------------------------------------------------------
BELGIUM -- 5.5%
66,782 Belgacom SA* 2,446,561
59,387 Dexia (f) 1,190,307
43,320 Fortis Group (f) 1,101,469
12,533 KBC Bancassurance Holding (f) 918,682
4,265 NV Umicore SA (f) 329,379
--------------------------------------------------------------------------------
5,986,398
--------------------------------------------------------------------------------
DENMARK -- 2.3%
110 AP Moller-Maersk AS (f) 811,706
83 Carlsberg AG, Class B (f) 3,852
45,263 TDC A/S (f) 1,678,433
--------------------------------------------------------------------------------
2,493,991
--------------------------------------------------------------------------------
FINLAND -- 1.0%
116 Stora Enso OYJ, R Shares (f) 1,651
55,096 UPM-Kymmene OYJ (f) 1,088,536
506 YIT-Yhtyma OYJ (f) 10,040
--------------------------------------------------------------------------------
1,100,227
--------------------------------------------------------------------------------
FRANCE -- 15.7%
76,684 Alcatel SA* (f) 1,121,595
46 Areva SA (f) 16,958
25,485 AXA (f) 549,704
32,646 BNP Paribas (f) 2,223,514
17,638 Eramet 1,357,403
77,880 France Telecom SA (f) 2,232,958
8,432 Imerys SA (f) 594,048
3,560 Lafarge SA (f) 324,908
6,627 Renault SA (f) 554,688
302,315 Rhodia SA* (f) (l) 542,011
7,666 Sanofi-Aventis (f) 559,126
20,986 Societe Generale (f) 1,948,365
110,647 Suez SA (f) 2,584,820
7,949 Total SA (f) 1,654,253
27,075 Veolia Environnement (f) 819,826
--------------------------------------------------------------------------------
17,084,177
--------------------------------------------------------------------------------
GERMANY -- 11.0%
17,748 BASF AG (f) $ 1,111,602
37,156 Commerzbank AG (f) 680,545
84,453 Deutsche Lufthansa AG 1,109,736
51,079 Deutsche Post AG (f) 998,328
61,884 Deutsche Postbank AG* 2,456,050
57,718 Deutsche Telekom AG* 1,102,771
14,594 E.ON AG (f) 1,190,257
40,452 Hypo Real Estate Holding* (f) 1,513,620
21,051 RWE AG (f) 1,114,091
41,036 Thyssenkrupp AG (f) 772,746
--------------------------------------------------------------------------------
12,049,746
--------------------------------------------------------------------------------
GREECE -- 4.6%
66,439 Alpha Bank A.E. (f) 1,903,849
29,672 Cosmote Mobile
Communications SA 534,459
27,950 EFG Eurobank Ergasias SA (f) 764,599
45,118 National Bank of Greece SA (f) 1,258,762
26,620 OPAP SA (f) 542,191
--------------------------------------------------------------------------------
5,003,860
--------------------------------------------------------------------------------
IRELAND -- 3.5%
29,515 Anglo Irish Bank Corp. (f) 560,055
144,635 Depfa Bank PLC (f) 2,196,639
527,575 Eircom Group PLC* 1,100,607
--------------------------------------------------------------------------------
3,857,301
--------------------------------------------------------------------------------
ITALY -- 6.0%
543,242 Banca Intesa SPA (f) 1,829,042
71,000 ENI-Ente Nazionale
Idrocarburi SPA (f) 1,619,686
12,861 Pirelli & Co. Real Estate SPA (f) 561,723
169,815 Risanamento SPA (f) 348,695
655,679 Telecom Italia SpA (f) 2,182,644
--------------------------------------------------------------------------------
6,541,790
--------------------------------------------------------------------------------
LUXEMBOURG -- 0.7%
41,431 Arcelor SA (f) 773,994
NORWAY -- 3.1%
46,507 Aker Kvaerner ASA* 1,040,465
76,277 Golar LNG LTD* (f) 1,210,434
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
27
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
NORWAY -- CONTINUED
37,936 Statoil ASA (f) $ 551,618
162 Tandberg Television ASA* (f) 1,176
52,800 Yara International ASA* 563,780
--------------------------------------------------------------------------------
3,367,473
--------------------------------------------------------------------------------
SPAIN -- 4.1%
109,318 Banco Bilbao Vizcaya
Argentaria SA (f) (l) 1,717,709
12,180 Metrovacesa SA (f) 529,738
131,788 Telefonica SA (f) 2,181,109
--------------------------------------------------------------------------------
4,428,556
--------------------------------------------------------------------------------
SWEDEN -- 5.6%
64 Assa Abloy AB, Class B (f) 864
14,690 Atlas Copco AB, Class B (f) 561,146
38,288 ForeningsSparbanken AB (f) 804,542
30,921 JM AB (f) 658,606
65,622 Nordea AB (f) 566,833
14,143 SKF AB, Ser. B 546,780
95,625 Ssab Svenskt Stal AB, Ser. A (f) 1,895,004
25,120 Svenska Handelsbanken,
Class A (f) 543,967
15,111 Volvo AB, B Shares (f) 571,810
--------------------------------------------------------------------------------
6,149,552
--------------------------------------------------------------------------------
SWITZERLAND -- 5.4%
22,502 Ciba Specialty Chemicals AG (f) 1,547,095
82,883 Clariant AG (f) 1,120,913
45,832 Novartis AG (f) 2,189,721
2,499 Saurer AG* (f) 132,297
3,553 Syngenta AG* (f) 338,003
35,071 Xstrata PLC (f) 543,568
--------------------------------------------------------------------------------
5,871,597
--------------------------------------------------------------------------------
THE NETHERLANDS -- 7.5%
45,745 ABN AMRO Holding NV (f) 1,095,991
58,830 Akzo Nobel NV (f) 2,213,731
56 ASML Holding NV* (f) 798
22,287 Corio NV (f) 1,112,889
6,098 DSM NV (f) 332,195
41,445 ING Groep NV (f) 1,100,592
21,496 Rodamco Europe NV (f) 1,461,192
15,489 Royal Dutch Petroleum Co. (f) 839,907
--------------------------------------------------------------------------------
8,157,295
--------------------------------------------------------------------------------
UNITED KINGDOM -- 21.6%
28,597 Antofagasta PLC (f) $ 523,731
79,254 Aviva PLC (f) 792,946
445,379 BAE Systems PLC (f) 1,947,531
163,335 Barclays PLC (f) 1,596,296
53,295 BHP Billiton PLC (f) 541,539
147,024 BP PLC (f) 1,425,268
71,032 BPB PLC 546,964
38,387 Britannic Group PLC 268,685
200,237 British Airways PLC* (f) 794,633
108,824 Centrica PLC (f) 480,973
564,931 Corus Group PLC* (f) 504,565
99,312 Enterprise Inns PLC (f) 1,128,057
414,327 Friends Provident PLC (f) 1,034,293
102,942 GlaxoSmithKline PLC (f) 2,164,633
135,189 HSBC Holdings PLC (f) 2,180,948
141,569 Imperial Chemical
Industries PLC (f) 544,886
627,267 Legal & General Group PLC (f) 1,139,803
35,061 Punch Taverns PLC (f) 355,900
20,777 Rio Tinto PLC (f) 545,073
144,469 Scottish Power PLC (f) 1,167,623
113,773 Shell Transport &
Trading Co., PLC (f) 895,975
112,929 Shire Pharmaceuticals PLC (f) 1,074,466
4,800 TI Automotive LTD, Class A* (f) (i) 0
305,489 Tullow Oil PLC (f) 787,536
32,787 United Utilities PLC (f) 345,677
125,609 Vedanta Resources PLC (f) 823,761
--------------------------------------------------------------------------------
23,611,762
--------------------------------------------------------------------------------
Total Common Stocks 108,450,820
(Cost $100,107,026)
--------------------------------------------------------------------------------
INVESTMENT COMPANIES -- 0.0% ^
SWEDEN -- 0.0% ^
22 Ainax AB* 789
(Cost $0)
TOTAL INVESTMENTS -- 99.4% $ 108,451,609
(COST $100,107,026)
OTHER ASSETS IN EXCESS OF
LIABILITIES -- 0.6% 693,636
--------------------------------------------------------------------------------
NET ASSETS -- 100.0% $ 109,145,245
--------------------------------------------------------------------------------
</Table>
Percentages indicated are based on net assets of $109,145,245.
SEE NOTES TO FINANCIAL STATEMENTS.
28
<Page>
ANNUAL REPORT OCTOBER 31 2004
<Table>
<Caption>
PRINCIPAL
AMOUNT
(USD) COLLATERAL INVESTMENTS VALUE
- --------------------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
REPURCHASE AGREEMENT (c)
$ 1,217,848 Deutsche Bank Securities, Inc.,
1.90%, dated 10/29/04, due
11/01/04, proceeds $1,218,041
secured by U.S. Government
Agency Securities $ 1,217,848
</Table>
SUMMARY OF INVESTMENTS BY INDUSTRY, OCTOBER 31, 2004
The following represents the allocations by industry for common stocks and other
investments based on net assets:
<Table>
<Caption>
INDUSTRY PERCENTAGE
- -----------------------------------------------------
Banking 27.2%
Telecommunications 13.4
Oil & Gas 7.8
Chemicals 7.6
Utilities 7.1
Pharmaceuticals 5.5
Insurance 4.5
Metals/Mining 4.3
Steel 4.1
Real Estate 3.7
Construction 2.9
Transportation 2.8
Aerospace 1.8
Airlines 1.7
Retailing 1.4
Automotive 1.0
Paper/Forest Products 1.0
Other (below 1%) 1.6
- -----------------------------------------------------
Total 99.4%
- -----------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
29
<Page>
JPMORGAN FLEMING JAPAN FUND
PORTFOLIO OF INVESTMENTS AS OF OCTOBER 31, 2004
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- 98.2%
COMMON STOCKS -- 98.2%
ADVERTISING -- 0.2%
39 Advance Create Co., LTD (W/I)* $ 88,144
AEROSPACE -- 1.0%
35,000 Japan Aviation Electronics
Industry LTD (f) 347,451
40,000 Sumitomo Precision
Products Co., LTD (f) 118,782
--------------------------------------------------------------------------------
466,233
--------------------------------------------------------------------------------
AUTOMOTIVE -- 13.0%
63,000 Calsonic Kansei Corp. (f) 455,269
14,400 Denso Corp. (f) 343,832
19,000 Honda Motor Co., LTD (f) 921,110
429,000 Mitsubishi Motors Corp.* 468,632
15,000 Musashi Seimitsu
Industry Co., LTD (f) 325,642
122,200 Nissan Motor Co., LTD (f) 1,373,696
18,900 Showa Corp. (f) 249,172
55,300 Toyota Motor Corp. (f) (l) 2,141,252
--------------------------------------------------------------------------------
6,278,605
--------------------------------------------------------------------------------
BANKING -- 7.9%
107 Mitsubishi Tokyo Financial
Group, Inc. (f) 905,298
315 Mizuho Financial Group, Inc. (f) 1,214,077
68,000 Shinsei Bank LTD (f) (l) 443,036
66 Sumitomo Mitsui Financial
Group, Inc. (f) (I) 428,561
85,000 The 77 Bank LTD (f) 505,448
64,000 The Hiroshima Bank LTD (l) 298,333
--------------------------------------------------------------------------------
3,794,753
--------------------------------------------------------------------------------
BUSINESS SERVICES -- 0.4%
4,600 Arrk Corp. (f) 170,866
CHEMICALS -- 5.6%
28,000 Fujikura Kasei Co., LTD (f) 225,480
19,700 Hitachi Chemical Co., LTD (f) 310,180
31,600 JSR Corp. (f) 574,501
26,000 Nissan Chemical Industries LTD (f) 210,744
10,800 Nitto Denko Corp. (f) 511,681
10,300 Shin-Etsu Chemical Co., LTD (f) $ 390,533
133,000 Toyo Ink Mfg. Co., LTD (f) 457,489
--------------------------------------------------------------------------------
2,680,608
--------------------------------------------------------------------------------
COMPUTER SOFTWARE -- 0.8%
53 Cybernet Systems Co., LTD (f) 157,293
35,000 Yuke's Co., LTD 226,433
--------------------------------------------------------------------------------
383,726
--------------------------------------------------------------------------------
CONSTRUCTION -- 0.9%
8,000 Daikin Industries LTD (f) 194,480
34,000 Sekisui Chemical Co., LTD (f) 215,803
--------------------------------------------------------------------------------
410,283
--------------------------------------------------------------------------------
CONSTRUCTION MATERIALS -- 0.8%
73,000 Sanwa Shutter Corp. (f) 372,461
CONSUMER PRODUCTS -- 0.5%
23,000 Sankyo Seiki
Manufacturing Co., LTD* (f) 226,376
CONSUMER SERVICES -- 2.2%
24,100 Park24 Co., LTD* (f) (l) 408,732
15,100 Park24 Co., LTD (W/I)* 256,667
4,900 TIS, Inc. (f) (l) 165,117
2,630 USS Co., LTD (f) 212,359
--------------------------------------------------------------------------------
1,042,875
--------------------------------------------------------------------------------
DISTRIBUTION -- 5.3%
30,900 Advan Co., LTD (f) (l) 372,307
17,300 Misumi Corp. (f) (l) 472,871
69,200 Mitsubishi Corp. (f) (l) 763,027
57,000 Mitsui & Co., LTD (f) 478,144
59,000 Sumitomo Corp. (f) 437,964
--------------------------------------------------------------------------------
2,524,313
--------------------------------------------------------------------------------
ELECTRONICS/ELECTRICAL EQUIPMENT -- 13.9%
11,200 Cosel Co., LTD (f) 260,502
13,100 Enplas Corp. (f) 379,317
10,500 Fanuc LTD (f) (l) 632,082
59,000 Fujikura LTD (f) (l) 258,687
43,500 Ibiden Co., LTD (f) (l) 669,252
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
30
<Page>
ANNUAL REPORT OCTOBER 31 2004
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
ELECTRONICS/ELECTRICAL EQUIPMENT -- CONTINUED
12,500 Iriso Electronics Co., LTD $ 200,113
3,300 Keyence Corp. (f) 742,259
133,000 Mutoh Industries LTD* (f) 339,610
5,800 Nidec Corp. (f) (l) 627,918
116,000 Nissin Electric Co., LTD (f) 336,947
83,000 Oki Electric Industry Co., LTD* (f) (l) 283,571
10,700 Omron Corp. (f) 242,260
4,200 SMC Corp. (f) 448,639
24,300 Sony Corp. (f) 846,123
28,000 Sumitomo Electric Industries LTD (f) 264,417
18,300 Toyo Corp. (f) 197,009
--------------------------------------------------------------------------------
6,728,706
--------------------------------------------------------------------------------
ENTERTAINMENT/LEISURE -- 0.5%
6,700 Mars Engineering Corp. (f) (l) 250,901
FINANCIAL SERVICES -- 6.8%
4,160 Acom Co., LTD (f) 260,293
2,650 Aiful Corp. (f) 263,446
47,000 Daiwa Securities Group, Inc. (f) 287,859
5,200 Diamond Lease Co., LTD (f) (l) 185,509
2,900 Jafco Co., LTD (f) (l) 148,646
43,000 Japan Asia Investment Co., LTD (f) 161,106
202 KK DaVinci Advisors* (f) 181,701
28,200 Lopro Corp. (f) (l) 181,944
26,400 Matsui Securities Co., LTD (f) (l) 698,270
32,000 Mitsubishi Securities Co., LTD (f) (l) 297,191
80,000 Nikko Cordial Corp. (f) 357,254
1,070 SFCG & Co., LTD (l) 224,499
--------------------------------------------------------------------------------
3,247,718
--------------------------------------------------------------------------------
FOOD/BEVERAGE PRODUCTS -- 1.1%
11,400 Ito En LTD (f) (l) 514,250
HEALTH CARE/HEALTH CARE SERVICES -- 0.9%
4,400 Hoya Corp. (f) 451,177
HOTELS/OTHER LODGING -- 0.4%
10,100 Kyoritsu Maintenance Co., LTD (f) 212,718
INTERNET SERVICES/SOFTWARE -- 0.4%
208 eAccess LTD* (f) (l) 184,422
MACHINERY & ENGINEERING EQUIPMENT -- 4.4%
31,000 Amada Co., LTD (f) $ 164,587
76,000 Daifuku Co., LTD (f) (l) 418,411
31,000 Komatsu LTD (f) 206,953
63,000 Mori Seiki Co., LTD (f) (l) 475,028
43,000 Nabtesco Corp. (f) 231,094
6,000 Takeuchi Manufacturing Co., LTD (f) 268,113
120,000 Tsugami Corp. (f) 346,303
--------------------------------------------------------------------------------
2,110,489
--------------------------------------------------------------------------------
MANUFACTURING -- 0.9%
85,200 NTN Corp. (f) (l) 446,892
METALS/MINING -- 1.1%
87,000 Dowa Mining Co., LTD (f) (l) 524,141
OFFICE/BUSINESS EQUIPMENT -- 3.0%
24,300 Canon, Inc. (f) 1,198,612
35,000 Okamura Corp. 246,210
--------------------------------------------------------------------------------
1,444,822
--------------------------------------------------------------------------------
PHOTOGRAPHIC EQUIPMENT -- 0.4%
15,500 Konica Minolta Holdings, Inc. (f) (l) 205,986
REAL ESTATE -- 2.5%
3,800 Aeon Mall Co., LTD (f) 242,852
9,100 First Juken Co., LTD 173,105
18,000 Mitsubishi Estate Co., LTD (f) (l) 189,658
20,000 Mitsui Fudosan Co., LTD (f) 211,873
36,400 The Japan General
Estate Co., LTD (f) 378,064
--------------------------------------------------------------------------------
1,195,552
--------------------------------------------------------------------------------
RETAILING -- 8.2%
25,300 AEON Co., LTD (f) 404,355
25,600 EDION Corp. (f) 229,278
3,020 Gulliver International Co., LTD (f) 306,149
13,700 Izumi Co. LTD (f) 274,307
45,000 Izumiya Co., LTD (f) 299,722
7,000 Lawson, Inc. (f) 233,292
10,100 Otsuka Kagu LTD 228,270
70,000 Parco Co., LTD (f) 411,860
3,900 Ryohin Keikaku Co., LTD (f) 174,291
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
31
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
RETAILING -- CONTINUED
54,000 Takashimaya Co., LTD (f) $ 461,722
52,800 VT Holdings Co., LTD (W/I)* 536,999
129 Yoshinoya D&C Co., LTD (l) 204,087
5,900 Zakkaya Bulldog Co., LTD 190,018
--------------------------------------------------------------------------------
3,954,350
--------------------------------------------------------------------------------
SEMI-CONDUCTORS -- 1.5%
7,100 Rohm Co., LTD (f) 726,682
STEEL -- 2.5%
21,800 JFE Holdings, Inc. (f) 584,706
255,000 Nippon Steel Corp. (f) 595,335
--------------------------------------------------------------------------------
1,180,041
--------------------------------------------------------------------------------
TELECOMMUNICATIONS -- 7.9%
98 Alpha Group, Inc. 378,378
245 KDDI Corp. (f) 1,178,333
128 NextCom KK (f) (l) 349,585
687 NTT DoCoMo, Inc. (f) 1,210,509
44,000 Tamura Taiko Holdings, Inc.* (f) 215,409
150 Telepark Corp. 463,320
--------------------------------------------------------------------------------
3,795,534
--------------------------------------------------------------------------------
TEXTILES -- 0.8%
118,000 Mitsubishi Rayon Co., LTD (f) 375,236
TOOLS/EQUIPMENT -- 0.4%
17,200 OSG Corp. (f) (l) 195,561
TRANSPORTATION -- 1.6%
133,000 Mitsui O.S.K. Lines LTD (f) 787,078
WHOLESALING -- 0.4%
84 Quin Land Co., LTD (f) $ 216,120
--------------------------------------------------------------------------------
Total Common Stocks 47,187,619
(Cost $46,476,579)
--------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 98.2% $ 47,187,619
(COST $46,476,579)
OTHER ASSETS IN EXCESS OF
LIABILITIES -- 1.8% 877,577
--------------------------------------------------------------------------------
NET ASSETS -- 100.0% $ 48,065,196
--------------------------------------------------------------------------------
</Table>
Percentages indicated are based on net assets of $48,065,196.
<Table>
COLLATERAL INVESTMENTS
- --------------------------------------------------------------------------------------------------
MONEY MARKET FUND (c)
3,000,000 Barclays Global Investors
Prime Money Market Fund $ 3,000,000
<Caption>
PRINCIPAL
AMOUNT
(USD)
- --------------------------------------------------------------------------------------------------
REPURCHASE AGREEMENT (c)
$ 4,451,450 Deutsche Bank Securities, Inc.
1.90%, dated 10/29/04, due
11/01/04, proceeds $4,452,153
collateralized by U.S. Government
Agency Securities 4,451,450
--------------------------------------------------------------------------------
$ 7,451,450
--------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
32
<Page>
JPMORGAN FLEMING INTERNATIONAL GROWTH FUND
PORTFOLIO OF INVESTMENTS AS OF OCTOBER 31, 2004
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- 98.0%
COMMON STOCKS -- 96.9%
AUSTRALIA -- 1.2%
6,330 News Corp., LTD (f) $ 50,839
BELGIUM -- 0.8%
240 Colruyt SA (f) 34,773
BRAZIL -- 1.2%
2,400 Companhia Vale Do Rio Doce, ADR 50,784
CHINA -- 1.1%
70,000 China Life Insurance Co., LTD* (f) 46,468
FINLAND -- 1.1%
3,170 Nokia OYJ (f) 48,814
FRANCE -- 5.5%
770 BNP Paribas (f) 52,453
1,020 Dassault Systemes SA (f) 51,675
660 Total SA (f) 137,373
--------------------------------------------------------------------------------
241,501
--------------------------------------------------------------------------------
GERMANY -- 6.5%
890 Altana AG (f) 44,898
1,530 Bayerische Motoren Werke AG (f) 64,636
1,000 Deutsche Boerse AG (f) 49,904
460 SAP AG (f) 78,503
750 Schering AG (f) 48,188
--------------------------------------------------------------------------------
286,129
--------------------------------------------------------------------------------
HONG KONG -- 2.1%
6,500 Esprit Holdings LTD (f) 34,744
3,600 HSBC Holdings PLC (Hong Kong
Registered Shares) (f) 58,235
--------------------------------------------------------------------------------
92,979
--------------------------------------------------------------------------------
IRELAND -- 1.0%
2,300 Anglo Irish Bank Corp., PLC 43,834
ITALY -- 1.0%
1,920 ENI-Ente Nazionale Idrocarburi SPA (f) 43,807
JAPAN -- 21.3%
2,000 Canon, Inc. (f) $ 98,651
2,700 Chugai Pharmaceutical Co., LTD (f) 42,205
1,200 Credit Saison Co., LTD (f) 38,317
2,000 Daikin Industries LTD (f) 48,620
35 eAccess LTD* (f) 31,033
1,100 Fanuc LTD (f) 66,218
2,000 Fujisawa Pharmaceutical Co., LTD (f) 52,190
600 Honda Motor Co., LTD (f) 29,088
700 Hoya Corp. (f) 71,778
8 Mitsubishi Tokyo Financial
Group, Inc. (f) 67,686
17,000 Nikko Cordial Corp. (f) 75,915
1,000 Nitto Denko Corp. (f) 47,378
1,500 Secom Co., LTD (f) 54,315
4,000 Sharp Corp. (f) 55,119
1,800 Shin-Etsu Chemical Co., LTD (f) 68,248
500 SMC Corp. (f) 53,409
610 Takefuji Corp. (f) 38,448
--------------------------------------------------------------------------------
938,618
--------------------------------------------------------------------------------
LUXEMBOURG -- 1.1%
4,700 SES Global SA, FDR 48,435
MEXICO -- 0.9%
900 Fomento Economico
Mexicano SA de CV, ADR 39,690
SOUTH KOREA -- 3.9%
420 Samsung Electronics Co., LTD, GDR 82,320
130 Samsung Electronics Co., LTD, GDR, # 25,518
3,100 SK Telecom Co., LTD, ADR 61,163
--------------------------------------------------------------------------------
169,001
--------------------------------------------------------------------------------
SPAIN -- 5.4%
2,010 Altadis SA (f) 73,666
2,000 Gestevision Telecinco SA* 38,091
7,500 Telefonica SA (f) 124,146
--------------------------------------------------------------------------------
235,903
--------------------------------------------------------------------------------
SWEDEN -- 1.1%
16,000 Telefonaktiebolaget LM Ericsson,
B Shares* (f) 46,414
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
33
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
SWITZERLAND -- 12.4%
1,360 Adecco SA (f) $ 65,383
410 Nestle SA (f) 96,799
2,300 Novartis AG (f) 109,865
1,555 Roche Holding AG (f) 158,662
1,650 UBS AG (f) 119,076
--------------------------------------------------------------------------------
549,785
--------------------------------------------------------------------------------
TAIWAN -- 0.8%
4,451 Taiwan Semiconductor
Manufacturing Co., LTD ADR 33,694
THE NETHERLANDS -- 2.1%
2,930 Koninklijke Philips Electronics NV (f) 69,703
1,700 Reed Elsevier NV (f) 22,337
--------------------------------------------------------------------------------
92,040
--------------------------------------------------------------------------------
UNITED KINGDOM -- 26.4%
4,470 Barclays PLC (f) 43,681
9,360 BG Group PLC (f) 61,096
5,800 British Sky Broadcasting PLC (f) 54,116
11,250 Centrica PLC (f) 49,717
7,970 GlaxoSmithKline PLC (f) 167,571
6,000 Intercontinental Hotels Group PLC (f) 73,345
3,385 Intertek Group PLC (f) 42,670
12,787 Kingfisher PLC (f) 70,933
2,200 Reckitt Benckiser PLC (f) 60,256
3,540 Royal Bank of Scotland Group PLC (f) 104,192
5,200 Smith & Nephew PLC (f) 44,233
2,500 Standard Chartered PLC (f) 44,622
11,800 Tesco PLC (f) 62,090
79,000 Vodafone Group PLC (f) 202,726
19,800 WM Morrison Supermarkets PLC (f) 82,210
--------------------------------------------------------------------------------
1,163,458
--------------------------------------------------------------------------------
Total Common Stocks 4,256,966
(Cost $3,709,604)
--------------------------------------------------------------------------------
PREFERRED STOCKS -- 1.1%
GERMANY -- 1.1%
73 Porsche AG (f) 46,476
(Cost $29,372)
RIGHTS -- 0.0% ^
BELGIUM -- 0.0% ^
240 Colruyt SA, expires 3/31/05* $ 351
(Cost $0)
--------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 98.0% $ 4,303,793
(COST $3,738,976)
OTHER ASSETS IN EXCESS OF
LIABILITIES -- 2.0% 85,840
--------------------------------------------------------------------------------
NET ASSETS -- 100.0% $ 4,389,633
--------------------------------------------------------------------------------
</Table>
Percentages indicated are based on net assets of $4,389,633.
SUMMARY OF INVESTMENTS BY INDUSTRY, OCTOBER 31, 2004
The following represents the allocations by industry for common stocks and other
investments based on net assets:
<Table>
<Caption>
INDUSTRY PERCENTAGE
- -----------------------------------------------------
Pharmaceuticals 14.2%
Banking 12.2
Telecommunications 12.1
Electronics/Electrical Equipment 7.4
Retailing 5.7
Oil & Gas 5.5
Financial Services 4.6
Food/Beverage Products 3.9
Automotive 3.2
Consumer Products 3.0
Semi-Conductors 2.6
Chemicals 2.6
Business Services 2.5
Office/Business Equipment 2.2
Broadcasting/Cable 2.1
Computers/Computer Hardware 1.8
Hotels/Other Lodging 1.7
Manufacturing 1.6
Computer Software 1.2
Metals/Mining 1.2
Multi-Media 1.2
Utilities 1.1
Construction 1.1
Insurance 1.1
Health Care/Health Care Services 1.0
Other (below 1%) 1.2
- -----------------------------------------------------
Total 98.0%
- -----------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
34
<Page>
JPMORGAN FLEMING INTERNATIONAL VALUE FUND
PORTFOLIO OF INVESTMENTS AS OF OCTOBER 31, 2004
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- 98.7%
COMMON STOCKS -- 98.7%
BRAZIL -- 1.1%
16,270 Petroleo Brasileiro SA
(Preferred), ADR + $ 530,402
FRANCE -- 11.8%
36,441 AXA (f) + 786,022
16,996 BNP Paribas (f) + 1,157,595
39,811 Credit Agricole SA (f) + 1,167,423
17,786 Peugeot SA (f) + 1,093,683
6,641 Total SA (f) + 1,382,047
--------------------------------------------------------------------------------
5,586,770
--------------------------------------------------------------------------------
GERMANY -- 8.0%
25,283 Bayer AG (f) + 717,911
36,926 Commerzbank AG* (f) + 676,332
12,600 Deutsche Bank AG (f) + 958,942
17,845 E.ON AG (f) + 1,455,403
--------------------------------------------------------------------------------
3,808,588
--------------------------------------------------------------------------------
HONG KONG -- 2.0%
285,000 Cathay Pacific Airways LTD (f) + 493,877
48,000 Sun Hung Kai Properties LTD (f) + 444,292
--------------------------------------------------------------------------------
938,169
--------------------------------------------------------------------------------
INDIA -- 1.6%
31,313 Reliance Industries LTD, GDR, # + 776,562
INDONESIA -- 1.2%
1,207,000 Telekomunikasi
Indonesia TBK PT (f) + 577,549
ITALY -- 2.8%
59,237 ENI-Ente Nazionale
Idrocarburi SPA (f) + 1,351,343
JAPAN -- 22.5%
47,100 Asahi Breweries LTD (f) + 484,523
84,000 Daiwa Securities Group, Inc. (f) + 514,472
21,300 Honda Motor Co., LTD (f) + 1,032,613
229,000 Itochu Corp.* (f) (l) + 980,988
97 Japan Tobacco, Inc. (f) + 850,876
126,000 Kubota Corp. (f) + 573,560
109,000 Mitsubishi Electric Corp. (f) + 509,035
191,000 Mitsui Chemicals, Inc. (f) + 931,634
5,400 Nintendo Co., LTD (f) + $ 607,320
116,500 Nippon Mining Holdings, Inc. (f) + 553,799
193 Nippon Telegraph &
Telephone Corp. (f) + 819,122
4,300 Rohm Co., LTD (f) + 440,103
32,000 Sankyo Co., LTD (f) + 664,206
15,100 Sony Corp. (f) + 525,780
40,300 Suzuki Motor Corp. (f) + 710,987
107 UFJ Holdings, Inc.* (f) + 496,013
--------------------------------------------------------------------------------
10,695,031
--------------------------------------------------------------------------------
RUSSIA -- 1.0%
3,950 LUKOIL, ADR + 491,538
SINGAPORE -- 0.7%
217,285 Singapore
Telecommunications LTD (f) + 316,042
SOUTH KOREA -- 1.8%
8,770 Hyundai Mobis (f) + 450,673
12,145 Kookmin Bank, ADR* + 408,436
--------------------------------------------------------------------------------
859,109
--------------------------------------------------------------------------------
SPAIN -- 2.3%
50,020 Iberdrola SA (f) (l) + 1,093,697
SWEDEN -- 2.5%
11,800 Atlas Copco AB, Class A (f) + 488,345
17,618 SKF AB, Ser. B + 681,126
--------------------------------------------------------------------------------
1,169,471
--------------------------------------------------------------------------------
SWITZERLAND -- 6.1%
114,632 ABB LTD* (f) + 660,585
7,249 Ciba Specialty Chemicals AG (f) + 498,396
32,319 Compagnie Financiere
Richemont AG, Class A (f) + 915,429
5,857 Zurich Financial Services AG* (f) + 833,398
--------------------------------------------------------------------------------
2,907,808
--------------------------------------------------------------------------------
THE NETHERLANDS -- 5.6%
53,196 ING Groep NV (f) + 1,412,646
72,795 Koninklijke KPN NV (f) + 581,734
49,450 Koninklijke Wessanen NV (f) (l) + 646,952
--------------------------------------------------------------------------------
2,641,332
--------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
35
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
UNITED KINGDOM -- 27.7%
81,779 Aviva PLC (f) + $ 818,209
43,717 Barclays PLC (f) + 427,252
179,735 BP PLC (f) + 1,742,347
74,387 BPB PLC + 572,798
69,700 Hanson PLC (f) + 513,850
108,436 HBOS PLC (f) + 1,452,162
179,289 HSBC Holdings PLC (f) + 2,892,355
31,553 Intercontinental Hotels
Group PLC (f) + 385,752
105,314 Rank Group PLC (f) + 552,783
45,001 Royal Bank of Scotland
Group PLC (f) + 1,324,646
142,322 Scottish Power PLC (f) + 1,150,270
162,264 Tesco PLC (f) + 853,898
170,600 TI Automotive LTD,
Class A* (f) ( i ) + 0
47,345 United Business Media PLC (f) + 414,321
--------------------------------------------------------------------------------
13,100,643
--------------------------------------------------------------------------------
Total Common Stocks 46,844,054
(Cost $39,403,539)
--------------------------------------------------------------------------------
<Caption>
PRINCIPAL
AMOUNT
(USD)
- --------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS -- 0.3%
U.S. TREASURY SECURITY -- 0.3%
$ 160,000 U.S. Treasury Bill,
1.64%, 12/16/04 @ 159,686
(Cost $159,671)
<Caption>
SHARES
- --------------------------------------------------------------------------------------------------
MONEY MARKET FUND -- 0.0% ^
2,286 JPMorgan Prime Money
Market Fund (a) 2,286
(Cost $2,286)
--------------------------------------------------------------------------------
Total Short-Term Investments 161,972
(Cost $161,957)
--------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 99.0% $ 47,006,026
(COST $39,565,496)
OTHER ASSETS IN EXCESS OF
LIABILITIES -- 1.0% 451,095
--------------------------------------------------------------------------------
NET ASSETS -- 100.0% $ 47,457,121
--------------------------------------------------------------------------------
</Table>
Percentages indicated are based on net assets of $47,457,121.
<Table>
<Caption>
SHARES COLLATERAL INVESTMENTS VALUE
- --------------------------------------------------------------------------------------------------
MONEY MARKET FUNDS (c)
1,000,000 Barclays Global Investors
Prime Money Market Fund $ 1,000,000
<Caption>
PRINCIPAL
AMOUNT
(USD)
- --------------------------------------------------------------------------------------------------
REPURCHASE AGREEMENT (c)
$ 1,301,673 Deutsche Bank Securities, Inc.,
1.90%, dated 10/29/04, due
11/01/04, proceeds $1,301,878
secured by U.S. Government
Agency Securities 1,301,673
--------------------------------------------------------------------------------
$ 2,301,673
--------------------------------------------------------------------------------
</Table>
SUMMARY OF INVESTMENTS BY INDUSTRY, OCTOBER 31, 2004
The following represents the allocations by industry for common stocks and other
investments based on net assets:
<Table>
<Caption>
INDUSTRY PERCENTAGE
- -----------------------------------------------------
Banking 23.1%
Oil & Gas 12.7
Insurance 8.1
Utilities 7.8
Automotive 6.9
Chemicals 6.2
Telecommunications 4.8
Retailing 3.7
Electronics/Electrical Equipment 3.6
Food/Beverage Products 2.4
Machinery & Engineering Equipment 2.2
Distribution 2.1
Consumer Products 1.8
Industrial Components 1.4
Pharmaceuticals 1.4
Toys & Games 1.3
Construction 1.2
Entertainment & Leisure 1.2
Financial Services 1.1
Construction Materials 1.1
Airlines 1.0
Other (below 1%) 3.9
- -----------------------------------------------------
Total 99.0%
- -----------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
36
<Page>
ANNUAL REPORT OCTOBER 31 2004
FUTURES CONTRACTS
<Table>
<Caption>
NOTIONAL UNREALIZED
NUMBER OF VALUE AT APPRECIATION/
CONTRACTS DESCRIPTION EXPIRATION DATE 10/31/04 (USD) (DEPRECIATION) (USD)
- -----------------------------------------------------------------------------------------------
LONG FUTURES OUTSTANDING
5 DJ Euro Stoxx December, 2004 $ 179,295 $ 2,172
1 FTSE 100 Index December, 2004 84,991 511
1 Topix Index December, 2004 101,704 (3,766)
</Table>
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS
<Table>
<Caption>
NET UNREALIZED
SETTLEMENT SETTLEMENT VALUE AT APPRECIATION
CONTRACTS TO BUY DATE VALUE (USD) 10/31/04 (USD) (DEPRECIATION) (USD)
- -----------------------------------------------------------------------------------------------
2,884,477 AUD 11/26/04 $ 2,064,420 $ 2,149,945 $ 85,525
1,363,150 CHF 11/26/04 1,084,078 1,135,571 51,493
14,114,276 DKK 11/26/04 2,336,027 2,415,992 79,965
3,984,632 EUR 11/26/04 4,876,142 5,068,332 192,190
190,000 EUR for
26,011,592 JPY 11/26/04 245,278** 241,674** (3,604)
560,000 GBP 11/26/04 996,689 1,024,251 27,562
3,600,731 HKD 11/26/04 462,673 463,159 486
97,856,012 JPY 11/26/04 897,108 922,740 25,632
52,999,440 JPY 11/26/04 496,068 499,762 3,694
390,000 EUR
1,326,085 NOK 11/26/04 197,781 207,480 9,699
1,682,435 SEK 11/26/04 225,016 236,517 11,501
1,196,395 SGD 11/26/04 708,434 718,759 10,325
- -----------------------------------------------------------------------------------------------
$ 14,589,714 $ 15,084,182 $ 494,468
- -----------------------------------------------------------------------------------------------
</Table>
<Table>
<Caption>
NET UNREALIZED
SETTLEMENT SETTLEMENT VALUE AT APPRECIATION
CONTRACTS TO SELL DATE VALUE (USD) 10/31/04 (USD) (DEPRECIATION) (USD)
- ------------------------------------------------------------------------------------------------
1,730,034 CHF 11/26/04 $ 1,368,209 $ 1,441,202 $ (72,993)
5,145,541 EUR 11/26/04 6,302,659 6,544,974 (242,315)
1,356,319 GBP 11/26/04 2,434,472 2,480,734 (46,262)
8,159,117 HKD 11/26/04 1,048,753 1,049,502 (749)
188,736,900 JPY 11/26/04 1,745,100 1,779,707 (34,607)
3,306,345 SEK 11/26/04 449,464 464,806 (15,342)
1,116,443 SGD 11/26/04 654,441 670,726 (16,285)
- ------------------------------------------------------------------------------------------------
$ 14,003,098 $ 14,431,651 $ (428,553)
- ------------------------------------------------------------------------------------------------
</Table>
** For cross-currency exchange contracts, the settlement value is the market
value at 10/31/04 of the currency being sold, and the value at 10/31/04 is
the market value at 10/31/04 of the currency being bought.
SEE NOTES TO FINANCIAL STATEMENTS.
37
<Page>
JPMORGAN FLEMING INTERNATIONAL OPPORTUNITIES FUND
PORTFOLIO OF INVESTMENTS AS OF OCTOBER 31, 2004
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- 97.7%
COMMON STOCKS -- 97.7%
AUSTRALIA -- 1.5%
352,854 News Corp., LTD + $ 2,761,843
719,595 Southern Pacific
Petroleum NL* (f) (i) + 0
--------------------------------------------------------------------------------
2,761,843
--------------------------------------------------------------------------------
BRAZIL -- 1.3%
76,419 Petroleo Brasileiro SA
(Preferred), ADR + 2,491,259
FRANCE -- 13.0%
130,801 AXA (f) + 2,821,342
60,929 BNP Paribas (f) (l) + 4,149,864
54,493 Peugeot SA (f) + 3,350,841
25,193 Sanofi-Aventis (f) + 1,837,472
5,532 Technip SA (f) + 867,623
110,289 Thomson SA (f) + 2,499,727
31,769 Total SA (f) + 6,611,393
83,339 Veolia Environnement (f) + 2,523,488
--------------------------------------------------------------------------------
24,661,750
--------------------------------------------------------------------------------
GERMANY -- 5.3%
24,342 BASF AG (f) + 1,524,600
97,840 Bayer AG (f) + 2,778,168
117,160 Bayerische Hypo-und
Vereinsbank AG* (f) + 2,297,340
13,906 E.ON AG (f) 1,134,145
36,369 Schering AG (f) + 2,332,202
--------------------------------------------------------------------------------
10,066,455
--------------------------------------------------------------------------------
HONG KONG -- 4.5%
1,168,000 Cathay Pacific Airways LTD (f) + 2,024,029
113,000 Hutchison Whampoa LTD (f) + 867,856
362,000 Sun Hung Kai Properties LTD (f) + 3,350,703
689,000 Wharf Holdings LTD (f) + 2,269,315
--------------------------------------------------------------------------------
8,511,903
--------------------------------------------------------------------------------
INDIA -- 2.1%
160,618 Reliance Industries LTD, GDR, # + 3,983,326
INDONESIA -- 0.4%
35,960 Telekomunikasi Indonesia
TBK PT, ADR, + 685,757
IRELAND -- 1.2%
99,282 CRH PLC (f) + $ 2,361,837
ITALY -- 0.4%
30,756 ENI-Ente Nazionale
Idrocarburi SPA (f) + 701,621
JAPAN -- 18.4%
23,500 Canon, Inc. (f) + 1,159,152
449,000 Daiwa Securities Group, Inc. (f) + 2,749,975
368,000 Fujitsu LTD (f) (l) + 2,183,893
23,900 Honda Motor Co., LTD (f) + 1,158,660
602,000 Itochu Corp.* (f) (l) + 2,578,841
178 Japan Tobacco, Inc. (f) + 1,561,401
76,500 JFE Holdings, Inc. (f) + 2,051,837
223,000 Kubota Corp. (f) + 1,015,109
10,400 Kyocera Corp. (f) + 752,084
271,000 Mitsui Chemicals, Inc. (f) + 1,321,847
9,900 NEC Electronics Corp. (f) (l) + 482,368
20,900 Nintendo Co., LTD (f) + 2,350,554
872 Nippon Telegraph & Telephone
Corp. (f) + 3,700,906
65,000 Ricoh Co., LTD (f) + 1,210,875
12,000 Rohm Co., LTD (f) + 1,228,195
62,800 Sony Corp. (f) + 2,186,688
56,600 Suzuki Motor Corp. (f) (l) + 998,557
57,600 Tokyo Electric Power Co. (f) + 1,301,818
47,000 Toyota Motor Corp. (f) + 1,819,871
696 UFJ Holdings, Inc.* (f) + 3,226,400
--------------------------------------------------------------------------------
35,039,031
--------------------------------------------------------------------------------
NORWAY -- 0.7%
91,248 Statoil ASA (f) + 1,326,814
SINGAPORE -- 1.6%
164,000 DBS Group Holdings LTD (f) + 1,538,298
1,094,785 Singapore Telecommunications
LTD (f) + 1,592,367
--------------------------------------------------------------------------------
3,130,665
--------------------------------------------------------------------------------
SOUTH KOREA -- 3.1%
76,338 Kookmin Bank, ADR* + 2,567,247
57,458 POSCO, ADR + 2,148,354
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
38
<Page>
ANNUAL REPORT OCTOBER 31 2004
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
SOUTH KOREA -- CONTINUED
3,240 Samsung Electronics Co.,
LTD (f) + $ 1,273,978
--------------------------------------------------------------------------------
5,989,579
--------------------------------------------------------------------------------
SPAIN -- 2.0%
82,115 Iberdrola SA (f) + 1,795,461
76,200 Industria de Diseno Textil SA + 1,930,850
--------------------------------------------------------------------------------
3,726,311
--------------------------------------------------------------------------------
SWEDEN -- 1.6%
50,605 Atlas Copco AB, Class A (f) (l) + 2,094,298
25,025 SKF AB, Ser. B + 967,486
--------------------------------------------------------------------------------
3,061,784
--------------------------------------------------------------------------------
SWITZERLAND -- 8.4%
542,812 ABB LTD* (f) + 3,128,042
130,261 Compagnie Financiere
Richemont AG, Class A (f) + 3,689,616
32,630 Roche Holding AG (f) + 3,330,054
16,617 Synthes, Inc.* (f) + 1,768,997
40,677 UBS AG (f) + 2,936,166
8,347 Zurich Financial Services AG* (f) + 1,187,702
--------------------------------------------------------------------------------
16,040,577
--------------------------------------------------------------------------------
TAIWAN -- 1.5%
58,025 Hon Hai Precision Industry Co.,
GDR, Regulation S + 440,990
715,573 United Microelectronics
Corp., ADR* + 2,504,506
--------------------------------------------------------------------------------
2,945,496
--------------------------------------------------------------------------------
THE NETHERLANDS -- 5.1%
134,748 ING Groep NV (f) + 3,578,299
494,293 Koninklijke KPN NV (f) + 3,950,092
69,703 Koninklijke Philips
Electronics NV (f) + 1,657,922
44,855 Koninklijke Wessanen NV (f) (l) + 586,836
--------------------------------------------------------------------------------
9,773,149
--------------------------------------------------------------------------------
UNITED KINGDOM -- 25.6%
82,347 AstraZeneca PLC (f) + $ 3,372,011
159,667 BBA Group PLC (f) + 773,969
260,740 BP PLC (f) + 2,527,608
45,522 British American Tobacco PLC (f) + 684,128
153,084 British Sky Broadcasting PLC (f) + 1,428,470
317,938 Cadbury Schweppes PLC (f) + 2,645,542
241,069 Centrica PLC (f) + 1,065,467
405,450 HSBC Holdings PLC (f) + 6,540,866
47,215 Imperial Tobacco Group PLC (f) + 1,102,536
164,369 Intercontinental Hotels
Group PLC (f) + 2,009,499
178,683 Rank Group PLC (f) + 937,891
138,555 Reckitt Benckiser PLC (f) + 3,795,331
259,524 Royal Bank of Scotland
Group PLC (f) + 7,639,329
98,460 SABMiller PLC (f) + 1,418,199
198,185 Scottish Power PLC (f) + 1,601,765
787,618 Tesco PLC (f) + 4,144,761
2,720,647 Vodafone Group PLC (f) + 6,982,388
--------------------------------------------------------------------------------
48,669,760
--------------------------------------------------------------------------------
Total Common Stocks 185,928,917
(Cost $152,320,388)
--------------------------------------------------------------------------------
<Caption>
PRINCIPAL
AMOUNT
(USD)
- --------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS -- 1.4%
U.S. TREASURY SECURITY -- 0.0%^
$ 40,000 U.S. Treasury Bill, 1.59%,
12/16/04 @ 39,920
(Cost $39,920)
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
39
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
MONEY MARKET FUND -- 1.4%
2,650,155 JPMorgan Prime Money
Market Fund (a) $ 2,650,155
(Cost $2,650,155)
--------------------------------------------------------------------------------
Total Short-Term Investments 2,690,075
(Cost $2,690,075)
--------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 99.1% $ 188,618,992
(COST $155,010,463)
OTHER ASSETS IN EXCESS OF
LIABILITIES -- 0.9% 1,807,477
--------------------------------------------------------------------------------
NET ASSETS -- 100.0% $ 190,426,469
--------------------------------------------------------------------------------
Percentages indicated are based on net assets of $190,426,469.
<Caption>
SHARES COLLATERAL INVESTMENTS VALUE
- --------------------------------------------------------------------------------------------------
MONEY MARKET FUND (c)
6,000,000 Barclays Global Investment
Prime Money Market Fund $ 6,000,000
<Caption>
PRINCIPAL
AMOUNT
(USD)
- --------------------------------------------------------------------------------------------------
REPURCHASE AGREEMENT (c)
$ 3,338,823 Deutsche Bank Securities, Inc.,
1.90%, dated 10/29/04,
due 11/01/04, proceeds
$3,339,350, secured
by U.S. Government
Agency Securities 3,338,823
--------------------------------------------------------------------------------
$ 9,338,823
--------------------------------------------------------------------------------
</Table>
SUMMARY OF INVESTMENTS BY INDUSTRY, OCTOBER 31, 2004
The following represents the allocations by industry for common stocks and other
investments based on net assets:
<Table>
<Caption>
INDUSTRY PERCENTAGE
- -----------------------------------------------------
Banking 16.2%
Telecommunications 8.9
Oil & Gas 7.2
Electronics/Electrical Equipment 6.3
Pharmaceuticals 5.7
Retailing 5.6
Chemicals 5.0
Utilities 5.0
Insurance 4.0
Automotive 3.9
Consumer Products 3.8
Real Estate 2.9
Food/Beverage Products 2.4
Semi-Conductors 2.2
Steel 2.2
Machinery & Engineering Equipment 1.6
Multi-Media 1.5
Financial Services 1.4
Distribution 1.4
Office/Business Equipment 1.2
Construction Materials 1.2
Toys & Games 1.2
Computers/Computer Hardware 1.2
Hotels/Other Lodging 1.1
Airlines 1.1
Other (below 1%) 4.9
- -----------------------------------------------------
Total 99.1%
- -----------------------------------------------------
</Table>
FUTURES CONTRACTS
<Table>
<Caption>
NOTIONAL UNREALIZED
NUMBER OF VALUE AT APPRECIATION/
CONTRACTS DESCRIPTION EXPIRATION DATE 10/31/04 (USD) (DEPRECIATION) (USD)
- -------------------------------------------------------------------------------------------------------
LONG FUTURES OUTSTANDING
6 DJ Euro Stoxx December, 2004 $ 215,155 $ 3,106
2 FTSE 100 Index December, 2004 169,982 (195)
2 Topix Index December, 2004 203,409 (4,484)
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
40
<Page>
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS
<Table>
<Caption>
NET UNREALIZED
SETTLEMENT SETTLEMENT VALUE AT APPRECIATION
CONTRACTS TO BUY DATE VALUE (USD) 10/31/04 (USD) (DEPRECIATION) (USD)
- ----------------------------------------------------------------------------------------------------------
6,325,446 AUD 11/8/04 $ 4,494,483 $ 4,722,262 $ 227,779
3,297,041 CHF 11/8/04 2,670,399 2,744,813 74,414
19,223,235 EUR 11/8/04 23,589,484 24,452,532 863,048
750,000 EUR for
102,784,786 JPY 11/8/04 968,254** 954,023** (14,231)
1,770,000 GBP 11/8/04 3,163,470 3,241,719 78,249
1,077,403,354 JPY 11/8/04 9,788,269 10,149,359 361,090
206,779,280 JPY for
1,520,000 EUR 11/8/04 1,933,485** 1,947,903** 14,418
2,464,817 NOK 11/8/04 362,783 385,626 22,843
6,552,441 SEK 11/8/04 866,679 921,165 54,486
- ----------------------------------------------------------------------------------------------------------
$ 47,837,306 $ 49,519,402 $ 1,682,096
- ----------------------------------------------------------------------------------------------------------
<Caption>
NET UNREALIZED
SETTLEMENT SETTLEMENT VALUE AT APPRECIATION
CONTRACTS TO SELL DATE VALUE (USD) 10/31/04 (USD) (DEPRECIATION) (USD)
- ----------------------------------------------------------------------------------------------------------
8,468,622 CHF 11/8/04 $ 6,766,886 $ 7,050,195 $ (283,309)
8,915,000 EUR 11/8/04 10,878,424 11,340,148 (461,724)
880,000 EUR 2/7/05 1,121,098 1,119,445 1,653
3,947,778 GBP 11/8/04 7,164,278 7,230,276 (65,998)
57,272,257 HKD 11/8/04 7,359,381 7,360,415 (1,034)
906,241,409 JPY 11/8/04 8,263,307 8,536,979 (273,672)
9,445,723 SEK 11/8/04 1,258,339 1,327,913 (69,574)
4,249,830 SGD 11/8/04 2,470,257 2,552,343 (82,086)
- ----------------------------------------------------------------------------------------------------------
$ 45,281,970 $ 46,517,714 $ (1,235,744)
- ----------------------------------------------------------------------------------------------------------
</Table>
** For cross-currency exchange contracts, the settlement value is the market
value at 10/31/04 of the currency being sold, and the value at 10/31/04 of
the currency being bought.
SEE NOTES TO FINANCIAL STATEMENTS.
41
<Page>
JPMORGAN FLEMING EMERGING MARKETS EQUITY FUND
PORTFOLIO OF INVESTMENTS AS OF OCTOBER 31, 2004
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- 96.9%
COMMON STOCKS -- 94.0%
ARGENTINA -- 3.1%
53,952 Bunge LTD $ 2,575,129
BRAZIL -- 9.7%
77,805 Cia de Bebidas das
Americas, ADR 1,929,564
68,091 Petroleo Brasileiro SA
(Preferred), ADR 2,219,767
128,637 Tele Norte Leste
Participacoes SA, ADR 1,682,572
88,417 Uniao de Bancos
Brasileiros SA, GDR 2,338,630
--------------------------------------------------------------------------------
8,170,533
--------------------------------------------------------------------------------
CHILE -- 1.4%
111,917 Cia de Telecomunicaciones
de Chile SA, ADR 1,156,103
CHINA -- 2.5%
5,818,131 PICC Property & Casualty Co.,
LTD, Class H* (f) 2,100,094
EGYPT -- 2.8%
68,850 Orascom Telecom
Holding SAE* (f) 2,371,109
HONG KONG -- 2.2%
6,115,000 Guangdong Kelon Electrical
Holdings, Class H* (f) 1,845,530
HUNGARY -- 2.5%
18,127 Gedeon Richter LTD, ADR* # 2,129,099
INDIA -- 5.2%
125,317 Dr. Reddy's Laboratories
LTD, ADR 2,077,756
90,827 Reliance Industries LTD, GDR, # 2,252,510
--------------------------------------------------------------------------------
4,330,266
--------------------------------------------------------------------------------
INDONESIA -- 5.3%
9,908,500 Bank Rakyat Indonesia (f) 2,125,658
122,109 Telekomunikasi Indonesia
TBK PT, ADR $ 2,328,619
--------------------------------------------------------------------------------
4,454,277
--------------------------------------------------------------------------------
MALAYSIA -- 3.4%
3,000,000 Airasia BHD 986,842
7,596,000 Star Cruises LTD* (f) 1,897,481
--------------------------------------------------------------------------------
2,884,323
--------------------------------------------------------------------------------
MEXICO -- 5.7%
53,687 America Movil SA de CV,
Ser. L, ADR 2,362,227
78,007 Grupo Elektra SA de CV, ADR 2,466,582
--------------------------------------------------------------------------------
4,828,809
--------------------------------------------------------------------------------
PHILIPPINES -- 3.0%
19,014,281 SM Prime Holdings, Inc. 2,531,637
RUSSIA -- 5.2%
14,591 Mobile Telesystems, ADR 2,117,446
19,587 Vimpel-Communications, ADR* 2,232,918
--------------------------------------------------------------------------------
4,350,364
--------------------------------------------------------------------------------
SOUTH AFRICA -- 10.3%
518,427 Discovery Holdings LTD* 1,397,627
1,172,874 FirstRand LTD 2,314,318
73,275 Massmart Holdings LTD 509,325
180,955 Nedcor LTD (f) 1,957,223
1,409,879 Steinhoff International
Holdings LTD 2,443,103
--------------------------------------------------------------------------------
8,621,596
--------------------------------------------------------------------------------
SOUTH KOREA -- 16.1%
382,270 Daeduck Electronics Co. (f) 2,773,586
52,170 Daelim Industrial Co., LTD (f) 2,241,911
212,790 Good Morning Shinhan
Securities Co., LTD* (f) 676,745
65,226 Kookmin Bank* (f) 2,187,349
4,545 Samsung Electronics Co., LTD (f) 1,787,108
6,430 Shinsegae Co., LTD (f) 1,810,375
106,258 SK Telecom Co., LTD, ADR 2,096,470
--------------------------------------------------------------------------------
13,573,544
--------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
42
<Page>
ANNUAL REPORT OCTOBER 31 2004
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
TAIWAN -- 7.0%
1,220,649 Quanta Computer, Inc. (f) $ 1,972,688
1,439,096 Synnex Technology
International Corp. (f) 2,063,773
1,499,751 Tong Yang Industry (f) 1,872,595
--------------------------------------------------------------------------------
5,909,056
--------------------------------------------------------------------------------
THAILAND -- 2.4%
2,905,000 Kiatnakin Public Finance Co., LTD 2,016,133
TURKEY -- 6.2%
143,491,020 Anadolu Efes Biracilik Ve
Malt Sanayii AS 2,267,440
567,629,800 Hurriyet Gazetecilik AS 1,124,096
814,182,820 Yapi Ve Kredi Bankasi AS* 1,833,223
--------------------------------------------------------------------------------
5,224,759
--------------------------------------------------------------------------------
Total Common Stocks 79,072,361
(Cost $72,090,206)
--------------------------------------------------------------------------------
PREFERRED STOCKS -- 2.9%
BRAZIL -- 2.9%
12,172 Banco Itau Holding Financeira SA 1,474,619
654,022 Itausa Investimentos Itau SA 948,057
--------------------------------------------------------------------------------
Total Preferred Stocks 2,422,676
(Cost $1,320,875)
--------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 96.9% $ 81,495,037
(COST $73,411,081)
OTHER ASSETS IN EXCESS OF
LIABILITIES -- 3.1% 2,572,069
--------------------------------------------------------------------------------
NET ASSETS -- 100.0% $ 84,067,106
--------------------------------------------------------------------------------
</Table>
Percentages indicated are based on net assets of $84,100,042.
SUMMARY OF INVESTMENTS BY INDUSTRY, OCTOBER 31, 2004
The following represents the allocations by industry for common stocks and other
investments based on net assets:
<Table>
<Caption>
INDUSTRY PERCENTAGE
- -----------------------------------------------------
Telecommunications 16.6%
Banking 14.2
Financial Services 7.1
Retailing 5.7
Electronics/Electrical Equipment 5.4
Pharmaceuticals 5.0
Food/Beverage Products 5.0
Computers/Computer Hardware 4.8
Insurance 4.1
Agricultural Production/Services 3.1
Real Estate 3.0
Consumer Products 2.9
Telecommunications Equipment 2.8
Chemicals 2.7
Construction 2.7
Oil & Gas 2.6
Entertainment/Leisure 2.3
Automotive 2.2
Applainces & Household Durables 2.2
Multi-Media 1.3
Airlines 1.2
- -----------------------------------------------------
Total 96.9%
- -----------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
43
<Page>
JPMORGAN FLEMING ASIA EQUITY FUND
PORTFOLIO OF INVESTMENTS AS OF OCTOBER 31, 2004
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- 98.7%
COMMON STOCKS -- 98.1%
CHINA -- 4.4%
500,000 China Life Insurance Co., LTD* (f) $ 331,920
1,962,000 China Petroleum & Chemical Corp.,
Class H (f) 749,113
380,000 China Telecom Corp., LTD,
Class H (f) 122,275
700,000 PetroChina Co., LTD, Class H (f) 368,044
--------------------------------------------------------------------------------
1,571,352
--------------------------------------------------------------------------------
HONG KONG -- 31.6%
1,000,000 Brilliance China Automotive
Holdings LTD (f) 210,337
230,000 Cathay Pacific Airways LTD (f) 398,567
100,000 Cheung Kong Holdings LTD (f) 828,254
244,000 China Merchants Holdings
International Co., LTD (f) 361,385
329,500 China Mobile Hong Kong LTD (f) 958,737
1,300,000 CNOOC LTD (f) 669,725
500,000 Denway Motors LTD (f) 169,049
170,000 Esprit Holdings LTD (f) 908,711
45,000 Henderson Land Development Co.,
LTD (f) 208,816
120,800 HSBC Holdings PLC (Hong Kong
Registered Shares) (f) 1,954,142
50,000 Hutchison Whampoa LTD (f) 384,007
300,000 Hysan Development Co., LTD (f) 497,759
110,000 Sun Hung Kai Properties LTD (f) 1,018,169
80,000 Swire Pacific LTD (f) 565,383
270,000 Techtronic Industries Co., LTD (f) 538,707
187,000 Wharf Holdings LTD (f) 615,910
650,000 Wheelock & Co., LTD (f) 915,048
--------------------------------------------------------------------------------
11,202,706
--------------------------------------------------------------------------------
INDIA -- 0.9%
40,000 Gujarat Ambuja Cements, GDR 304,000
INDONESIA -- 2.1%
250,000 Astra International TBK PT (f) 215,945
100,000 Bank Central Asia TBK PT (f) 26,410
125,000 Gudang Garam TBK PT (f) 175,224
700,000 Telekomunikasi Indonesia TBK PT (f) 334,950
--------------------------------------------------------------------------------
752,529
--------------------------------------------------------------------------------
MALAYSIA -- 4.6%
150,000 IOI Corp., BHD (f) $ 375,364
140,000 Malaysia International Shipping
Corp., BHD (f) 497,197
200,000 Public Bank BHD (f) 365,880
120,000 Tanjong PLC (f) 407,585
--------------------------------------------------------------------------------
1,646,026
--------------------------------------------------------------------------------
SINGAPORE -- 9.7%
659,000 CapitaLand LTD (f) 732,358
200,000 City Developments LTD (f) 756,578
230,000 ComfortDelgro Corp., LTD 197,508
120,000 DBS Group Holdings LTD (f) 1,125,584
11,000 Keppel Corp., LTD (f) 52,900
70,000 Oversea-Chinese Banking Corp. (f) 580,328
--------------------------------------------------------------------------------
3,445,256
--------------------------------------------------------------------------------
SOUTH KOREA -- 24.2%
29,490 Daishin Securities Co., LTD (f) 346,140
14,500 Hana Bank (f) 362,573
9,300 Hyundai Heavy Industries (f) 281,824
6,250 Hyundai Mobis (f) 321,175
34,890 Kookmin Bank* (f) 1,170,032
1,550 Kookmin Bank, ADR* 52,127
14,500 Korea Electric Power Corp. (f) 300,038
3,120 Kumgang Korea Chemical Co.,
LTD (f) 332,081
3,670 POSCO (f) 548,464
8,520 Samsung Electronics Co., LTD (f) 3,350,090
4,400 Sindo Ricoh Co., LTD (f) 235,889
4,600 SK Telecom Co., LTD (f) 724,200
47,400 Ssangyong Motor Co.* (f) 291,365
11,300 You Eal Electronics Co., LTD (f) 252,684
--------------------------------------------------------------------------------
8,568,682
--------------------------------------------------------------------------------
TAIWAN -- 15.9%
160,000 AU Optronics Corp. (f) 169,678
550,000 Cathay Financial Holding Co., LTD (f) 1,054,572
512,250 China Steel Corp. (f) 515,806
630,820 Chinatrust Financial Holding Co. (f) 720,988
599,000 First Financial Holding Co., LTD* (f) 483,078
317,000 Formosa Petrochemical Corp. (f) 532,624
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
44
<Page>
ANNUAL REPORT OCTOBER 31 2004
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
TAIWAN -- CONTINUED
168,749 Hon Hai Precision Industry Co.,
LTD (f) $ 621,076
129,000 Synnex Technology International
Corp. (f) 184,996
231,000 Taiwan Cellular Corp. (f) 231,383
650,013 Taiwan Semiconductor
Manufacturing Co., LTD (f) 863,366
400,000 Yuanta Core Pacific Securities
Co.* (f) 281,686
--------------------------------------------------------------------------------
5,659,253
--------------------------------------------------------------------------------
THAILAND -- 4.7%
150,000 Bangkok Bank PCL* (f) 350,881
570,000 Kasikornbank PCL* (f) 653,359
80,000 PTT PCL 331,182
55,000 Siam Cement PCL (f) 343,737
--------------------------------------------------------------------------------
1,679,159
--------------------------------------------------------------------------------
Total Common Stocks 34,828,963
(Cost $30,420,771)
--------------------------------------------------------------------------------
PREFERRED STOCKS -- 0.1%
SINGAPORE -- 0.1%
60,000 City Developments LTD 41,796
(Cost $35,206)
WARRANTS -- 0.5%
SINGAPORE -- 0.1%
15,000 City Developments LTD,
expires 5/10/06 34,229
THAILAND -- 0.4%
170,000 Thoresen Thai Agencies PCL,
expires 11/30/04* $ 137,648
--------------------------------------------------------------------------------
Total Warrants 171,877
(Cost $32,500)
--------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 98.7% $ 35,042,636
(COST $30,488,477)
OTHER ASSETS IN EXCESS OF
LIABILITIES -- 1.3% 475,666
--------------------------------------------------------------------------------
NET ASSETS -- 100.0% $ 35,518,302
--------------------------------------------------------------------------------
</Table>
Percentages indicated are based on net assets of $35,518,302.
SUMMARY OF INVESTMENTS BY INDUSTRY, OCTOBER 31, 2004
The following represents the allocations by industry for common stocks and other
investments based on net assets:
<Table>
<Caption>
INDUSTRY PERCENTAGE
- -----------------------------------------------------
Banking 22.1%
Real Estate 15.9
Electronics/Electrical Equipment 9.9
Oil & Gas 7.5
Telecommunications 7.4
Insurance 3.9
Retailing 3.2
Steel 3.0
Diversified 2.8
Automotive 2.8
Semi-Conductors 2.4
Computers/Computer Hardware 2.3
Construction Materials 1.8
Financial Services 1.8
Agricultural Production/Services 1.6
Consumer Products 1.5
Shipping/Transportation 1.4
Entertainment/Leisure 1.2
Airlines 1.1
Consumer Services 1.0
Other (below 1%) 4.1
- -----------------------------------------------------
Total 98.7%
- -----------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
45
<Page>
JPMORGAN FLEMING INTERNATIONAL EQUITY FUND
PORTFOLIO OF INVESTMENTS AS OF OCTOBER 31, 2004
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- 95.5%
COMMON STOCKS -- 95.5%
AUSTRALIA -- 2.2%
1,198,100 BHP Billiton LTD (f) $ 12,390,156
1,062,669 News Corp., LTD (f) 8,535,846
540,678 Woodside Petroleum LTD (f) 7,871,972
--------------------------------------------------------------------------------
28,797,974
--------------------------------------------------------------------------------
BELGIUM -- 2.0%
734,320 Dexia (f) 14,755,588
429,890 Fortis* (f) (l) 10,955,858
--------------------------------------------------------------------------------
25,711,446
--------------------------------------------------------------------------------
BRAZIL -- 1.0%
652,341 Cia Vale do Rio Doce, ADR 13,803,536
FINLAND -- 1.1%
980,656 Nokia OYJ (f) 15,098,451
FRANCE -- 11.2%
691,144 AXA (f) 14,907,787
295,046 BNP Paribas (f) 20,095,534
393,322 Compagnie de Saint-Gobain (f) (l) 21,602,653
234,372 Dassault Systemes SA (f) 11,871,878
216,264 Imerys SA (f) 15,236,138
131,000 Lafarge SA (f) 11,955,901
249,327 Total SA (f) 51,887,017
--------------------------------------------------------------------------------
147,556,908
--------------------------------------------------------------------------------
GERMANY -- 4.9%
169,830 BASF AG (f) 10,636,878
352,692 Bayerische Motoren Werke AG (f) 14,937,881
560,714 Deutsche Post AG (f) 10,959,039
171,280 Schering AG (f) 10,983,516
218,701 Siemens AG (f) 16,315,788
--------------------------------------------------------------------------------
63,833,102
--------------------------------------------------------------------------------
HONG KONG -- 3.4%
881,000 Cheung Kong Holdings LTD (f) 7,296,919
2,312,000 HSBC Holdings PLC (Hong Kong
Registered Shares) (f) 37,400,481
--------------------------------------------------------------------------------
44,697,400
--------------------------------------------------------------------------------
IRELAND -- 0.7%
703,800 Bank of Ireland (f) 9,647,950
ITALY -- 4.5%
2,031,779 ENI-Ente Nazionale
Idrocarburi SPA (f) $ 46,349,911
5,070,945 Telecom Italia SPA 12,611,241
--------------------------------------------------------------------------------
58,961,152
--------------------------------------------------------------------------------
JAPAN -- 19.0%
443,100 Canon, Inc. (f) 21,856,186
467,800 Chugai Pharmaceutical
Co., LTD (f) 7,312,362
184,700 Credit Saison Co., LTD (f) 5,897,552
480,000 Daikin Industries LTD (f) 11,668,799
152,900 Fanuc LTD (f) 9,204,312
50,700 Hirose Electric Co., LTD (f) (l) 5,009,909
395,900 Honda Motor Co., LTD (f) 19,193,026
150,200 Hoya Corp. (f) 15,401,537
377,000 Kao Corp. (f) (l) 8,680,032
537,000 Matsushita Electric Industrial
Co., LTD (f) 7,770,117
914,000 Mitsubishi Corp. (f) 10,078,125
1,860 Mitsubishi Tokyo Financial
Group, Inc. (f) 15,736,964
1,859,000 Nikko Cordial Corp. (f) 8,301,682
84,200 Nintendo Co., LTD (f) 9,469,698
1,632 Nippon Telegraph &
Telephone Corp. (f) 6,926,465
1,032 Nippon Unipac Holding (f) (l) 4,570,771
195,000 Nitto Denko Corp. (f) 9,238,692
60 ORIX Corp. (f) (l) 7,012
237,500 Secom Co., LTD (f) 8,599,903
449,000 Sharp Corp. (f) (l) 6,187,130
346,000 Shin-Etsu Chemical Co., LTD (f) 13,118,885
89,500 SMC Corp. (f) 9,560,276
1,559,000 Sumitomo Corp. (f) 11,572,645
111,910 Takefuji Corp. (f) (l) 7,053,604
479,600 Yamanouchi Pharmaceutical
Co., LTD (f) 17,578,755
--------------------------------------------------------------------------------
249,994,439
--------------------------------------------------------------------------------
MEXICO -- 0.6%
186,300 Fomento Economico Mexicano
SA de CV, ADR 8,215,830
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
46
<Page>
ANNUAL REPORT OCTOBER 31 2004
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
RUSSIA -- 0.2%
151,499 YUKOS, ADR $ 2,533,063
SOUTH KOREA -- 2.2%
235,370 POSCO, ADR 8,800,484
51,780 Samsung Electronics Co.,
LTD, GDR (f) 10,181,912
17,110 Samsung Electronics Co.,
LTD, GDR, # 3,358,573
319,630 SK Telecom Co., LTD, ADR 6,306,300
--------------------------------------------------------------------------------
28,647,269
--------------------------------------------------------------------------------
SPAIN -- 2.3%
348,886 Altadis SA (f) (l) 12,784,502
313,603 Banco Popular Espanol (f) (l) 17,768,953
--------------------------------------------------------------------------------
30,553,455
--------------------------------------------------------------------------------
SWEDEN -- 0.6%
2,846,000 Telefonaktiebolaget
LM Ericsson, B Shares* (f) 8,254,600
SWITZERLAND -- 10.5%
331,600 Adecco SA (f) 15,945,088
253,260 Holcim LTD (f) 13,514,396
97,640 Nestle SA (f) 23,057,105
542,470 Novartis AG (f) 25,917,659
205,390 Roche Holding AG (f) 20,961,070
365,500 UBS AG (f) 26,382,685
84,769 Zurich Financial Services AG* (f) 12,061,854
--------------------------------------------------------------------------------
137,839,857
--------------------------------------------------------------------------------
THE NETHERLANDS -- 4.7%
757,785 ABN AMRO Holding NV (f) 18,155,544
418,778 ING Groep NV (f) 11,120,856
527,403 Koninklijke Philips
Electronics NV (f) 12,544,555
708,130 Reed Elsevier NV (f) 9,302,822
554,680 Wolters Kluwer NV (f) 10,112,514
--------------------------------------------------------------------------------
61,236,291
--------------------------------------------------------------------------------
UNITED KINGDOM -- 24.4%
1,324,960 Allied Domecq PLC (f) 11,791,636
818,536 Aviva PLC (f) 8,189,556
2,350,712 Barclays PLC (f) $ 22,973,837
2,523,630 BG Group PLC (f) 16,474,329
2,014,416 Centrica PLC (f) 8,903,229
718,462 GKN PLC (f) 2,818,229
1,630,416 GlaxoSmithKline PLC (f) 34,283,889
863,245 Intercontinental Hotels
Group PLC (f) 10,553,631
2,174,430 Kingfisher PLC (f) 12,063,505
1,459,786 National Grid Transco PLC (f) 12,707,879
571,450 Reckitt Benckiser PLC (f) 15,653,291
743,820 Royal Bank of Scotland
Group PLC (f) 21,895,032
633,187 Schroders PLC (Non-Voting
Shares) (f) 6,676,575
110,000 Schroders PLC (f) 1,293,054
580,960 Standard Chartered PLC (f) 10,370,604
4,551,903 Tesco PLC (f) 23,953,935
903,806 The British Land Co., PLC (f) 12,346,022
17,561,585 Vodafone Group PLC (f) 45,070,824
5,451,521 WM Morrison Supermarkets
PLC (f) 22,637,218
1,186,630 Wolseley PLC
(United Kingdom) (f) 20,573,288
--------------------------------------------------------------------------------
321,229,563
--------------------------------------------------------------------------------
Total Common Stocks 1,256,612,286
(Cost $1,043,438,984)
TOTAL INVESTMENTS -- 95.5% $ 1,256,612,286
(COST $1,043,438,983)
--------------------------------------------------------------------------------
OTHER ASSETS IN EXCESS OF
LIABILITIES -- 4.5% 59,510,660
--------------------------------------------------------------------------------
NET ASSETS -- 100.0% $ 1,316,122,946
--------------------------------------------------------------------------------
Percentages indicated are based on net assets of $1,316,122,946.
</Table>
<Table>
<Caption>
SHARES COLLATERAL INVESTMENTS VALUE
- --------------------------------------------------------------------------------------------------
MONEY MARKET FUND (c)
40,000,000 Barclays Global Investors
Prime Money Market Fund $ 40,000,000
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
47
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT
(USD) ISSUER VALUE
- --------------------------------------------------------------------------------------------------
COLLATERAL INVESTMENTS -- CONTINUED
REPURCHASE AGREEMENT (c)
$ 3,094,145 Cantor Fitzgerald Securities,
1.92%, dated 10/29/04,
due 11/01/04, proceeds
$3,094,639, secured by
U.S. Government Agency
Securities $ 3,094,145
--------------------------------------------------------------------------------
$ 43,094,145
--------------------------------------------------------------------------------
</Table>
SUMMARY OF INVESTMENTS BY INDUSTRY, OCTOBER 31, 2004
The following represents the allocations by industry for common stocks and other
investments based on net assets:
<Table>
<Caption>
INDUSTRY PERCENTAGE
- -----------------------------------------------------
Banking 17.2%
Oil & Gas 9.5
Pharmaceuticals 8.9
Telecommunications 8.4
Construction 5.6
Electronics/Electrical Equipment 5.5
Retailing 4.5
Insurance 3.5
Food/Beverage Products 3.3
Distribution 3.2
Automotive 2.8
Consumer Products 2.8
Chemicals 2.5
Financial Services 2.2
Metals/Mining 2.0
Office/Business Equipment 1.7
Utilities 1.6
Real Estate 1.5
Multi-Media 1.4
Business Services 1.2
Healthcare 1.2
Other (below 1%) 5.0
- -----------------------------------------------------
Total 95.5%
- -----------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
48
<Page>
ANNUAL REPORT OCTOBER 31 2004
Abbreviations:
* -- Non-income producing security.
# -- All or a portion of this security is a 144A or private placement
security and can only be sold to qualified institutional buyers.
+ -- All or a portion of this security is segregated with the custodian
for forward foreign currency contracts.
@ -- Security is fully or partially segregated with the custodian as
collateral for futures or with brokers as initial margin for futures
contracts.
^ -- Amount rounds to less than 0.1%.
(a) -- Affiliated. Money market fund registered under the Investment
Company Act of 1940, as amended and advised by JPMorgan Investment
Management, Inc.
(c) -- Investment of cash collateral for portfolio securities on loan.
(f) -- Fair valued investment. The following are approximately the market
value and percentage of the investments based on net assets that are
fair valued:
<Table>
<Caption>
FUND MARKET VALUE PERCENTAGE
-----------------------------------------------------------------------------
Fleming Intrepid European Fund $ 95,376,559 87.39%
Fleming Japan Fund $ 43,004,411 89.47%
Fleming International Growth Fund $ 3,879,913 88.39%
Fleming International Value Fund $ 43,383,192 91.42%
Fleming International Opportunities Fund $ 165,447,299 86.88%
Fleming Emerging Markets Equity Fund $ 29,683,225 35.31%
Fleming Asia Equity Fund $ 33,944,146 95.57%
Fleming International Equity Fund $ 1,200,983,259 91.25%
</Table>
(i) -- Security is considered illiquid and may be difficult to sell.
(l) -- Security, or portion of a security, has been delivered to counterparty
as part of security lending transaction.
(W/I) -- When Issued.
ADR -- American Depositary Receipt.
AUD -- Australian Dollar.
CHF -- Swiss Franc.
DKK -- Danish Krone.
EUR -- Euro.
GBP -- Great Britain Pound.
GDR -- Global Depositary Receipt.
HKD -- Hong Kong Dollar.
JPY -- Japanese Yen.
NOK -- Norwegian Krone.
SEK -- Swedish Krona.
Ser. -- Series.
SGD -- Singapore Dollar.
USD -- United States Dollar.
SEE NOTES TO FINANCIAL STATEMENTS.
49
<Page>
JP MORGAN FUNDS
STATEMENT OF ASSETS
AND LIABILITIES AS OF OCTOBER 31, 2004
<Table>
<Caption>
INTREPID INTERNATIONAL INTERNATIONAL
EUROPEAN JAPAN GROWTH VALUE
FUND FUND FUND FUND
ASSETS
Investments in non-affiliates, at value $ 108,451,609 $ 47,187,619 $ 4,303,793 $ 47,003,740
Investments in affiliates, at value -- -- -- 2,286
- --------------------------------------------------------------------------------------------------------------------------
Total investment securities, at value 108,451,609 47,187,619 4,303,793 47,006,026
- --------------------------------------------------------------------------------------------------------------------------
Investments held as collateral for
securities lending program 1,217,848 7,451,450 -- 2,301,673
Cash 1,493,633 1,460,049 99,410 61,068
Foreign currency, at value 48,147 2,032 -- 55,508
Receivables:
Investment securities sold 17,957,187 261,451 44,115 92,935
Fund shares sold 17,760 388,722 -- 35,811
Interest and dividends 133,847 138,829 11,939 109,726
Foreign tax reclaim 50,876 -- 3,638 283,255
Variation margin -- -- -- 1,980
Unrealized appreciation on forward
foreign currency exchange contracts -- -- -- 498,072
Securities lending (net) 503 3,390 -- 7,753
Expense reimbursements 1,549 -- 18,854 2,464
- --------------------------------------------------------------------------------------------------------------------------
Total Assets 129,372,959 56,893,542 4,481,749 50,456,271
- --------------------------------------------------------------------------------------------------------------------------
LIABILITIES
Payables:
Investment securities purchased 18,521,459 1,229,286 43,914 149,180
Collateral for securities
lending program 1,217,848 7,451,450 -- 2,301,673
Fund shares redeemed 261,684 19,658 -- 15,994
Unrealized depreciation on forward
foreign currency exchange contracts -- -- -- 432,157
Accrued liabilities:
Investment advisory fees 58,781 39,419 -- 13,463
Administration fees -- 5,913 -- --
Shareholder servicing fees 15,218 200 -- 3,800
Distribution fees 17,334 10,254 1,281 319
Custodian fees 63,373 25,050 -- 29,068
Trustees' fees - deferred
compensation plan 2,213 409 99 508
Other 69,804 46,707 46,822 52,988
- --------------------------------------------------------------------------------------------------------------------------
Total Liabilities 20,227,714 8,828,346 92,116 2,999,150
- --------------------------------------------------------------------------------------------------------------------------
NET ASSETS $ 109,145,245 $ 48,065,196 $ 4,389,633 $ 47,457,121
- --------------------------------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
50
<Page>
<Table>
<Caption>
INTREPID INTERNATIONAL INTERNATIONAL
EUROPEAN JAPAN GROWTH VALUE
FUND FUND FUND FUND
NET ASSET
Paid in capital 94,004,745 48,260,468 4,976,207 65,661,797
Accumulated undistributed
(overdistributed) net investment income 935,461 (16,367) (3,927) 1,282,507
Accumulated net realized gain (loss)
on investments, futures and foreign
exchange transactions 5,840,304 (895,885) (1,147,781) (27,065,088)
Net unrealized appreciation
(depreciation) of investments, futures
and foreign exchange translations 8,364,735 716,980 565,134 7,577,905
- --------------------------------------------------------------------------------------------------------------------------
Total Net Assets $ 109,145,245 $ 48,065,196 $ 4,389,633 $ 47,457,121
- --------------------------------------------------------------------------------------------------------------------------
Class A $ 35,781,325 $ 47,106,134 $ 3,519,409 $ 189,295
Class B $ 12,187,372 $ 959,062 $ 870,224 $ 440,955
Class C $ 3,165,231 $ -- $ -- $ --
Institutional $ 37,114,704 $ -- $ -- $ 28,804,133
Select $ 20,896,613 $ -- $ -- $ 18,022,738
- --------------------------------------------------------------------------------------------------------------------------
Total $ 109,145,245 $ 48,065,196 $ 4,389,633 $ 47,457,121
- --------------------------------------------------------------------------------------------------------------------------
Shares of beneficial interest outstanding ($0.001
par value; unlimited number of shares authorized):
Class A 1,806,053 6,714,855 407,700 17,877
Class B 651,414 144,514 102,357 42,339
Class C 169,370 -- -- --
Institutional 1,840,610 -- -- 2,707,737
Select 1,047,068 -- -- 1,701,210
Net Asset Value:
Class A (and redemption price) $ 19.81 $ 7.02 $ 8.63 $ 10.59
Class B* $ 18.71 $ 6.64 $ 8.50 $ 10.41
Class C* $ 18.69 $ -- $ -- $ --
Institutional (and redemption price) $ 20.16 $ -- $ -- $ 10.64
Select (and redemption price) $ 19.96 $ -- $ -- $ 10.59
Class A Maximum Public Offering
Price Per Share (net asset value per
share/94.25%) $ 21.02 $ 7.45 $ 9.16 $ 11.24
Cost of investments $ 100,107,026 $ 46,476,579 $ 3,738,976 $ 39,565,496
- --------------------------------------------------------------------------------------------------------------------------
Cost of foreign currency $ 48,139 $ 2,032 $ -- $ 54,162
- --------------------------------------------------------------------------------------------------------------------------
</Table>
- ----------
* Redemption price may be reduced by contingent deferred sales charge.
SEE NOTES TO FINANCIAL STATEMENTS.
51
<Page>
<Table>
<Caption>
INTERNATIONAL EMERGING INTERNATIONAL
OPPORTUNITIES MARKETS EQUITY ASIA EQUITY EQUITY
FUND FUND FUND FUND
ASSETS
Investments in non-affiliates, at value $ 185,968,837 $ 81,495,037 $ 35,042,636 $ 1,256,612,286
Investments in affiliates, at value 2,650,155 -- -- --
- --------------------------------------------------------------------------------------------------------------------------
Total investment securities, at value 188,618,992 81,495,037 35,042,636 1,256,612,286
- --------------------------------------------------------------------------------------------------------------------------
Investments held as collateral for
securities lending program 9,338,823 -- -- 43,094,145
Cash 198,384 2,926,149 23,202 56,743,772
Foreign currency, at value 770,705 562,976 397,174 64,144
Receivables:
Investment securities sold 3,676,108 2,270,088 126,508 --
Fund shares sold 50,366 89,749 66,589 1,414,804
Interest and dividends 403,232 125,683 1,413 3,055,013
Foreign tax reclaim 558,621 1,136 -- 179,063
Variation margin 2,994 -- -- --
Unrealized appreciation on forward
foreign currency exchange contracts 1,697,980 -- -- --
Securities lending (net) 770 24 -- 10,201
Expense reimbursements -- 3,914 280 --
- --------------------------------------------------------------------------------------------------------------------------
Total Assets 205,316,975 87,474,756 35,657,802 1,361,173,428
- --------------------------------------------------------------------------------------------------------------------------
LIABILITIES
Payables:
Investment securities purchased 4,061,557 1,915,200 33,449 --
Collateral for securities
lending program 9,338,823 -- -- 43,094,145
Fund shares redeemed 8,880 1,299,437 -- 647,685
Unrealized depreciation on forward
foreign currency exchange contracts 1,251,628 -- -- --
Accrued liabilities:
Investment advisory fees 95,546 64,169 13,570 866,030
Administration fees 11,147 -- -- 75,779
Shareholder servicing fees 11,439 6,170 4,518 57,967
Distribution fees 3,321 448 92 18,600
Custodian fees 35,004 53,655 31,839 153,307
Trustees' fees - deferred
compensation plan 2,959 562 167 11,554
Other 70,202 68,009 55,865 125,415
- --------------------------------------------------------------------------------------------------------------------------
Total Liabilities 14,890,506 3,407,650 139,500 45,050,482
- --------------------------------------------------------------------------------------------------------------------------
NET ASSETS $ 190,426,469 $ 84,067,106 $ 35,518,302 $ 1,316,122,946
- --------------------------------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
52
<Page>
<Table>
<Caption>
INTERNATIONAL EMERGING INTERNATIONAL
OPPORTUNITIES MARKETS EQUITY ASIA EQUITY EQUITY
FUND FUND FUND FUND
NET ASSETS
Paid in capital 284,870,761 171,245,820 31,436,726 1,128,860,697
Accumulated undistributed
(overdistributed) net investment income 3,302,780 472,311 243,645 3,915,559
Accumulated net realized gain (loss)
on investments, futures and foreign
exchange transactions (131,921,879) (95,736,891) (721,378) (29,891,226)
Net unrealized appreciation
(depreciation) of investments and
foreign exchange translations 34,174,807 8,085,866 4,559,309 213,237,916
- --------------------------------------------------------------------------------------------------------------------------
Total Net Assets $ 190,426,469 $ 84,067,106 $ 35,518,302 $ 1,316,122,946
- --------------------------------------------------------------------------------------------------------------------------
Class A $ 12,194,665 $ 1,372,415 $ 512,627 $ 63,621,686
Class B $ 1,199,298 $ 301,868 $ -- $ 768,147
Class C $ -- $ -- $ -- $ 8,345,604
Institutional $ 139,826,866 $ 49,659,613 $ 16,904,721 $ --
Select $ 37,205,640 $ 32,733,210 $ 18,100,954 $ 1,243,387,509
- --------------------------------------------------------------------------------------------------------------------------
Total $ 190,426,469 $ 84,067,106 $ 35,518,302 $ 1,316,122,946
- --------------------------------------------------------------------------------------------------------------------------
Shares of beneficial interest outstanding ($0.001
par value; unlimited number of shares authorized):
Class A 1,198,987 144,510 27,981 2,348,449
Class B 119,091 31,978 -- 28,481
Class C -- -- -- 310,086
Institutional 13,491,159 5,141,786 918,696 --
Select 3,607,455 3,418,517 985,487 45,808,267
Net Asset Value:
Class A (and redemption price) $ 10.17 $ 9.50 $ 18.32 $ 27.09
Class B* $ 10.07 $ 9.44 $ -- $ 26.97
Class C* $ -- $ -- $ -- $ 26.91
Institutional (and redemption price) $ 10.36 $ 9.66 $ 18.40 $ --
Select (and redemption price) $ 10.31 $ 9.58 $ 18.37 $ 27.14
Class A Maximum Public Offering
Price Per Share (net asset value per
share/94.25%) $ 10.79 $ 10.08 $ 19.44 $ 28.74
Cost of investments $ 155,010,463 $ 73,411,081 $ 30,488,477 $ 1,043,438,983
- --------------------------------------------------------------------------------------------------------------------------
Cost of foreign currency $ 770,753 $ 561,824 $ 392,151 $ 67,841
- --------------------------------------------------------------------------------------------------------------------------
</Table>
* Redemption price may be reduced by contingent deferred sales charge.
SEE NOTES TO FINANCIAL STATEMENTS.
53
<Page>
JPMORGAN FUNDS
STATEMENT OF OPERATIONS YEAR ENDED OCTOBER 31, 2004
<Table>
<Caption>
INTREPID INTERNATIONAL INTERNATIONAL
EUROPEAN JAPAN GROWTH VALUE
FUND FUND FUND FUND
INVESTMENT INCOME
Interest $ 100,221 $ 6,678 $ 218 $ 118,008
Dividend 2,963,783 233,901 93,267 1,741,371
Dividend income from affiliated
investments* -- -- -- 5,654
Securities lending (net) 101,689 18,937 -- 24,833
Foreign tax withholding (389,264) (16,394) (10,702) (115,239)
- --------------------------------------------------------------------------------------------------------------------------
Total investment income 2,776,429 243,122 82,783 1,774,627
- --------------------------------------------------------------------------------------------------------------------------
EXPENSES
Investment advisory fees 625,852 211,194 43,049 270,134
Administration fees 144,428 31,679 6,457 67,534
Shareholder servicing fees 198,889 52,799 10,762 71,538
Distribution fees 204,122 56,397 15,038 3,030
Custodian and accounting fees 329,607 134,135 90,779 129,365
Interest expense 850 54 -- 479
Printing and postage 42,976 7,393 7,804 8,104
Professional fees 73,413 46,937 56,360 77,147
Registration fees 62,214 24,382 46,688 41,421
Transfer agent fees 174,562 40,773 33,761 67,195
Trustees' fees 1,445 317 65 675
Other 16,008 7,274 5,729 12,765
- --------------------------------------------------------------------------------------------------------------------------
Total expenses 1,874,366 613,334 316,492 749,387
- --------------------------------------------------------------------------------------------------------------------------
Less amounts waived 368,144 147,493 60,269 207,955
Less expense reimbursements 16,881 90,801 165,849 36,767
- --------------------------------------------------------------------------------------------------------------------------
Net expenses 1,489,341 375,040 90,374 504,665
- --------------------------------------------------------------------------------------------------------------------------
Net investment income (loss) 1,287,088 (131,918) (7,591) 1,269,962
- --------------------------------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
54
<Page>
ANNUAL REPORT OCTOBER 31 2004
<Table>
<Caption>
INTREPID INTERNATIONAL INTERNATIONAL
EUROPEAN JAPAN GROWTH VALUE
FUND FUND FUND FUND
REALIZED AND UNREALIZED
GAIN (LOSS) ON INVESTMENTS
Net realized gain (loss) on transactions from:
Investments 8,855,935 (33,633) 115,547 9,634,208
Futures -- -- -- 60,493
Foreign exchange contracts (342,644) 7,616 (11,005) 31,151
Change in net unrealized appreciation
(depreciation) of:
Investments 2,774,496 402,798 335,459 (797,537)
Futures -- -- -- (895)
Foreign exchange translations (9,777) 6,513 (857) (195,451)
Net realized and unrealized gain (loss)
on investments, futures and foreign
exchange transactions 11,278,010 383,294 439,144 8,731,969
- --------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets
from operations $ 12,565,098 $ 251,376 $ 431,553 $ 10,001,931
- --------------------------------------------------------------------------------------------------------------------------
* Includes reimbursements of
investment advisory, administration
and shareholder servicing fees : $ -- $ -- $ -- $ 817
- --------------------------------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
55
<Page>
<Table>
<Caption>
INTERNATIONAL EMERGING INTERNATIONAL
OPPORTUNITIES MARKETS EQUITY ASIA EQUITY EQUITY
FUND FUND FUND FUND
INVESTMENT INCOME
Interest $ 131,932 $ 28,267 $ 3,896 $ 85,941
Dividend 5,104,464 2,191,494 1,166,591 27,155,870
Dividend income from affiliated
investments* 29,009 -- -- --
Securities lending (net) 100,827 3,900 -- 834,929
Foreign tax withholding (441,885) (172,574) (146,321) (2,953,111)
- --------------------------------------------------------------------------------------------------------------------------
Total investment income 4,924,347 2,051,087 1,024,166 25,123,629
- --------------------------------------------------------------------------------------------------------------------------
EXPENSES
Investment advisory fees 1,088,098 746,992 449,313 10,547,829
Administration fees 272,027 112,050 67,398 1,582,188
Shareholder servicing fees 252,878 111,802 85,202 2,636,956
Distribution fees 40,029 2,822 888 137,387
Custodian and accounting fees 200,460 254,471 191,016 799,025
Interest expense 1,207 951 194 1,251
Printing and postage 31,746 14,806 5,668 155,534
Professional fees 77,977 82,552 71,473 89,789
Registration fees 51,531 49,302 40,338 99,265
Transfer agent fees 142,923 71,940 39,315 142,405
Trustees' fees 2,721 1,121 674 15,827
Other 24,204 44,744 9,102 84,973
- --------------------------------------------------------------------------------------------------------------------------
Total expenses 2,185,801 1,493,553 960,581 16,292,429
- --------------------------------------------------------------------------------------------------------------------------
Less amounts waived 283,114 293,516 304,234 4,467,528
Less earnings credits -- -- -- 1,535
Less expense reimbursements -- 24,634 8,421 15,013
- --------------------------------------------------------------------------------------------------------------------------
Net expenses 1,902,687 1,175,403 647,926 11,808,353
- --------------------------------------------------------------------------------------------------------------------------
Net investment income (loss) 3,021,660 875,684 376,240 13,315,276
- --------------------------------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
56
<Page>
<Table>
<Caption>
INTERNATIONAL EMERGING INTERNATIONAL
OPPORTUNITIES MARKETS EQUITY ASIA EQUITY EQUITY
FUND FUND FUND FUND
REALIZED AND UNREALIZED
GAIN (LOSS) ON INVESTMENTS
Net realized gain (loss) on transactions from:
Investments 23,644,168 23,953,678 2,254,077 915,023
Futures 137,860 -- -- --
Foreign exchange contracts 425,193 (180,536) (46,701) 131,123
Change in net unrealized appreciation
(depreciation) of:
Investments (1,556,162) (5,529,615) (1,822,564) 144,062,513
Futures (59,691) -- -- --
Foreign exchange translations (109,599) (9,665) 5,386 (2,601)
- --------------------------------------------------------------------------------------------------------------------------
Net realized and unrealized gain (loss)
on investments, futures and foreign
exchange transactions 22,481,769 18,233,862 390,198 145,106,058
- --------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets
from operations $ 25,503,429 $ 19,109,546 $ 766,438 $ 158,421,334
- --------------------------------------------------------------------------------------------------------------------------
* Includes reimbursements of
investment advisory, administration
and shareholder servicing fees: $ 3,930 $ -- $ -- $ --
- --------------------------------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
57
<Page>
JPMORGAN FUNDS
STATEMENT OF CHANGES
IN NET ASSETS FOR THE PERIODS INDICATED
<Table>
<Caption>
INTREPID EUROPEAN FUND JAPAN FUND
------------------------------ -----------------------------
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
10/31/04 10/31/03 10/31/04 10/31/03
INCREASE (DECREASE) IN NET
ASSETS FROM OPERATIONS
Net investment income (loss) $ 1,287,088 $ 94,089 $ (131,918) $ (17,047)
Net realized gain (loss) on
investments and foreign
exchange transactions 8,513,291 11,301,614 (26,017) 494,196
Change in net unrealized appreciation
(depreciation) of investments and
foreign exchange translations 2,764,719 4,340,131 409,311 338,655
- ------------------------------------------------------------------------------------------------------------------------------
Increase (decrease) in net assets
from operations 12,565,098 15,735,834 251,376 815,804
- ------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO
SHAREHOLDERS FROM
Net investment income (48,547) (374,810) -- --
- ------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS
Increase (decrease) 27,547,059 (782,686) 43,782,554 2,372,801
- ------------------------------------------------------------------------------------------------------------------------------
NET ASSETS
Total increase (decrease) in net assets 40,063,610 14,578,338 44,033,930 3,188,605
- ------------------------------------------------------------------------------------------------------------------------------
Beginning of period 69,081,635 54,503,297 4,031,266 842,661
- ------------------------------------------------------------------------------------------------------------------------------
End of period $ 109,145,245 $ 69,081,635 $ 48,065,196 $ 4,031,266
- ------------------------------------------------------------------------------------------------------------------------------
Accumulated undistributed
(overdistributed) net
investment income $ 935,461 $ 39,564 $ (16,367) $ (3,348)
- ------------------------------------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
58
<Page>
ANNUAL REPORT OCTOBER 31 2004
<Table>
<Caption>
INTERNATIONAL GROWTH FUND INTERNATIONAL VALUE FUND
------------------------------ -----------------------------
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
10/31/04 10/31/03 10/31/04 10/31/03
INCREASE (DECREASE) IN NET
ASSETS FROM OPERATIONS
Net investment income (loss) $ (7,591) $ 8,801 $ 1,269,962 $ 42,152
Net realized gain (loss) on
investments, futures and
foreign exchange transactions 104,542 (253,809) 9,725,852 5,776,870
Change in net unrealized appreciation
(depreciation) of investments, futures
and foreign exchange translations 334,602 1,029,572 (993,883) 4,185,551
- ------------------------------------------------------------------------------------------------------------------------------
Increase (decrease) in net assets
from operations 431,553 784,564 10,001,931 10,004,573
- ------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO
SHAREHOLDERS FROM
Net investment income (8,800) -- (377,516) (1,481,498)
- ------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS
Increase (decrease) 4,891 500 (5,370,285) (11,203,485)
- ------------------------------------------------------------------------------------------------------------------------------
NET ASSETS
Total increase (decrease) in net assets 427,644 785,064 4,254,130 (2,680,410)
- ------------------------------------------------------------------------------------------------------------------------------
Beginning of period 3,961,989 3,176,925 43,202,991 45,883,401
- ------------------------------------------------------------------------------------------------------------------------------
End of period $ 4,389,633 $ 3,961,989 $ 47,457,121 $ 43,202,991
- ------------------------------------------------------------------------------------------------------------------------------
Accumulated undistributed
(overdistributed) net
investment income $ (3,927) $ 5,593 $ 1,282,507 $ (13,187)
- ------------------------------------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
59
<Page>
<Table>
<Caption>
INTERNATIONAL OPPORTUNITIES FUND EMERGING MARKETS EQUITY FUND
-------------------------------- -----------------------------
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
10/31/04 10/31/03 10/31/04 10/31/03
INCREASE (DECREASE) IN NET
ASSETS FROM OPERATIONS
Net investment income $ 3,021,660 $ 1,928,013 $ 875,684 $ 748,728
Net realized gain (loss) on
investments, futures and
foreign exchange transactions 24,207,221 (13,994,625) 23,773,142 116,156
Change in net unrealized appreciation
(depreciation) of investments, futures
and foreign exchange translations (1,725,452) 51,670,007 (5,539,280) 25,081,896
- ------------------------------------------------------------------------------------------------------------------------------
Increase (decrease) in net assets
from operations 25,503,429 39,603,395 19,109,546 25,946,780
- ------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO
SHAREHOLDERS FROM
Net investment income (4,530,199) (2,548,192) (939,677) (430,000)
- ------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS
Increase (decrease) (7,475,586) (116,262,855) (15,599,413) (10,270,234)
- ------------------------------------------------------------------------------------------------------------------------------
NET ASSETS
Total increase (decrease) in net assets 13,497,644 (79,207,652) 2,570,456 15,246,546
- ------------------------------------------------------------------------------------------------------------------------------
Beginning of period 176,928,825 256,136,477 81,496,650 66,250,104
- ------------------------------------------------------------------------------------------------------------------------------
End of period $ 190,426,469 $ 176,928,825 $ 84,067,106 $ 81,496,650
- ------------------------------------------------------------------------------------------------------------------------------
Accumulated undistributed
(overdistributed) net
investment income $ 3,302,780 $ 2,777,662 $ 472,311 $ 716,840
- ------------------------------------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
60
<Page>
<Table>
<Caption>
ASIA EQUITY FUND INTERNATIONAL EQUITY FUND
----------------------------- -------------------------------
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
10/31/04 10/31/03 10/31/04 10/31/03
INCREASE (DECREASE) IN NET
ASSETS FROM OPERATIONS
Net investment income (loss) $ 376,240 $ 321,512 $ 13,315,276 $ 7,266,321
Net realized gain (loss) on
investments and foreign
exchange transactions 2,207,376 (1,710,646) 1,046,146 (10,745,295)
Change in net unrealized appreciation
(depreciation) of investments and
foreign exchange translations (1,817,178) 8,983,551 144,059,912 118,866,466
- ------------------------------------------------------------------------------------------------------------------------------
Increase (decrease) in net assets
from operations 766,438 7,594,417 158,421,334 115,387,492
- ------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO
SHAREHOLDERS FROM
Net investment income (414,178) -- (11,529,449) (6,762,429)
- ------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS
Increase (decrease) (3,424,912) 7,754,921 345,404,443 467,662,712
- ------------------------------------------------------------------------------------------------------------------------------
NET ASSETS
Total increase (decrease) in net assets (3,072,652) 15,349,338 492,296,328 576,287,775
- ------------------------------------------------------------------------------------------------------------------------------
Beginning of period 38,590,954 23,241,616 823,826,618 247,538,843
- ------------------------------------------------------------------------------------------------------------------------------
End of period $ 35,518,302 $ 38,590,954 $ 1,316,122,946 $ 823,826,618
- ------------------------------------------------------------------------------------------------------------------------------
Accumulated undistributed
(overdistributed) net
investment income $ 243,645 $ 326,591 $ 3,915,559 $ 1,632,752
- ------------------------------------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
61
<Page>
JPMORGAN FUNDS
NOTES TO FINANCIAL
STATEMENTS
1. ORGANIZATION
J.P. Morgan Mutual Fund Group ("MFG"), J.P. Morgan Institutional Funds ("JPMIF")
and J.P. Morgan Mutual Fund Select Group ("MFSG") (the "Trusts") were organized
on May 11, 1987, November 4, 1992 and October 1, 1996, respectively, as
Massachusetts business trusts, and are registered under the Investment Company
Act of 1940, as amended (the "1940 Act"), as open-end management investment
companies. MFG and MFSG were formerly known as Mutual Fund Group and Mutual Fund
Select Group, respectively. The name changes were effective May 1, 2003.
The following are eight separate portfolios of the Trusts (collectively, the
"Funds"):
<Table>
<Caption>
FUND CLASSES OFFERED
JPMorgan Fleming Intrepid European Fund ("EF") Class A, Class B, Class C, Institutional and Select
JPMorgan Fleming Japan Fund ("JF") Class A and Class B
JPMorgan Fleming International Growth Fund ("IGF") Class A and Class B
JPMorgan Fleming International Value Fund ("IVF") Class A, Class B, Institutional and Select
JPMorgan Fleming International Opportunities Fund ("IOF") Class A, Class B, Institutional and Select
JPMorgan Fleming Emerging Markets Equity Fund ("EMF") Class A, Class B, Institutional and Select
JPMorgan Fleming Asia Equity Fund ("AEF") Class A, Institutional and Select
JPMorgan Fleming International Equity Fund ("IEF") Class A, Class B, Class C and Select
</Table>
Prior to February 27, 2004, EF was formerly named JPMorgan Fleming European
Fund. On September 12, 2003, Class B shares of AEF merged into Class A shares,
and AEF Class B shares were closed.
EF, JF, IGF and AEF are separate series of MFG. IVF, IOF and EMF are separate
series of JPMIF. IEF is a separate series of MFSG.
Class A shares generally provide for a front-end sales charge while Class B and
Class C shares provide for a contingent deferred sales charge. Class B shares
automatically convert to Class A shares after eight years. No sales charges are
assessed with respect to the Institutional and Select Classes. All classes of
shares have equal rights as to earnings, assets and voting privileges except
that each class may bear different transfer agent, distribution and shareholder
servicing fees and each class has exclusive voting rights with respect to its
distribution plan and shareholder servicing agreements. Class A shares, for
which front-end sales charges have been waived, may be subject to redemption
charges as described in the Funds' prospectus.
On August 19, 2004, the Board of Trustees of the Trust approved management's
proposal to merge the Target Funds listed below with and into the Acquiring
Funds listed below:
<Table>
<Caption>
TARGET FUND ACQUIRING FUND
JPMorgan Fleming JPMorgan Fleming
Global 50 Fund International
merges with and into Opportunities Fund
One Group Diversified JPMorgan Fleming
International Fund International
merges with and into Equity Fund
</Table>
Each proposed merger is contingent upon, among other things, approval by the
Target Fund's shareholders and regulatory review and receipt of an opinion of
counsel to the effect that the merger will qualify as a tax - free
62
<Page>
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
each such merger transaction may agree.
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 at the purchase date held by the Funds will be
valued each day based on readily available market quotations received from
independent or affiliated commercial pricing services. Such pricing services
will generally provide bidside quotations. Convertible bonds are valued at the
last sale price on the primary exchange on which the bond is principally traded.
All short-term securities with a remaining maturity of 60 days or less are
valued using the amortized cost method, which approximates market value. When
valuations are not readily available, securities are valued at fair value as
determined in accordance with procedures adopted by the Trustees. It is possible
that the estimated values may differ significantly from the values that would
have been used had a ready market for the investments existed, and such
differences could have been material. Trading in securities on most foreign
exchanges and over-the counter markets is normally completed before the close of
the domestic market and may also take place on days when the domestic market is
closed. In accordance with procedures adopted by the Trustees, the Funds apply
fair value pricing on a daily basis for all non-U.S. and non-Canadian equity
securities held in their portfolios by utilizing the quotations of an
independent pricing service, unless the Funds' advisor, JP 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, allowing the Funds to adjust country exposures while
incurring minimal transaction costs. Short index futures contracts are used for
hedging purposes, i.e. to reduce the exposure to equities. Long index futures
contracts are used to gain exposure to equities, when it is anticipated that
this will be more efficient than buying stocks directly.
Use of long futures contracts subjects the Funds to risk of loss in excess of
the amounts shown on the Statement of Assets and Liabilities up to the notional
value of the
63
<Page>
futures contracts. Use of short futures contracts subjects the Funds to
unlimited risk of loss. The Funds may enter into futures contracts only on
exchanges or boards of trade. The exchange or board of trade acts as the
counterparty to each futures transaction; therefore, the Funds' credit risk is
limited to failure of the exchange or board of trade.
As of October 31, 2004, the Funds held open outstanding futures contracts as
listed on the Funds' Portfolio of Investments.
C. FOREIGN CURRENCY TRANSLATION -- The books and records of the Funds are
maintained in U.S. dollars. Foreign currency amounts are translated into
U.S. dollars at the prevailing exchange rates, or at the mean of the
current bid and asked prices, of such currencies against the U.S. dollar as
quoted by a major bank, on the following basis:
1. Market value of investment securities and other assets and liabilities: at
the rate of exchange at the valuation date.
2. Purchases and sales of investment securities, income and expenses: at the
rates of exchange prevailing on the respective dates of such transactions.
Although the net assets of the Funds are presented at the foreign exchange rates
and market values at the close of the periods, the Funds do not isolate that
portion of the results of operations arising as a result of changes in the
foreign exchange rates from the fluctuations arising from changes in the market
prices of securities held or sold during the year. Accordingly, such realized
foreign currency gains (losses) are included in the reported net realized and
unrealized gains (losses) on investment transactions.
Reported realized foreign currency gains or losses arise from disposition of
foreign currency, currency gains or losses realized between the trade and
settlement dates on securities transactions, and the difference between the
amounts of dividends, interest and foreign withholding taxes recorded on each
Fund's books on the transaction date and the U.S. dollar equivalent of the
amounts actually received or paid. Unrealized foreign exchange gains and losses
arise from changes (due to the changes in the exchange rate) in the value of
foreign currency and other assets and liabilities denominated in foreign
currencies, which are held at year end.
D. FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS -- The Funds may enter into
forward foreign currency exchange contracts (obligations to purchase or sell
foreign currency in the future on a date and price fixed at the time the
contracts are entered into) to manage the Fund's exposure to foreign currency
exchange fluctuations. Each day the forward contracts are open, changes in the
value of the contracts are recognized as unrealized gains or losses by "marking
to market". When the forward contracts are closed, or the delivery of the
currency exchange is made or taken, the Fund records a realized gain or loss
equal to the difference between the proceeds from (or cost of) the closing
transaction and the Fund's basis in the contracts. The Funds are subject to
off-balance sheet risk to the extent of the value of the contracts for purchases
of foreign currency and in an unlimited amount for sales of foreign currency.
As of October 31, 2004, the Funds had outstanding forward foreign currency
exchange contracts as listed on the Funds' Portfolio of Investments.
E. RESTRICTED AND ILLIQUID SECURITIES -- The Funds are permitted to invest in
securities that are subject to legal or contractual restrictions on resale or
are illiquid. Restricted securities generally may be resold in transactions
exempt from registration. A security may be considered illiquid if it lacks a
readily available market or if its valuation has not changed for a certain
period of time. Disposal of these securities may involve time-consuming
negotiations and expense, and prompt sale at the current valuation may be
difficult.
64
<Page>
F. SECURITIES ON LOAN -- All of the funds except IGF have been approved by the
Board of Trustees for the lending of securities, through their custodian
JPMorgan Chase Bank ("JPMCB", an affiliate of the Funds) acting as lending agent
to certain borrowers. By lending investment securities, a Fund attempts to
increase its net investment income through the receipt of interest (after
rebates and fees) on collateral received in connection with the loan. The net
amount of interest earned, after the rebate and fee, is included in the
Statement of Operations as Securities lending (net).
The loans are secured by collateral at least equal at all times to the value of
the securities loaned plus accrued interest. Gain or loss on the value of the
securities 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 October 31, 2004, the market value of securities loaned and the amount of
collateral received were as follows:
<Table>
<Caption>
MARKET VALUE OF MARKET VALUE OF
SECURITIES LOANED COLLATERAL RECEIVED
FUND
EF $ 1,155,404 $ 1,217,848
JF 7,081,505 7,451,450
IVF 2,184,638 2,301,673
IOF 8,828,450 9,338,823
IEF 40,986,676 43,094,145
</Table>
JPMCB as lending agent receives an annual fee equal to 0.05% (0.06% prior to
January 31, 2004) of the average dollar value of the loans of U.S. securities
outstanding during a given month and 0.10% (0.1142% prior to January 31, 2004)
of the average dollar value of loans of non-U.S. securities outstanding during a
given month from the Funds as detailed below fees received during the year ended
October 31, 2004 were as follows:
<Table>
EF $ 22,770
JF 4,677
IVF 6,250
IOF 28,812
EMF 719
IEF 227,070
</Table>
Risks of delay in recovery of securities or even loss of rights in the
collateral may occur should the borrower of the securities fail financially.
Risks may also arise to the extent that the value of the securities loaned
increases above the value of the securities received. JPMCB will indemnify each
Fund from any loss resulting from a borrower's failure to return a loaned
security when due.
G. SECURITIES TRANSACTIONS AND INVESTMENT INCOME -- Investment transactions are
accounted for on the trade date (the date the order to buy or sell is executed).
Securities gains and losses are calculated on the identified cost basis.
Interest income is determined on the basis of coupon interest accrued using the
interest method adjusted for amortization of premiums and accretion of
discounts. Dividend income less foreign taxes withheld (if any) is recorded on
the ex-dividend date or when the Funds first learn of the dividend.
Purchases of when issued securities may be settled a month or more after the
trade date; interest income is not accrued until settlement date.
H. ALLOCATION OF INCOME AND EXPENSES -- Expenses directly attributable to a Fund
are charged to that Fund; other expenses of the Trusts are allocated
proportionately among each of the Funds within the Trusts in relation to the net
assets of each Fund or on another reasonable basis. Expenses directly
attributable to a particular class are charged directly to such class.
65
<Page>
In calculating the net asset value per share of each class, investment income,
realized and unrealized gains and losses and expenses other than class specific
expenses are allocated daily to each class of shares based upon the proportion
of net assets of each class at the beginning of each day.
I. FEDERAL INCOME TAXES -- Each Fund is treated as a separate taxable entity for
Federal income tax purposes. The Fund's policy is to comply with the provisions
of the Internal Revenue Code applicable to regulated investment companies and to
distribute to shareholders all of its distributable net investment income and
net realized gain on investments. In addition, the Funds intend to make
distributions as required to avoid excise taxes. Accordingly, no provision for
Federal income or excise tax is necessary.
J. FOREIGN TAXES -- The Funds may be subject to foreign taxes on income, gains
on investments or currency repatriation, a portion of which may be recoverable.
The Funds will accrue such taxes and recoveries as applicable, based upon their
current interpretation of tax rules and regulations that exist in the markets in
which they invest.
K. DISTRIBUTIONS TO SHAREHOLDERS -- Dividends and distributions paid to
shareholders are recorded on the ex-dividend date. The amount of dividends and
distributions from net investment income and net realized capital gains is
determined in accordance with Federal income tax regulations, which may differ
from accounting principles generally accepted in the United States of America.
To the extent these "book/tax" differences are permanent in nature (i.e., that
they result from other than timing of recognition "temporary differences"), such
amounts are reclassified within the capital accounts based on their Federal
tax-basis treatment. The following amounts were reclassified within the capital
accounts:
<Table>
<Caption>
ACCUMULATED ACCUMULATED
UNDISTRIBUTED/ NET REALIZED
PAID-IN (OVERDISTRIBUTED) GAIN (LOSS)
CAPITAL NET INVESTMENT INCOME ON INVESTMENTS
FUND
EF $ (399,420) $ (342,644) $ 742,064
JF (100,823) 118,899 (18,076)
IGF (17,876) 6,871 11,005
IVF 32 403,248 (403,280)
IOF 21 2,033,657 (2,033,678)
EMF -- (180,536) 180,536
AEF -- (45,008) 45,008
IEF -- 496,980 (496,980)
</Table>
For EMF, the reclassifications primarily relate to the character for tax
purposes of foreign currency gains and losses. For EF, the reclassification
primarily relate to the character for tax purposes on the allocation of the
"Master/Feeder" takedown. For JF the reclassifications primarily relate to the
character for tax purposes of net operating losses, Passive Foreign Investment
Company ("PFIC") sales and foreign exchange gains and losses. For IGF the
reclassifications primarily relate to the character for tax purposes of net
operating losses and foreign currency gains and losses. For IVF the
reclassifications primarily relate to the character for tax purposes of PFIC
sales and forward foreign currency gains and losses. For IOF, AEF and IEF, the
reclassifications primarily relate to
66
<Page>
the character for tax purposes of PFIC sales and foreign currency gains and
losses.
L. OTHER EXPENSES -- Other expenses in the Statement of Operations include fees
related to line of credit, insurance, pricing and reporting services.
3. FEES AND OTHER TRANSACTIONS WITH AFFILIATES
A. INVESTMENT ADVISORY FEE -- Pursuant to the Investment Advisory Agreements,
JPMIM acts as the investment advisor to the Funds. JPMIM is a wholly owned
subsidiary of JPMorgan Fleming Asset Management Holdings, Inc., which is a
wholly owned subsidiary of JPMorgan 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 average daily net assets.
The annual fee for each Fund is as follows:
<Table>
<Caption>
INVESTMENT
ADVISORY FEE (%)
FUND
EF 0.65
JF 1.00
IGF 1.00*
IVF 0.60
IOF 0.60
EMF 1.00
AEF 1.00
IEF 1.00*
</Table>
* As approved by the Board of Trustees, effective February 19, 2005, the
Investment Advisory Fee will be reduced to an annual rate of 0.80% of the
average daily net assets for IGF and IEF.
JPMIM, on behalf of EF, JF, IGF and IEF, has entered into an investment
sub-advisory agreement with J.P. Morgan Fleming Asset Management (London)
Limited ("JPMFAM (London)"). JPMIM, on behalf of AEF, has entered into an
investment sub-advisory agreement with JF International Management, Inc.
("JFIMI") and indirect subsidiary of J.P. Morgan and affiliate of JPMIM. For its
services as sub-advisor, JPMFAM (London) and JFIMI receive a portion of the fees
payable to JPMIM.
The Advisors waived fees as outlined in Note 3.F.
The Funds may invest in one or more of the affiliated JPMorgan Money Market
Funds. The Advisor has agreed to waive and/or reimburse its advisory fee from
the Funds in an amount sufficient to offset any doubling up of investment
advisory, administration and shareholder servicing fees related to each Fund's
investment in an affiliated money market fund.
B. DISTRIBUTION FEES -- 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.
67
<Page>
The Trustees have adopted Distribution Plans (the "Distribution Plans") for
Class A, B and C Shares of the Funds in accordance with Rule 12b-1 under the
1940 Act. The Distribution Plans provide that each Fund shall pay distribution
fees, including payments to the Distributor, at annual rates of the average
daily net assets as shown in the table below (%):
<Table>
<Caption>
CLASS A CLASS B CLASS C
FUND
EF 0.25 0.75 0.75
JF 0.25 0.75 n/a
IGF 0.25 0.75 n/a
IVF 0.25 0.75 n/a
IOF 0.25 0.75 n/a
EMF 0.25 0.75 n/a
AEF 0.25 n/a n/a
IEF 0.25 0.75 0.75
</Table>
In addition, JPMFD is entitled to receive the contingent deferred sales charges
("CDSC") from redemptions of Class B and Class C shares.
The Distributor waived fees and reimbursed expenses as outlined in Note 3.F.
On August 19, 2004, the Board of Trustees approved management's proposal to
enter into a Distribution Agreement with One Group Dealer 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.
C. SHAREHOLDER SERVICING FEES -- The Trusts have entered into Shareholder
Servicing Agreements on behalf of the Funds with JPMorgan Chase Bank ("JPMCB"),
under which JPMCB provides account administration and personal account
maintenance services to the shareholders. For performing these services, JPMCB
receives a fee that is computed daily and paid monthly equal to a percentage of
the average daily net assets as shown in the table below (%):
<Table>
<Caption>
CLASS A CLASS B CLASS C INSTITUTIONAL SELECT
FUND
EF 0.25 0.25 0.25 0.10 0.25
JF 0.25 0.25 n/a n/a n/a
IGF 0.25 0.25 n/a n/a n/a
IVF 0.25 0.25 n/a 0.10 0.25
IOF 0.25 0.25 n/a 0.10 0.25
EMF 0.25 0.25 n/a 0.10 0.25
AEF 0.25 n/a n/a 0.10 0.25
IEF 0.25 0.25 0.25 n/a 0.25
</Table>
68
<Page>
JPMCB may enter into services contracts with certain entities under which it
will pay all or a portion of the annual fee to such entities performing
shareholding and administrative services.
In addition, JPMCB, Charles Schwab & Co. ("Schwab"), and the Trusts are parties
to separate servicing and operating agreements (the "Schwab Agreements") whereby
Schwab makes shares of the Funds available to customers and investment advisors
and other financial intermediaries who are Schwab's clients. The Funds are not
responsible for payments to Schwab under 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 MFG, JPMIF and JPMCB are
terminated, the Funds would be responsible for ongoing payments to Schwab with
respect to pre-termination shares.
On August 19, 2004, the Board of Trustees approved management's proposal to
replace JPMCB with One Group Dealer Services, Inc. as Shareholder Servicing
Agent. The foregoing change in the service provider is expected to occur
effective February 19, 2005.
JPMCB waived fees as outlined in Note 3.F.
D. CUSTODIAN AND ACCOUNTING FEES -- JPMCB provides portfolio custody and
accounting services for all of the Funds except IGF. Compensation for such
services is presented in the Statement of Operations as custodian fees. The
custodian fees may be reduced by credits earned by each Fund, based on
uninvested cash balances held by the custodian. Such earnings credits are
presented separately in the Statement of Operations.
E. ADMINISTRATION FEE -- Pursuant to the Administration Agreement, JPMCB (the
"Administrator") provides certain administration services to the Funds. In
consideration of these services, the Administrator receives a fee computed daily
and paid monthly at an annual rate equal to 0.15% of the first $25 billion of
the average daily net assets of all non-money market funds in the JPMorgan Fund
Complex and 0.075% of the average daily net assets in excess of $25 billion for
all Funds.
BISYS Fund Services, L.P. ("BISYS") serves as the Funds' sub-administrator. For
its services as sub-administrator, BISYS receives a portion of the fees payable
to JPMCB as Administrator.
The Administrator, the Advisor, and the Distributor have contractually agreed to
reimburse the Funds to the extent that total operating expenses (excluding
interest, taxes, extraordinary expenses and expenses related to the deferred
compensation plan) exceed the percentages of their respective average daily net
assets as shown in the table below (%):
<Table>
<Caption>
INSTITUTIONAL SELECT
CLASS A CLASS B CLASS C CLASS CLASS
FUND
EF 1.75 2.50 2.50 1.00 1.50
JF 1.75 2.50 n/a n/a n/a
IGF 2.00 2.50 n/a n/a n/a
IVF 1.45 1.95 n/a 0.95 1.41
IOF 1.90 2.40 n/a 0.92 1.20
EMF 2.00 2.50 n/a 1.45 1.75
AEF 1.75 n/a n/a 1.35 1.50
IEF 1.50 2.00 2.00 n/a 1.25
</Table>
69
<Page>
The contractual expense limitation agreements were in effect for the year ended
October 31, 2004. The expense limitation percentages in the table above are due
to expire on February 28, 2006.
On August 19, 2004, the Board of Trustees approved management's proposal to
enter into an Administration Agreement with One Group Administrative Services,
Inc., ("OGA") an indirect wholly-owned subsidiary of JPMorgan Chase & Co. The
foregoing change in the service provider is expected to occur effective February
19, 2005.
The Administrative fees charged to the Funds will be subject to the same fee
structure as those paid to the current Administrator.
JPMCB will begin to provide sub-administrative services to the Funds in 2005.
For such services, JPMCB will receive a portion of the fees payable to OGA as
Administrator.
The Administrator waived fees and reimbursed expenses as outlined in Note 3.F.
F. WAIVERS AND REIMBURSEMENTS -- For the year ended October 31, 2004, the Funds'
service providers waived fees and the Administrator contractually reimbursed
expenses for each of the Funds as follows. Neither the Funds' service providers
nor the Administrator expect the Funds to repay any such waived fees and
reimbursed expenses in future years.
<Table>
<Caption>
CONTRACTUAL WAIVERS
---------------------------------------------------------------------------------------
INVESTMENT SHAREHOLDER CONTRACTUAL
ADVISORY ADMINISTRATION SERVICING DISTRIBUTION TOTAL REIMBURSEMENTS
FUND
EF $ 180,938 $ 97,220 $ 35,050 $ -- $ 313,208 $ 16,881
JF 48,922 15,112 50,779 32,680 147,493 90,801
IGF 43,049 6,457 10,762 -- 60,268 165,849
IVF 111,900 60,651 28,521 -- 201,072 36,767
IOF 50,005 108,922 124,187 -- 283,114 --
EMF 126,444 112,050 55,022 -- 293,516 24,634
AEF 230,572 67,398 6,264 -- 304,234 8,421
IEF 1,180,005 25,660 1,746,778 -- 2,952,443 15,013
Total $ 1,971,835 $ 493,470 $ 2,057,363 $ 32,680 $ 4,555,348 $ 358,366
</Table>
<Table>
<Caption>
VOLUNTARY WAIVERS
------------------------------------------------------------------------------------------
INVESTMENT SHAREHOLDER
ADVISORY ADMINISTRATION SERVICING DISTRIBUTION TOTAL
FUND
EF $ 7,729 $ 47,207 $ -- $ -- $ 54,936
IVF -- 6,883 -- -- 6,883
IEF 951,237 563,848 -- -- 1,515,085
Total $ 958,966 $ 617,938 $ -- $ -- $ 1,576,904
</Table>
70
<Page>
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 year ended October 31,
2004, EF, JF, EMF and AEF incurred approximately $334, $866, $205 and $30,064 as
broker commissions with brokers/dealers affiliated with JPMorgan.
The SEC has granted an exemptive order permitting each Fund to engage in
principal transactions with JPMorgan 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 year ended October 31, 2004 are as
follows:
<Table>
<Caption>
SHAREHOLDER
FUND SERVICING DISTRIBUTION TRANSFER AGENT
EF
Class A $ 87,217 $ 87,217 $ 94,385
Class B 30,918 92,755 33,567
Class C 8,050 24,150 8,733
Institutional 27,881 -- 16,881
Select 44,823 -- 20,996
- ----------------------------------------------------------------------------------------------------------
Total $ 198,889 $ 204,122 $ 174,562
JF
Class A $ 51,000 $ 51,000 $ 38,688
Class B 1,799 5,397 2,085
- ----------------------------------------------------------------------------------------------------------
Total $ 52,799 $ 56,397 $ 40,773
IGF
Class A $ 8,625 $ 8,625 $ 27,055
Class B 2,137 6,413 6,706
- ----------------------------------------------------------------------------------------------------------
Total $ 10,762 $ 15,038 $ 33,761
IVF
Class A $ 248 $ 249 $ 5,079
Class B 927 2,781 20,122
Institutional 27,345 -- 12,742
Select 43,018 -- 29,252
- ----------------------------------------------------------------------------------------------------------
Total $ 71,538 $ 3,030 $ 67,195
- ----------------------------------------------------------------------------------------------------------
</Table>
71
<Page>
<Table>
<Caption>
SHAREHOLDER
FUND SERVICING DISTRIBUTION TRANSFER AGENT
IOF
Class A $ 29,584 $ 29,584 $ 77,284
Class B 3,482 10,445 9,196
Institutional 133,661 -- 27,517
Select 86,151 -- 28,926
- ----------------------------------------------------------------------------------------------------------
Total $ 252,878 $ 40,029 $ 142,923
EMF
Class A $ 1,492 $ 1,492 $ 20,572
Class B 443 1,330 6,694
Institutional 49,963 -- 13,335
Select 59,904 -- 31,339
- ----------------------------------------------------------------------------------------------------------
Total $ 111,802 $ 2,822 $ 71,940
AEF
Class A $ 887 $ 888 $ 9,507
Institutional 18,084 -- 13,675
Select 66,231 -- 16,133
- ----------------------------------------------------------------------------------------------------------
Total $ 85,202 $ 888 $ 39,315
IEF
Class A $ 99,029 $ 99,029 $ 63,942
Class B 1,173 3,519 781
Class C 11,613 34,839 7,739
Select 2,525,141 -- 69,943
- ----------------------------------------------------------------------------------------------------------
Total $ 2,636,956 $ 137,387 $ 142,405
- ----------------------------------------------------------------------------------------------------------
</Table>
5. CLASS SPECIFIC DISTRIBUTIONS
The Funds' class specific distributions from net investment income and realized
gain on investment transactions for the year ended October 31, 2004 and the year
ended October 31, 2003 are as follows:
<Table>
<Caption>
YEAR ENDED 10/31/04 YEAR ENDED 10/31/03
---------------------------------- --------------------------------
NET NET
FUND INVESTMENT INCOME REALIZED GAIN INVESTMENT INCOME REALIZED GAIN
EF
Class A $ -- $ -- $ 182,850 $ --
Class B -- -- 62,545 --
Class C -- -- 17,829 --
Institutional 46,310 -- 49,458 --
Select 2,237 -- 62,128 --
- ---------------------------------------------------------------------------------------------------------------------------
Total $ 48,547 $ -- $ 374,810 $ --
- ---------------------------------------------------------------------------------------------------------------------------
</Table>
72
<Page>
<Table>
<Caption>
YEAR ENDED 10/31/04 YEAR ENDED 10/31/03
---------------------------------- --------------------------------
NET NET
FUND INVESTMENT INCOME REALIZED GAIN INVESTMENT INCOME REALIZED GAIN
IGF
Class A $ 8,800 $ -- $ -- $ --
- ---------------------------------------------------------------------------------------------------------------------------
Total $ 8,800 $ -- $ -- $ --
IVF
Class A $ 18 $ -- $ 5,641 $ --
Class B 1,031 -- 5,748 --
Institutional 282,695 -- 876,423 --
Select 93,772 -- 593,686 --
- ---------------------------------------------------------------------------------------------------------------------------
Total $ 377,516 $ -- $ 1,481,498 $ --
IOF
Class A $ 193,283 $ -- $ 117,616 $ --
Class B 22,172 -- 12,558 --
Institutional 3,539,890 -- 2,095,226 --
Select 774,854 -- 322,792 --
- ---------------------------------------------------------------------------------------------------------------------------
Total $ 4,530,199 $ -- $ 2,548,192 $ --
EMF
Class A $ 2,932 $ -- $ 886 $ --
Class B 743 -- 229 --
Institutional 685,507 -- 307,562 --
Select 250,495 -- 121,323 --
- ---------------------------------------------------------------------------------------------------------------------------
Total $ 939,677 $ -- $ 430,000 $ --
AEF
Class A $ 2,611 $ -- $ -- $ --
Institutional 162,673 -- -- --
Select 248,894 -- -- --
- ---------------------------------------------------------------------------------------------------------------------------
Total $ 414,178 $ -- $ -- $ --
IEF
Class A $ 350,761 $ -- $ 37,568 $ --
Class B 2,154 -- 544 --
Class C 22,632 -- 2,626 --
Select 11,153,902 -- 6,721,691 --
- ---------------------------------------------------------------------------------------------------------------------------
Total $ 11,529,449 $ -- $ 6,762,429 $ --
- ---------------------------------------------------------------------------------------------------------------------------
</Table>
73
<Page>
6. INVESTMENT TRANSACTIONS
For the year ended October 31, 2004, purchases and sales of investments
(excluding short-term investments) are as follows:
<Table>
<Caption>
PURCHASES SALES
(EXCLUDING U.S. (EXCLUDING U.S.
GOVERNMENT) GOVERNMENT)
FUND
EF $ 433,267,834 $ 407,093,652
JF 88,698,290 45,609,208
IGF 2,007,899 2,118,303
IVF 47,487,974 51,909,547
IOF 174,532,573 182,384,950
EMF 85,737,600 101,140,895
AEF 74,107,711 75,706,867
IEF 565,684,189 249,411,652
</Table>
7. FEDERAL INCOME TAX MATTERS
For Federal income tax purposes, the cost and unrealized appreciation
(depreciation) in value of the investment securities at October 31, 2004, are as
follows:
<Table>
<Caption>
GROSS GROSS NET UNREALIZED
AGGREGATE UNREALIZED UNREALIZED APPRECIATION
COST APPRECIATION DEPRECIATION (DEPRECIATION)
FUND
EF $ 100,313,981 $ 9,074,310 $ (936,682) $ 8,137,628
JF 46,707,652 1,861,573 (1,381,606) 479,967
IGF 3,738,769 133,182 (688,206) (555,024)
IVF 39,854,775 7,691,520 (540,269) 7,151,251
IOF 156,882,421 33,799,323 (2,062,752) 31,736,571
EMF 65,168,712 18,678,539 (2,352,214) 16,326,325
AEF 30,799,626 4,659,029 (416,019) 4,243,010
IEF 1,056,069,931 211,657,579 (11,115,224) 200,542,355
</Table>
74
<Page>
The tax character of distributions paid during the years ended October 31, 2004
and October 31, 2003 were as follows:
<Table>
<Caption>
ORDINARY
INCOME
YEAR ENDED
OCTOBER 31, 2004
EF $ 48,547
IGF 8,800
IVF 377,516
IOF 4,530,199
EMF 939,677
AEF 414,178
IEF 11,529,449
<Caption>
ORDINARY
INCOME
YEAR ENDED
OCTOBER 31, 2003
EF $ 374,810
IVF 1,481,498
IOF 2,548,192
EMF 430,000
IEF 6,762,429
</Table>
At October 31, 2004, the components of net assets (excluding paid in capital) on
a tax basis were as follows:
<Table>
<Caption>
EF JF IGF IVF
Current distributable ordinary income $ 6,183,478 $ -- $ -- $ 1,345,499
Plus/Less: cumulative timing differences (2,177) (392) (102) (491)
Undistributed ordinary income or
overdistribution of ordinary income $ 6,181,301 $ (392) $ (102) $ 1,345,008
Current distributable long-term capital
gain or tax basis capital loss carryover 801,419 (680,787) (1,141,875) (26,846,138)
Plus/Less: cumulative timing differences -- -- -- --
Undistributed long-term gains/
accumulated capital loss 801,419 (680,787) (1,141,875) (26,846,138)
Unrealized appreciation (depreciation) $ 8,157,780 $ 485,907 $ 555,403 $ 7,296,454
</Table>
75
<Page>
<Table>
<Caption>
IOF EMF AEF IEF
Current distributable ordinary income $ 4,241,193 $ 472,842 $ 264,634 $ 4,877,016
Plus/Less: cumulative timing differences (2,901) (531) (162) (11,107)
Undistributed ordinary income or
overdistribution of ordinary income $ 4,238,292 $ 472,311 $ 264,472 $ 4,865,909
Current distributable long-term capital
gain or tax basis capital loss carryover (130,455,794) (103,979,260) (431,056) (18,210,627)
Plus/Less: cumulative timing differences -- -- -- --
Undistributed long-term gains/
accumulated capital loss (130,455,794) (103,979,260) (431,056) (18,210,627)
Unrealized appreciation (depreciation) $ 31,773,210 $ 16,328,235 $ 4,248,160 $ 200,606,967
</Table>
For EF the differences between book and tax basis unrealized appreciation
(depreciation) are primarily attributable to wash sales. For JF, AEF and IEF,
the differences between book and tax basis unrealized appreciation
(depreciation) are primarily attributable to wash sales, and the mark to market
of investments in PFICs. For EMF, the difference between book and tax basis
unrealized appreciation (depreciation) is primarily attributable to wash sales
and allocation of tax basis on "master/feeder" takedown. For IVF, IGF and IOF
the difference between book and tax basis unrealized appreciation (depreciation)
is primarily attributable to wash sales, the mark to market of investments in
PFICs and the mark to market of forward foreign currency exchange contracts. For
all Funds, the cumulative timing difference account primarily consists of
Trustees' deferred compensation.
At October 31, 2004, the following Funds have capital loss carryovers which will
be available to offset capital gains. To the extent that any net capital loss
carryovers are used to offset future capital gains, it is probable that the
gains so offset will not be distributed to shareholders.
76
<Page>
<Table>
<Caption>
EXPIRATION
AMOUNT DATE
JF $ (493,865) October 31, 2009
(186,922) October 31, 2010
- ---------------------------------------------------------------------------------------------
$ (680,787)
- ---------------------------------------------------------------------------------------------
IGF $ (136,765) October 31, 2009
(748,119) October 31, 2010
(256,991) October 31, 2011
- ---------------------------------------------------------------------------------------------
$ (1,141,875)
- ---------------------------------------------------------------------------------------------
IVF $ (26,846,138) October 31, 2009
- ---------------------------------------------------------------------------------------------
IOF $ (65,124,821) October 31, 2009
(49,498,306) October 31, 2010
(15,832,667) October 31, 2011
- ---------------------------------------------------------------------------------------------
$ (130,455,794)
- ---------------------------------------------------------------------------------------------
EMF $ (54,872,878) October 31, 2006
(28,177,633) October 31, 2007
(2,888,019) October 31, 2008
(12,743,985) October 31, 2009
(5,296,745) October 31, 2010
- ---------------------------------------------------------------------------------------------
$ (103,979,260)*
- ---------------------------------------------------------------------------------------------
AEF $ (431,056) October 31, 2011
- ---------------------------------------------------------------------------------------------
IEF $ (8,298,589) October 31, 2010
(9,912,038) October 31, 2011
- ---------------------------------------------------------------------------------------------
$ (18,210,627)
- ---------------------------------------------------------------------------------------------
</Table>
* The above capital loss carryover includes 5,311,348 of losses acquired
from J.P. Morgan Emerging Markets Equity Fund. Utilization of these losses
will be subject to an annual limitation as prescribed by the Internal
Revenue Code.
During the year ended October 31, 2004, EF, JF, IGF, IVF, IOP, EMF, AEF and IEF
utilized capital loss carryforwards of $3,318,584, $113,730, $97,456,
$9,260,280, $20,860,298, $23,835,990, $2,229,854 and $9,269,674 respectively.
8. BANK BORROWINGS
Pursuant to a Line of Credit Agreement, dated April 17, 2003, the Funds may
borrow money for temporary or emergency purposes. The Funds have entered into
the agreement, enabling them to participate with other JPMorgan Funds in a line
of credit with JPMCB, as administrative agent, and with a syndicate of banks,
which permits borrowings up to $250 million, collectively. Interest is charged
to each Fund based on its borrowings at an annual rate equal to the sum of the
Federal Funds Rate plus 0.50%. The Funds also pay a commitment fee of 0.09% per
annum on the average daily amount of the
77
<Page>
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 has been extended to April 14, 2005.
The Funds had no borrowings outstanding at October 31, 2004, nor at anytime
during the year then ended.
9. CONCENTRATIONS AND INDEMNIFICATIONS
The Funds may have elements of risk not typically associated with investments in
the United States of America due to concentrated investments in a limited number
of countries or regions, which may vary throughout the year. Such concentrations
may subject the Funds to additional risks resulting from political or economic
conditions in such countries or regions and the possible imposition of adverse
governmental laws or currency exchange restrictions could cause the securities
and their markets to be less liquid and their prices more volatile than those of
comparable U.S. securities.
As of October 31, 2004, substantially all of the Funds' net assets consist of
securities of issuers that are denominated in foreign currencies. Changes in
currency exchange rates will affect the value of and investment income from such
securities.
As of October 31, 2004, EF, IGF, IVF, IOF, and IEF invested approximately 21.6%,
26.4%, 27.7%, 25.6% and 24.4%, respectively, of its respective portfolio in
issuers in the United Kingdom. AEF invested 24.2% of its respective portfolio in
issuers in South Korea. AEF invested 31.6% of its respective portfolio in
issuers in Hong Kong. IGF and IVF invested, respectively, 21.3% and 22.5% of its
respective portfolio in issuers in Japan.
As of October 31, 2004, IVF invested approximately 23.1% of its net assets in
securities issued by banking companies.
From time to time, the Funds may have a concentration of several shareholders
holding a significant percentage of shares outstanding. At October 31, 2004, all
of the outstanding shares of IGF are owned by a related party. Investment
activities of these shareholders could have a material impact on the Funds.
In the normal course of business, the Funds enter into contracts that contain a
variety of representations which provide general indemnifications. Each Fund's
maximum exposure under these arrangements is unknown, as this would involve
future claims that may be made against each Fund that have not yet occurred.
However, based on experience, the Funds expect the risk of loss to be remote.
10. CORPORATE EVENT
On May 25, 2004, J.P. Morgan Chase & Co. and Bank One Corp. announced that, at
separate meetings, their respective shareholders had approved the merger of the
two companies. The companies 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. Effective November 15, 2004, the bank name is JPMorgan
Chase Bank, National Association.
11. SUBSEQUENT EVENT
On November 11, 2004, The Board of Directors approved the following:
1. For Class A Shares, the maximum front-end sales charge was reduced
from 5.75% to 5.25% for shares purchased on or after November 15, 2004
for the Funds.
2. For shares of the Funds purchased on or after February 19, 2005,
shareholders will pay a 2% redemption fee if they exchange or redeem
shares of these Funds within 60 days of the date of purchase. As
described in the Funds' prospectus, this fee may be in addition to any
applicable contingent deferred sales charge. The redemption fees will
be paid to the respective Funds to offset the impact of fluctuations
in asset levels and cash flow caused by short-term shareholder trading
in these funds.
78
<Page>
12. CAPITAL SHARE TRANSACTIONS
Capital share transactions were as follows for the periods presented:
<Table>
<Caption>
INTREPID EUROPEAN FUND
-----------------------------------
YEAR ENDED YEAR ENDED
OCTOBER 31, 2004 OCTOBER 31, 2003
CLASS A
AMOUNT
Shares sold $ 13,944,805 $ 40,276,497
Shares issued in reinvestment
of distributions -- 83,574
Shares redeemed (14,705,293) (43,434,120)
- --------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ (760,488) $ (3,074,049)
- --------------------------------------------------------------------------------------------------------------------
SHARES
Shares sold 745,738 2,790,586
Shares issued in reinvestment
of distributions -- 6,424
Shares redeemed (788,462) (3,005,402)
- --------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding (42,724) (208,392)
- --------------------------------------------------------------------------------------------------------------------
CLASS B
AMOUNT
Shares sold $ 992,374 $ 1,762,130
Shares issued in reinvestment
of distributions -- 48,442
Shares redeemed (2,226,336) (2,733,317)
- --------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ (1,233,962) $ (922,745)
- --------------------------------------------------------------------------------------------------------------------
SHARES
Shares sold 55,189 130,394
Shares issued in reinvestment
of distributions -- 3,900
Shares redeemed (123,945) (207,188)
- --------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding (68,756) (72,894)
- --------------------------------------------------------------------------------------------------------------------
</Table>
79
<Page>
<Table>
<Caption>
INTREPID EUROPEAN FUND
-----------------------------------
YEAR ENDED YEAR ENDED
OCTOBER 31, 2004 OCTOBER 31, 2003
CLASS C
AMOUNT
Shares sold $ 775,340 $ 1,061,527
Shares issued in reinvestment
of distributions -- 6,481
Shares redeemed (987,325) (1,309,683)
- --------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ (211,985) $ (241,675)
- --------------------------------------------------------------------------------------------------------------------
SHARES
Shares sold 42,965 82,948
Shares issued in reinvestment
of distributions -- 522
Shares redeemed (54,986) (101,132)
- --------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding (12,021) (17,662)
- --------------------------------------------------------------------------------------------------------------------
INSTITUTIONAL
AMOUNT
Shares sold $ 29,311,032 $ 11,942,862
Shares issued in reinvestment
of distributions 10,635 9,584
Shares redeemed (6,963,210) (8,659,348)
- --------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ 22,358,457 $ 3,293,098
- --------------------------------------------------------------------------------------------------------------------
SHARES
Shares sold 1,494,897 808,481
Shares issued in reinvestment
of distributions 580 731
Shares redeemed (355,746) (581,439)
- --------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding 1,139,731 227,773
- --------------------------------------------------------------------------------------------------------------------
SELECT
AMOUNT
Shares sold $ 9,304,288 $ 37,953,176
Shares issued in reinvestment
of distributions 1,933 53,460
Shares redeemed (1,911,184) (37,843,951)
- --------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ 7,395,037 $ 162,685
- --------------------------------------------------------------------------------------------------------------------
SHARES
Shares sold 487,442 2,716,370
Shares issued in reinvestment
of distributions 106 4,100
Shares redeemed (100,600) (2,698,946)
- --------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding 386,948 21,524
- --------------------------------------------------------------------------------------------------------------------
</Table>
80
<Page>
<Table>
<Caption>
JAPAN FUND INTERNATIONAL GROWTH FUND
------------------------------------ -----------------------------------
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
OCTOBER 31, 2004 OCTOBER 31, 2003 OCTOBER 31, 2004 OCTOBER 31, 2003
CLASS A
AMOUNT
Shares sold $ 48,292,799 $ 9,324,505 $ -- $ --
Shares issued in reinvestment
of distributions 8,800
Shares redeemed (4,980,879) (7,237,188) (3,408) --
- --------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ 43,311,920 $ 2,087,317 $ 5,392 $ --
- --------------------------------------------------------------------------------------------------------------------
SHARES
Shares sold 6,929,780 1,871,032 -- --
Shares issued in reinvestment
of distributions 1,077
Shares redeemed (748,355) (1,503,284) (389) --
- --------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding 6,181,425 367,748 688 --
- --------------------------------------------------------------------------------------------------------------------
CLASS B
AMOUNT
Shares sold $ 1,234,094 $ 2,655,629 $ -- $ 500
Shares redeemed (763,460) (2,370,145) (500) --
- --------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ 470,634 $ 285,484 $ (500) $ 500
- --------------------------------------------------------------------------------------------------------------------
SHARES
Shares sold 194,946 486,384 -- 65
Shares redeemed (124,062) (438,419) (65) --
- --------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding 70,884 47,965 (65) 65
- --------------------------------------------------------------------------------------------------------------------
</Table>
81
<Page>
<Table>
<Caption>
INTERNATIONAL VALUE FUND INTERNATIONAL OPPORTUNITIES FUND
------------------------------------ -----------------------------------
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
OCTOBER 31, 2004 OCTOBER 31, 2003 OCTOBER 31, 2004 OCTOBER 31, 2003
CLASS A
AMOUNT
Shares sold $ 148,674 $ 543,162 $ 2,826,588 $ 36,091,421
Shares issued in reinvestment
of distributions 16 2,552 152,426 99,065
Shares redeemed (41,301) (675,120) (2,600,413) (39,802,772)
- --------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ 107,389 $ (129,406) $ 378,601 $ (3,612,286)
- --------------------------------------------------------------------------------------------------------------------
SHARES
Shares sold 15,006 77,455 276,887 4,597,546
Shares issued in reinvestment
of distributions 2 376 16,355 13,244
Shares redeemed (4,195) (94,026) (264,518) (5,051,145)
- --------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding 10,813 (16,195) 28,724 (440,355)
- --------------------------------------------------------------------------------------------------------------------
CLASS B
AMOUNT
Shares sold $ 180,095 $ 50,588 $ 59,774 $ 171,083
Shares issued in reinvestment
of distributions 978 5,748 19,838 10,904
Shares redeemed (56,361) (17,614) (436,878) (376,308)
- --------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ 124,712 $ 38,722 $ (357,266) $ (194,321)
- --------------------------------------------------------------------------------------------------------------------
SHARES
Shares sold 18,490 6,411 6,331 21,996
Shares issued in reinvestment
of distributions 111 850 2,140 1,463
Shares redeemed (5,679) (2,473) (44,775) (51,002)
- --------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding 12,922 4,788 (36,304) (27,543)
- --------------------------------------------------------------------------------------------------------------------
</Table>
82
<Page>
<Table>
<Caption>
INTERNATIONAL INTERNATIONAL
VALUE FUND (CONTINUED) OPPORTUNITIES FUND (CONTINUED)
------------------------------------ -----------------------------------
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
OCTOBER 31, 2004 OCTOBER 31, 2003 OCTOBER 31, 2004 OCTOBER 31, 2003
INSTITUTIONAL
AMOUNT
Shares sold $ 3,683,334 $ 45,587,834 $ 29,968,401 $ 94,487,627
Shares issued in reinvestment
of distributions 231,541 662,311 1,220,797 1,065,103
Shares redeemed (7,432,888) (53,678,945) (41,036,534) (199,547,604)
- --------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ (3,518,013) $ (7,428,800) $ (9,847,336) $ (103,994,874)
- --------------------------------------------------------------------------------------------------------------------
SHARES
Shares sold 374,187 6,408,246 3,056,518 12,124,742
Shares issued in reinvestment
of distributions 25,899 97,113 129,596 141,073
Shares redeemed (753,137) (7,521,869) (4,149,669) (25,518,152)
- --------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding (353,051) (1,016,510) (963,555) (13,252,337)
- --------------------------------------------------------------------------------------------------------------------
SELECT
AMOUNT
Shares sold $ 2,985,322 $ 68,279,734 $ 19,947,772 $ 73,847,430
Shares issued in reinvestment
of distributions 83,263 527,931 485,779 248,520
Shares redeemed (5,152,958) (72,491,666) (18,083,136) (82,557,324)
- --------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ (2,084,373) $ (3,684,001) $ 2,350,415 $ (8,461,374)
- --------------------------------------------------------------------------------------------------------------------
SHARES
Shares sold 306,110 9,510,101 2,011,277 9,619,318
Shares issued in reinvestment
of distributions 9,324 77,523 51,734 33,004
Shares redeemed (542,579) (10,070,895) (1,812,765) (10,731,214)
- --------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding (227,145) (483,271) 250,246 (1,078,892)
- --------------------------------------------------------------------------------------------------------------------
</Table>
83
<Page>
<Table>
<Caption>
EMERGING MARKETS EQUITY FUND ASIA EQUITY FUND^
------------------------------------ -----------------------------------
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
OCTOBER 31, 2004 OCTOBER 31, 2003 OCTOBER 31, 2004 OCTOBER 31, 2003
CLASS A
AMOUNT
Shares sold $ 1,908,595 $ 222,427 $ 626,336 $ 537,655
Shares issued in reinvestment
of distributions 2,606 886 2,033 --
Shares redeemed (716,146) (172,217) (419,249) (2,492,363)
- --------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ 1,195,055 $ 51,096 $ 209,120 $ (1,954,708)
- --------------------------------------------------------------------------------------------------------------------
SHARES
Shares sold 216,489 36,685 34,169 32,651
Shares issued in reinvestment
of distributions 342 161 115 --
Shares redeemed (88,829) (29,071) (20,995) (184,626)
- --------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding 128,002 7,775 13,289 (151,975)
- --------------------------------------------------------------------------------------------------------------------
CLASS B
AMOUNT
Shares sold $ 324,852 $ 306,190 $ -- $ 1,689
Shares issued in reinvestment
of distributions 688 227 -- --
Shares redeemed (155,498) (276,477) -- (439,700)
- --------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ 170,042 $ 29,940 $ -- $ (438,011)
- --------------------------------------------------------------------------------------------------------------------
SHARES
Shares sold 38,046 53,373 -- 134
Shares issued in reinvestment
of distributions 91 42 -- --
Shares redeemed (18,956) (48,520) -- (33,467)
- --------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding 19,181 4,895 -- (33,333)
- --------------------------------------------------------------------------------------------------------------------
</Table>
^ Class B ceased operations as of September 12, 2003.
84
<Page>
<Table>
<Caption>
EMERGING MARKETS
EQUITY FUND (CONTINUED) ASIA EQUITY FUND^ (CONTINUED)
------------------------------------ -----------------------------------
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
OCTOBER 31, 2004 OCTOBER 31, 2003 OCTOBER 31, 2004 OCTOBER 31, 2003
INSTITUTIONAL
AMOUNT
Shares sold $ 3,691,235 $ 41,492,898 $ 11,587,496 $ 7,757,913
Shares issued in reinvestment
of distributions 533,769 269,543 53,366 --
Shares redeemed (25,584,325) (49,074,995) (8,564,609) (2,900,715)
- --------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ (21,359,321) $ (7,312,554) $ 3,076,253 $ 4,857,198
- --------------------------------------------------------------------------------------------------------------------
SHARES
Shares sold 438,863 6,770,225 617,528 524,630
Shares issued in reinvestment
of distributions 69,231 48,742 3,005 --
Shares redeemed (3,092,316) (8,140,162) (480,383) (217,520)
- --------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding (2,584,222) (1,321,195) 140,150 307,110
- --------------------------------------------------------------------------------------------------------------------
SELECT
AMOUNT
Shares sold $ 16,304,846 $ 25,679,042 $ 7,195,089 $ 12,196,112
Shares issued in reinvestment
of distributions 242,745 109,846 98,193 --
Shares redeemed (12,152,780) (28,827,604) (14,003,567) (6,905,670)
- --------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ 4,394,811 $ (3,038,716) $ (6,710,285) $ 5,290,442
- --------------------------------------------------------------------------------------------------------------------
SHARES
Shares sold 1,852,104 4,451,740 387,403 845,208
Shares issued in reinvestment
of distributions 31,690 19,972 5,535 --
Shares redeemed (1,468,622) (5,039,893) (780,399) (496,583)
- --------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding 415,172 (568,181) (387,461) 348,625
- --------------------------------------------------------------------------------------------------------------------
</Table>
85
<Page>
<Table>
<Caption>
INTERNATIONAL EQUITY FUND
---------------------------------------
YEAR ENDED YEAR ENDED
OCTOBER 31, 2004 OCTOBER 31, 2003**
CLASS A
AMOUNT
Shares sold $ 65,053,996 $ 20,900,763
Shares issued in reinvestment
of distributions 70,827 25,323
Shares redeemed (14,719,942) (13,862,836)
- ------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ 50,404,881 $ 7,063,250
- ------------------------------------------------------------------------------------------------------------------------
SHARES
Shares sold 2,550,952 1,016,554
Shares issued in reinvestment
of distributions 2,711 1,181
Shares redeemed (572,062) (655,562)
- ------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding 1,981,601 362,173
- ------------------------------------------------------------------------------------------------------------------------
CLASS B
AMOUNT
Shares sold $ 695,087 $ 138,537
Shares issued in reinvestment
of distributions 1,361 531
Shares redeemed (163,500) (7,776)
- ------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ 532,948 $ 131,292
- ------------------------------------------------------------------------------------------------------------------------
SHARES
Shares sold 26,955 6,922
Shares issued in reinvestment
of distributions 53 26
Shares redeemed (6,228) (363)
- ------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding 20,780 6,585
- ------------------------------------------------------------------------------------------------------------------------
</Table>
86
<Page>
<Table>
<Caption>
INTERNATIONAL EQUITY FUND (CONTINUED)
---------------------------------------
YEAR ENDED YEAR ENDED
OCTOBER 31, 2004 OCTOBER 31, 2003**
CLASS C
AMOUNT
Shares sold $ 7,453,646 $ 2,164,951
Shares issued in reinvestment
of distributions 7,631 2,490
Shares redeemed (1,433,460) (564,751)
- ------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ 6,027,817 $ 1,602,690
- ------------------------------------------------------------------------------------------------------------------------
SHARES
Shares sold 293,354 100,275
Shares issued in reinvestment
of distributions 294 117
Shares redeemed (56,464) (27,490)
- ------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding 237,184 72,902
- ------------------------------------------------------------------------------------------------------------------------
SELECT
AMOUNT
Shares sold $ 616,760,641 $ 559,611,045
Shares issued in reinvestment
of distributions 4,060,159 2,705,120
Shares redeemed (332,382,003) (103,450,685)
- ------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ 288,438,797 $ 458,865,480
- ------------------------------------------------------------------------------------------------------------------------
SHARES
Shares sold 23,753,436 27,236,203
Shares issued in reinvestment
of distributions 154,788 131,977
Shares redeemed (13,176,013) (5,015,596)
- ------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding 10,732,211 22,352,584
- ------------------------------------------------------------------------------------------------------------------------
</Table>
** For Class C Shares, from commencement of offering on January 31, 2003.
87
<Page>
JPMORGAN FUNDS
FINANCIAL HIGHLIGHTS
CLASS A SHARES
<Table>
<Caption>
PER SHARE OPERATING PERFORMANCE:
-------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
----------------------------------------
NET GAINS
OR LOSSES ON
NET ASSET NET SECURITIES
VALUE, INVESTMENT (BOTH TOTAL FROM
BEGINNING INCOME REALIZED AND INVESTMENT
OF PERIOD (LOSS) UNREALIZED) OPERATIONS
INTREPID EUROPEAN FUND(e)
Year Ended 10/31/04 $ 16.94 0.19^ 2.68 2.87
Year Ended 10/31/03 $ 13.23 0.02^ 3.78 3.80
Year Ended 10/31/02 $ 12.96 0.14^ 0.13 0.27
Year Ended 10/31/01 $ 17.87 0.02^ (3.24) (3.22)
Year Ended 10/31/00 $ 16.52 (0.12)^ 1.83 1.71
JAPAN FUND(j)
Year Ended 10/31/04 $ 6.68 (0.04)^ 0.38 0.34
Year Ended 10/31/03 $ 4.43 (0.05)^ 2.30 2.25
Year Ended 10/31/02 $ 5.29 (0.06) (0.80) (0.86)
Year Ended 10/31/01 $ 8.12 (0.08)^ (2.75) (2.83)
Year Ended 10/31/00 $ 9.84 (0.15)^ (1.57) (1.72)
INTERNATIONAL GROWTH FUND(g)
Year Ended 10/31/04 $ 7.80 (0.01) 0.86 0.85
Year Ended 10/31/03 $ 6.25 0.02 1.53 1.55
Year Ended 10/31/02 $ 7.22 (0.01) (0.96) (0.97)
12/29/00* Through 10/31/01 $ 10.00 (0.01) (2.76) (2.77)
INTERNATIONAL VALUE FUND(v)
Year Ended 10/31/04 $ 8.53 0.27^ 1.79 2.06
Year Ended 10/31/03 $ 6.98 0.03^ 1.77 1.80
Year Ended 10/31/02 $ 8.27 0.15^ (1.32) (1.17)
9/28/01** Through 10/31/01 $ 8.12 (0.01)^ 0.16 0.15
<Caption>
PER SHARE OPERATING PERFORMANCE:
------------------------------------------
LESS DISTRIBUTIONS:
------------------------------------------
DIVIDENDS
FROM NET DISTRIBUTIONS TOTAL
INVESTMENT FROM CAPITAL DIVIDENDS
INCOME GAINS DISTRIBUTIONS
INTREPID EUROPEAN FUND(e)
Year Ended 10/31/04 -- -- --
Year Ended 10/31/03 0.09 -- 0.09
Year Ended 10/31/02 -- -- --
Year Ended 10/31/01 -- 1.69 1.69
Year Ended 10/31/00 -- 0.36 0.36
JAPAN FUND(j)
Year Ended 10/31/04 -- -- --
Year Ended 10/31/03 -- -- --
Year Ended 10/31/02 -- -- --
Year Ended 10/31/01 -- -- --
Year Ended 10/31/00 -- -- --
INTERNATIONAL GROWTH FUND(g)
Year Ended 10/31/04 0.02 -- 0.02
Year Ended 10/31/03 -- -- --
Year Ended 10/31/02 -- -- --
12/29/00* Through 10/31/01 0.01 -- 0.01
INTERNATIONAL VALUE FUND(v)
Year Ended 10/31/04 --(b) -- --(b)
Year Ended 10/31/03 0.25 -- 0.25
Year Ended 10/31/02 0.12 -- 0.12
9/28/01** Through 10/31/01 -- -- --
</Table>
(e) Prior to February 27, 2004, the Fund was named Fleming European Fund; prior
to February 28, 2001, the Fund was named Chase Vista European Fund.
(j) Formerly Chase Vista Japan Fund.
(g) Formerly Chase Vista International Growth Fund.
* Commencement of operations.
(v) Formerly JPMorgan International Equity Fund.
** Commencement of offering of class of shares.
^ Calculated based upon average shares outstanding.
SEE NOTES TO FINANCIAL STATEMENTS.
88
<Page>
ANNUAL REPORT OCTOBER 31 2004
<Table>
<Caption>
PER SHARE OPERATING PERFORMANCE:
--------------------------------
NET ASSET
VALUE, END TOTAL
OF PERIOD RETURN (1)(a)
INTREPID EUROPEAN FUND(e)
Year Ended 10/31/04 $ 19.81 16.94%
Year Ended 10/31/03 $ 16.94 28.94%
Year Ended 10/31/02 $ 13.23 2.08%
Year Ended 10/31/01 $ 12.96 (19.49%)
Year Ended 10/31/00 $ 17.87 10.13%
JAPAN FUND(j)
Year Ended 10/31/04 $ 7.02 5.09%
Year Ended 10/31/03 $ 6.68 50.79%
Year Ended 10/31/02 $ 4.43 (16.26%)
Year Ended 10/31/01 $ 5.29 (34.85%)
Year Ended 10/31/00 $ 8.12 (17.48%)
INTERNATIONAL GROWTH FUND(g)
Year Ended 10/31/04 $ 8.63 10.93%
Year Ended 10/31/03 $ 7.80 24.80%
Year Ended 10/31/02 $ 6.25 (13.43%)
12/29/00* Through 10/31/01 $ 7.22 (27.68%)
INTERNATIONAL VALUE FUND(v)
Year Ended 10/31/04 $ 10.59 24.18%
Year Ended 10/31/03 $ 8.53 26.71%
Year Ended 10/31/02 $ 6.98 (14.34%)
9/28/01** Through 10/31/01 $ 8.27 1.85%
<Caption>
RATIOS/SUPPLEMENTAL DATA:
--------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
-------------------------------
NET ASSETS, NET
END OF INVESTMENT
PERIOD NET INCOME
(000 OMITTED) EXPENSES (LOSS)
INTREPID EUROPEAN FUND(e)
Year Ended 10/31/04 $ 35,781 1.75% 1.01%
Year Ended 10/31/03 $ 31,322 1.70% 0.17%
Year Ended 10/31/02 $ 27,208 1.65% 1.03%
Year Ended 10/31/01 $ 32,317 1.75% 0.17%
Year Ended 10/31/00 $ 75,801 1.74% (0.60%)
JAPAN FUND(j)
Year Ended 10/31/04 $ 47,106 1.75% (0.60%)
Year Ended 10/31/03 $ 3,562 1.75% (1.02%)
Year Ended 10/31/02 $ 734 1.75% (1.26%)
Year Ended 10/31/01 $ 751 1.75% (1.22%)
Year Ended 10/31/00 $ 2,448 1.77% (1.54%)
INTERNATIONAL GROWTH FUND(g)
Year Ended 10/31/04 $ 3,519 2.00% (0.08%)
Year Ended 10/31/03 $ 3,174 2.00% 0.36%
Year Ended 10/31/02 $ 2,543 2.00% (0.12%)
12/29/00* Through 10/31/01 $ 2,922 2.00% (0.11%)
INTERNATIONAL VALUE FUND(v)
Year Ended 10/31/04 $ 189 1.45% 2.76%
Year Ended 10/31/03 $ 60 1.45% 0.37%
Year Ended 10/31/02 $ 163 1.45% 1.13%
9/28/01** Through 10/31/01 $ 10 1.45% (0.89%)
<Caption>
RATIOS/SUPPLEMENTAL DATA:
----------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
--------------------------------------------
NET INVESTMENT
EXPENSES INCOME (LOSS)
WITHOUT WAIVERS, WITHOUT WAIVERS, PORTFOLIO
REIMBURSEMENTS REIMBURSEMENTS TURNOVER
AND EARNINGS CREDITS AND EARNINGS CREDITS RATE (a)
INTREPID EUROPEAN FUND(e)
Year Ended 10/31/04 2.13% 0.63% 440%
Year Ended 10/31/03 2.47% (0.60%) 717%
Year Ended 10/31/02 2.45% 0.23% 1,021%
Year Ended 10/31/01 2.07% (0.15%) 564%
Year Ended 10/31/00 1.95% (0.81%) 161%
JAPAN FUND(j)
Year Ended 10/31/04 2.84%+ (1.69%)+ 221%
Year Ended 10/31/03 19.54%+ (18.81%)+ 797%
Year Ended 10/31/02 22.18%+ (21.69%)+ 409%
Year Ended 10/31/01 9.28%+ (8.75%)+ 196%
Year Ended 10/31/00 5.49%+ (5.26%)+ 123%
INTERNATIONAL GROWTH FUND(g)
Year Ended 10/31/04 7.25% (5.33%) 47%
Year Ended 10/31/03 7.29% (4.93%) 38%
Year Ended 10/31/02 7.20% (5.32%) 73%
12/29/00* Through 10/31/01 5.19% (3.30%) 35%
INTERNATIONAL VALUE FUND(v)
Year Ended 10/31/04 6.96%+ (2.75%)+ 108%~
Year Ended 10/31/03 10.04%+ (8.22%)+ 132%~
Year Ended 10/31/02 15.97%+ (13.39%)+ 138%~
9/28/01** Through 10/31/01 11.06%+ (10.50%)+ 85%~
</Table>
(b) Amount rounds to less than $.01.
(1) Total return figures do not include the effect of any front-end or deferred
sales load.
(a) Not annualized for periods less than one year.
# Short periods have been annualized.
+ Due to the size of net assets and fixed expenses, ratios may appear
disproportionate.
~ Prior to September 10, 2001, IVF invested all of its investable assets in
The International Equity Portfolio ("IEP"). The portfolio turnover rate
disclosed prior to September 10, 2001 is the turnover rate of IEP.
SEE NOTES TO FINANCIAL STATEMENTS.
89
<Page>
<Table>
<Caption>
PER SHARE OPERATING PERFORMANCE:
----------------------------------
NET ASSET
VALUE,
BEGINNING
OF PERIOD
INTERNATIONAL OPPORTUNITIES FUND(o)
Year Ended 10/31/04 $ 9.10
Year Ended 10/31/03 $ 7.49
Year Ended 10/31/02 $ 8.63
9/10/01** Through 10/31/01 $ 9.18
EMERGING MARKETS EQUITY FUND(m)
Year Ended 10/31/04 $ 7.49
Year Ended 10/31/03 $ 5.21
Year Ended 10/31/02 $ 5.14
9/28/01** Through 10/31/01 $ 4.88
ASIA EQUITY FUND(p)
Year Ended 10/31/04 $ 17.74
Year Ended 10/31/03 $ 13.69
11/1/01* Through 10/31/02 $ 15.00
INTERNATIONAL EQUITY FUND(i)
Year Ended 10/31/04 $ 23.17
Year Ended 10/31/03 $ 19.42
2/28/02* Through 10/31/02 $ 21.81
<Caption>
PER SHARE OPERATING PERFORMANCE:
-----------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
-----------------------------------------------------
NET GAINS
OR LOSSES ON
NET SECURITIES
INVESTMENT (BOTH TOTAL FROM
INCOME REALIZED AND INVESTMENT
(LOSS) UNREALIZED) OPERATIONS
INTERNATIONAL OPPORTUNITIES FUND(o)
Year Ended 10/31/04 0.08^ 1.16 1.24
Year Ended 10/31/03 (--)^(b) 1.68 1.68
Year Ended 10/31/02 0.02 (1.09) (1.07)
9/10/01** Through 10/31/01 (0.01)^ (0.54) (0.55)
EMERGING MARKETS EQUITY FUND(m)
Year Ended 10/31/04 0.05^ 2.06 2.11
Year Ended 10/31/03 0.04^ 2.27 2.31
Year Ended 10/31/02 (0.06)^ 0.17 0.11
9/28/01** Through 10/31/01 (0.01)^ 0.27 0.26
ASIA EQUITY FUND(p)
Year Ended 10/31/04 0.06^ 0.63 0.69
Year Ended 10/31/03 --^(b) 4.05 4.05
11/1/01* Through 10/31/02 (0.02) (1.29) (1.31)
INTERNATIONAL EQUITY FUND(i)
Year Ended 10/31/04 0.27^ 3.86 4.13
Year Ended 10/31/03 0.28^ 3.66 3.94
2/28/02* Through 10/31/02 0.04^ (2.37) (2.33)
<Caption>
PER SHARE OPERATING PERFORMANCE:
----------------------------------------
LESS DISTRIBUTIONS:
----------------------------------------
DIVIDENDS
FROM NET DISTRIBUTIONS
INVESTMENT FROM CAPITAL TOTAL
INCOME GAINS DISTRIBUTIONS
INTERNATIONAL OPPORTUNITIES FUND(o)
Year Ended 10/31/04 0.17 -- 0.17
Year Ended 10/31/03 0.07 -- 0.07
Year Ended 10/31/02 0.07 -- 0.07
9/10/01** Through 10/31/01 -- -- --
EMERGING MARKETS EQUITY FUND(m)
Year Ended 10/31/04 0.10 -- 0.10
Year Ended 10/31/03 0.03 -- 0.03
Year Ended 10/31/02 0.04 -- 0.04
9/28/01** Through 10/31/01 -- -- --
ASIA EQUITY FUND(p)
Year Ended 10/31/04 0.11 -- 0.11
Year Ended 10/31/03 -- -- --
11/1/01* Through 10/31/02 -- -- --
INTERNATIONAL EQUITY FUND(i)
Year Ended 10/31/04 0.21 -- 0.21
Year Ended 10/31/03 0.19 -- 0.19
2/28/02* Through 10/31/02 0.06 -- 0.06
</Table>
(o) Formerly J.P.Morgan Institutional International Opportunities Fund.
** Commencement of offering of class of shares.
(m) Formerly J.P. Morgan Institutional Emerging Markets Equity Fund.
(p) Formerly JPMorgan Fleming Pacific Region Fund.
* Commencement of operations.
(i) Formerly Chase Vista Select International Equity Fund.
SEE NOTES TO FINANCIAL STATEMENTS.
90
<Page>
ANNUAL REPORT OCTOBER 31 2004
<Table>
<Caption>
PER SHARE OPERATING PERFORMANCE:
--------------------------------
NET ASSET
VALUE, END TOTAL
OF PERIOD RETURN (1)(a)
INTERNATIONAL OPPORTUNITIES FUND(o)
Year Ended 10/31/04 $ 10.17 13.81%
Year Ended 10/31/03 $ 9.10 22.70%
Year Ended 10/31/02 $ 7.49 (12.55%)
9/10/01** Through 10/31/01 $ 8.63 (5.99%)
EMERGING MARKETS EQUITY FUND(m)
Year Ended 10/31/04 $ 9.50 28.44%
Year Ended 10/31/03 $ 7.49 44.65%
Year Ended 10/31/02 $ 5.21 2.14%
9/28/01** Through 10/31/01 $ 5.14 5.33%
ASIA EQUITY FUND(p)
Year Ended 10/31/04 $ 18.32 3.91%
Year Ended 10/31/03 $ 17.74 29.58%
11/1/01* Through 10/31/02 $ 13.69 (8.73%)
INTERNATIONAL EQUITY FUND(i)
Year Ended 10/31/04 $ 27.09 17.86%
Year Ended 10/31/03 $ 23.17 20.41%
2/28/02* Through 10/31/02 $ 19.42 (10.70%)
<Caption>
RATIOS/SUPPLEMENTAL DATA:
-------------------------
NET ASSETS,
END OF
PERIOD
(000 OMITTED)
INTERNATIONAL OPPORTUNITIES FUND(o)
Year Ended 10/31/04 $ 12,195
Year Ended 10/31/03 $ 10,650
Year Ended 10/31/02 $ 12,057
9/10/01** Through 10/31/01 $ 21,237
EMERGING MARKETS EQUITY FUND(m)
Year Ended 10/31/04 $ 1,372
Year Ended 10/31/03 $ 124
Year Ended 10/31/02 $ 46
9/28/01** Through 10/31/01 $ 11
ASIA EQUITY FUND(p)
Year Ended 10/31/04 $ 513
Year Ended 10/31/03 $ 261
11/1/01* Through 10/31/02 $ 2,282
INTERNATIONAL EQUITY FUND(i)
Year Ended 10/31/04 $ 63,622
Year Ended 10/31/03 $ 8,502
2/28/02* Through 10/31/02 $ 91
<Caption>
RATIOS/SUPPLEMENTAL DATA:
-------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
-------------------------------------------------------------------
NET INVESTMENT
NET EXPENSES INCOME (LOSS)
INVESTMENT WITHOUT WAIVERS, WITHOUT WAIVERS,
NET INCOME REIMBURSEMENTS REIMBURSEMENTS
EXPENSES (LOSS) AND EARNINGS CREDITS AND EARNINGS CREDITS
INTERNATIONAL OPPORTUNITIES FUND(o)
Year Ended 10/31/04 1.90% 0.85% 2.12% 0.63%
Year Ended 10/31/03 1.90% (0.02%) 2.39% (0.51%)
Year Ended 10/31/02 1.90% 0.20% 1.98% 0.12%
9/10/01** Through 10/31/01 1.90% (0.48%) 1.90% (0.48%)
EMERGING MARKETS EQUITY FUND(m)
Year Ended 10/31/04 2.00% 0.51% 5.68%+ (3.17%)+
Year Ended 10/31/03 2.00% 0.59% 24.54%+ (21.95%)+
Year Ended 10/31/02 2.00% (0.47%) 37.57%+ (36.04%)+
9/28/01** Through 10/31/01 2.00% (1.53%) 12.12%+ (11.65%)+
ASIA EQUITY FUND(p)
Year Ended 10/31/04 1.75% 0.34% 5.07%+ (2.98%)+
Year Ended 10/31/03 1.75% 0.02% 4.83%+ (3.06%)+
11/1/01* Through 10/31/02 1.75% (0.12%) 5.16%+ (3.53%)+
INTERNATIONAL EQUITY FUND(i)
Year Ended 10/31/04 1.50% 1.03% 1.93% 0.60%
Year Ended 10/31/03 1.50% 1.28% 2.69%+ 0.09%+
2/28/02* Through 10/31/02 1.50% 0.50% 55.25%+ (53.25%)+
<Caption>
RATIOS/SUPPLEMENTAL DATA:
-------------------------
PORTFOLIO
TURNOVER
RATE (a)
INTERNATIONAL OPPORTUNITIES FUND(o)
Year Ended 10/31/04 98%
Year Ended 10/31/03 79%
Year Ended 10/31/02 121%
9/10/01** Through 10/31/01 110%
EMERGING MARKETS EQUITY FUND(m)
Year Ended 10/31/04 118%~
Year Ended 10/31/03 85%~
Year Ended 10/31/02 69%~
9/28/01** Through 10/31/01 76%~
ASIA EQUITY FUND(p)
Year Ended 10/31/04 175%~
Year Ended 10/31/03 172%~
11/1/01* Through 10/31/02 106%~
INTERNATIONAL EQUITY FUND(i)
Year Ended 10/31/04 24%~
Year Ended 10/31/03 16%~
2/28/02* Through 10/31/02 20%~
</Table>
^ Calculated based upon average shares outstanding.
(b) Amount rounds to less than $.01.
(1) Total return figures do not include the effect of any front-end or
deferred sales load.
(a) Not annualized for periods less than one year.
# Short periods have been annualized.
+ Due to the size of net assets and fixed expenses, ratios may appear
disproportionate.
~ Prior to September 10, 2001, EMF invested all of its investable assets in
the Emerging Markets Equity Portfolio ("EMP"). The portfolio turnover rate
disclosed prior to September 10, 2001 is the turnover rate of EMP.
SEE NOTES TO FINANCIAL STATEMENTS.
91
<Page>
CLASS B SHARES
<Table>
<Caption>
PER SHARE OPERATING PERFORMANCE:
----------------------------------
NET ASSET
VALUE,
BEGINNING
OF PERIOD
INTREPID EUROPEAN FUND(e)
Year Ended 10/31/04 $ 16.08
Year Ended 10/31/03 $ 12.63
Year Ended 10/31/02 $ 12.48
Year Ended 10/31/01 $ 17.38
Year Ended 10/31/00 $ 16.18
JAPAN FUND(j)
Year Ended 10/31/04 $ 6.36
Year Ended 10/31/03 $ 4.25
Year Ended 10/31/02 $ 5.13
Year Ended 10/31/01 $ 7.93
Year Ended 10/31/00 $ 9.65
INTERNATIONAL GROWTH FUND(g)
Year Ended 10/31/04 $ 7.70
Year Ended 10/31/03 $ 6.20
Year Ended 10/31/02 $ 7.19
12/29/00* Through 10/31/01 $ 10.00
INTERNATIONAL VALUE FUND(v)
Year Ended 10/31/04 $ 8.46
Year Ended 10/31/03 $ 6.96
Year Ended 10/31/02 $ 8.28
9/28/01** Through 10/31/01 $ 8.12
<Caption>
PER SHARE OPERATING PERFORMANCE:
---------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
---------------------------------------
NET GAINS
OR LOSSES ON
NET SECURITIES
INVESTMENT (BOTH TOTAL FROM
INCOME REALIZED AND INVESTMENT
(LOSS) UNREALIZED) OPERATIONS
INTREPID EUROPEAN FUND(e)
Year Ended 10/31/04 0.08^ 2.55 2.63
Year Ended 10/31/03 (0.06)^ 3.59 3.53
Year Ended 10/31/02 0.05^ 0.10 0.15
Year Ended 10/31/01 (0.09)^ (3.12) (3.21)
Year Ended 10/31/00 (0.27)^ 1.83 1.56
JAPAN FUND(j)
Year Ended 10/31/04 (0.10)^ 0.38 0.28
Year Ended 10/31/03 (0.11)^ 2.22 2.11
Year Ended 10/31/02 (0.12) (0.76) (0.88)
Year Ended 10/31/01 (0.13)^ (2.67) (2.80)
Year Ended 10/31/00 (0.22)^ (1.50) (1.72)
INTERNATIONAL GROWTH FUND(g)
Year Ended 10/31/04 (0.04) 0.84 0.80
Year Ended 10/31/03 (0.01) 1.51 1.50
Year Ended 10/31/02 (0.04) (0.95) (0.99)
12/29/00* Through 10/31/01 (0.04) (2.77) (2.81)
INTERNATIONAL VALUE FUND(v)
Year Ended 10/31/04 0.21^ 1.77 1.98
Year Ended 10/31/03 (0.07)^ 1.82 1.75
Year Ended 10/31/02 (0.02)^ (1.18) (1.20)
9/28/01** Through 10/31/01 (0.01)^ 0.17 0.16
<Caption>
PER SHARE OPERATING PERFORMANCE:
----------------------------------------
LESS DISTRIBUTIONS:
----------------------------------------
DIVIDENDS
FROM NET DISTRIBUTIONS
INVESTMENT FROM CAPITAL TOTAL
INCOME GAINS DISTRIBUTIONS
INTREPID EUROPEAN FUND(e)
Year Ended 10/31/04 -- -- --
Year Ended 10/31/03 0.08 -- 0.08
Year Ended 10/31/02 -- -- --
Year Ended 10/31/01 -- 1.69 1.69
Year Ended 10/31/00 -- 0.36 0.36
JAPAN FUND(j)
Year Ended 10/31/04 -- -- --
Year Ended 10/31/03 -- -- --
Year Ended 10/31/02 -- -- --
Year Ended 10/31/01 -- -- --
Year Ended 10/31/00 -- -- --
INTERNATIONAL GROWTH FUND(g)
Year Ended 10/31/04 -- -- --
Year Ended 10/31/03 -- -- --
Year Ended 10/31/02 -- -- --
12/29/00* Through 10/31/01 -- -- --
INTERNATIONAL VALUE FUND(v)
Year Ended 10/31/04 0.03 -- 0.03
Year Ended 10/31/03 0.25 -- 0.25
Year Ended 10/31/02 0.12 -- 0.12
9/28/01** Through 10/31/01 -- -- --
</Table>
(e) Prior to February 27, 2004, the Fund was named Fleming European Fund; prior
to February 28, 2001, the Fund was named Chase Vista European Fund.
(j) Formerly Chase Vista Japan Fund.
(g) Formerly Chase Vista International Growth Fund.
* Commencement of operations.
(v) Formerly JPMorgan International Equity Fund.
** Commencement of offering of class of shares.
^ Calculated based upon average shares outstanding.
SEE NOTES TO FINANCIAL STATEMENTS.
92
<Page>
ANNUAL REPORT OCTOBER 31 2004
<Table>
<Caption>
PER SHARE OPERATING PERFORMANCE:
--------------------------------
NET ASSET
VALUE, END TOTAL
OF PERIOD RETURN (1)(a)
INTREPID EUROPEAN FUND(e)
Year Ended 10/31/04 $ 18.71 16.36%
Year Ended 10/31/03 $ 16.08 28.13%
Year Ended 10/31/02 $ 12.63 1.20%
Year Ended 10/31/01 $ 12.48 (20.03%)
Year Ended 10/31/00 $ 17.38 9.40%
JAPAN FUND(j)
Year Ended 10/31/04 $ 6.64 4.40%
Year Ended 10/31/03 $ 6.36 49.65%
Year Ended 10/31/02 $ 4.25 (17.15%)
Year Ended 10/31/01 $ 5.13 (35.31%)
Year Ended 10/31/00 $ 7.93 (17.82%)
INTERNATIONAL GROWTH FUND(g)
Year Ended 10/31/04 $ 8.50 10.39%
Year Ended 10/31/03 $ 7.70 24.19%
Year Ended 10/31/02 $ 6.20 (13.77%)
12/29/00* Through 10/31/01 $ 7.19 (28.10%)
INTERNATIONAL VALUE FUND(v)
Year Ended 10/31/04 $ 10.41 23.51%
Year Ended 10/31/03 $ 8.46 25.97%
Year Ended 10/31/02 $ 6.96 (14.72%)
9/28/01** Through 10/31/01 $ 8.28 1.97%
<Caption>
RATIOS/SUPPLEMENTAL DATA:
-------------------------
NET ASSETS,
END OF
PERIOD
(000 OMITTED)
INTREPID EUROPEAN FUND(e)
Year Ended 10/31/04 $ 12,187
Year Ended 10/31/03 $ 11,583
Year Ended 10/31/02 $ 10,017
Year Ended 10/31/01 $ 10,905
Year Ended 10/31/00 $ 18,546
JAPAN FUND(j)
Year Ended 10/31/04 $ 959
Year Ended 10/31/03 $ 469
Year Ended 10/31/02 $ 109
Year Ended 10/31/01 $ 135
Year Ended 10/31/00 $ 322
INTERNATIONAL GROWTH FUND(g)
Year Ended 10/31/04 $ 870
Year Ended 10/31/03 $ 788
Year Ended 10/31/02 $ 634
12/29/00* Through 10/31/01 $ 719
INTERNATIONAL VALUE FUND(v)
Year Ended 10/31/04 $ 441
Year Ended 10/31/03 $ 249
Year Ended 10/31/02 $ 171
9/28/01** Through 10/31/01 $ 10
<Caption>
RATIOS/SUPPLEMENTAL DATA:
-------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
-------------------------------------------------------------------
NET INVESTMENT
NET EXPENSES INCOME (LOSS)
INVESTMENT WITHOUT WAIVERS, WITHOUT WAIVERS,
NET INCOME REIMBURSEMENTS REIMBURSEMENTS
EXPENSES (LOSS) AND EARNINGS CREDITS AND EARNINGS CREDITS
INTREPID EUROPEAN FUND(e)
Year Ended 10/31/04 2.27% 0.47% 2.64% 0.10%
Year Ended 10/31/03 2.35% (0.47%) 3.09% (1.21%)
Year Ended 10/31/02 2.39% 0.38% 3.20% (0.43%)
Year Ended 10/31/01 2.50% (0.62%) 2.82% (0.94%)
Year Ended 10/31/00 2.49% (1.35%) 2.69% (1.55%)
JAPAN FUND(j)
Year Ended 10/31/04 2.50% (1.46%) 4.44%+ (3.40%)+
Year Ended 10/31/03 2.50% (2.18%) 20.70%+ (20.38%)+
Year Ended 10/31/02 2.50% (2.25%) 22.96%+ (22.71%)+
Year Ended 10/31/01 2.47% (1.92%) 11.24%+ (10.69%)+
Year Ended 10/31/00 2.52% (2.29%) 6.14%+ (5.91%)+
INTERNATIONAL GROWTH FUND(g)
Year Ended 10/31/04 2.50% (0.58%) 7.74% (5.83%)
Year Ended 10/31/03 2.50% (0.14%) 7.79% (5.43%)
Year Ended 10/31/02 2.50% (0.62%) 7.69% (5.81%)
12/29/00* Through 10/31/01 2.50% (0.51%) 5.66% (3.67%)
INTERNATIONAL VALUE FUND(v)
Year Ended 10/31/04 1.95% 2.21% 7.77%+ (3.61%)+
Year Ended 10/31/03 1.95% (0.94%) 10.41%+ (9.40%)+
Year Ended 10/31/02 1.95% (0.16%) 15.43%+ (13.64%)+
9/28/01** Through 10/31/01 1.95% (1.15%) 11.58%+ (10.78%)+
<Caption>
RATIOS/SUPPLEMENTAL DATA:
-------------------------
PORTFOLIO
TURNOVER
RATE (a)
INTREPID EUROPEAN FUND(e)
Year Ended 10/31/04 440%
Year Ended 10/31/03 717%
Year Ended 10/31/02 1,021%
Year Ended 10/31/01 564%
Year Ended 10/31/00 161%
JAPAN FUND(j)
Year Ended 10/31/04 221%
Year Ended 10/31/03 797%
Year Ended 10/31/02 409%
Year Ended 10/31/01 196%
Year Ended 10/31/00 123%
INTERNATIONAL GROWTH FUND(g)
Year Ended 10/31/04 47%
Year Ended 10/31/03 38%
Year Ended 10/31/02 73%
12/29/00* Through 10/31/01 35%
INTERNATIONAL VALUE FUND(v)
Year Ended 10/31/04 108%~
Year Ended 10/31/03 132%~
Year Ended 10/31/02 138%~
9/28/01** Through 10/31/01 85%~
</Table>
(1) Total return figures do not include the effect of any front-end or deferred
sales load.
(a) Not annualized for periods less than one year.
# Short periods have been annualized.
+ Due to the size of net assets and fixed expenses, ratios may appear
disproportionate.
~ Prior to September 10, 2001, IVF invested all of its investable assets in
The International Equity Portfolio ("IEP"). The portfolio turnover rate
disclosed prior to September 10, 2001 is the turnover rate of IEP.
SEE NOTES TO FINANCIAL STATEMENTS.
93
<Page>
<Table>
<Caption>
PER SHARE OPERATING PERFORMANCE:
--------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS: LESS DISTRIBUTIONS:
------------------------------------ ---------------------------------------
NET GAINS
OR LOSSES ON
NET ASSET NET SECURITIES DIVIDENDS
VALUE, INVESTMENT (BOTH TOTAL FROM FROM NET DISTRIBUTIONS
BEGINNING INCOME REALIZED AND INVESTMENT INVESTMENT FROM CAPITAL TOTAL
OF PERIOD (LOSS) UNREALIZED) OPERATIONS INCOME GAINS DISTRIBUTIONS
INTERNATIONAL
OPPORTUNITIES FUND(o)
Year Ended 10/31/04 $ 9.03 0.02^ 1.16 1.18 0.14 -- 0.14
Year Ended 10/31/03 $ 7.46 (0.04)^ 1.68 1.64 0.07 -- 0.07
Year Ended 10/31/02 $ 8.63 (0.04) (1.08) (1.12) 0.05 -- 0.05
9/10/01** Through 10/31/01 $ 9.18 (0.01)^ (0.54) (0.55) -- -- --
EMERGING MARKETS
EQUITY FUND(m)
Year Ended 10/31/04 $ 7.45 0.03^ 2.02 2.05 0.06 -- 0.06
Year Ended 10/31/03 $ 5.20 --^ 2.28 2.28 0.03 -- 0.03
Year Ended 10/31/02 $ 5.13 (0.03)^ 0.14 0.11 0.04 -- 0.04
9/28/01** Through 10/31/01 $ 4.88 (0.01)^ 0.26 0.25 -- -- --
INTERNATIONAL EQUITY FUND(i)
Year Ended 10/31/04 $ 23.10 0.13^ 3.85 3.98 0.11 -- 0.11
Year Ended 10/31/03 $ 19.39 0.15^ 3.68 3.83 0.12 -- 0.12
2/28/02** Through 10/31/02 $ 21.81 0.03^ (2.43) (2.40) 0.02 -- 0.02
</Table>
(o) Formerly J.P.Morgan Institutional International Opportunities Fund.
** Commencement of offering of class of shares.
(m) Formerly J.P. Morgan Institutional Emerging Markets Equity Fund.
(i) Formerly Chase Vista Select International Equity Fund.
^ Calculated based upon average shares outstanding.
(1) Total return figures do not include the effect of any front-end or deferred
sales load.
SEE NOTES TO FINANCIAL STATEMENTS.
94
<Page>
ANNUAL REPORT OCTOBER 31 2004
<Table>
<Caption>
PER SHARE OPERATING PERFORMANCE: RATIOS/SUPPLEMENTAL DATA:
-------------------------------- --------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
-------------------------------
NET ASSETS, NET
NET ASSET END OF INVESTMENT
VALUE, END TOTAL PERIOD NET INCOME
OF PERIOD RETURN (1)(a) (000 OMITTED) EXPENSES (LOSS)
INTERNATIONAL
OPPORTUNITIES FUND(o)
Year Ended 10/31/04 $ 10.07 13.23% $ 1,199 2.40% 0.24%
Year Ended 10/31/03 $ 9.03 22.18% $ 1,403 2.40% (0.58%)
Year Ended 10/31/02 $ 7.46 (13.05%) $ 1,365 2.40% (0.30%)
9/10/01** Through 10/31/01 $ 8.63 (5.99%) $ 2,950 2.40% (0.95%)
EMERGING MARKETS
EQUITY FUND(m)
Year Ended 10/31/04 $ 9.44 27.68% $ 302 2.50% 0.31%
Year Ended 10/31/03 $ 7.45 43.99% $ 95 2.50% 0.03%
Year Ended 10/31/02 $ 5.20 2.04% $ 41 2.50% (0.34%)
9/28/01** Through 10/31/01 $ 5.13 5.12% $ 11 2.50% (2.00%)
INTERNATIONAL EQUITY FUND(i)
Year Ended 10/31/04 $ 26.97 17.27% $ 768 2.00% 0.49%
Year Ended 10/31/03 $ 23.10 19.84% $ 178 2.00% 0.74%
2/28/02** Through 10/31/02 $ 19.39 (11.00%) $ 22 2.00% 0.27%
<Caption>
RATIOS/SUPPLEMENTAL DATA:
------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
--------------------------------------------
NET INVESTMENT
EXPENSES INCOME (LOSS)
WITHOUT WAIVERS, WITHOUT WAIVERS, PORTFOLIO
REIMBURSEMENTS REIMBURSEMENTS TURNOVER
AND EARNINGS CREDITS AND EARNINGS CREDITS RATE (a)
INTERNATIONAL
OPPORTUNITIES FUND(o)
Year Ended 10/31/04 2.63% 0.01% 98%
Year Ended 10/31/03 2.89% (1.07%) 79%
Year Ended 10/31/02 2.49% (0.39%) 121%
9/10/01** Through 10/31/01 2.40% (0.95%) 110%
EMERGING MARKETS
EQUITY FUND(m)
Year Ended 10/31/04 6.52%+ (3.71%)+ 118%~
Year Ended 10/31/03 25.36%+ (22.83%)+ 85%~
Year Ended 10/31/02 36.79%+ (34.63%)+ 69%~
9/28/01** Through 10/31/01 12.62%+ (12.12%)+ 76%~
INTERNATIONAL EQUITY FUND(i)
Year Ended 10/31/04 2.44%+ 0.05%+ 24%
Year Ended 10/31/03 6.19%+ (3.45%)+ 16%
2/28/02** Through 10/31/02 74.45%+ (72.18%)+ 20%
</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.
~ Prior to September 10, 2001, EMF invested all of its investable assets in
the Emerging Markets Equity Portfolio ("EMP"). The portfolio turnover rate
disclosed prior to September 10, 2001 is the turnover rate of EMP.
SEE NOTES TO FINANCIAL STATEMENTS.
95
<Page>
CLASS C SHARES
<Table>
<Caption>
PER SHARE OPERATING PERFORMANCE:
-------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS: LESS DISTRIBUTIONS:
------------------------------------ --------------------------------------
NET GAINS
OR LOSSES ON
NET ASSET NET SECURITIES DIVIDENDS
VALUE, INVESTMENT (BOTH TOTAL FROM FROM NET DISTRIBUTIONS
BEGINNING INCOME REALIZED AND INVESTMENT INVESTMENT FROM CAPITAL TOTAL
OF PERIOD (LOSS) UNREALIZED) OPERATIONS INCOME GAINS DISTRIBUTIONS
INTREPID EUROPEAN FUND(e)
Year Ended 10/31/04 $ 16.06 0.08^ 2.55 2.63 -- -- --
Year Ended 10/31/03 $ 12.62 (0.06)^ 3.58 3.52 0.08 -- 0.08
Year Ended 10/31/02 $ 12.47 0.05^ 0.10 0.15 -- -- --
Year Ended 10/31/01 $ 17.37 (0.08)^ (3.13) (3.21) -- 1.69 1.69
Year Ended 10/31/00 $ 16.19 (0.26)^ 1.80 1.54 -- 0.36 0.36
INTERNATIONAL EQUITY FUND(i)
Year Ended 10/31/04 $ 23.05 0.11^ 3.86 3.97 0.11 -- 0.11
1/31/03** Through 10/31/03 $ 18.43 0.08^ 4.65 4.73 0.11 -- 0.11
</Table>
(e) Prior to February 27, 2004, the Fund was named Fleming European Fund; prior
to February 28, 2001, the Fund was named Chase Vista European Fund.
(i) Formerly Chase Vista Select International Equity Fund.
** Commencement of offering of class of shares.
^ Calculated based upon average shares outstanding.
SEE NOTES TO FINANCIAL STATEMENTS.
96
<Page>
ANNUAL REPORT OCTOBER 31 2004
<Table>
<Caption>
PER SHARE OPERATING PERFORMANCE: RATIOS/SUPPLEMENTAL DATA:
-------------------------------- --------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
-------------------------------
NET ASSETS, NET
NET ASSET END OF INVESTMENT
VALUE, END TOTAL PERIOD NET INCOME
OF PERIOD RETURN (1)(a) (000 OMITTED) EXPENSES (LOSS)
INTREPID EUROPEAN FUND(e)
Year Ended 10/31/04 $ 18.69 16.38% $ 3,165 2.27% 0.46%
Year Ended 10/31/03 $ 16.06 28.09% $ 2,914 2.35% (0.42%)
Year Ended 10/31/02 $ 12.62 1.20% $ 2,512 2.39% 0.36%
Year Ended 10/31/01 $ 12.47 (20.04%) $ 2,922 2.50% (0.55%)
Year Ended 10/31/00 $ 17.37 9.27% $ 4,229 2.49% (1.33%)
INTERNATIONAL EQUITY FUND(i)
Year Ended 10/31/04 $ 26.91 17.26% $ 8,346 2.00% 0.40%
1/31/03** Through 10/31/03 $ 23.05 25.70% $ 1,681 2.00% 0.48%
<Caption>
RATIOS/SUPPLEMENTAL DATA:
------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
--------------------------------------------
NET INVESTMENT
EXPENSES INCOME (LOSS)
WITHOUT WAIVERS, WITHOUT WAIVERS, PORTFOLIO
REIMBURSEMENTS REIMBURSEMENTS TURNOVER
AND EARNINGS CREDITS AND EARNINGS CREDITS RATE (a)
INTREPID EUROPEAN FUND(e)
Year Ended 10/31/04 2.63% 0.10% 440%
Year Ended 10/31/03 3.09% (1.16%) 717%
Year Ended 10/31/02 3.20% (0.45%) 1,021%
Year Ended 10/31/01 2.82% (0.87%) 564%
Year Ended 10/31/00 2.67% (1.51%) 161%
INTERNATIONAL EQUITY FUND(i)
Year Ended 10/31/04 2.44%+ (0.04%)+ 24%
1/31/03** Through 10/31/03 2.85%+ (0.37%)+ 16%
</Table>
(1) Total return figures do not include the effect of any front-end or deferred
sales load.
(a) Not annualized for periods less than one year.
# Short periods have been annualized.
+ Due to the size of net assets and fixed expenses, ratios may appear
disproportionate.
SEE NOTES TO FINANCIAL STATEMENTS.
97
<Page>
INSTITUTIONAL SHARES
<Table>
<Caption>
PER SHARE OPERATING PERFORMANCE:
----------------------------------
NET ASSET
VALUE,
BEGINNING
OF PERIOD
INTREPID EUROPEAN FUND(e)
Year Ended 10/31/04 $ 17.17
Year Ended 10/31/03 $ 13.33
Year Ended 10/31/02 $ 12.99
9/10/01** Through 10/31/01 $ 13.14
INTERNATIONAL VALUE FUND(v)
Year Ended 10/31/04 $ 8.61
Year Ended 10/31/03 $ 7.02
Year Ended 10/31/02 $ 8.28
Year Ended 10/31/01 $ 12.28
Year Ended 10/31/00 $ 13.56
INTERNATIONAL
OPPORTUNITIES FUND(o)
Year Ended 10/31/04 $ 9.26
Year Ended 10/31/03 $ 7.55
Year Ended 10/31/02 $ 8.64
12/1/00 Through 10/31/01*** $ 11.39
Year Ended 11/30/00 $ 12.92
Year Ended 11/30/99 $ 10.11
Year Ended 11/30/98 $ 9.94
<Caption>
PER SHARE OPERATING PERFORMANCE:
-----------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
-----------------------------------------------------
NET GAINS
OR LOSSES ON
NET SECURITIES
INVESTMENT (BOTH TOTAL FROM
INCOME REALIZED AND INVESTMENT
(LOSS) UNREALIZED) OPERATIONS
INTREPID EUROPEAN FUND(e)
Year Ended 10/31/04 0.40^ 2.65 3.05
Year Ended 10/31/03 0.12^ 3.82 3.94
Year Ended 10/31/02 0.24^ 0.10 0.34
9/10/01** Through 10/31/01 (0.05)^ (0.10) (0.15)
INTERNATIONAL VALUE FUND(v)
Year Ended 10/31/04 0.29^ 1.83 2.12
Year Ended 10/31/03 0.02^ 1.82 1.84
Year Ended 10/31/02 0.06^ (1.19) (1.13)
Year Ended 10/31/01 0.07^ (3.02) (2.95)
Year Ended 10/31/00 0.05 (0.66) (0.61)
INTERNATIONAL
OPPORTUNITIES FUND(o)
Year Ended 10/31/04 0.18^ 1.18 1.36
Year Ended 10/31/03 0.08^ 1.71 1.79
Year Ended 10/31/02 0.09 (1.08) (0.99)
12/1/00 Through 10/31/01*** 0.12^ (2.60) (2.48)
Year Ended 11/30/00 0.08 (1.42) (1.34)
Year Ended 11/30/99 0.25 2.88 3.13
Year Ended 11/30/98 0.22 0.05 0.27
<Caption>
PER SHARE OPERATING PERFORMANCE:
----------------------------------------
LESS DISTRIBUTIONS:
----------------------------------------
DIVIDENDS
FROM NET DISTRIBUTIONS
INVESTMENT FROM CAPITAL TOTAL
INCOME GAINS DISTRIBUTIONS
INTREPID EUROPEAN FUND(e)
Year Ended 10/31/04 0.06 -- 0.06
Year Ended 10/31/03 0.10 -- 0.10
Year Ended 10/31/02 -- -- --
9/10/01** Through 10/31/01 -- -- --
INTERNATIONAL VALUE FUND(v)
Year Ended 10/31/04 0.09 -- 0.09
Year Ended 10/31/03 0.25 -- 0.25
Year Ended 10/31/02 0.13 -- 0.13
Year Ended 10/31/01 -- 1.05 1.05
Year Ended 10/31/00 0.16 0.51 0.67
INTERNATIONAL
OPPORTUNITIES FUND(o)
Year Ended 10/31/04 0.26 -- 0.26
Year Ended 10/31/03 0.08 -- 0.08
Year Ended 10/31/02 0.10 -- 0.10
12/1/00 Through 10/31/01*** 0.11 0.16 0.27
Year Ended 11/30/00 0.19 -- 0.19
Year Ended 11/30/99 0.32 -- 0.32
Year Ended 11/30/98 0.10 -- 0.10
</Table>
(e) Prior to February 27, 2004, the Fund was named Fleming European Fund; prior
to February 28, 2001, the Fund was named Chase Vista European Fund.
** Commencement of offering of class of shares.
(v) Formerly JPMorgan International Equity Fund.
(o) Formerly J.P.Morgan Institutional International Opportunities Fund.
*** The Fund changed its fiscal year end from November 30 to October 31.
^ Calculated based upon average shares outstanding.
SEE NOTES TO FINANCIAL STATEMENTS.
98
<Page>
<Table>
<Caption>
PER SHARE OPERATING PERFORMANCE:
--------------------------------
NET ASSET
VALUE, END TOTAL
OF PERIOD RETURN (a)
INTREPID EUROPEAN FUND(e)
Year Ended 10/31/04 $ 20.16 17.83%
Year Ended 10/31/03 $ 17.17 29.83%
Year Ended 10/31/02 $ 13.33 2.62%
9/10/01** Through 10/31/01 $ 12.99 (1.14%)
INTERNATIONAL VALUE FUND(v)
Year Ended 10/31/04 $ 10.64 24.85%
Year Ended 10/31/03 $ 8.61 27.23%
Year Ended 10/31/02 $ 7.02 (13.89%)
Year Ended 10/31/01 $ 8.28 (26.06%)
Year Ended 10/31/00 $ 12.28 (5.16%)
INTERNATIONAL
OPPORTUNITIES FUND(o)
Year Ended 10/31/04 $ 10.36 14.93%
Year Ended 10/31/03 $ 9.26 24.02%
Year Ended 10/31/02 $ 7.55 (11.67%)
12/1/00 Through 10/31/01*** $ 8.64 (22.24%)
Year Ended 11/30/00 $ 11.39 (10.55%)
Year Ended 11/30/99 $ 12.92 31.87%
Year Ended 11/30/98 $ 10.11 2.69%
<Caption>
RATIOS/SUPPLEMENTAL DATA:
-------------------------
NET ASSETS,
END OF
PERIOD
(000 OMITTED)
INTREPID EUROPEAN FUND(e)
Year Ended 10/31/04 $ 37,115
Year Ended 10/31/03 $ 12,038
Year Ended 10/31/02 $ 6,305
9/10/01** Through 10/31/01 $ 4,740
INTERNATIONAL VALUE FUND(v)
Year Ended 10/31/04 $ 28,804
Year Ended 10/31/03 $ 26,356
Year Ended 10/31/02 $ 28,644
Year Ended 10/31/01 $ 142,590
Year Ended 10/31/00 $ 432,785
INTERNATIONAL
OPPORTUNITIES FUND(o)
Year Ended 10/31/04 $ 139,827
Year Ended 10/31/03 $ 133,907
Year Ended 10/31/02 $ 209,286
12/1/00 Through 10/31/01*** $ 231,048
Year Ended 11/30/00 $ 461,016
Year Ended 11/30/99 $ 370,268
Year Ended 11/30/98 $ 323,918
<Caption>
RATIOS/SUPPLEMENTAL DATA:
-------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
-------------------------------------------------------------------
NET INVESTMENT
NET EXPENSES INCOME (LOSS)
INVESTMENT WITHOUT WAIVERS, WITHOUT WAIVERS,
NET INCOME REIMBURSEMENTS REIMBURSEMENTS
EXPENSES (LOSS) AND EARNINGS CREDITS AND EARNINGS CREDITS
INTREPID EUROPEAN FUND(e)
Year Ended 10/31/04 1.00% 2.10% 1.48% 1.62%
Year Ended 10/31/03 1.00% 0.86% 2.01% (0.15%)
Year Ended 10/31/02 1.00% 1.81% 2.25% 0.56%
9/10/01** Through 10/31/01 1.00% (2.60%) 3.34%+ (4.94%)+
INTERNATIONAL VALUE FUND(v)
Year Ended 10/31/04 0.95% 2.98% 1.49% 2.44%
Year Ended 10/31/03 0.95% 0.28% 1.55% (0.32%)
Year Ended 10/31/02 0.95% 0.91% 1.16% 0.70%
Year Ended 10/31/01 0.92% 0.70% 0.93% 0.69%
Year Ended 10/31/00 0.95% 0.50% 0.95% 0.50%
INTERNATIONAL
OPPORTUNITIES FUND(o)
Year Ended 10/31/04 0.92% 1.78% 1.09% 1.61%
Year Ended 10/31/03 0.92% 1.10% 1.09% 0.93%
Year Ended 10/31/02 0.92% 1.21% 0.98% 1.15%
12/1/00 Through 10/31/01*** 0.94% 1.25% 0.95% 1.24%
Year Ended 11/30/00 0.91% 0.84% 0.91% 0.84%
Year Ended 11/30/99 0.94% 0.76% 0.95% 0.75%
Year Ended 11/30/98 0.99% 1.13% 1.02% 1.10%
<Caption>
RATIOS/SUPPLEMENTAL DATA:
-------------------------
PORTFOLIO
TURNOVER
RATE (a)
INTREPID EUROPEAN FUND(e)
Year Ended 10/31/04 440%
Year Ended 10/31/03 717%
Year Ended 10/31/02 1,021%
9/10/01** Through 10/31/01 564%
INTERNATIONAL VALUE FUND(v)
Year Ended 10/31/04 108%~
Year Ended 10/31/03 132%~
Year Ended 10/31/02 138%~
Year Ended 10/31/01 85%~
Year Ended 10/31/00 80%~
INTERNATIONAL
OPPORTUNITIES FUND(o)
Year Ended 10/31/04 98%~~
Year Ended 10/31/03 79%~~
Year Ended 10/31/02 121%~~
12/1/00 Through 10/31/01*** 110%~~
Year Ended 11/30/00 86%~~
Year Ended 11/30/99 80%~~
Year Ended 11/30/98 143%~~
</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.
~ Prior to September 10, 2001, IVF invested all of its investable assets in
The International Equity Portfolio ("IEP"). The portfolio turnover rate
disclosed prior to September 10, 2001 is the turnover rate of IEP.
~~ Prior to September 10, 2001, IOF invested all of its investable assets in
the International Opportunities Portfolio ("IOP"). The portfolio turnover
rate disclosed prior to September 10, 2001 is the turnover rate of IOP.
SEE NOTES TO FINANCIAL STATEMENTS.
99
<Page>
<Table>
<Caption>
PER SHARE OPERATING PERFORMANCE:
----------------------------------
NET ASSET
VALUE,
BEGINNING
OF PERIOD
EMERGING MARKETS
EQUITY FUND(m)
Year Ended 10/31/04 $ 7.59
Year Ended 10/31/03 $ 5.25
Year Ended 10/31/02 $ 5.14
Year Ended 10/31/01 $ 6.68
Year Ended 10/31/00 $ 7.22
ASIA EQUITY FUND(p)
Year Ended 10/31/04 $ 17.84
Year Ended 10/31/03 $ 13.71
6/28/02** Through 10/31/02 $ 15.86
<Caption>
PER SHARE OPERATING PERFORMANCE:
-----------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
-----------------------------------------------------
NET GAINS
OR LOSSES ON
NET SECURITIES
INVESTMENT (BOTH TOTAL FROM
INCOME REALIZED AND INVESTMENT
(LOSS) UNREALIZED) OPERATIONS
EMERGING MARKETS
EQUITY FUND(m)
Year Ended 10/31/04 0.11^ 2.07 2.18
Year Ended 10/31/03 0.07^ 2.31 2.38
Year Ended 10/31/02 0.04^ 0.12 0.16
Year Ended 10/31/01 0.07^ (1.60) (1.53)
Year Ended 10/31/00 0.02 (0.50) (0.48)
ASIA EQUITY FUND(p)
Year Ended 10/31/04 0.17^ 0.59 0.76
Year Ended 10/31/03 0.17^ 3.96 4.13
6/28/02** Through 10/31/02 -- (2.15) (2.15)
<Caption>
PER SHARE OPERATING PERFORMANCE:
----------------------------------------
LESS DISTRIBUTIONS:
----------------------------------------
DIVIDENDS
FROM NET DISTRIBUTIONS TOTAL
INVESTMENT FROM CAPITAL DIVIDENDS AND
INCOME GAINS DISTRIBUTIONS
EMERGING MARKETS
EQUITY FUND(m)
Year Ended 10/31/04 0.11 -- 0.11
Year Ended 10/31/03 0.04 -- 0.04
Year Ended 10/31/02 0.05 -- 0.05
Year Ended 10/31/01 0.01 -- 0.01
Year Ended 10/31/00 0.06 -- 0.06
ASIA EQUITY FUND(p)
Year Ended 10/31/04 0.20 -- 0.20
Year Ended 10/31/03 -- -- --
6/28/02** Through 10/31/02 -- -- --
</Table>
(m) Formerly J.P. Morgan Institutional Emerging Markets Equity Fund.
(p) Formerly JPMorgan Fleming Pacific Region Fund.
** Commencement of offering of class of shares.
^ Calculated based upon average shares outstanding.
SEE NOTES TO FINANCIAL STATEMENTS.
100
<Page>
<Table>
<Caption>
PER SHARE OPERATING PERFORMANCE:
--------------------------------
NET ASSET
VALUE, END TOTAL
OF PERIOD RETURN (a)
EMERGING MARKETS
EQUITY FUND(m)
Year Ended 10/31/04 $ 9.66 29.08%
Year Ended 10/31/03 $ 7.59 45.49%
Year Ended 10/31/02 $ 5.25 3.04%
Year Ended 10/31/01 $ 5.14 (22.98%)
Year Ended 10/31/00 $ 6.68 (6.88%)
ASIA EQUITY FUND(p)
Year Ended 10/31/04 $ 18.40 4.29%
Year Ended 10/31/03 $ 17.84 30.12%
6/28/02** Through 10/31/02 $ 13.71 (13.56%)
<Caption>
RATIOS/SUPPLEMENTAL DATA:
-------------------------
NET ASSETS,
END OF
PERIOD
(000 OMITTED)
EMERGING MARKETS
EQUITY FUND(m)
Year Ended 10/31/04 $ 49,660
Year Ended 10/31/03 $ 58,658
Year Ended 10/31/02 $ 47,503
Year Ended 10/31/01 $ 67,335
Year Ended 10/31/00 $ 110,711
ASIA EQUITY FUND(p)
Year Ended 10/31/04 $ 16,905
Year Ended 10/31/03 $ 13,887
6/28/02** Through 10/31/02 $ 6,463
<Caption>
RATIOS/SUPPLEMENTAL DATA:
-------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
-------------------------------------------------------------------
NET INVESTMENT
NET EXPENSES INCOME (LOSS)
INVESTMENT WITHOUT WAIVERS, WITHOUT WAIVERS,
NET INCOME REIMBURSEMENTS REIMBURSEMENTS
EXPENSES (LOSS) AND EARNINGS CREDITS AND EARNINGS CREDITS
EMERGING MARKETS
EQUITY FUND(m)
Year Ended 10/31/04 1.45% 1.28% 1.88% 0.85%
Year Ended 10/31/03 1.45% 1.18% 1.95% 0.68%
Year Ended 10/31/02 1.45% 0.83% 1.77% 0.51%
Year Ended 10/31/01 1.45% 1.07% 1.64% 0.88%
Year Ended 10/31/00 1.45% 0.46% 1.55% 0.36%
ASIA EQUITY FUND(p)
Year Ended 10/31/04 1.35% 0.93% 2.03% 0.25%
Year Ended 10/31/03 1.35% 1.16% 2.65% (0.14%)
6/28/02** Through 10/31/02 1.35% 0.08% 2.53% (1.10%)
<Caption>
RATIOS/SUPPLEMENTAL DATA:
-------------------------
PORTFOLIO
TURNOVER
RATE (a)
EMERGING MARKETS
EQUITY FUND(m)
Year Ended 10/31/04 118%~
Year Ended 10/31/03 85%~
Year Ended 10/31/02 69%~
Year Ended 10/31/01 76%~
Year Ended 10/31/00 65%~
ASIA EQUITY FUND(p)
Year Ended 10/31/04 175%
Year Ended 10/31/03 172%
6/28/02** Through 10/31/02 106%
</Table>
(a) Not annualized for periods less than one year.
# Short periods have been annualized.
~ Prior to September 10, 2001, EMF invested all of its investable assets in
the Emerging Markets Equity Portfolio ("EMP"). The portfolio turnover rate
disclosed prior to September 10, 2001 is the turnover rate of EMP.
SEE NOTES TO FINANCIAL STATEMENTS.
101
<Page>
SELECT SHARES
<Table>
<Caption>
PER SHARE OPERATING PERFORMANCE:
----------------------------------
NET ASSET
VALUE,
BEGINNING
OF PERIOD
INTREPID EUROPEAN FUND(e)
Year Ended 10/31/04 $ 17.00
Year Ended 10/31/03 $ 13.26
Year Ended 10/31/02 $ 12.97
9/10/01** Through 10/31/01 $ 13.14
INTERNATIONAL VALUE FUND(v)
Year Ended 10/31/04 $ 8.58
Year Ended 10/31/03 $ 7.01
Year Ended 10/31/02 $ 8.28
Year Ended 10/31/01@ $ 16.08
Year Ended 10/31/00 $ 18.70
INTERNATIONAL
OPPORTUNITIES FUND(o)
Year Ended 10/31/04 $ 9.22
Year Ended 10/31/03 $ 7.53
Year Ended 10/31/02 $ 8.64
12/1/00 Through 10/31/01***@ $ 11.81
Year Ended 11/30/00 $ 13.41
Year Ended 11/30/99 $ 10.45
Year Ended 11/30/98 $ 10.32
<Caption>
PER SHARE OPERATING PERFORMANCE:
-----------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
-----------------------------------------------------
NET GAINS
OR LOSSES ON
NET SECURITIES
INVESTMENT (BOTH TOTAL FROM
INCOME REALIZED AND INVESTMENT
(LOSS) UNREALIZED) OPERATIONS
INTREPID EUROPEAN FUND(e)
Year Ended 10/31/04 0.29^ 2.67 2.96
Year Ended 10/31/03 0.05^ 3.78 3.83
Year Ended 10/31/02 0.14^ 0.15 0.29
9/10/01** Through 10/31/01 --^ (0.17) (0.17)
INTERNATIONAL VALUE FUND(v)
Year Ended 10/31/04 0.25^ 1.81 2.06
Year Ended 10/31/03 (0.01)^ 1.83 1.82
Year Ended 10/31/02 0.07^ (1.22) (1.15)
Year Ended 10/31/01@ 0.02^ (3.39) (3.37)
Year Ended 10/31/00 0.27 (1.07) (0.80)
INTERNATIONAL
OPPORTUNITIES FUND(o)
Year Ended 10/31/04 0.15^ 1.18 1.33
Year Ended 10/31/03 0.05^ 1.72 1.77
Year Ended 10/31/02 0.08 (1.10) (1.02)
12/1/00 Through 10/31/01***@ 0.08^ (2.65) (2.57)
Year Ended 11/30/00 0.14 (1.58) (1.44)
Year Ended 11/30/99 0.22 3.05 3.27
Year Ended 11/30/98 0.24 (0.01) 0.23
<Caption>
PER SHARE OPERATING PERFORMANCE:
----------------------------------------
LESS DISTRIBUTIONS:
----------------------------------------
DIVIDENDS
FROM NET DISTRIBUTIONS
INVESTMENT FROM CAPITAL TOTAL
INCOME GAINS DISTRIBUTIONS
INTREPID EUROPEAN FUND(e)
Year Ended 10/31/04 --(b) -- --(b)
Year Ended 10/31/03 0.09 -- 0.09
Year Ended 10/31/02 -- -- --
9/10/01** Through 10/31/01 -- -- --
INTERNATIONAL VALUE FUND(v)
Year Ended 10/31/04 0.05 -- 0.05
Year Ended 10/31/03 0.25 -- 0.25
Year Ended 10/31/02 0.12 -- 0.12
Year Ended 10/31/01@ 1.14 3.29 4.43
Year Ended 10/31/00 0.24 1.58 1.82
INTERNATIONAL
OPPORTUNITIES FUND(o)
Year Ended 10/31/04 0.24 -- 0.24
Year Ended 10/31/03 0.08 -- 0.08
Year Ended 10/31/02 0.09 -- 0.09
12/1/00 Through 10/31/01***@ 0.32 0.28 0.60
Year Ended 11/30/00 0.16 -- 0.16
Year Ended 11/30/99 0.31 -- 0.31
Year Ended 11/30/98 0.10 -- 0.10
</Table>
@ Prior to the open of business on September 10, 2001, the class underwent a
split of shares in connection with the fund reorganization. Prior periods
have been restated to reflect the split.
(e) Prior to February 27, 2004, the Fund was named Fleming European Fund; prior
to February 28, 2001, the Fund was named Chase Vista European Fund.
** Commencement of offering of class of shares.
(v) Formerly JPMorgan International Equity Fund.
(o) Formerly J.P.Morgan Institutional International Opportunities Fund.
*** The Fund changed its fiscal year end from November 30 to October 31.
^ Calculated based upon average shares outstanding.
(b) Amount rounds to less than $.01.
SEE NOTES TO FINANCIAL STATEMENTS.
102
<Page>
<Table>
<Caption>
PER SHARE OPERATING PERFORMANCE:
--------------------------------
NET ASSET
VALUE, END TOTAL
OF PERIOD RETURN (a)
INTREPID EUROPEAN FUND(e)
Year Ended 10/31/04 $ 19.96 17.43%
Year Ended 10/31/03 $ 17.00 29.14%
Year Ended 10/31/02 $ 13.26 2.24%
9/10/01** Through 10/31/01 $ 12.97 (1.29%)
INTERNATIONAL VALUE FUND(v)
Year Ended 10/31/04 $ 10.59 24.17%
Year Ended 10/31/03 $ 8.58 26.89%
Year Ended 10/31/02 $ 7.01 (14.09%)
Year Ended 10/31/01@ $ 8.28 (26.66%)
Year Ended 10/31/00 $ 16.08 (5.49%)
INTERNATIONAL
OPPORTUNITIES FUND(o)
Year Ended 10/31/04 $ 10.31 14.63%
Year Ended 10/31/03 $ 9.22 23.77%
Year Ended 10/31/02 $ 7.53 (11.98%)
12/1/00 Through 10/31/01***@ $ 8.64 (22.66%)
Year Ended 11/30/00 $ 11.81 (10.87%)
Year Ended 11/30/99 $ 13.41 32.13%
Year Ended 11/30/98 $ 10.45 2.30%
<Caption>
RATIOS/SUPPLEMENTAL DATA:
-------------------------
NET ASSETS,
END OF
PERIOD
(000 OMITTED)
INTREPID EUROPEAN FUND(e)
Year Ended 10/31/04 $ 20,897
Year Ended 10/31/03 $ 11,225
Year Ended 10/31/02 $ 8,461
9/10/01** Through 10/31/01 $ 6,063
INTERNATIONAL VALUE FUND(v)
Year Ended 10/31/04 $ 18,023
Year Ended 10/31/03 $ 16,538
Year Ended 10/31/02 $ 16,905
Year Ended 10/31/01@ $ 21,307
Year Ended 10/31/00 $ 55,445
INTERNATIONAL
OPPORTUNITIES FUND(o)
Year Ended 10/31/04 $ 37,206
Year Ended 10/31/03 $ 30,969
Year Ended 10/31/02 $ 33,428
12/1/00 Through 10/31/01***@ $ 37,271
Year Ended 11/30/00 $ 79,408
Year Ended 11/30/99 $ 67,543
Year Ended 11/30/98 $ 55,050
<Caption>
RATIOS/SUPPLEMENTAL DATA:
-------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
-------------------------------------------------------------------
NET INVESTMENT
NET EXPENSES INCOME (LOSS)
INVESTMENT WITHOUT WAIVERS, WITHOUT WAIVERS,
NET INCOME REIMBURSEMENTS REIMBURSEMENTS
EXPENSES (LOSS) AND EARNINGS CREDITS AND EARNINGS CREDITS
INTREPID EUROPEAN FUND(e)
Year Ended 10/31/04 1.37% 1.54% 1.71% 1.20%
Year Ended 10/31/03 1.47% 0.38% 2.20% (0.35%)
Year Ended 10/31/02 1.50% 1.06% 2.43% 0.13%
9/10/01** Through 10/31/01 1.50% (0.06%) 3.74%+ (2.30%)+
INTERNATIONAL VALUE FUND(v)
Year Ended 10/31/04 1.37% 2.57% 1.76% 2.18%
Year Ended 10/31/03 1.39% (0.15%) 1.86% (0.62%)
Year Ended 10/31/02 1.29% 0.85% 1.49% 0.65%
Year Ended 10/31/01@ 1.40% 0.20% 1.40% 0.20%
Year Ended 10/31/00 1.30% 0.15% 1.30% 0.15%
INTERNATIONAL
OPPORTUNITIES FUND(o)
Year Ended 10/31/04 1.20% 1.55% 1.30% 1.45%
Year Ended 10/31/03 1.20% 0.58% 1.37% 0.41%
Year Ended 10/31/02 1.20% 0.89% 1.22% 0.87%
12/1/00 Through 10/31/01***@ 1.27% 0.85% 1.27% 0.85%
Year Ended 11/30/00 1.21% 0.55% 1.21% 0.55%
Year Ended 11/30/99 1.18% 0.47% 1.24% 0.41%
Year Ended 11/30/98 1.20% 0.96% 1.24% 0.92%
<Caption>
RATIOS/SUPPLEMENTAL DATA:
-------------------------
PORTFOLIO
TURNOVER
RATE (a)
INTREPID EUROPEAN FUND(e)
Year Ended 10/31/04 440%
Year Ended 10/31/03 717%
Year Ended 10/31/02 1,021%
9/10/01** Through 10/31/01 564%
INTERNATIONAL VALUE FUND(v)
Year Ended 10/31/04 108%~
Year Ended 10/31/03 132%~
Year Ended 10/31/02 138%~
Year Ended 10/31/01@ 85%~
Year Ended 10/31/00 80%~
INTERNATIONAL
OPPORTUNITIES FUND(o)
Year Ended 10/31/04 98%~~
Year Ended 10/31/03 79%~~
Year Ended 10/31/02 121%~~
12/1/00 Through 10/31/01***@ 110%~~
Year Ended 11/30/00 86%~~
Year Ended 11/30/99 80%~~
Year Ended 11/30/98 143%~~
</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.
~ Prior to September 10, 2001, IVF invested all of its investable assets in
The International Equity Portfolio ("IEP"). The portfolio turnover rate
disclosed prior to September 10, 2001 is the turnover rate of IEP.
~~ Prior to September 10, 2001, IOF invested all of its investable assets in
the International Opportunities Portfolio ("IOP"). The portfolio turnover
rate disclosed prior to September 10, 2001 is the turnover rate of IOP.
SEE NOTES TO FINANCIAL STATEMENTS.
103
<Page>
<Table>
<Caption>
PER SHARE OPERATING PERFORMANCE:
----------------------------------
NET ASSET
VALUE,
BEGINNING
OF PERIOD
EMERGING MARKETS
EQUITY FUND(m)
Year Ended 10/31/04 $ 7.53
Year Ended 10/31/03 $ 5.23
Year Ended 10/31/02 $ 5.13
Year Ended 10/31/01@ $ 6.73
Year Ended 10/31/00 $ 7.28
ASIA EQUITY FUND(p)
Year Ended 10/31/04 $ 17.80
Year Ended 10/31/03 $ 13.71
6/28/02** Through 10/31/02 $ 15.86
INTERNATIONAL EQUITY FUND(i)
Year Ended 10/31/04 $ 23.19
Year Ended 10/31/03 $ 19.45
Year Ended 10/31/02 $ 21.20
Year Ended 10/31/01 $ 32.00
Year Ended 10/31/00 $ 33.33
<Caption>
PER SHARE OPERATING PERFORMANCE:
-----------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
-----------------------------------------------------
NET GAINS
OR LOSSES ON
NET SECURITIES
INVESTMENT (BOTH TOTAL FROM
INCOME REALIZED AND INVESTMENT
(LOSS) UNREALIZED) OPERATIONS
EMERGING MARKETS
EQUITY FUND(m)
Year Ended 10/31/04 0.08^ 2.06 2.14
Year Ended 10/31/03 0.05^ 2.28 2.33
Year Ended 10/31/02 0.03^ 0.12 0.15
Year Ended 10/31/01@ 0.05^ (1.61) (1.56)
Year Ended 10/31/00 0.02 (0.53) (0.51)
ASIA EQUITY FUND(p)
Year Ended 10/31/04 0.14^ 0.60 0.74
Year Ended 10/31/03 0.16^ 3.93 4.09
6/28/02** Through 10/31/02 -- (2.15) (2.15)
INTERNATIONAL EQUITY FUND(i)
Year Ended 10/31/04 0.33^ 3.90 4.23
Year Ended 10/31/03 0.30^ 3.72 4.02
Year Ended 10/31/02 0.21^ (1.84) (1.63)
Year Ended 10/31/01 0.39 (6.35) (5.96)
Year Ended 10/31/00 0.15 1.05 1.20
<Caption>
PER SHARE OPERATING PERFORMANCE:
----------------------------------------
LESS DISTRIBUTIONS:
----------------------------------------
DIVIDENDS
FROM NET DISTRIBUTIONS
INVESTMENT FROM CAPITAL TOTAL
INCOME GAINS DISTRIBUTIONS
EMERGING MARKETS
EQUITY FUND(m)
Year Ended 10/31/04 0.09 -- 0.09
Year Ended 10/31/03 0.03 -- 0.03
Year Ended 10/31/02 0.05 -- 0.05
Year Ended 10/31/01@ 0.04 -- 0.04
Year Ended 10/31/00 0.04 -- 0.04
ASIA EQUITY FUND(p)
Year Ended 10/31/04 0.17 -- 0.17
Year Ended 10/31/03 -- -- --
6/28/02** Through 10/31/02 -- -- --
INTERNATIONAL EQUITY FUND(i)
Year Ended 10/31/04 0.28 -- 0.28
Year Ended 10/31/03 0.28 -- 0.28
Year Ended 10/31/02 0.12 -- 0.12
Year Ended 10/31/01 0.18 4.66 4.84
Year Ended 10/31/00 0.13 2.40 2.53
</Table>
@ Prior to the open of business on September 10, 2001, the class underwent a
split of shares in connection with the fund reorganization. Prior periods
have been restated to reflect the splits.
(m) Formerly J.P. Morgan Institutional Emerging Markets Equity Fund.
(p) Formerly JPMorgan Fleming Pacific Region Fund.
** Commencement of offering of class of shares.
(i) Formerly Chase Vista Select International Equity Fund.
SEE NOTES TO FINANCIAL STATEMENTS.
104
<Page>
<Table>
<Caption>
PER SHARE OPERATING PERFORMANCE:
--------------------------------
NET ASSET
VALUE, END TOTAL
OF PERIOD RETURN (a)
EMERGING MARKETS
EQUITY FUND(m)
Year Ended 10/31/04 $ 9.58 28.72%
Year Ended 10/31/03 $ 7.53 44.84%
Year Ended 10/31/02 $ 5.23 2.75%
Year Ended 10/31/01@ $ 5.13 (23.23%)
Year Ended 10/31/00 $ 6.73 (7.12%)
ASIA EQUITY FUND(p)
Year Ended 10/31/04 $ 18.37 4.21%
Year Ended 10/31/03 $ 17.80 29.83%
6/28/02** Through 10/31/02 $ 13.71 (13.56%)
INTERNATIONAL EQUITY FUND(i)
Year Ended 10/31/04 $ 27.14 18.31%
Year Ended 10/31/03 $ 23.19 20.90%
Year Ended 10/31/02 $ 19.45 (7.74%)
Year Ended 10/31/01 $ 21.20 (21.62%)
Year Ended 10/31/00 $ 32.00 2.71%
<Caption>
RATIOS/SUPPLEMENTAL DATA:
-------------------------
NET ASSETS,
END OF
PERIOD
(000 OMITTED)
EMERGING MARKETS
EQUITY FUND(m)
Year Ended 10/31/04 $ 32,733
Year Ended 10/31/03 $ 22,620
Year Ended 10/31/02 $ 18,660
Year Ended 10/31/01@ $ 22,253
Year Ended 10/31/00 $ 34,204
ASIA EQUITY FUND(p)
Year Ended 10/31/04 $ 18,101
Year Ended 10/31/03 $ 24,443
6/28/02** Through 10/31/02 $ 14,043
INTERNATIONAL EQUITY FUND(i)
Year Ended 10/31/04 $ 1,243,387
Year Ended 10/31/03 $ 813,466
Year Ended 10/31/02 $ 247,426
Year Ended 10/31/01 $ 181,296
Year Ended 10/31/00 $ 226,248
<Caption>
RATIOS/SUPPLEMENTAL DATA:
-------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
-------------------------------------------------------------------
NET INVESTMENT
NET EXPENSES INCOME (LOSS)
INVESTMENT WITHOUT WAIVERS, WITHOUT WAIVERS,
NET INCOME REIMBURSEMENTS REIMBURSEMENTS
EXPENSES (LOSS) AND EARNINGS CREDITS AND EARNINGS CREDITS
EMERGING MARKETS
EQUITY FUND(m)
Year Ended 10/31/04 1.75% 0.96% 2.13% 0.58%
Year Ended 10/31/03 1.75% 0.88% 2.26% 0.37%
Year Ended 10/31/02 1.75% 0.56% 2.04% 0.27%
Year Ended 10/31/01@ 1.75% 0.78% 2.11% 0.42%
Year Ended 10/31/00 1.75% 0.15% 1.96% (0.06%)
ASIA EQUITY FUND(p)
Year Ended 10/31/04 1.50% 0.78% 2.17% 0.11%
Year Ended 10/31/03 1.50% 1.17% 2.71% (0.04%)
6/28/02** Through 10/31/02 1.50% (0.03%) 2.58% (1.11%)
INTERNATIONAL EQUITY FUND(i)
Year Ended 10/31/04 1.10% 1.28% 1.52% 0.86%
Year Ended 10/31/03 1.10% 1.45% 1.55% 1.00%
Year Ended 10/31/02 1.03% 1.03% 1.54% 0.52%
Year Ended 10/31/01 1.00% 0.87% 1.54% 0.33%
Year Ended 10/31/00 0.66% 0.38% 1.50% (0.46%)
<Caption>
RATIOS/SUPPLEMENTAL DATA:
-------------------------
PORTFOLIO
TURNOVER
RATE (a)
EMERGING MARKETS
EQUITY FUND(m)
Year Ended 10/31/04 118%~
Year Ended 10/31/03 85%~
Year Ended 10/31/02 69%~
Year Ended 10/31/01@ 76%~
Year Ended 10/31/00 65%~
ASIA EQUITY FUND(p)
Year Ended 10/31/04 175%
Year Ended 10/31/03 172%
6/28/02** Through 10/31/02 106%
INTERNATIONAL EQUITY FUND(i)
Year Ended 10/31/04 24%
Year Ended 10/31/03 16%
Year Ended 10/31/02 20%
Year Ended 10/31/01 33%
Year Ended 10/31/00 149%
</Table>
^ Calculated based upon average shares outstanding.
(a) Not annualized for periods less than one year.
# Short periods have been annualized.
~ Prior to September 10, 2001, EMF invested all of its investable assets in
the Emerging Markets Equity Portfolio ("EMP"). The portfolio turnover rate
disclosed prior to September 10, 2001 is the turnover rate of EMP.
SEE NOTES TO FINANCIAL STATEMENTS.
105
<Page>
JPMORGAN FUNDS
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
TO THE TRUSTEES AND SHAREHOLDERS OF
J.P. MORGAN MUTUAL FUND GROUP,
J.P. MORGAN INSTITUTIONAL FUNDS AND
J.P. MORGAN MUTUAL FUND SELECT GROUP
In our opinion, the accompanying statements of assets and liabilities, including
the portfolios of investments, and the related statements of operations and of
changes in net assets and the financial highlights present fairly, in all
material respects, the financial position of JPMorgan Fleming Intrepid European
Fund (formerly the JPMorgan Fleming European Fund), JPMorgan Fleming Japan Fund,
JPMorgan Fleming International Growth Fund, JPMorgan Fleming International Value
Fund, JPMorgan Fleming International Opportunities Fund, JPMorgan Fleming
Emerging Markets Equity Fund, JPMorgan Fleming Asia Equity Fund and JPMorgan
Fleming International Equity Fund (formerly the JPMorgan Select International
Equity Fund), (hereafter referred to collectivelly as the "Funds") at
October 31, 2004, the results of each of their operations for the year then
ended, the changes in each of their net assets for each of the two years then
ended and the financial highlights for each of the periods presented, in
conformity with accounting principles generally accepted in the United States of
America. These financial statements and financial highlights (hereafter referred
to as "financial statements") are the responsibility of the Funds' management;
our responsibility is to express an opinion on these financial statements based
on our audits. We conducted our audits of these financial statements in
accordance with the standards of the Public Company Accounting Oversight Board
(United States). Those standards require that we plan and perform the audit to
obtain reasonable assurance about whether the financial statements are free of
material misstatement. An audit includes examining, on a test basis, evidence
supporting the amounts and disclosures in the financial statements, assessing
the accounting principles used and significant estimates made by management, and
evaluating the overall financial statement presentation. We believe that our
audits, which included confirmation of securities at October 31, 2004 by
correspondence with the custodian and brokers, provide a reasonable basis for
our opinion.
PricewaterhouseCoopers LLP
New York, New York
December 20, 2004
106
<Page>
SCHEDULE OF SHAREHOLDER EXPENSES
Hypothetical $1,000 Investment at Beginning of Period
October 31, 2004
(Unaudited)
As a shareholder of the Funds, you incur two types of costs: (1)
transaction costs, including sales charges (loads) on purchase payments and
redemption fees: and (2) ongoing costs, including investment advisory,
administration fees, distribution fees and other Fund expenses. The examples
below are intended to help you understand your ongoing costs (in dollars) of
investing in the Funds and to compare these costs with the ongoing costs of
investing in other mutual funds. The examples assume that you had a $1,000
investment in the Class at the beginning of the reporting period, May 1, 2004,
and continued to hold your shares at the end of the reporting period, October
31, 2004.
ACTUAL EXPENSES
For each Class of each Fund in the table below, the first line provides
information about actual account values and actual expenses. You may use the
information in this line, together with the amount you invested, to estimate the
expenses that you paid over the period. Simply divide your account value by
$1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then
multiply the result by the number in the first line of each Class under the
heading entitled "Expenses Paid During Period" to estimate the expenses you paid
on your account during this period.
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
The second line of each Class in the table below provides information about
hypothetical account values and hypothetical expenses based on the Class' actual
expense ratio and an assumed rate of return of 5% per year before expenses,
which is not the Class' actual return. The hypothetical account values and
expenses may not be used to estimate the actual ending account balance or
expenses you paid for the period. You may use this information to compare the
ongoing costs of investing in the Class of the Fund and other funds. To do so,
compare this 5% hypothetical example with the 5% hypothetical examples that
appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your
ongoing costs only and do not reflect any transaction costs, such as sales
charges (loads) or redemption fees. Therefore, the second line for each Class in
the table is useful in comparing ongoing costs only, and will not help you
determine the relative total costs of owning different funds. In addition, if
these transaction costs were included, your costs would have been higher. The
examples also assume all dividends and distributions have been reinvested.
107
<Page>
<Table>
<Caption>
EXPENSES PAID
BEGINNING ENDING DURING PERIOD
ACCOUNT VALUE, ACCOUNT VALUE, MAY 1 TO ANNUALIZED
MAY 1, 2004 OCTOBER 31, 2004 OCTOBER 31, 2004* EXPENSE RATIO
INTREPID EUROPEAN FUND
CLASS A
Actual period return $ 1,000 $ 1,084 $ 9.17 1.75%
Hypothetical $ 1,000 $ 1,016 $ 8.87 1.75%
CLASS B
Actual period return $ 1,000 $ 1,082 $ 11.77 2.25%
Hypothetical $ 1,000 $ 1,014 $ 11.39 2.25%
CLASS C
Actual period return $ 1,000 $ 1,082 $ 11.77 2.25%
Hypothetical $ 1,000 $ 1,014 $ 11.39 2.25%
INSTITUTIONAL
Actual period return $ 1,000 $ 1,088 $ 5.25 1.00%
Hypothetical $ 1,000 $ 1,020 $ 5.08 1.00%
SELECT
Actual period return $ 1,000 $ 1,087 $ 7.08 1.35%
Hypothetical $ 1,000 $ 1,018 $ 6.85 1.35%
JAPAN FUND
CLASS A
Actual period return $ 1,000 $ 945 $ 8.55 1.75%
Hypothetical $ 1,000 $ 1,016 $ 8.87 1.75%
CLASS B
Actual period return $ 1,000 $ 941 $ 12.19 2.50%
Hypothetical $ 1,000 $ 1,012 $ 12.65 2.50%
INTERNATIONAL GROWTH FUND
CLASS A
Actual period return $ 1,000 $ 1,013 $ 10.12 2.00%
Hypothetical $ 1,000 $ 1,015 $ 10.13 2.00%
CLASS B
Actual period return $ 1,000 $ 1,010 $ 12.63 2.50%
Hypothetical $ 1,000 $ 1,012 $ 12.65 2.50%
</Table>
108
<Page>
<Table>
<Caption>
EXPENSES PAID
BEGINNING ENDING DURING PERIOD
ACCOUNT VALUE, ACCOUNT VALUE, MAY 1 TO ANNUALIZED
MAY 1, 2004 OCTOBER 31, 2004 OCTOBER 31, 2004* EXPENSE RATIO
INTERNATIONAL VALUE FUND
CLASS A
Actual period return $ 1,000 $ 1,081 $ 7.58 1.45%
Hypothetical $ 1,000 $ 1,018 $ 7.35 1.45%
CLASS B
Actual period return $ 1,000 $ 1,077 $ 10.18 1.95%
Hypothetical $ 1,000 $ 1,015 $ 9.88 1.95%
INSTITUTIONAL
Actual period return $ 1,000 $ 1,084 $ 4.98 0.95%
Hypothetical $ 1,000 $ 1,020 $ 4.82 0.95%
SELECT
Actual period return $ 1,000 $ 1,081 $ 7.16 1.37%
Hypothetical $ 1,000 $ 1,018 $ 6.95 1.37%
INTERNATIONAL OPPORTUNITIES FUND
CLASS A
Actual period return $ 1,000 $ 1,039 $ 9.74 1.90%
Hypothetical $ 1,000 $ 1,015 $ 9.63 1.90%
CLASS B
Actual period return $ 1,000 $ 1,036 $ 12.28 2.40%
Hypothetical $ 1,000 $ 1,013 $ 12.14 2.40%
INSTITUTIONAL
Actual period return $ 1,000 $ 1,043 $ 4.73 0.92%
Hypothetical $ 1,000 $ 1,020 $ 4.67 0.92%
SELECT
Actual period return $ 1,000 $ 1,043 $ 6.16 1.20%
Hypothetical $ 1,000 $ 1,019 $ 6.09 1.20%
</Table>
109
<Page>
<Table>
<Caption>
EXPENSES PAID
BEGINNING ENDING DURING PERIOD
ACCOUNT VALUE, ACCOUNT VALUE, MAY 1 TO ANNUALIZED
MAY 1, 2004 OCTOBER 31, 2004 OCTOBER 31, 2004* EXPENSE RATIO
EMERGING MARKETS EQUITY FUND
CLASS A
Actual period return $ 1,000 $ 1,143 $ 10.77 2.00%
Hypothetical $ 1,000 $ 1,015 $ 10.13 2.00%
CLASS B
Actual period return $ 1,000 $ 1,140 $ 13.45 2.50%
Hypothetical $ 1,000 $ 1,012 $ 12.65 2.50%
INSTITUTIONAL
Actual period return $ 1,000 $ 1,146 $ 7.82 1.45%
Hypothetical $ 1,000 $ 1,018 $ 7.35 1.45%
SELECT
Actual period return $ 1,000 $ 1,145 $ 9.43 1.75%
Hypothetical $ 1,000 $ 1,016 $ 8.87 1.75%
ASIA EQUITY
CLASS A
Actual period return $ 1,000 $ 1,041 $ 8.98 1.75%
Hypothetical $ 1,000 $ 1,016 $ 8.87 1.75%
INSTITUTIONAL
Actual period return $ 1,000 $ 1,043 $ 6.93 1.35%
Hypothetical $ 1,000 $ 1,018 $ 6.85 1.35%
SELECT
Actual period return $ 1,000 $ 1,043 $ 7.70 1.50%
Hypothetical $ 1,000 $ 1,017 $ 7.61 1.50%
</Table>
110
<Page>
<Table>
<Caption>
EXPENSES PAID
BEGINNING ENDING DURING PERIOD
ACCOUNT VALUE, ACCOUNT VALUE, MAY 1 TO ANNUALIZED
MAY 1, 2004 OCTOBER 31, 2004 OCTOBER 31, 2004* EXPENSE RATIO
INTERNATIONAL EQUITY FUND
CLASS A
Actual period return $ 1,000 $ 1,065 $ 7.79 1.50%
Hypothetical $ 1,000 $ 1,017 $ 7.61 1.50%
CLASS B
Actual period return $ 1,000 $ 1,062 $ 10.37 2.00%
Hypothetical $ 1,000 $ 1,015 $ 10.13 2.00%
CLASS C
Actual period return $ 1,000 $ 1,062 $ 10.37 2.00%
Hypothetical $ 1,000 $ 1,015 $ 10.13 2.00%
SELECT
Actual period return $ 1,000 $ 1,067 $ 5.72 1.10%
Hypothetical $ 1,000 $ 1,019 $ 5.58 1.10%
</Table>
* Expenses are equal to the Class' annualized expense ratio in the table above,
multiplied by the average account value over the period, multiplied by 184/366
(to reflect the one-half year period).
111
<Page>
TRUSTEE AND OFFICER INFORMATION (UNAUDITED)
The following tables contain basic information regarding the Trustees and
Officers, respectively, that oversee operations of the Trusts and other
investment companies within the JPMorgan Funds complex.
<Table>
<Caption>
POSITIONS NUMBER OF OTHER
HELD WITH PRINCIPAL PORTFOLIOS IN DIRECTORSHIPS
EACH TERM OF OFFICE OCCUPATIONS JPMORGAN FUND HELD OUTSIDE
NAME, CONTACT ADDRESS JPMORGAN AND LENGTH OF DURING PAST COMPLEX(1) OVERSEEN JPMORGAN FUND
AND YEAR OF BIRTH TRUST TIME SERVED 5 YEARS BY TRUSTEE COMPLEX
- -----------------------------------------------------------------------------------------------------------------------------------
NON-INTERESTED TRUSTEE(S)
William J. Armstrong; Trustee Trustee of Funds Retired; Vice 70 None
522 Fifth Avenue, that are series of President and
New York, NY 10036; JPMIF since 2001, Treasurer of
1941 Funds that are Ingersoll-Rand
series of MFSG since Company
1996 and Funds that (manufacturer of
are series of MFG industrial
since 1987. equipment)
(1972-2000)
Roland R. Eppley, Jr.; Trustee Trustee of Funds Retired 70 Director of Janel
522 Fifth Avenue, that are series of Hydro, Inc.
New York, NY 10036; JPMIF since 2001, (Automotive)
1932 Funds that are (1993-Present)
series of MFSG since
1996 and Funds that
are series of MFG
since 1989.
Ann Maynard Gray;* Trustee Since 2001 Vice President of 70 Director of Duke
522 Fifth Avenue, Capital Cities/ABC, Energy Corporation
New York, NY 10036; Inc. (1986-1998) (1997-Present);
1945^ Director of Elan
Corporation, Plc
(pharmaceuticals)
(2001-Present);
Director of The
Phoenix Companies
(wealth management
services)
(2002-Present)
Matthew Healey;* Trustee Trustee of Funds Retired; Chief 70 None
522 Fifth Avenue, that are series of Executive Officer of
New York, NY 10036; of JPMIF since 1992 certain J.P. Morgan
1937 and Funds that are Fund Trusts
series of MFG since (1982-2001)
2001 and MFSG since
2001.
</Table>
* Resigned effective November 26, 2004.
112
<Page>
<Table>
<Caption>
POSITIONS NUMBER OF OTHER
HELD WITH PRINCIPAL PORTFOLIOS IN DIRECTORSHIPS
EACH TERM OF OFFICE OCCUPATIONS JPMORGAN FUND HELD OUTSIDE
NAME, CONTACT ADDRESS JPMORGAN AND LENGTH OF DURING PAST COMPLEX(1) OVERSEEN JPMORGAN FUND
AND YEAR OF BIRTH TRUST TIME SERVED 5 YEARS BY TRUSTEE COMPLEX
- -----------------------------------------------------------------------------------------------------------------------------------
NON-INTERESTED TRUSTEE(S) (CONTINUED)
Fergus Reid, III; Trustee and Trustee of Funds Chairman of Lumelite 70 Trustee of Morgan
522 Fifth Avenue, Chairman of that are series of Corporation Stanley Funds (209
New York, NY 10036; the Board JPMIF since 2001, (plastics portfolios)
1932 of Trustees Funds that are manufacturing) (1995-Present)
series of MFSG since (2003-Present);
1996 and Funds that Chairman and CEO of
are series of MFG Lumelite Corporation
since 1987. (1985-2002)
James J. Schonbachler; Trustree Since 2001 Retired; Managing 70 None
522 Fifth Avenue, Director of Bankers
New York, NY 10036; Trust Company
1943 (financial services)
(1968-1998)
Robert J. Higgins; Trustee Since 2002 Retired; Director of 70 Director of Providian
522 Fifth Avenue, Administration of the Financial Corp.
New York, NY 10036; State of Rhode Island (banking)
1945 (2003-Present); (2002-Present)
President - Consumer
Banking and
Investment Services
Fleet Boston
Financial (1971-2002)
Dr. Matthew Goldstein; Trustee Since 2003 Chancellor of the 70 Trustee of Bronx-
522 Fifth Avenue, City University of Lebanon Hospital
New York, NY 10036; New York, since Center (1992-present);
1941 September 1, 1999; Director of New Plan
President, Adelphi Excel Realty Trust,
University (New York) Inc. (real estate
(1998-1999). investment trust)
(2000-present);
Director of Lincoln
Center Institute for
the Arts in Education
(1999-Present).
</Table>
113
<Page>
<Table>
<Caption>
POSITIONS NUMBER OF OTHER
HELD WITH PRINCIPAL PORTFOLIOS IN DIRECTORSHIPS
EACH TERM OF OFFICE OCCUPATIONS JPMORGAN FUND HELD OUTSIDE
NAME, CONTACT ADDRESS JPMORGAN AND LENGTH OF DURING PAST COMPLEX(1) OVERSEEN JPMORGAN FUND
AND YEAR OF BIRTH TRUST TIME SERVED 5 YEARS BY TRUSTEE COMPLEX
- -----------------------------------------------------------------------------------------------------------------------------------
NON-INTERESTED TRUSTEE(S) (CONTINUED)
William G. Morton, Jr.; Trustee Since 2003 Retired; Emeritus 70 Director of Radio
522 Fifth Avenue, (2001-2002), and Shack Corporation
New York, NY 10036; Chairman and Chief (electronics)
1937 Executive Officer, (1987-present);
Boston Stock Exchange Director of The
(1985-2001). Griswold Company
(securities
brokerage).
(2002-2004), Director
of The National
Football Foundation
and College Hall of
Fame (1994-present);
Trustee of the
Berklee College of
Music (1998-present);
Trustee of the
Stratton Mountain
School
(2001-present).
INTERESTED TRUSTEE(S)
Leonard M. Spalding* Trustee Trustee of Funds Retired; Chief 70 None.
522 Fifth Avenue, that are series of Executive Officer of
New York, NY 10036; JPMIF since 2001, Chase Mutual Funds
1935 Funds that are (investment company)
series of MFSG since (1989-1998);
1996 and Funds that President and Chief
are series of MFG Executive Officer of
since 1998. Vista Capital
Management
(investment
management)
(1990-1998); Chief
Investment Executive
of Chase Manhattan
Private Bank
(investment
management)
(1990-1998).
</Table>
(1) A Fund Complex means two or more investment companies that hold themselves
out to investors as related companies for purposes of investment and
investment services or have a common investment advisor or have an
investment advisor that is an affiliated person of the investment advisor of
any of the other investment companies. The JPMorgan Fund Complex for which
the Trustees serve includes 13 investment companies.
^ Dana Maynard Gray, the daughter of Ann Maynard Gray, became employed with
JPMorgan Securities, Inc., as an Associate Analyst on May 3, 2004.
* Mr. Spalding is deemed to be an "interested person" due to his ownership of
equity securities of JPMorgan Chase & Co. stock.
114
<Page>
<Table>
<Caption>
POSITIONS HELD TERM OF OFFICE
NAME, CONTACT ADDRESS WITH EACH AND LENGTH OF PRINCIPAL OCCUPATIONS
AND DATE OF BIRTH JPMORGAN TRUST TIME SERVED DURING PAST 5 YEARS
- -----------------------------------------------------------------------------------------------------------------------------------
OFFICERS
George C.W. Gatch; President Since 2001 Managing Director, JPMIM, CEO and President of the J.P.
522 Fifth Avenue, Morgan and One Group Funds. An employee since 1986, Mr. Gatch
New York, NY 10036; leads the firm's U.S. mutual fund and financial intermediary
1962 business. He was previously President and CEO of DKB Morgan,
a Japanese mutual fund company, which was a joint venture
between J.P. Morgan and Dal-Ichi Kangyo Bank. Prior to
working in Japan, Mr. Gatch established JPMIM's sub-advisory
and institutional mutual funds business. He has also held
numerous positions throughout the firm in business
management, marketing, and sales.
Robert L. Young; 522 Senior Vice President Since 2004 Chief Operating Officer, JPMorgan Funds (August 2004
Fifth Avenue, to present) and One Group Mutual Funds from
New York, NY 10036; November 2001 until present. From October 1999 to
1963 present, Vice President and Treasurer, One Group
Administrative Services, Inc., and Vice President and
Treasurer, One Group Dealer Services, Inc.
Patricia A. Maleski; Vice President and Chief Since 2003 Vice President, JPMIM; previously, Treasurer,
522 Fifth Avenue, Administrative Officer JPMorgan Funds and Head of Funds Administration
New York, NY 10036; and Board Liaison. Prior to joining J.P. Morgan
1960 Chase & Co. in 2001, Ms. Maleski was the Vice
President of Finance for the Pierpont Group, Inc., a
service provider of the Board of Directors/Trustees of the
JPMorgan Funds.
Wayne H. Chan; Vice President and Since 2003 Vice President and Assistant General Counsel, JPMIM,
522 Fifth Avenue, Assistant Secretary since September 2002; Mr. Chan was an associate at
New York, NY 10036; the law firm of Shearman and Sterling from May 2001
1965 through September 2002; Swidler Berlin Shereff Friedman LLP
from June 1999 through May 2001 and Whitman Breed Abbott &
Morgan LLP from September 1997 through May 1999.
Stephanie J. Dorsey Treasurer Since 2004 Director of Mutual Fund Administration, One Group
522 Fifth Avenue, Administrative Services, since January 2004;
New York, NY 10036; Ms. Dorsey worked for Bank One Corporation from
1969 January 2003 to January 2004; Prior to joining Bank One
Corporation, she held various positions at
PricewaterhouseCoopers LLP from September 1992 through
December 2002.
Elizabeth A. Davin Assistant Secretary Since 2004 From September 2004 to present, Senior Counsel,
522 Fifth Avenue, JPMorgan Case & Co.; prior to that Ms. Davin was
New York, NY 10036; Assistant General Counsel and then Associate General
1964 Counsel and Vice President, Gartmore Global
Investments, Inc. from July 1999 to August 2004.
</Table>
115
<Page>
<Table>
<Caption>
POSITIONS HELD TERM OF OFFICE
NAME, CONTACT ADDRESS WITH EACH AND LENGTH OF PRINCIPAL OCCUPATIONS
AND DATE OF BIRTH JPMORGAN TRUST TIME SERVED DURING PAST 5 YEARS
- -----------------------------------------------------------------------------------------------------------------------------------
OFFICERS (CONTINUED)
Stephen M. Bemnham Assistant Secretary Since 2004 Vice President and Assistant General Counsel, JPMIM
522 Fifth Avenue, since 2004; Vice President (Legal Advisory) of Merrill
New York, NY 10036; Lynch Investment Managers, L.P., from 2000 to 2004;
1959 attorney associated with Kirkpatrick & Lockhart LLP from 1997
to 2000.
Jessica K. Ditullio Assistant Secretary Since 2004 From August 1990 to present, she held various
522 Fifth Avenue, attorney positions for Bank One Corporation (now
New York, NY 10036; known as JPMorgan Chase & Co.)
1962
Nancy E. Fields Assistant Secretary Since 2004 From October 1999 to present, Director, Mutual Fund
522 Fifth Avenue, Administration, One Group Administrative Services,
New York, NY 10036; Inc. and Senior Project Manager, Mutual Funds, One
1949 Group Dealer Services, Inc. From July 1999 to October 1999,
Project Manager, One Group, Banc One Investment Advisors
Corporation.
Avery P. Maher Assistant Secretary Since 2004 Vice President and Assistant General Counsel, JPMIM
522 Fifth Avenue, since 2004; Second Vice President and Assistant
New York, NY 10036; Secretary of John Hancock Advisers, LLC, from
1945 July 1992 through September 2004.
Alaina Metz Assistant Secretary Since 2001 From June 1995 to present, Vice President, BISYS Fund
3435 Stelzer Rd. Services, Inc.
Columbus, OH 43219
1967
Martin R. Dean Assistant Treasurer Since 2001 Vice President of Regulatory Services of BISYS Fund
3435 Stelzer Rd. Services, Inc.
Columbus, OH 43219
1963
Arthur A. Jensen Assistant Treasurer Since 2001 Vice President of Financial Services of BISYS Fund
3435 Stelzer Rd. Services, Inc. since June 2001; formerly Section
Columbus, OH 43219 Manager of Northern Trust Company and Accounting
1966 Supervisor at Allstate Insurance Company.
Christopher D. Walsh Assistant Treasurer Since 2004 Vice President, JPMIM; Mr. Walsh manages all aspects
522 Fifth Avenue, of institutional and retail mutual fund administration
New York, NY 10036; and vendor relationships within the mutual funds,
1965 commingled/ERISA funds, 3(c)(7) funds, hedge funds and LLC
products. Prior to joining JPMorgan in 2000, he was a
director from 1996 to 2000 of Mutual Fund
Administration at Prudential Investments.
Paul M. DeRusso Assistant Treasurer Since 2001 Vice President, JPMIM; Manager of the Budgeting and
522 Fifth Avenue, Expense Group of Funds Administration Group.
New York, NY 10036;
1954
</Table>
116
<Page>
<Table>
<Caption>
POSITIONS HELD TERM OF OFFICE
NAME, CONTACT ADDRESS WITH EACH AND LENGTH OF PRINCIPAL OCCUPATIONS
AND DATE OF BIRTH JPMORGAN TRUST TIME SERVED DURING PAST 5 YEARS
- -----------------------------------------------------------------------------------------------------------------------------------
OFFICERS (CONTINUED)
Mary D. Squires Assistant Treasurer Since 2001 Vice President, JPMIM; Ms. Squires has held
522 Fifth Avenue, numerous financial and operations positions
New York, NY 10036; supporting the J.P. Morgan Chase organization
1955 complex.
Stephen M. Ungerman Chief Compliance Officer Since 2004 Vice President, JPMIM; previously, Head of Fund
522 Fifth Avenue, Administration - Pooled Vehicles; prior to joining
New York, NY 10036; JPMorgan Chase in 2000, he held a number of
1953 positions in Prudential Financial's asset management
business, including Associate General Counsel, Tax
Director and Co-head of Fund Administration
Department. Mr. Ungerman also served as Assistant Treasurer
for all mutual funds managed by Prudential.
</Table>
Additional information concerning the Trustees is contained in the Statement of
Additional Information and is available without charge by calling
1-800-348-4782.
117
<Page>
TAX LETTER (UNAUDITED)
JPMORGAN FLEMING INTREPID EUROPEAN FUND ("EF")
JPMORGAN FLEMING JAPAN FUND ("JF")
JPMORGAN FLEMING INTERNATIONAL GROWTH FUND ("IGF")
JPMORGAN FLEMING INTERNATIONAL VALUE FUND ("IVF")
JPMORGAN FLEMING INTERNATIONAL OPPORTUNITIES FUND ("IOF")
JPMORGAN FLEMING EMERGING MARKETS EQUITY FUND ("EMF")
JPMORGAN FLEMING ASIA EQUITY FUND ("AEF")
JPMORGAN FLEMING INTERNATIONAL EQUITY FUND ("IEF")
Certain tax information regarding the JPMorgan Mutual Funds is required to be
provided to shareholders based upon the Funds' income and distributions for the
taxable year ended October 31, 2004. The information and distributions reported
in this letter may differ from the information and distributions taxable to the
shareholders for the calendar year ending December 31, 2004. The information
necessary to complete your income tax returns for the calendar year ending
December 31, 2004 will be received under separate cover.
Also, for the fiscal year ended October 31, 2004, AEF intend to elect to pass
through to shareholders the income tax credit for taxes paid to foreign
countries. Gross income and foreign tax expenses by country on October 31, 2004
are as follows:
<Table>
<Caption>
FOREIGN TAX
COUNTRY GROSS INCOME PASS THROUGH QDI %
FUND
AEF Bermuda $ 15,737 $ --
China 82,950 -- 15.83%
Hong Kong 251,995 --
India 9,324 -- 1.85%
Indonesia 93,486 14,023 18.55%
Korea 258,501 42,774 51.30%
Malaysia 67,931 13,719
Singapore 161,847 28,607
Taiwan 162,468 42,864
Thailand 43,338 4,334 8.60%
United Kingdom 19,500 -- 3.87%
</Table>
The pass-through of the foreign tax credit will only affect those persons who
are shareholders on the dividend record date in December 2004. These
shareholders will receive more detailed information along with 2004
Form 1099-DIV.
118
<Page>
For the fiscal year ended Ocotber 31, 2004, the following represents the
percentage of ordinary income distributions treated as qualified dividends:
<Table>
<Caption>
PERCENTAGE OF
DISTRIBUTIONS
FUND
EF 100.00%
IGF 100.00%
IVF 100.00%
IOF 100.00%
EMF 100.00%
AEF 90.86%
IEF 92.50%
</Table>
119
<Page>
JP MORGAN 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.
120
<Page>
[JPMORGAN FLEMING ASSET MANAGEMENT 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.
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.
No sooner than 30 days after the end of each month, the Fund will make available
upon request a complete uncertified schedule of its portfolio holdings as of the
last day of that month. Not later than 60 days after the end of each fiscal
quarter, the Fund will make available a complete schedule of its portfolio
holdings as of the last day of that quarter, as filed in a certified filing with
the SEC. In addition to providing hard copies upon request, the Fund will post
these quarterly schedules on the Fund's website at www.jpmorganfunds.com and on
the SEC's website at www.sec.gov.
Shareholders may request portfolio holdings schedules at no charge by calling
1-800-480-4111.
A description of the Fund's policies and procedures with respect to the
disclosure of the Fund's portfolio holdings is available in the Statement of
Additional 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
www.sec.gov. The Trustees have delegated the authority to vote proxies for
securities owned by the Fund to JPMIM. A copy of the Fund's voting record for
the 12-month period ended June 30, 2004 is available on the SEC's website at
www.sec.gov or at the Fund's website at www.jpmorgan.com. The Fund's proxy
voting record will include, among other things, a brief description of the
matter voted on for each portfolio security, and will state how each vote was
cast, for example, for or against the proposal.
<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 AN-INTEQ-1004
All rights reserved. December 2004.
<Page>
[GRAPHIC]
JPMORGAN FUNDS
ANNUAL REPORT OCTOBER 31 2004
TAX AWARE FUNDS
FLEMING TAX AWARE INTERNATIONAL OPPORTUNITIES FUND
TAX AWARE DISCIPLINED EQUITY FUND
TAX AWARE ENHANCED INCOME FUND
TAX AWARE LARGE CAP GROWTH FUND
TAX AWARE LARGE CAP VALUE FUND
TAX AWARE SHORT-INTERMEDIATE INCOME FUND
TAX AWARE U.S. EQUITY FUND
[JPMORGAN FLEMING ASSET MANAGEMENT LOGO]
<Page>
[JPMORGAN FLEMING ASSET MANAGEMENT LOGO]
JPMORGAN FLEMING ASSET MANAGEMENT is a premier global wealth manager that has
been working with affluent investors for over a hundred years. This experience
provides us with a keen understanding of the unique needs of the affluent
investor's portfolio. The legacy of our experience, coupled with our GLOBAL
INTELLECTUAL CAPITAL, is the foundation from which our investment products have
been built. We have a worldwide investment presence. This local insight provides
us with a global view of every investment decision we make which we believe is
crucial in light of the ever-increasing rise of globalization in our
marketplace. JPMorgan Fleming Asset Management is an EXPERIENCED PARTNER
dedicated to working with your financial professional to help provide you with a
broad array of WEALTH SOLUTIONS.
CONTENTS
<Table>
President's Letter 1
Fund Commentaries:
Fleming Tax Aware International Opportunites Fund 3
Tax Aware Disciplined Equity Fund 6
Tax Aware Enhanced Income Fund 9
Tax Aware Large Cap Growth Fund 11
Tax Aware Large Cap Value Fund 14
Tax Aware Short-Intermediate Income Fund 17
Tax Aware U.S. Equity Fund 19
Portfolio of Investments 22
Financial Statements 54
Notes to Financial Statements 66
Financial Highlights 96
</Table>
HIGHLIGHTS
- - Corporate earnings growth drives market rally
- - Weak dollar boosts returns from international stocks
- - Interest rates and oil prices spook markets
- - Low inflation underpins our optimism
Investments in a Fund are not bank deposits or obligations of, or guaranteed or
endorsed by, any bank and are not insured or guaranteed by the FDIC, the Federal
Reserve Board or any other government agency. You could lose money if you sell
when the Fund's share price is lower than when you invested.
Past performance is no guarantee for future performance. The general market
views expressed in this report are opinions based on current market conditions
and are subject to change without notice. These views are not intended to
predict the future performance of a Fund or the securities markets. References
to specific securities and their issuers are for illustrative purposes only and
are not intended to be, and should not be interpreted as, recommendations to
purchase or sell such securities. Such views are not meant as investment advice
and may not be relied on as an indication of trading intent on behalf of any
Fund.
Prospective investors should refer to the Fund's prospectus for a discussion of
the Fund's investment objective, strategies and risks. Call JPMorgan Funds
Service Center at (800) 348-4782 for a prospectus containing more complete
information about a Fund including management fees and other expenses. Please
read it carefully before investing.
JPMorgan Funds are distributed by J.P. Morgan Fund Distributors, Inc.
<Page>
JPMORGAN TAX AWARE FUNDS
PRESIDENT'S LETTER DECEMBER 6, 2004
[PHOTO OF GEORGE C.W. GATCH]
"WE BELIEVE THE U.S. ECONOMY IS BEGINNING TO EMERGE FROM ITS MID-SUMMER PERIOD
OF WEAKNESS, AND THAT THE GLOBAL ECONOMY IS MOVING TOWARDS A BROADLY BASED
EXPANSION.
DEAR SHAREHOLDER:
We are pleased to present this annual report for the JPMorgan Tax Aware Funds.
Inside, you'll find information detailing the performance of the Funds for the
year ended October 31, 2004, along with reports from the Portfolio Managers.
EQUITIES STAGE STRONG RALLY GLOBALLY
U.S. and international equity markets rallied substantially in the period. As
economic growth picked up, companies from around the globe reported higher
earnings, lifting equity prices. For many companies, higher sales fed straight
through to bottom-line profits, following cost reduction restructurings carried
out over the past few years. For U.S. investors, international equity markets
provided strong returns, particularly when the effect of a falling U.S. dollar
was factored in. In all, the MSCI EAFE Index, which represents a broad spread of
European and Asian markets, rose 18.84% in U.S. dollars. By contrast, the S&P
500 Index rose 9.42%.
There was a wide divergence between market performances. High equity valuations
held U.S. equities back from achieving greater gains. Asian equities were
hampered by concerns over the vitality of their export industries. Europe,
meanwhile, performed exceptionally. The MSCI Europe Index rose 21.89%, while the
MSCI Japan Index rose 9.04% and the MSCI Asia ex Japan Index appreciated 9.40%.
MID-YEAR "SOFT PATCH"
But the rally was far from linear. Come the second quarter, many markets
faltered as rising U.S. interest rates and surging oil prices caused fears that
growth would be choked off. It soon became evident that the U.S. economy was
indeed experiencing a "soft patch". Additionally, growth in Japan and
Continental Europe disappointed -- particularly as domestic demand failed to
pick up to the degree many had hoped for. This caused some setbacks in equity
prices during the mid to late summer.
OUTLOOK
We believe the U.S. economy is beginning to emerge from its mid-summer period of
weakness, and that the global economy is moving towards a broadly based
expansion. Even if economic growth does not accelerate strongly, we are
optimistic that the expansion is sustainable, and that stocks are likely to
outperform bonds in the period ahead. One reason for our optimism is that
inflation remains under control, which gives long-term interest rates the
ability to come down further if the global economy weakens slightly, providing
additional support to economic activity and equity prices.
<Page>
IMPORTANT FUND FAMILY UPDATE
Shareholders of JPMorgan Funds and One Group Funds have received a variety of
documents, some regarding the proposed integration of the two fund complexes.
The integration generally will be effective on February 18, 2005; however, some
of the changes will require shareholder approval at meetings on January 20,
2005, before they can be implemented. As a shareholder, your input in these
decisions is important, so we would greatly appreciate your response.
As always, we 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 FLEMING TAX AWARE INTERNATIONAL OPPORTUNITIES FUND
AS OF OCTOBER 31, 2004 (Unaudited)
FUND FACTS
Fund Inception 4/30/01
Fiscal Year End OCTOBER 31
Net Assets as of 10/31/2004
(In Millions) $143.6
Primary Benchmark MSCI EAFE USD NET
Q: HOW DID THE FUND PERFORM?
A: JPMorgan Fleming Tax Aware International Opportunities Fund, which seeks high
after-tax total return by investing in equity securities of foreign companies
in developed and, to a lesser extent, emerging markets, rose by 14.4%
(Institutional shares) during the year ended October 31, 2004. This compares
with a rally of 18.8% in the MSCI EAFE Index (in US dollars).
Q: WHY DID THE FUND PERFORM THIS WAY?
A: While economic recovery became increasingly established during the year,
there was an unexpected mid-summer deceleration in economic growth. This
impacted the Fund, which held many economically sensitive stocks in
anticipation of steady recovery.
Continental Europe is a good example of this theme. The Fund was underweight
the region, which has less sensitivity to the economic cycle than Japan and
non-Japan Asia. And, within Europe, it held many of the stocks most leveraged
to economic growth, such as Cap Gemini, the French technology company, and
Ciba Specialty Chemicals, the Swiss chemicals company. Both the underweight
allocation to Continental Europe, and stock selection, detracted from
performance.
In non-Japan Asia, where corporate earnings are sensitive to economic
activity in the United States and China, the Fund was overweight. The summer
dip in global growth, and Chinese actions to curb inflationary forces, caused
earnings expectations and stock valuations to fall back across the region.
Cathay Pacific, the Hong Kong airline, was one holding that performed poorly,
due to declining China-related passenger loads and rising oil prices. Another
large holding, Reliance Industries, the Indian conglomerate, fell following
India's election of a new government that was not perceived to be business
friendly.
From a stock perspective, a number of holdings stood out. In Japan, two
financial sector stocks -- Aiful and UFJ Holdings -- added to performance as
the sector's prospects improved. In Continental Europe, Adecco, the Swiss
human resources solutions company, detracted from performance after
announcing the delayed publication of 2003 results. In emerging Europe,
Yukos, the Russian oil stock, fell after the Russian tax authorities charged
that it owed $3.5 billion in back taxes.
Q: HOW WAS THE FUND MANAGED?
A: The Fund was overweight emerging markets, which offer leveraged exposure to
global growth, and underweight Continental Europe, where growth appeared less
robust. Stock selection caused the Fund to be overweight the Technology
sector, but underweight Utilities. At the October 31, 2004, year-end, the
Fund continued to be overweight emerging markets, while underweight
Continental Europe and Japan.
3
<Page>
[CHART]
PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS
<Table>
United Kingdom 26.2%
Japan 18.9%
France 13.4%
Switzerland 8.6%
Germany 5.4%
The Netherlands 5.3%
Hong Kong 4.6%
South Korea 2.7%
India 2.1%
Spain 2.0%
Singapore 1.7%
Sweden 1.6%
Taiwan 1.6%
Australia 1.5%
Brazil 1.3%
Ireland 1.3%
Other 1.8%
</Table>
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO
<Table>
1. Royal Bank of Scotland Group PLC
(United Kingdom) 4.1%
2. Vodafone Group PLC
(United Kingdom) 3.8%
3. Total SA (France) 3.6%
4. HSBC Holdings PLC
(United Kingdom) 3.6%
5. Tesco PLC
(United Kingdom) 2.3%
6. BNP Paribas (France) 2.2%
7. Koninklijke KPN NV
(The Netherlands) 2.1%
8. Reliance Industries LTD
(India) 2.1%
9. Reckitt Benckiser PLC
(United Kingdom) 2.1%
10. Nippon Telegraph & Telephone
Corp. (Japan) 2.0%
</Table>
Top 10 equity holdings comprised 27.9% of the Portfolio's market value of
investments ($38,973 in thousands). As of October 31, 2004, the Fund held 85
equity holdings. Portfolio holdings are subject to change at any time.
4
<Page>
ANNUAL REPORT OCTOBER 31 2004
(Unaudited)
AVERAGE ANNUAL TOTAL RETURNS AS OF OCTOBER 31, 2004
<Table>
<Caption>
SINCE
INCEPTION
1 YEAR 3 YEARS (4/30/01)
-------------------------------
CLASS A SHARES
Without Sales Charge 13.74% 7.46% 0.68%
With Sales Charge* 7.16% 5.35% (1.01%)
-------------------------------
INSTITUTIONAL SHARES 14.44% 8.27% 1.45%
</Table>
* Sales Charge for Class A Shares is 5.75%.
[CHART]
LIFE OF FUND PERFORMANCE (4/30/01 TO 10/31/04)
<Table>
<Caption>
JPMORGAN FLEMING TAX AWARE INTERNATIONAL
OPPORTUNITIES FUND (INSTITUTONAL SHARES) MSCI EAFE USD NET LIPPER INTERNATIONAL FUNDS INDEX
4/30/2001 $ 3,000,000 $ 3,000,000 $ 3,000,000
5/31/2001 $ 2,937,900 $ 2,894,100 $ 2,927,400
6/30/2001 $ 2,851,820 $ 2,775,731 $ 2,844,847
7/31/2001 $ 2,719,780 $ 2,725,213 $ 2,770,881
8/31/2001 $ 2,699,654 $ 2,656,265 $ 2,715,187
9/30/2001 $ 2,401,612 $ 2,387,185 $ 2,419,231
10/31/2001 $ 2,485,669 $ 2,448,297 $ 2,484,792
11/30/2001 $ 2,603,738 $ 2,538,640 $ 2,577,475
12/31/2001 $ 2,641,492 $ 2,553,618 $ 2,623,354
1/31/2002 $ 2,511,002 $ 2,418,020 $ 2,517,371
2/28/2002 $ 2,508,993 $ 2,434,947 $ 2,552,614
3/31/2002 $ 2,647,490 $ 2,566,677 $ 2,687,647
4/30/2002 $ 2,681,643 $ 2,583,617 $ 2,706,461
5/31/2002 $ 2,727,767 $ 2,616,429 $ 2,745,163
6/30/2002 $ 2,585,377 $ 2,512,295 $ 2,636,729
7/31/2002 $ 2,324,513 $ 2,264,332 $ 2,373,584
8/31/2002 $ 2,348,688 $ 2,259,124 $ 2,375,482
9/30/2002 $ 2,077,884 $ 2,016,494 $ 2,119,643
10/31/2002 $ 2,210,245 $ 2,124,780 $ 2,229,652
11/30/2002 $ 2,330,483 $ 2,221,245 $ 2,335,115
12/31/2002 $ 2,215,823 $ 2,146,611 $ 2,260,391
1/31/2003 $ 2,102,373 $ 2,057,097 $ 2,177,661
2/28/2003 $ 2,047,711 $ 2,009,990 $ 2,113,202
3/31/2003 $ 1,980,751 $ 1,970,594 $ 2,061,429
4/30/2003 $ 2,179,420 $ 2,163,712 $ 2,265,510
5/31/2003 $ 2,317,377 $ 2,294,833 $ 2,410,956
6/30/2003 $ 2,369,982 $ 2,350,368 $ 2,467,855
7/31/2003 $ 2,434,919 $ 2,407,247 $ 2,536,954
8/31/2003 $ 2,509,915 $ 2,465,261 $ 2,610,272
9/30/2003 $ 2,578,938 $ 2,541,192 $ 2,662,739
10/31/2003 $ 2,757,400 $ 2,699,508 $ 2,821,438
11/30/2003 $ 2,810,066 $ 2,759,437 $ 2,878,149
12/31/2003 $ 3,006,771 $ 2,974,949 $ 3,074,151
1/31/2004 $ 3,101,785 $ 3,016,896 $ 3,140,245
2/29/2004 $ 3,172,196 $ 3,086,586 $ 3,212,157
3/31/2004 $ 3,188,691 $ 3,103,871 $ 3,227,896
4/30/2004 $ 3,037,866 $ 3,033,723 $ 3,131,705
5/31/2004 $ 3,037,866 $ 3,044,038 $ 3,129,826
6/30/2004 $ 3,093,763 $ 3,110,702 $ 3,192,736
7/31/2004 $ 2,965,681 $ 3,009,605 $ 3,088,333
8/31/2004 $ 3,013,132 $ 3,022,847 $ 3,104,701
9/30/2004 $ 3,089,665 $ 3,101,743 $ 3,187,286
10/31/2004 $ 3,155,550 $ 3,207,513 $ 3,288,323
</Table>
SOURCE: LIPPER, INC. THE QUOTED PERFORMANCE IS PAST PERFORMANCE AND NOT
INDICATIVE 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 PROSPECTUS WHICH INCLUDES INFORMATION
ON THE FUND'S INVESTMENT OBJECTIVES, RISK, AS WELL AS CHARGES AND EXPENSES ALONG
WITH OTHER INFORMATION. INVESTORS SHOULD REVIEW THE INFORMATION IN THE
PROSPECTUS CAREFULLY BEFORE INVESTING. FOR UP TO DATE MONTH-END PERFORMANCE
INFORMATION, OR TO RECEIVE A FUND PROSPECTUS PLEASE CALL 800 348-4782. PLEASE
READ CAREFULLY BEFORE INVESTING OR SENDING MONEY.
The Fund commenced operations on 4/30/01.
All Shares Classes were introduced on 4/30/01.
The graph illustrates comparative performance for $3,000,000 invested in
Institutional Shares of the JPMorgan Fleming Tax Aware International
Opportunities Fund, MSCI EAFE USD Net and the Lipper International Funds Index
from April 30, 2001 to October 31, 2004. The performance of the Fund assumes
reinvestment of all dividends and capital gains and does not include a sales
charge. The performance of the indices does not include a sales charge and has
been adjusted to reflect reinvestment of all dividends and capital gains of the
securities included in the benchmark. The MSCI EAFE (Europe, Australasia, Far
East) Index is a replica (or model) of the performance of the world's equity
markets, excluding the U.S. and Canada.
Institutional Shares have a $3,000,000 minimum initial deposit and carry no
sales charge.
Certain fees and expenses of the Fund are currently being waived and reimbursed
as described in the prospectus. Had the expenses not been subsidized or waived,
returns would have been lower. Also all performance shown in this section does
not reflect the deduction of taxes that a shareholder would pay on fund
distributions or redemption of fund shares.
International investing involves a greater degree of risk and increased
volatility. Changes in currency exchange rates and differences in accounting and
taxation policies outside the U.S. can raise or lower returns. Also, some
overseas markets may not be as politically and economically stable as the United
States and other nations.
5
<Page>
JPMORGAN TAX AWARE DISCIPLINED EQUITY FUND
AS OF OCTOBER 31, 2004 (Unaudited)
FUND FACTS
Fund Inception 1/30/97
Fiscal Year End OCTOBER 31
Net Assets as of 10/31/2004
(In Millions) $201.5
Primary Benchmark S&P 500 INDEX
Q: HOW DID THE FUND PERFORM?
A: JPMorgan Tax Aware Disciplined Equity Fund, which seeks to provide high
after-tax total return from a portfolio of selected equity securities,
returned 10.4% for the year ended October 31, 2004. This compares to the 9.4%
appreciation from the S&P 500 Index, the Fund's benchmark.
The Fund participated in the market's advance and outperformed its benchmark
in the period, which began with an extension of the equity market rally that
we witnessed in most of 2003. Investors focused their attention on strong
corporate earnings, robust economic growth, and low interest rates. While
economic indicators turned decisively stronger, the upgrade in prospects for
growth brought with it the threat of an early end to the Federal Reserve's
highly accommodative stance. Along with the uncertainty of the Fed's stance,
came the uncertainty of the geopolitical situation and the election here at
home, the rising price of oil, and slowing company fundamentals.
Collectively, these factors restricted the market's upside.
Q: HOW DID THE FUND OUTPERFORM ITS BENCHMARK?
A: The portfolio's financial holdings were large contributors to relative
performance, as these companies advanced due to an improved economic outlook
and increased merger activity. Shares of Greenpoint Financial rose after
North Fork Bancorporation announced a $6.3 billion acquisition of the
company. United States Steel Corp. was another bright spot over the year. The
company benefited from increased demand as well as a surge in steel prices.
In contrast, stock selection in the portfolio's Energy and Consumer Staples
sectors hindered relative performance.
Q: HOW WAS THE FUND MANAGED?
A: Keeping to our discipline, the Fund continued to focus on overweighting
companies within each sector of the market that were deemed to be
attractively priced relative to expectations. Style characteristics and
sector weightings were kept in line with the S&P 500 so as to minimize
volatility relative to index and to ensure that stock selection was the main
driver of returns.
6
<Page>
(Unaudited)
[CHART]
PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS
<Table>
Consumer Goods & Services 22.3%
Finance & Insurance 19.8%
Technology 16.7%
Industrial Products & Services 14.3%
Pharmaceuticals 9.2%
Energy 7.4%
Telecommuncations 3.6%
Health Services & Systems 3.2%
Utilities 2.9%
REITs 0.4%
Short-Term Investments 0.2%
</Table>
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO
<Table>
1. General Electric Co. 3.7%
2. Citigroup, Inc. 3.2%
3. Microsoft Corp. 3.1%
4. Pfizer, Inc. 2.2%
5. Exxon Mobil Corp. 2.1%
6. Johnson & Johnson 2.0%
7. Procter & Gamble Co. 1.9%
8. The Coca-Cola Co. 1.8%
9. Bank of America Corp. 1.7%
10. Wal-Mart Stores, Inc. 1.7%
</Table>
Top 10 equity holdings comprised 23.4% of the Portfolio's market value of
investment ($47,075 in thousands). As of October 31, 2004 the Fund held 204
equity holdings. Portfolio holdings are subject to change at any time.
7
<Page>
AVERAGE ANNUAL TOTAL RETURNS AS OF OCTOBER 31, 2004
<Table>
<Caption>
SINCE
INCEPTION
1 YEAR 3 YEARS 5 YEARS (1/30/97)
--------------------------------------------------
INSTITUTIONAL SHARES 10.40% 3.42% (2.43%) 6.61%
</Table>
[CHART]
LIFE OF FUND PERFORMANCE (1/30/97 TO 10/31/04)
<Table>
<Caption>
JPMORGAN TAX AWARE DISCIPLINED LIPPER LARGE-CAP
EQUITY FUND (INSTITUTIONAL SHARES) S&P 500 INDEX CORE FUNDS INDEX
1/30/97 $ 3,000,000 $ 3,000,000 $ 3,000,000
1/31/97 $ 3,009,000 $ 3,000,000 $ 3,000,000
2/28/97 $ 3,036,081 $ 3,023,400 $ 2,996,400
3/31/97 $ 2,900,975 $ 2,899,138 $ 2,868,154
4/30/97 $ 3,075,034 $ 3,072,217 $ 3,027,050
5/31/97 $ 3,302,894 $ 3,259,315 $ 3,210,792
6/30/97 $ 3,458,791 $ 3,405,332 $ 3,350,140
7/31/97 $ 3,758,668 $ 3,676,397 $ 3,614,801
8/31/97 $ 3,569,607 $ 3,470,518 $ 3,430,808
9/30/97 $ 3,752,728 $ 3,660,703 $ 3,607,494
10/31/97 $ 3,623,634 $ 3,538,435 $ 3,496,384
11/30/97 $ 3,779,450 $ 3,702,265 $ 3,610,715
12/31/97 $ 3,844,456 $ 3,765,944 $ 3,676,430
1/31/98 $ 3,895,972 $ 3,807,746 $ 3,712,827
2/28/98 $ 4,179,989 $ 4,082,284 $ 3,976,066
3/31/98 $ 4,394,422 $ 4,291,297 $ 4,172,882
4/30/98 $ 4,463,854 $ 4,334,639 $ 4,215,028
5/31/98 $ 4,421,447 $ 4,260,084 $ 4,142,951
6/30/98 $ 4,581,946 $ 4,433,043 $ 4,339,741
7/31/98 $ 4,539,334 $ 4,386,053 $ 4,304,589
8/31/98 $ 3,857,526 $ 3,751,829 $ 3,660,192
9/30/98 $ 4,120,995 $ 3,992,322 $ 3,842,104
10/31/98 $ 4,466,334 $ 4,316,897 $ 4,130,261
11/30/98 $ 4,794,163 $ 4,578,501 $ 4,376,012
12/31/98 $ 5,067,430 $ 4,842,223 $ 4,666,579
1/31/99 $ 5,235,162 $ 5,044,628 $ 4,829,909
2/28/99 $ 5,077,060 $ 4,887,740 $ 4,680,665
3/31/99 $ 5,281,158 $ 5,083,250 $ 4,868,828
4/30/99 $ 5,552,082 $ 5,279,971 $ 4,999,313
5/31/99 $ 5,445,482 $ 5,155,364 $ 4,866,831
6/30/99 $ 5,753,696 $ 5,441,487 $ 5,138,400
7/31/99 $ 5,561,522 $ 5,271,712 $ 4,987,845
8/31/99 $ 5,494,228 $ 5,245,354 $ 4,936,969
9/30/99 $ 5,307,974 $ 5,101,631 $ 4,803,177
10/31/99 $ 5,570,718 $ 5,424,564 $ 5,097,612
11/30/99 $ 5,677,676 $ 5,534,683 $ 5,222,503
12/31/99 $ 5,949,069 $ 5,860,676 $ 5,569,800
1/31/2000 $ 5,651,021 $ 5,566,470 $ 5,344,780
2/29/2000 $ 5,528,394 $ 5,461,264 $ 5,343,176
3/31/2000 $ 6,077,916 $ 5,995,375 $ 5,807,498
4/30/2000 $ 5,844,524 $ 5,814,915 $ 5,617,593
5/31/2000 $ 5,734,062 $ 5,695,709 $ 5,474,345
6/30/2000 $ 5,872,253 $ 5,835,823 $ 5,674,706
7/31/2000 $ 5,780,059 $ 5,744,784 $ 5,586,180
8/31/2000 $ 6,152,873 $ 6,101,535 $ 5,971,627
9/30/2000 $ 5,838,461 $ 5,779,374 $ 5,653,936
10/31/2000 $ 5,823,281 $ 5,755,101 $ 5,588,350
11/30/2000 $ 5,372,559 $ 5,301,599 $ 5,096,576
12/31/2000 $ 5,409,630 $ 5,327,577 $ 5,158,754
1/31/2001 $ 5,647,653 $ 5,516,706 $ 5,304,746
2/28/2001 $ 5,124,681 $ 5,013,582 $ 4,810,875
3/31/2001 $ 4,799,776 $ 4,695,721 $ 4,515,487
4/30/2001 $ 5,205,357 $ 5,060,579 $ 4,858,664
5/31/2001 $ 5,261,054 $ 5,094,485 $ 4,885,872
6/30/2001 $ 5,140,050 $ 4,970,689 $ 4,755,908
7/31/2001 $ 5,103,042 $ 4,921,976 $ 4,686,948
8/31/2001 $ 4,792,777 $ 4,613,860 $ 4,410,886
9/30/2001 $ 4,368,137 $ 4,241,522 $ 4,076,100
10/31/2001 $ 4,452,005 $ 4,322,535 $ 4,172,296
11/30/2001 $ 4,805,494 $ 4,654,073 $ 4,445,581
12/31/2001 $ 4,842,497 $ 4,695,029 $ 4,495,816
1/31/2002 $ 4,733,540 $ 4,626,482 $ 4,424,783
2/28/2002 $ 4,636,976 $ 4,537,190 $ 4,350,446
3/31/2002 $ 4,801,589 $ 4,707,789 $ 4,498,361
4/30/2002 $ 4,492,366 $ 4,422,497 $ 4,263,097
5/31/2002 $ 4,451,935 $ 4,389,770 $ 4,231,976
6/30/2002 $ 4,124,273 $ 4,077,219 $ 3,939,547
7/31/2002 $ 3,801,755 $ 3,759,196 $ 3,646,839
8/31/2002 $ 3,836,351 $ 3,784,006 $ 3,676,743
9/30/2002 $ 3,409,748 $ 3,372,685 $ 3,319,731
10/31/2002 $ 3,689,348 $ 3,669,481 $ 3,577,674
11/30/2002 $ 3,906,281 $ 3,885,614 $ 3,737,596
12/31/2002 $ 3,671,514 $ 3,657,528 $ 3,540,625
1/31/2003 $ 3,573,852 $ 3,561,701 $ 3,447,860
2/28/2003 $ 3,520,244 $ 3,508,275 $ 3,402,004
3/31/2003 $ 3,557,558 $ 3,542,306 $ 3,430,581
4/30/2003 $ 3,851,769 $ 3,834,192 $ 3,683,414
5/31/2003 $ 4,060,534 $ 4,036,253 $ 3,862,060
6/30/2003 $ 4,104,794 $ 4,087,917 $ 3,900,294
7/31/2003 $ 4,155,694 $ 4,159,865 $ 3,961,919
8/31/2003 $ 4,231,743 $ 4,240,982 $ 4,038,384
9/30/2003 $ 4,199,582 $ 4,196,028 $ 3,986,289
10/31/2003 $ 4,460,376 $ 4,433,523 $ 4,181,219
11/30/2003 $ 4,514,346 $ 4,472,538 $ 4,216,341
12/31/2003 $ 4,768,955 $ 4,706,899 $ 4,419,147
1/31/2004 $ 4,848,597 $ 4,793,035 $ 4,481,457
2/29/2004 $ 4,928,599 $ 4,859,658 $ 4,534,338
3/31/2004 $ 4,861,077 $ 4,786,278 $ 4,463,149
4/30/2004 $ 4,765,314 $ 4,711,133 $ 4,393,970
5/31/2004 $ 4,835,840 $ 4,775,676 $ 4,438,789
6/30/2004 $ 4,925,787 $ 4,868,324 $ 4,518,243
7/31/2004 $ 4,778,013 $ 4,707,182 $ 4,358,297
8/31/2004 $ 4,806,681 $ 4,726,011 $ 4,360,912
9/30/2004 $ 4,863,400 $ 4,777,052 $ 4,411,062
10/31/2004 $ 4,925,427 $ 4,850,141 $ 4,470,612
</Table>
SOURCE: LIPPER, INC. THE QUOTED PERFORMANCE IS PAST PERFORMANCE AND NOT
INDICATIVE 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 PROSPECTUS WHICH INCLUDES INFORMATION
ON THE FUND'S INVESTMENT OBJECTIVES, RISK, AS WELL AS CHARGES AND EXPENSES ALONG
WITH OTHER INFORMATION. INVESTORS SHOULD REVIEW THE INFORMATION IN THE
PROSPECTUS CAREFULLY BEFORE INVESTING. FOR UP TO DATE MONTH-END PERFORMANCE
INFORMATION, OR TO RECEIVE A FUND PROSPECTUS PLEASE CALL 800 348-4782. PLEASE
READ CAREFULLY BEFORE INVESTING OR SENDING MONEY.
The Fund commenced operations on 1/30/97.
The graph illustrates comparative performance for $3,000,000 invested in
Institutional Shares of the JPMorgan Tax Aware Disciplined Equity Fund, S&P 500
Index, and the Lipper Large-Cap Core Funds Index from January 30, 1997 to
October 31, 2004. The performance of the Fund assumes reinvestment of all
dividends and capital gains and does not include a sales charge. The performance
of the indices reflects an initial investment at the end of the month following
the Fund's inception. The performance of the indices does not include a sales
charge and has been adjusted to reflect reinvestment of all dividends and
capital gains of the securities included in the benchmark. The S&P 500 Index is
a broad-based index that replicates the U.S. stock market. The Lipper Large-Cap
Core Funds Index represents the total returns of the funds in the indicated
category, as defined by Lipper, Inc. Investors cannot invest directly in an
index.
Institutional Shares have a $3,000,000 minimum initial deposit and carry no
sales charge.
Certain fees and expenses of the Fund are currently being waived and reimbursed
as described in the prospectus. Had the expenses not been subsidized or waived,
returns would have been lower. Also all performance shown in this section does
not reflect the deduction of taxes that a shareholder would pay on fund
distributions or redemption of fund shares.
8
<Page>
JPMORGAN TAX AWARE ENHANCED INCOME FUND
AS OF OCTOBER 31, 2004 (Unaudited)
FUND FACTS
Fund Inception 4/16/99
Fiscal Year End OCTOBER 31
Net Assets as of 10/31/2004
(In Millions) $1,122.0
Primary Benchmark MERRILL LYNCH
3-MONTH U.S.
TREASURY BILL INDEX
Q: HOW DID THE FUND PERFORM?
A: JPMorgan Tax Aware Enhanced Income Fund, which seeks to provide high
after-tax current income consistent with principal preservation, returned
0.9% (Institutional Shares) for the year ended October 31, 2004. This
compares to the 1.2% return from the Fund's benchmark index, the Merrill
Lynch 3-Month U.S. Treasury Bill Index.
Q: WHY DID THE FUND PERFORM THIS WAY?
A: The Fund's performance was hurt by its sensitivity to the rapid increase in
interest rates. Our duration positioning, which was longer than the
benchmark, detracted as investors considered the strengthening economy, and
as interest rates rose. Contrary to our expectations, the March employment
report showed strong job growth as well as higher estimates for January and
February.
A positive for performance was our tactical allocation to municipal
securities as these issues outperformed Treasuries. The Fund also benefited
from our allocation to general obligation California credits. At the
beginning of the period, California issues suffered in response to budget and
gubernatorial uncertainties. However, they rallied strongly after the
election, action on the budget, and an improving regional economy.
Q: HOW WAS THE FUND MANAGED?
A: Municipals performed well for most of the period. Over the last year, the
ratio (the difference in prices) between two-year municipal and taxable
securities was volatile -- reaching a high of 83% and a low of 67%, for an
average of 76%. Municipalities issued fewer bonds because of rising rates and
an increase in revenues over the same period last year.
We began the period with an 84% allocation to municipals, whittling it down
to 76% as yields fell, and investing the proceeds in corporate bonds and
asset-backed securities. We increased our position when yields rose, and
ended the period at 85%. We maintained an extended duration position (making
the portfolio more sensitive to changes in interest rates) because we
believed that economic growth was spurred by tax cuts and mortgage
refinancing and would not translate into job creation.
[CHART]
PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS
<Table>
State and Municipal Obligations 81.7%
Money Market Fund 10.3%
Asset Backed Securities 3.3%
Corporate Notes and Bonds 3.2%
Residential Mortgage Backed Securities 1.1%
Other (Less than 1%) 0.4%
</Table>
9
<Page>
AVERAGE ANNUAL TOTAL RETURNS AS OF OCTOBER 31, 2004
<Table>
<Caption>
SINCE
INCEPTION
1 YEAR 3 YEARS 5 YEARS (4/16/99)
----------------------------------------------------------
CLASS A SHARES
Without Sales Charge 0.47% 1.03% 2.55% 2.57%
With Sales Charge* (1.00%) 0.54% 2.25% 2.29%
----------------------------------------------------------
INSTITUTIONAL SHARES 0.88% 1.54% 2.94% 2.94%
----------------------------------------------------------
SELECT SHARES 0.63% 1.28% 2.71% 2.70%
</Table>
* Sales Charge for Class A Shares is 1.50%.
[CHART]
LIFE OF FUND PERFORMANCE (4/16/99 TO 10/31/04)
<Table>
<Caption>
JPMORGAN TAX AWARE ENHANCED MERRIL LYNCH 3-MONTH LIPPER SHORT-INTERMEDIATE
INCOME FUND (INSTITUTIONAL SHARES) US T-BILL INDEX INVESTMENT GRADE FUNDS INDEX
4/16/99 $ 3,000,000 $ 3,000,000 $ 3,000,000
4/30/99 $ 3,003,000 $ 3,000,000 $ 3,000,000
5/31/99 $ 3,011,408 $ 3,011,700 $ 2,982,300
6/30/99 $ 3,005,386 $ 3,024,349 $ 2,983,493
7/31/99 $ 3,015,604 $ 3,036,749 $ 2,980,211
8/31/99 $ 3,025,857 $ 3,048,896 $ 2,983,787
9/30/99 $ 3,036,145 $ 3,062,616 $ 3,010,641
10/31/99 $ 3,046,771 $ 3,074,560 $ 3,016,964
11/30/99 $ 3,056,826 $ 3,086,858 $ 3,023,299
12/31/99 $ 3,068,136 $ 3,100,749 $ 3,018,764
1/31/2000 $ 3,063,841 $ 3,114,083 $ 3,010,614
2/29/2000 $ 3,074,564 $ 3,127,784 $ 3,032,290
3/31/2000 $ 3,101,928 $ 3,144,049 $ 3,058,065
4/30/2000 $ 3,096,344 $ 3,158,826 $ 3,054,395
5/31/2000 $ 3,107,801 $ 3,178,095 $ 3,060,504
6/30/2000 $ 3,134,528 $ 3,191,761 $ 3,107,329
7/31/2000 $ 3,146,752 $ 3,206,124 $ 3,127,838
8/31/2000 $ 3,159,339 $ 3,222,795 $ 3,160,680
9/30/2000 $ 3,171,977 $ 3,239,876 $ 3,189,442
10/31/2000 $ 3,185,299 $ 3,256,724 $ 3,197,735
11/30/2000 $ 3,197,722 $ 3,274,636 $ 3,234,829
12/31/2000 $ 3,226,821 $ 3,292,646 $ 3,283,675
1/31/2001 $ 3,239,406 $ 3,314,378 $ 3,331,616
2/28/2001 $ 3,250,420 $ 3,326,972 $ 3,361,268
3/31/2001 $ 3,278,373 $ 3,342,276 $ 3,384,460
4/30/2001 $ 3,273,128 $ 3,356,982 $ 3,380,399
5/31/2001 $ 3,300,622 $ 3,370,074 $ 3,398,653
6/30/2001 $ 3,311,184 $ 3,379,848 $ 3,411,228
7/31/2001 $ 3,321,449 $ 3,391,001 $ 3,473,312
8/31/2001 $ 3,341,045 $ 3,401,852 $ 3,501,794
9/30/2001 $ 3,353,073 $ 3,416,140 $ 3,544,165
10/31/2001 $ 3,364,809 $ 3,425,022 $ 3,589,885
11/30/2001 $ 3,365,145 $ 3,432,557 $ 3,555,422
12/31/2001 $ 3,370,866 $ 3,438,049 $ 3,540,489
1/31/2002 $ 3,387,720 $ 3,443,206 $ 3,557,130
2/28/2002 $ 3,396,867 $ 3,447,683 $ 3,583,097
3/31/2002 $ 3,396,528 $ 3,452,854 $ 3,538,666
4/30/2002 $ 3,412,831 $ 3,458,379 $ 3,582,546
5/31/2002 $ 3,418,974 $ 3,463,912 $ 3,610,848
6/30/2002 $ 3,421,367 $ 3,468,761 $ 3,622,042
7/31/2002 $ 3,424,446 $ 3,473,965 $ 3,646,309
8/31/2002 $ 3,426,844 $ 3,478,828 $ 3,688,242
9/30/2002 $ 3,432,327 $ 3,484,394 $ 3,737,664
10/31/2002 $ 3,431,640 $ 3,489,621 $ 3,728,320
11/30/2002 $ 3,441,249 $ 3,495,204 $ 3,728,320
12/31/2002 $ 3,447,099 $ 3,499,399 $ 3,793,193
1/31/2003 $ 3,459,853 $ 3,502,898 $ 3,795,469
2/28/2003 $ 3,465,043 $ 3,506,051 $ 3,840,255
3/31/2003 $ 3,471,280 $ 3,510,258 $ 3,844,864
4/30/2003 $ 3,477,528 $ 3,513,417 $ 3,869,855
5/31/2003 $ 3,483,788 $ 3,516,930 $ 3,933,321
6/30/2003 $ 3,486,226 $ 3,521,854 $ 3,931,748
7/31/2003 $ 3,474,025 $ 3,524,319 $ 3,843,283
8/31/2003 $ 3,478,888 $ 3,527,139 $ 3,852,123
9/30/2003 $ 3,493,847 $ 3,530,666 $ 3,933,403
10/31/2003 $ 3,491,052 $ 3,533,491 $ 3,903,902
11/30/2003 $ 3,491,751 $ 3,536,317 $ 3,907,806
12/31/2003 $ 3,496,290 $ 3,539,854 $ 3,938,678
1/31/2004 $ 3,500,835 $ 3,542,686 $ 3,959,946
2/29/2004 $ 3,508,537 $ 3,545,165 $ 3,991,230
3/31/2004 $ 3,506,081 $ 3,548,002 $ 4,018,370
4/30/2004 $ 3,503,627 $ 3,550,840 $ 3,945,638
5/31/2004 $ 3,497,670 $ 3,554,036 $ 3,930,644
6/30/2004 $ 3,502,217 $ 3,556,524 $ 3,940,471
7/31/2004 $ 3,507,121 $ 3,560,791 $ 3,966,872
8/31/2004 $ 3,512,031 $ 3,565,064 $ 4,017,251
9/30/2004 $ 3,516,947 $ 3,569,699 $ 4,022,072
10/31/2004 $ 3,522,741 $ 3,574,340 $ 4,043,791
</Table>
SOURCE: LIPPER, INC. THE QUOTED PERFORMANCE IS PAST PERFORMANCE AND NOT
INDICATIVE OF FUTURE RESULTS. INVESTMENT RETURNS WILL FLUCTUATE SO THAT AN
INVESTOR'S SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL
COST. PLEASE NOTE, CURRENT PERFORMANCE MAY BE HIGHER OR LOWER THAN THE
PERFORMANCE DATA SHOWN.
INVESTORS SHOULD CAREFULLY READ THE FUND PROSPECTUS WHICH INCLUDES INFORMATION
ON THE FUND'S INVESTMENT OBJECTIVES, RISK, AS WELL AS CHARGES AND EXPENSES ALONG
WITH OTHER INFORMATION. INVESTORS SHOULD REVIEW THE INFORMATION IN THE
PROSPECTUS CAREFULLY BEFORE INVESTING. FOR UP TO DATE MONTH-END PERFORMANCE
INFORMATION, OR TO RECEIVE A FUND PROSPECTUS PLEASE CALL 800 348-4782. PLEASE
READ CAREFULLY BEFORE INVESTING OR SENDING MONEY.
The Fund commenced operations on 4/16/99.
Returns for the Select Shares prior to 5/6/99 (offering date of the Select
Shares) are calculated using the historical expenses of the Institutional
Shares, which are lower than the expenses of the Select Shares.
Returns for the Class A Shares prior to 11/30/01 (offering date of the Class A
Shares) are calculated using the historical expenses of the Select Shares, which
are lower than the expenses of the Class A Shares.
The graph illustrates comparative performance for $3,000,000 invested in
Institutional Shares of the JPMorgan Tax Aware Enhanced Income Fund, Merrill
Lynch 3-Month U.S. Treasury Bill Index, and Lipper Short-Intermediate Investment
Grade Funds Index from April 16, 1999 to October 31, 2004. The performance of
the Fund assumes reinvestment of all dividends and capital gains and does not
include a sales charge. The performance of the indices reflects an initial
investment at the end of the month following the Fund's inception. The
performance of the indices does not include a sales charge and has been adjusted
to reflect reinvestment of all dividends and capital gains of the securities
included in the benchmark. The Merrill Lynch 3-Month U.S. Treasury Bill Index is
an unmanaged index that tracks the performance of the 3-Month U.S. Treasury
Market. The Lipper Short-Intermediate Investment Grade Funds Index represents
the total returns of the funds in the indicated category, as defined by Lipper,
Inc. Investors cannot invest directly in an index.
Institutional Shares have a $3,000,000 minimum initial deposit and carry no
sales charge.
Certain fees and expenses of the Fund are currently being waived and reimbursed
as described in the prospectus. Had the expenses not been subsidized or waived,
returns would have been lower. Also all performance shown in this section does
not reflect the deduction of taxes that a shareholder would pay on fund
distributions or redemption of fund shares.
10
<Page>
JPMORGAN TAX AWARE LARGE CAP GROWTH FUND
AS OF OCTOBER 31, 2004 (Unaudited)
FUND FACTS
Fund Inception 1/1/97
Fiscal Year End OCTOBER 31
Net Assets as of 10/31/2004
(In Millions) $199.0
Primary Benchmark RUSSELL 1000(R)
GROWTH INDEX
Q: HOW DID THE FUND PERFORM?
A: JPMorgan Tax Aware Large Cap Growth Fund, which seeks long-term capital
growth while minimizing taxable capital gain distributions from a portfolio
of large cap equity securities, returned -0.2% for the year ended October 31,
2004, which compares with the 3.4% return of the Russell 1000(R) Growth
Index over the same period.
Q: WHY DID THE FUND PERFORM THIS WAY?
A: The Fund lagged the Russell 1000 Growth Index as solid stock picking within
the Software & Services, Network Technology and Industrial Cyclicals sectors
was offset by difficulties within the Pharmaceutical/Medical Technology,
Health Services & Systems and Consumer Cyclicals sectors.
In Pharmaceuticals, Forest Labs declined after announcing a disappointment in
clinical studies for its Alzheimer's treatment. We continue to believe that
the company can be successful with its existing drug pipeline. Omnicare, a
provider of pharmacy services to long-term care institutions, fell on
disappointing earnings and declining margins. We eliminated this position
owing to our reduced expectations for the company's growth rate and future
profitability. Apollo Group, which offers higher education to working adults
through numerous campuses and learning facilities, lagged the consumer
cyclicals sector on concerns of a slowdown in enrollment growth, which
occurred amidst a buyback of its on-line tracking stock. Apollo Group remains
one of the largest overweights in the Fund based on our thesis of continued
strong enrollment growth and improving margins in 2005.
At the stock level, an overweight position in Sepracor spurred results as the
company received an approval from the Federal Drug Administration for its new
insomnia drug, Estorra. Altera outperformed its Semiconductor peers by nearly
30% for the year as the company's programmable logic technology continued to
take share within the industry. Yahoo's stock rose by more than 65% over the
last 12 months as operating momentum at the company remained strong on the
back of significant growth in both sponsored search and display advertising.
A position in Google also added value as the stock was purchased on the IPO
market and has continued to garner investor support. Juniper leapt nearly 48%
as the company continued to take share within the Network Technology space.
Q: HOW WAS THE FUND MANAGED?
A: The Fund continued to be managed with a focus on companies with strong
business models, high returns on capital and free cash flow, leadership
positions in their industries, and quality earnings and/or cash flow growth
above 12%.
11
<Page>
[CHART]
PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS
<Table>
Technology 32.7%
Consumer Goods & Services 25.8%
Pharmaceuticals 15.2%
Finance & Insurance 7.7%
Industrial Products & Services 6.3%
Health Services & Systems 5.9%
Telecommunications 2.7%
Energy 2.5%
Short-Term Investments 1.2%
</Table>
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO
<Table>
1. Microsoft Corp. 4.0%
2. Johnson & Johnson 3.7%
3. Pfizer, Inc. 3.7%
4. Cisco Systems, Inc. 2.9%
5. Home Depot, Inc. 2.9%
6. Procter & Gamble Co. 2.7%
7. Dell, Inc. 2.3%
8. Wal-Mart Stores, Inc. 2.2%
9. The Coca-Cola Co. 2.2%
10. Intel Corp. 2.1%
</Table>
Top 10 equity holdings comprised 28.7% of the Portfolio's market value of
investments ($57,317 in thousands). As of October 31, 2004 the Fund held 99
equity holdings. Portfolio holdings are subject to change at any time.
12
<Page>
(Unaudited)
AVERAGE ANNUAL TOTAL RETURNS AS OF OCTOBER 31, 2004
<Table>
<Caption>
1 YEAR 3 YEARS 5 YEARS 10 YEARS
----------------------------------------------------------------
SELECT SHARES (0.21%) (3.06%) (9.65%) 7.60%
</Table>
[CHART]
TEN-YEAR FUND PERFORMANCE (10/31/94 TO 10/31/04)
<Table>
<Caption>
JPMORGAN TAX AWARE RUSSELL 1000 LIPPER LARGE CAP GROWTH
LARGE CAP GROWTH FUND GROWTH INDEX FUNDS INDEX
10/31/94 $ 1,000,000 $ 1,000,000 $ 1,000,000
11/30/94 $ 978,100 $ 968,000 $ 963,100
12/31/94 $ 1,002,063 $ 984,262 $ 970,612
1/31/95 $ 1,025,412 $ 1,005,227 $ 978,183
2/28/95 $ 1,071,965 $ 1,047,346 $ 1,011,832
3/31/95 $ 1,100,265 $ 1,077,929 $ 1,040,568
4/30/95 $ 1,116,439 $ 1,101,535 $ 1,068,976
5/31/95 $ 1,146,360 $ 1,139,979 $ 1,104,359
6/30/95 $ 1,182,241 $ 1,183,982 $ 1,160,792
7/31/95 $ 1,215,816 $ 1,233,236 $ 1,223,939
8/31/95 $ 1,230,892 $ 1,234,592 $ 1,230,793
9/30/95 $ 1,273,604 $ 1,291,507 $ 1,276,455
10/31/95 $ 1,261,760 $ 1,292,411 $ 1,269,180
11/30/95 $ 1,331,535 $ 1,342,686 $ 1,309,159
12/31/95 $ 1,334,731 $ 1,350,339 $ 1,309,682
1/31/96 $ 1,358,089 $ 1,395,576 $ 1,348,187
2/29/96 $ 1,378,324 $ 1,421,115 $ 1,378,521
3/31/96 $ 1,386,594 $ 1,422,962 $ 1,379,211
4/30/96 $ 1,401,569 $ 1,460,386 $ 1,412,036
5/31/96 $ 1,418,388 $ 1,511,353 $ 1,453,691
6/30/96 $ 1,422,501 $ 1,513,469 $ 1,440,608
7/31/96 $ 1,332,742 $ 1,424,780 $ 1,363,535
8/31/96 $ 1,363,261 $ 1,461,539 $ 1,404,441
9/30/96 $ 1,439,331 $ 1,567,939 $ 1,502,190
10/31/96 $ 1,452,285 $ 1,577,347 $ 1,520,968
11/30/96 $ 1,571,663 $ 1,695,806 $ 1,619,374
12/31/96 $ 1,527,657 $ 1,662,568 $ 1,579,214
1/31/97 $ 1,564,473 $ 1,779,114 $ 1,679,336
2/28/97 $ 1,547,264 $ 1,767,016 $ 1,655,154
3/31/97 $ 1,491,872 $ 1,671,420 $ 1,570,410
4/30/97 $ 1,593,916 $ 1,782,403 $ 1,656,625
5/31/97 $ 1,714,257 $ 1,911,092 $ 1,769,110
6/30/97 $ 1,798,427 $ 1,987,536 $ 1,843,236
7/31/97 $ 1,977,730 $ 2,163,234 $ 2,019,449
8/31/97 $ 1,873,108 $ 2,036,685 $ 1,909,389
9/30/97 $ 1,965,639 $ 2,136,890 $ 2,014,787
10/31/97 $ 1,914,336 $ 2,057,825 $ 1,944,874
11/30/97 $ 1,984,018 $ 2,145,283 $ 1,988,050
12/31/97 $ 2,029,650 $ 2,169,310 $ 2,015,088
1/31/98 $ 2,059,080 $ 2,234,172 $ 2,050,755
2/28/98 $ 2,232,867 $ 2,402,182 $ 2,207,433
3/31/98 $ 2,327,987 $ 2,498,029 $ 2,310,078
4/30/98 $ 2,398,292 $ 2,532,502 $ 2,348,888
5/31/98 $ 2,329,701 $ 2,460,579 $ 2,296,272
6/30/98 $ 2,470,182 $ 2,611,412 $ 2,427,619
7/31/98 $ 2,443,998 $ 2,594,177 $ 2,426,405
8/31/98 $ 2,097,195 $ 2,204,791 $ 2,030,173
9/30/98 $ 2,269,584 $ 2,374,119 $ 2,177,767
10/31/98 $ 2,471,804 $ 2,564,998 $ 2,318,233
11/30/98 $ 2,623,078 $ 2,760,194 $ 2,477,496
12/31/98 $ 2,858,893 $ 3,009,164 $ 2,750,020
1/31/99 $ 3,063,304 $ 3,185,802 $ 2,928,496
2/28/99 $ 2,957,620 $ 3,040,210 $ 2,808,135
3/31/99 $ 3,146,020 $ 3,200,430 $ 2,967,637
4/30/99 $ 3,191,638 $ 3,204,590 $ 2,977,727
5/31/99 $ 3,090,782 $ 3,106,209 $ 2,879,165
6/30/99 $ 3,321,354 $ 3,323,644 $ 3,079,266
7/31/99 $ 3,258,581 $ 3,217,952 $ 2,982,578
8/31/99 $ 3,308,763 $ 3,270,405 $ 2,983,174
9/30/99 $ 3,285,601 $ 3,201,726 $ 2,953,044
10/31/99 $ 3,455,467 $ 3,443,456 $ 3,179,542
11/30/99 $ 3,590,921 $ 3,629,059 $ 3,336,612
12/31/99 $ 3,926,313 $ 4,006,481 $ 3,707,309
1/31/2000 $ 3,728,427 $ 3,818,577 $ 3,558,646
2/29/2000 $ 3,946,167 $ 4,005,305 $ 3,745,831
3/31/2000 $ 4,167,942 $ 4,292,085 $ 4,008,788
4/30/2000 $ 3,953,293 $ 4,087,782 $ 3,698,508
5/31/2000 $ 3,620,030 $ 3,881,758 $ 3,485,474
6/30/2000 $ 3,955,969 $ 4,175,995 $ 3,715,864
7/31/2000 $ 3,839,664 $ 4,001,856 $ 3,640,432
8/31/2000 $ 4,118,807 $ 4,364,024 $ 3,955,329
9/30/2000 $ 3,604,368 $ 3,951,187 $ 3,653,538
10/31/2000 $ 3,424,150 $ 3,764,296 $ 3,460,266
11/30/2000 $ 3,019,073 $ 3,209,439 $ 2,995,898
12/31/2000 $ 2,955,974 $ 3,108,021 $ 2,977,323
1/31/2001 $ 3,104,069 $ 3,322,785 $ 3,063,963
2/28/2001 $ 2,679,122 $ 2,758,576 $ 2,589,662
3/31/2001 $ 2,428,356 $ 2,458,443 $ 2,320,596
4/30/2001 $ 2,716,359 $ 2,769,436 $ 2,569,828
5/31/2001 $ 2,681,046 $ 2,728,725 $ 2,550,297
6/30/2001 $ 2,643,243 $ 2,665,419 $ 2,476,849
7/31/2001 $ 2,601,216 $ 2,598,783 $ 2,388,178
8/31/2001 $ 2,410,807 $ 2,386,203 $ 2,206,676
9/30/2001 $ 2,166,351 $ 2,148,060 $ 1,984,684
10/31/2001 $ 2,283,984 $ 2,260,833 $ 2,067,049
11/30/2001 $ 2,431,529 $ 2,478,099 $ 2,256,391
12/31/2001 $ 2,437,122 $ 2,473,391 $ 2,266,770
1/31/2002 $ 2,414,944 $ 2,429,612 $ 2,215,541
2/28/2002 $ 2,345,877 $ 2,328,783 $ 2,123,818
3/31/2002 $ 2,388,571 $ 2,409,359 $ 2,209,195
4/30/2002 $ 2,171,211 $ 2,212,755 $ 2,062,063
5/31/2002 $ 2,135,386 $ 2,159,206 $ 2,024,533
6/30/2002 $ 1,936,796 $ 1,959,480 $ 1,859,736
7/31/2002 $ 1,846,347 $ 1,851,708 $ 1,719,698
8/31/2002 $ 1,863,888 $ 1,857,263 $ 1,729,156
9/30/2002 $ 1,659,605 $ 1,664,665 $ 1,561,601
10/31/2002 $ 1,831,707 $ 1,817,315 $ 1,681,844
11/30/2002 $ 1,925,856 $ 1,915,995 $ 1,751,473
12/31/2002 $ 1,778,336 $ 1,783,600 $ 1,629,395
1/31/2003 $ 1,730,498 $ 1,740,258 $ 1,591,756
2/28/2003 $ 1,726,345 $ 1,732,253 $ 1,574,724
3/31/2003 $ 1,770,540 $ 1,764,473 $ 1,604,329
4/30/2003 $ 1,898,727 $ 1,894,868 $ 1,721,766
5/31/2003 $ 1,966,321 $ 1,989,422 $ 1,806,132
6/30/2003 $ 1,976,153 $ 2,016,876 $ 1,821,123
7/31/2003 $ 2,012,712 $ 2,067,096 $ 1,873,936
8/31/2003 $ 2,029,619 $ 2,118,567 $ 1,920,035
9/30/2003 $ 2,003,437 $ 2,095,898 $ 1,879,138
10/31/2003 $ 2,085,177 $ 2,213,687 $ 1,993,202
11/30/2003 $ 2,089,347 $ 2,236,931 $ 2,012,137
12/31/2003 $ 2,156,206 $ 2,314,329 $ 2,068,879
1/31/2004 $ 2,167,418 $ 2,361,541 $ 2,108,602
2/29/2004 $ 2,180,206 $ 2,376,655 $ 2,117,669
3/31/2004 $ 2,158,404 $ 2,332,687 $ 2,093,951
4/30/2004 $ 2,116,099 $ 2,305,628 $ 2,047,046
5/31/2004 $ 2,166,886 $ 2,348,512 $ 2,084,098
6/30/2004 $ 2,195,055 $ 2,377,869 $ 2,113,901
7/31/2004 $ 2,039,865 $ 2,243,519 $ 1,988,969
8/31/2004 $ 2,027,218 $ 2,232,526 $ 1,974,847
9/30/2004 $ 2,048,301 $ 2,253,735 $ 2,021,059
10/31/2004 $ 2,080,053 $ 2,288,893 $ 2,045,514
</Table>
SOURCE: LIPPER, INC. THE QUOTED PERFORMANCE IS PAST PERFORMANCE AND NOT
INDICATIVE 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 PROSPECTUS WHICH INCLUDES INFORMATION
ON THE FUND'S INVESTMENT OBJECTIVES, RISK, AS WELL AS CHARGES AND EXPENSES ALONG
WITH OTHER INFORMATION. INVESTORS SHOULD REVIEW THE INFORMATION IN THE
PROSPECTUS CAREFULLY BEFORE INVESTING. FOR UP TO DATE MONTH-END PERFORMANCE
INFORMATION, OR TO RECEIVE A FUND PROSPECTUS PLEASE CALL 800 348-4782. PLEASE
READ CAREFULLY BEFORE INVESTING OR SENDING MONEY.
The Fund commenced operations on 1/1/97.
Returns for the Fund prior to 1/1/97 (offering date of the Shares) are
calculated using the historical expenses at the level indicated (absent
reimbursements) in the Expense Summary for the Fund as disclosed in the
Prospectus. The account was not registered with the SEC and was not subject to
investment restrictions of registered mutual funds. If the account had been
registered, performance may have been adversely affected.
The graph illustrates comparative performance for $1,000,000 invested in Select
Shares of the JPMorgan Tax Aware Large Cap Growth Fund, Russell 1000(R) Growth
Index, and Lipper Large Cap Growth Funds Index from October 31, 1994 to October
31, 2004. The performance of the Fund assumes reinvestment of all dividends and
capital gains and does not include a sales charge. The performance of the
indices does not include a sales charge and has been adjusted to reflect
reinvestment of all dividends and capital gains of the securities included in
the benchmark. The Russell 1000(R) Growth Index measures the performance of
those Russell 1000 companies with higher price-to-book ratios and higher
forecasted growth values. The Lipper Large Cap Growth Funds Index represents the
total returns of the funds in the indicated category, as defined by Lipper, Inc.
Investors cannot invest directly in an index.
Select Shares have a $1,000,000 minimum initial deposit and carry no sales
charge.
Certain fees and expenses of the Fund are currently being waived and reimbursed
as described in the prospectus. Had the expenses not been subsidized or waived,
returns would have been lower. Also, all performance shown in this section does
not reflect the deduction of taxes that a shareholder would pay on fund
distributions or redemption of fund shares.
13
<Page>
JPMORGAN TAX AWARE LARGE CAP VALUE FUND
AS OF OCTOBER 31, 2004 (Unaudited)
FUND FACTS
Fund Inception 1/1/97
Fiscal Year End OCTOBER 31
Net Assets as of 10/31/2004
(In Millions) $538.8
Primary Benchmark RUSSELL 1000(R)
VALUE INDEX
Q: HOW DID THE FUND PERFORM?
A: JPMorgan Tax Aware Large Cap Value Fund, which seeks to provide income and
capital appreciation while minimizing taxable capital gain distributions from
a portfolio of large cap equity securities, had a return of 15.1% during the
year ended October 31, 2004. This compares to the 15.5% return from the
Fund's benchmark, the Russell 1000(R) Value Index.
Q: WHY DID THE FUND PERFORM THIS WAY?
A: The Fund participated in the markets' rally and performed in line with its
benchmark in the period, which began with an extension of the equity market
rally that we witnessed in most of 2003. Investors focused their attention on
strong corporate earnings, robust economic growth, and low interest rates.
While economic indicators turned decisively stronger, the upgrade in
prospects for growth brought with it the threat of an early end to the
Federal Reserve's highly accommodative stance. Surging energy prices, the
Fed's uncertain stance, geopolitical tension, slowing company fundamentals,
and the uncertainty surrounding the U.S. presidential election restricted the
market's upside.
The Industrial sector was the largest contributor, as the portfolio's
holdings benefited from an improved economic outlook and lower interest
rates. Amongst the top contributors in the sector was Tyco International Ltd.
Despite the negative media attention Tyco has received, it has been a strong
turnaround story as the company remains focused on long-term improvements in
profit margins, working capital, and free cash flow. With its leaner
operations, Tyco should continue to benefit from an improving economy and a
pickup in industrial markets and non-residential construction.
Despite the strong return generated by the Fund, some sectors did lag their
benchmark peer group in the period. In particular, an underweight position in
the Utilities sector, and stock selection in Financials detracted from the
Fund's relative return.
Q: HOW WAS THE FUND MANAGED?
A: We pursue capital appreciation by buying stocks when they are out-of-favor
and undervalued, and then selling them when they have returned to favor and
achieved their full value. The Fund takes a traditional, disciplined approach
to value investing -- uncovering financially strong stocks that are
attractively priced and have a short-to-intermediate term "catalyst" for
future appreciation. A strong catalyst for appreciation can include a
corporate restructuring or enhanced product line.
14
<Page>
(Unaudited)
[CHART]
PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS
<Table>
Finance & Insurance 28.3%
Consumer Goods & Services 20.7%
Industrial Products & Services 17.4%
Energy 10.9%
Utilities 4.5%
Telecommunications 4.4%
Technology 4.1%
Pharmaceuticals 4.1%
Short-Term Investments 3.2%
Health Services & Systems 1.4%
REITs 1.0%
</Table>
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO
<Table>
1. General Electric Co. 4.8%
2. Citigroup, Inc. 4.5%
3. Exxon Mobil Corp. 4.4%
4. Bank of America Corp. 3.1%
5. Verizon Communications, Inc. 2.8%
6. ConocoPhillips 2.5%
7. Goldman Sachs Group, Inc. 2.5%
8. Tyco International LTD (Bermuda) 2.4%
9. AMBAC Financial Group, Inc. 2.3%
10. Raytheon Co. 2.1%
</Table>
Top 10 equity holdings comprised 31.4% of the Portfolio's market value of
investments ($171,491 in thousands). As of October 31, 2004 the Fund held 59
equity holdings. Portfolio holdings are subject to change at any time.
15
<Page>
AVERAGE ANNUAL TOTAL RETURNS AS OF OCTOBER 31, 2004
<Table>
<Caption>
1 YEAR 3 YEARS 5 YEARS 10 YEARS
-------------------------------------------------------------
SELECT SHARES 15.12% 6.22% 0.03% 8.49%
</Table>
[CHART]
TEN-YEAR FUND PERFORMANCE (10/31/94 TO 10/31/04)
<Table>
<Caption>
JPMORGAN TAX AWARE LARGE CAP
VALUE FUND (SELECT SHARES) RUSSELL 1000 VALUE INDEX LIPPER LARGE CAP VALUE INDEX
10/31/94 $ 1,000,000 $ 1,000,000 $ 1,000,000
11/30/94 $ 956,600 $ 959,600 $ 962,600
12/31/94 $ 964,061 $ 970,635 $ 970,012
1/31/95 $ 967,339 $ 1,000,531 $ 987,375
2/28/95 $ 1,015,610 $ 1,040,052 $ 1,019,169
3/31/95 $ 1,047,601 $ 1,062,829 $ 1,043,221
4/30/95 $ 1,074,734 $ 1,096,414 $ 1,068,258
5/31/95 $ 1,116,864 $ 1,142,574 $ 1,101,054
6/30/95 $ 1,150,593 $ 1,157,998 $ 1,115,698
7/31/95 $ 1,203,520 $ 1,198,297 $ 1,146,268
8/31/95 $ 1,212,306 $ 1,215,193 $ 1,160,367
9/30/95 $ 1,231,582 $ 1,259,183 $ 1,196,455
10/31/95 $ 1,208,428 $ 1,246,717 $ 1,179,465
11/30/95 $ 1,262,445 $ 1,309,925 $ 1,229,120
12/31/95 $ 1,278,225 $ 1,342,804 $ 1,259,480
1/31/96 $ 1,321,813 $ 1,384,700 $ 1,288,322
2/28/96 $ 1,340,318 $ 1,395,224 $ 1,297,727
3/31/96 $ 1,366,186 $ 1,418,942 $ 1,314,078
4/30/96 $ 1,371,514 $ 1,424,334 $ 1,326,167
5/31/96 $ 1,389,344 $ 1,442,138 $ 1,345,795
6/30/96 $ 1,396,985 $ 1,443,292 $ 1,347,813
7/31/96 $ 1,352,841 $ 1,388,736 $ 1,303,740
8/31/96 $ 1,387,067 $ 1,428,454 $ 1,333,204
9/30/96 $ 1,441,024 $ 1,485,306 $ 1,382,266
10/31/96 $ 1,482,382 $ 1,542,787 $ 1,414,888
11/30/96 $ 1,575,327 $ 1,654,639 $ 1,495,678
12/31/96 $ 1,565,718 $ 1,633,460 $ 1,486,106
1/31/97 $ 1,650,423 $ 1,712,683 $ 1,540,497
2/28/97 $ 1,669,898 $ 1,737,859 $ 1,561,756
3/31/97 $ 1,614,290 $ 1,675,296 $ 1,511,155
4/30/97 $ 1,667,723 $ 1,745,659 $ 1,556,187
5/31/97 $ 1,758,781 $ 1,843,241 $ 1,645,824
6/30/97 $ 1,836,343 $ 1,922,316 $ 1,708,036
7/31/97 $ 1,933,486 $ 2,066,874 $ 1,810,860
8/31/97 $ 1,866,587 $ 1,993,294 $ 1,752,912
9/30/97 $ 1,980,076 $ 2,113,689 $ 1,841,785
10/31/97 $ 1,937,900 $ 2,054,717 $ 1,787,821
11/30/97 $ 2,003,014 $ 2,145,535 $ 1,847,176
12/31/97 $ 2,055,292 $ 2,208,185 $ 1,889,846
1/31/98 $ 2,047,688 $ 2,176,829 $ 1,889,090
2/28/98 $ 2,114,852 $ 2,323,329 $ 1,991,101
3/31/98 $ 2,226,304 $ 2,465,517 $ 2,081,298
4/30/98 $ 2,203,151 $ 2,482,036 $ 2,080,257
5/31/98 $ 2,182,001 $ 2,445,302 $ 2,054,670
6/30/98 $ 2,189,201 $ 2,476,602 $ 2,071,313
7/31/98 $ 2,119,147 $ 2,433,013 $ 2,017,873
8/31/98 $ 1,839,843 $ 2,070,981 $ 1,774,517
9/30/98 $ 1,967,712 $ 2,189,855 $ 1,865,728
10/31/98 $ 2,085,382 $ 2,359,569 $ 1,975,992
11/30/98 $ 2,163,583 $ 2,469,525 $ 2,059,577
12/31/98 $ 2,299,240 $ 2,553,489 $ 2,112,302
1/31/99 $ 2,316,254 $ 2,573,917 $ 2,109,556
2/28/99 $ 2,248,388 $ 2,537,625 $ 2,070,529
3/31/99 $ 2,267,050 $ 2,590,153 $ 2,114,217
4/30/99 $ 2,402,166 $ 2,832,074 $ 2,264,327
5/31/99 $ 2,353,162 $ 2,800,921 $ 2,232,626
6/30/99 $ 2,430,346 $ 2,882,148 $ 2,302,954
7/31/99 $ 2,358,164 $ 2,797,701 $ 2,244,689
8/31/99 $ 2,274,685 $ 2,693,906 $ 2,192,388
9/30/99 $ 2,218,273 $ 2,599,619 $ 2,114,777
10/31/99 $ 2,255,762 $ 2,749,357 $ 2,186,045
11/30/99 $ 2,282,831 $ 2,727,912 $ 2,173,803
12/31/99 $ 2,357,936 $ 2,741,006 $ 2,200,758
1/31/2000 $ 2,297,337 $ 2,651,650 $ 2,117,350
2/28/2000 $ 2,238,296 $ 2,454,632 $ 1,998,143
3/31/2000 $ 2,445,114 $ 2,754,097 $ 2,182,971
4/30/2000 $ 2,415,284 $ 2,722,150 $ 2,166,381
5/31/2000 $ 2,373,258 $ 2,750,732 $ 2,199,093
6/30/2000 $ 2,420,011 $ 2,625,024 $ 2,151,812
7/31/2000 $ 2,382,985 $ 2,657,836 $ 2,164,293
8/31/2000 $ 2,511,904 $ 2,805,612 $ 2,291,121
9/30/2000 $ 2,390,077 $ 2,831,424 $ 2,286,080
10/31/2000 $ 2,398,681 $ 2,901,077 $ 2,334,088
11/30/2000 $ 2,272,511 $ 2,793,447 $ 2,251,928
12/31/2000 $ 2,303,417 $ 2,933,399 $ 2,364,749
1/31/2001 $ 2,300,883 $ 2,944,839 $ 2,384,377
2/28/2001 $ 2,141,432 $ 2,862,972 $ 2,304,739
3/31/2001 $ 2,024,081 $ 2,761,909 $ 2,220,385
4/30/2001 $ 2,172,042 $ 2,897,243 $ 2,335,623
5/31/2001 $ 2,177,689 $ 2,962,431 $ 2,376,263
6/30/2001 $ 2,099,292 $ 2,896,665 $ 2,317,332
7/31/2001 $ 2,106,220 $ 2,890,582 $ 2,314,783
8/31/2001 $ 1,979,004 $ 2,774,670 $ 2,238,395
9/30/2001 $ 1,858,285 $ 2,579,333 $ 2,084,169
10/31/2001 $ 1,884,487 $ 2,557,151 $ 2,094,799
11/30/2001 $ 2,004,152 $ 2,705,721 $ 2,202,890
12/31/2001 $ 2,020,185 $ 2,769,576 $ 2,241,661
1/31/2002 $ 1,994,528 $ 2,748,250 $ 2,219,693
2/28/2002 $ 1,993,132 $ 2,752,648 $ 2,223,022
3/31/2002 $ 2,073,655 $ 2,882,848 $ 2,307,275
4/30/2002 $ 1,967,898 $ 2,783,966 $ 2,228,597
5/31/2002 $ 1,984,429 $ 2,797,886 $ 2,230,603
6/30/2002 $ 1,855,838 $ 2,637,287 $ 2,090,744
7/31/2002 $ 1,715,722 $ 2,392,020 $ 1,922,857
8/31/2002 $ 1,741,801 $ 2,410,199 $ 1,937,086
9/30/2002 $ 1,548,113 $ 2,142,185 $ 1,735,436
10/31/2002 $ 1,658,184 $ 2,300,921 $ 1,840,603
11/30/2002 $ 1,737,279 $ 2,445,879 $ 1,946,254
12/31/2002 $ 1,677,169 $ 2,339,728 $ 1,873,464
1/31/2003 $ 1,613,940 $ 2,283,106 $ 1,821,381
2/28/2003 $ 1,568,265 $ 2,222,147 $ 1,776,393
3/31/2003 $ 1,567,481 $ 2,225,925 $ 1,778,880
4/30/2003 $ 1,691,312 $ 2,421,806 $ 1,915,142
5/31/2003 $ 1,793,129 $ 2,578,255 $ 2,030,051
6/30/2003 $ 1,819,847 $ 2,610,483 $ 2,051,367
7/31/2003 $ 1,842,049 $ 2,649,379 $ 2,074,342
8/31/2003 $ 1,868,206 $ 2,690,710 $ 2,105,250
9/30/2003 $ 1,840,743 $ 2,664,341 $ 2,091,144
10/31/2003 $ 1,962,048 $ 2,827,398 $ 2,195,283
11/30/2003 $ 1,991,675 $ 2,865,851 $ 2,222,724
12/31/2003 $ 2,116,753 $ 3,042,387 $ 2,357,644
1/31/2004 $ 2,148,080 $ 3,095,933 $ 2,394,187
2/29/2004 $ 2,200,064 $ 3,162,186 $ 2,439,437
3/31/2004 $ 2,173,443 $ 3,134,359 $ 2,411,872
4/30/2004 $ 2,119,107 $ 3,057,881 $ 2,371,352
5/31/2004 $ 2,141,782 $ 3,089,071 $ 2,386,529
6/30/2004 $ 2,203,893 $ 3,161,973 $ 2,441,181
7/31/2004 $ 2,171,055 $ 3,117,389 $ 2,389,427
8/31/2004 $ 2,187,121 $ 3,161,656 $ 2,413,800
9/30/2004 $ 2,239,393 $ 3,210,662 $ 2,448,558
10/31/2004 $ 2,259,402 $ 3,263,959 $ 2,475,493
</Table>
SOURCE: LIPPER, INC. THE QUOTED PERFORMANCE IS PAST PERFORMANCE AND NOT
INDICATIVE 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 PROSPECTUS WHICH INCLUDES INFORMATION
ON THE FUND'S INVESTMENT OBJECTIVES, RISK, AS WELL AS CHARGES AND EXPENSES ALONG
WITH OTHER INFORMATION. INVESTORS SHOULD REVIEW THE INFORMATION IN THE
PROSPECTUS CAREFULLY BEFORE INVESTING. FOR UP TO DATE MONTH-END PERFORMANCE
INFORMATION, OR TO RECEIVE A FUND PROSPECTUS PLEASE CALL 800 348-4782. PLEASE
READ CAREFULLY BEFORE INVESTING OR SENDING MONEY.
The Fund commenced operations on 1/1/97.
Returns for the Fund prior to 1/1/97 (offering date of the Shares) are
calculated using the historical expenses at the level indicated (absent
reimbursements) in the Expense Summary for the Fund as disclosed in the
Prospectus. The account was not registered with the SEC and was not subject to
investment restrictions of registered mutual funds. If the account had been
registered, performance may have been adversely affected.
The graph illustrates comparative performance for $1,000,000 invested in Select
Shares of the JPMorgan Tax Aware Large Cap Value Fund, Russell 1000(R) Value
Index and Lipper Large Cap Value Index from October 31, 1994 to October 31,
2004. The performance of the Fund assumes reinvestment of all dividends and
capital gains and does not include a sales charge. The performance of the
indices does not include a sales charge and has been adjusted to reflect
reinvestment of all dividends and capital gains of the securities included in
the benchmark. The Russell 1000 Value Index measures the performance of the
Russell 1000 companies with lower price-to-book ratios and lower forecasted
growth values. The Lipper Large Cap Value 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.
16
<Page>
JPMORGAN TAX AWARE SHORT-INTERMEDIATE INCOME FUND
AS OF OCTOBER 31, 2004 (Unaudited)
FUND FACTS
Fund Inception 12/20/02
Fiscal Year End OCTOBER 31
Net Assets as of 10/31/2004
(In Millions) $706.7
Primary Benchmark LEHMAN 1-5 YEAR
MUNICIPAL BOND
INDEX
Q: HOW DID THE FUND PERFORM?
A: JPMorgan Tax Aware Short-Intermediate Income Fund, which seeks to maximize
after-tax income from a portfolio of tax-exempt and taxable securities,
returned 2.0% (Institutional shares) for the year ended October 31, 2004.
This compares to the 2.2% return from the Fund's benchmark index, the Lehman
1-5 Year Municipal Bond Index.
Q: WHY DID THE FUND PERFORM THIS WAY?
A: Our allocation to the taxable sectors was a drag on performance at a time
when municipal securities outperformed taxable issues. Our decision to trade
duration also hindered performance, especially during the second quarter, as
investors started pricing in a strengthening economy. Contributing positively
were our allocations across the yield curve. As the yield curve flattened
over the period, we were able to take advantage of positions we acquired when
the curve was steeper. The Fund's performance also was helped by our
allocations along the credit spectrum as credit fundamentals improved and
spreads compressed.
Q: HOW WAS THE FUND MANAGED?
A: Low seasonal supply at the beginning of 2004 was met with strong demand from
both retail and institutional buyers. However, in the second half of March,
an avalanche of supply overwhelmed demand. We tactically traded our
allocation to municipals, averaging about 90% throughout the period.
Municipal issuance was roughly 10% lower this year than last because of
fiscal improvements at the state and local level and because of a reduction
in financing activity. Demand from retail investors and from property and
casualty companies remained strong. As a result, municipals performed well
for most of the period. Over the last year, the ratio (the difference in
prices) between three-year AAA general obligation municipal and taxable
securities was volatile -- reaching a high of 86% and a low of 71%, for an
average of 76%.
[CHART]
PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS
<Table>
State and Municipal Obligations 85.0%
Corporate Notes and Bonds 7.7%
Residential Mortgage Backed Securities 3.4%
Commercial Mortgage Backed Securities 2.7%
Other (Less than 1%) 1.2%
</Table>
17
<Page>
AVERAGE ANNUAL TOTAL RETURNS AS OF OCTOBER 31, 2004
<Table>
<Caption>
SINCE
INCEPTION
1 YEAR (12/20/02)
-------------------------------
INSTITUTIONAL SHARES 2.02% 2.38%
-------------------------------
SELECT SHARES 1.86% 2.23%
</Table>
[CHART]
LIFE OF FUND PERFORMANCE (12/20/02 TO 10/31/04)
<Table>
<Caption>
JPMORGAN TAX AWARE SHORT-INTERMEDIATE LIPPER SHORT-INTERMEDIATE
INCOME FUND (INSTITUTIONAL SHARES) LEHMAN 1-5 YEAR MUNI BOND INDEX MUNI DEBT FUNDS INDEX
12/20/2002 $ 3,000,000 $ 3,000,000 $ 3,000,000
12/31/2002 $ 3,016,200 $ 3,000,000 $ 3,000,000
1/31/2003 $ 3,011,374 $ 3,008,010 $ 3,000,300
2/28/2003 $ 3,028,539 $ 3,026,509 $ 3,026,703
3/31/2003 $ 3,031,265 $ 3,023,180 $ 3,019,741
4/30/2003 $ 3,045,815 $ 3,031,040 $ 3,033,028
5/31/2003 $ 3,079,014 $ 3,054,682 $ 3,077,310
6/30/2003 $ 3,072,856 $ 3,051,933 $ 3,072,694
7/31/2003 $ 3,021,232 $ 3,024,771 $ 3,020,151
8/31/2003 $ 3,036,338 $ 3,038,080 $ 3,031,326
9/30/2003 $ 3,087,652 $ 3,080,917 $ 3,089,224
10/31/2003 $ 3,072,832 $ 3,067,977 $ 3,080,883
11/30/2003 $ 3,079,285 $ 3,072,272 $ 3,098,444
12/31/2003 $ 3,085,751 $ 3,079,031 $ 3,110,838
1/31/2004 $ 3,098,403 $ 3,089,500 $ 3,123,592
2/29/2004 $ 3,125,669 $ 3,113,907 $ 3,153,891
3/31/2004 $ 3,112,541 $ 3,107,056 $ 3,142,537
4/30/2004 $ 3,071,455 $ 3,075,986 $ 3,095,714
5/31/2004 $ 3,058,862 $ 3,064,912 $ 3,084,879
6/30/2004 $ 3,061,921 $ 3,070,736 $ 3,090,431
7/31/2004 $ 3,087,335 $ 3,091,617 $ 3,113,610
8/31/2004 $ 3,119,443 $ 3,123,460 $ 3,151,907
9/30/2004 $ 3,123,499 $ 3,126,271 $ 3,159,156
10/31/2004 $ 3,134,370 $ 3,134,712 $ 3,171,161
</Table>
SOURCE: LIPPER, INC. THE QUOTED PERFORMANCE IS PAST PERFORMANCE AND NOT
INDICATIVE OF FUTURE RESULTS. INVESTMENT RETURNS WILL FLUCTUATE SO THAT AN
INVESTOR'S SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL
COST. PLEASE NOTE, CURRENT PERFORMANCE MAY BE HIGHER OR LOWER THAN THE
PERFORMANCE DATA SHOWN.
INVESTORS SHOULD CAREFULLY READ THE FUND PROSPECTUS WHICH INCLUDES INFORMATION
ON THE FUND'S INVESTMENT OBJECTIVES, RISK, AS WELL AS CHARGES AND EXPENSES ALONG
WITH OTHER INFORMATION. INVESTORS SHOULD REVIEW THE INFORMATION IN THE
PROSPECTUS CAREFULLY BEFORE INVESTING. FOR UP TO DATE MONTH-END PERFORMANCE
INFORMATION, OR TO RECEIVE A FUND PROSPECTUS PLEASE CALL 800 348-4782. PLEASE
READ CAREFULLY BEFORE INVESTING OR SENDING MONEY.
The Fund commenced operations on 12/20/02.
The graph illustrates comparative performance for $3,000,000 invested in
Institutional Shares of the JPMorgan Tax Aware Short-Intermediate Income Fund,
Lehman 1-5 Year Municipal Bond Index, and Lipper Short-Intermediate Municipal
Debt Funds Index from December 20, 2002 to October 31, 2004.
The performance of the Fund assumes reinvestment of all dividends and capital
gains and does not include a sales charge. The performance of the indices
reflects an initial investment at the end of the month following the Fund's
inception. The performance of the indices does not include a sales charge and
has been adjusted to reflect reinvestment of all dividends and capital gains of
the securities included in the benchmark. The unmanaged Lehman 1-5 Year
Municipal Bond Index represents the performance of municipal bonds with
maturities from 1 to 5 years. The Lipper Short-Intermediate Municipal Debt Funds
Index represents the total returns of the funds in the indicated category, as
defined by Lipper, Inc. Investors cannot invest directly in an index.
Institutional Shares have a $3,000,000 minimum initial deposit and carry no
sales charge.
Certain fees and expenses of the Fund are currently being waived and reimbursed
as described in the prospectus. Had the expenses not been subsidized or waived,
returns would have been lower. Also all performance shown in this section does
not reflect the deduction of taxes that a shareholder would pay on fund
distribution or redemption of fund shares.
18
<Page>
JPMORGAN TAX AWARE U.S. EQUITY FUND
AS OF OCTOBER 31, 2004 (Unaudited)
FUND FACTS
Fund Inception 12/18/96
Fiscal Year End OCTOBER 31
Net Assets as of 10/31/2004
(In Millions) $1,008.3
Primary Benchmark S&P 500 INDEX
Q: HOW DID THE FUND PERFORM?
A: JPMorgan Tax Aware U.S. Equity Fund, which seeks to provide high after-tax
total return from a portfolio of selected equity securities, rose 9.5%
(Select Shares) in the year ended October 31, 2004. This compares to an
increase of 9.4% by the S&P 500 Index, the Fund's benchmark.
Q: WHY DID THE FUND PERFORM THIS WAY?
A: The 12-month period began with an extension of the equity market rally that
we witnessed in most of 2003. Investors focused their attention on strong
corporate earnings, robust economic growth, and low interest rates. While
economic indicators turned decisively stronger, the upgrade in prospects for
growth brought with it the threat of an early end to the Federal Reserve's
highly accommodative stance. Along with the uncertainty of the Fed's stance,
came the uncertainty of the geopolitical situation and the election here at
home, the rising price of oil, and slowing company fundamentals.
Collectively, these factors restricted the market's upside.
The Fund participated in the market's advance and performed inline with its
benchmark. Stock selection was strongest in the industrial sector where the
portfolio manager added value against the benchmark. Among the top
contributors in the sector was previously battered Tyco International. Tyco
continues to be a top contributor in our portfolio and has benefited from
corporate restructuring, new management, and increased economic activity.
ChevronTexaco was the top performer of the portfolio. The company advanced
due to the rising cost of oil, and the discovery of deepwater oil in the Gulf
of Mexico.
Despite the strong return generated by the Fund, some sectors did lag their
benchmark peer group in the period. In particular, stock selection in
Consumer Discretionary and Telecommunications detracted from the Fund's
relative return.
Q: HOW WAS THE FUND MANAGED?
A: The Fund seeks capital appreciation while minimizing capital gains
distributions. The portfolio combines active investment management with
tax-efficient investing. Volatility is managed by keeping sector allocation
in line with the S&P 500.
19
<Page>
[CHART]
PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS
<Table>
Consumer Goods & Services 22.2%
Finance & Insurance 19.6%
Technology 17.3%
Industrial Products & Services 13.6%
Pharmaceuticals 10.2%
Energy 8.1%
Health Services & Systems 3.5%
Telecommunications 2.0%
Short-Term Investments 1.9%
Utilities 1.6%
</Table>
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO
<Table>
1. General Electric Co. 4.6%
2. Microsoft Corp. 3.8%
3. Citigroup, Inc. 3.6%
4. Tyco International LTD (Bermuda) 3.5%
5. Freddie Mac 3.2%
6. Bank of America Corp. 3.2%
7. Johnson & Johnson 2.9%
8. Pfizer, Inc. 2.9%
9. ChevronTexaco Corp. 2.8%
10. Altria Group, Inc. 2.5%
</Table>
Top 10 equity holdings comprised 33.0% of the Portfolio's market value of
investments ($333,560 in thousands). As of October 31, 2004 the Fund held 60
equity holdings. Portfolio holdings are subject to change at any time.
20
<Page>
(Unaudited)
AVERAGE ANNUAL TOTAL RETURNS AS OF OCTOBER 31, 2004
<Table>
<Caption>
SINCE
INCEPTION
1 YEAR 3 YEARS 5 YEARS (12/18/96)
-----------------------------------------------------------
CLASS A SHARES
Without Sales Charge 9.15% 1.82% (2.38%) 6.86%
With Sales Charge* 2.87% (0.17%) (3.53%) 6.06%
-----------------------------------------------------------
CLASS B SHARES
Without CDSC 8.62% 1.31% (2.82%) 6.55%
With CDSC** 3.62% 0.33% (3.21%) 6.55%
-----------------------------------------------------------
CLASS C SHARES
Without CDSC 8.66% 1.31% (2.84%) 6.54%
With CDSC*** 7.66% 1.31% (2.84%) 6.54%
-----------------------------------------------------------
INSTITUTIONAL SHARES 9.50% 2.24% (2.24%) 6.96%
-----------------------------------------------------------
SELECT SHARES 9.46% 2.08% (2.27%) 6.94%
</Table>
* Sales Charge for Class A Shares is 5.75%.
** Assumes 5% CDSC (contingent deferred sales charge) for the one year period,
3% CDSC for the three year period, 2% CDSC for the five year period and 0%
CDSC for the period since inception.
*** Assumes a 1% CDSC for the one year period and 0% CDSC thereafter.
[CHART]
LIFE OF FUND PERFORMANCE (12/18/96 TO 10/31/04)
<Table>
<Caption>
JPMORGAN TAX AWARE
U.S. EQUITY FUND (SELECT SHARES) S&P 500 INDEX LIPPER LARGE-CAP CORE FUNDS INDEX
12/18/96 $ 1,000,000 $ 1,000,000 $ 1,000,000
12/31/96 $ 1,011,100 $ 1,000,000 $ 1,000,000
1/31/97 $ 1,082,180 $ 1,062,500 $ 1,054,700
2/28/97 $ 1,085,210 $ 1,070,788 $ 1,053,434
3/31/97 $ 1,042,128 $ 1,026,778 $ 1,008,347
4/30/97 $ 1,090,170 $ 1,088,077 $ 1,064,210
5/31/97 $ 1,157,215 $ 1,154,341 $ 1,128,807
6/30/97 $ 1,202,231 $ 1,206,055 $ 1,177,798
7/31/97 $ 1,321,372 $ 1,302,057 $ 1,270,844
8/31/97 $ 1,257,285 $ 1,229,142 $ 1,206,158
9/30/97 $ 1,311,349 $ 1,296,499 $ 1,268,275
10/31/97 $ 1,258,239 $ 1,253,196 $ 1,229,212
11/30/97 $ 1,304,290 $ 1,311,219 $ 1,269,407
12/31/97 $ 1,317,464 $ 1,333,772 $ 1,292,510
1/31/98 $ 1,338,543 $ 1,348,577 $ 1,305,306
2/28/98 $ 1,427,021 $ 1,445,809 $ 1,397,852
3/31/98 $ 1,495,375 $ 1,519,834 $ 1,467,046
4/30/98 $ 1,527,526 $ 1,535,185 $ 1,481,863
5/31/98 $ 1,505,377 $ 1,508,780 $ 1,456,523
6/30/98 $ 1,558,667 $ 1,570,036 $ 1,525,708
7/31/98 $ 1,544,483 $ 1,553,394 $ 1,513,350
8/31/98 $ 1,326,865 $ 1,328,773 $ 1,286,802
9/30/98 $ 1,420,542 $ 1,413,947 $ 1,350,756
10/31/98 $ 1,532,339 $ 1,528,901 $ 1,452,062
11/30/98 $ 1,641,288 $ 1,621,553 $ 1,538,460
12/31/98 $ 1,727,784 $ 1,714,954 $ 1,640,614
1/31/99 $ 1,783,419 $ 1,786,639 $ 1,698,035
2/28/99 $ 1,720,821 $ 1,731,075 $ 1,645,566
3/31/99 $ 1,801,699 $ 1,800,318 $ 1,711,718
4/30/99 $ 1,889,622 $ 1,869,990 $ 1,757,592
5/31/99 $ 1,842,004 $ 1,825,858 $ 1,711,015
6/30/99 $ 1,949,208 $ 1,927,193 $ 1,806,490
7/31/99 $ 1,884,495 $ 1,867,065 $ 1,753,560
8/31/99 $ 1,858,112 $ 1,857,730 $ 1,735,674
9/30/99 $ 1,801,439 $ 1,806,828 $ 1,688,637
10/31/99 $ 1,900,699 $ 1,921,200 $ 1,792,150
11/30/99 $ 1,952,398 $ 1,960,200 $ 1,836,058
12/31/99 $ 2,044,160 $ 2,075,656 $ 1,958,156
1/31/2000 $ 2,007,570 $ 1,971,458 $ 1,879,046
2/29/2000 $ 1,997,331 $ 1,934,198 $ 1,878,483
3/31/2000 $ 2,180,287 $ 2,123,362 $ 2,041,723
4/30/2000 $ 2,055,356 $ 2,059,449 $ 1,974,959
5/31/2000 $ 1,992,257 $ 2,017,230 $ 1,924,597
6/30/2000 $ 2,045,052 $ 2,066,854 $ 1,995,037
7/31/2000 $ 2,055,277 $ 2,034,611 $ 1,963,915
8/31/2000 $ 2,174,483 $ 2,160,960 $ 2,099,425
9/30/2000 $ 2,086,851 $ 2,046,862 $ 1,987,735
10/31/2000 $ 2,089,982 $ 2,038,265 $ 1,964,678
11/30/2000 $ 1,935,114 $ 1,877,650 $ 1,791,786
12/31/2000 $ 1,938,791 $ 1,886,850 $ 1,813,646
1/31/2001 $ 2,005,097 $ 1,953,833 $ 1,864,972
2/28/2001 $ 1,813,210 $ 1,775,644 $ 1,691,343
3/31/2001 $ 1,686,647 $ 1,663,068 $ 1,587,495
4/30/2001 $ 1,818,375 $ 1,792,288 $ 1,708,144
5/31/2001 $ 1,833,649 $ 1,804,297 $ 1,717,710
6/30/2001 $ 1,788,725 $ 1,760,452 $ 1,672,019
7/31/2001 $ 1,777,456 $ 1,743,200 $ 1,647,775
8/31/2001 $ 1,676,318 $ 1,634,075 $ 1,550,721
9/30/2001 $ 1,559,814 $ 1,502,206 $ 1,433,021
10/31/2001 $ 1,593,506 $ 1,530,898 $ 1,466,840
11/30/2001 $ 1,717,162 $ 1,648,318 $ 1,562,918
12/31/2001 $ 1,731,930 $ 1,662,823 $ 1,580,579
1/31/2002 $ 1,674,430 $ 1,638,546 $ 1,555,606
2/28/2002 $ 1,634,411 $ 1,606,922 $ 1,529,472
3/31/2002 $ 1,701,258 $ 1,667,342 $ 1,581,474
4/30/2002 $ 1,578,087 $ 1,566,301 $ 1,498,763
5/31/2002 $ 1,576,036 $ 1,554,710 $ 1,487,822
6/30/2002 $ 1,466,186 $ 1,444,015 $ 1,385,013
7/31/2002 $ 1,358,275 $ 1,331,382 $ 1,282,107
8/31/2002 $ 1,374,710 $ 1,340,169 $ 1,292,620
9/30/2002 $ 1,222,255 $ 1,194,493 $ 1,167,107
10/31/2002 $ 1,327,368 $ 1,299,608 $ 1,257,791
11/30/2002 $ 1,399,445 $ 1,376,155 $ 1,314,014
12/31/2002 $ 1,322,335 $ 1,295,375 $ 1,244,766
1/31/2003 $ 1,282,004 $ 1,261,436 $ 1,212,153
2/28/2003 $ 1,264,441 $ 1,242,514 $ 1,196,031
3/31/2003 $ 1,272,154 $ 1,254,567 $ 1,206,078
4/30/2003 $ 1,374,689 $ 1,357,943 $ 1,294,966
5/31/2003 $ 1,432,701 $ 1,429,506 $ 1,357,772
6/30/2003 $ 1,444,306 $ 1,447,804 $ 1,371,214
7/31/2003 $ 1,465,104 $ 1,473,285 $ 1,392,879
8/31/2003 $ 1,485,908 $ 1,502,015 $ 1,419,761
9/30/2003 $ 1,467,335 $ 1,486,093 $ 1,401,446
10/31/2003 $ 1,548,331 $ 1,570,206 $ 1,469,977
11/30/2003 $ 1,562,886 $ 1,584,024 $ 1,482,325
12/31/2003 $ 1,649,939 $ 1,667,027 $ 1,553,625
1/31/2004 $ 1,670,728 $ 1,697,533 $ 1,575,531
2/29/2004 $ 1,693,617 $ 1,721,129 $ 1,594,122
3/31/2004 $ 1,668,382 $ 1,695,140 $ 1,569,094
4/30/2004 $ 1,644,357 $ 1,668,526 $ 1,544,773
5/31/2004 $ 1,657,841 $ 1,691,385 $ 1,560,530
6/30/2004 $ 1,698,790 $ 1,724,198 $ 1,588,464
7/31/2004 $ 1,653,772 $ 1,667,127 $ 1,532,232
8/31/2004 $ 1,662,206 $ 1,673,796 $ 1,533,151
9/30/2004 $ 1,680,158 $ 1,691,873 $ 1,550,783
10/31/2004 $ 1,695,450 $ 1,717,758 $ 1,571,718
</Table>
SOURCE: LIPPER, INC. THE QUOTED PERFORMANCE IS PAST PERFORMANCE AND NOT
INDICATIVE OF FUTURE RESULTS. INVESTMENT RETURNS WILL FLUCTUATE SO THAT AN
INVESTOR'S SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL
COST. PLEASE NOTE, CURRENT PERFORMANCE MAY BE HIGHER OR LOWER THAN THE
PERFORMANCE DATA SHOWN.
INVESTORS SHOULD CAREFULLY READ THE FUND PROSPECTUS WHICH INCLUDES INFORMATION
ON THE FUND'S INVESTMENT OBJECTIVES, RISK, AS WELL AS CHARGES AND EXPENSES ALONG
WITH OTHER INFORMATION. INVESTORS SHOULD REVIEW THE INFORMATION IN THE
PROSPECTUS CAREFULLY BEFORE INVESTING. FOR UP TO DATE MONTH-END PERFORMANCE
INFORMATION, OR TO RECEIVE A FUND PROSPECTUS PLEASE CALL 800 348-4782. PLEASE
READ CAREFULLY BEFORE INVESTING OR SENDING MONEY.
The Fund commenced operations on 12/18/96.
Returns for the Institutional Shares prior to 9/15/00 (offering date of the
Institutional Shares) are calculated using the historical expenses of the Select
Shares, which are higher than the expenses of the Institutional Shares.
Returns for the Class A, B, and C Shares prior to 4/16/01 (offering date of the
Class A, B, and C Shares) are calculated using the historical expenses of the
Select Shares, which are lower than the expenses of the Class A, B, and C
Shares.
The graph illustrates comparative performance for $1,000,000 invested in Select
Shares of the JPMorgan Tax Aware U.S. Equity Fund, S&P 500 Index, and Lipper
Large-Cap Core Funds Index from December 18, 1996 to October 31, 2004. The
performance of the indices reflects an initial investment at the end of the
month following the Fund's inception. The performance of the Fund assumes
reinvestment of all dividends and capital gains and does not include a sales
charge. The performance of the indices does not include a sales charge and has
been adjusted to reflect reinvestment of all dividends and capital gains of the
securities included in the benchmark. The S&P 500 Index is a broad-based index
that replicates the U.S. stock market. The Lipper Large-Cap Core Funds Index
represents the total returns of the funds in the indicated category, as defined
by Lipper, Inc. Investors cannot invest directly in an index.
Select Shares have a $1,000,000 minimum initial deposit and carry no sales
charge.
Certain fees and expenses of the Fund are currently being waived and reimbursed
as described in the prospectus. Had the expenses not been subsidized or waived,
returns would have been lower. Also, all performance shown in this section does
not reflect the deduction of taxes that a shareholder would pay on fund
distributions or redemption of fund shares.
21
<Page>
JPMORGAN FLEMING TAX AWARE INTERNATIONAL OPPORTUNITIES FUND
PORTFOLIO OF INVESTMENTS AS OF OCTOBER 31, 2004
(Amounts in thousands)
<Table>
<Caption>
SHARES ISSUER VALUE
- -----------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- 97.0%
COMMON STOCKS -- 97.0%
AUSTRALIA -- 1.4%
264 News Corp., LTD ++ $ 2,066
338 Southern Pacific Petroleum NL* + 0
-------------------------------------------------------------------------
2,066
-------------------------------------------------------------------------
BRAZIL -- 1.3%
57 Petroleo Brasileiro SA, ADR + 1,867
FRANCE -- 13.0%
98 AXA (f) + 2,109
46 BNP Paribas (f) + 3,143
41 Peugeot SA (f) + 2,513
19 Sanofi-Aventis (f) + 1,415
4 Technip SA (f) + 642
82 Thomson SA (f) + 1,870
24 Total SA (f) + 5,051
64 Veolia Environnement (f) + 1,931
-------------------------------------------------------------------------
18,674
-------------------------------------------------------------------------
GERMANY -- 5.2%
18 BASF AG (f) + 1,139
73 Bayer AG (f) + 2,065
88 Bayerische Hypo-und Vereinsbank AG* (f) + 1,722
10 E.ON AG (f) 850
27 Schering AG (f) + 1,741
-------------------------------------------------------------------------
7,517
-------------------------------------------------------------------------
HONG KONG -- 4.5%
873 Cathay Pacific Airways LTD (f) + 1,513
1 Hutchison Telecommunications International LTD* (f) 1
85 Hutchison Whampoa LTD (f) + 653
276 Sun Hung Kai Properties LTD (f) + 2,554
516 Wharf Holdings LTD (f) + 1,700
-------------------------------------------------------------------------
6,421
-------------------------------------------------------------------------
INDIA -- 2.1%
120 Reliance Industries LTD, GDR, # + 2,973
INDONESIA -- 0.4%
29 Telekomunikasi Indonesia TBK PT, ADR + 552
IRELAND -- 1.2%
74 CRH PLC (f) + $ 1,765
ITALY -- 0.4%
23 ENI-Ente Nazionale Idrocarburi SPA (f) + 522
JAPAN -- 18.4%
18 Canon, Inc. (f) + 873
343 Daiwa Securities Group, Inc. (f) + 2,101
275 Fujitsu LTD (f) + 1,632
17 Honda Motor Co., LTD (f) + 839
451 Itochu Corp.* (f) + 1,932
0^^ Japan Tobacco, Inc. (f) + 1,167
57 JFE Holdings, Inc. (f) + 1,537
165 Kubota Corp. (f) + 751
8 Kyocera Corp. (f) + 593
203 Mitsui Chemicals, Inc. (f) + 990
7 NEC Electronics Corp. (f) + 356
16 Nintendo Co., LTD (f) + 1,788
1 Nippon Telegraph & Telephone Corp. (f) + 2,822
50 Ricoh Co., LTD (f) + 932
9 Rohm Co., LTD (f) + 921
47 Sony Corp. (f) + 1,633
42 Suzuki Motor Corp. (f) + 746
43 Tokyo Electric Power Co. + 970
36 Toyota Motor Corp. (f) + 1,378
1 UFJ Holdings, Inc.* (f) + 2,420
-------------------------------------------------------------------------
26,381
-------------------------------------------------------------------------
NORWAY -- 0.7%
65 Statoil ASA (f) + 948
SINGAPORE -- 1.6%
123 DBS Group Holdings LTD (f) + 1,154
823 Singapore Telecommunications LTD (f) + 1,197
-------------------------------------------------------------------------
2,351
-------------------------------------------------------------------------
SOUTH KOREA -- 2.7%
57 Kookmin Bank, ADR* + 1,926
43 POSCO, ADR + 1,596
2 Samsung Electronics Co., LTD, GDR, # + 317
-------------------------------------------------------------------------
3,839
-------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
22
<Page>
ANNUAL REPORT OCTOBER 31 2004
<Table>
<Caption>
SHARES ISSUER VALUE
- -----------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
SPAIN -- 1.9%
61 Iberdrola SA (f) + $ 1,327
57 Industria de Diseno Textil, SA (f) + 1,451
-------------------------------------------------------------------------
2,778
-------------------------------------------------------------------------
SWEDEN -- 1.6%
38 Atlas Copco AB, Class A (f) + 1,567
19 SKF AB, Ser. B (f) + 718
-------------------------------------------------------------------------
2,285
-------------------------------------------------------------------------
SWITZERLAND -- 8.4%
408 ABB LTD* (f) + 2,352
98 Compagnie Financiere Richemont AG, Class A (f) + 2,780
25 Roche Holding AG + 2,509
13 Synthes, Inc.* (f) + 1,345
30 UBS AG (f) + 2,200
6 Zurich Financial Services AG* (f) + 888
-------------------------------------------------------------------------
12,074
-------------------------------------------------------------------------
TAIWAN -- 1.5%
47 Hon Hai Precision Industry Co., GDR + 356
532 United Microelectronics Corp., ADR* + 1,860
-------------------------------------------------------------------------
2,216
-------------------------------------------------------------------------
THE NETHERLANDS -- 5.1%
100 ING Groep NV (f) + 2,667
372 Koninklijke KPN NV + 2,976
52 Koninklijke Philips Electronics NV (f) + 1,244
37 Koninklijke Wessanen NV (f) + 479
-------------------------------------------------------------------------
7,366
-------------------------------------------------------------------------
UNITED KINGDOM -- 25.6%
62 AstraZeneca PLC (f) + 2,520
118 BBA Group PLC (f) + 571
200 BP PLC (f) + 1,938
35 British American Tobacco PLC (f) + 524
115 British Sky Broadcasting PLC (f) + 1,069
238 Cadbury Schweppes PLC + 1,980
181 Centrica PLC (f) + 799
306 HSBC Holdings PLC (f) + 4,941
38 Imperial Tobacco Group PLC (f) + 896
130 Intercontinental Hotels Group PLC (f) + 1,588
131 Rank Group PLC (f) + $ 688
104 Reckitt Benckiser PLC (f) + 2,851
195 Royal Bank of Scotland Group PLC (f) + 5,726
60 SABMiller PLC (f) + 867
153 Scottish Power PLC (f) + 1,233
600 Tesco PLC (f) + 3,159
2,077 Vodafone Group PLC (f) + 5,331
-------------------------------------------------------------------------
36,681
-------------------------------------------------------------------------
Total Common Stocks 139,276
(Cost $117,650)
-------------------------------------------------------------------------
</Table>
<Table>
<Caption>
PRINCIPAL
AMOUNT
- -----------------------------------------------------------------------------------
SHORT-TERM INVESTMENT -- 0.3%
U.S. TREASURY SECURITY -- 0.3%
$ 470 U.S. Treasury Bill, 1.63%, 12/16/04 @ 469
(Cost $469)
-------------------------------------------------------------------------
TOTAL INVESTMENTS -- 97.3% $ 139,745
(COST $118,119)
OTHER ASSETS IN EXCESS OF
LIABILITIES -- 2.7% 3,831
-------------------------------------------------------------------------
NET ASSETS -- 100.0% $ 143,576
-------------------------------------------------------------------------
</Table>
Percentages indicated are based on net assets of $143,576.
SEE NOTES TO FINANCIAL STATEMENTS.
23
<Page>
The following represents the allocations by industry for common stocks and other
investments based on net assets:
<Table>
<Caption>
INDUSTRY PERCENTAGE
- ---------------------------------------------------------------------------------
Banking 16.2%
Telecommunications 9.0
Oil & Gas 7.2
Electronics/Electrical Equipment 6.7
Pharmaceuticals 5.7
Retailing 5.1
Chemicals 5.0
Utilities 5.0
Insurance 3.9
Automotive 3.8
Consumer Products 3.8
Real Estate 3.0
Food/Beverage Products 2.3
Steel 2.2
Machinery & Engineering Equipment 1.6
Financial Services 1.5
Multi-Media 1.4
Distribution 1.3
Office/Business Equipment 1.3
Toys & Games 1.2
Construction Materials 1.2
Computers/Computer Hardware 1.1
Hotels/Other Lodging 1.1
Airlines 1.1
Other (less than 1%) 5.6
- ---------------------------------------------------------------------------------
Total 97.3%
- ---------------------------------------------------------------------------------
</Table>
FUTURES CONTRACTS
(Amounts in thousands, except number of contracts)
<Table>
- -------------------------------------------------------------------------------------------------------
NOTIONAL UNREALIZED
NUMBER OF VALUE AT APPRECIATION/
CONTRACTS DESCRIPTION EXPIRATION DATE 10/31/04 (USD) (DEPRECIATION)(USD)
- -------------------------------------------------------------------------------------------------------
LONG FUTURES OUTSTANDING
25 DJ Euro Stoxx December, 2004 $ 896 $ 14
5 FTSE 100 Index December, 2004 425 ( - )^
4 Topix Index December, 2004 407 (10)
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
24
<Page>
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS
<Table>
<Caption>
- ---------------------------------------------------------------------------------------------------------------
NET UNREALIZED
SETTLEMENT SETTLEMENT VALUE AT APPRECIATION
CONTRACTS TO BUY DATE VALUE (USD) 10/31/04 (USD) (DEPRECIATION) (USD)
- ---------------------------------------------------------------------------------------------------------------
6,496 AUD 11/8/04 $ 4,638 $ 4,850 $ 212
4,400 CHF 11/8/04 3,528 3,663 135
15,172 EUR 11/8/04 18,619 19,300 681
570 EUR for
78,116 JPY 11/8/04 736~ 725~ (11)
980 GBP 11/8/04 1,752 1,795 43
710,271 JPY 11/8/04 6,465 6,691 226
78,903 JPY for
580 EUR 11/8/04 737~ 743~ 6
4,901 SEK 11/8/04 648 689 41
1,160 SGD 11/8/04 679 697 18
- --------------------------------------------------------------------------------------------------------------
$ 37,802 $ 39,153 $ 1,351
- --------------------------------------------------------------------------------------------------------------
</Table>
<Table>
<Caption>
- ---------------------------------------------------------------------------------------------------------------
NET UNREALIZED
SETTLEMENT SETTLEMENT VALUE AT APPRECIATION
CONTRACTS TO SELL DATE VALUE (USD) 10/31/04 (USD) (DEPRECIATION) (USD)
- ---------------------------------------------------------------------------------------------------------------
963 AUD 11/8/04 $ 710 $ 719 $ (9)
7,633 CHF 11/8/04 6,099 6,354 (255)
7,728 EUR 11/8/04 9,436 9,830 (394)
620 EUR 2/7/05 790 789 1
2,780 GBP 11/8/04 5,045 5,091 (46)
36,516 HKD 11/8/04 4,692 4,693 (1)
425,149 JPY 11/8/04 3,858 4,005 (147)
4,917 NOK 11/8/04 723 769 (46)
6,068 SEK 11/8/04 808 853 (45)
4,090 SGD 11/8/04 2,378 2,457 (79)
- ---------------------------------------------------------------------------------------------------------------
$ 34,539 $ 35,560 $(1,021)
- ---------------------------------------------------------------------------------------------------------------
</Table>
~ For cross-currency exchange contracts, the settlement value is the market
value at 10/31/04 of the currency being sold, and the value at 10/31/04 is the
market value at 10/31/04 of the currency being purchased.
SEE NOTES TO FINANCIAL STATEMENTS.
25
<Page>
JPMORGAN TAX AWARE DISCIPLINED EQUITY FUND
PORTFOLIO OF INVESTMENTS AS OF OCTOBER 31, 2004
(Amounts in thousands)
<Table>
<Caption>
SHARES ISSUER VALUE
- -----------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- 99.8%
COMMON STOCKS -- 99.8%
AEROSPACE -- 2.3%
2 General Dynamics Corp. $ 174
17 Lockheed Martin Corp. 937
16 Northrop Grumman Corp. 828
20 Raytheon Co. 732
20 United Technologies Corp. 1,882
-------------------------------------------------------------------------
4,553
-------------------------------------------------------------------------
APPAREL -- 1.1%
22 Jones Apparel Group, Inc. 788
19 Nike, Inc., Class B 1,512
-------------------------------------------------------------------------
2,300
-------------------------------------------------------------------------
AUTOMOTIVE -- 1.3%
51 Ford Motor Co. 663
21 General Motors Corp. 795
5 Harley-Davidson, Inc. 284
9 Johnson Controls, Inc. 510
6 Lear Corp. 334
-------------------------------------------------------------------------
2,586
-------------------------------------------------------------------------
BANKING -- 6.8%
76 Bank of America Corp. 3,422
10 Compass Bancshares, Inc. 463
12 KeyCorp 400
29 Mellon Financial Corp. 846
8 National City Corp. 296
29 North Fork Bancorporation, Inc. 1,269
4 PNC Financial Services Group, Inc. 194
11 SunTrust Banks, Inc. 786
49 The Bank of New York Co., Inc. 1,581
9 U.S. Bancorp 268
42 Wachovia Corp. 2,047
37 Wells Fargo & Co. 2,216
-------------------------------------------------------------------------
13,788
-------------------------------------------------------------------------
BIOTECHNOLOGY -- 1.5%
37 Amgen, Inc.* 2,085
5 Biogen Idec, Inc.* 291
11 Gilead Sciences, Inc.* 381
8 Medimmune, Inc.* 227
-------------------------------------------------------------------------
2,984
-------------------------------------------------------------------------
BUSINESS SERVICES -- 0.9%
13 Cendant Corp. $ 274
7 Computer Sciences Corp.* 332
23 First Data Corp. 954
13 SunGard Data Systems, Inc.* 339
-------------------------------------------------------------------------
1,899
-------------------------------------------------------------------------
CHEMICALS -- 1.4%
8 Air Products & Chemicals, Inc. 436
6 Eastman Chemical Co. 261
5 PPG Industries, Inc. 319
14 Praxair, Inc. 582
9 Rohm & Haas Co. 365
20 The Dow Chemical Co. 876
-------------------------------------------------------------------------
2,839
-------------------------------------------------------------------------
COMPUTER NETWORKS -- 1.4%
138 Cisco Systems, Inc.* 2,652
10 Juniper Networks, Inc.* 263
-------------------------------------------------------------------------
2,915
-------------------------------------------------------------------------
COMPUTER SOFTWARE -- 4.3%
2 Adobe Systems, Inc. 90
2 Electronic Arts, Inc.* 81
225 Microsoft Corp. 6,303
151 Oracle Corp.* 1,913
8 VERITAS Software Corp.* 179
-------------------------------------------------------------------------
8,566
-------------------------------------------------------------------------
COMPUTERS/COMPUTER HARDWARE -- 4.2%
73 Dell, Inc.* 2,564
17 EMC Corp.* 216
58 Hewlett-Packard Co. 1,080
35 International Business Machines Corp. 3,115
3 Lexmark International, Inc., Class A* 274
19 NCR Corp.* 1,093
40 Sun Microsystems, Inc.* 179
-------------------------------------------------------------------------
8,521
-------------------------------------------------------------------------
CONSTRUCTION -- 0.8%
16 Centex Corp. 846
5 D.R. Horton, Inc. 144
3 KB Home 247
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
26
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- -----------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
CONSTRUCTION -- CONTINUED
4 Lennar Corp., Class A $ 189
4 Pulte Homes, Inc. 192
-------------------------------------------------------------------------
1,618
-------------------------------------------------------------------------
CONSUMER PRODUCTS -- 4.0%
61 Altria Group, Inc. 2,950
3 Fortune Brands, Inc. 186
73 Procter & Gamble Co. 3,731
29 The Gillette Co. 1,184
-------------------------------------------------------------------------
8,051
-------------------------------------------------------------------------
DIVERSIFIED -- 4.8%
219 General Electric Co. 7,476
68 Tyco International LTD (Bermuda) 2,118
-------------------------------------------------------------------------
9,594
-------------------------------------------------------------------------
ENTERTAINMENT/LEISURE -- 0.4%
18 Carnival Corp. 890
FINANCIAL SERVICES -- 8.8%
8 Capital One Financial Corp. 577
17 CIT Group, Inc. 695
144 Citigroup, Inc. 6,393
35 Countrywide Financial Corp. 1,123
14 Fannie Mae 978
16 Freddie Mac 1,056
11 Goldman Sachs Group, Inc. 1,102
33 MBNA Corp. 836
54 Morgan Stanley 2,766
50 The Charles Schwab Corp. 458
43 Washington Mutual, Inc. 1,648
-------------------------------------------------------------------------
17,632
-------------------------------------------------------------------------
FOOD/BEVERAGE PRODUCTS -- 3.4%
16 Anheuser-Busch Companies, Inc. 799
2 H.J. Heinz Co. 73
37 PepsiCo, Inc. 1,832
12 Sysco Corp. 390
92 The Coca-Cola Co. 3,729
-------------------------------------------------------------------------
6,823
-------------------------------------------------------------------------
HEALTH CARE/HEALTH CARE SERVICES -- 3.2%
9 Aetna, Inc. $ 815
15 Anthem, Inc.* 1,214
6 Biomet, Inc. 261
23 Boston Scientific Corp.* 805
10 CIGNA Corp. 622
24 Guidant Corp. 1,600
14 HCA, Inc. 511
4 Stryker Corp. 168
2 UnitedHealth Group, Inc. 146
4 WellPoint Health Networks, Inc.* 400
-------------------------------------------------------------------------
6,542
-------------------------------------------------------------------------
HOTELS/OTHER LODGING -- 0.3%
10 Hilton Hotels Corp. 205
8 Starwood Hotels & Resorts Worldwide, Inc. 396
-------------------------------------------------------------------------
601
-------------------------------------------------------------------------
INDUSTRIAL COMPONENTS -- 0.1%
5 SPX Corp. 199
INSURANCE -- 4.3%
25 AMBAC Financial Group, Inc. 1,976
22 American International Group, Inc. 1,310
14 Genworth Financial, Inc., Class A 336
19 Hartford Financial Services Group, Inc. 1,088
8 Marsh & McLennan Companies, Inc. 210
8 MBIA, Inc. 487
9 Metlife, Inc. 360
4 Protective Life Corp. 145
33 The Allstate Corp. 1,581
2 The Progressive Corp. 187
17 The St. Paul Travelers Companies, Inc. 586
6 Torchmark Corp. 312
-------------------------------------------------------------------------
8,578
-------------------------------------------------------------------------
INTERNET SERVICES/SOFTWARE -- 1.1%
15 eBay, Inc.* 1,474
18 Yahoo!, Inc.* 666
-------------------------------------------------------------------------
2,140
-------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
27
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- -----------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
MACHINERY & ENGINEERING EQUIPMENT -- 1.2%
12 Caterpillar, Inc. $ 998
14 Deere & Co. 855
9 Ingersoll-Rand Co., LTD (Bermuda), Class A 606
-------------------------------------------------------------------------
2,459
-------------------------------------------------------------------------
MANUFACTURING -- 0.9%
8 3M Co. 645
10 Eaton Corp. 620
6 Illinois Tool Works, Inc. 544
-------------------------------------------------------------------------
1,809
-------------------------------------------------------------------------
METALS/MINING -- 0.7%
44 Alcoa, Inc. 1,424
MULTI-MEDIA -- 3.9%
18 Fox Entertainment Group, Inc., Class A* 533
13 Gannett Co., Inc. 1,091
7 The E.W. Scripps Co., Class A 344
54 The Walt Disney Co. 1,364
82 Time Warner, Inc.* 1,367
9 Tribune Co. 406
76 Viacom, Inc., Class B 2,765
-------------------------------------------------------------------------
7,870
-------------------------------------------------------------------------
OIL & GAS -- 7.3%
12 Anadarko Petroleum Corp. 796
14 Baker Hughes, Inc. 604
59 ChevronTexaco Corp. 3,104
30 ConocoPhillips 2,519
8 Cooper Cameron Corp.* 377
15 Devon Energy Corp. 1,143
84 Exxon Mobil Corp. 4,156
15 GlobalSantaFe Corp. 448
20 Rowan Companies, Inc.* 500
25 Unocal Corp. 1,048
-------------------------------------------------------------------------
14,695
-------------------------------------------------------------------------
PAPER/FOREST PRODUCTS -- 0.4%
8 Bowater, Inc. 298
3 Georgia-Pacific Corp. 98
6 Temple-Inland, Inc. 349
-------------------------------------------------------------------------
745
-------------------------------------------------------------------------
PHARMACEUTICALS -- 7.8%
15 Bristol-Myers Squibb Co. $ 342
29 Eli Lilly & Co. 1,599
20 Forest Laboratories, Inc.* 909
3 Hospira, Inc.* 82
69 Johnson & Johnson 4,010
3 Medicis Pharmaceutical Corp., Class A 126
37 Merck & Co., Inc. 1,172
3 OSI Pharmaceuticals, Inc.* 214
154 Pfizer, Inc. 4,463
49 Schering-Plough Corp. 887
11 Sepracor, Inc.* 524
3 Watson Pharmaceuticals, Inc.* 76
29 Wyeth 1,133
-------------------------------------------------------------------------
15,537
-------------------------------------------------------------------------
PIPELINES -- 0.1%
32 Dynegy, Inc., Class A* 159
REAL ESTATE INVESTMENT TRUST -- 0.4%
8 CarrAmerica Realty Corp. 264
13 Equity Office Properties Trust 357
6 ProLogis 234
-------------------------------------------------------------------------
855
-------------------------------------------------------------------------
RESTAURANTS/FOOD SERVICES -- 1.0%
42 McDonald's Corp. 1,230
6 Wendy's International, Inc. 216
13 Yum! Brands, Inc. 579
-------------------------------------------------------------------------
2,025
-------------------------------------------------------------------------
RETAILING -- 6.4%
12 Abercrombie & Fitch Co., Class A 483
11 Bed Bath & Beyond, Inc.* 432
4 Costco Wholesale Corp. 201
11 CVS Corp. 482
4 Family Dollar Stores, Inc. 130
6 Federated Department Stores, Inc. 298
67 Home Depot, Inc. 2,744
16 Kohl's Corp.* 829
33 Lowe's Companies, Inc. 1,839
9 Staples, Inc. 262
22 Target Corp. 1,083
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
28
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- -----------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
RETAILING -- CONTINUED
15 The Gap, Inc. $ 303
12 The TJX Companies, Inc. 281
63 Wal-Mart Stores, Inc. 3,392
4 Walgreen Co. 154
-------------------------------------------------------------------------
12,913
-------------------------------------------------------------------------
SEMI-CONDUCTORS -- 3.2%
40 Altera Corp.* 913
27 Analog Devices, Inc. 1,090
122 Intel Corp. 2,711
8 Intersil Corp., Class A 122
1 Linear Technology Corp. 34
7 Novellus Systems, Inc.* 169
4 QLogic Corp.* 140
15 Texas Instruments, Inc. 367
32 Xilinx, Inc. 972
-------------------------------------------------------------------------
6,518
-------------------------------------------------------------------------
SHIPPING/TRANSPORTATION -- 1.2%
8 CSX Corp. 278
6 FedEx Corp. 515
18 Norfolk Southern Corp. 604
3 Union Pacific Corp. 195
11 United Parcel Service, Inc., Class B 880
-------------------------------------------------------------------------
2,472
-------------------------------------------------------------------------
STEEL -- 0.5%
29 United States Steel Corp. 1,065
TELECOMMUNICATIONS -- 3.6%
28 BellSouth Corp. 752
36 Nextel Communications, Inc., Class A* 943
69 SBC Communications, Inc. 1,740
21 Sprint Corp. -- FON Group 439
30 Tellabs, Inc.* 241
78 Verizon Communications, Inc. 3,069
-------------------------------------------------------------------------
7,184
-------------------------------------------------------------------------
TELECOMMUNICATIONS EQUIPMENT -- 1.5%
85 Corning, Inc.* $ 976
44 Motorola, Inc. 754
30 QUALCOMM, Inc. 1,265
-------------------------------------------------------------------------
2,995
-------------------------------------------------------------------------
TOYS & GAMES -- 0.4%
15 Hasbro, Inc. 265
30 Mattel, Inc. 532
-------------------------------------------------------------------------
797
-------------------------------------------------------------------------
UTILITIES -- 2.9%
8 Constellation Energy Group, Inc. 309
16 Dominion Resources, Inc. 1,003
4 Edison International 113
15 Entergy Corp. 993
8 FPL Group, Inc. 537
24 PG&E Corp.* 783
36 Pinnacle West Capital Corp. 1,518
1 PPL Corp. 68
31 XCEL Energy, Inc. 533
-------------------------------------------------------------------------
5,857
-------------------------------------------------------------------------
Total Common Stocks 200,998
(Cost $176,843)
-------------------------------------------------------------------------
SHORT-TERM INVESTMENT -- 0.2%
MONEY MARKET FUND -- 0.2%
432 JPMorgan Prime Money Market Fund (a)
(Cost $432) 432
-------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100.0% $ 201,430
(COST $177,275)
OTHER ASSETS IN EXCESS OF
LIABILITIES -- 0.0% ^ 90
-------------------------------------------------------------------------
NET ASSETS -- 100.0% $ 201,520
-------------------------------------------------------------------------
</Table>
Percentages indicated are based on net assets of $201,520.
SEE NOTES TO FINANCIAL STATEMENTS.
29
<Page>
JPMORGAN TAX AWARE ENHANCED INCOME FUND
PORTFOLIO OF INVESTMENTS AS OF OCTOBER 31, 2004
(Amounts in thousands)
<Table>
<Caption>
SHARES ISSUER VALUE
- -----------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- 45.6%
PREFERRED STOCK -- 0.4%
5 Zurich RegCaPS Funding Trust IV,
0.00%, FRN, #
(Cost $4,391) $ 4,610
</Table>
<Table>
<Caption>
PRINCIPAL
AMOUNT
- -----------------------------------------------------------------------------------
STATE AND MUNICIPAL OBLIGATIONS -- 37.4%
ARIZONA -- 0.4%
$ 4,000 Northern Arizona Capital Facilities
Finance Corp., Northern Arizona
University Project, Student Housing,
Ser. A, Rev., Adj., 4.00%, 08/01/33 4,000
ARKANSAS -- 0.4%
4,000 Fayetteville, Arkansas, Sales & Use Tax,
Capital Improvement, Special
Assessment, 4.00%, 12/01/07 4,213
CALIFORNIA -- 6.6%
13,170 California Pollution Control Financing
Authority, Ser. B, Rev., Adj.,
2.00%, 03/01/08 13,050
2,000 California Pollution Control Financing
Authority, Ser. D, Rev., Adj.,
2.00%, 02/28/08 1,982
15,000 California State, Economic
Recovery, Ser. A, GO, 5.00%, 07/01/06 15,751
3,000 California State, Ser. D-4, GO, Adj.,
1.98%, 05/01/33 2,996
10,000 California Statewide Communities
Development Authority,
Kaiser Permanente, Ser. C, Adj., Rev.,
3.70%, 11/01/29 10,094
6,555 California Statewide Communities
Development Authority,
Kaiser Permanente, Ser. F, Rev., Adj.,
2.30%, 04/01/33 6,539
15,300 Sacramento County Sanitation District,
Ser. A, Rev., 5.88%, 12/01/27 16,068
9,000 Santa Clara County Financing Authority,
Measure B, Transportation
Improvement Program, Rev.,
4.00%, 08/01/05 9,147
----------------------------------------------------------------------
75,627
----------------------------------------------------------------------
COLORADO -- 0.8%
$ 8,625 Regional Transportation District,
Transit Vehicles, COP, Ser. A, Adj.,
AMBAC, 2.30%, 12/01/22 $ 8,634
MASSACHUSETTS -- 1.0%
10,000 Massachusetts State, CONS,
Ser. D, GO, (p), 5.25%, 11/01/06 10,741
MICHIGAN -- 1.1%
2,555 Michigan State Hospital Finance
Authority, Trinity Health, Ser. A, Rev.,
5.50%, 12/01/04 2,562
10,000 Michigan Strategic Fund, Dow
Chemical Project, Rev., Adj.,
3.80%, 06/01/14 10,181
----------------------------------------------------------------------
12,743
----------------------------------------------------------------------
MINNESOTA -- 0.4%
4,000 Minnesota Housing Finance Agency,
Residential Housing, Ser. K-1, Rev.,
2.25%, 07/01/17 3,951
MULTIPLE STATES -- 7.2%
1,320 MBIA Capital Corp., FLOATS,
Ser. PL-10, Rev., Adj., MBIA,
1.86%, 01/14/16 1,320
40,425 Puttable Floating Option Tax-Exempt
Receipts, FLOATS, Ser. PPT-12,
1.91%, 07/01/24 40,425
29,691 Puttable Floating Option Tax-Exempt
Receipts, FLOATS, Ser. PPT-34,
1.89%, 12/01/29 29,691
9,350 Puttable Floating Option Tax-Exempt
Receipts, FLOATS, Ser. PPT-38,
Mode A, Adj., 1.89%, 12/01/18 9,350
----------------------------------------------------------------------
80,786
----------------------------------------------------------------------
NEW JERSEY -- 2.2%
6,580 New Jersey Economic Development
Authority, Cigarette Tax, Rev.,
5.00%, 06/15/07 6,989
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
30
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- -----------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
NEW JERSEY -- CONTINUED
$ 1,350 New Jersey Economic Development
Authority, North Jersey Port District,
Rev., AMBAC, 7.13%, 02/15/08 $ 1,494
15,000 New Jersey Transportation Trust Fund
Authority, Transportation System,
Ser. A, Rev., MBIA, 5.00%, 12/15/07 15,947
----------------------------------------------------------------------
24,430
----------------------------------------------------------------------
NEW YORK -- 6.4%
5,000 Long Island Power Authority, Electric
Systems, Ser. A, Rev., 4.50%, 06/01/05 5,071
12,750 Long Island Power Authority, Electric
Systems, Ser. B, Rev., 5.00%, 06/01/05 12,966
15,000 New York City Municipal Water Finance
Authority, Water & Sewer System,
Ser. B, Rev., (p), FSA, 5.88%, 06/15/06 16,020
10,000 New York City, New York, Ser. C, GO,
5.00%, 08/01/05 10,226
15,350 New York City, New York, Ser. G, GO,
5.00%, 08/01/06 16,059
5,000 New York State Dormitory Authority,
Fourth Generation, City University
System, Ser. A, Rev., CONS,
5.00%, 07/01/06 5,241
3,925 New York State Dormitory Authority,
Mount Sinai School of Medicine,
Rev., MBIA, 5.00%, 07/01/06 4,116
3,750 New York State Environmental
Facilities Corp., Solid Waste Disposal,
Waste Management Project,
Ser. A, Rev., Adj., 2.90%, 05/01/12 3,747
----------------------------------------------------------------------
73,446
----------------------------------------------------------------------
NORTH CAROLINA -- 2.0%
15,000 Guilford County, GO, 4.00%, 10/01/22 15,766
6,280 North Carolina Eastern Municipal
Power Agency, Power System,
Ser. B, Rev., 6.00%, 01/01/05 6,316
----------------------------------------------------------------------
22,082
----------------------------------------------------------------------
OHIO -- 0.2%
$ 2,500 Ohio State Air Quality Development
Authority, Pollution Control,
Ohio Edison Project, Ser. C, Rev., Adj.,
5.80%, 06/01/16 $ 2,507
PENNSYLVANIA -- 1.3%
2,720 Lehigh County, Ser. C, GO, (p),
5.65%, 05/15/06 2,874
4,455 Lehigh County, Ser. C, GO, (p),
5.70%, 05/15/06 4,711
6,745 Pennsylvania State, Second
Ser., GO, FGIC, 5.00%, 07/01/08 7,376
----------------------------------------------------------------------
14,961
----------------------------------------------------------------------
PUERTO RICO -- 0.3%
2,660 Puerto Rico Highway & Transportation
Authority, Ser. AA, Rev.,
5.00%, 07/01/07 2,844
RHODE ISLAND -- 0.2%
2,500 Rhode Island Housing & Mortgage
Finance Corp., Hometown Opportunity
Notes, Ser. 41-C, Rev., 3.38%, 11/01/05 2,524
SOUTH CAROLINA -- 0.6%
6,000 South Carolina Transportation
Infrastructure Bank, Ser. A, Rev., MBIA,
5.00%, 10/01/10 6,570
TEXAS -- 2.4%
9,040 Brazos River Authority, PCR, Utilities
Electric Co., Ser. B, Rev., Adj.,
5.05%, 06/01/30 9,284
10,000 Gulf Coast Waste Disposal Authority,
PCR, Amoco Oil Project, Rev., Adj.,
1.98%, 10/01/17 9,993
2,000 Lewisville, Texas, Combination Contract,
Special Assessment, Castle Hills
No. 3 Project, Rev., (p), 4.13%, 11/01/06 2,083
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
31
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- -----------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
TEXAS -- CONTINUED
$ 4,975 Matagorda County Navigation
District No. 1, PCR, Central Power &
Light Co., Ser. A, Rev., Adj,
4.55%, 11/01/29 $ 5,169
----------------------------------------------------------------------
26,529
----------------------------------------------------------------------
VIRGINIA -- 1.7%
8,000 Louisa IDA, Solid Waste & Sewer
Disposal, Electric & Power Co. Project,
Ser. A, Rev., Adj., 2.30%, 03/01/31 7,893
10,000 Virginia Public School Authority, School
Financing -- 1997, Ser. D, Rev.,
5.00%, 02/01/08 10,859
----------------------------------------------------------------------
18,752
----------------------------------------------------------------------
WEST VIRGINIA -- 0.1%
800 Morgantown, West Virginia, Sewer
Systems, Rev., (p), 7.25%, 06/01/05 825
WISCONSIN -- 2.1%
6,250 Wisconsin Health & Educational
Facilities Authority, Ser. 1999A, Rev., Adj.,
4.45%, 05/01/29, # (i) 6,372
3,755 Wisconsin State Health & Educational
Facilities Authority, Hospital Charity
Obligation Group, Ser. D, Rev., Adj., (p),
4.90%, 11/01/05 3,868
3,075 Wisconsin State Health & Educational
Facilities Authority, Ministry Health Care,
Inc., Rev., 3.40%, 05/15/07 3,080
5,680 Wisconsin State Health & Educational
Facilities Authority, Ministry Health Care,
Inc., Ser. B, Rev., 3.50%, 05/15/07 5,750
5,000 Wisconsin State Health & Educational
Facilities, Adj., 1.86%, 12/31/50, # (i) 5,000
----------------------------------------------------------------------
24,070
----------------------------------------------------------------------
Total State and Municipal Obligations 420,235
(Cost $419,818)
----------------------------------------------------------------------
CORPORATE NOTES & BONDS -- 3.3%
FINANCIAL SERVICES -- 3.3%
Counts Trusts,
$ 8,250 2.49%, 08/15/07, Ser. 2002-10, FRN, # $ 8,318
8,250 2.54%, 08/15/07, Ser. 2002-11, FRN, # 8,333
9,200 Sigma Finance, Inc.,
2.36%, 09/15/06, MTN, FRN, # 9,200
11,100 Special Purpose Accounts Receivable
Cooperative Corp. (SPARCS),
2.12%, 11/21/07, Ser. 2004-4, FRN, # 11,094
----------------------------------------------------------------------
Total Corporate Notes & Bonds 36,945
(Cost $36,800)
----------------------------------------------------------------------
RESIDENTIAL MORTGAGE BACKED SECURITIES -- 1.2%
COLLATERALIZED MORTGAGE OBLIGATIONS -- 1.2%
4,343 Federal National Mortgage Association,
2.43%, 06/25/32, Ser. 2002-36,
Class FS, FRN 4,378
910 Government National Mortgage
Association, 2.31%, 12/20/30,
Ser. 2000-38, Class F, FRN 912
7,756 Indymac Index Mortgage Loan Trust,
2.37%, 09/25/34, Ser. 2004-AR7,
Class A1, FRN 7,756
----------------------------------------------------------------------
Total Residential Mortgage
Backed Securities 13,046
(Cost $13,010)
----------------------------------------------------------------------
ASSET BACKED SECURITIES -- 3.3%
2,155 CARSS Finance LP (Cayman Islands),
2.82%, 01/15/11, Ser. 2004-A,
Class B2, FRN, # 2,155
28,050 Capital One Multi-Asset Execution Trust,
3.12%, 12/15/10, Ser. 2003-A, FRN, # 28,997
6,200 Countrywide Asset-Backed Certificates,
2.43%, 02/25/34, Ser. 2004-BC1,
Class M1, FRN 6,200
----------------------------------------------------------------------
Total Asset Backed Securities 37,352
(Cost $37,220)
----------------------------------------------------------------------
Total Long-Term Investments 512,188
(Cost $511,239)
----------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
32
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- -----------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS -- 56.4%
STATE AND MUNICIPAL OBLIGATIONS -- 45.9%
ALABAMA -- 2.1%
$ 13,800 Alabama Higher Education Loan Corp.,
Ser. A, Rev., FRDO, MBIA,
1.78%, 11/23/04 $ 13,800
10,000 Jefferson County, Sewer, Ser. C-8, Rev.,
FRDO, FGIC, 1.65%, 11/18/04 10,000
----------------------------------------------------------------------
23,800
----------------------------------------------------------------------
ARIZONA -- 2.0%
15,800 Arizona Educational Loan Marketing
Corp., RAMS, Sub Ser. B, Rev., FRDO,
1.80%, 11/18/04 15,800
6,575 Scottsdale IDA, Hospital, Scottsdale
Healthcare, Ser. A, Rev., FRDO, AMBAC,
1.64%, 11/19/04 6,575
----------------------------------------------------------------------
22,375
----------------------------------------------------------------------
CALIFORNIA -- 3.1%
14,900 California State, Ser. D-1, GO, FRDO,
1.95%, 02/10/05 14,878
1,000 Chela Financial USA, Inc., California
Student Loan, ACES, Senior Ser. C-4,
Rev., FRDO, 1.98%, 11/23/04 1,000
12,850 Chela Financial USA, Inc., California
Student Loan, Senior Ser. A-2, Rev.,
FRDO, 1.68%, 11/12/04 12,850
5,500 Student Education Loan Marketing
Corp., Sub Ser. IV-C-1, Rev., FRDO,
1.85%, 11/26/04 5,500
----------------------------------------------------------------------
34,228
----------------------------------------------------------------------
COLORADO -- 0.7%
2,850 Arapahoe County, Capital Improvement,
Federal Highway, Ser. E-470, Rev., (p),
0.00%, 08/31/05 1,364
350 Colorado Housing & Finance Authority,
Multi-Family Housing, Class 1-B1, Rev.,
FRDO, 1.84%, 11/03/04 350
800 Colorado Housing & Finance Authority,
Ser. AA-3, Class I, Rev., FRDO,
1.75%, 11/03/04 800
$ 5,400 Colorado Student Obligation Bond
Authority, Student Loan, Ser. VII-A1,
Rev., FRDO, 1.78%, 11/26/04 $ 5,400
----------------------------------------------------------------------
7,914
----------------------------------------------------------------------
CONNECTICUT -- 0.9%
10,000 Connecticut State, Economic Recovery,
Ser. A, GO, FRDO, FSA, 1.55%, 11/04/04 10,000
DISTRICT OF COLUMBIA -- 7.2%
33,650 District of Columbia, Georgetown
University, Ser. C, Rev., FRDO, MBIA,
1.70%, 11/26/04 33,650
14,975 District of Columbia, Ser. A-1, GO,
FRDO, MBIA, 1.60%, 11/18/04 14,975
3,075 District of Columbia, Ser. A-2, GO,
FRDO, MBIA, 1.90%, 04/07/05 3,075
18,200 District of Columbia, Ser. B-2, GO,
FRDO, MBIA, 1.58%, 11/16/04 18,200
11,500 District of Columbia, Tranche 2,
Ser. A, Rev., Adj., FSA, 1.20%, 11/02/04 11,500
----------------------------------------------------------------------
81,400
----------------------------------------------------------------------
FLORIDA -- 2.6%
16,335 Florida Educational Loan Marketing
Corp., RAMS, Ser. D-2, Rev., FRDO,
1.87%, 11/26/04 16,335
12,560 Miami-Dade County School Board,
COP, Ser. B, FRDO, AMBAC,
1.67%, 11/19/04 12,560
----------------------------------------------------------------------
28,895
----------------------------------------------------------------------
GEORGIA -- 0.3%
2,900 Fulton County Development Authority,
Lovett School Project, Rev., FRDO,
1.77%, 11/03/04 2,900
ILLINOIS -- 0.5%
4,300 Galesburg, Illinois, Knox College
Project, Rev., FRDO, 1.85%, 11/04/04 4,300
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
33
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- -----------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS -- CONTINUED
ILLINOIS -- CONTINUED
$ 1,700 Illinois Health Facilities Authority,
Lifelink Corp. Obligation Group,
Ser. B, Rev., (p), 8.00%, 02/15/05 $ 1,729
----------------------------------------------------------------------
6,029
----------------------------------------------------------------------
KENTUCKY -- 1.0%
1,000 Ashland, Kentucky, PCR, 7&7 -- Ashland
Oil, Inc. Project, Rev., FRDO,
1.71%, 11/04/04 1,000
10,000 Kenton County Airport Board, Special
Facilities, Airis Cincinnatti LLC,
Ser. A, Rev., FRDO, 1.86%, 11/04/04 10,000
----------------------------------------------------------------------
11,000
----------------------------------------------------------------------
MAINE -- 0.1%
1,500 Maine Veterans Homes, Rev., (p),
7.75%, 10/01/05 1,609
MARYLAND -- 3.0%
33,500 Baltimore, Maryland, Public
Improvement, Ser. A, GO, CONS,
FRDO, FSA, 1.65%, 11/24/04 33,500
MASSACHUSETTS -- 4.5%
18,700 Massachusetts Development Finance
Agency, Babson College, Ser. A, Rev.,
FRDO, MBIA, 1.75%, 11/18/04 18,700
31,650 Massachusetts Health & Educational
Facilities Authority, Northeastern
University, Ser. N, Rev., FRDO, MBIA,
1.71%, 11/18/04 31,650
----------------------------------------------------------------------
50,350
----------------------------------------------------------------------
MICHIGAN -- 0.5%
5,600 Central Michigan University, Ser. B, Rev.,
FRDO, FGIC, 1.70%, 11/23/04 5,600
MISSISSIPPI -- 1.7%
10,000 Mississippi Higher Education Assistance
Corp., Student Loan, Ser. B, Rev.,
FRDO, 1.78%, 11/23/04 10,000
$ 9,050 Mississippi State, Nissan Project,
Ser. C, GO, FRDO, FGIC,
1.60%, 11/17/04 $ 9,050
----------------------------------------------------------------------
19,050
----------------------------------------------------------------------
MISSOURI -- 2.8%
21,900 Missouri State Health & Educational
Facilities Authority, Ascension Health,
Ser. C-1, Rev., FRDO, 1.70%, 11/17/04 21,900
10,000 Missouri State Health & Educational
Facilities Authority, Mercy Health
Systems, Ser. B, Rev., FRDO, AMBAC,
1.65%, 11/10/04 10,000
----------------------------------------------------------------------
31,900
----------------------------------------------------------------------
MONTANA -- 1.7%
7,900 Montana Higher Education Student
Assistance Corp., Student Loan,
Senior Ser. A, Rev., FRDO,
1.70%, 11/18/04 7,900
11,600 Montana Higher Education Student
Assistance Corp., Student Loan,
Senior Ser. A, Rev., FRDO,
1.75%, 11/19/04 11,600
----------------------------------------------------------------------
19,500
----------------------------------------------------------------------
NEW YORK -- 2.1%
13,425 New York City IDA, Special Facilities,
FLOATS, Ser. 921, Rev., FRDO,
1.96%, 11/04/04 13,425
1 New York State Environmental Facilities
Corp., Clean Water & Drinking, FLOATS,
Ser. 731, Rev., FRDO, 1.78%, 11/04/04 1
10,600 New York State Energy Research &
Development Authority, Consolidated
Edison Co., Sub Ser. A-2, Rev., FRDO,
AMBAC, 1.55%, 11/17/04 10,600
----------------------------------------------------------------------
24,026
----------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
34
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- -----------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS -- CONTINUED
NORTH CAROLINA -- 2.0%
$ 5,000 Wake County Industrial Facilities &
Pollution Control Financing Authority,
Carolina Power & Light, Ser. A, Rev.,
FRDO, AMBAC, 1.50%, 11/17/04 $ 5,000
17,475 Wake County Industrial Facilities &
Pollution Control Financing Authority,
Ser. G, Rev., FRDO, AMBAC,
1.55%, 11/26/04 17,475
----------------------------------------------------------------------
22,475
----------------------------------------------------------------------
NORTH DAKOTA -- 0.2%
2,000 Underwood, North Dakota, PCR,
Cooperative Power Association Project,
Ser. A, Rev., FRDO, 1.67%, 11/03/04 2,000
OHIO -- 1.6%
17,400 Student Loan Funding Corp., Cincinnati,
Ohio, Senior Ser. A-7, Rev., FRDO,
1.70%, 11/12/04 17,400
OREGON -- 0.2%
1,700 Portland, Oregon, Sewer Systems,
Second Lien, Ser. B-1, Rev.,
FRDO, MBIA, 1.60%, 11/26/04 1,700
PENNSYLVANIA -- 0.2%
2,000 ABN AMRO Munitops Certificate Trust,
Ser. 1999-16, Class V, FRDO, MBIA,
1.79%, 11/03/04 2,000
RHODE ISLAND -- 0.5%
5,500 Rhode Island Student Loan Authority,
ACES, Ser. 1, Rev., FRDO, AMBAC,
1.70%, 11/17/04 5,500
SOUTH CAROLINA -- 1.1%
8,200 Greenville Hospital Systems,
Ser. C, Rev., FRDO, AMBAC,
1.58%, 11/19/04 8,200
4,500 South Carolina State Education
Assistance Authority, Rev., FRDO,
1.77%, 11/19/04 4,500
----------------------------------------------------------------------
12,700
----------------------------------------------------------------------
TENNESSEE -- 0.5%
$ 5,125 Blount County Public Building
Authority, Local Government Public
Improvement, Ser. C-1-A, Rev., FRDO,
1.80%, 11/26/04 $ 5,125
TEXAS -- 1.6%
7,500 Brazos Higher Education Authority,
ACES, Senior Lien, Ser. A-3, Rev.,
FRDO, 1.75%, 11/18/04 7,500
10,200 South Texas Higher Education Authority,
Ser. A-1, Rev., FRDO, MBIA,
1.76%, 11/19/04 10,200
----------------------------------------------------------------------
17,700
----------------------------------------------------------------------
WASHINGTON -- 0.7%
7,995 Washington State, Ser. 96-A, GO, (p),
FGIC, 5.75%, 07/01/05 8,203
WYOMING -- 0.5%
5,800 Wyoming Student Loan Corp., ACES,
Ser. B, Rev., FRDO, 1.76%, 11/17/04 5,800
----------------------------------------------------------------------
Total State and Municipal Obligations 514,679
(Cost $514,856)
----------------------------------------------------------------------
U.S. TREASURY SECURITY -- 0.0% ^
400 U.S. Treasury Bill, 1.82%, 01/13/05, @ + 399
(Cost $399)
</Table>
<Table>
<Caption>
SHARES
- -----------------------------------------------------------------------------------
MONEY MARKET FUND -- 10.5%
117,497 JPMorgan Tax Free Money Market
Fund (a) 117,497
(Cost $117,497)
----------------------------------------------------------------------
Total Short-Term Investments 632,575
(Cost $632,752)
----------------------------------------------------------------------
TOTAL INVESTMENTS -- 102.0% $ 1,144,763
(COST $1,143,991)
LIABILITIES IN EXCESS OF OTHER
ASSETS -- (2.0)% (22,745)
----------------------------------------------------------------------
NET ASSETS -- 100.0% $ 1,122,018
----------------------------------------------------------------------
</Table>
Percentages indicated are based on net assets of $1,122,018.
SEE NOTES TO FINANCIAL STATEMENTS.
35
<Page>
FUTURES CONTRACTS
(Amounts in thousands, except number of contracts)
<Table>
<Caption>
NOTIONAL UNREALIZED
NUMBER OF VALUE AT APPRECIATION
CONTRACTS DESCRIPTION EXPIRATION DATE 10/31/04 (USD) (DEPRECIATION) (USD)
- -------------------------------------------------------------------------------------------------------------------
SHORT FUTURES OUTSTANDING
(530) 5 Year Treasury Notes December, 2004 $ (59,029) $ 60
</Table>
SWAP CONTRACTS
<Table>
<Caption>
UNDERLYING UNREALIZED
NOTIONAL APPRECIATION
DESCRIPTIONS EXPIRATION DATE VALUE (DEPRECIATION)
- -------------------------------------------------------------------------------------------------------------------
Swap -- rate lock with Citibank N.A., on 6M USD --
BMA rate Swap less 3.256%, the Fund pays positive,
receives negative. 05/01/09 $ 40,000 $ (1,306)
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
36
<Page>
JPMORGAN TAX AWARE LARGE CAP GROWTH FUND
PORTFOLIO OF INVESTMENTS AS OF OCTOBER 31, 2004
(Amounts in thousands)
<Table>
<Caption>
SHARES ISSUER VALUE
- -----------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- 99.2%
COMMON STOCKS -- 99.2%
ADVERTISING -- 1.0%
17 Getty Images, Inc.* $ 1,017
25 Lamar Advertising Co., Class A* 1,036
-------------------------------------------------------------------------
2,053
-------------------------------------------------------------------------
AEROSPACE -- 1.0%
13 General Dynamics Corp. 1,317
13 Lockheed Martin Corp. 689
-------------------------------------------------------------------------
2,006
-------------------------------------------------------------------------
BIOTECHNOLOGY -- 2.8%
20 Amgen, Inc.* 1,147
27 Biogen Idec, Inc.* 1,570
33 Genentech, Inc.* 1,498
45 Medimmune, Inc.* 1,268
-------------------------------------------------------------------------
5,483
-------------------------------------------------------------------------
BROADCASTING/CABLE -- 0.6%
38 EchoStar Communications Corp., Class A* 1,211
BUSINESS SERVICES -- 6.6%
65 Accenture LTD (Bermuda), Class A* 1,562
46 Affiliated Computer Services, Inc., Class A* 2,503
46 Apollo Group, Inc., Class A* 3,042
45 Automatic Data Processing, Inc. 1,970
27 ChoicePoint, Inc.* 1,128
25 Cintas Corp. 1,066
23 Robert Half International, Inc. 597
47 SunGard Data Systems, Inc.* 1,240
-------------------------------------------------------------------------
13,108
-------------------------------------------------------------------------
CHEMICALS -- 0.6%
31 Praxair, Inc. 1,287
COMPUTER NETWORKS -- 3.7%
298 Cisco Systems, Inc.* 5,729
59 Juniper Networks, Inc.* 1,567
-------------------------------------------------------------------------
7,296
-------------------------------------------------------------------------
COMPUTER SOFTWARE -- 6.2%
24 Intuit, Inc.* 1,070
285 Microsoft Corp. 7,975
118 Oracle Corp.* 1,494
40 Red Hat, Inc.* $ 511
31 SAP AG (Germany), ADR 1,309
-------------------------------------------------------------------------
12,359
-------------------------------------------------------------------------
COMPUTERS/COMPUTER HARDWARE -- 3.0%
130 Dell, Inc.* 4,543
10 Research In Motion LTD (Canada)* 847
12 Zebra Technologies Corp., Class A* 631
-------------------------------------------------------------------------
6,021
-------------------------------------------------------------------------
CONSUMER PRODUCTS -- 3.8%
107 Procter & Gamble Co. 5,451
51 The Gillette Co. 2,132
-------------------------------------------------------------------------
7,583
-------------------------------------------------------------------------
CONSUMER SERVICES -- 0.6%
48 Education Management Corp.* 1,279
DIVERSIFIED -- 2.8%
92 General Electric Co. 3,126
78 Tyco International LTD (Bermuda) 2,414
-------------------------------------------------------------------------
5,540
-------------------------------------------------------------------------
ELECTRONICS/ELECTRICAL EQUIPMENT -- 1.5%
70 PerkinElmer, Inc. 1,438
100 Symbol Technologies, Inc. 1,466
-------------------------------------------------------------------------
2,904
-------------------------------------------------------------------------
ENTERTAINMENT/LEISURE -- 1.2%
34 Carnival Corp. 1,714
21 International Game Technology 697
-------------------------------------------------------------------------
2,411
-------------------------------------------------------------------------
FINANCIAL SERVICES -- 5.4%
9 Chicago Mercantile Exchange 1,666
12 Countrywide Financial Corp. 383
45 Freddie Mac 2,977
14 Legg Mason, Inc. 914
45 Morgan Stanley 2,279
179 The Charles Schwab Corp. 1,639
17 The First Marblehead Corp.* 895
-------------------------------------------------------------------------
10,753
-------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
37
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- -----------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
FOOD/BEVERAGE PRODUCTS -- 4.4%
49 PepsiCo, Inc. $ 2,415
61 Sysco Corp. 1,965
108 The Coca-Cola Co. 4,395
-------------------------------------------------------------------------
8,775
-------------------------------------------------------------------------
HEALTH CARE/HEALTH CARE SERVICES -- 5.9%
54 Baxter International, Inc. 1,661
46 Boston Scientific Corp.* 1,627
35 Cytyc Corp.* 903
41 Guidant Corp. 2,738
51 Laboratory Corp. of America Holdings* 2,350
33 UnitedHealth Group, Inc. 2,396
-------------------------------------------------------------------------
11,675
-------------------------------------------------------------------------
INSURANCE -- 2.3%
16 AMBAC Financial Group, Inc. 1,210
48 American International Group, Inc. 2,914
15 Willis Group Holdings LTD (United Kingdom) 543
-------------------------------------------------------------------------
4,667
-------------------------------------------------------------------------
INTERNET SERVICES/SOFTWARE -- 3.7%
24 eBay, Inc.* 2,372
4 Google, Inc., Class A* 749
41 VeriSign, Inc.* 1,087
85 Yahoo!, Inc.* 3,058
-------------------------------------------------------------------------
7,266
-------------------------------------------------------------------------
MULTI-MEDIA -- 2.2%
212 Liberty Media Corp., Class A* 1,892
16 The E.W. Scripps Co., Class A 778
45 Viacom, Inc., Class B 1,638
-------------------------------------------------------------------------
4,308
-------------------------------------------------------------------------
OFFICE/BUSINESS EQUIPMENT -- 0.5%
70 Xerox Corp.* 1,031
OIL & GAS -- 2.6%
29 Anadarko Petroleum Corp. 1,936
21 Schlumberger LTD 1,290
32 Smith International, Inc.* 1,859
-------------------------------------------------------------------------
5,085
-------------------------------------------------------------------------
PHARMACEUTICALS -- 12.5%
46 Eli Lilly & Co. $ 2,509
37 Forest Laboratories, Inc.* 1,646
14 ImClone Systems, Inc.* 604
128 Johnson & Johnson 7,450
35 Merck & Co., Inc. 1,096
16 OSI Pharmaceuticals, Inc.* 1,040
254 Pfizer, Inc. 7,362
99 Schering-Plough Corp. 1,798
30 Sepracor, Inc.* 1,382
-------------------------------------------------------------------------
24,887
-------------------------------------------------------------------------
RESTAURANTS/FOOD SERVICES -- 0.5%
20 P.F. Chang's China Bistro, Inc.* 1,022
RETAILING -- 11.5%
36 CDW Corp. 2,239
29 CVS Corp. 1,243
139 Home Depot, Inc. 5,705
41 IAC/InterActiveCorp* 891
55 MSC Industrial Direct Co., Class A 1,864
67 Staples, Inc. 1,978
63 Target Corp. 3,146
68 The Gap, Inc. 1,351
82 Wal-Mart Stores, Inc. 4,438
-------------------------------------------------------------------------
22,855
-------------------------------------------------------------------------
SEMI-CONDUCTORS -- 5.3%
77 Altera Corp.* 1,746
48 Analog Devices, Inc. 1,932
68 Applied Materials, Inc.* 1,093
192 Intel Corp. 4,269
40 Linear Technology Corp. 1,527
-------------------------------------------------------------------------
10,567
-------------------------------------------------------------------------
SHIPPING/TRANSPORTATION -- 0.9%
24 United Parcel Service, Inc., Class B 1,861
STEEL -- 0.5%
25 United States Steel Corp. 903
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
38
<Page>
ANNUAL REPORT OCTOBER 31 2004
<Table>
<Caption>
SHARES ISSUER VALUE
- -----------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
TELECOMMUNICATIONS -- 2.7%
147 Crown Castle International Corp.* $ 2,247
73 Nextel Communications, Inc., Class A* 1,936
57 Sprint Corp. -- FON Group 1,203
-------------------------------------------------------------------------
5,386
-------------------------------------------------------------------------
TELECOMMUNICATIONS EQUIPMENT -- 2.9%
116 Corning, Inc.* 1,330
106 Motorola, Inc. 1,824
63 QUALCOMM, Inc. 2,652
-------------------------------------------------------------------------
5,806
-------------------------------------------------------------------------
Total Common Stocks 197,388
(Cost $178,537)
-------------------------------------------------------------------------
SHORT-TERM INVESTMENT -- 1.2%
MONEY MARKET FUND -- 1.2%
2,451 JPMorgan Prime Money Market Fund (a) $ 2,451
(Cost $2,451)
-------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100.4% $ 199,839
(COST $180,988)
LIABILITIES IN EXCESS OF OTHER
ASSETS -- (0.4)% (867)
-------------------------------------------------------------------------
NET ASSETS -- 100.0% $ 198,972
-------------------------------------------------------------------------
</Table>
Percentages indicated are based on net assets of $198,972.
SEE NOTES TO FINANCIAL STATEMENTS.
39
<Page>
JPMORGAN TAX AWARE LARGE CAP VALUE FUND
PORTFOLIO OF INVESTMENTS AS OF OCTOBER 31, 2004
(Amounts in thousands)
<Table>
<Caption>
SHARES ISSUER VALUE
- -----------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- 98.3%
COMMON STOCKS -- 98.3%
AEROSPACE -- 2.1%
314 Raytheon Co. $ 11,458
APPAREL -- 1.5%
236 Jones Apparel Group, Inc. 8,338
AUTOMOTIVE -- 1.9%
176 Johnson Controls, Inc. 10,105
BANKING -- 9.1%
382 Bank of America Corp. 17,092
204 North Fork Bancorporation, Inc. 8,979
241 The Bank of New York Co., Inc. 7,836
245 U.S. Bancorp 7,009
133 Wells Fargo & Co. 7,955
-------------------------------------------------------------------------
48,871
-------------------------------------------------------------------------
BUSINESS SERVICES -- 2.1%
459 Accenture LTD (Bermuda), Class A* 11,103
CHEMICALS -- 2.0%
251 Praxair, Inc. 10,601
COMPUTER SOFTWARE -- 0.6%
149 VERITAS Software Corp.* 3,267
COMPUTERS/COMPUTER HARDWARE -- 1.5%
435 Hewlett-Packard Co. 8,125
CONSTRUCTION MATERIALS -- 2.6%
309 American Standard Companies, Inc.* 11,285
60 Lafarge North America, Inc. 2,916
-------------------------------------------------------------------------
14,201
-------------------------------------------------------------------------
CONSUMER PRODUCTS -- 1.7%
188 Altria Group, Inc. 9,111
DIVERSIFIED -- 7.4%
777 General Electric Co. 26,525
424 Tyco International LTD (Bermuda) 13,211
-------------------------------------------------------------------------
39,736
-------------------------------------------------------------------------
FINANCIAL SERVICES -- 12.5%
199 CIT Group, Inc. $ 8,048
549 Citigroup, Inc. 24,351
133 Freddie Mac 8,831
137 Goldman Sachs Group, Inc. 13,498
154 Merrill Lynch & Co., Inc. 8,318
126 Washington Mutual, Inc. 4,881
-------------------------------------------------------------------------
67,927
-------------------------------------------------------------------------
FOOD/BEVERAGE PRODUCTS -- 2.5%
235 Kraft Foods, Inc., Class A 7,815
133 The Coca-Cola Co. 5,387
-------------------------------------------------------------------------
13,202
-------------------------------------------------------------------------
HEALTH CARE/HEALTH CARE SERVICES -- 1.4%
71 Boston Scientific Corp.* 2,499
138 HCA, Inc. 5,051
-------------------------------------------------------------------------
7,550
-------------------------------------------------------------------------
INSURANCE -- 7.0%
160 AMBAC Financial Group, Inc. 12,506
238 RenaissanceRe Holdings LTD (Bermuda) 11,143
141 Torchmark Corp. 7,638
183 Willis Group Holdings LTD
(United Kingdom) 6,593
-------------------------------------------------------------------------
37,880
-------------------------------------------------------------------------
MANUFACTURING -- 1.9%
177 Honeywell International, Inc. 5,951
182 Timken Co. 4,363
-------------------------------------------------------------------------
10,314
-------------------------------------------------------------------------
METALS/MINING -- 1.7%
278 Alcoa, Inc. 9,038
MULTI-MEDIA -- 4.8%
177 Comcast Corp., Special Class A* 5,128
133 Gannett Co., Inc. 11,057
261 Viacom, Inc., Class B 9,517
-------------------------------------------------------------------------
25,702
-------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
40
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- -----------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
OIL & GAS -- 11.0%
211 ChevronTexaco Corp. $ 11,211
161 ConocoPhillips 13,565
81 Devon Energy Corp. 5,955
485 Exxon Mobil Corp. 23,887
168 GlobalSantaFe Corp. 4,959
-------------------------------------------------------------------------
59,577
-------------------------------------------------------------------------
PACKAGING -- 1.0%
310 Smurfit-Stone Container Corp.* 5,373
PHARMACEUTICALS -- 4.2%
126 GlaxoSmithKline PLC
(United Kingdom), ADR 5,334
148 Johnson & Johnson 8,629
95 Pfizer, Inc. 2,750
145 Wyeth 5,740
-------------------------------------------------------------------------
22,453
-------------------------------------------------------------------------
REAL ESTATE INVESTMENT TRUST -- 1.1%
170 Archstone-Smith Trust 5,687
RESTAURANTS/FOOD SERVICES -- 1.7%
318 McDonald's Corp. 9,261
RETAILING -- 4.9%
67 AutoZone, Inc.* 5,465
166 CVS Corp. 7,206
287 Safeway, Inc.* 5,242
343 The TJX Companies, Inc. 8,218
-------------------------------------------------------------------------
26,131
-------------------------------------------------------------------------
TELECOMMUNICATIONS -- 4.4%
333 SBC Communications, Inc. $ 8,419
394 Verizon Communications, Inc. 15,398
-------------------------------------------------------------------------
23,817
-------------------------------------------------------------------------
TEXTILES -- 1.1%
70 Mohawk Industries, Inc.* 5,939
UTILITIES -- 4.6%
92 Entergy Corp. 6,000
116 FPL Group, Inc. 7,992
209 PPL Corp. 10,858
-------------------------------------------------------------------------
24,850
-------------------------------------------------------------------------
Total Common Stocks 529,617
(Cost $479,915)
SHORT-TERM INVESTMENT -- 3.2%
MONEY MARKET FUND -- 3.2%
17,260 JPMorgan Prime Money Market Fund (a) 17,260
(Cost $17,260)
TOTAL INVESTMENTS -- 101.5% $ 546,877
(COST $497,175)
LIABILITIES IN EXCESS OF OTHER
ASSETS -- (1.5)% (8,124)
-------------------------------------------------------------------------
NET ASSETS -- 100.0% $ 538,753
-------------------------------------------------------------------------
</Table>
Percentages indicated are based on net assets of $538,753.
SEE NOTES TO FINANCIAL STATEMENTS.
41
<Page>
JPMORGAN TAX AWARE SHORT-INTERMEDIATE INCOME FUND
PORTFOLIO OF INVESTMENTS AS OF OCTOBER 31, 2004
(Amounts in thousands)
<Table>
<Caption>
SHARES ISSUER VALUE
- -----------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- 97.2%
PREFERRED STOCKS -- 0.5%
FINANCIAL SERVICES -- 0.5%
3 Pinto Totta International Finance,
7.77%, FRN, # $ 3,808
(Cost $3,903)
<Caption>
PRINCIPAL
AMOUNT
- -----------------------------------------------------------------------------------
U.S. TREASURY SECURITY -- 0.1%
UNITED STATES -- 0.1%
$ 400 U.S. Treasury Notes & Bonds,
2.00%, 08/31/05 @ 399
(Cost $401)
STATE AND MUNICIPAL OBLIGATIONS -- 82.5%
ARIZONA -- 1.5%
1,500 Maricopa County Pollution
Control Corp., PCR, Southern
California Edison Co., Ser. A, Rev., Adj.,
2.90%, 06/01/35 1,477
1,000 Maricopa County School
District No. 6-Washington
Elementary, Ser. B, GO,
7.10%, 07/01/06 1,080
7,300 Maricopa County Unified School
District No. 97-Deer Valley, GO, FGIC,
5.00%, 07/01/10 8,086
-------------------------------------------------------------------------
10,643
-------------------------------------------------------------------------
CALIFORNIA -- 7.3%
5,000 California Pollution Control Financing
Authority, Ser. D, Rev., Adj.,
2.00%, 02/28/08 4,955
7,000 California State Department of
Water Resources, Power Supply,
Ser. A, Rev., MBIA, 5.25%, 05/01/10 7,840
5,000 California State, Economic Recovery,
Ser. B, GO, Adj., 5.00%, 07/01/23 5,365
10,000 California State, Economic Recovery,
Ser. B, GO, Adj., 5.00%, 07/01/23 10,902
1,000 California State, GO, 7.00%, 08/01/07 1,123
3,500 California Statewide Communities
Development Authority, Kaiser
Permanente, Ser. F, Rev., Adj.,
2.30%, 04/01/33 3,492
$ 5,000 California Statewide Communities
Development Authority,
Kaiser Permanente, Ser. G, Rev., Adj.,
2.30%, 04/01/34 $ 4,988
1,000 Central Valley School District
Financing Authority,
Ser. A, Rev., MBIA, 6.20%, 02/01/10 1,163
6,365 Los Angeles Unified School District,
Election 2004, Ser. A, GO, MBIA,
5.00%, 07/01/07 6,856
3,500 Sacramento County Sanitation District,
Ser. A, Rev., 5.88%, 12/01/27 3,676
1,000 Santa Clara County Financing Authority,
Measure B, Transportation Improvement
Program, Rev., 4.00%, 08/01/05 1,016
-------------------------------------------------------------------------
51,376
-------------------------------------------------------------------------
COLORADO -- 1.6%
5,000 Colorado Department of Transportation,
RAN, AMBAC, 5.75%, 06/15/07 5,481
2,500 Colorado Health Facilities Authority,
Evangelical Lutheran, Ser. B, Rev, Adj,
3.75%, 06/01/34 2,519
3,040 Regional Transportation District,
Transit Vehicles, COP,
Ser. A, Adj., AMBAC, 2.30%, 12/01/22 3,043
-------------------------------------------------------------------------
11,043
-------------------------------------------------------------------------
CONNECTICUT -- 0.8%
2,000 Connecticut Resource Recovery
Authority, American Ref-Fuel Co.,
Ser. A, Rev., MBIA, 5.50%, 11/15/05 2,067
3,500 Connecticut State Development
Authority, PCR, Ser. A, Rev., Adj., AMBAC,
3.35%, 05/01/31 3,546
-------------------------------------------------------------------------
5,613
-------------------------------------------------------------------------
FLORIDA -- 2.4%
1,000 Escambia County Health Facilities
Authority, Ascension Health Credit,
Ser. A, Rev., 5.00%, 11/15/06 1,057
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
42
<Page>
<Table>
PRINCIPAL
AMOUNT ISSUER VALUE
- -----------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
FLORIDA -- CONTINUED
$ 1,855 Escambia County Health Facilities
Authority, Ascension Health Credit,
Ser. A-1, Rev., (p), AMBAC,
5.75%, 11/15/09 $ 2,128
4,400 Florida State Turnpike Authority,
Department of Transportation,
Ser. A, Rev., FSA, 5.25%, 07/01/08 4,843
8,200 Reedy Creek Improvement District,
Florida Utilities, Ser. 2, Rev., MBIA,
5.25%, 10/01/11 9,257
-------------------------------------------------------------------------
17,285
-------------------------------------------------------------------------
GEORGIA -- 2.9%
1,680 Fulco Hospital Authority, Health Systems,
Catholic Health East, Ser. A,
Rev., RAC, MBIA, 5.50%, 11/15/08 1,877
7,000 Georgia State Road & Tollway Authority,
Governors Transportation Choices, Rev.,
5.00%, 03/01/08 7,616
10,195 Private Colleges & Universities Authority,
Emory University, Ser. A, Rev.,
5.00%, 09/01/09 11,256
-------------------------------------------------------------------------
20,749
-------------------------------------------------------------------------
ILLINOIS -- 2.5%
2,625 Chicago, Illinois, Tax Increment, Pilsen
Redevelopment, Ser. A, Tax Allocation,
AMBAC, 4.35%, 06/01/13 2,665
1,015 Grundy County School District
No. 54 Morris, Ser. A, GO, AMBAC,
5.50%, 12/01/08 1,137
4,000 Illinois Development Finance Authority,
Gas Supply, Peoples Gas Light & Coke,
Ser. B, Rev., Adj., AMBAC,
3.05%, 02/01/33 4,064
2,500 Illinois Development Finance Authority,
PCR, Illinois Power Company Project,
Ser. A, Rev., (p), 7.38%, 07/01/06 2,761
1,350 Illinois Health Facilities Authority,
University of Chicago Hospital System,
Rev., MBIA, 5.00%, 08/15/07 1,450
5,500 Illinois State, GO, FGIC, 5.13%, 12/01/10 5,809
-------------------------------------------------------------------------
17,886
-------------------------------------------------------------------------
INDIANA -- 0.7%
$ 3,300 Indiana Transportation Finance Authority,
Airport Facilities Lease, Ser. A, Rev.,
AMBAC, 6.00%, 11/01/06 $ 3,546
1,010 St. Joseph County Hospital Authority,
Health System, Ser. A, Rev.,
MBIA, 5.50%, 08/15/08 1,116
-------------------------------------------------------------------------
4,662
-------------------------------------------------------------------------
IOWA -- 0.3%
1,895 Iowa Finance Authority, Hospital Facility,
Health System, Ser. A, Rev., MBIA,
5.25%, 07/01/07 2,025
KENTUCKY -- 0.1%
825 Owensboro, Kentucky, Electric
Light & Power, Rev., (p), 6.85%, 01/01/08 888
MARYLAND -- 7.3%
2,000 Maryland State Health & Higher
Educational Facilities Authority,
Johns Hopkins Hospital, Ser. A,
Rev., 4.50%, 08/01/05 2,037
11,525 Maryland State, State and Local Facilities,
Second Series, GO, 5.00%, 08/01/07 12,444
4,000 Northeast Waste Disposal Authority,
Resource Recovery Revenue, Solid Waste,
Montgomery County Resource Recovery
Project, Ser. A, Rev., 6.00%, 07/01/07 4,300
5,410 Northeast Waste Disposal Authority,
Resource Recovery Revenue, Solid Waste,
Rev., AMBAC, 5.25%, 04/01/09 5,877
12,440 University System of Maryland,
Auxiliary Facilities & Tuition, Ser. A, Rev.,
5.00%, 04/01/08 13,530
11,905 Washington Suburban Sanitation District,
General Construction, GO,
5.00%, 06/01/11 13,323
-------------------------------------------------------------------------
51,511
-------------------------------------------------------------------------
MASSACHUSETTS -- 1.3%
5,000 Massachusetts State, CONS,
Ser. B, GO, (p), 6.00%, 06/01/10 5,796
3,365 Massachusetts State, CONS,
Ser. D, GO, (p), 5.25%, 11/01/06 3,614
-------------------------------------------------------------------------
9,410
-------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
43
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- -----------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
MICHIGAN -- 1.1%
$ 1,000 Michigan Higher Education Student
Loan Authority, Student Loan,
Ser. XVII-I, Rev., AMBAC,
3.30%, 03/01/09 $ 1,007
1,000 Michigan State Hospital Finance
Authority, Ascension Health Credit,
Ser. A, Rev., (p), MBIA, 5.75%, 11/15/09 1,152
3,000 Michigan State Hospital Finance
Authority, Ascension Health Credit,
Ser. B, Rev., Adj., 5.38%, 11/15/33 3,263
1,000 Michigan State, GO, 5.25%, 12/01/10 1,125
1,000 Michigan Strategic Fund,
Dow Chemical Project, Rev., Adj.,
4.60%, 06/01/14 1,060
-------------------------------------------------------------------------
7,607
-------------------------------------------------------------------------
MINNESOTA -- 0.1%
1,000 Minnesota Housing Finance Agency,
Residential Housing, Ser. K-1, Rev.,
2.25%, 07/01/17 988
MISSISSIPPI -- 0.3%
2,300 Mississippi Business Finance Corp.,
Solid Waste Disposal, Waste
Management, Inc. Project, Rev., Adj.,
2.30%, 03/01/27 2,279
NEW JERSEY -- 9.5%
2,550 New Jersey Economic Development
Authority, Cigarette Tax, Rev.,
5.00%, 06/15/07 2,708
3,000 New Jersey Economic Development
Authority, Cigarette Tax, Rev., FGIC,
5.00%, 06/15/09 3,279
3,000 New Jersey Economic Development
Authority, Cigarette Tax, Rev., FSA,
5.00%, 06/15/09 3,279
12,150 New Jersey Economic Development
Authority, School Facilities
Construction, Ser. G, Rev.,
5.00%, 09/01/09 13,333
$ 5,000 New Jersey Transportation Trust Fund
Authority, Transportation System,
Ser. A, Rev., MBIA, 5.00%, 12/15/07 $ 5,316
10,000 New Jersey Transportation Trust Fund
Authority, Transportation System,
Ser. B, Rev., (p), MBIA, 6.00%, 12/15/11 11,881
12,690 New Jersey Transportation Trust Fund
Authority, Transportation System,
Ser. B, Rev., (p), MBIA, 6.00%, 12/15/11 15,076
10,000 New Jersey Transportation Trust Fund
Authority, Transportation System,
Ser. B, Rev., FGIC, 5.25%, 12/15/11 11,303
-------------------------------------------------------------------------
66,175
-------------------------------------------------------------------------
NEW MEXICO -- 0.1%
340 New Mexico State Highway
Commission, Common Tax, Sub Lien,
Ser. B, Rev., 5.00%, 06/15/06 357
660 New Mexico State Highway Commission,
Common Tax, Sub Lien, Ser. B, Rev., (p),
5.00%, 06/15/06 693
-------------------------------------------------------------------------
1,050
-------------------------------------------------------------------------
NEW YORK -- 8.7%
3,000 Dutchess County IDA, IBM Project,
Rev., Adj., 5.45%, 12/01/29 3,324
1,400 Long Island Power Authority,
Electric Systems, Ser. 8, Sub Ser. 8-F,
Rev., Adj., MBIA, 5.00%, 04/01/11 1,467
1,280 Long Island Power Authority,
Electric Systems, Ser. B, Rev.,
5.00%, 06/01/05 1,302
3,500 Long Island Power Authority,
Electric Systems, Ser. B, Rev.,
5.00%, 06/01/06 3,650
2,500 Municipal Assistance Corp.
for the City of New York,
Ser. G, Rev., 6.00%, 07/01/06 2,667
1,300 Municipal Assistance Corp.
for the City of New York,
Ser. O, Rev., 5.25%, 07/01/08 1,433
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
44
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- -----------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
NEW YORK -- CONTINUED
$ 2,000 New York City Health & Hospital Corp.,
Health Systems, Ser. A, Rev., AMBAC,
5.00%, 02/15/09 $ 2,192
3,720 New York City Municipal Water Finance
Authority, Water & Sewer System,
Ser. B, Rev., (p), FSA, 5.88%, 06/15/06 3,973
5,000 New York City Municipal Water Finance
Authority, Water & Sewer System,
Ser. B, Rev., MBIA, 5.80%, 06/15/29 5,496
800 New York City, New York, Ser. B, GO,
5.10%, 08/01/08 863
5,000 New York City, New York, Ser. D, GO,
MBIA, 6.20%, 02/01/07 5,441
1,400 New York City, New York, Ser. F, GO,
5.70%, 08/01/06 1,481
3,000 New York City, New York, Ser. G, GO,
5.00%, 08/01/07 3,217
5,000 New York City, New York, Ser. G, GO,
MBIA, 5.00%, 08/01/10 5,404
1,800 New York Convention Center
Operating Corp., Yale Building
Acquisition Project, COP,
5.25%, 06/01/08 1,873
1,000 New York State Dormitory Authority,
City University System, Ser. E, Rev,
5.75%, 07/01/06 1,060
2,530 New York State Dormitory Authority,
Department of Health, Ser. 2, Rev.,
5.00%, 07/01/09 2,767
2,940 New York State Dormitory Authority,
Department of Health, Ser. 2, Rev.,
5.00%, 07/01/10 3,229
6,480 New York State Dormitory Authority,
Hospital, Ser. A, Rev., FSA,
5.00%, 02/15/10 7,137
1,310 New York State Dormitory Authority,
State Department of Health, Rev.,
5.25%, 07/01/08 1,432
1,835 Triborough Bridge & Tunnel Authority,
General Purpose, Ser. SR, Rev., (p),
5.00%, 01/01/07 1,894
-------------------------------------------------------------------------
61,302
-------------------------------------------------------------------------
NORTH CAROLINA -- 4.7%
$ 2,500 Guilford County, GO, 4.00%, 10/01/22 $ 2,628
500 North Carolina Municipal Power
Agency No. 1, Catawba, Taxable,
Ser. B, Rev., 3.26%, 01/01/05 500
11,720 North Carolina State, GO,
5.00%, 03/01/09 12,910
5,380 North Carolina State, Ser. A, GO,
5.00%, 06/01/10 5,980
10,010 North Carolina State, Ser. A, GO, (p),
5.00%, 04/01/08 11,115
-------------------------------------------------------------------------
33,133
-------------------------------------------------------------------------
OHIO -- 2.9%
3,500 Gateway Economic Development
Corporation, Greater Cleveland
Excise Tax, Senior Lien, FSA,
5.13%, 09/01/05 3,590
1,500 Ohio State Air Quality Development
Authority, Ohio Edison Project,
Ser. A, Rev., Adj., AMBAC,
3.25%, 02/01/15 1,517
500 Ohio State Air Quality Development
Authority, Pollution Control, Ohio
Edison Project, Ser. C, Rev., Adj.,
5.80%, 06/01/16 501
13,415 Ohio State Building Authority,
State Facilities, Administration
Builing Fund Project, Ser. B, Rev.,
MBIA, 5.00%, 10/01/12 15,033
-------------------------------------------------------------------------
20,641
-------------------------------------------------------------------------
OREGON -- 1.6%
5,410 Multnomah County, GO, AMBAC,
5.00%, 08/01/10 6,009
5,000 Salem-Keizer School District No. 24J,
School Board Guaranty, GO, (p),
5.00%, 06/01/09 5,517
-------------------------------------------------------------------------
11,526
-------------------------------------------------------------------------
PENNSYLVANIA -- 1.7%
10,000 Pennsylvania State, Second Ser.,
GO, FGIC, 5.00%, 07/01/09 11,039
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
45
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- -----------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
PENNSYLVANIA -- CONTINUED
$ 1,000 Pittsburgh, Pennsylvania, Ser.
2002-2004,2006,2008 & 2009, GO,
AMBAC, 5.00%, 09/01/06 $ 1,054
-------------------------------------------------------------------------
12,093
-------------------------------------------------------------------------
PUERTO RICO -- 0.5%
3,000 Puerto Rico Highway & Transportation
Authority, Ser. AA, Rev.,
5.00%, 07/01/07 3,208
SOUTH CAROLINA -- 0.6%
2,000 South Carolina State, Capital
Improvement, Ser. A, GO,
5.00%, 01/01/09 2,201
2,000 South Carolina Transportation
Infrastructure Bank, Ser. A, Rev., MBIA,
5.00%, 10/01/10 2,190
-------------------------------------------------------------------------
4,391
-------------------------------------------------------------------------
TEXAS -- 6.2%
1,925 Brazos River Authority, PCR,
Utilities Electric Co., Ser. B, Rev., Adj.,
5.05%, 06/01/30 1,977
2,500 Brazos River Harbor Navigation District,
Brazoria County Environmental,
Dow Chemical Co. Project,
Ser. A-3, Rev., Adj., 4.95%, 05/15/33 2,631
10,000 Harris County, Toll Road, Ser. B-2,
Rev., Adj. FGIC, 5.00%, 08/15/21 10,942
10,000 Houston, Texas, Water & Sewer
System, Junior Lien, Ser. B, Rev., (p),
FGIC, 5.25%, 12/01/10 11,307
10,000 Houston, Texas, Water & Sewer System,
Junior Lien, Ser. D, Rev., (p), FGIC,
5.00%, 12/01/07 11,035
2,475 Matagorda County Navigation District
No. 1, PCR, Central Power & Light
Co., Ser. A, Rev., Adj, 4.55%, 11/01/29 2,572
3,000 Travis County Health Facilities
Development Corp., Ascension Health
Credit, Ser. A, Rev., MBIA,
5.75%, 11/15/07 3,267
-------------------------------------------------------------------------
43,731
-------------------------------------------------------------------------
VIRGINIA -- 9.0%
$ 2,000 Big Stone Gap Redevelopment & Housing
Authority, Correctional Facilities Lease,
Rev., 5.00%, 09/01/07 $ 2,154
5,000 Fairfax County, Public Improvement,
Ser. A, GO, 5.00%, 04/01/07 5,360
7,120 Loudoun County, Public Improvement,
Ser. A, GO, 5.00%, 05/01/08 7,782
2,000 Louisa IDA, Solid Waste & Sewer Disposal,
Electric & Power Co. Project, Ser. A,
Rev., Adj., 2.30%, 03/01/31 1,973
2,610 Peninsula Ports Authority, Dominion
Terminal Association Project,
Rev., Adj., 3.30%, 10/01/33 2,643
7,950 Richmond, Virginia, Ser. B, GO, FSA,
5.00%, 07/15/10 8,824
5,280 Virginia Beach, Virginia, Public
Improvement, Ser. B, GO,
5.00%, 05/01/11 5,873
3,505 Virginia Beach, Virginia,
Public Improvement, Ser. B, GO,
5.00%, 05/01/12 3,921
3,000 Virginia Beach, Virginia,
Public Improvement, Ser. B, GO,
5.00%, 05/01/13 3,362
8,500 Virginia Commonwealth Transportation
Board, Federal Highway Reimbursement
Notes, Rev., 5.00%, 10/01/11 9,493
10,560 Virginia Public Building Authority,
Public Facilities, Ser. B, Rev.,
5.00%, 08/01/08 11,573
-------------------------------------------------------------------------
62,958
-------------------------------------------------------------------------
WASHINGTON -- 3.8%
5,000 Clark County Public Utility District
No. 1, Generating Systems,
Rev., FGIC, (p), 6.00%, 01/01/07 5,410
1,070 Conservation & Renewable Energy
System, Conservation Project,
Rev., 5.00%, 10/01/06 1,129
1,175 Conservation & Renewable Energy
System, Conservation Project,
Rev., 5.00%, 10/01/07 1,266
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
46
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- -----------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
WASHINGTON -- CONTINUED
$ 3,170 Port of Seattle, Ser. B, GO, FSA,
5.00%, 11/01/09 $ 3,473
11,100 Port of Seattle, Ser. C, GO, FSA,
5.25%, 11/01/11 12,370
2,000 Snohomish County Public Utility
District No. 1, Electric, Rev.,
5.00%, 12/01/05 2,063
1,310 Tacoma, Washington, Conservation
System Project, Rev., 5.00%, 12/01/07 1,417
-------------------------------------------------------------------------
27,128
-------------------------------------------------------------------------
WISCONSIN -- 3.0%
2,500 Wisconsin State Health & Educational
Facilities Authority, Ministry Health
Care, Inc., Ser. B, Rev.,
3.50%, 05/15/07 2,531
17,205 Wisconsin State, Petroleum Inspection
Fee, Ser. 1, Rev., FSA, 5.00%, 07/01/10 18,980
-------------------------------------------------------------------------
21,511
-------------------------------------------------------------------------
Total State and Municipal Obligations 582,812
(Cost $579,885)
-------------------------------------------------------------------------
CORPORATE NOTES & BONDS -- 7.6%
AGRICULTURAL PRODUCTION/SERVICES -- 0.2%
1,350 National Agricultural Cooperative
Federation (South Korea), 5.75% to 06/09,
thereafter FRN, 06/18/14 1,412
BANKING -- 1.0%
1,800 Bacob Bank SC (Belgium),
7.25%, to 09/07; thereafter FRN,
12/31/49, 1,962
KorAm Bank (South Korea),
2,650 4.68% to 06/08; thereafter FRN,
06/18/13, Ser. E, MTN 2,707
2,200 6.95%, 12/06/11 2,354
-------------------------------------------------------------------------
7,023
-------------------------------------------------------------------------
COMPUTERS/COMPUTER HARDWARE -- 0.1%
750 Hewlett-Packard Co., 3.63%, 03/15/08 755
CONSUMER PRODUCTS -- 0.7%
$ 2,650 Diageo Finance BV (The Netherlands),
3.00%, 12/15/06 $ 2,650
2,200 Deluxe Corp., 3.50%, 10/01/07, # 2,181
-------------------------------------------------------------------------
4,831
-------------------------------------------------------------------------
FINANCIAL SERVICES -- 2.6%
3,550 BNP U.S. Funding LLC, 7.74% to 12/07;
thereafter FRN, 12/31/49, # 3,982
5,350 Capital One Financial Corp.,
8.75%, 02/01/07 5,964
1,400 MBNA America Bank N.A.,
4.63%, 08/03/09 1,437
1,300 Mizuho JGB Investment LLC,
9.87% to 06/08;
thereafter FRN, 12/31/49, # 1,527
4,950 Natexis AMBS Co., LLC, 8.44% to 06/08;
thereafter FRN, 12/31/49, # 5,687
-------------------------------------------------------------------------
18,597
-------------------------------------------------------------------------
INSURANCE -- 0.5%
3,400 Prudential Financial, Inc.,
4.10%, 11/15/06 3,462
METALS/MINING -- 0.7%
4,400 BHP Finance USA LTD (Australia)
(Yankee), 6.69%, 03/01/06 4,606
PHARMACEUTICALS -- 0.1%
750 Hospira, Inc., 4.95%, 06/15/09 769
TELECOMMUNICATIONS -- 1.4%
1,750 France Telecom (France),
7.95%, 03/01/06 1,862
1,950 Deutsche Telekom International
Finance BV (The Netherlands),
8.25%, 06/15/05 2,017
Telecom Italia Capital SA (Luxembourg)
1,600 4.00%, 11/15/08 1,611
1,350 4.00%, 01/15/10, # 1,337
2,825 Sprint Capital Corp., 6.00%, 01/15/07 2,987
-------------------------------------------------------------------------
9,814
-------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
47
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- -----------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
UTILITIES -- 0.3%
$ 1,400 FPL Group Capital, Inc.,
1.88%, 03/30/05 $ 1,397
800 Public Service Co. of Colorado,
4.38%, 10/01/08 820
-------------------------------------------------------------------------
2,217
-------------------------------------------------------------------------
Total Corporate Notes & Bonds 53,486
(Cost $53,747)
-------------------------------------------------------------------------
RESIDENTIAL MORTGAGE BACKED SECURITIES -- 3.3%
COLLATERALIZED MORTGAGE OBLIGATIONS -- 3.3%
Structured Adjustable Rate
Mortgage Loan Trust,
6,350 4.73%, 07/25/34,
Ser. 2004-8, Class 5A2, FRN 6,415
7,789 5.02%, 06/25/34,
Ser. 2004-6, Class 5A1, FRN 7,868
Wells Fargo Mortgage Backed
Securities Trust,
4,950 3.54%, 09/25/34,
Ser. 2004-S, Class A3, FRN 4,953
4,200 4.82%, 07/25/34,
Ser. 2004-L, Class A2, FRN 4,247
-------------------------------------------------------------------------
Total Residential Mortgage
Backed Securities 23,483
(Cost $23,469)
-------------------------------------------------------------------------
COMMERCIAL MORTGAGE BACKED SECURITIES -- 2.7%
3,250 Credit Suisse First Boston Mortgage
Securities Corp., 4.30%, 07/15/36,
Ser. 2004-C3, Class A3 3,308
LB-UBS Commercial Mortgage Trust,
9,150 3.25%, 03/15/29,
Ser. 2004-C2, Class A2 8,984
6,850 3.48%, 07/15/27, Ser. 2003-C5, Class A2 6,816
-------------------------------------------------------------------------
Total Commercial Mortgage
Backed Securities 19,108
(Cost $19,190)
-------------------------------------------------------------------------
ASSET BACKED SECURITIES -- 0.1%
$ 800 Capital One Auto Finance Trust, 3.18%,
09/15/10, Ser. 2003-B, Class A4
(Cost $800) $ 799
-------------------------------------------------------------------------
PARTICIPATORY NOTE -- 0.4%
DIVERSIFIED -- 0.4%
2,600 Tyco International Group SA
Participation Certificate Trust,
4.44%, 06/15/07, #
(Cost $2,600) 2,667
-------------------------------------------------------------------------
Total Long-Term Investments 686,562
(Cost $683,995)
-------------------------------------------------------------------------
SHORT-TERM INVESTMENTS -- 1.1%
- -----------------------------------------------------------------------------------
U.S. TREASURY SECURITY -- 0.0% ^
200 U.S. Treasury Bill, 1.74%, 01/13/05,
(Cost $199) @ 199
STATE AND MUNICIPAL SECURITIES -- 1.1%
CALIFORNIA -- 0.7%
5,625 California State, Ser. D-1, GO, FRDO,
1.95%, 02/10/05 5,617
OKLAHOMA -- 0.4%
2,500 Oklahoma Development Finance
Authority, ConocoPhillips Co. Project,
Rev., FRDO, 1.35%, 12/01/04 2,499
-------------------------------------------------------------------------
Total State and Municipal Securities 8,116
(Cost $8,125)
-------------------------------------------------------------------------
Total Short-Term Investments 8,315
(Cost $8,324)
-------------------------------------------------------------------------
TOTAL INVESTMENTS -- 98.3% $ 694,877
(COST $692,319)
OTHER ASSETS IN EXCESS OF
LIABILITIES -- 1.7% 11,778
-------------------------------------------------------------------------
NET ASSETS -- 100.0% $ 706,655
-------------------------------------------------------------------------
</Table>
Percentages indicated are based on net assets of $706,655.
SEE NOTES TO FINANCIAL STATEMENTS.
48
<Page>
FUTURES CONTRACTS
(Amounts in thousands, except number of contracts)
<Table>
<Caption>
NOTIONAL UNREALIZED
NUMBER OF EXPIRATION VALUE AT APPRECIATION
CONTRACTS DESCRIPTION DATE 10/31/04 (USD) (DEPRECIATION) (USD)
- ----------------------------------------------------------------------------------------------------------------------
LONG FUTURES OUTSTANDING
74 10 Year Canadian Bond December, 2004 $ 6,743 $ 44
160 Euro-SHATZ December, 2004 21,625 94
74 Euro-BOBL December, 2004 10,574 99
33 Eurodollar December, 2004 8,058 --^^
19 Eurodollar December, 2005 4,603 4
SHORT FUTURES OUTSTANDING
(83) Euro-BUND December, 2004 (12,347) (162)
(21) 10 Year Japanese Bond December, 2004 (27,320) (337)
(221) 2 Year Treasury Note December, 2004 (46,800) (112)
(340) 5 Year Treasury Note December, 2004 (37,868) (390)
(63) 10 Year Treasury Note December, 2004 (7,154) (33)
(52) Eurodollar December, 2006 (12,516) (5)
</Table>
SWAP CONTRACTS
<Table>
<Caption>
UNDERLYING UNREALIZED
EXPIRATION NOTIONAL APPRECIATION
DESCRIPTIONS DATE VALUE (DEPRECIATION)
- ----------------------------------------------------------------------------------------------------------------------
Swap -- price lock with Lehman Brothers Special Financing on
U.S. Treasury Note, 3.25%, 08/15/08, price less 100.08,
JPMorgan pays positive, receives negative. 11/18/04 $ 28,100 $ (165)
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
49
<Page>
JPMORGAN TAX AWARE U.S. EQUITY FUND
PORTFOLIO OF INVESTMENTS AS OF OCTOBER 31, 2004
(Amounts in thousands)
<Table>
<Caption>
SHARES ISSUER VALUE
- -----------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- 98.4%
COMMON STOCKS -- 98.4%
AEROSPACE -- 1.7%
395 Raytheon Co. $ 14,409
34 United Technologies Corp. 3,156
-------------------------------------------------------------------------
17,565
-------------------------------------------------------------------------
AUTOMOTIVE -- 0.2%
35 Johnson Controls, Inc. 2,007
BANKING -- 3.2%
723 Bank of America Corp. 32,388
BIOTECHNOLOGY -- 1.3%
237 Amgen, Inc.* 13,479
BUSINESS SERVICES -- 2.0%
835 Accenture LTD (Bermuda), Class A* 20,215
CHEMICALS -- 2.0%
486 Praxair, Inc. 20,509
COMPUTER NETWORKS -- 2.1%
1,097 Cisco Systems, Inc.* 21,079
COMPUTER SOFTWARE -- 4.8%
1,363 Microsoft Corp. 38,138
827 Oracle Corp.* 10,467
-------------------------------------------------------------------------
48,605
-------------------------------------------------------------------------
COMPUTERS/COMPUTER HARDWARE -- 5.3%
1,011 Hewlett-Packard Co. 18,856
165 International Business Machines Corp. 14,842
236 Lexmark International, Inc., Class A* 19,573
-------------------------------------------------------------------------
53,271
-------------------------------------------------------------------------
CONSTRUCTION MATERIALS -- 0.2%
53 American Standard Companies, Inc.* 1,935
CONSUMER PRODUCTS -- 3.1%
528 Altria Group, Inc. 25,594
116 Procter & Gamble Co. 5,955
-------------------------------------------------------------------------
31,549
-------------------------------------------------------------------------
DIVERSIFIED -- 8.2%
1,357 General Electric Co. $ 46,296
1,156 Tyco International LTD (Bermuda) 36,003
-------------------------------------------------------------------------
82,299
-------------------------------------------------------------------------
FINANCIAL SERVICES -- 12.0%
319 American Express Co. 16,903
818 Citigroup, Inc. 36,274
493 Freddie Mac 32,801
424 Morgan Stanley 21,667
314 Washington Mutual, Inc. 12,170
-------------------------------------------------------------------------
119,815
-------------------------------------------------------------------------
FOOD/BEVERAGE PRODUCTS -- 4.0%
624 Kraft Foods, Inc., Class A 20,772
489 The Coca-Cola Co. 19,869
-------------------------------------------------------------------------
40,641
-------------------------------------------------------------------------
HEALTH CARE/HEALTH CARE SERVICES -- 3.5%
278 Boston Scientific Corp.* 9,813
243 Guidant Corp. 16,156
260 HCA, Inc. 9,557
-------------------------------------------------------------------------
35,526
-------------------------------------------------------------------------
INSURANCE -- 4.6%
250 AMBAC Financial Group, Inc. 19,497
197 RenaissanceRe Holdings LTD (Bermuda) 9,224
262 The Allstate Corp. 12,585
138 Willis Group Holdings LTD
(United Kingdom) 4,961
-------------------------------------------------------------------------
46,267
-------------------------------------------------------------------------
MANUFACTURING -- 0.5%
83 Cooper Industries LTD, Class A 5,291
METALS/MINING -- 1.0%
305 Alcoa, Inc. 9,925
MULTI-MEDIA -- 5.6%
525 Comcast Corp., Special Class A* 15,237
150 Gannett Co., Inc. 12,401
240 The E.W. Scripps Co., Class A 11,453
464 Viacom, Inc., Class B 16,936
-------------------------------------------------------------------------
56,027
-------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
50
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- -----------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
OIL & GAS -- 7.0%
525 ChevronTexaco Corp. $ 27,838
240 ConocoPhillips 20,192
267 Exxon Mobil Corp. 13,166
326 GlobalSantaFe Corp. 9,602
-------------------------------------------------------------------------
70,798
-------------------------------------------------------------------------
PHARMACEUTICALS -- 8.9%
175 Eli Lilly & Co. 9,605
502 Johnson & Johnson 29,308
999 Pfizer, Inc. 28,920
191 Sepracor, Inc.* 8,750
323 Wyeth 12,798
-------------------------------------------------------------------------
89,381
-------------------------------------------------------------------------
PIPELINES -- 1.1%
1,213 El Paso Corp. 10,840
RESTAURANTS/FOOD SERVICES -- 1.1%
381 McDonald's Corp. 11,100
RETAILING -- 7.1%
504 CVS Corp. 21,883
271 Home Depot, Inc. 11,119
581 Safeway, Inc.* 10,597
414 The TJX Companies, Inc. 9,918
337 Wal-Mart Stores, Inc. 18,144
-------------------------------------------------------------------------
71,661
-------------------------------------------------------------------------
SEMI-CONDUCTORS -- 3.1%
636 Altera Corp.* $ 14,447
368 Analog Devices, Inc. 14,796
105 Intel Corp. 2,326
-------------------------------------------------------------------------
31,569
-------------------------------------------------------------------------
TELECOMMUNICATIONS -- 2.0%
520 Verizon Communications, Inc. 20,325
TEXTILES -- 1.2%
137 Mohawk Industries, Inc.* 11,656
UTILITIES -- 1.6%
384 Pinnacle West Capital Corp. 16,353
-------------------------------------------------------------------------
Total Common Stocks 992,076
(Cost $937,271)
-------------------------------------------------------------------------
SHORT-TERM INVESTMENT -- 1.9%
- -----------------------------------------------------------------------------------
MONEY MARKET FUND -- 1.9%
19,309 JPMorgan Prime Money Market Fund (a) 19,309
(Cost $19,309)
-------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100.3% $ 1,011,385
(COST $956,580)
LIABILITIES IN EXCESS OF
OTHER ASSETS -- (0.3)% (3,076)
-------------------------------------------------------------------------
NET ASSETS -- 100.0% $ 1,008,309
-------------------------------------------------------------------------
</Table>
Percentages indicated are based on net assets of $1,008,309.
SEE NOTES TO FINANCIAL STATEMENTS.
51
<Page>
JPMORGAN FUNDS
Abbreviations:
* -- Non-income producing security.
^ -- Amount rounds to less than 0.1%.
^^ -- Amount rounds to less than one thousand.
+ -- All or a portion of this security is segregated for TBA, when issued,
delayed delivery, swaps or unsettled trades.
++ -- All or a portion of this security is segregated with the custodian for
forward foreign currency contracts.
# -- All or a portion of this security is a 144A or private placement
security and can only be sold to qualified institutional buyers.
@ -- Securities fully or partially segregated with the custodian as
collateral for futures or with brokers as initial margin for futures
contracts.
(a) -- Affiliated. Money market fund registered under the Investment Company
Act of 1940, as amended and advised by JPMorgan Investment Management,
Inc.
(f) -- Fair Valued Investment. The following are approximately the market value
and percentage of the investments, based on net assets, that are fair
valued (amounts in thousands):
<Table>
<Caption>
FUND MARKET VALUE PERCENTAGE
---- ------------ ----------
JPMorgan Fleming Tax Aware
International Opportunities Fund $ 117,328 81.72%
</Table>
(i) -- Security is considered illiquid and may be difficult to sell.
(p) -- Security is prerefunded or escrowed to maturity. The maturity date
shown is the date of the prerefunded call.
Adj. -- Adjustable. The interest rate shown is the rate in effect at
October 31, 2004.
ACES -- Auction Rate Securities.
ADR -- American Depository Receipt.
AMBAC -- American Municipal Bond Assurance Corp.
CONS -- Consolidated Bonds.
COP -- Certificates of Participation.
FGIC -- Financial Guaranty Insurance Co.
FLOATS -- Floating Auction Tax Exempts.
FRDO -- Floating Rate Demand Obligation. The maturity date shown is the next
interest reset date. The interest rate shown is the rate in effect at
October 31, 2004.
FRN -- Floating Rate Note. The interset rate shown is the rate in effect at
October 31, 2004.
FSA -- Financial Securities Association.
GDR -- Global Depository Receipt.
GO -- General Obligation Bond.
IDA -- Industrial Development Authority.
MBIA -- Municipal Bond Insurance Association.
MTN -- Medium Term Note.
PCR -- Pollution Control Revenue.
RAMS -- Reverse Annuity Mortgage Security.
RAN -- Revenue Anticipation Note.
Rev. -- Revenue Bond.
Ser. -- Series.
AUD -- Australian Dollar.
CHF -- Swiss Franc.
EUR -- Euro.
GBP -- Great Britain Pound.
HKD -- Hong Kong Dollar.
JPY -- Japanese Yen.
NOK -- Norwegian Krone.
SEK -- Swedish Krona.
SGD -- Singapore Dollar.
USD -- United States Dollar.
SEE NOTES TO FINANCIAL STATEMENTS.
52
<Page>
THIS PAGE IS INTENTIONALLY LEFT BLANK
53
<Page>
JPMORGAN FUNDS
STATEMENT OF ASSETS
AND LIABILITIES AS OF OCTOBER 31, 2004
(Amounts in thousands, except per share amounts)
<Table>
<Caption>
FLEMING TAX AWARE TAX AWARE TAX AWARE TAX AWARE
INTERNATIONAL DISCIPLINED ENHANCED LARGE CAP
OPPORTUNITIES FUND EQUITY FUND INCOME FUND GROWTH FUND
------------------ ----------- ----------- -----------
ASSETS
Investments in non-affiliates, at value $ 139,745 $ 200,998 $ 1,027,266 $ 197,388
Investments in affiliates, at value -- 432 117,497 2,451
- --------------------------------------------------------------------------------------------------------------------------
Total investment securities, at value 139,745 201,430 1,144,763 199,839
- --------------------------------------------------------------------------------------------------------------------------
Cash 3,167 1 3,574 9
Foreign currency, at value 265 -- -- --
Receivables:
Investment securities sold 2,785 -- 110,727 1,386
Fund shares sold 137 1 1,325 6
Interest and dividends 307 270 6,227 66
Foreign tax reclaims 78 -- -- --
Unrealized appreciation on forward
foreign currency exchange contracts 1,363 -- -- --
Expense reimbursements 3 -- -- --
- --------------------------------------------------------------------------------------------------------------------------
Total Assets 147,850 201,702 1,266,616 201,306
- --------------------------------------------------------------------------------------------------------------------------
LIABILITIES
Payables:
Dividends -- -- 814 --
Investment securities purchased 3,026 -- 20,191 1,877
Fund shares redeemed 10 52 121,618 255
Variation margin 5 -- 116 --
Unrealized depreciation on forward
foreign currency exchange contracts 1,033 -- -- --
Unrealized depreciation on open
swap contracts -- -- 1,306 --
Accrued liabilities:
Investment advisory fees 102 59 318 68
Administration fees --^ 22 -- 26
Shareholder servicing fees 1 -- 91 39
Distribution fees 1 -- 3 --
Custodian fees 35 4 44 8
Trustee's fees - deferred
compensation plan 1 1 6 27
Other 60 44 91 34
- --------------------------------------------------------------------------------------------------------------------------
Total Liabilities 4,274 182 144,598 2,334
- --------------------------------------------------------------------------------------------------------------------------
NET ASSETS $ 143,576 $ 201,520 $ 1,122,018 $ 198,972
- --------------------------------------------------------------------------------------------------------------------------
</Table>
^ Amount rounds to less than one thousand.
SEE NOTES TO FINANCIAL STATEMENTS.
54
<Page>
<Table>
<Caption>
FLEMING TAX AWARE TAX AWARE TAX AWARE TAX AWARE
INTERNATIONAL DISCIPLINED ENHANCED LARGE CAP
OPPORTUNITIES FUND EQUITY FUND INCOME FUND GROWTH FUND
------------------ ----------- ----------- -----------
NET ASSETS
Paid in capital 161,412 298,667 1,146,514 313,803
Accumulated undistributed
(overdistributed) net investment income 2,348 173 (514) (29)
Accumulated net realized gain (loss)
on investments, futures, swaps
and foreign exchange transactions (42,157) (121,475) (23,508) (133,653)
Net unrealized appreciation
(depreciation) of investments, futures,
swaps and foreign exchange translations 21,973 24,155 (474) 18,851
- --------------------------------------------------------------------------------------------------------------------------
Total Net Assets $ 143,576 $ 201,520 $ 1,122,018 $ 198,972
- --------------------------------------------------------------------------------------------------------------------------
Class A $ 5,294 $ -- $ 15,684 $ --
Institutional $ 138,282 $ 201,520 $ 744,157 $ --
Select $ -- $ -- $ 362,177 $ 198,972
- --------------------------------------------------------------------------------------------------------------------------
Total $ 143,576 $ 201,520 $ 1,122,018 $ 198,972
- --------------------------------------------------------------------------------------------------------------------------
Shares of beneficial interest outstanding
($0.001 par value; unlimited
number of shares authorized):
Class A 352 -- 1,570 --
Institutional 9,054 13,174 74,594 --
Select Shares -- -- 36,265 13,495
Net Asset Value:
Class A (and redemption price) $ 15.02 $ -- $ 9.99 $ --
Institutional (and redemption price) $ 15.27 $ 15.30 $ 9.98 $ --
Select Shares (and redemption price) $ -- $ -- $ 9.99 $ 14.74
Class A Maximum Public Offering
Price Per Share (net asset value per
share/ 94.25%, 98.50%) $ 15.94 $ -- $ 10.14 $ --
Cost of investments $ 118,119 $ 177,275 $ 1,143,991 $ 180,988
- --------------------------------------------------------------------------------------------------------------------------
Cost of foreign currency $ 265 $ -- $ -- $ --
- --------------------------------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
55
<Page>
<Table>
<Caption>
TAX AWARE
TAX AWARE SHORT - TAX AWARE
LARGE CAP INTERMEDIATE U.S. EQUITY
VALUE FUND INCOME FUND FUND
----------- ----------- -----------
ASSETS
Investments in non-affiliates, at value $ 529,617 $ 694,877 $ 992,076
Investments in affiliates, at value 17,260 -- 19,309
- --------------------------------------------------------------------------------------------------------------------------
Total Investment securities, at value 546,877 694,877 1,011,385
- --------------------------------------------------------------------------------------------------------------------------
Cash -- 7,894 106
Receivables:
Investment securities sold 4,811 -- 7,999
Fund shares sold 243 2,027 1,038
Interest and dividends 867 9,146 1,239
Expense reimbursements -- -- 2
- --------------------------------------------------------------------------------------------------------------------------
Total Assets 552,798 713,944 1,021,769
- --------------------------------------------------------------------------------------------------------------------------
LIABILITIES
Payables:
Dividends 478 1,278 --
Investment securities purchased 13,073 5,325 12,516
Fund shares redeemed 61 175 208
Variation margin -- 24 --
Unrealized depreciation on
open swap contracts -- 165 --
Accrued liabilities:
Investment advisory fees 176 148 377
Administration fees 66 63 78
Shareholder servicing fees 110 45 190
Distribution fees -- -- 3
Custodian fees 7 22 32
Trustee's fees - deferred
compensation plan 35 3 10
Other 39 41 46
- --------------------------------------------------------------------------------------------------------------------------
Total Liabilities 14,045 7,289 13,460
- --------------------------------------------------------------------------------------------------------------------------
NET ASSETS $ 538,753 $ 706,655 $ 1,008,309
- --------------------------------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
56
<Page>
<Table>
<Caption>
TAX AWARE
TAX AWARE SHORT - TAX AWARE
LARGE CAP INTERMEDIATE U.S. EQUITY
VALUE FUND INCOME FUND FUND
--------------- --------------- ---------------
NET ASSETS
Paid in capital 521,075 712,208 1,025,136
Accumulated undistributed
(overdistributed) net investment income (512) 311 583
Accumulated net realized gain (loss)
on investments, futures, written options,
swaps and foreign exchange transactions (31,512) (7,459) (72,215)
Net unrealized appreciation
(depreciation) of investments,
futures, written options, swaps and
foreign exchange translations 49,702 1,595 54,805
- --------------------------------------------------------------------------------------------------------------------------
Total Net Assets $ 538,753 $ 706,655 $ 1,008,309
- --------------------------------------------------------------------------------------------------------------------------
Class A $ -- $ -- $ 5,130
Class B $ -- $ -- $ 2,814
Class C $ -- $ -- $ 479
Institutional $ -- $ 349,338 $ 120,379
Select $ 538,753 $ 357,317 $ 879,507
- --------------------------------------------------------------------------------------------------------------------------
Total $ 538,753 $ 706,655 $ 1,008,309
- --------------------------------------------------------------------------------------------------------------------------
Shares of beneficial interest outstanding
($0.001 par value; unlimited
number of of shares authorized):
Class A -- -- 317
Class B -- -- 176
Class C -- -- 30
Institutional -- 34,941 10,538
Select 25,425 35,741 54,364
Net Asset Value:
Class A (and redemption price) $ -- $ -- $ 16.16
Class B* $ -- $ -- $ 16.00
Class C* $ -- $ -- $ 15.97
Institutional (and redemption price) $ -- $ 10.00 $ 11.42
Select (and redemption price) $ 21.19 $ 10.00 $ 16.18
Class A Maximum Public Offering
Price Per Share (net asset value
per share/94.25%) $ -- $ -- $ 17.15
Cost of investments $ 497,175 $ 692,319 $ 956,580
- --------------------------------------------------------------------------------------------------------------------------
Cost of foreign currency $ -- $ -- $ --
- --------------------------------------------------------------------------------------------------------------------------
</Table>
* Redemption price may be reduced by contingent deferred sales charge.
SEE NOTES TO FINANCIAL STATEMENTS.
57
<Page>
STATEMENT OF
OPERATIONS FOR THE YEAR ENDED OCTOBER 31, 2004
(Amounts in thousands)
<Table>
<Caption>
FLEMING TAX AWARE TAX AWARE TAX AWARE TAX AWARE
INTERNATIONAL DISCIPLINED ENHANCED LARGE CAP
OPPORTUNITIES FUND EQUITY FUND INCOME FUND GROWTH FUND
------------------ ----------- ----------- -----------
INVESTMENT INCOME
Interest $ 31 $ -- $ 37,573 $ --
Dividend 3,582 3,261 -- 2,259
Dividend income from
affiliated investments* -- 10 734 28
Foreign taxes withheld (263) --^ -- --
- --------------------------------------------------------------------------------------------------------------------------
Total investment income 3,350 3,271 38,307 2,287
- --------------------------------------------------------------------------------------------------------------------------
EXPENSES
Investment advisory fees 1,234 680 5,330 995
Administration fees 218 291 3,198 373
Shareholder servicing fees 154 194 2,818 622
Distribution fees 14 -- 50 --
Custodian fees 192 30 237 40
Interest expense 3 --^ 1 2
Printing and postage 7 6 65 9
Professional fees 70 55 99 51
Registration fees 35 22 41 20
Transfer agent fees 46 41 110 22
Trustees' fees 2 3 32 4
Other 15 11 70 15
- --------------------------------------------------------------------------------------------------------------------------
Total expenses 1,990 1,333 12,051 2,153
- --------------------------------------------------------------------------------------------------------------------------
Less amounts waived 470 265 5,516 37
Less earnings credits --^ --^ 10 --^
Less expense reimbursements 26 -- -- --
- --------------------------------------------------------------------------------------------------------------------------
Net expenses 1,494 1,068 6,525 2,116
- --------------------------------------------------------------------------------------------------------------------------
Net investment income (loss) 1,856 2,203 31,782 171
- --------------------------------------------------------------------------------------------------------------------------
</Table>
^ Amount rounds to less than one thousand.
SEE NOTES TO FINANCIAL STATEMENTS.
58
<Page>
<Table>
<Caption>
FLEMING TAX AWARE TAX AWARE TAX AWARE TAX AWARE
INTERNATIONAL DISCIPLINED ENHANCED LARGE CAP
OPPORTUNITIES FUND EQUITY FUND INCOME FUND GROWTH FUND
------------------ ----------- ----------- -----------
REALIZED AND UNREALIZED
GAIN (LOSS) ON INVESTMENTS
Net realized gain (loss) on
transactions from:
Investments 17,991 10,074 (4,452) (4,727)
Futures 109 -- (7,563) --
Written options -- -- 834 --
Swaps -- -- (794) --
Foreign exchange contracts 582 -- -- --
Change in net unrealized
appreciation (depreciation) of:
Investments (256) 6,480 (5,928) 4,735
Futures 4 -- 3,926 --
Swaps -- -- (1,386) --
Foreign currency translations (89) -- -- --
Net realized and unrealized gain (loss)
on investments, futures, foreign
exchange transactions, and swaps 18,341 16,554 (15,363) 8
- --------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets
from operations $ 20,197 $ 18,757 $ 16,419 $ 179
- --------------------------------------------------------------------------------------------------------------------------
* Includes reimbursements of
investment advisory, administration
and shareholder servicing fees : $ -- $ 1 $ 121 $ 4
- --------------------------------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
59
<Page>
<Table>
<Caption>
TAX AWARE
TAX AWARE SHORT - TAX AWARE
LARGE CAP INTERMEDIATE U.S. EQUITY
VALUE FUND INCOME FUND FUND
--------------- --------------- ---------------
INVESTMENT INCOME
Interest $ -- $ 18,700 $ --
Dividend 8,461 132 14,826
Dividend income from affiliated
investments* 67 176 184
Foreign taxes withheld -- (17) --
- --------------------------------------------------------------------------------------------------------------------------
Total investment income 8,528 18,991 15,010
- --------------------------------------------------------------------------------------------------------------------------
EXPENSES
Investment advisory fees 1,667 1,637 4,036
Administration fees 625 982 1,345
Shareholder servicing fees 1,042 1,103 2,070
Distribution fees -- -- 38
Custodian fees 50 93 142
Interest expense --^ 1 --
Printing and postage 14 20 37
Professional fees 64 66 77
Registration fees 23 19 64
Transfer agent fees 25 53 144
Trustees' fees 6 10 13
Other 20 14 34
- --------------------------------------------------------------------------------------------------------------------------
Total expenses 3,536 3,998 8,000
- --------------------------------------------------------------------------------------------------------------------------
Less amounts waived 10 973 559
Less earnings credits --^ 5 1
Less expense reimbursements -- -- 28
- --------------------------------------------------------------------------------------------------------------------------
Net expenses 3,526 3,020 7,412
- --------------------------------------------------------------------------------------------------------------------------
Net investment income (loss) 5,002 15,971 7,598
- --------------------------------------------------------------------------------------------------------------------------
</Table>
^ Amount rounds to less than one thousand.
SEE NOTES TO FINANCIAL STATEMENTS.
60
<Page>
<Table>
<Caption>
TAX AWARE
TAX AWARE SHORT - TAX AWARE
LARGE CAP INTERMEDIATE U.S. EQUITY
VALUE FUND INCOME FUND FUND
--------------- --------------- ---------------
REALIZED AND UNREALIZED
GAIN (LOSS) ON INVESTMENTS
Net realized gain (loss) on transactions from:
Investments 5,327 (1,010) 15,867
Futures -- (4,037) --
Written Options -- 169 --
Swaps -- 253 --
Foreign exchange contracts -- (9) --
Change in net unrealized
appreciation/(depreciation) of:
Investments 46,421 (926) 50,667
Futures -- 780 --
Written Options -- (12) --
Swaps -- (257) --
Foreign exchange translations -- --^ --
Net realized and unrealized gain (loss)
on investments, futures, foreign
exchange transactions, written
options and swaps 51,748 (5,049) 66,534
- --------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets
from operations $ 56,750 $ 10,922 $ 74,132
- --------------------------------------------------------------------------------------------------------------------------
* Includes reimbursements of
investment advisory, administration
and shareholder servicing fees : $ 9 $ 27 $ 27
- --------------------------------------------------------------------------------------------------------------------------
</Table>
^ Amount rounds to less than one thousand.
SEE NOTES TO FINANCIAL STATEMENTS.
61
<Page>
STATEMENT OF CHANGES
IN NET ASSETS FOR THE PERIODS INDICATED
(Amounts in thousands)
<Table>
<Caption>
FLEMING TAX AWARE TAX AWARE
INTERNATIONAL OPPORTUNITIES DISCIPLINED EQUITY
FUND FUND
--------------------------------- ---------------------------------
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
10/31/04 10/31/03 10/31/04 10/31/03
--------------- --------------- --------------- ---------------
INCREASE (DECREASE) IN NET
ASSETS FROM OPERATIONS
Net investment income $ 1,856 $ 1,716 $ 2,203 $ 2,255
Net realized gain (loss) on investments,
futures and foreign exchange contracts 18,682 (17,935) 10,074 (10,786)
Change in net unrealized
appreciation (depreciation) of
investments, futures and
foreign currency translations (341) 43,977 6,480 44,281
- --------------------------------------------------------------------------------------------------------------------------
Increase (decrease) in net assets
from operations 20,197 27,758 18,757 35,750
- --------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO
SHAREHOLDERS FROM
Net investment income (2,773) (1,586) (2,268) (2,258)
- --------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS
Increase (decrease) (14,526) (41,696) 4,418 (46,875)
- --------------------------------------------------------------------------------------------------------------------------
NET ASSETS
Total increase (decrease) in net assets 2,898 (15,524) 20,907 (13,383)
- --------------------------------------------------------------------------------------------------------------------------
Beginning of period 140,678 156,202 180,613 193,996
- --------------------------------------------------------------------------------------------------------------------------
End of period $ 143,576 $ 140,678 $ 201,520 $ 180,613
- --------------------------------------------------------------------------------------------------------------------------
Accumulated undistributed
(overdistributed) net
investment income $ 2,348 $ 1,911 $ 173 $ 245
- --------------------------------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
62
<Page>
<Table>
<Caption>
TAX AWARE TAX AWARE
ENHANCED INCOME FUND LARGE CAP GROWTH FUND
--------------------------------- ---------------------------------
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
10/31/04 10/31/03 10/31/04 10/31/03
--------------- --------------- --------------- ---------------
INCREASE (DECREASE) IN NET
ASSETS FROM OPERATIONS
Net investment income $ 31,782 $ 41,724 $ 171 $ 916
Net realized gain (loss) on
investments, futures, and swaps (11,975) (11,422) (4,727) (29,956)
Change in net unrealized appreciation
(depreciation) of investments,
futures and swaps (3,388) 2,497 4,735 63,299
- --------------------------------------------------------------------------------------------------------------------------
Increase (decrease) in net assets
from operations 16,419 32,799 179 34,259
- --------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO
SHAREHOLDERS FROM
Net investment income (32,127) (42,180) (229) (734)
- --------------------------------------------------------------------------------------------------------------------------
Return of capital -- -- (123) --
- --------------------------------------------------------------------------------------------------------------------------
Total distributions to shareholders (32,127) (42,180) (352) (734)
- --------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS
Increase (decrease) (1,396,573) 575,943 (69,056) (21,850)
- --------------------------------------------------------------------------------------------------------------------------
NET ASSETS
Total increase (decrease) in net assets (1,412,281) 566,562 (69,229) 11,675
- --------------------------------------------------------------------------------------------------------------------------
Beginning of period 2,534,299 1,967,737 268,201 256,526
- --------------------------------------------------------------------------------------------------------------------------
End of period $ 1,122,018 $ 2,534,299 $ 198,972 $ 268,201
- --------------------------------------------------------------------------------------------------------------------------
Accumulated undistributed
(overdistributed) net
investment income $ (514) $ (169) $ (29) $ 29
- --------------------------------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
63
<Page>
<Table>
<Caption>
TAX AWARE
TAX AWARE SHORT - INTERMEDIATE
LARGE CAP VALUE FUND INCOME FUND
--------------------------------- ---------------------------------
YEAR YEAR YEAR 12/20/02*
ENDED ENDED ENDED THROUGH
10/31/04 10/31/03 10/31/04 10/31/03
--------------- --------------- --------------- ---------------
INCREASE (DECREASE) IN NET
ASSETS FROM OPERATIONS
Net investment income (loss) $ 5,002 $ 5,146 $ 15,971 $ 6,111
Net realized gain (loss) on investments,
futures, written options and swaps 5,327 (9,355) (4,634) (2,827)
Change in net unrealized appreciation
(depreciation) of investments, futures,
swaps and foreign currency translations 46,421 60,789 (415) 2,010
- --------------------------------------------------------------------------------------------------------------------------
Increase (decrease) in net assets
from operations 56,750 56,580 10,922 5,294
- --------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO
SHAREHOLDERS FROM
Net investment income (5,476) (5,208) (15,872) (5,897)
- --------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS
Increase (decrease) 138,783 (30,019) 174,276 537,932
- --------------------------------------------------------------------------------------------------------------------------
NET ASSETS
Total increase (decrease) in net assets 190,057 21,353 169,326 537,329
- --------------------------------------------------------------------------------------------------------------------------
Beginning of period 348,696 327,343 537,329 --
- --------------------------------------------------------------------------------------------------------------------------
End of period $ 538,753 $ 348,696 $ 706,655 $ 537,329
- --------------------------------------------------------------------------------------------------------------------------
Accumulated undistributed
(overdistributed) net
investment income $ (512) $ (163) $ 311 $ 214
- --------------------------------------------------------------------------------------------------------------------------
</Table>
* Commencement of operations.
SEE NOTES TO FINANCIAL STATEMENTS.
64
<Page>
<Table>
<Caption>
TAX AWARE U.S. EQUITY FUND
---------------------------------
YEAR ENDED YEAR ENDED
10/31/04 10/31/03
--------------- ---------------
INCREASE (DECREASE) IN NET
ASSETS FROM OPERATIONS
Net investment income (loss) $ 7,598 $ 4,628
Net realized gain (loss) on investments 15,867 (10,218)
Change in net unrealized
appreciation/depreciation
of investments 50,667 100,650
- --------------------------------------------------------------------------------------------------------------------------
Increase (decrease) in net assets
from operations 74,132 95,060
- --------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO
SHAREHOLDERS FROM
Net investment income (7,839) (4,092)
- --------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS
Increase (decrease) 199,077 415,771
- --------------------------------------------------------------------------------------------------------------------------
NET ASSETS
Total increase (decrease) in net assets 265,370 506,739
- --------------------------------------------------------------------------------------------------------------------------
Beginning of period 742,939 236,200
- --------------------------------------------------------------------------------------------------------------------------
End of period $ 1,008,309 $ 742,939
- --------------------------------------------------------------------------------------------------------------------------
Accumulated undistributed
(overdistributed) net
investment income $ 583 $ 824
- --------------------------------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
65
<Page>
JPMORGAN FUNDS
NOTES TO FINANCIAL
STATEMENTS
1. ORGANIZATION
J.P. Morgan Series Trust ("JPMST"), J.P. Morgan Mutual Fund Group ("MFG"), J.P.
Morgan Mutual Fund Select Group ("MFSG") and J.P. Morgan Institutional Funds
("JPMIF") (each a "Trust" and, collectively, the "Trusts") were organized as
Massachusetts business trusts and are registered under the Investment Company
Act of 1940, as amended (the "1940 Act"), as open-end management investment
companies. MFG and MFSG were formerly known as Mutual Fund Group and Mutual Fund
Select Group, respectively. The Trusts' new names went into effect on May 1,
2003. The Trusts were organized on the following dates:
<Table>
<Caption>
TRUST DATE
JPMST August 15, 1996
MFG May 11, 1987
MFSG October 1, 1996
JPMIF November 4, 1992
</Table>
The following are seven separate portfolios of the Trusts (collectively, the
"Funds"):
<Table>
<Caption>
FUND CLASSES OFFERED
JPMorgan Fleming Tax Aware International
Opportunities Fund ("FTAIO") Class A and Institutional
JPMorgan Tax Aware Disciplined Equity Fund ("TADE") Institutional
JPMorgan Tax Aware Enhanced Income Fund ("TAEI") Class A, Institutional and Select
JPMorgan Tax Aware Large Cap Growth Fund ("TALCG") Select
JPMorgan Tax Aware Large Cap Value Fund ("TALCV") Select
JPMorgan Tax Aware Short-Intermediate Income Fund ("TASI") Institutional and Select
JPMorgan Tax Aware U.S. Equity Fund ("TAUSE") Class A, Class B, Class C, Institutional and Select
</Table>
On September 12, 2003, FTAIO Class B and Class C shares merged into Class A
shares; and Class B and Class C shares closed.
FTAIO is a separate series of MFG. TADE, TAEI and TAUSE are separate series of
JPMST. TALCG and TALCV are separate series of MFSG. TASI is a separate series of
JPMIF.
Class A shares generally provide for a front-end sales charge while Class B and
Class C shares provide for a contingent deferred sales charge. Class B shares
automatically convert to Class A shares after eight years. No sales charges are
assessed with respect to the Institutional Class and Select Class. All classes
of shares have equal rights as to earnings, assets and voting privileges except
that each class may bear different transfer agent, distribution and shareholder
servicing fees and each class has exclusive voting rights with respect to its
distribution plan and shareholder servicing agreements. Class A shares, for
which front-end sales charges have been waived, may be subject to redemption
charges as described in the Funds' prospectus.
66
<Page>
During the fiscal year ended October 31, 2003, TADE Institutional Class relieved
securities of the fund (Redemption in-kind) in exchange for the redemption of
shares. TADE Institutional Class received a contribution of securities
(Subscription in-kind) in exchange for shares of the Institutional Share Class.
Cash and securities were transferred for redemptions and subscriptions at a
market value of (in thousands) $22,866 and $21,173, respectively, which resulted
in a realized gain of (in thousands) $6,157 to the Fund for Federal Income tax
purposes.
During the fiscal year ended October 31, 2004, TADE Institutional Class relieved
securities of the fund (Redemption in-kind) in exchange for the redemption of
shares. Cash and securities were transferred for redemptions at a market value
of (in thousands) $6,389, which resulted in a realized gain of (in thousands)
$2,518 to the Fund for federal income tax purposes.
A detailed breakout of Redemption in-kind and Subscription in-kind is outlined
in Note 13.
2. REORGANIZATION
Prior to the open of business on March 24, 2003, the JPMorgan Tax Aware U.S.
Equity Fund (the "Acquiring Fund") acquired all of the net assets of JPMorgan
Select Large Cap Equity Fund (the "Target Fund"), as shown in the table below,
pursuant to a Plan of Reorganization approved by the Target Fund's shareholders
on February 13, 2003. The transaction was structured for tax purposes to qualify
as a tax-free reorganization under the Internal Revenue Code. Under the
Reorganization Plan, shareholders of the Target Fund received shares in the
Acquiring Fund with a value equal to their holdings in the Target Fund.
Shareholders of the Target Fund received Select Class Shares of the Acquiring
Fund.
The following is a summary of Shares Outstanding, Net Assets, Net Asset Value
Per Share and Net Unrealized Appreciation (Depreciation) immediately before and
after the Reorganization:
JPMORGAN TAX AWARE U.S. EQUITY FUND REORGANIZATION
<Table>
<Caption>
NET ASSET NET
SHARES VALUE UNREALIZED
OUTSTANDING NET ASSETS PER SHARE (DEPRECIATION)
------------- -------------- ------------- ---------------
TARGET FUND
JPMorgan Select Large Cap Equity Fund $ (42,215)
Select Class 12,404 $ 241,297 $ 19.45
ACQUIRING FUND
JPMorgan Tax Aware U.S. Equity Fund $ (43,722)
Class A 320 $ 4,145 $ 12.97
Class B 224 $ 2,879 $ 12.87
Class C 23 $ 299 $ 12.85
Institutional Class 5,529 $ 51,039 $ 9.23
Select Class 16,879 $ 219,253 $ 12.99
POST REORGANIZATION
JPMorgan Tax Aware U.S. Equity Fund $ (85,937)
Class A 320 $ 4,145 $ 12.97
Class B 224 $ 2,879 $ 12.87
Class C 23 $ 299 $ 12.85
Institutional Class 5,529 $ 51,039 $ 9.23
Select Class 35,452 $ 460,550 $ 12.99
</Table>
67
<Page>
3. SIGNIFICANT ACCOUNTING POLICIES
THE FOLLOWING IS A SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES FOLLOWED BY THE
FUNDS:
The preparation of financial statements in accordance with accounting principles
generally accepted in the United States of America requires management to make
estimates and assumptions that affect the reported amounts and disclosures in
the financial statements. Actual results could differ from those estimates.
A. VALUATION OF INVESTMENTS -- Equity securities, purchased options and futures
contracts are valued at the last sale price on the exchange on which they are
primarily traded. The value of National Market Systems equity securities quoted
by the Nasdaq Stock Market, Inc. shall generally be the Nasdaq Official Closing
Price. Securities for which sale prices are not available and other
over-the-counter securities are valued at the mean between the bid and asked
quotations. Fixed income securities, other than convertible bonds, with a
maturity of 61 days or more held by the Funds will be valued each day based on
readily available market quotations received from independent or affiliated
commercial pricing services. Such pricing services will generally provide
bidside quotations. Convertible bonds are valued at the last sale price on the
primary exchange on which the bond is principally traded. All short-term
securities with a remaining maturity of 60 days or less are valued using the
amortized cost method, which approximates market value. When valuations are not
readily available, securities are valued at fair value as determined in
accordance with procedures adopted by the Trustees. It is possible that the
estimated values may differ significantly from the values that would have been
used had a ready market for the investments existed, and such differences could
have been material. Trading in securities on most foreign exchanges and over-the
counter markets is normally completed before the close of the domestic market
and may also take place on days when the domestic market is closed. In
accordance with procedures adopted by the Trustees, the Funds apply fair value
pricing on a daily basis for all non-U.S. and non-Canadian equity securities
held in their portfolios by utilizing the quotations of an independent pricing
service, unless the Funds' advisor, JP Morgan Investment Management Inc.
("JPMIM" or the "Advisor"), determines that use of another valuation methodology
is appropriate. The pricing service uses statistical analysis and quantitative
models to adjust local market prices using factors such as subsequent movements
and changes in the prices of indices, securities and exchange rates in other
markets, in determining fair value as of the time a Fund calculates its net
assets value.
B. FUTURES CONTRACTS -- When a fund enters into a futures contract, it makes an
initial margin deposit in a segregated account, either in cash or liquid
securities. Thereafter, the futures contract is marked to market and the Fund
makes (or receives) additional cash payments daily to (or from) the broker.
Changes in the value of the contract are recorded as unrealized appreciation
(depreciation) until the contract is closed or settled, at which time a realized
gain or loss is recognized.
Index futures contracts are used to control the asset mix of the portfolios in
the most efficient manner. Short index futures contracts are used for hedging
purposes; i.e., to reduce the exposure to equities. Long index futures contracts
are used to gain exposure to equities, when it is anticipated that this will be
more efficient than buying stocks directly.
The Funds may invest in exchange-traded interest rate futures for hedging
purposes, to either modify the duration of portfolio, modify the yield curve
exposure of the portfolio, or in anticipation of buying or selling a specific
security.
Use of long futures contracts subjects the Funds to risk of loss in excess of
the amounts shown on the Statement of Assets and Liabilities up to the notional
value of the futures contracts. Use of short futures contracts subjects the
Funds to unlimited risk of loss. The Funds may enter into futures contracts only
on exchanges or boards of trade. The exchange or board of trade acts as the
counterparty to each
68
<Page>
futures transaction; therefore, the Funds' credit risk is limited to failure of
the exchange or board of trade.
As of October 31, 2004, the Funds held open futures contracts as listed on the
Funds' Portfolio of Investments.
C. FOREIGN CURRENCY TRANSLATION -- The books and records of the Funds are
maintained in U.S. dollars. Foreign currency amounts are translated into U.S.
dollars at the prevailing exchange rates, or at the mean of the current bid and
asked prices, of such currencies against the U.S. dollar as quoted by a major
bank, on the following basis:
1. Market value of investment securities and other assets and liabilities:
at the rate of exchange at the valuation date.
2. Purchases and sales of investment securities, income and expenses: at
the rates of exchange prevailing on the respective dates of such
transactions.
Although the net assets of the Funds are presented at the foreign exchange rates
and market values at the close of the periods, the Funds do not isolate that
portion of the results of operations arising as a result of changes in the
foreign exchange rates from the fluctuations arising from changes in the market
prices of securities held or sold during the year. Accordingly, such realized
foreign currency gains (losses) are included in the reported net realized gains
(losses) on investment transactions. Reported realized foreign currency gains or
losses arise from disposition of foreign currency, currency gains or losses
realized between the trade and settlement dates on securities transactions, and
the difference between the amounts of dividends, interest and foreign
withholding taxes recorded on each Funds' books on the transaction date and the
U.S. dollar equivalent of the amounts actually received or paid. Unrealized
foreign exchange gains and losses arise from changes (due to the changes in the
exchange rate) in the value of foreign currency and other assets and liabilities
denominated in foreign currencies, which are held at year end.
D. FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS -- The Funds may enter into
forward foreign currency exchange contracts (obligations to purchase or sell
foreign currency in the future on a date and price fixed at the time the
contracts are entered into) to manage the Fund's exposure to foreign currency
exchange fluctuations. Each day the forward contract is open, changes in the
value of the contract are recognized as unrealized gains or losses by "marking
to market." When the forward contract is closed, or the delivery of the currency
exchange is made or taken, each Fund records a realized gain or loss equal to
the difference between the proceeds from (or cost of) the closing transaction
and the Fund's basis in the contract. The Funds are subject to off-balance sheet
risk to the extent of the value of the contracts for purchases of foreign
currency and in an unlimited amount for sales of foreign currency.
As of October 31, 2004, the Funds had outstanding forward foreign currency
exchange contracts as listed on the Funds' Portfolio of Investments.
E. WRITTEN OPTIONS -- When a Fund writes an option, an amount equal to the
premium received by the Fund is included in the Fund's Statement of Assets and
Liabilities as an asset and corresponding liability. The amount of the liability
is adjusted daily to reflect the current market value of the written option and
the change is recorded in a corresponding unrealized gain or loss account. When
a written option expires on its stipulated expiration date, or when a closing
transaction is entered into, the related liability is extinguished and the Fund
realizes a gain or loss contingent on whether the cost of the closing
transaction exceeds the premium received when the option was written.
The Funds write options on securities, futures and interest rate swaps
("swaptions"). These options are settled for cash and subject the Funds to
unlimited risk of loss. The Funds, however, are not subject to credit risk on
written options as the counterparty has already performed its obligation by
paying the premium at the inception of the contract.
69
<Page>
As of October 31, 2004 the Funds had no written options contracts outstanding.
Transactions in options written for TAEI and TASI during the year ended October
31, 2004, were as follows (amounts in thousands):
<Table>
<Caption>
TAEI TASI
---------------------- ----------------------
NUMBER OF PREMIUMS NUMBER OF PREMIUMS
UNITS RECEIVED UNITS RECEIVED
---------- --------- ---------- ---------
Options outstanding at
October 31, 2003 -- $ -- (16,600) $ 17
Options written (166,837) 834 (269,030) 1,326
Options expired or terminated in
closing purchase transactions 166,837 (834) 285,630 (1,343)
Options outstanding at
October 31, 2004 -- $ -- -- $ --
</Table>
F. SWAPS -- The Funds may engage in various swap transactions, including forward
rate agreements, interest rate, currency, fixed income, index and total return
swaps, primarily to manage duration and yield curve risk, or as alternatives to
direct investments. Unrealized gains are reported as an asset and unrealized
losses are reported as a liability on the Statement of Assets and Liabilities.
The change in value of swaps, including the periodic amounts of interest to be
paid or received on swaps is reported as unrealized gains or losses in Statement
of Operations. A realized gain or loss is recorded upon payment or receipt of a
periodic payment or termination of swap agreements. Swap agreements are stated
at fair value. Notional principal amounts are used to express the extent of
involvement in these transactions, but the amounts potentially subject to credit
risk are much smaller.
As of October 31, 2004, the Funds had outstanding swap agreements as listed on
the Funds' Portfolio of Investments. Swap transactions present risk of loss in
excess of the related amounts included in the Statement of Assets and
Liabilities.
G. COMMITMENTS -- The Funds may enter into commitments to buy and sell
investments to settle on future dates as part of their normal investment
activities. These commitments are reported at market value in the financial
statements. Credit risk exists on these commitments to the extent of any
unrealized gains on the underlying securities purchased and any realized gains
on the underlying securities sold. Market risk exists on commitments to buy to
the same extent as if the securities were owned on a settled basis and gains and
losses are recorded and reported in the same manner. However, during the
commitment period, these investments earn no interest or dividends.
H. DOLLAR ROLLS -- The Funds may enter into dollar rolls, principally using To
Be Announced (TBA securities), in which the Funds sell mortgage securities for
delivery in the current month and simultaneously contract to repurchase similar,
but not identical, securities at an agreed-upon price on a fixed date. The Funds
account for such dollar rolls as purchases and sales and receive compensation as
consideration for entering into the commitment to repurchase. The Funds must
maintain liquid securities having a value not less than the repurchase price
(including accrued interest) for such dollar rolls. The market value of the
securities that a Fund is required to purchase may decline below the agreed upon
repurchase price of those securities.
70
<Page>
The Funds had no TBA Dollar Rolls outstanding as of October 31, 2004,
In a "fee" roll, the compensation is recorded as deferred income and amortized
to income over the roll period. The counterparty receives all principal and
interest payments, including prepayments, made in respect of a security subject
to such a contract while it is the holder. Mortgage dollar rolls may be renewed
with a new purchase and repurchase price and a cash settlement made on
settlement date without physical delivery of the securities subject to the
contract. The Funds engage in dollar rolls for the purpose of enhancing their
yields, principally by earning a negotiated fee. The Funds had no Fee-based
Dollar Rolls outstanding as of October 31, 2004.
I. RESTRICTED AND ILLIQUID SECURITIES -- The Funds are permitted to invest in
securities that are subject to legal or contractual restrictions on resale or
are illiquid. Restricted securities generally may be resold in transactions
exempt from registration. A security may be considered illiquid if it lacks a
readily available market or if its valuation has not changed for a certain
period of time. Disposal of these securities may involve time-consuming
negotiations and expense, and prompt sale at the current valuation may be
difficult.
J. SECURITY TRANSACTIONS AND INVESTMENT INCOME -- Investment transactions are
accounted for on the trade date (the date the order to buy or sell is executed).
Securities gains and losses are calculated on the identified cost basis.
Interest income is determined on the basis of coupon interest accrued using the
interest method adjusted for amortization of premiums and accretion of
discounts. Dividend income less foreign taxes withheld (if any) is recorded on
the ex-dividend date or when the Funds first learn of the dividend.
Purchases of TBA, when-issued or delayed delivery securities may be settled a
month or more after the trade date; interest income is not accrued until
settlement date. It is each Fund's policy to segregate assets with a current
value at least equal to the amount of its TBA, when-issued or delayed delivery
purchase commitments.
K. ALLOCATION OF INCOME AND EXPENSES -- Expenses directly attributable to a Fund
are charged to that Fund; other expenses of the Trusts are allocated
proportionately among each of the Funds within the Trusts in relation to the net
assets of each Fund or on another reasonable basis. Expenses directly
attributable to a particular class are charged directly to such class. In
calculating the net asset value per share of each class, investment income,
realized and unrealized gains and losses and expenses other than class specific
expenses are allocated daily to each class of shares based upon the proportion
of net assets of each class at the beginning of each day.
L. FEDERAL INCOME TAXES -- Each Fund is treated as a separate taxable entity for
Federal income tax purposes. The Fund's policy is to comply with the provisions
of the Internal Revenue Code applicable to regulated investment companies and to
distribute to shareholders all of its distributable net investment income and
net realized gain on investments. In addition, the Funds intend to make
distributions as required to avoid excise taxes. Accordingly, no provision for
Federal income or excise tax is necessary.
M. FOREIGN TAXES -- The Funds may be subject to foreign taxes on income, gains
on investments or currency repatriation, a portion of which may be recoverable.
The Funds will accrue such taxes and recoveries as applicable, based upon their
current interpretation of tax rules and regulations that exist in the markets in
which they invest.
N. DISTRIBUTIONS TO SHAREHOLDERS -- Dividends and distributions paid to
shareholders are recorded on the ex-dividend date. The amount of dividends and
distributions from net investment income and net realized capital gains is
determined in accordance with Federal income tax regulations, which may differ
from accounting principles generally accepted in the Unites States of America.
To the
71
<Page>
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.
The following amounts were reclassified within the capital accounts (amounts in
thousands):
<Table>
<Caption>
ACCUMULATED ACCUMULATED
UNDISTRIBUTED/ NET REALIZED
(OVERDISTRIBUTED) GAIN (LOSS)
FUND PAID-IN-CAPITAL NET INVESTMENT INCOME ON INVESTMENTS
- ---- --------------------- --------------------- ---------------------
FTAIO $ -- $ 1,354 $ (1,354)
TADE 2,363 (7) (2,356)
TAEI -- -- --
TALCG (123) 123 --
TALCV (125) 125 --
TASI -- (1,862) 1,862
TAUSE -- -- --
</Table>
For FTAIO, the reclassifications primarily relate to the character for tax
purposes of foreign currency gains and losses, and the sale of Passive Foreign
Investment Company ("PFIC"). For TADE the reclassifications primarily relate to
the character for tax purposes of redemptions-in-kind and sales of investments
in Real Estate Investment Trust ("REIT"). For TALCG, the reclassifications
primarily relate to the character for tax purposes of returns of capital. For
TALCV, the reclassifications primarily relate to the character for tax purposes
of overdistributions. For TASI, the reclassifications primarily relate to the
character for tax purposes of foreign currency gains and losses and foreign bond
futures.
O. OTHER EXPENSES -- Other expenses in the Statement of Operations include fees
related to line of credit, insurance, and pricing and reporting services.
72
<Page>
4. FEES AND OTHER TRANSACTIONS WITH AFFILIATES
A. INVESTMENT ADVISORY FEE -- Pursuant to the Investment Advisory Agreement, JP
Morgan Investment Management, Inc. ("JPMIM") acts as investment advisor to the
Funds. JPMIM, a wholly owned subsidiary of JPMorgan Fleming Asset Management
Holdings, Inc., which is a wholly owned subsidiary of JPMorgan Chase & Co
("JPMorgan"), is the advisor for the Funds. The Advisor supervises the
investments of each respective Fund and for such services is paid a fee. The fee
is accrued daily and paid monthly based on each Fund's respective average daily
net assets. The annual fee for each Fund is as follows:
<Table>
<Caption>
INVESTMENT
FUND ADVISORY FEE (%)
- ---- ----------------
FTAIO 0.85%
TADE 0.35%
TAEI 0.25%
TALCG 0.40%
TALCV 0.40%
TASI 0.25%
TAUSE 0.45%
</Table>
The Advisor waived fees as outlined in Note 4.F.
The Funds may invest in one or more of the affiliated JPMorgan Money Market
Funds. The Advisor has agreed to waive and/or reimburse its advisory fee from
the Funds in an amount sufficient to offset any doubling up of investment
advisory, administration and shareholder servicing fees related to each Fund's
investment in an affiliated money market fund.
B. DISTRIBUTION FEES -- Pursuant to the Distribution Agreement, J.P. Morgan Fund
Distributors, Inc. ("JPMFD" or "Distributor"), a wholly-owned subsidiary of The
BISYS Group, Inc., serves as the Trusts' exclusive underwriter and promotes and
arranges for the sale of each Fund's shares. JPMFD receives no compensation in
its capacity as the Funds' underwriter.
The Trustees have adopted Distribution Plans (the "Distribution Plans") for
Class A, B, and C Shares of the Funds in accordance with Rule 12b-1 under the
1940 Act. The Distribution Plans provide that each Fund shall pay distribution
fees, including payments to the Distributor, at annual rates of the average
daily net assets as shown in the table below (%):
<Table>
<Caption>
FUND CLASS A CLASS B CLASS C
- ---- ------- ------- -------
FTAIO 0.25 n/a n/a
TAEI 0.25 n/a n/a
TAUSE 0.25 0.75 0.75
</Table>
73
<Page>
In addition, JPMFD is entitled to receive the contingent deferred sales charge
("CDSC") from redemptions of Class B and C shares.
On August 19, 2004, the Board of Trustees approved management's proposal to
enter into a Distribution Agreement with One Group Dealer 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.
C. SHAREHOLDER SERVICING FEES -- The Trusts have entered into Shareholder
Servicing Agreements on behalf of the Funds with JPMorgan Chase Bank ("JPMCB"),
under which JPMCB provides account administration and personal account
maintenance services to the shareholders. For performing these services, JPMCB
receives a fee that is computed daily and paid monthly equal to a percentage of
the average daily net assets as shown in the table below (%):
<Table>
<Caption>
INSTITUTIONAL SELECT
FUND CLASS A CLASS B CLASS C CLASS CLASS
- ---- ------- ------- ------- ------------- ------
FTAIO 0.25 n/a n/a 0.10 n/a
TADE n/a n/a n/a 0.10 n/a
TAEI 0.25 n/a n/a 0.10 0.25
TALCG n/a n/a n/a n/a 0.25
TALCV n/a n/a n/a n/a 0.25
TASI n/a n/a n/a 0.10 0.25
TAUSE 0.25 0.25 0.25 0.10 0.25
</Table>
On August 19, 2004, the Board of Trustees approved management's proposal to
replace JPMCB with One Group Dealer Services, Inc. as Shareholder Servicing
Agent. The foregoing change in the service provider is expected to occur
effective February 19, 2005.
JPMCB may enter into service contracts with certain entities under which it will
pay all or portion of the annual fee to such entities for performing
shareholding and administrative services.
In addition, JPMCB, Charles Schwab & Co. ("Schwab") and the Trusts are parties
to separate servicing and operating agreements (the "Schwab Agreements") whereby
Schwab makes shares of the Funds available to customers of investment advisors
and other financial intermediaries who are Schwab's clients. The Funds are not
responsible for payments to Schwab under the Schwab Agreements; however, in the
event the servicing agreement with Schwab is terminated for reasons other than a
breach by Schwab and the relationships between JPMST,MFG, JPMIF and JPMCB is
terminated, the Funds would be responsible for the ongoing payments to Schwab
with respect to pre-termination shares.
JPMCB waived fees as outlined in Note 4.F.
D. CUSTODIAN AND ACCOUNTING FEES -- JPMCB provides portfolio custody and
accounting services for the Funds. Compensation for such services is presented
in the Statement of Operations as custodian fees. The custodian fees may be
reduced by credits earned by each Fund, based on uninvested cash balances held
by the custodian. Such earnings credits are presented separately in the
Statement of Operations.
E. ADMINISTRATION FEE -- Pursuant to the Administration Agreement, JPMCB (the
"Administrator") provides certain administration services to the Funds. In
consideration of
74
<Page>
these services, the Administrator receives a fee computed daily and paid monthly
at the annual rate equal to 0.15% of the first $25 billion of the average daily
net assets of all non-money market funds in the JPMorgan Fund Complex and 0.075%
of the average daily net assets in excess of $25 billion.
BISYS Fund Services, L.P. ("BISYS") serves as the Funds' sub-administrator. For
its services as sub-administrator, BISYS receives a portion of the fees payable
to JPMCB as Administrator.
The Administrator, the Advisor and the Distributor have 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
FUND CLASS A CLASS B CLASS C CLASS CLASS
- ---- ------- ------- ------- ------------- ------
FTAIO 1.80 n/a n/a 1.00 n/a
TADE n/a n/a n/a 0.55 n/a
TAEI 0.75 n/a n/a 0.25 0.50
TALCG n/a n/a n/a n/a 0.85
TALCV n/a n/a n/a n/a 0.85
TASI n/a n/a n/a 0.40* 0.55*
TAUSE 1.10 1.60 1.60 0.70 0.84
</Table>
* For TASI, effective January 1, 2004, the contractual expense cap changed from
0.35% to 0.40% for Institutional Class and from 0.50% to 0.55% for Select
Class.
The contractual expense limitation agreements were in effect for the year ended
October 31, 2004. The expense limitation percentages in the table above are due
to expire as follows:
<Table>
<Caption>
INSTITUTIONAL SELECT
FUND CLASS A CLASS B CLASS C CLASS CLASS
- ---- ------- ------- ------- -------------- ------
FTAIO 2/28/06 n/a n/a 2/28/06 n/a
TADE n/a n/a n/a 2/28/06 n/a
TAEI 2/28/06 n/a n/a 2/28/06 2/28/06
TALCG n/a n/a n/a n/a 2/28/06
TALCV n/a n/a n/a n/a 2/28/06
TASI n/a n/a n/a 2/28/06 2/28/06
TAUSE 2/28/06 2/28/06 2/28/06 2/28/06 2/28/06
</Table>
75
<Page>
On August 19, 2004, the Board of Trustees approved management's proposal to
enter into an Administration Agreement with One Group Administrative Services,
Inc., (OGA) an indirect wholly-owned subsidiary of JPMorgan Chase & Co. The
foregoing change in the service provider is expected to occur effective February
19, 2005.
The Administrative fees charged to the Funds will be subject to the same fee
structure as those paid to the current Administrator.
JPMCB will begin to provide sub-administrative services to the Funds in 2005.
For such services, JPMCB will receive a portion of the fees payable to OGA as
Administrator.
The Administrator waived fees and/or reimbursed expenses as outlined in Note
4.F.
F. WAIVERS AND REIMBURSEMENTS -- For the year ended October 31, 2004, the Funds'
service providers waived fees and the Administrator contractually reimbursed
expenses for each of the Funds as follows (amounts in thousands). Neither the
Funds' service providers nor the administrator expect the Funds to repay any
such waived fees and reimbursed expenses in future years.
<Table>
<Caption>
CONTRACTUAL WAIVERS
-----------------------------------------------------------------
INVESTMENT SHAREHOLDER CONTRACTUAL
FUND ADVISORY ADMINISTRATION SERVICING TOTAL REIMBURSEMENTS
- ---- -------------- -------------- -------------- -------------- ---------------
FTAIO $ 114 $ 212 $ 138 $ 464 $ 26
TADE -- 71 194 265 --
TAEI 718 3,198 1,600 5,516 --
TALCG -- -- 37 37 --
TALCV 10 -- -- 10 --
TASI -- 353 620 973 --
TAUSE -- 508 51 559 28
Total $ 842 $ 4,342 $ 2,640 $ 7,824 $ 54
<Caption>
VOLUNTARY WAIVERS
----------------------------------------------------------
INVESTMENT SHAREHOLDER
FUND ADVISORY ADMINISTRATION SERVICING DISTRUBTION TOTAL
- ---- ---------- -------------- ----------- ----------- --------
FTAIO $ -- $ 6 $ -- $ -- $ 6
</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 year ended October 31,
2004, FTAIO, TALCV and TAUSE incurred approximately (in thousands) $1, $56 and
$270 respectively, in brokerage commissions with broker/dealers affiliated with
JPMorgan.
The SEC has granted an exemptive order permitting each Fund to engage in
principal transactions with JP Morgan Securities Inc., an affiliated broker,
involving taxable money market instruments subject to certain conditions.
76
<Page>
5. CLASS SPECIFIC EXPENSES
The Funds' class specific expenses for the year ended October 31, 2004, are as
follows (amounts in thousands):
<Table>
<Caption>
SHAREHOLDER
FUND SERVICING DISTRIBUTION TRANSFER AGENT
- ---- -------------- -------------- --------------
FTAIO
Class A $ 14 $ 14 $ 14
Institutional 140 -- 32
- -------------------------------------------------------------------------------------------
Total $ 154 $ 14 $ 46
TADE
Institutional $ 194 $ -- $ 41
TAEI
Class A $ 50 $ 50 $ 22
Institutional 1,674 -- 50
Select 1,094 -- 38
- -------------------------------------------------------------------------------------------
Total $ 2,818 $ 50 $ 110
TALCG
Select $ 622 $ -- $ 22
TALCV
Select $ 1,042 $ -- $ 25
TASI
Institutional $ 356 $ -- $ 28
Select 747 -- 25
- -------------------------------------------------------------------------------------------
Total $ 1,103 $ -- $ 53
TAUSE
Class A $ 13 $ 13 $ 30
Class B 7 22 18
Class C 1 3 3
Institutional 115 -- 18
Select 1,934 -- 75
- -------------------------------------------------------------------------------------------
Total $ 2,070 $ 38 $ 144
- -------------------------------------------------------------------------------------------
</Table>
77
<Page>
6. CLASS SPECIFIC DISTRIBUTIONS
The Funds' class specific distributions from net investment income and realized
gain on investment transactions for the year ended October 31, 2004, and the
year ended October 31, 2003 are as follows (amounts in thousands):
<Table>
<Caption>
YEAR ENDED 10/31/04 YEAR ENDED 10/31/03
------------------------------------- -------------------------------------
NET NET
FUND INVESTMENT INCOME REALIZED GAIN INVESTMENT INCOME REALIZED GAIN
- ---- ----------------- ----------------- ----------------- -----------------
FTAIO
Class A $ 71 $ -- $ 64 $ --
Class B -- -- 1 --
Class C -- -- --^ --
Institutional 2,702 -- 1,521 --
- --------------------------------------------------------------------------------------------------------
Total $ 2,773 $ -- $ 1,586 $ --
- --------------------------------------------------------------------------------------------------------
TADE
Institutional $ 2,268 $ -- $ 2,258 $ --
TAEI
Class A $ 212 $ -- $ 307 $ --
Institutional 26,154 -- 35,853 --
Select 5,761 -- 6,020 --
- --------------------------------------------------------------------------------------------------------
Total $ 32,127 $ -- $ 42,180 $ --
- --------------------------------------------------------------------------------------------------------
TALCG
Select $ 352* $ -- $ 734 $ --
TALCV
Select $ 5,476 $ -- $ 5,208 $ --
TASI
Institutional $ 8,833 $ -- $ 3,989 $ --
Select 7,039 -- 1,908 --
- --------------------------------------------------------------------------------------------------------
Total $ 15,872 $ -- $ 5,897 $ --
- --------------------------------------------------------------------------------------------------------
TAUSE
Class A $ 30 $ -- $ 22 $ --
Class B 4 -- 5 --
Class C 1 -- 1 --
Institutional 1,561 -- 988 --
Select 6,243 -- 3,076 --
- --------------------------------------------------------------------------------------------------------
Total $ 7,839 $ -- $ 4,092 $ --
- --------------------------------------------------------------------------------------------------------
</Table>
^ Amount rounds to less than one thousand.
* TALCG includes return of capital distributions in the amount (in thousands)
of $123.
78
<Page>
7. INVESTMENT TRANSACTIONS
For the year ended October 31, 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.
FUND GOVERNMENT) GOVERNMENT) GOVERNMENT GOVERNMENT
- ---- ---------------- --------------- --------------- ---------------
FTAIO $ 132,653 $ 147,948 $ -- $ --
TADE 64,613 60,135 -- --
TAEI 1,636,359 3,058,150 -- 35,672
TALCG 316,111 384,272 -- --
TALCV 293,242 162,725 -- --
TASI 1,121,978 950,540 236,644 278,384
TAUSE 724,014 519,046 -- --
</Table>
8. FEDERAL INCOME TAX MATTERS
For Federal income tax purposes, the cost and unrealized appreciation
(depreciation) in value of the investment securities at October 31, 2004, are as
follows (amounts in thousands):
<Table>
<Caption>
GROSS GROSS NET UNREALIZED
AGGREGATE UNREALIZED UNREALIZED APPRECIATION
FUND COST APPRECIATION DEPRECIATION (DEPRECIATION)
- ---- ---------------- --------------- --------------- ---------------
FTAIO $ 119,454 $ 21,640 $ (1,349) $ 20,291
TADE 178,294 31,043 (7,907) 23,136
TAEI 1,143,991 1,703 (931) 772
TALCG 193,131 15,185 (8,477) 6,708
TALCV 497,686 63,119 (13,928) 49,191
TASI 692,338 4,571 (2,032) 2,539
TAUSE 956,778 79,575 (24,968) 54,607
</Table>
79
<Page>
The tax character of distributions paid during the years ended October 31, 2004,
and October 31, 2003, respectively were as follows (amounts in thousands):
<Table>
<Caption>
ORDINARY TAX EXEMPT LONG-TERM RETURN OF TOTAL
FUND INCOME INCOME CAPITAL GAIN CAPITAL DISTRIBUTIONS
- ---- ------------- ------------- ------------- ------------- -------------
YEAR ENDED
10/31/04
FTAIO $ 2,773 $ -- $ -- $ -- $ 2,773
TADE 2,268 -- -- -- 2,268
TAEI 9,896 22,231 -- -- 32,127
TALCG 229 -- -- 123 352
TALCV 5,476 -- -- -- 5,476
TASI 2,708 13,164 -- -- 15,872
TAUSE 7,839 -- -- -- 7,839
<Caption>
ORDINARY TAX EXEMPT LONG-TERM RETURN OF TOTAL
FUND INCOME INCOME CAPITAL GAIN CAPITAL DISTRIBUTIONS
- ---- ------------- ------------- ------------- ------------- -------------
YEAR ENDED
10/31/04
FTAIO $ 1,586 $ -- $ -- $ -- $ 1,586
TADE 2,258 -- -- -- 2,258
TAEI 17,259 24,921 -- -- 42,180
TALCG 734 -- -- -- 734
TALCV 5,208 -- -- -- 5,208
TASI @ 1,442 4,455 -- -- 5,897
TAUSE 4,092 -- -- -- 4,092
</Table>
@ For the period 12/20/02 to 10/31/03.
80
<Page>
At October 31, 2004, the components of net assets (excluding paid in capital) on
a tax basis were as follows (amounts in thousands):
<Table>
<Caption>
FTAIO TADE TAEI
---------- ---------- ----------
Current distributable ordinary income $ 2,654 $ 171 $ 262
Current distributable tax-exempt income -- -- 45
Plus/Less: cumulative timing differences (--)^ (--)^ (820)
Undistributed ordinary income or
(overdistribution of ordinary income) $ 2,654 $ 171 $ (513)
Current distributable long-term capital
gain or (tax basis capital loss carryover) $ (40,762) $ (120,454) $ (23,448)
Plus/Less: cumulative timing differences -- -- --
Undistributed long-term gains/
accumulated capital loss $ (40,762) $ (120,454) $ (23,448)
Unrealized appreciation (depreciation) $ 20,272 $ 23,136 $ (535)
<Caption>
TALCG TALCV TASI
---------- ---------- ----------
Current distributable ordinary income $ -- $ -- $ 232
Current distributable tax-exempt income -- -- 1,360
Plus/Less: cumulative timing differences (27) (512) (1,281)
Undistributed ordinary income or
(overdistribution of ordinary income) $ (27) $ (512) $ 311
Current distributable long-term capital
gain or (tax basis capital loss carryover) $ (121,512) $ (31,001) $ (7,975)
Plus/Less: cumulative timing differences -- -- --
Undistributed long-term gains/
accumulated capital loss $ (121,512) $ (31,001) $ (7,975)
Unrealized appreciation (depreciation) $ 6,708 $ 49,191 $ 2,111
</Table>
^ Amount rounds to less than one thousand.
81
<Page>
<Table>
<Caption>
TAUSE
-----------
Current distributable ordinary income $ 593
Plus/Less: cumulative timing differences (10)
Undistributed ordinary income or
(overdistribution of ordinary income) $ 583
Current distributable long-term capital
gain or (tax basis capital loss carryover) $ (72,017)
Plus/Less: cumulative timing differences --
Undistributed long-term gains/
accumulated capital loss $ (72,017)
Unrealized appreciation (depreciation) $ 54,607
</Table>
For TALCG, TALCV and TAUSE, the difference between book and tax basis unrealized
appreciation/(depreciation) is primarily attributed to wash sale loss deferrals.
For FTAIO, the difference between book and tax basis unrealized
appreciation/(depreciation) is due to wash sale loss deferrals, the mark to
market of forward currency exchange contracts and investments in PFIC. For TAEI,
the difference between book and tax basis unrealized appreciation/(depreciation)
is primarily attributed to the mark to market of futures contracts. For TASI,
the difference between book and tax basis unrealized appreciation/(depreciation)
is primarily attributed to wash sales loss deferrals and the mark to market of
futures contracts. For TADE, the difference between book and tax basis
unrealized appreciation/(depreciation) is primarily attributed to wash sales
loss deferrals and REIT basis adjustments. For FTAIO, TADE, TALCG and TAUSE, the
cumulative timing difference account primarily consists of deferred
compensation. For TAEI, TALCV, and TASI, the cumulative timing difference
account primarily consists of deferred compensation and dividends payable.
82
<Page>
At October 31, 2004, the following Funds have capital loss carryovers, which
will be available to offset capital gains. To the extent that any net capital
loss carryovers are used to offset future capital gains, it is probable that the
gains so offset will not be distributed to shareholders (amounts in thousands):
<Table>
<Caption>
EXPIRATION
FUND AMOUNT DATE
- ---- ----------------- ----------------
FTAIO $ (23,569) October 31, 2010
(17,193) October 31, 2011
- --------------------------------------------------------------------------------------------------------
Total (40,762)
- --------------------------------------------------------------------------------------------------------
TADE $ (17,204) October 31, 2008
(36,384) October 31, 2009
(50,933) October 31, 2010
(15,933) October 31, 2011
- --------------------------------------------------------------------------------------------------------
Total (120,454)
- --------------------------------------------------------------------------------------------------------
TAEI $ (1,458) October 31, 2010
(6,200) October 31, 2011
(15,790) October 31, 2012
- --------------------------------------------------------------------------------------------------------
Total (23,448)
- --------------------------------------------------------------------------------------------------------
TALCG $ (50,267) October 31, 2009
(37,056) October 31, 2010
(30,037) October 31, 2011
(4,152) October 31, 2012
- --------------------------------------------------------------------------------------------------------
Total (121,512)
- --------------------------------------------------------------------------------------------------------
TALCV $ (21,646) October 31, 2010
(9,355) October 31, 2011
- --------------------------------------------------------------------------------------------------------
Total (31,001)
- --------------------------------------------------------------------------------------------------------
TASI $ (4,405) October 31, 2011
(3,570) October 31, 2012
- --------------------------------------------------------------------------------------------------------
Total (7,975)
- --------------------------------------------------------------------------------------------------------
</Table>
83
<Page>
<Table>
<Caption>
EXPIRATION
FUND AMOUNT DATE
- ---- ------------------ ----------------
TAUSE* $ (6,399) October 31, 2007
(6,281) October 31, 2008
(21,016) October 31, 2009
(28,103) October 31, 2010
(10,218) October 31, 2011
- ---------------------------------------------------------------------------------------------------------
Total (72,017)
- ---------------------------------------------------------------------------------------------------------
</Table>
* The TAUSE capital loss carryover includes $26,024 (amount in thousands) of
losses acquired from JPMorgan Select Large Cap Equity Fund. Utilization of
these losses will be subject to an annual limitation as prescribed by the
Internal Revenue Code.
During the year ended October 31, 2004, FTAIO, TADE, TALCV and TAUSE utilized
capital loss carryovers of $16,747, $7,488, $5,815 and $16,016, respectively
(amounts in thousands).
9. BANK BORROWINGS
Pursuant to a Line of Credit Agreement dated April 17, 2003 the Funds may borrow
money for temporary or emergency purposes. The Funds have entered into the
agreement, enabling them to participate with other JPMorgan Funds in a line of
credit with JPMCB, as administrative agent, and with a syndicate of banks, which
permits borrowings up to $250 million, collectively. Interest is charged to each
Fund based on its borrowings at an annual rate equal to the sum of the Federal
Funds Rate plus 0.50%. The Funds also pay a commitment fee of 0.09% per annum on
the average daily amount of the available commitment, which is allocated on a
pro-rata basis to the Funds. The commitment fee is included in Other expenses on
the Statement of Operations. This agreement has been extended to April 14, 2005.
The Funds had no borrowings outstanding at October 31, 2004 nor at anytime
during the year then ended.
10. CONCENTRATIONS AND INDEMNIFICATIONS
FTAIO may have elements of risk not typically associated with investments in the
United States of America due to concentrated investments in a limited number of
countries or regions, which may vary throughout the year. Such concentrations
may subject FTAIO to additional risks resulting from political or economic
conditions in such countries or regions and the possible imposition of adverse
governmental laws or currency exchange restrictions could cause the securities
and their markets to be less liquid and their prices more volatile than those of
comparable U.S. securities.
The ability of the issuers of debt, asset-backed and mortgage-backed securities,
along with counterparties to swap and option agreements, to meet their
obligations may be affected by the economic and political developments in a
specific industry or region. The value of asset-backed and mortgage-backed
securities can be significantly affected by changes in interest rates or rapid
principal payments including prepayments.
As to illiquid investments, a Fund is subject to the risk that should the Fund
decide to sell them when a ready buyer is not available at a price the Fund
deems representative of their fair value, the value of the Fund's net assets
could be adversely affected.
As of October 31, 2004 substantially all of the net assets of FTAIO consist of
securities of issuers which are denominated in foreign currencies. Changes in
currency exchange rates will affect the value of investment income from such
securities.
84
<Page>
As of October 31, 2004 FTAIO invested 26.2% of its total investments in the
United Kingdom. The issuers' abilities to meet their obligations may be affected
by economic or political developments in the specific region or country.
From time to time, the Funds may have a concentration of several shareholders
which may be a related party, holding a significant percentage of shares
outstanding. Investment activities of these shareholders could have a material
impact on the Funds.
In the normal course of business the Funds enter into contracts that contain a
variety of representations which provide general indemnifications. Each Fund's
maximum exposure under these arrangements is unknown as this would involve
future claims that may be made against each Fund that have not yet occurred.
However, based on experience, the Funds expect the risk of loss to be remote.
11. CORPORATE EVENT
On May 25, 2004, J.P. Morgan Chase & Co. and Bank One Corp. announced that, at
separate meetings, their respective shareholders had approved the merger of the
two companies. The companies 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. Effective November 15, 2004, the bank name is JPMorgan
Chase Bank, National Association.
12. SUBSEQUENT EVENT
On November 11, 2004, The Board of Directors approved the following:
1. For Class A Shares, the maximum front-end sales charge was reduced from
5.75% to 5.25% for shares purchased on or after November 15, 2004 of the
Tax Aware International Opportunities Fund.
2. For shares of the Tax Aware International Opportunities Fund purchased on
or after February 19, 2005, shareholders will pay a 2% redemption fee if
they exchange or redeem shares of this Fund within 60 days of the date of
purchase. As described in the Fund's prospectus, this fee may be in
addition to any applicable contingent deferred sales charge. The
redemption fees will be paid to the respective Funds to offset the impact
of fluctuations in asset levels and cash flow caused by short-term
shareholder trading in these Funds.
85
<Page>
Capital share tranactions were as follows for the periods presented (Amounts in
thousands):
<Table>
<Caption>
FLEMING TAX AWARE INTERNATIONAL
OPPORTUNITIES FUND
------------------------------------
YEAR ENDED YEAR ENDED
OCTOBER 31, 2004 OCTOBER 31, 2003
---------------- ----------------
CLASS A SHARES
AMOUNT
Shares sold $ 392 $ 3,769
Shares issued in reinvestment
of distributions 25 22
Shares redeemed (2,146) (5,998)
- ----------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ (1,729) $ (2,207)
- ----------------------------------------------------------------------------------------------------
SHARES
Shares sold 26 358
Shares issued in reinvestment
of distributions 2 2
Shares redeemed (145) (546)
- ----------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding (117) (186)
- ----------------------------------------------------------------------------------------------------
CLASS B*
AMOUNT
Shares sold $ -- $ 21
Shares issued in reinvestment
of distributions -- 1
Shares redeemed -- (84)
- ----------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ -- $ (62)
- ----------------------------------------------------------------------------------------------------
SHARES
Shares sold -- 2
Shares issued in reinvestment
of distributions -- --^
Shares redeemed -- (7)
- ----------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding -- (5)
- ----------------------------------------------------------------------------------------------------
</Table>
^ Amount rounds to less than one thousand.
* Class ceased operations as of September 12, 2003.
86
<Page>
<Table>
<Caption>
FLEMING TAX AWARE INTERNATIONAL
OPPORTUNITIES FUND (CONTINUED)
------------------------------------
YEAR ENDED YEAR ENDED
OCTOBER 31, 2004 OCTOBER 31, 2003
---------------- ----------------
CLASS C*
AMOUNT
Shares sold $ -- $ 825
Shares issued in reinvestment
of distributions -- --^
Shares redeemed -- (836)
- ----------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ -- $ (11)
- ----------------------------------------------------------------------------------------------------
SHARES
Shares sold -- 75
Shares issued in reinvestment
of distributions -- --^
Shares redeemed -- (76)
- ----------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding -- (1)
- ----------------------------------------------------------------------------------------------------
INSTITUTIONAL
AMOUNT
Shares sold $ 26,988 $ 27,732
Shares issued in reinvestment
of distributions 473 336
Shares redeemed (40,258) (67,484)
- ----------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ (12,797) $ (39,416)
- ----------------------------------------------------------------------------------------------------
SHARES
Shares sold 1,868 2,472
Shares issued in reinvestment
of distributions 34 30
Shares redeemed (2,734) (6,140)
- ----------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding (832) (3,638)
- ----------------------------------------------------------------------------------------------------
</Table>
^ Amount rounds to less than one thousand.
* Class ceased operations as of September 12, 2003.
87
<Page>
<Table>
<Caption>
TAX AWARE DISCIPLINED EQUITY FUND
------------------------------------
YEAR ENDED YEAR ENDED
OCTOBER 31, 2004 OCTOBER 31, 2003
---------------- ----------------
INSTITUTIONAL
AMOUNT
Shares sold $ 44,535 $ 34,911
Subscription in-kind -- 21,173
Shares issued in reinvestment
of distributions 1,660 1,703
Shares redeemed (35,388) (81,796)
Redemption in-kind (6,389) (22,866)
- ----------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ 4,418 $ (46,875)
- ----------------------------------------------------------------------------------------------------
SHARES
Shares sold 2,963 2,855
Subscription in-kind -- 1,812
Shares issued in reinvestment
of distributions 110 140
Shares redeemed (2,353) (6,791)
Redemption in-kind (432) (1,647)
- ----------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding 288 (3,631)
- ----------------------------------------------------------------------------------------------------
</Table>
88
<Page>
<Table>
<Caption>
TAX AWARE ENHANCED INCOME FUND
------------------------------------
YEAR ENDED YEAR ENDED
OCTOBER 31, 2004 OCTOBER 31, 2003
---------------- ----------------
CLASS A
AMOUNT
Shares sold $ 17,062 $ 26,951
Shares issued in reinvestment
of distributions 184 263
Shares redeemed (23,733) (23,564)
- ----------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ (6,487) $ 3,650
- ----------------------------------------------------------------------------------------------------
SHARES
Shares sold 1,702 2,668
Shares issued in reinvestment
of distributions 18 26
Shares redeemed (2,370) (2,333)
- ----------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding (650) 361
- ----------------------------------------------------------------------------------------------------
INSTITUTIONAL
AMOUNT
Shares sold $ 764,339 $ 1,652,863
Shares issued in reinvestment
of distributions 19,955 30,174
Shares redeemed (2,095,973) (1,278,324)
- ----------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ (1,311,679) $ 404,713
- ----------------------------------------------------------------------------------------------------
SHARES
Shares sold 76,296 163,883
Shares issued in reinvestment
of distributions 1,993 2,994
Shares redeemed (209,584) (126,874)
- ----------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding (131,295) 40,003
- ----------------------------------------------------------------------------------------------------
SELECT
AMOUNT
Shares sold $ 184,937 $ 417,915
Shares issued in reinvestment
of distributions 1,865 3,056
Shares redeemed (265,209) (253,391)
- ----------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ (78,407) $ 167,580
- ----------------------------------------------------------------------------------------------------
SHARES
Shares sold 18,418 41,364
Shares issued in reinvestment
of distributions 186 303
Shares redeemed (26,468) (25,111)
- ----------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding (7,864) 16,556
- ----------------------------------------------------------------------------------------------------
</Table>
89
<Page>
<Table>
<Caption>
TAX AWARE LARGE CAP GROWTH FUND TAX AWARE LARGE CAP VALUE FUND
----------------------------------- -----------------------------------
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
OCTOBER 31, 2004 OCTOBER 31, 2003 OCTOBER 31, 2004 OCTOBER 31, 2003
---------------- ---------------- ---------------- ----------------
SELECT
AMOUNT
Shares sold $ 22,915 $ 35,341 $ 220,279 $ 55,219
Shares issued in reinvestment
of distributions 7 15 228 121
Shares redeemed (91,978) (57,206) (81,724) (85,359)
- -------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ (69,056) $ (21,850) $ 138,783 $ (30,019)
- -------------------------------------------------------------------------------------------------------------------
SHARES
Shares sold 1,535 2,626 10,750 3,339
Shares issued in reinvestment
of distributions --^ 1 11 7
Shares redeemed (6,168) (4,180) (4,029) (5,101)
- -------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding (4,633) (1,553) 6,732 (1,755)
- -------------------------------------------------------------------------------------------------------------------
</Table>
^ Amount rounds to less than one thousand.
90
<Page>
<Table>
<Caption>
TAX AWARE SHORT-INTERMEDIATE
INCOME FUND
------------------------------------
YEAR ENDED PERIOD ENDED
OCTOBER 31, 2004 OCTOBER 31, 2003*
---------------- ----------------
INSTITUTIONAL
AMOUNT
Shares sold $ 195,778 $ 374,926
Shares issued in reinvestment
of distributions 3,205 1,400
Shares redeemed (182,856) (39,517)
- ----------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ 16,127 $ 336,809
- ----------------------------------------------------------------------------------------------------
SHARES
Shares sold 19,505 37,278
Shares issued in reinvestment
of distributions 321 139
Shares redeemed (18,371) (3,931)
- ----------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding 1,455 33,486
- ----------------------------------------------------------------------------------------------------
SELECT
AMOUNT
Shares sold $ 209,358 $ 216,722
Shares issued in reinvestment
of distributions 771 322
Shares redeemed (51,980) (15,921)
- ----------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ 158,149 $ 201,123
- ----------------------------------------------------------------------------------------------------
SHARES
Shares sold 20,885 21,556
Shares issued in reinvestment
of distributions 77 32
Shares redeemed (5,230) (1,579)
- ----------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding 15,732 20,009
- ----------------------------------------------------------------------------------------------------
</Table>
* From commencement of offering on December 20, 2002.
91
<Page>
<Table>
<Caption>
TAX AWARE U.S. EQUITY FUND
------------------------------------
YEAR ENDED YEAR ENDED
OCTOBER 31, 2004 OCTOBER 31, 2003
---------------- ----------------
CLASS A
AMOUNT
Shares sold $ 1,499 $ 759
Shares issued in reinvestment
of distributions 28 19
Shares redeemed (1,553) (1,365)
- ----------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ (26) $ (587)
- ----------------------------------------------------------------------------------------------------
SHARES
Shares sold 95 57
Shares issued in reinvestment
of distributions 2 1
Shares redeemed (97) (105)
- ----------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding --^ (47)
- ----------------------------------------------------------------------------------------------------
CLASS B
AMOUNT
Shares sold $ 133 $ 708
Shares issued in reinvestment
of distributions 4 5
Shares redeemed (415) (1,093)
- ----------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ (278) $ (380)
- ----------------------------------------------------------------------------------------------------
SHARES
Shares sold 8 54
Shares issued in reinvestment
of distributions --^ --^
Shares redeemed (26) (81)
- ----------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding (18) (27)
- ----------------------------------------------------------------------------------------------------
</Table>
^ Amount rounds to less than one thousand.
92
<Page>
<Table>
<Caption>
TAX AWARE U.S. EQUITY FUND (CONTINUED)
--------------------------------------
YEAR ENDED YEAR ENDED
OCTOBER 31, 2004 OCTOBER 31, 2003
---------------- ----------------
CLASS C
AMOUNT
Shares sold $ 82 $ 162
Shares issued in reinvestment
of distributions --^ --^
Shares redeemed (2) (105)
- ----------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ 80 $ 57
- ----------------------------------------------------------------------------------------------------
SHARES
Shares sold 5 12
Shares issued in reinvestment
of distributions --^ --^
Shares redeemed (--)^ (8)
- ----------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding 5 4
- ----------------------------------------------------------------------------------------------------
INSTITUTIONAL
AMOUNT
Shares sold $ 27,738 $ 72,814
Shares issued in reinvestment
of distributions 1,217 700
Shares redeemed (22,288) (20,456)
- ----------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ 6,667 $ 53,058
- ----------------------------------------------------------------------------------------------------
SHARES
Shares sold 2,474 7,469
Shares issued in reinvestment
of distributions 107 72
Shares redeemed (1,977) (2,100)
- ----------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding 604 5,441
- ----------------------------------------------------------------------------------------------------
</Table>
^ Amount rounds to less than one thousand.
93
<Page>
<Table>
<Caption>
TAX AWARE U.S. EQUITY FUND (CONTINUED)
--------------------------------------
YEAR ENDED YEAR ENDED
OCTOBER 31, 2004 OCTOBER 31, 2003
---------------- ----------------
SELECT
AMOUNT
Shares sold $ 310,508 $ 211,352
Shares issued in connection with
Fund Reorganization (Note 2) -- 241,297
Shares issued in reinvestment
of distributions 1,323 1,080
Shares redeemed (119,197) (90,106)
- ----------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ 192,634 $ 363,623
- ----------------------------------------------------------------------------------------------------
SHARES
Shares sold 19,498 15,611
Shares issued in connection with
Fund Reorganization (Note 2) -- 18,573
Shares issued in reinvestment
of distributions 82 80
Shares redeemed (7,489) (6,534)
- ----------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding 12,091 27,730
- ----------------------------------------------------------------------------------------------------
</Table>
94
<Page>
THIS PAGE IS INTENTIONALLY LEFT BLANK
95
<Page>
JPMORGAN FUNDS
FINANCIAL HIGHLIGHTS
CLASS A SHARES
<Table>
<Caption>
PER SHARE OPERATING PERFORMANCE:
---------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS: LESS DISTRIBUTIONS:
-------------------------------------- -----------------------------------------
NET GAINS
OR LOSSES ON
NET ASSET NET SECURITIES DIVIDENDS
VALUE, INVESTMENT (BOTH TOTAL FROM FROM NET DISTRIBUTIONS
BEGINNING INCOME REALIZED AND INVESTMENT INVESTMENT FROM CAPITAL TOTAL
OF PERIOD (LOSS) UNREALIZED) OPERATIONS INCOME GAINS DISTRIBUTIONS
--------- ---------- ------------ ---------- ---------- ------------- -------------
FLEMING TAX AWARE INTERNATIONAL
OPPORTUNITIES FUND
Year Ended 10/31/04 $ 13.36 0.08^ 1.74 1.82 0.16 -- 0.16
Year Ended 10/31/03 $ 10.90 0.06^ 2.51 2.57 0.11 -- 0.11
Year Ended 10/31/02 $ 12.38 0.06 (1.53) (1.47) 0.01 -- 0.01
4/30/01* Through 10/31/01 $ 15.00 0.08^ (2.70) (2.62) -- -- --
TAX AWARE ENHANCED
INCOME FUND
Year Ended 10/31/04 $ 10.05 0.11 (0.06) 0.05 0.11 -- 0.11
Year Ended 10/31/03 $ 10.08 0.14 (0.03) 0.11 0.14 -- 0.14
11/30/01* Through 10/31/02 $ 10.10 0.16 (0.01) 0.15 0.16 0.01 0.17
TAX AWARE U.S. EQUITY FUND
Year Ended 10/31/04 $ 14.89 0.08^ 1.28 1.36 0.09 -- 0.09
Year Ended 10/31/03 $ 12.86 0.09^ 2.01 2.10 0.07 -- 0.07
Year Ended 10/31/02 $ 15.58 0.10 (2.71) (2.61) 0.11 -- 0.11
4/16/01* Through 10/31/01 $ 16.88 0.03^ (1.27) (1.24) 0.06 -- 0.06
</Table>
* Commencement of offering of class of shares.
^ Calculated based on average shares outstanding.
(1) Total return figures do not include the effect of any front-end or deferred
sales load.
SEE NOTES TO FINANCIAL STATEMENTS.
96
<Page>
ANNUAL REPORT OCTOBER 31 2004
<Table>
<Caption>
PER SHARE
OPERATING PERFORMANCE: RATIOS/SUPPLEMENTAL DATA:
---------------------- ------------------------------------------
RATIOS TO AVERAGE
NET ASSETS: #
--------------------------
NET ASSETS, NET
NET ASSET END OF INVESTMENT
VALUE, END TOTAL PERIOD NET INCOME
OF PERIOD RETURN (1)(b) (MILLIONS) EXPENSES (LOSS)
---------- ------------- ------------ -------- ----------
FLEMING TAX AWARE INTERNATIONAL
OPPORTUNITIES FUND
Year Ended 10/31/04 $ 15.02 13.74% $ 5 1.69% 0.58%
Year Ended 10/31/03 $ 13.36 23.77% $ 6 1.80% 0.54%
Year Ended 10/31/02 $ 10.90 (11.85%) $ 7 1.80% 0.40%
4/30/01* Through 10/31/01 $ 12.38 (17.47%) $ 4 1.80% 0.29%
TAX AWARE ENHANCED
INCOME FUND
Year Ended 10/31/04 $ 9.99 0.47% $ 16 0.75% 1.04%
Year Ended 10/31/03 $ 10.05 1.12% $ 22 0.75% 1.38%
11/30/01* Through 10/31/02 $ 10.08 1.42% $ 19 0.75% 1.55%
TAX AWARE U.S. EQUITY FUND
Year Ended 10/31/04 $ 16.16 9.15% $ 5 1.10% 0.57%
Year Ended 10/31/03 $ 14.89 16.37% $ 5 1.10% 0.68%
Year Ended 10/31/02 $ 12.86 (16.89%) $ 5 1.10% 0.52%
4/16/01* Through 10/31/01 $ 15.58 (7.38%) $ 1 1.04% 0.33%
<Caption>
RATIOS/SUPPLEMENTAL DATA:
---------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
------------------------------------------------
NET INVESTMENT
EXPENSES INCOME (LOSS)
WITHOUT WAIVERS, WITHOUT WAIVERS, PORTFOLIO
REIMBURSEMENTS REIMBURSEMENTS TURNOVER
AND EARNINGS CREDITS AND EARNINGS CREDITS RATE (b)
-------------------- -------------------- ---------
FLEMING TAX AWARE INTERNATIONAL
OPPORTUNITIES FUND
Year Ended 10/31/04 1.97% 0.30% 93%
Year Ended 10/31/03 2.41% (0.07%) 79%
Year Ended 10/31/02 2.37% (0.17%) 97%
4/30/01* Through 10/31/01 5.48%+ (3.39%)+ 43%
TAX AWARE ENHANCED
INCOME FUND
Year Ended 10/31/04 1.03% 0.76% 95%
Year Ended 10/31/03 1.00% 1.13% 241%
11/30/01* Through 10/31/02 1.06% 1.23% 186%
TAX AWARE U.S. EQUITY FUND
Year Ended 10/31/04 1.74% (0.07%) 59%
Year Ended 10/31/03 1.90% (0.12%) 13%
Year Ended 10/31/02 1.88% (0.26%) 27%
4/16/01* Through 10/31/01 8.73%+ (7.36%)+ 22%
</Table>
(b) Not annualized for periods less than one year.
# Short periods have been annualized.
+ Due to the size of net assets and fixed expenses, ratios may appear
disproportionate with other classes.
SEE NOTES TO FINANCIAL STATEMENTS.
97
<Page>
CLASS B SHARES
<Table>
<Caption>
PER SHARE OPERATING PERFORMANCE:
---------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS: LESS DISTRIBUTIONS:
-------------------------------------- -----------------------------------------
NET GAINS
OR LOSSES ON
NET ASSET NET SECURITIES DIVIDENDS
VALUE, INVESTMENT (BOTH TOTAL FROM FROM NET DISTRIBUTIONS
BEGINNING INCOME REALIZED AND INVESTMENT INVESTMENT FROM CAPITAL TOTAL
OF PERIOD (LOSS) UNREALIZED) OPERATIONS INCOME GAINS DISTRIBUTIONS
--------- ---------- ------------ ---------- ---------- ------------- -------------
TAX AWARE U.S. EQUITY FUND
Year Ended 10/31/04 $ 14.75 0.01^ 1.26 1.27 0.02 -- 0.02
Year Ended 10/31/03 $ 12.76 0.02^ 1.99 2.01 0.02 -- 0.02
Year Ended 10/31/02 $ 15.47 0.03 (2.71) (2.68) 0.03 -- 0.03
4/16/01* Through 10/31/01 $ 16.88 (0.03)^ (1.33) (1.36) 0.05 -- 0.05
</Table>
* Commencement of offering of class of shares.
^ Calculated based on average shares outstanding
(1) Total return figures do not include the effect of any front-end or deferred
sales load.
SEE NOTES TO FINANCIAL STATEMENTS.
98
<Page>
<Table>
<Caption>
PER SHARE
OPERATING PERFORMANCE: RATIOS/SUPPLEMENTAL DATA:
---------------------- ------------------------------------------
RATIOS TO AVERAGE
NET ASSETS: #
--------------------------
NET ASSETS, NET
NET ASSET END OF INVESTMENT
VALUE, END TOTAL PERIOD NET INCOME
OF PERIOD RETURN (1)(b) (MILLIONS) EXPENSES (LOSS)
---------- ------------- ------------ -------- ----------
TAX AWARE U.S. EQUITY FUND
Year Ended 10/31/04 $ 16.00 8.62% $ 3 1.60% 0.07%
Year Ended 10/31/03 $ 14.75 15.82% $ 3 1.60% 0.18%
Year Ended 10/31/02 $ 12.76 (17.35%) $ 3 1.60% 0.00%^^
4/16/01* Through 10/31/01 $ 15.47 (8.09%) $ 1 1.60% (0.35%)
<Caption>
RATIOS/SUPPLEMENTAL DATA:
---------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
------------------------------------------------
NET INVESTMENT
EXPENSES INCOME (LOSS)
WITHOUT WAIVERS, WITHOUT WAIVERS, PORTFOLIO
REIMBURSEMENTS REIMBURSEMENTS TURNOVER
AND EARNINGS CREDITS AND EARNINGS CREDITS RATE (b)
-------------------- -------------------- ---------
TAX AWARE U.S. EQUITY FUND
Year Ended 10/31/04 2.24% (0.57%) 59%
Year Ended 10/31/03 2.40% (0.62%) 13%
Year Ended 10/31/02 2.39% (0.79%) 27%
4/16/01* Through 10/31/01 7.71%+ (6.46%)+ 22%
</Table>
(b) Not annualized for periods less than one year.
# Short periods have been annualized.
+ Due to the size of net assets and fixed expenses, ratios may appear
disproportionate with other classes.
SEE NOTES TO FINANCIAL STATEMENTS.
99
<Page>
CLASS C SHARES
<Table>
<Caption>
PER SHARE OPERATING PERFORMANCE:
---------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS: LESS DISTRIBUTIONS:
-------------------------------------- -----------------------------------------
NET GAINS
OR LOSSES ON
NET ASSET NET SECURITIES DIVIDENDS
VALUE, INVESTMENT (BOTH TOTAL FROM FROM NET DISTRIBUTIONS
BEGINNING INCOME REALIZED AND INVESTMENT INVESTMENT FROM CAPITAL TOTAL
OF PERIOD (LOSS) UNREALIZED) OPERATIONS INCOME GAINS DISTRIBUTIONS
--------- ---------- ------------ ---------- ---------- ------------- -------------
TAX AWARE U.S. EQUITY FUND
Year Ended 10/31/04 $ 14.72 0.02^ 1.25 1.27 0.02 -- 0.02
Year Ended 10/31/03 $ 12.74 0.02^ 1.99 2.01 0.03 -- 0.03
Year Ended 10/31/02 $ 15.45 0.04 (2.71) (2.67) 0.04 -- 0.04
4/16/01* Through 10/31/01 $ 16.88 (0.02)^ (1.35) (1.37) 0.06 -- 0.06
</Table>
* Commencement of offering of class of shares.
^ Calculated based on average shares outstanding
(1) Total return figures do not include the effect of any front-end or deferred
sales load.
(b) Not annualized for periods less than one year.
SEE NOTES TO FINANCIAL STATEMENTS.
100
<Page>
<Table>
<Caption>
PER SHARE
OPERATING PERFORMANCE: RATIOS/SUPPLEMENTAL DATA:
---------------------- ------------------------------------------
RATIOS TO AVERAGE
NET ASSETS: #
--------------------------
NET ASSETS, NET
NET ASSET END OF INVESTMENT
VALUE, END TOTAL PERIOD NET INCOME
OF PERIOD RETURN (1)(b) (MILLIONS) EXPENSES (LOSS)
---------- ------------- ------------ -------- ----------
TAX AWARE U.S. EQUITY FUND
Year Ended 10/31/04 $ 15.97 8.66% $ --@ 1.60% 0.07%
Year Ended 10/31/03 $ 14.72 15.80% $ --@ 1.60% 0.18%
Year Ended 10/31/02 $ 12.74 (17.35%) $ --@ 1.60% 0.00%^^
4/16/01* Through 10/31/01 $ 15.45 (8.16%) $ --@ 1.57% (0.17%)
<Caption>
RATIOS/SUPPLEMENTAL DATA:
---------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
------------------------------------------------
NET INVESTMENT
EXPENSES INCOME (LOSS)
WITHOUT WAIVERS, WITHOUT WAIVERS, PORTFOLIO
REIMBURSEMENTS REIMBURSEMENTS TURNOVER
AND EARNINGS CREDITS AND EARNINGS CREDITS RATE (b)
-------------------- -------------------- ------------
TAX AWARE U.S. EQUITY FUND
Year Ended 10/31/04 2.24% (0.57%) 59%
Year Ended 10/31/03 2.40% (0.62%) 13%
Year Ended 10/31/02 2.38% (0.78%) 27%
4/16/01* Through 10/31/01 23.55%+ (22.15%)+ 22%
</Table>
@ Amount rounds to less than one million.
^^ Amount rounds to less than .005%.
# Short periods have been annualized.
+ Due to the size of net assets and fixed expenses, ratios may appear
disproportionate with other classes.
SEE NOTES TO FINANCIAL STATEMENTS.
101
<Page>
INSTITUTIONAL CLASS SHARES
<Table>
<Caption>
PER SHARE OPERATING PERFORMANCE:
---------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS: LESS DISTRIBUTIONS:
-------------------------------------- -----------------------------------------
NET GAINS
OR LOSSES ON
NET ASSET NET SECURITIES DIVIDENDS
VALUE, INVESTMENT (BOTH TOTAL FROM FROM NET DISTRIBUTIONS
BEGINNING INCOME REALIZED AND INVESTMENT INVESTMENT FROM CAPITAL TOTAL
OF PERIOD (LOSS) UNREALIZED) OPERATIONS INCOME GAINS DISTRIBUTIONS
--------- ---------- ------------ ---------- ---------- ------------- -------------
FLEMING TAX AWARE INTERNATIONAL
OPPORTUNITIES FUND
Year Ended 10/31/04 $ 13.60 0.19^ 1.75 1.94 0.27 -- 0.27
Year Ended 10/31/03 $ 11.02 0.15^ 2.55 2.70 0.12 -- 0.12
Year Ended 10/31/02 $ 12.43 0.14 (1.51) (1.37) 0.04 -- 0.04
5/1/01* Through 10/31/01 $ 15.00 0.07^ (2.64) (2.57) -- -- --
TAX AWARE DISCIPLINED
EQUITY FUND
Year Ended 10/31/04 $ 14.02 0.16 1.29 1.45 0.17 -- 0.17
Year Ended 10/31/03 $ 11.74 0.15 2.28 2.43 0.15 -- 0.15
Year Ended 10/31/02 $ 14.36 0.14 (2.57) (2.43) 0.19 -- 0.19
Year Ended 10/31/01 $ 18.87 0.14 (4.57) (4.43) 0.08 -- 0.08
Year Ended 10/31/00 $ 18.19 0.15 0.68 0.83 0.15 -- 0.15
TAX AWARE ENHANCED
INCOME FUND
Year Ended 10/31/04 $ 10.05 0.15 (0.06) 0.09 0.16 -- 0.16
Year Ended 10/31/03 $ 10.07 0.19 (0.02) 0.17 0.19 -- 0.19
Year Ended 10/31/02 $ 10.10 0.22 (0.01) 0.21 0.23 0.01 0.24
Year Ended 10/31/01^^ $ 9.95 0.39 0.15 0.54 0.39 -- 0.39
Year Ended 10/31/00 $ 9.95 0.45 -- 0.45 0.45 -- 0.45
TAX AWARE SHORT-INTERMEDIATE
INCOME FUND
Year Ended 10/31/04 $ 10.05 0.26 (0.06) 0.20 0.25 -- 0.25
12/20/02* Through 10/31/03 $ 10.00 0.20^ 0.04 0.24 0.19 -- 0.19
</Table>
* Commencement of offering of class of shares.
^^ On August 17, 2001, the class underwent a reverse split of shares. Prior
periods have been restated to reflect the split (1 to 5).
^ Calculated based on average shares outstanding.
SEE NOTES TO FINANCIAL STATEMENTS.
102
<Page>
<Table>
<Caption>
PER SHARE
OPERATING PERFORMANCE: RATIOS/SUPPLEMENTAL DATA:
---------------------- ------------------------------------------
RATIOS TO AVERAGE
NET ASSETS: #
--------------------------
NET ASSETS, NET
NET ASSET END OF INVESTMENT
VALUE, END TOTAL PERIOD NET INCOME
OF PERIOD RETURN (b) (MILLIONS) EXPENSES (LOSS)
---------- ---------- ----------- -------- ----------
FLEMING TAX AWARE INTERNATIONAL
OPPORTUNITIES FUND
Year Ended 10/31/04 $ 15.27 14.44% $ 139 1.00% 1.31%
Year Ended 10/31/03 $ 13.60 24.74% $ 135 1.00% 1.31%
Year Ended 10/31/02 $ 11.02 (11.08%) $ 149 1.00% 1.08%
5/1/01* Through 10/31/01 $ 12.43 (17.13%) $ 176 1.00% 1.09%
TAX AWARE DISCIPLINED
EQUITY FUND
Year Ended 10/31/04 $ 15.30 10.40% $ 202 0.55% 1.14%
Year Ended 10/31/03 $ 14.02 20.91% $ 181 0.55% 1.21%
Year Ended 10/31/02 $ 11.74 (17.13%) $ 194 0.55% 0.93%
Year Ended 10/31/01 $ 14.36 (23.55%) $ 313 0.55% 0.77%
Year Ended 10/31/00 $ 18.87 4.54% $ 478 0.55% 0.78%
TAX AWARE ENHANCED
INCOME FUND
Year Ended 10/31/04 $ 9.98 0.88% $ 744 0.25% 1.55%
Year Ended 10/31/03 $ 10.05 1.73% $ 2,068 0.25% 1.88%
Year Ended 10/31/02 $ 10.07 2.01% $ 1,671 0.25% 2.20%
Year Ended 10/31/01^^ $ 10.10 5.63% $ 951 0.25% 3.80%
Year Ended 10/31/00 $ 9.95 4.55% $ 299 0.25% 4.43%
TAX AWARE SHORT-INTERMEDIATE
INCOME FUND
Year Ended 10/31/04 $ 10.00 2.02% $ 350 0.40% 2.49%
12/20/02* Through 10/31/03 $ 10.05 2.41% $ 336 0.35% 2.34%
<Caption>
RATIOS/SUPPLEMENTAL DATA:
---------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
------------------------------------------------
NET INVESTMENT
EXPENSES INCOME (LOSS)
WITHOUT WAIVERS, WITHOUT WAIVERS, PORTFOLIO
REIMBURSEMENTS REIMBURSEMENTS TURNOVER
AND EARNINGS CREDITS AND EARNINGS CREDITS RATE (b)
-------------------- -------------------- ------------
FLEMING TAX AWARE INTERNATIONAL
OPPORTUNITIES FUND
Year Ended 10/31/04 1.34% 0.97% 93%
Year Ended 10/31/03 1.41% 0.90% 79%
Year Ended 10/31/02 1.32% 0.76% 97%
5/1/01* Through 10/31/01 1.33% 0.76% 43%
TAX AWARE DISCIPLINED
EQUITY FUND
Year Ended 10/31/04 0.69% 1.00% 31%
Year Ended 10/31/03 0.71% 1.05% 46%
Year Ended 10/31/02 0.70% 0.78% 60%
Year Ended 10/31/01 0.60% 0.72% 44%
Year Ended 10/31/00 0.59% 0.74% 51%
TAX AWARE ENHANCED
INCOME FUND
Year Ended 10/31/04 0.53% 1.27% 95%
Year Ended 10/31/03 0.53% 1.60% 241%
Year Ended 10/31/02 0.54% 1.90% 186%
Year Ended 10/31/01^^ 0.50% 3.55% 142%
Year Ended 10/31/00 0.50% 4.18% 172%
TAX AWARE SHORT-INTERMEDIATE
INCOME FUND
Year Ended 10/31/04 0.55% 2.34% 185%
12/20/02* Through 10/31/03 0.57% 2.12% 274%
</Table>
(b) Not annualized for periods less than one year.
# Short periods have been annualized.
SEE NOTES TO FINANCIAL STATEMENTS.
103
<Page>
INSTITUTIONAL CLASS SHARES
<Table>
<Caption>
PER SHARE OPERATING PERFORMANCE:
---------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS: LESS DISTRIBUTIONS:
-------------------------------------- -----------------------------------------
NET GAINS
OR LOSSES ON
NET ASSET NET SECURITIES DIVIDENDS
VALUE, INVESTMENT (BOTH TOTAL FROM FROM NET DISTRIBUTIONS
BEGINNING INCOME REALIZED AND INVESTMENT INVESTMENT FROM CAPITAL TOTAL
OF PERIOD (LOSS) UNREALIZED) OPERATIONS INCOME GAINS DISTRIBUTIONS
--------- ---------- ------------ ---------- ---------- ------------- -------------
TAX AWARE U.S EQUITY FUND
Year Ended 10/31/04 $ 10.57 0.11^ 0.90 1.01 0.15 -- 0.15
Year Ended 10/31/03 $ 9.17 0.11^ 1.42 1.53 0.13 -- 0.13
Year Ended 10/31/02 $ 11.15 0.12 (1.94) (1.82) 0.16 -- 0.16
Year Ended 10/31/01 $ 14.73 0.08^ (3.55) (3.47) 0.11 -- 0.11
9/15/00* Through 10/31/00 $ 15.00 0.01^ (0.28) (0.27) -- -- --
</Table>
* Commencement of offering of class of shares.
^ Calculated based on average shares outstanding.
SEE NOTES TO FINANCIAL STATEMENTS.
104
<Page>
<Table>
<Caption>
PER SHARE
OPERATING PERFORMANCE: RATIOS/SUPPLEMENTAL DATA:
---------------------- ------------------------------------------
RATIOS TO AVERAGE
NET ASSETS: #
--------------------------
NET ASSETS, NET
NET ASSET END OF INVESTMENT
VALUE, END TOTAL PERIOD NET INCOME
OF PERIOD RETURN (b) (MILLIONS) EXPENSES (LOSS)
---------- ---------- ----------- -------- ----------
TAX AWARE U.S EQUITY FUND
Year Ended 10/31/04 $ 11.42 9.50% $ 120 0.70% 0.97%
Year Ended 10/31/03 $ 10.57 16.89% $ 105 0.70% 1.09%
Year Ended 10/31/02 $ 9.17 (16.50%) $ 41 0.70% 0.92%
Year Ended 10/31/01 $ 11.15 (23.67%) $ 12 0.70% 0.69%
9/15/00* Through 10/31/00 $ 14.73 (1.80%) $ --@ 0.70% 0.51%
<Caption>
RATIOS/SUPPLEMENTAL DATA:
---------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
------------------------------------------------
NET INVESTMENT
EXPENSES INCOME (LOSS)
WITHOUT WAIVERS, WITHOUT WAIVERS, PORTFOLIO
REIMBURSEMENTS REIMBURSEMENTS TURNOVER
AND EARNINGS CREDITS AND EARNINGS CREDITS RATE (b)
-------------------- -------------------- -------------
TAX AWARE U.S EQUITY FUND
Year Ended 10/31/04 0.76% 0.91% 59%
Year Ended 10/31/03 0.79% 1.00% 13%
Year Ended 10/31/02 0.84% 0.78% 27%
Year Ended 10/31/01 0.93% 0.46% 22%
9/15/00* Through 10/31/00 0.85% 0.36% 15%
</Table>
(b) Not annualized for periods less than one year.
@ Amount rounds to less than one million.
# Short periods have been annualized.
SEE NOTES TO FINANCIAL STATEMENTS.
105
<Page>
FINANCIAL HIGHLIGHTS (CONTINUED)
SELECT CLASS SHARES
<Table>
<Caption>
PER SHARE OPERATING PERFORMANCE:
--------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS: LESS DISTRIBUTIONS:
------------------------------------ -------------------------------------------------
NET GAINS
OR LOSSES ON
NET ASSET NET SECURITIES DIVIDENDS
VALUE, INVESTMENT (BOTH TOTAL FROM FROM NET DISTRIBUTIONS RETURN
BEGINNING INCOME REALIZED AND INVESTMENT INVESTMENT FROM CAPITAL OF TOTAL
OF PERIOD (LOSS) UNREALIZED) OPERATIONS INCOME GAINS CAPITAL DISTRIBUTIONS
--------- ---------- ------------ ---------- ---------- ------------- ------- -------------
TAX AWARE ENHANCED
INCOME FUND
Year Ended 10/31/04 $ 10.06 0.13 (0.07) 0.06 0.13 -- -- 0.13
Year Ended 10/31/03 $ 10.08 0.17 (0.02) 0.15 0.17 -- -- 0.17
Year Ended 10/31/02 $ 10.11 0.20 (0.02) 0.18 0.20 0.01 -- 0.21
Year Ended 10/31/01^^ $ 9.95 0.36 0.16 0.52 0.36 -- -- 0.36
Year Ended 10/31/00 $ 9.95 0.40 -- 0.40 0.40 -- -- 0.40
TAX AWARE LARGE CAP
GROWTH FUND@
Year Ended 10/31/04 $ 14.79 0.01 (0.04) (0.03) 0.01 -- 0.01 0.02
Year Ended 10/31/03 $ 13.03 0.05 1.75 1.80 0.04 -- -- 0.04
01/01/02 Through 10/31/02 ** $ 17.39 0.04 (4.36) (4.32) 0.04 -- -- 0.04
11/01/01 Through 12/31/01 *** $ 16.32 0.02 1.07 1.09 0.02 -- -- 0.02
Year Ended 10/31/01 $ 42.93 0.04 (11.41) (11.37) 0.04 15.20 -- 15.24
Year Ended 10/31/00 $ 47.54 0.04 (0.07) (0.03) 0.03 4.55 -- 4.58
TAX AWARE LARGE CAP
VALUE FUND@@
Year Ended 10/31/04 $ 18.65 0.25 2.56 2.81 0.27 -- -- 0.27
Year Ended 10/31/03 $ 16.01 0.26 2.64 2.90 0.26 -- -- 0.26
1/1/02 Through 10/31/02 ** $ 19.74 0.22 (3.74) (3.52) 0.21 -- -- 0.21
11/1/01 Through 12/31/01 *** $ 18.44 0.03 1.30 1.33 0.03 -- -- 0.03
Year Ended 10/31/01 $ 25.57 0.20 (5.41) (5.21) 0.19 1.73 -- 1.92
Year Ended 10/31/00 $ 27.53 0.21 1.40 1.61 0.17 3.40 -- 3.57
TAX AWARE SHORT-INTERMEDIATE
INCOME FUND
Year Ended 10/31/04 $ 10.05 0.23 (0.05) 0.18 0.23 -- -- 0.23
12/20/02* Through 10/31/03 $ 10.00 0.19^ 0.04 0.23 0.18 -- -- 0.18
</Table>
@ Formerly JPMorgan Select Equity Fund.
^^ On August 17, 2001, the class underwent a reverse split of shares. Prior
periods have been restated to reflect the split (1 to 5).
^ Calculated based on average shares outstanding
* Commencement of offering of class of shares.
SEE NOTES TO FINANCIAL STATEMENTS.
106
<Page>
<Table>
<Caption>
PER SHARE OPERATING PERFORMANCE: RATIOS/SUPPLEMENTAL DATA:
-------------------------------- ------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
-------------------------------
NET ASSETS, NET
NET ASSET END OF INVESTMENT
VALUE, END TOTAL PERIOD NET INCOME
OF PERIOD RETURN (b) (MILLIONS) EXPENSES (LOSS)
---------- ---------- ----------- -------- ----------
TAX AWARE ENHANCED
INCOME FUND
Year Ended 10/31/04 $ 9.99 0.63% $ 362 0.50% 1.30%
Year Ended 10/31/03 $ 10.06 1.48% $ 444 0.50% 1.61%
Year Ended 10/31/02 $ 10.08 1.75% $ 278 0.50% 1.94%
Year Ended 10/31/01^^ $ 10.11 5.47% $ 186 0.50% 3.51%
Year Ended 10/31/00 $ 9.95 4.29% $ 37 0.50% 4.23%
TAX AWARE LARGE CAP
GROWTH FUND@
Year Ended 10/31/04 $ 14.74 (0.21%) $ 199 0.85% 0.07%
Year Ended 10/31/03 $ 14.79 13.84% $ 268 0.85% 0.35%
01/01/02 Through 10/31/02 ** $ 13.03 (24.84%) $ 257 0.68% 0.34%
11/01/01 Through 12/31/01 *** $ 17.39 6.70% $ 433 0.55% 0.56%
Year Ended 10/31/01 $ 16.32 (33.30%) $ 423 0.49% 0.21%
Year Ended 10/31/00 $ 42.93 (0.91%) $ 839 0.47% 0.08%
TAX AWARE LARGE CAP
VALUE FUND@@
Year Ended 10/31/04 $ 21.19 15.12% $ 539 0.85% 1.20%
Year Ended 10/31/03 $ 18.65 18.34% $ 349 0.85% 1.55%
1/1/02 Through 10/31/02 ** $ 16.01 (17.94%) $ 327 0.79% 1.43%
11/1/01 Through 12/31/01 *** $ 19.74 7.20% $ 415 0.69% 0.91%
Year Ended 10/31/01 $ 18.44 (21.43%) $ 406 0.69% 0.93%
Year Ended 10/31/00 $ 25.57 6.35% $ 625 0.68% 0.83%
TAX AWARE SHORT-INTERMEDIATE
INCOME FUND
Year Ended 10/31/04 $ 10.00 1.86% $ 357 0.55% 2.38%
12/20/02* Through 10/31/03 $ 10.05 2.28% $ 201 0.50% 2.22%
<Caption>
RATIOS/SUPPLEMENTAL DATA:
---------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
------------------------------------------------
NET INVESTMENT
EXPENSES INCOME (LOSS)
WITHOUT WAIVERS, WITHOUT WAIVERS, PORTFOLIO
REIMBURSEMENTS REIMBURSEMENTS TURNOVER
AND EARNINGS CREDITS AND EARNINGS CREDITS RATE (b)
-------------------- -------------------- -------------
TAX AWARE ENHANCED
INCOME FUND
Year Ended 10/31/04 0.68% 1.12% 95%
Year Ended 10/31/03 0.69% 1.42% 241%
Year Ended 10/31/02 0.70% 1.74% 186%
Year Ended 10/31/01^^ 0.67% 3.34% 142%
Year Ended 10/31/00 0.67% 4.06% 172%
TAX AWARE LARGE CAP
GROWTH FUND@
Year Ended 10/31/04 0.87% 0.05% 129%
Year Ended 10/31/03 0.87% 0.33% 35%
01/01/02 Through 10/31/02 ** 0.85% 0.17% 46%
11/01/01 Through 12/31/01 *** 0.85% 0.26% 3%
Year Ended 10/31/01 0.85% (0.15%) 84%
Year Ended 10/31/00 0.80% (0.25%) 74%
TAX AWARE LARGE CAP
VALUE FUND@@
Year Ended 10/31/04 0.85% 1.20% 39%
Year Ended 10/31/03 0.85% 1.55% 33%
1/1/02 Through 10/31/02 ** 0.85% 1.37% 80%
11/1/01 Through 12/31/01 *** 0.85% 0.75% 0%
Year Ended 10/31/01 0.87% 0.75% 8%
Year Ended 10/31/00 0.80% 0.71% 43%
TAX AWARE SHORT-INTERMEDIATE
INCOME FUND
Year Ended 10/31/04 0.69% 2.24% 185%
12/20/02* Through 10/31/03 0.72% 2.00% 274%
</Table>
(b) Not annualized for periods less than one year.
@@ Formerly JPMorgan Select Equity Income Fund.
** The fund changed its fiscal year end from December 31 to October 31.
*** The fund changed its fiscal year end from October 31 to December 31.
# Short periods have been annualized.
SEE NOTES TO FINANCIAL STATEMENTS.
107
<Page>
<Table>
<Caption>
PER SHARE OPERATING PERFORMANCE:
---------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS: LESS DISTRIBUTIONS:
-------------------------------------- -----------------------------------------
NET GAINS
OR LOSSES ON
NET ASSET NET SECURITIES DIVIDENDS
VALUE, INVESTMENT (BOTH TOTAL FROM FROM NET DISTRIBUTIONS
BEGINNING INCOME REALIZED AND INVESTMENT INVESTMENT FROM CAPITAL TOTAL
OF PERIOD (LOSS) UNREALIZED) OPERATIONS INCOME GAINS DISTRIBUTIONS
---------- ---------- ------------ ---------- ---------- ------------- -------------
TAX AWARE U.S. EQUITY FUND
Year Ended 10/31/04 $ 14.90 0.13^ 1.28 1.41 0.13 -- 0.13
Year Ended 10/31/03 $ 12.88 0.12^ 2.01 2.13 0.11 -- 0.11
Year Ended 10/31/02 $ 15.59 0.10 (2.69) (2.59) 0.12 -- 0.12
Year Ended 10/31/01 $ 20.51 0.10^ (4.96) (4.86) 0.06 -- 0.06
Year Ended 10/31/00 $ 18.73 0.09 1.77 1.86 0.08 -- 0.08
</Table>
^ Calculated based on average shares outstanding
SEE NOTES TO FINANCIAL STATEMENTS.
108
<Page>
<Table>
<Caption>
PER SHARE
OPERATING PERFORMANCE: RATIOS/SUPPLEMENTAL DATA:
---------------------- ------------------------------------------
RATIOS TO AVERAGE
NET ASSETS: #
--------------------------
NET ASSETS, NET
NET ASSET END OF INVESTMENT
VALUE, END TOTAL PERIOD NET INCOME
OF PERIOD RETURN (MILLIONS) EXPENSES (LOSS)
---------- ---------- ----------- -------- ----------
TAX AWARE U.S. EQUITY FUND
Year Ended 10/31/04 $ 16.18 9.46% $ 880 0.84% 0.83%
Year Ended 10/31/03 $ 14.90 16.64% $ 630 0.84% 0.92%
Year Ended 10/31/02 $ 12.88 (16.70%) $ 187 0.84% 0.73%
Year Ended 10/31/01 $ 15.59 (23.76%) $ 212 0.84% 0.56%
Year Ended 10/31/00 $ 20.51 9.96% $ 249 0.85% 0.46%
<Caption>
RATIOS/SUPPLEMENTAL DATA:
---------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS:
------------------------------------------------
NET INVESTMENT
EXPENSES INCOME (LOSS)
WITHOUT WAIVERS, WITHOUT WAIVERS, PORTFOLIO
REIMBURSEMENTS REIMBURSEMENTS TURNOVER
AND EARNINGS CREDITS AND EARNINGS CREDITS RATE
-------------------- -------------------- ----------
TAX AWARE U.S. EQUITY FUND
Year Ended 10/31/04 0.90% 0.77% 59%
Year Ended 10/31/03 0.93% 0.83% 13%
Year Ended 10/31/02 0.97% 0.60% 27%
Year Ended 10/31/01 0.87% 0.53% 22%
Year Ended 10/31/00 0.85% 0.46% 15%
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
109
<Page>
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Trustees and Shareholders of
J.P. Morgan Series Trust, J.P. Morgan Mutual Fund Group,
J.P. Morgan Mutual Fund Select Group and J.P. Morgan Institutional Funds
In our opinion, the accompanying statements of assets and liabilities, including
the portfolios of investments, and the related statements of operations and of
changes in net assets and the financial highlights present fairly, in all
material respects, the financial position of JPMorgan Fleming Tax Aware
International Opportunities Fund, JPMorgan Tax Aware Disciplined Equity Fund,
JPMorgan Tax Aware Enhanced Income Fund, JPMorgan Tax Aware Large Cap Growth
Fund, JPMorgan Tax Aware Large Cap Value Fund, JPMorgan Tax Aware
Short-Intermediate Income Fund and JPMorgan Tax Aware U.S. Equity Fund
(hereafter referred to collectively as the "Funds") at October 31, 2004, the
results of each of their operations for the year then ended, the changes in each
of their net assets for each of the two years in the period then ended and the
financial highlights for each of the periods presented, in conformity with
accounting principles generally accepted in the United States of America. These
financial statements and financial highlights (hereafter referred to as
"financial statements") are the responsibility of the Funds' management; our
responsibility is to express an opinion on these financial statements based on
our audits. We conducted our audits of these financial statements in accordance
with the standards of the Public Company Accounting Oversight Board (United
States). Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements are free of material
misstatement. An audit includes examining, on a test basis, evidence supporting
the amounts and disclosures in the financial statements, assessing the
accounting principles used and significant estimates made by management, and
evaluating the overall financial statement presentation. We believe that our
audits, which included confirmation of securities at October 31, 2004 by
correspondence with the custodian and brokers, provide a reasonable basis for
our opinion.
PricewaterhouseCoopers LLP
New York, New York
December 20, 2004
110
<Page>
SCHEDULE OF SHAREHOLDER EXPENSES
Hypothetical $1,000 Investment at Beginning of Period
October 31, 2004
(Unaudited)
As a shareholder of the Funds, you incur two types of costs: (1) transaction
costs, including sales charges (loads) on purchase payments and redemption fees:
and (2) ongoing costs, including investment advisory, administration fees,
distribution fees and other Fund expenses. The examples below are intended to
help you understand your ongoing costs (in dollars) of investing in the Funds
and to compare these costs with the ongoing costs of investing in other mutual
funds. The examples assume that you had a $1,000 investment in the Class at the
beginning of the reporting period, May 1, 2004, and continued to hold your
shares at the end of the reporting period, October 31, 2004.
ACTUAL EXPENSES
For each Class of each Fund in the table below, the first line provides
information about actual account values and actual expenses. You may use the
information in this line, together with the amount you invested, to estimate the
expenses that you paid over the period. Simply divide your account value by
$1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then
multiply the result by the number in the first line of each Class under the
heading entitled "Expenses Paid During Period" to estimate the expenses you paid
on your account during this period.
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
The second line of each Class in the table below provides information about
hypothetical account values and hypothetical expenses based on the Class' actual
expense ratio and an assumed rate of return of 5% per year before expenses,
which is not the Class' actual return. The hypothetical account values and
expenses may not be used to estimate the actual ending account balance or
expenses you paid for the period. You may use this information to compare the
ongoing costs of investing in the Class of the Fund and other funds. To do so,
compare this 5% hypothetical example with the 5% hypothetical examples that
appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your
ongoing costs only and do not reflect any transaction costs, such as sales
charges (loads) or redemption fees. Therefore, the second line for each Class in
the table is useful in comparing ongoing costs only, and will not help you
determine the relative total costs of owning different funds. In addition, if
these transaction costs were included, your costs would have been higher. The
examples also assume all dividends and distributions have been reinvested.
111
<Page>
<Table>
<Caption>
EXPENSES PAID
BEGINNING ENDING DURING PERIOD
ACCOUNT VALUE, ACCOUNT VALUE, MAY 1 TO ANNUALIZED
MAY 1, 2004 OCTOBER 31, 2004 OCTOBER 31, 2004* EXPENSE RATIO
-------------- ---------------- ----------------- -------------
FLEMING TAX AWARE INTERNATIONAL
OPPORTUNITIES FUND
CLASS A
Actual period return $ 1,000 $ 1,036 $ 9.21 1.80%
Hypothetical $ 1,000 $ 1,016 $ 9.12 1.80%
INSTITUTIONAL
Actual period return $ 1,000 $ 1,039 $ 5.12 1.00%
Hypothetical $ 1,000 $ 1,020 $ 5.08 1.00%
TAX AWARE DISCIPLINED EQUITY FUND
INSTITUTIONAL
Actual period return $ 1,000 $ 1,033 $ 2.81 0.55%
Hypothetical $ 1,000 $ 1,022 $ 2.80 0.55%
TAX AWARE ENHANCED INCOME FUND
CLASS A
Actual period return $ 1,000 $ 1,003 $ 3.78 0.75%
Hypothetical $ 1,000 $ 1,021 $ 3.81 0.75%
INSTITUTIONAL
Actual period return $ 1,000 $ 1,005 $ 1.26 0.25%
Hypothetical $ 1,000 $ 1,024 $ 1.27 0.25%
SELECT
Actual period return $ 1,000 $ 1,004 $ 2.52 0.50%
Hypothetical $ 1,000 $ 1,022 $ 2.54 0.50%
TAX AWARE LARGE CAP GROWTH FUND
SELECT
Actual period return $ 1,000 $ 983 $ 4.24 0.85%
Hypothetical $ 1,000 $ 1,021 $ 4.32 0.85%
TAX AWARE LARGE CAP VALUE
SELECT
Actual period return $ 1,000 $ 1,066 $ 4.41 0.85%
Hypothetical $ 1,000 $ 1,021 $ 4.32 0.85%
</Table>
112
<Page>
<Table>
<Caption>
EXPENSES PAID
BEGINNING ENDING DURING PERIOD
ACCOUNT VALUE, ACCOUNT VALUE, MAY 1 TO ANNUALIZED
MAY 1, 2004 OCTOBER 31, 2004 OCTOBER 31, 2004* EXPENSE RATIO
-------------- ---------------- ----------------- -------------
TAX AWARE SHORT-INTERMEDIATE
INCOME FUND
INSTITUTIONAL
Actual period return $ 1,000 $ 1,021 $ 2.03 0.40%
Hypothetical $ 1,000 $ 1,023 $ 2.03 0.40%
SELECT
Actual period return $ 1,000 $ 1,020 $ 2.79 0.55%
Hypothetical $ 1,000 $ 1,022 $ 2.80 0.55%
TAX AWARE U.S. EQUITY FUND
CLASS A
Actual period return $ 1,000 $ 1,030 $ 5.61 1.10%
Hypothetical $ 1,000 $ 1,019 $ 5.58 1.10%
CLASS B
Actual period return $ 1,000 $ 1,027 $ 8.15 1.60%
Hypothetical $ 1,000 $ 1,017 $ 8.11 1.60%
CLASS C
Actual period return $ 1,000 $ 1,027 $ 8.15 1.60%
Hypothetical $ 1,000 $ 1,017 $ 8.11 1.60%
INSTITUTIONAL
Actual period return $ 1,000 $ 1,031 $ 3.57 0.70%
Hypothetical $ 1,000 $ 1,021 $ 3.56 0.70%
SELECT
Actual period return $ 1,000 $ 1,031 $ 4.29 0.84%
Hypothetical $ 1,000 $ 1,021 $ 4.27 0.84%
</Table>
* Expenses are equal to the Class' annualized expense ratio in the table above,
multiplied by the average account value over the period, multiplied by 184/366
(to reflect the one-half year period).
113
<Page>
The following tables contain basic information regarding the Trustees and
Officers, respectively, that oversee operations of the Trusts and other
investment companies within the JPMorgan Funds complex.
<Table>
<Caption>
NUMBER OF
PORTFOLIOS IN
JPMORGAN FUND OTHER DIRECTORSHIPS
NAME, CONTACT POSITIONS TERM OF OFFICE PRINCIPAL COMPLEX(1) HELD OUTSIDE
ADDRESS AND HELD WITH AND LENGTH OF TIME OCCUPATIONS DURING OVERSEEN BY JPMORGAN FUND
YEAR OF BIRTH EACH JPMORGAN TRUST SERVED PAST 5 YEARS TRUSTEE COMPLEX
- ----------------------------------------------------------------------------------------------------------------------------------
NON-INTERESTED
TRUSTEE(S)
- ----------------------------------------------------------------------------------------------------------------------------------
William J. Armstrong; Trustee Trustee of Funds that Retired; Vice President 70 None
522 Fifth Avenue, are series of JPMIF and and Treasurer of
New York, NY 10036; JPMST since 2001, Funds Ingersoll-Rand Company
1941 that are aseries of MFG (manufacturer of
since 1987 and Funds industrial equipment)
that are a series of (1972-2000)
MFSG since 1996.
Roland R. Eppley, Jr.; Trustee Trustee of Funds that Retired 70 Director, Janel
522 Fifth Avenue, are series of JPMIF and Hydro, Inc.
New York, NY 10036; JPMST since 2001, Funds (Automotive)
1932 that are aseries of MFG (1993-Present)
since 1987 and Funds
that are a series of
MFSG since 1996.
Ann Maynard Gray; Trustee Since 2001 Vice President of 70 Director of Duke
522 Fifth Avenue, Capital Cities/ABC, Energy Corporation
New York, NY 10036; Inc. (communications) (1997-Present);
1945**+ (1986-1998) Director of Elan
Corporation, Plc
(pharmaceuticals)
(2001-Present);
Director of The
Phoenix Companies
(wealth management
services)
(2002-Present)
Matthew Healey; Trustee Trustee of Funds that Retired; Chief 70 None
522 Fifth Avenue, are a series of JPMIF Executive Officer of
New York, NY 10036; since 1992 and Funds certain J.P. Morgan
1937+ that are a series of Fund Trusts (1982-2001)
JPMST, MSFG and MFG
since 2001.
</Table>
114
<Page>
<Table>
<Caption>
NUMBER OF
PORTFOLIOS IN
JPMORGAN FUND OTHER DIRECTORSHIPS
NAME, CONTACT POSITIONS TERM OF OFFICE PRINCIPAL COMPLEX(1) HELD OUTSIDE
ADDRESS AND HELD WITH AND LENGTH OF TIME OCCUPATIONS DURING OVERSEEN BY JPMORGAN FUND
YEAR OF BIRTH EACH JPMORGAN TRUST SERVED PAST 5 YEARS TRUSTEE COMPLEX
- ----------------------------------------------------------------------------------------------------------------------------------
NON-INTERESTED
TRUSTEE(S) (CONTINUED)
Fergus Reid, III; Trustee and Trustee of Funds that Chairman of Lumelite 70 Trustee of Morgan
522 Fifth Avenue, Chairman of are series of JPMST and Corporation (plastics Stanley Funds (209
New York, NY 10036; the Board of JPMIF since 2001, Funds manufacturing) portfolios) (1995-
1932 Trustees that are a series of (2003-Present) Chairman Present)
MFSG since 1996 and and CEO of Lumelite
Funds that are a series Corporation (1985-2002)
of MFG since 1987.
James J. Schonbachler; Trustee Since 2001 Retired; Managing 70 None
522 Fifth Avenue, Director of Bankers
New York, NY 10036; Trust Company,
1943 (financial services)
(1968-1998)
Robert J. Higgins; Trustee Since 2002 Retired; Director of 70 Director of Providian
522 Fifth Avenue, Administration of the Financial Corp.
New York, NY 10036; State of Rhode Island (banking)
1945 (2003-Present); (2002-Present)
President - Consumer
Banking and Investment
Services Fleet Boston
Financial (1971-2002)
Dr. Matthew Goldstein; Trustee Since 2003 Chancellor of the City 70 Trustee of Bronx-
522 Fifth Avenue, University of New York, Lebanon Hospital
New York, NY 10036; since September 1, Center
1941 1999; President, (1992-Present);
Adelphi University (New Director of New Plan
York) (1998-1999). Excel Realty Trust,
Inc. (real estate
investment trust)
(2000-Present);
Director of Lincoln
Center Institute for
the Arts in Education
(1999-Present).
</Table>
115
<Page>
<Table>
<Caption>
NUMBER OF
PORTFOLIOS IN
JPMORGAN FUND OTHER DIRECTORSHIPS
NAME, CONTACT POSITIONS TERM OF OFFICE PRINCIPAL COMPLEX(1) HELD OUTSIDE
ADDRESS AND HELD WITH AND LENGTH OF TIME OCCUPATIONS DURING OVERSEEN BY JPMORGAN FUND
YEAR OF BIRTH EACH JPMORGAN TRUST SERVED PAST 5 YEARS TRUSTEE COMPLEX
- ----------------------------------------------------------------------------------------------------------------------------------
NON-INTERESTED
TRUSTEE(S) (CONTINUED)
William G. Morton, Jr.; Trustee Since 2003 Retired; Chairman 70 Director of Radio
522 Fifth Avenue, Emeritus (2001-2002), Shack Corporation
New York, NY 10036; and Chairman and Chief (electronics)
1937 Executive Officer, (1987-Present);
Boston Stock Exchange Director of The
(1985-2001). Griswold Company
(securities
brokerage)
(2002-2004); Director
of The National
Football Foundation
and College Hall of
Fame (1994-Present);
Trustee of the
Berklee College of
Music (1998-Present);
Trustee of the
Stratton Mountain
School
(2001-Present).
INTERESTED TRUSTEE(S)
Leonard M. Spalding* Trustee Trustee of Funds that Retired; Chief 70 None
522 Fifth Avenue, are series of JPMST and Executive Officer of
New York, NY 10036; JPMIF since 2001, Funds Chase Mutual Funds
1935 that are a series of (investment company)
MFSG since 1996 and (1989-1998); President
Funds that are a series and Chief Executive
of MFG since 1998. Officer of Vista
Capital Management
(investment management)
(1990-1998); Chief
Investment Executive of
Chase Manhattan Private
Bank (investment
management) (1990-1995)
</Table>
* Mr. Spalding is deemed to be an "interested person" due to his ownership of
equity securities of J.P. Morgan Chase & Co.
** Dana Maynard Gray, the daughter of Ann Maynard Gray, became employed with
JPMorgan Securities, Inc., as an Associate Analyst, on May 3, 2004.
(1) A Fund Complex means two or more investment companies that hold themselves
out to investors as related companies for purposes of investment and
investment services or have a common investment advisor or have an
investment advisor that is an affiliated person of the investment advisor of
any of the other investment companies. The JPMorgan Fund Complex for which
the Trustees serve includes 13 investment companies.
+ Resigned effective November 26, 2004.
116
<Page>
<Table>
<Caption>
POSITIONS HELD TERM OF OFFICE
NAME, CONTACT ADDRESS WITH EACH AND LENGTH OF PRINCIPAL OCCUPATIONS
AND YEAR OF BIRTH JPMORGAN TRUST TIME SERVED DURING PAST 5 YEARS
- ------------------------------------------------------------------------------------------------------------------------------------
OFFICERS
George Gatch; President Since 2001 Managing Director, JPMIM, CEO and President of the J.P.
522 Fifth Avenue, Morgan and One Group Funds. An employee since 1986, Mr. Gatch
New York, NY 10036; leads the firm's U.S. mutual fund and financial intermediary
1962 business. He was previously president and CEO of DKB Morgan,
a Japanese mutual fund company, which was a joint venture
between J.P. Morgan and Dal-lchi Kangyo Bank. Prior to
working in Japan, Mr. Gatch established JPMIM's sub-advisory
and institutional mutual funds business. He has also held
numerous positions throughout the firm in business
management, marketing, and sales.
Robert L. Young; Senior Vice President Since 2004 Chief Operating Officer, JPMorgan Funds (August 2004 to
522 Fifth Avenue, present) and One Group Mutual Funds from November 2001
New York, NY 10036; until present. From October 1999 to present, Vice President
1963 and Treasurer, One Group Administrative Services, Inc., and
Vice President and Treasurer, One Group Dealer Services, Inc.
Patricia A. Maleski; Vice President and Chief Since 2003 Vice President, JPMIM; previously, Treasurer, JPMorgan
522 Fifth Avenue, Administrative Officer Funds and Head of Funds Administration and Board Liaison.
New York, NY 10036; Prior to joining J.P. Morgan Chase & Co. in 2001, Ms. Maleski
1960 was the Vice President of Finance for the Pierpont Group,
Inc., a service provider to the Board of Directors/Trustees
of the JPMorgan Funds.
Wayne H. Chan; Secretary Since 2003 Vice President and Assistant General Counsel, JPMIM, since
522 Fifth Avenue, September 2002; Mr. Chan was an associate at the law firm
New York, NY 10036; of Shearman and Sterling LLP from May 2001 through
1965 September 2002; Swidler Berlin Shereff Friedman LLP from June
1999 through May 2001 and Whitman Breed Abbott & Morgan LLP
from September 1997 through May 1999.
Stephanie J. Dorsey Treasurer Since 2004 Director of Mutual Fund Administration, One Group
522 Fifth Avenue, Administrative Services, since January 2004; Ms. Dorsey
New York, NY 10036; worked for Bank One Corporation from January 2003 to
1969 January 2004; Prior to joining Bank One Corporation, she held
various positions at PricewaterhouseCoopers LLP from
September 1992 through December 2002.
Elizabeth A. Davin Assistant Secretary (2004) From September 2004 to present, Senior Counsel,
522 Fifth Avenue, JPMorgan Chase & Co.; prior to that Ms. Davin was
New York, NY 10036; Assistant General Counsel and then Associate General
1964 Counsel and Vice President, Gartmore Global Investments,
Inc. from July 1999 to August 2004.
Stephen M. Benham Assistant Secretary (2004) Vice President and Assistant General Counsel, JPMIM
522 Fifth Avenue, since 2004; Vice President (Legal Advisory) of Merrill
New York, NY 10036; Lynch Investment Managers, L.P., from 2000 to 2004;
1959 attorney associated with Kirkpatrick & Lockhart LLP from 1997
to 2000.
Jessica K. Ditullio Assistant Secretary Since 2004 From August 1990 to present, she held various attorney
522 Fifth Avenue, positions for Bank One Corporation (now known as
New York, NY 10036; JPMorgan Chase & Co.)
1962
</Table>
117
<Page>
<Table>
<Caption>
POSITIONS HELD TERM OF OFFICE
NAME, CONTACT ADDRESS WITH EACH AND LENGTH OF PRINCIPAL OCCUPATIONS
AND YEAR OF BIRTH JPMORGAN TRUST TIME SERVED DURING PAST 5 YEARS
- ------------------------------------------------------------------------------------------------------------------------------------
OFFICERS (CONTINUED)
Nancy E. Fields Assistant Secretary Since 2004 From October 1999 to present, Director, Mutual Fund
522 Fifth Avenue, Administration, One Group Administrative Services, Inc. and
New York, NY 10036; Senior Project Manager, Mutual Funds, One Group Dealer
1949 Services, Inc. From July 1999 to October 1999, Project
Manager, One Group, Banc One Investment Advisors Corporation.
Avery P. Maher Assistant Secretary Since 2004 Vice President and Assistant General Counsel, JPMIM since
522 Fifth Avenue, 2004; Second Vice President and Assistant Secretary of
New York, NY 10036; John Hancock Advisers, LLC, from July 1992 through
1945 Septemebr 2004.
Alaina Metz Assistant Secretary Since 2001 From June 1995 to present, Vice President
3435 Stelzer Rd.
Columbus, OH 43219
1967
Martin R. Dean Assistant Treasurer Since 2001 Vice President of Regulatory Services of BISYS Fund
3435 Stelzer Rd. Services, Inc.
Columbus, OH 43219
1963
Arthur A. Jensen Assistant Treasurer Since 2001 Vice President of Financial Services of BISYS Fund Services,
3435 Stelzer Rd. Inc. since June 2001; formerly Section Manager of Northern
Columbus, OH 43219 Trust Company and Accounting Supervisor at Allstate
1966 Insurance Company.
Christopher D. Walsh Assistant Treasurer Since 2004 Vice President, JPMIM; Mr. Walsh manages all aspects of
522 Fifth Avenue, institutional and retail mutual fund administration and
New York, NY 10036; vendor relationships within the mutual funds,
1965 commingled/ERISA funds, 3(c)(7) funds, hedge funds and LLC
products. Prior to joining JPMorgan in 2000, he was a
director from 1996 to 2000 of Mutual Fund Administration at
Prudential Investments.
Paul M. DeRusso Assistant Treasurer Since 2001 Vice President, JPMIM; Manager of the Budgeting and
522 Fifth Avenue, Expense Group of Funds Administration Group.
New York, NY 10036;
1954
Mary D. Squires Assistant Treasurer Since 2001 Vice President, JPMIM; Ms. Squires has held numerous
522 Fifth Avenue, financial and operations positions supporting the
New York, NY 10036; J.P. Morgan Chase organization complex.
1955
Stephen M. Ungerman Chief Compliance Officer Since 2004 Vice President, JPMIM; previously, head of Fund
522 Fifth Avenue, Administration - Pooled Vehicles; prior to joining J.P.
New York, NY 10036; Morgan Chase in 2000, he held a number of positions in
1953 Prudential Financial's asset management business, including
Associate General Counsel, Tax Director and Co-head of Fund
Administration Department. Mr. Ungerman also served as
Assistant Treasurer for all mutual funds
managed by Prudential.
</Table>
Additional information concerning the Trustees is contained in the Statement of
Additional Information and is available without charge by calling
1-800-348-4782.
118
<Page>
TAX LETTER (UNAUDITED)
JPMORGAN FLEMING TAX AWARE INTERNATIONAL OPPORTUNITIES FUND ("FTAIO")
JPMORGAN TAX AWARE DISCIPLINED EQUITY FUND ("TADE")
JPMORGAN TAX AWARE ENHANCED INCOME FUND ("TAEI")
JPMORGAN TAX AWARE LARGE CAP GROWTH FUND ("TALCG")
JPMORGAN TAX AWARE LARGE CAP VALUE FUND ("TALCV")
JPMORGAN TAX AWARE SHORT-INTERMEDIATE INCOME FUND ("TASI")
JPMORGAN TAX AWARE U.S. EQUITY FUND ("TAUSE")
Certain tax information regarding the JPMorgan Tax Aware Funds is required to be
provided to shareholders based upon the Funds' income and distributions for the
taxable year ended October 31, 2004. The information and distributions reported
in this letter may differ from the information and distributions taxable to the
shareholders for the calendar year ending December 31, 2004. The information
necessary to complete your income tax returns for the calendar year ending
December 31, 2004 will be received under separate cover.
FOR THE FISCAL YEAR ENDED OCTOBER 31, 2004:
The dividends paid from net investment income are 69.20% and 82.94% exempt from
federal income tax for TAEI and TASI, respectively.
The following schedule represents the percentage of distribution eligible for
the dividends received deductions.
<Table>
<Caption>
DIVIDENDS
RECEIVED
DEDUCTION
FUND ---------
FTAIO 0%
TADE 100%
TAEI 0%
TALCG 100%
TALCV 100%
TASI 4.53%
TAUSE 100%
</Table>
For the fiscal year ended October 31, 2004, the following represents the
percentage of ordinary income distributions as qualified dividends:
<Table>
<Caption>
PERCENTAGE OF
DISTRIBUTIONS
FUND -------------
FTAIO 100%
TADE 100%
TALCG 100%
TALCV 100%
TAUSE 100%
</Table>
119
<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.
120
<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.
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.
No sooner than 30 days after the end of each month, the Fund will make available
upon request a complete uncertified schedule of its portfolio holdings as of the
last day of that month. Not later than 60 days after the end of each fiscal
quarter, the Fund will make available a complete schedule of its portfolio
holdings as of the last day of that quarter, as filed in a certified filing with
the SEC. In addition to providing hard copies upon request, the Fund will post
these quarterly schedules on the Fund's website at www.jpmorganfunds.com and on
the SEC's website at www.sec.gov.
Shareholders may request portfolio holdings schedules at no charge by calling
1-800-480-4111.
A description of the Fund's policies and procedures with respect to the
disclosure of the Fund's portfolio holdings is available in the Statement of
Additional 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
www.sec.gov. The Trustees have delegated the authority to vote proxies for
securities owned by the Fund to JPMIM. A copy of the Fund's voting record for
the 12-month period ended June 30, 2004 is available on the SEC's website at
www.sec.gov or at the Fund's website at www.jpmorgan.com. The Fund's proxy
voting record will include, among other things, a brief description of the
matter voted on for each portfolio security, and will state how each vote was
cast, for example, for or against the proposal.
<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 AN-TA-1004
All rights reserved. December 2004.
<Page>
ITEM 2. CODE OF ETHICS.
Disclose whether, as of the end of the period covered by the report, the
registrant has adopted a code of ethics that applies to the registrant's
principal executive officer, principal financial officer, principal
accounting officer or controller, or persons performing similar functions,
regardless of whether these individuals are employed by the registrant or a
third party. If the registrant has not adopted such a code of ethics,
explain why it has not done so.
THE REGISTRANT HAS ADOPTED A CODE OF ETHICS THAT APPLIES TO THE REGISTRANT'S
PRINCIPAL EXECUTIVE OFFICER, PRINCIPAL FINANCIAL OFFICER, PRINCIPAL ACCOUNTING
OFFICER OR CONTROLLER, OR PERSONS PERFORMING SIMILAR FUNCTIONS.
THE REGISTRANT WILL PROVIDE TO ANY PERSON WITHOUT CHARGE, UPON REQUEST, A COPY
OF THE CODE OF ETHICS. A REQUEST MAY BE MADE BY CALLING 1-800-348-4782.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
(a) (1) Disclose that the registrant's board of directors has determined
that the registrant either:
(i) Has at least one audit committee financial expert serving on
its audit committee; or
(ii) Does not have an audit committee financial expert serving on
its audit committee.
THE REGISTRANT'S BOARD OF TRUSTEES HAS DETERMINED THAT THE REGISTRANT HAS AT
LEAST ONE AUDIT COMMITTEE FINANCIAL EXPERT SERVING ON ITS AUDIT COMMITTEE.
(2) If the registrant provides the disclosure required by paragraph
(a)(1)(i) of this Item, it must disclose the name of the audit
committee financial expert and whether that person is
"independent." In order to be considered "independent" for
purposes of this Item, a member of an audit committee may not,
other than in his or her capacity as a member of the audit
committee, the board of directors, or any other board committee:
(i) Accept directly or indirectly any consulting, advisory, or
other compensatory fee from the issuer; or
(ii) Be an "interested person" of the investment company as
defined in Section 2(a)(19) of the Act (15 U.S.C. 80a-2(a)(19)).
THE AUDIT COMMITTEE FINANCIAL EXPERT IS WILLIAM ARMSTRONG. HE IS A
"NON-INTERESTED" TRUSTEE AND IS ALSO "INDEPENDENT" AS DEFINED BY THE SECURITIES
AND EXCHANGE COMMISSION FOR PURPOSES OF AUDIT COMMITTEE FINANCIAL EXPERT
DETERMINATIONS.
(3) If the registrant provides the disclosure required by paragraph
(a)(1)(ii) of this Item, it must explain why it does not have an
audit committee financial expert.
NOT APPLICABLE.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
(a) AUDIT FEES. The aggregate fees billed for each of the last two fiscal years
(the "Reporting Periods") for professional services rendered by the Registrant's
principal accountant (the "Auditor") for the audit of the Registrant's annual
financial statements, or services that are normally provided by the Auditor in
connection with the statutory and regulatory filings or engagements for the
Reporting Periods, were $143,744 in 2003 and $146,700 in 2004.
(b) AUDIT-RELATED FEES. There were no audit-related fees billed to the
Registrant during the Reporting Periods.
The aggregate fees billed in the Reporting Periods for assurance and related
services by the Auditor to the Registrant's investment adviser (not including
any sub-adviser whose role is primarily portfolio management and is
subcontracted with or overseen by another investment adviser), and any entity
controlling, controlled by or under common control with the investment adviser
that provides ongoing services to the Registrant ("Service Affiliates"), that
were reasonably related to the performance of the annual audit of the Service
Affiliates, which required pre-approval by the Audit Committee were $8,277,000
from May 6, 2003 to December 31, 2003 (prior to May 6, 2003 services provided by
the Auditor were not required to be pre-approved).
<Page>
(c) TAX FEES. The aggregate fees billed to the Registrant in the Reporting
Periods for professional services rendered by the Auditor for tax compliance,
tax advice and tax planning ("Tax Services") were $19,200 in 2003 and $19,800 in
2004. These services consisted of review or preparation of U.S. federal, state,
local and excise tax returns.
There were no fees billed for Tax Services by the Auditor to Service Affiliates
which required pre-approval by the Audit Committee for the period May 6, 2003
through December 31, 2003.
(d) ALL OTHER FEES. There were no other fees billed in the Reporting Periods for
products and services provided by the Auditor to the Registrant, or services
provided to Service Affiliates which were required to be pre-approved on or
after May 6, 2003 until December 31, 2003, other than the services reported
above.
(e) AUDIT COMMITTEE PRE-APPROVAL POLICIES AND PROCEDURES. In addition to
pre-approving any services to be provided by the Auditor to the Registrant, the
Audit Committee considers and approves any non-audit services to be provided to
the Service Affiliates by the Auditor (if the engagement relates directly to the
operations and financial reporting of the Registrant) and the fees to be charged
for such non-audit services. Pre-approval considerations include whether the
proposed services are compatible with maintaining the Auditor's independence.
The Chairman of the Audit Committee has been given the authority to pre-approve
permissible non-audit services.
(g) NON-AUDIT FEES. The aggregate non-audit fees billed by the Auditor for
services rendered to the Registrant, and rendered to Service Affiliates, for the
last two calendar year ends were $46.4 million in 2002 and $28.3 million in
2003.
(h) AUDITOR INDEPENDENCE. The Registrant's Audit Committee has considered
whether the provision of non-audit services that were rendered to Service
Affiliates that were not pre-approved (not requiring pre-approval) is compatible
with maintaining the Auditor's independence. All services provided by the
Auditor to the Registrant or to Service Affiliates that were required to be
pre-approved were pre-approved as required.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
(a) If the registrant is a listed issuer as defined in Rule 10A-3 under
the Exchange Act (17CFR 240.10A-3), state whether or not the
registrant has a separately-designated standing audit committee
established in accordance with Section 3(a)(58)(A) of the Exchange
Act (15 U.S.C. 78c(a)(58)(A)). If the registrant has such a
committee, however designated, identify each committee member.
If the entire board of directors is acting as the registrant's
audit committee as specified in Section 3(a)(58)(B) of the Exchange
Act (15 U.S.C. 78c(a)(58)(B)), so state.
(b) If applicable, provide the disclosure required by Rule 10A-3(d)
under the Exchange Act (17CFR 240.10A-3(d)) regarding an exemption
from the listing standards for all audit committees.
NOT APPLICABLE.
ITEM 6. 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.
INCLUDED IN ITEM 1.
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.
<Page>
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.
ITEM 9. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
Describe any material changes to the procedures by which shareholders
may recommend nominees to the registrant's board of directors, where
those changes were implemented after the registrant last provided
disclosure in response to the requirements of Item 7(d)(2)(ii)(G) of
Schedule 14A (17 CFR 240.14a-101), or this Item.
NOT APPLICABLE.
ITEM 10. CONTROLS AND PROCEDURES.
(a) Disclose the conclusions of the registrant's principal executive
and principal financial officers, or persons performing similar functions,
regarding the effectiveness of the registrant's disclosure controls and
procedures (as defined in Rule 30a-3(c) under the Act (17 CFR 270.30a-3(c))) as
of a date within 90 days of the filing date of the report that includes the
disclosure required by this paragraph, based on the evaluation of these controls
and procedures required by Rule 30a-3(b) under the Act (17 CFR 270.30a-3(b)) and
Rules 13a-15(b) or 15d-15(b) under the Exchange Act (17 CFR 240.13a-15(b) or
240.15d-15(b)).
THE REGISTRANT'S PRINCIPAL EXECUTIVE AND PRINCIPAL FINANCIAL OFFICERS HAVE
CONCLUDED, BASED ON THEIR EVALUATION OF THE REGISTRANT'S DISCLOSURE CONTROLS AND
PROCEDURES AS OF A DATE WITHIN 90 DAYS OF THE FILING DATE OF THIS REPORT, THAT
THE REGISTRANT'S DISCLOSURE CONTROLS AND PROCEDURES ARE REASONABLY DESIGNED TO
ENSURE THAT INFORMATION REQUIRED TO BE DISCLOSED BY THE REGISTRANT ON FORM N-CSR
IS RECORDED, PROCESSED, SUMMARIZED AND REPORTED WITHIN THE REQUIRED TIME PERIODS
AND THAT INFORMATION REQUIRED TO BE DISCLOSED BY THE REGISTRANT IN THE REPORTS
THAT IT FILES OR SUBMITS ON FORM N-CSR IS ACCUMULATED AND COMMUNICATED TO THE
REGISTRANT'S MANAGEMENT, INCLUDING ITS PRINCIPAL EXECUTIVE AND PRINCIPAL
FINANCIAL OFFICERS, AS APPROPRIATE TO ALLOW TIMELY DECISIONS REGARDING REQUIRED
DISCLOSURE.
(b) Disclose any change in the registrant's internal control over
financial reporting (as defined in Rule 30a-3(d) under the Act (17 CFR
270.30a-3(d)) that occurred during the second fiscal quarter of the period
covered by this 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 SECOND FISCAL QUARTER OF THE
PERIOD COVERED BY THIS REPORT THAT HAVE MATERIALLY AFFECTED, OR ARE REASONABLY
LIKELY TO MATERIALLY AFFECT, THE REGISTRANT'S INTERNAL CONTROL OVER FINANCIAL
REPORTING.
ITEM 11. EXHIBITS.
(a) File the exhibits listed below as part of this Form. Letter or
number the exhibits in the sequence indicated.
(a)(1) Any code of ethics, or amendment thereto, that is the subject
of the disclosure required by Item 2, to the extent that the registrant intends
to satisfy the Item 2 requirements through filing of an exhibit.
NOT APPLICABLE - SEE ITEM 2 ABOVE.
(a)(2) A separate certification for each principal executive officer
and principal financial officer of the registrant as required by Rule 30a-2(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.
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(a)(3) Any written solicitation to purchase securities under Rule
23c-1 under the Act (17 CFR 270.23c-1) sent or given during the period covered
by the report by or on behalf of the registrant to 10 or more persons.
NOT APPLICABLE.
(b) A separate or combined certification for each principal executive
officer and principal officer of the registrant as required by Rule 30a-2(b)
under the Act of 1940.
CERTIFICATIONS PURSUANT TO RULE 30a-2(b) UNDER THE INVESTMENT COMPANY ACT OF
1940 ARE ATTACHED HERETO.
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SIGNATURES
[See General Instruction F]
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the registrant has duly caused this report to be
signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) J.P. Morgan Mutual Fund Select Group
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By (Signature and Title)* /s/ Stephanie J. Dorsey
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Stephanie J. Dorsey, Treasurer
Date December 20, 2004
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Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this report has been signed below by the
following persons on behalf of the registrant and in the capacities and on the
dates indicated.
By (Signature and Title) /s/ Stephanie J. Dorsey
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Stephanie J. Dorsey, Treasurer
Date December 20, 2004
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By (Signature and Title)* /s/ George C.W. Gatch
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George C.W. Gatch, President
Date December 20, 2004
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* Print the name and title of each signing officer under his or her signature.