<Page>
-----------------------------
OMB APPROVAL
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OMB Number: 3235-0570
Expires: November 30, 2005
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hours per response....... 5.0
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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-07342
---------------------------------------------
J.P. Morgan Institutional Funds
- -------------------------------------------------------------------------------
(Exact name of registrant as specified in charter)
522 Fifth Avenue, New York, NY 10036
- -------------------------------------------------------------------------------
(Address of principal executive offices) (Zip code)
JPMorgan Funds Management, Inc., 522 Fifth Avenue, New York, NY 10036
- -------------------------------------------------------------------------------
(Name and address of agent for service)
Registrant's telephone number, including area code: 1-800-480-4111
----------------------------
Date of fiscal year end: December 31, 2004
------------------
Date of reporting period: January 1, 2004 through December 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>
ANNUAL REPORT DECEMBER 31, 2004
JPMORGAN FUNDS
U.S. EQUITY LARGE CAP FUNDS
DISCIPLINED EQUITY FUND
DIVERSIFIED FUND
EQUITY GROWTH FUND
EQUITY INCOME FUND
U.S. EQUITY FUND
[JPMORGAN ASSET MANAGEMENT LOGO]
<Page>
JPMORGAN 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 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:
Disciplined Equity Fund 2
Diversified Fund 5
Equity Growth Fund 8
Equity Income Fund 11
U.S. Equity Fund 14
Portfolio of Investments 17
Financial Statements 56
Notes to Financial Statements 63
Financial Highlights 100
</Table>
IMPORTANT FUND FAMILY UPDATE
As shareholders of the JPMorgan Funds, we hope you share our enthusiasm
regarding our 'new' fund family resulting from the successful integration of the
former JPMorgan Funds and One Group Funds, effective February 19, 2005. Over the
next few weeks and months, you will be hearing more about our integration, and
our newly combined fund family. As we continue to integrate the two
organizations our dedication to our investors remains steadfast.
HIGHLIGHTS
- - Year-end rally boosts returns
- - Economic news positive
- - Stock selection opportunities in premium growth companies
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) 480-4111 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 JPMorgan Distribution Services, Inc.
Affiliates of JPMorgan Chase & Co. receive fees for providing various services
to the funds.
<Page>
JPMORGAN
LARGE CAP EQUITY FUNDS
PRESIDENT'S LETTER JANUARY 19, 2005
[PHOTO OF GEORGE C.W. GATCH]
"DURING 2004, THE EQUITY MARKET ACHIEVED ALMOST ALL OF ITS GAINS IN THE FINAL
QUARTER."
DEAR SHAREHOLDER:
We are pleased to present this annual report for the JPMorgan Large Cap Funds.
Inside, you'll find information detailing the performance of the Funds for the
year ended December 31, 2004, along with reports from the Portfolio Managers.
YEAR-END RALLY BRINGS 2004 TO POSITIVE CLOSE
During 2004, the equity market achieved almost all of its gains in the final
quarter. This was a year in which equities made nervous progress. After starting
the year on a rising trend, and then retrenching during the spring and summer,
equities climbed from October onwards in an exceptionally robust year-end rally.
The broad-based S&P 500 Index rose by 9.2% in the quarter, lifting full-year
2004 gains to 10.9%.
At the beginning of the year a scenario of solid economic growth, accelerating
corporate earnings and low inflation supported the market's progress. By spring,
however, rising oil prices began to raise concerns that the economic recovery
might not be sustained. In the summer, a patch of weak economic growth, a
further rise in oil prices, and rising short-term interest rates stoked
investors' fears. But in the fourth quarter, doubts were put aside as the oil
price fell, the economy rebounded and the presidential election reached a clear
conclusion.
OUTLOOK
We believe that the U.S. economy is on a solid footing entering 2005, as it
evolves from recovery to expansion. The expansion, however, is unlikely to be
smooth as companies continue to manage costs aggressively. In addition, we
expect the Federal Open Market Committee to increase the fed funds target rate
by at least another 1% in 2005 in order to keep inflation under control. Higher
interest rates in the face of an uncertain economy could breed anxiety among
investors for a good part of the year. But we expect that growth will remain
solid overall and that equities will ultimately post gains. The best buying
opportunities usually occur when most people are feeling doubtful about owning
assets, and those opportunities will likely exist in 2005.
On behalf of all of us at JPMorgan Asset Management, thank you for your
business. We appreciate the trust you have placed in us, and look forward to
serving your investment needs for many years to come. Should you have any
questions, please feel free to contact the JPMorgan Funds Service Center at
1-800-480-4111.
Sincerely,
/s/ George C.W. Gatch
George C.W. Gatch
President
JPMorgan Funds
<Page>
JPMORGAN
DISCIPLINED EQUITY FUND
AS OF DECEMBER 31, 2004 (Unaudited)
FUND FACTS
<Table>
Fund Inception 1/3/1997
Fiscal Year End DECEMBER 31
Net Assets as of 12/31/2004
(In Millions) $525.6
Primary Benchmark S&P 500 INDEX
</Table>
Q: HOW DID THE FUND PERFORM?
A: JPMorgan Disciplined Equity Fund, which seeks to provide a consistently
high total return from a broadly diversified portfolio of equity securities
with risk characteristics similar to the S&P 500 Index, returned 11.2%
(Institutional shares) during the year ended December 31, 2004, while its
benchmark, the S&P 500 Index, returned 10.9%.
Q: WHY DID THE FUND PERFORM THIS WAY?
A: For the year, the Fund's performance benefited from solid stock selection
within the industrial cyclical, finance and insurance sectors. At the
stock-specific level, aiding performance the most was a position in
Sepracor, the drug maker, whose stock rose sharply owing to optimism about
its new insomnia medication, Lunesta. Most recently, the stock received an
incremental boost as a result of the favorable Food & Drug Administration
labeling for Lunesta. Additionally, our underweight position in Merck
proved to be prudent when the drug maker pulled its pain reliever, Vioxx,
from the market after a new study found increased risk of heart attacks and
strokes when using the drug. The Fund's holdings in US Steel also added
value as the company participated in the strong global resurgence in demand
for both steel and industrial gas products. Elsewhere within the Fund,
overweight positions in Countrywide Financial, Aetna and Sprint PCS
contributed strongly to performance.
On the other hand, stock picking within the media, consumer staple and
energy sectors detracted from results. Within the media sector, the
Portfolio's holding in media giant Viacom dragged on performance. New
management in Viacom's Paramount film division, as well as renewed focus on
its cable and radio properties, gives us conviction that our patience will
be well rewarded. Our overweight in Forest Labs also negatively impacted
performance as its stock underperformed on news that orders were down and
that its once promising drug, Neramexane, did not pass its first trials for
statistical significance. That said, we have maintained our overweight
position, as Forest Labs generates substantial cash flow, is cheap relative
to our forecasts for earnings growth and will potentially buy back a
substantial amount of shares.
Q: HOW WAS THE FUND MANAGED?
A: At a high level, we continued to manage the Portfolio with a
sector-neutral, style-consistent approach, driven by the stock selection
insights of our fundamental research analysts. At the stock-specific level,
the Portfolio continued to incrementally over/underweight securities within
each sector that our analysts deemed to be inexpensive/expensive relative
to their sector peers, and to their long-term earnings.
2
<Page>
[CHART]
PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS
<Table>
Consumer Goods & Services 23.1%
Finance & Insurance 19.9%
Technology 16.1%
Industrial Products & Services 13.9%
Pharmaceuticals 8.9%
Energy 7.1%
Health Services & Systems 3.7%
Telecommunications 3.2%
Utilities 2.9%
Short-Term Investments 0.7%
REITs 0.5%
</Table>
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO
<Table>
1. General Electric Co. 3.6%
2. Citigroup, Inc. 3.2%
3. Microsoft Corp. 2.8%
4. Exxon Mobil Corp. 2.8%
5. Procter & Gamble Co. 1.9%
6. Johnson & Johnson 1.8%
7. The Coca-Cola Co. 1.7%
8. Altria Group, Inc. 1.7%
9. Pfizer, Inc. 1.6%
10. Morgan Stanley 1.6%
</Table>
Top 10 equity holdings comprised 22.7% of the Portfolio's market value of
investments ($119,060 in thousands). As of December 31, 2004 the Fund held 206
equity holdings. Portfolio holdings are subject to change at any time.
3
<Page>
AVERAGE ANNUAL TOTAL RETURNS AS OF DECEMBER 31, 2004
<Table>
<Caption>
SINCE
INCEPTION
1 YEAR 3 YEARS 5 YEARS (1/3/97)
------------------------------------------------------------
CLASS A SHARES
Without Sales Charge 10.64% 2.25% (3.56%) 7.00%
With Sales Charge* 4.82% 0.42% (4.59%) 6.28%
INSTITUTIONAL SHARES 11.23% 2.75% (3.12%) 7.37%
SELECT SHARES 11.03% 2.54% (3.38%) 7.12%
ULTRA SHARES 11.33% 2.83% (3.07%) 7.40%
</Table>
* Sales Charge for Class A Shares is 5.25%.
[CHART]
LIFE OF FUND PERFORMANCE (01/03/97 TO 12/31/04)
<Table>
<Caption>
JPMORGAN DISCIPLINED EQUITY FUND LIPPER LARGE CAP
(INSTITUTIONAL SHARES) S&P 500 INDEX CORE FUNDS INDEX
Jan-1997 $ 3,000,000 $ 3,000,000 $ 3,000,000
Jan-1997 $ 3,150,000 $ 3,187,500 $ 3,164,100
Feb-1997 $ 3,173,940 $ 3,212,363 $ 3,160,303
Mar-1997 $ 3,041,904 $ 3,080,334 $ 3,025,042
Apr-1997 $ 3,215,901 $ 3,264,230 $ 3,192,629
May-1997 $ 3,441,014 $ 3,463,022 $ 3,386,422
Jun-1997 $ 3,594,139 $ 3,618,165 $ 3,533,393
Jul-1997 $ 3,894,250 $ 3,906,171 $ 3,812,531
Aug-1997 $ 3,694,475 $ 3,687,426 $ 3,618,473
Sep-1997 $ 3,869,223 $ 3,889,497 $ 3,804,824
Oct-1997 $ 3,748,504 $ 3,759,587 $ 3,687,636
Nov-1997 $ 3,908,190 $ 3,933,656 $ 3,808,221
Dec-1997 $ 3,962,123 $ 4,001,315 $ 3,877,531
Jan-1998 $ 4,032,253 $ 4,045,730 $ 3,915,919
Feb-1998 $ 4,331,446 $ 4,337,427 $ 4,193,557
Mar-1998 $ 4,557,547 $ 4,559,503 $ 4,401,138
Apr-1998 $ 4,627,733 $ 4,605,554 $ 4,445,590
May-1998 $ 4,575,903 $ 4,526,339 $ 4,369,570
Jun-1998 $ 4,737,890 $ 4,710,108 $ 4,577,125
Jul-1998 $ 4,694,775 $ 4,660,181 $ 4,540,050
Aug-1998 $ 4,004,643 $ 3,986,319 $ 3,860,405
Sep-1998 $ 4,268,549 $ 4,241,842 $ 4,052,267
Oct-1998 $ 4,630,522 $ 4,586,704 $ 4,356,187
Nov-1998 $ 4,949,565 $ 4,864,658 $ 4,615,380
Dec-1998 $ 5,243,569 $ 5,144,862 $ 4,921,841
Jan-1999 $ 5,422,899 $ 5,359,917 $ 5,094,106
Feb-1999 $ 5,227,675 $ 5,193,224 $ 4,936,698
Mar-1999 $ 5,442,009 $ 5,400,953 $ 5,135,153
Apr-1999 $ 5,756,013 $ 5,609,970 $ 5,272,775
May-1999 $ 5,631,108 $ 5,477,574 $ 5,133,046
Jun-1999 $ 5,920,547 $ 5,781,580 $ 5,419,470
Jul-1999 $ 5,731,089 $ 5,601,194 $ 5,260,680
Aug-1999 $ 5,701,861 $ 5,573,189 $ 5,207,021
Sep-1999 $ 5,537,647 $ 5,420,483 $ 5,065,911
Oct-1999 $ 5,830,589 $ 5,763,600 $ 5,376,451
Nov-1999 $ 5,917,464 $ 5,880,601 $ 5,508,174
Dec-1999 $ 6,204,462 $ 6,226,968 $ 5,874,468
Jan-2000 $ 5,872,523 $ 5,914,374 $ 5,637,139
Feb-2000 $ 5,730,408 $ 5,802,593 $ 5,635,448
Mar-2000 $ 6,312,617 $ 6,370,086 $ 6,125,169
Apr-2000 $ 6,099,251 $ 6,178,347 $ 5,924,876
May-2000 $ 5,943,110 $ 6,051,691 $ 5,773,791
Jun-2000 $ 6,095,848 $ 6,200,562 $ 5,985,112
Jul-2000 $ 5,997,095 $ 6,103,833 $ 5,891,744
Aug-2000 $ 6,374,312 $ 6,482,881 $ 6,298,275
Sep-2000 $ 5,980,380 $ 6,140,585 $ 5,963,206
Oct-2000 $ 5,986,958 $ 6,114,795 $ 5,894,033
Nov-2000 $ 5,487,646 $ 5,632,949 $ 5,375,358
Dec-2000 $ 5,529,901 $ 5,660,550 $ 5,440,938
Jan-2001 $ 5,755,521 $ 5,861,500 $ 5,594,916
Feb-2001 $ 5,208,746 $ 5,326,931 $ 5,074,029
Mar-2001 $ 4,874,345 $ 4,989,204 $ 4,762,484
Apr-2001 $ 5,295,001 $ 5,376,865 $ 5,124,433
May-2001 $ 5,349,539 $ 5,412,890 $ 5,153,130
Jun-2001 $ 5,229,710 $ 5,281,357 $ 5,016,056
Jul-2001 $ 5,178,458 $ 5,229,599 $ 4,943,324
Aug-2001 $ 4,843,412 $ 4,902,226 $ 4,652,162
Sep-2001 $ 4,395,397 $ 4,506,617 $ 4,299,063
Oct-2001 $ 4,487,700 $ 4,592,693 $ 4,400,521
Nov-2001 $ 4,843,574 $ 4,944,953 $ 4,688,755
Dec-2001 $ 4,882,807 $ 4,988,468 $ 4,741,738
Jan-2002 $ 4,772,456 $ 4,915,637 $ 4,666,818
Feb-2002 $ 4,666,030 $ 4,820,765 $ 4,588,416
Mar-2002 $ 4,841,473 $ 5,002,026 $ 4,744,422
Apr-2002 $ 4,517,094 $ 4,698,903 $ 4,496,289
May-2002 $ 4,475,537 $ 4,664,131 $ 4,463,466
Jun-2002 $ 4,132,263 $ 4,332,045 $ 4,155,040
Jul-2002 $ 3,810,773 $ 3,994,145 $ 3,846,321
Aug-2002 $ 3,831,351 $ 4,020,507 $ 3,877,860
Sep-2002 $ 3,398,792 $ 3,583,478 $ 3,501,320
Oct-2002 $ 3,683,271 $ 3,898,824 $ 3,773,373
Nov-2002 $ 3,908,687 $ 4,128,464 $ 3,942,043
Dec-2002 $ 3,673,384 $ 3,886,124 $ 3,734,297
Jan-2003 $ 3,583,019 $ 3,784,307 $ 3,636,458
Feb-2003 $ 3,527,482 $ 3,727,543 $ 3,588,093
Mar-2003 $ 3,566,284 $ 3,763,700 $ 3,618,233
Apr-2003 $ 3,866,565 $ 4,073,829 $ 3,884,897
May-2003 $ 4,083,093 $ 4,288,519 $ 4,073,315
Jun-2003 $ 4,121,066 $ 4,343,412 $ 4,113,641
Jul-2003 $ 4,170,106 $ 4,419,856 $ 4,178,636
Aug-2003 $ 4,247,253 $ 4,506,044 $ 4,259,284
Sep-2003 $ 4,204,781 $ 4,458,280 $ 4,204,339
Oct-2003 $ 4,454,545 $ 4,710,618 $ 4,409,931
Nov-2003 $ 4,510,672 $ 4,752,072 $ 4,446,975
Dec-2003 $ 4,761,014 $ 5,001,080 $ 4,660,874
Jan-2004 $ 4,856,235 $ 5,092,600 $ 4,726,592
Feb-2004 $ 4,930,535 $ 5,163,387 $ 4,782,366
Mar-2004 $ 4,862,494 $ 5,085,420 $ 4,707,283
Apr-2004 $ 4,766,703 $ 5,005,579 $ 4,634,320
May-2004 $ 4,830,576 $ 5,074,155 $ 4,681,590
Jun-2004 $ 4,915,595 $ 5,172,594 $ 4,765,391
Jul-2004 $ 4,763,211 $ 5,001,381 $ 4,596,696
Aug-2004 $ 4,791,790 $ 5,021,387 $ 4,599,454
Sep-2004 $ 4,856,959 $ 5,075,617 $ 4,652,348
Oct-2004 $ 4,917,671 $ 5,153,274 $ 4,715,154
Nov-2004 $ 5,113,394 $ 5,361,982 $ 4,894,330
Dec-2004 $ 5,295,905 $ 5,544,289 $ 5,047,523
</Table>
SOURCE: LIPPER, INC. THE PERFORMANCE QUOTED IS PAST PERFORMANCE AND IS 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.
CURRENT PERFORMANCE MAY BE HIGHER OR LOWER THAN THE PERFORMANCE DATA SHOWN. FOR
UP-TO-DATE MONTH-END PERFORMANCE INFORMATION PLEASE CALL 1-800-480-4111.
The Fund commenced operations on 1/3/97.
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 Disciplined 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
Disciplined Equity Fund, which are similar to the expenses of the Select Shares.
The returns presented prior to 12/31/97 are based on the historical expenses of
the J.P. Morgan Institutional Disciplined Equity Fund which are lower than the
expenses of the Select Shares.
Returns for the Class A Shares prior to 9/28/01 (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.
Returns for the Ultra Shares prior to 3/24/03 (offering date of the Ultra
Shares) are calculated using the historical expenses of the Institutional
Shares, which are higher than the expenses of the Ultra Shares.
The graph illustrates comparative performance for $3,000,000 invested in
Institutional Shares of the JPMorgan Disciplined Equity Fund, S&P 500 Index and
Lipper Large-Cap Core Funds Index from January 3, 1997 to December 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 an unmanaged broad-based index
that replicates the U.S. stock markets. 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.
4
<Page>
JPMORGAN
DIVERSIFIED FUND
AS OF DECEMBER 31, 2004 (Unaudited)
FUND FACTS
<Table>
Fund Inception 9/10/1993
Fiscal Year End DECEMBER 31
Net Assets as of 12/31/2004
(In Millions) $452.8
Primary Benchmark DIVERSIFIED
BENCHMARK
</Table>
Q: HOW DID THE FUND PERFORM?
A: JPMorgan Diversified Fund, which seeks to provide high total return from a
diversified portfolio of stocks and bonds, had a return of 9.55%
(Institutional Shares) during the year December 31, 2004. This compares to
a return of 9.80% during the same period for the Diversified Custom
Benchmark, which is comprised of the S&P 500 Index (52%), the Russell 2000
Index (3%), the MSCI EAFE (Morgan Stanley Capital International - Europe,
Africa and the Far East) Index (10%) and the Salomon Broad Investment Grade
Index (35%). The Fund outperformed this composite index on a gross-of-fees
basis. On an absolute basis, the fixed income portion of the Portfolio
outperformed its benchmark, while the large cap equity, small cap equity
and international equity components underperformed. On a relative basis,
the large cap equity and fixed income components of the Portfolio
outperformed their respective benchmarks, while the small cap equity and
international equity components underperformed.
Q: WHY DID THE FUND PERFORM THIS WAY?
A: Security selection drove the Fund's outperformance, while asset allocation
was a slightly negative detractor. Security selection within the large cap
equity portion contributed to the Fund's outperformance. Strong stock
selection within the finance, industrial/cyclical, retail and
pharmaceutical/medical technology sectors contributed the most to
performance, while positions in the media, software and services and
consumer stable sectors were the primary detractors. On a stock specific
level, overweight positions in Sepracor, Aetna, and Tyco, and an
underweight in Merck, were among the more notable contributors to
performance, while overweight positions in Viacom, Coca-Cola, and Forest
Labs, as well as underweight positions in Yahoo, detracted from it.
In fixed income, duration and yield curve positioning detracted from
performance for most accounts during the year. Our prepayment-sensitive
mortgage position was a strong positive contributor to performance, as was
our positioning in investment-grade corporate bonds. The allocation in
mortgage private placements resulted in a strong positive contribution to
performance, and our allocation to emerging markets debt and high yield
drove strong performance gains in those Portfolios in the extended sectors.
Our international non-dollar exposure also affected performance positively.
Q: HOW WAS THE FUND MANAGED?
A: The Fund seeks to provide a high total return from a diversified portfolio
of stocks and bonds. Assets are loosely allocated among the various
investment options to conform with the Fund's model allocation of 52% large
cap equity, 3% small cap equity, 35% fixed income and 10% international
equity. We base the actual allocation among these asset classes on the
relative attractiveness of each asset class.
Overall, our positioning favored stocks over bonds. Our asset allocation
models suggested we overweight in small caps, which benefit from the
strength of the business cycle and favorable risk characteristics relative
to large caps. In addition, attractive valuations led us to overweight
international equities. Toward the end of the second quarter, we decided to
reduce our overweight position in stocks relative to bonds to a modest
overweight, as we focused our risk budget on our short duration position
and the view that long bond yields will move higher over coming months.
In the latter half of the year, our investment strategy supported an
increased overweighting in equities relative to bonds. We maintained
exposure to Japan and Europe ex-U.K. (albeit reduced) markets, which are
especially favored on the grounds of their liquidity, valuation and
technical merits.
5
<Page>
[CHART]
PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS
<Table>
Fixed Income 21.0%
Finance & Insurance 16.0%
Consumer Goods & Services 15.5%
Short-Term Investments 10.1%
Industrial Products & Services 9.4%
Technology 9.0%
Pharmaceuticals 5.2%
Energy 4.7%
Telecommunications 3.7%
Utilities 2.5%
Health Services & Systems 2.2%
REITs 0.7%
</Table>
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO
<Table>
1. General Electric Co. 1.8%
2. Citigroup, Inc. 1.7%
3. Exxon Mobil Corp. 1.3%
4. Microsoft Corp. 1.3%
5. Procter & Gamble Co. 1.0%
6. Morgan Stanley 0.9%
7. Johnson & Johnson 0.9%
8. Tyco International LTD
(Bermuda) 0.8%
9. The Coca-Cola Co. 0.8%
10. Viacom, Inc., Class B 0.8%
</Table>
Top 10 equity holdings comprised 11.3% of the Portfolio's market value of
investments ($55,829 in thousands). As of December 31, 2004 the Fund held 1002
equity holdings. Portfolio holdings are subject to change at any time.
6
<Page>
AVERAGE ANNUAL TOTAL RETURNS AS OF DECEMBER 31, 2004
<Table>
<Caption>
1 YEAR 3 YEARS 5 YEARS 10 YEARS
------------------------------------------------------------
CLASS A SHARES
Without Sales Charge 8.94% 4.44% 0.53% 8.92%
With Sales Charge* 3.21% 2.59% (0.55%) 8.34%
CLASS B SHARES
Without CDSC 8.16% 4.03% 0.29% 8.79%
With CDSC** 3.16% 3.10% (0.04%) 8.79%
CLASS C SHARES
Without CDSC 8.10% 4.03% 0.29% 8.79%
With CDSC*** 7.10% 4.03% 0.29% 8.79%
INSTITUTIONAL SHARES 9.55% 4.93% 0.94% 9.30%
SELECT SHARES 9.28% 4.66% 0.66% 8.99%
</Table>
* Sales Charge for Class A Shares is 5.25%.
** 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 10 year period.
*** Assumes 1% CDSC for the one year period and 0% CDSC thereafter.
[CHART]
TEN-YEAR FUND PERFORMANCE (12/31/94 TO 12/31/04)
<Table>
<Caption>
JPMORGAN DIVERSIFIED FUND LIPPER BALANCED
(INSTITUTIONAL SHARES) DIVERSIFIED BENCHMARK S&P 500 INDEX FUNDS INDEX
Dec-1994 $ 3,000,000 $ 3,000,000 $ 3,000,000 $ 3,000,000
Jan-1995 $ 3,045,600 $ 3,049,500 $ 3,077,700 $ 3,037,200
Feb-1995 $ 3,130,877 $ 3,139,155 $ 3,197,730 $ 3,125,583
Mar-1995 $ 3,201,008 $ 3,214,809 $ 3,292,063 $ 3,180,905
Apr-1995 $ 3,273,991 $ 3,293,572 $ 3,389,179 $ 3,240,706
May-1995 $ 3,380,396 $ 3,405,553 $ 3,524,746 $ 3,344,409
Jun-1995 $ 3,426,032 $ 3,454,253 $ 3,606,521 $ 3,403,605
Jul-1995 $ 3,508,256 $ 3,538,882 $ 3,726,257 $ 3,475,421
Aug-1995 $ 3,523,342 $ 3,546,313 $ 3,735,573 $ 3,502,529
Sep-1995 $ 3,614,596 $ 3,644,546 $ 3,893,214 $ 3,586,240
Oct-1995 $ 3,611,343 $ 3,640,173 $ 3,879,198 $ 3,577,274
Nov-1995 $ 3,730,879 $ 3,757,750 $ 4,049,495 $ 3,688,527
Dec-1995 $ 3,805,123 $ 3,831,778 $ 4,127,650 $ 3,746,437
Jan-1996 $ 3,881,606 $ 3,910,330 $ 4,267,990 $ 3,814,248
Feb-1996 $ 3,898,297 $ 3,910,721 $ 4,307,683 $ 3,816,155
Mar-1996 $ 3,918,178 $ 3,931,056 $ 4,349,036 $ 3,830,656
Apr-1996 $ 3,944,822 $ 3,968,795 $ 4,412,967 $ 3,855,939
May-1996 $ 3,981,509 $ 4,018,801 $ 4,526,822 $ 3,895,269
Jun-1996 $ 4,005,000 $ 4,042,110 $ 4,544,024 $ 3,908,124
Jul-1996 $ 3,908,479 $ 3,930,548 $ 4,343,178 $ 3,807,685
Aug-1996 $ 3,948,346 $ 3,979,287 $ 4,434,819 $ 3,867,846
Sep-1996 $ 4,090,091 $ 4,135,275 $ 4,684,499 $ 4,011,343
Oct-1996 $ 4,169,848 $ 4,220,875 $ 4,813,791 $ 4,096,384
Nov-1996 $ 4,374,588 $ 4,433,185 $ 5,177,714 $ 4,287,275
Dec-1996 $ 4,325,592 $ 4,371,564 $ 5,075,195 $ 4,235,828
Jan-1997 $ 4,433,732 $ 4,506,645 $ 5,392,395 $ 4,366,715
Feb-1997 $ 4,459,004 $ 4,530,981 $ 5,434,456 $ 4,382,872
Mar-1997 $ 4,347,083 $ 4,413,176 $ 5,211,100 $ 4,255,330
Apr-1997 $ 4,477,061 $ 4,575,139 $ 5,522,202 $ 4,383,416
May-1997 $ 4,683,006 $ 4,780,105 $ 5,858,504 $ 4,563,136
Jun-1997 $ 4,834,735 $ 4,944,063 $ 6,120,965 $ 4,714,176
Jul-1997 $ 5,087,592 $ 5,210,548 $ 6,608,194 $ 4,982,884
Aug-1997 $ 4,910,544 $ 5,007,858 $ 6,238,135 $ 4,824,926
Sep-1997 $ 5,080,940 $ 5,215,183 $ 6,579,985 $ 5,017,441
Oct-1997 $ 4,980,845 $ 5,103,578 $ 6,360,214 $ 4,926,123
Nov-1997 $ 5,080,960 $ 5,228,616 $ 6,654,692 $ 5,016,764
Dec-1997 $ 5,142,948 $ 5,301,294 $ 6,769,152 $ 5,096,029
Jan-1998 $ 5,218,549 $ 5,377,632 $ 6,844,290 $ 5,132,211
Feb-1998 $ 5,425,726 $ 5,624,465 $ 7,337,763 $ 5,335,960
Mar-1998 $ 5,580,901 $ 5,806,136 $ 7,713,457 $ 5,499,240
Apr-1998 $ 5,637,268 $ 5,852,585 $ 7,791,363 $ 5,537,735
May-1998 $ 5,621,484 $ 5,807,520 $ 7,657,351 $ 5,481,803
Jun-1998 $ 5,726,044 $ 5,951,546 $ 7,968,240 $ 5,582,669
Jul-1998 $ 5,697,986 $ 5,914,647 $ 7,883,776 $ 5,517,351
Aug-1998 $ 5,201,122 $ 5,394,158 $ 6,743,782 $ 5,041,756
Sep-1998 $ 5,375,359 $ 5,614,779 $ 7,176,059 $ 5,259,560
Oct-1998 $ 5,639,289 $ 5,908,993 $ 7,759,472 $ 5,456,267
Nov-1998 $ 5,882,907 $ 6,145,944 $ 8,229,696 $ 5,655,966
Dec-1998 $ 6,099,986 $ 6,372,729 $ 8,703,727 $ 5,864,672
Jan-1999 $ 6,205,516 $ 6,528,224 $ 9,067,542 $ 5,958,506
Feb-1999 $ 6,016,868 $ 6,351,309 $ 8,785,542 $ 5,815,502
Mar-1999 $ 6,196,772 $ 6,525,970 $ 9,136,964 $ 5,959,145
Apr-1999 $ 6,434,728 $ 6,708,697 $ 9,490,564 $ 6,154,605
May-1999 $ 6,302,816 $ 6,573,181 $ 9,266,587 $ 6,059,824
Jun-1999 $ 6,515,221 $ 6,789,439 $ 9,780,882 $ 6,227,075
Jul-1999 $ 6,431,175 $ 6,684,203 $ 9,475,719 $ 6,110,629
Aug-1999 $ 6,408,666 $ 6,660,140 $ 9,428,340 $ 6,046,467
Sep-1999 $ 6,355,474 $ 6,599,532 $ 9,170,004 $ 5,969,073
Oct-1999 $ 6,555,671 $ 6,848,995 $ 9,750,465 $ 6,142,176
Nov-1999 $ 6,684,818 $ 6,957,209 $ 9,948,399 $ 6,208,511
Dec-1999 $ 6,968,923 $ 7,245,237 $ 10,534,360 $ 6,392,283
Jan-2000 $ 6,745,917 $ 6,998,899 $ 10,005,535 $ 6,231,837
Feb-2000 $ 6,829,567 $ 7,012,197 $ 9,816,431 $ 6,216,880
Mar-2000 $ 7,154,654 $ 7,413,996 $ 10,776,477 $ 6,583,055
Apr-2000 $ 6,912,827 $ 7,237,543 $ 10,452,105 $ 6,462,585
May-2000 $ 6,759,362 $ 7,127,532 $ 10,237,837 $ 6,401,837
Jun-2000 $ 6,964,171 $ 7,317,837 $ 10,489,688 $ 6,504,266
Jul-2000 $ 6,884,779 $ 7,243,927 $ 10,326,049 $ 6,486,704
Aug-2000 $ 7,146,401 $ 7,537,306 $ 10,967,297 $ 6,776,011
Sep-2000 $ 6,894,133 $ 7,305,157 $ 10,388,223 $ 6,633,715
Oct-2000 $ 6,865,867 $ 7,278,128 $ 10,344,593 $ 6,627,745
Nov-2000 $ 6,562,396 $ 6,971,719 $ 9,529,439 $ 6,387,158
Dec-2000 $ 6,692,331 $ 7,078,386 $ 9,576,133 $ 6,546,198
Jan-2001 $ 6,883,062 $ 7,260,301 $ 9,916,086 $ 6,684,977
Feb-2001 $ 6,496,923 $ 6,869,697 $ 9,011,739 $ 6,425,600
Mar-2001 $ 6,227,950 $ 6,600,405 $ 8,440,395 $ 6,218,053
Apr-2001 $ 6,532,497 $ 6,917,884 $ 9,096,213 $ 6,479,212
May-2001 $ 6,586,717 $ 6,938,638 $ 9,157,158 $ 6,536,877
Jun-2001 $ 6,498,455 $ 6,837,334 $ 8,934,639 $ 6,436,862
Jul-2001 $ 6,469,211 $ 6,833,915 $ 8,847,079 $ 6,432,356
Aug-2001 $ 6,262,197 $ 6,613,863 $ 8,293,252 $ 6,249,034
Sep-2001 $ 5,878,324 $ 6,271,265 $ 7,623,987 $ 5,948,456
Oct-2001 $ 6,021,167 $ 6,404,843 $ 7,769,605 $ 6,047,795
Nov-2001 $ 6,281,884 $ 6,668,082 $ 8,365,534 $ 6,288,497
Dec-2001 $ 6,322,088 $ 6,700,755 $ 8,439,150 $ 6,333,774
Jan-2002 $ 6,222,199 $ 6,630,397 $ 8,315,939 $ 6,278,037
Feb-2002 $ 6,167,444 $ 6,585,311 $ 8,155,441 $ 6,235,347
Mar-2002 $ 6,317,929 $ 6,727,553 $ 8,462,086 $ 6,371,901
Apr-2002 $ 6,147,345 $ 6,566,092 $ 7,949,283 $ 6,218,975
May-2002 $ 6,131,977 $ 6,560,183 $ 7,890,459 $ 6,215,866
Jun-2002 $ 5,840,708 $ 6,298,431 $ 7,328,658 $ 5,950,448
Jul-2002 $ 5,522,389 $ 5,978,471 $ 6,757,023 $ 5,645,190
Aug-2002 $ 5,583,136 $ 6,033,473 $ 6,801,619 $ 5,703,336
Sep-2002 $ 5,200,691 $ 5,648,537 $ 6,062,283 $ 5,362,846
Oct-2002 $ 5,455,005 $ 5,933,789 $ 6,595,764 $ 5,586,477
Nov-2002 $ 5,673,750 $ 6,158,086 $ 6,984,254 $ 5,813,288
Dec-2002 $ 5,500,133 $ 5,983,812 $ 6,574,279 $ 5,656,329
Jan-2003 $ 5,392,881 $ 5,873,710 $ 6,402,033 $ 5,571,484
Feb-2003 $ 5,351,895 $ 5,838,468 $ 6,306,002 $ 5,529,698
Mar-2003 $ 5,363,134 $ 5,856,567 $ 6,367,170 $ 5,552,370
Apr-2003 $ 5,681,168 $ 6,199,762 $ 6,891,825 $ 5,852,753
May-2003 $ 5,937,957 $ 6,466,971 $ 7,255,024 $ 6,111,445
Jun-2003 $ 5,984,273 $ 6,525,174 $ 7,347,889 $ 6,157,892
Jul-2003 $ 5,953,154 $ 6,535,614 $ 7,477,212 $ 6,172,055
Aug-2003 $ 6,061,502 $ 6,642,145 $ 7,623,017 $ 6,276,363
Sep-2003 $ 6,105,751 $ 6,683,326 $ 7,542,213 $ 6,284,522
Oct-2003 $ 6,333,495 $ 6,916,574 $ 7,969,102 $ 6,491,911
Nov-2003 $ 6,405,697 $ 6,978,132 $ 8,039,231 $ 6,549,689
Dec-2003 $ 6,666,409 $ 7,251,674 $ 8,460,486 $ 6,784,168
Jan-2004 $ 6,775,738 $ 7,361,175 $ 8,615,313 $ 6,885,252
Feb-2004 $ 6,869,243 $ 7,461,287 $ 8,735,066 $ 6,978,892
Mar-2004 $ 6,846,575 $ 7,429,203 $ 8,603,166 $ 6,945,393
Apr-2004 $ 6,674,041 $ 7,273,190 $ 8,468,097 $ 6,799,540
May-2004 $ 6,700,070 $ 7,319,738 $ 8,584,110 $ 6,829,458
Jun-2004 $ 6,792,531 $ 7,433,926 $ 8,750,641 $ 6,935,997
Jul-2004 $ 6,661,435 $ 7,292,682 $ 8,460,995 $ 6,805,601
Aug-2004 $ 6,745,369 $ 7,360,504 $ 8,494,839 $ 6,847,115
Sep-2004 $ 6,823,615 $ 7,438,525 $ 8,586,583 $ 6,949,137
Oct-2004 $ 6,908,228 $ 7,550,103 $ 8,717,958 $ 7,024,187
Nov-2004 $ 7,103,731 $ 7,757,731 $ 9,071,035 $ 7,213,138
Dec-2004 $ 7,300,449 $ 7,961,759 $ 9,379,451 $ 7,393,466
</Table>
Source: Lipper, Inc. The performance quoted is past performance and is 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.
Current performance may be higher or lower than the performance data shown. For
up-to-date month-end performance information please call 1-800-480-4111.
The Fund commenced operations on 9/10/93.
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 Diversified 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
Diversified Fund, which are similar to the expenses of the Select Shares.
Returns for the Class A, B, and C Shares prior to 3/24/03 (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 $3,000,000 invested in
Institutional Shares of the JPMorgan Diversified Fund, Diversified Benchmark.
S&P 500 Index, and Lipper Balanced Funds Index from December 31, 1994 to
December 31, 2004. The performance of the Fund assumes reinvestment of all
dividend 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 Diversified
Benchmark comprises of 52% of the S&P 500 Index, 3% of the Russell 2000 Index,
35% of the Citigroup Broad Investment Grade Bond Index and 10% of the MSCI EAFE
Index. The S&P 500 Index is an unmanaged broad-based index that replicates the
U.S. stock markets. The Lipper Balanced Funds Index represents the total returns
of the funds in the indicated category, as defined by Lipper, Inc. Investors
cannot invest directly in an index.
Institutional Shares have a $3,000,000 minimum initial deposit and carry no
sales charge.
Certain fees and expenses of the Fund are currently being waived and reimbursed
as described in the prospectus. Had the expenses not been subsidized or waived,
returns would have been lower. Also, all performance shown in this section does
not reflect the deduction of taxes that a shareholder would pay on fund
distributions or redemption of fund shares.
7
<Page>
JPMORGAN
EQUITY GROWTH FUND
AS OF DECEMBER 31, 2004 (Unaudited)
FUND FACTS
<Table>
Fund Inception 3/29/1988
Fiscal Year End DECEMBER 31
Net Assets as of 12/31/2004
(In Millions) $52.0
Primary Benchmark RUSSELL 1000
GROWTH INDEX
</Table>
Q: HOW DID THE FUND PERFORM?
A: The JPMorgan Equity Growth Fund, which seeks to provide capital
appreciation (producing current income is a secondary objective), returned
4.5% (Select shares) during the year ended December 31, 2004, while its
benchmark, the Russell 1000 Growth Index, returned 6.3%.
Q: WHY DID THE FUND PERFORM THIS WAY?
A: For the year, the Fund's performance benefited from solid stock selection
within the capital markets, media and network technology sectors. At the
stock-specific level, aiding performance the most was a position in
Sepracor, the drug maker, whose stock rose sharply owing to optimism about
its new insomnia medication, Lunesta. Most recently, the stock received an
incremental boost due to favorable Food and Drug Administration labeling
for Lunesta. Additionally, our overweight position in the Chicago
Mercantile Exchange contributed positively to performance as trading
volumes grew dramatically in 2004 over 2003. The Fund's holding in Yahoo
also added value as Internet advertising rebounded strongly in 2004.
Elsewhere within the portfolio, positions in Legg Mason, Freddie Mac and 3M
contributed solidly to performance.
On the other hand, stock picking within the health services and systems,
semiconductors and pharma/medical technology sectors detracted from
results. Our overweight positions in Forest Labs and Omnicare negatively
impacted performance. Forest Labs stock declined on news that orders were
down and that its once promising drug, Neramexane, did not pass its first
trials for statistical significance. However, we maintain our overweight
position, as Forest Labs generates substantial cash flow, is cheap relative
to our forecasts for earnings growth and will potentially buy back a
substantial amount of shares. Omnicare, a pharmacy services company to
long-term care facilities, saw its stock fall on an announced change in
Medicare reimbursement procedures.
Q: HOW WAS THE FUND MANAGED?
A: At a high level, we continued to manage the Portfolio with a largely
sector-neutral, style-consistent approach. Driving our investment results
were the stock selections of our experienced growth portfolio management
team, which utilizes the proven insights of our team of global equity
analysts. At the stock-specific level, the Portfolio continued to
concentrate on consistent growth companies with strong business franchises
and reasonable valuations, cyclical growers with favorable supply/demand
characteristics, strong secular growers and opportunistic deep-value
companies.
8
<Page>
[CHART]
PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS
<Table>
Technology 33.4%
Consumer Goods & Services 23.2%
Pharmaceuticals 14.7%
Finance & Insurance 8.6%
Industrial Products & Services 7.4%
Health Services & Systems 6.3%
Telecommunications 2.9%
Energy 2.5%
Short-Term Investments 1.0%
</Table>
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO
<Table>
1. Johnson & Johnson 3.9%
2. Microsoft Corp. 3.8%
3. Procter & Gamble Co. 2.8%
4. Pfizer, Inc. 2.8%
5. Dell, Inc. 2.6%
6. Home Depot, Inc. 2.4%
7. Cisco Systems, Inc. 2.2%
8. Intel Corp. 2.0%
9. The Coca-Cola Co. 2.0%
10. Wal-Mart Stores, Inc. 1.9%
</Table>
Top 10 equity holdings comprised 26.4% of the Portfolio's market value of
investments ($13,743 in thousands). As of December 31, 2004 the Fund held 102
equity holdings. Portfolio holdings are subject to change at any time.
9
<Page>
AVERAGE ANNUAL TOTAL RETURNS AS OF DECEMBER 31, 2004
<Table>
<Caption>
1 YEAR 3 YEARS 5 YEARS 10 YEARS
------------------------------------------------------------
CLASS A SHARES
Without Sales Charge 4.21% (3.41%) (11.10%) 7.93%
With Sales Charge* (1.27%) (5.13%) (12.05%) 7.36%
CLASS B SHARES
Without CDSC 3.44% (4.11%) (11.59%) 7.64%
With CDSC** (1.56%) (5.08%) (11.86%) 7.64%
CLASS C SHARES
Without CDSC 3.45% (4.09%) (11.60%) 7.63%
With CDSC*** 2.45% (4.09%) (11.60%) 7.63%
SELECT SHARES 4.47% (3.17%) (10.87%) 8.11%
</Table>
* Sales Charge for Class A Shares is 5.25%.
** Assumes 5% CDSC (contingent deferred sales charge) for the one year period,
3% CDSC for the three year period, 2% CDSC for the 5 year period and 0%
CDSC for the ten year period.
*** Assumes 1% CDSC for the one year period and 0% CDSC thereafter.
[CHART]
TEN-YEAR FUND PERFORMANCE (12/31/94 TO 12/31/04)
<Table>
<Caption>
JPMORGAN EQUITY GROWTH FUND LIPPER LARGE-CAP GROWTH
(SELECT SHARES) RUSSELL 1000 GROWTH INDEX FUNDS INDEX
Dec-1994 $ 1,000,000 $ 1,000,000 $ 1,000,000
Jan-1995 $ 1,009,800 $ 1,021,300 $ 1,007,800
Feb-1995 $ 1,041,811 $ 1,064,092 $ 1,042,468
Mar-1995 $ 1,069,419 $ 1,095,164 $ 1,072,074
Apr-1995 $ 1,081,396 $ 1,119,148 $ 1,101,342
May-1995 $ 1,107,998 $ 1,158,206 $ 1,137,796
Jun-1995 $ 1,158,966 $ 1,202,913 $ 1,195,938
Jul-1995 $ 1,211,583 $ 1,252,954 $ 1,260,997
Aug-1995 $ 1,212,674 $ 1,254,333 $ 1,268,058
Sep-1995 $ 1,232,198 $ 1,312,157 $ 1,315,103
Oct-1995 $ 1,225,174 $ 1,313,076 $ 1,307,607
Nov-1995 $ 1,254,946 $ 1,364,154 $ 1,348,797
Dec-1995 $ 1,258,209 $ 1,371,930 $ 1,349,337
Jan-1996 $ 1,293,439 $ 1,417,890 $ 1,389,007
Feb-1996 $ 1,321,118 $ 1,443,837 $ 1,420,260
Mar-1996 $ 1,327,064 $ 1,445,714 $ 1,420,970
Apr-1996 $ 1,369,928 $ 1,483,736 $ 1,454,789
May-1996 $ 1,407,327 $ 1,535,519 $ 1,497,705
Jun-1996 $ 1,386,217 $ 1,537,669 $ 1,484,226
Jul-1996 $ 1,301,658 $ 1,447,561 $ 1,404,820
Aug-1996 $ 1,340,707 $ 1,484,908 $ 1,446,964
Sep-1996 $ 1,413,374 $ 1,593,010 $ 1,547,673
Oct-1996 $ 1,436,694 $ 1,602,568 $ 1,567,019
Nov-1996 $ 1,533,240 $ 1,722,920 $ 1,668,405
Dec-1996 $ 1,516,375 $ 1,689,151 $ 1,627,029
Jan-1997 $ 1,651,938 $ 1,807,561 $ 1,730,182
Feb-1997 $ 1,657,390 $ 1,795,269 $ 1,705,268
Mar-1997 $ 1,566,233 $ 1,698,145 $ 1,617,958
Apr-1997 $ 1,694,195 $ 1,810,902 $ 1,706,784
May-1997 $ 1,803,131 $ 1,941,649 $ 1,822,674
Jun-1997 $ 1,881,748 $ 2,019,315 $ 1,899,044
Jul-1997 $ 2,047,718 $ 2,197,823 $ 2,080,593
Aug-1997 $ 1,914,821 $ 2,069,250 $ 1,967,201
Sep-1997 $ 2,037,370 $ 2,171,057 $ 2,075,790
Oct-1997 $ 1,961,987 $ 2,090,728 $ 2,003,760
Nov-1997 $ 2,049,295 $ 2,179,584 $ 2,048,244
Dec-1997 $ 2,080,240 $ 2,203,995 $ 2,076,100
Jan-1998 $ 2,128,501 $ 2,269,895 $ 2,112,847
Feb-1998 $ 2,261,320 $ 2,440,591 $ 2,274,268
Mar-1998 $ 2,348,607 $ 2,537,970 $ 2,380,022
Apr-1998 $ 2,388,768 $ 2,572,994 $ 2,420,006
May-1998 $ 2,361,536 $ 2,499,921 $ 2,365,798
Jun-1998 $ 2,543,138 $ 2,653,167 $ 2,501,122
Jul-1998 $ 2,529,151 $ 2,635,656 $ 2,499,871
Aug-1998 $ 2,159,642 $ 2,240,044 $ 2,091,642
Sep-1998 $ 2,308,441 $ 2,412,079 $ 2,243,705
Oct-1998 $ 2,486,884 $ 2,606,010 $ 2,388,424
Nov-1998 $ 2,666,437 $ 2,804,328 $ 2,552,508
Dec-1998 $ 2,940,813 $ 3,057,278 $ 2,833,284
Jan-1999 $ 3,174,020 $ 3,236,740 $ 3,017,164
Feb-1999 $ 3,032,458 $ 3,088,821 $ 2,893,159
Mar-1999 $ 3,191,966 $ 3,251,602 $ 3,057,490
Apr-1999 $ 3,099,718 $ 3,255,829 $ 3,067,886
May-1999 $ 3,038,963 $ 3,155,875 $ 2,966,339
Jun-1999 $ 3,288,766 $ 3,376,786 $ 3,172,499
Jul-1999 $ 3,201,614 $ 3,269,405 $ 3,072,883
Aug-1999 $ 3,209,938 $ 3,322,696 $ 3,073,497
Sep-1999 $ 3,168,851 $ 3,252,919 $ 3,042,455
Oct-1999 $ 3,403,663 $ 3,498,515 $ 3,275,811
Nov-1999 $ 3,548,659 $ 3,687,085 $ 3,437,636
Dec-1999 $ 3,876,910 $ 4,070,541 $ 3,819,558
Jan-2000 $ 3,719,895 $ 3,879,633 $ 3,666,394
Feb-2000 $ 3,933,417 $ 4,069,347 $ 3,859,246
Mar-2000 $ 4,148,181 $ 4,360,712 $ 4,130,165
Apr-2000 $ 3,961,928 $ 4,153,142 $ 3,810,490
May-2000 $ 3,618,033 $ 3,943,824 $ 3,591,006
Jun-2000 $ 3,951,253 $ 4,242,766 $ 3,828,371
Jul-2000 $ 3,834,691 $ 4,065,843 $ 3,750,656
Aug-2000 $ 4,110,789 $ 4,433,801 $ 4,075,087
Sep-2000 $ 3,602,696 $ 4,014,364 $ 3,764,158
Oct-2000 $ 3,419,318 $ 3,824,484 $ 3,565,034
Nov-2000 $ 3,023,703 $ 3,260,755 $ 3,086,607
Dec-2000 $ 2,960,508 $ 3,157,715 $ 3,067,470
Jan-2001 $ 3,108,533 $ 3,375,914 $ 3,156,733
Feb-2001 $ 2,667,432 $ 2,802,683 $ 2,668,071
Mar-2001 $ 2,412,959 $ 2,497,751 $ 2,390,858
Apr-2001 $ 2,691,415 $ 2,813,717 $ 2,647,636
May-2001 $ 2,655,888 $ 2,772,355 $ 2,627,514
Jun-2001 $ 2,620,299 $ 2,708,037 $ 2,551,842
Jul-2001 $ 2,573,658 $ 2,640,336 $ 2,460,486
Aug-2001 $ 2,384,751 $ 2,424,356 $ 2,273,489
Sep-2001 $ 2,139,599 $ 2,182,406 $ 2,044,776
Oct-2001 $ 2,252,142 $ 2,296,982 $ 2,129,634
Nov-2001 $ 2,398,982 $ 2,517,722 $ 2,324,709
Dec-2001 $ 2,401,860 $ 2,512,938 $ 2,335,402
Jan-2002 $ 2,372,798 $ 2,468,459 $ 2,282,622
Feb-2002 $ 2,301,851 $ 2,366,018 $ 2,188,122
Mar-2002 $ 2,343,515 $ 2,447,882 $ 2,276,084
Apr-2002 $ 2,126,505 $ 2,248,135 $ 2,124,497
May-2002 $ 2,089,291 $ 2,193,730 $ 2,085,831
Jun-2002 $ 1,892,480 $ 1,990,810 $ 1,916,044
Jul-2002 $ 1,803,723 $ 1,881,316 $ 1,771,766
Aug-2002 $ 1,816,349 $ 1,886,960 $ 1,781,511
Sep-2002 $ 1,612,736 $ 1,691,282 $ 1,608,883
Oct-2002 $ 1,784,976 $ 1,846,372 $ 1,732,767
Nov-2002 $ 1,876,724 $ 1,946,630 $ 1,804,503
Dec-2002 $ 1,728,275 $ 1,812,118 $ 1,678,729
Jan-2003 $ 1,681,266 $ 1,768,084 $ 1,639,951
Feb-2003 $ 1,673,869 $ 1,759,951 $ 1,622,403
Mar-2003 $ 1,721,574 $ 1,792,686 $ 1,652,904
Apr-2003 $ 1,843,806 $ 1,925,165 $ 1,773,897
May-2003 $ 1,903,361 $ 2,021,231 $ 1,860,818
Jun-2003 $ 1,910,022 $ 2,049,124 $ 1,876,263
Jul-2003 $ 1,950,324 $ 2,100,147 $ 1,930,674
Aug-2003 $ 1,976,458 $ 2,152,441 $ 1,978,169
Sep-2003 $ 1,925,663 $ 2,129,410 $ 1,936,034
Oct-2003 $ 2,027,723 $ 2,249,083 $ 2,053,551
Nov-2003 $ 2,042,728 $ 2,272,698 $ 2,073,060
Dec-2003 $ 2,086,647 $ 2,351,333 $ 2,131,520
Jan-2004 $ 2,102,297 $ 2,399,300 $ 2,172,445
Feb-2004 $ 2,114,911 $ 2,414,656 $ 2,181,787
Mar-2004 $ 2,099,260 $ 2,369,985 $ 2,157,351
Apr-2004 $ 2,058,325 $ 2,342,493 $ 2,109,026
May-2004 $ 2,110,606 $ 2,386,063 $ 2,147,200
Jun-2004 $ 2,138,255 $ 2,415,889 $ 2,177,905
Jul-2004 $ 1,985,370 $ 2,279,391 $ 2,049,190
Aug-2004 $ 1,968,891 $ 2,268,222 $ 2,034,641
Sep-2004 $ 1,989,762 $ 2,289,771 $ 2,082,252
Oct-2004 $ 2,022,593 $ 2,325,491 $ 2,107,447
Nov-2004 $ 2,098,642 $ 2,405,488 $ 2,201,439
Dec-2004 $ 2,180,854 $ 2,499,783 $ 2,290,377
</Table>
SOURCE: LIPPER, INC. THE PERFORMANCE QUOTED IS PAST PERFORMANCE AND IS 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.
CURRENT PERFORMANCE MAY BE HIGHER OR LOWER THAN THE PERFORMANCE DATA SHOWN. FOR
UP-TO-DATE MONTH-END PERFORMANCE INFORMATION PLEASE CALL 1-800-480-4111.
The Fund commenced operations on 3/29/88.
Returns for the Class A Shares prior to 8/13/98 (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.
Returns for the Class B and C Shares prior to 2/16/01 (offering date of the
Class B and C Shares) are calculated using the historical expenses of the Class
A Shares, which are lower than the expenses of the Class B and C Shares.
JPMorgan Equity Growth Fund, formerly Chase Equity Growth Fund, is the successor
to the AVESTA Trust Equity Growth Fund. Effective 12/31/97, the AVESTA Trust was
converted from a Texas Trust to Mutual Fund Investment Trust ("MFIT"), a
Massachusetts business trust.
The graph illustrates comparative performance for $1,000,000 invested in Select
Shares of the JPMorgan Equity Growth Fund, Russell 1000 Growth Index, and Lipper
Large-Cap Growth Funds Index from December 31, 1994 to December 31, 2004. The
performance of the fund assumes reinvestment of all dividend and capital gains
and does not include a sales charge. The performance of the indices does not
include a sales charge and has been adjusted to reflect reinvestment of all
dividends and capital gains of the securities included in the benchmark. The
Russell 1000 Growth Index measures the performance of those Russell 1000
companies with higher price-to-book ratios and higher forecasted growth values.
The Lipper Large-Cap Growth Funds Index represents the total returns of the
funds in the indicated category, as defined by Lipper, Inc. Investors cannot
invest directly in an index.
Select Shares have a $1,000,000 minimum initial deposit and carry no sales
charge.
Certain fees and expenses of the Fund are currently being waived and reimbursed
as described in the prospectus. Had the expenses not been subsidized or waived,
returns would have been lower. Also all performance shown in this section does
not reflect the deduction of taxes that a shareholder would pay on fund
distributions or redemption of fund shares.
10
<Page>
JPMORGAN
EQUITY INCOME FUND
AS OF DECEMBER 31, 2004 (Unaudited)
FUND FACTS
<Table>
Fund Inception 3/29/1988
Fiscal Year End DECEMBER 31
Net Assets as of 12/31/2004
(In Millions) $64.1
Primary Benchmark RUSSELL 1000
VALUE INDEX
</Table>
Q: HOW DID THE FUND PERFORM?
A: The JPMorgan Equity Income Fund, which seeks to invest in securities that
provide both capital appreciation and current income, rose 18.0% (Select
shares) during the year ended December 31, 2004. The Fund had a strong
period of performance and outperformed its benchmark, the Russell 1000
Value Index, which gained 16.5%.
Q: WHY DID THE FUND PERFORM IN THIS WAY?
A: The market advanced and recorded another year of gains as strong earnings
growth and healthy corporate balance sheets kept investors' minds off
increasing short-term interest rates, high oil prices and the twin
deficits. Federal Reserve Chairman Greenspan raised the federal funds rate
five times since June, while long-term interest rates declined resulting in
a flattening of the yield curve. Energy was the best performing sector of
the market, as companies benefited from high oil and natural gas prices.
Health care was the worst performing sector as investors were concerned by
a diminishing pipeline in the big pharmaceutical space and increasing
headline risk. Small caps continued to beat large caps as the S&P SmallCap
Index returned 22.6% over the year.
Stock selection in the Fund's financial and consumer discretionary holdings
helped the portfolio outperform over the period. Two top contributors were
ExxonMobil and ConocoPhilips as both companies benefited from increasing
oil prices.
Despite the Fund's outperformance, a number of individual holdings
performed poorly over the period. Pfizer, one of the portfolio's largest
detractors, plunged after announcing risks related to its blockbuster
painkiller, Celebrex. Another detractor, also a main headline in the news,
was insurance broker Marsh & McLennan Companies. Shares of the company
plummeted after New York State Attorney General Eliot Spitzer named the
company in a high profile suit alleging it steered clients to insurers with
whom it had lucrative payoff agreements.
Q: HOW WAS THE FUND MANAGED?
A: The Portfolio Manager's focus remains on stock selection, believing that
quality companies trading at attractive valuations will outperform in the
long-term. The Fund continues to focus on stocks that have above-average
dividend yields. The Portfolio Manager sought to maintain significant
sector diversification in the Portfolio and to avoid any large bets
contingent on macroeconomic or sector trends.
11
<Page>
[CHART]
PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS
<Table>
Finance & Insurance 35.1%
Consumer Goods & Services 11.9%
Utilities 11.6%
Energy 11.0%
Industrial Products & Services 8.2%
Telecommunications 7.9%
REITs 5.9%
Short-Term Investments 3.4%
Technology 3.4%
Pharmaceuticals 1.6%
</Table>
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO
<Table>
1. ExxonMobil Corp. 4.5%
2. Citigroup, Inc. 4.4%
3. Bank of America Corp. 3.8%
4. General Electric Co. 3.2%
5. Wachovia Corp. 2.9%
6. Chubb Corp. 2.9%
7. Alltel Corp. 2.8%
8. ChevronTexaco Corp. 2.7%
9. Verizon Communications, Inc. 2.5%
10. ConocoPhillips 2.5%
</Table>
Top 10 equity holdings comprised 32.2% of the Portfolio's market value of
investments ($20,613 in thousands). As of December 31, 2004 the Fund held 79
equity holdings. Portfolio holdings are subject to change at any time.
12
<Page>
AVERAGE ANNUAL TOTAL RETURNS AS OF DECEMBER 31, 2004
<Table>
<Caption>
1 YEAR 3 YEARS 5 YEARS 10 YEARS
------------------------------------------------------------
CLASS A SHARES
Without Sales Charge 17.55% 4.49% (0.93%) 10.85%
With Sales Charge* 11.38% 2.63% (1.99%) 10.26%
CLASS B SHARES
Without CDSC 16.96% 3.94% (1.32%) 10.63%
With CDSC** 11.96% 3.01% (1.59%) 10.63%
CLASS C SHARES
Without CDSC 16.96% 3.95% (1.32%) 10.63%
With CDSC*** 15.96% 3.95% (1.32%) 10.63%
SELECT SHARES 17.95% 4.84% (0.60%) 11.08%
</Table>
* Sales Charge for Class A Shares is 5.25%.
** 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 1% CDSC for the one year period and 0% CDSC thereafter.
[CHART]
TEN-YEAR FUND PERFORMANCE (12/31/94 TO 12/31/04)
<Table>
<Caption>
JPMORGAN EQUITY INCOME FUND LIPPER EQUITY INCOME
(SELECT SHARES) RUSSELL 1000 VALUE INDEX FUNDS INDEX
Dec-1994 $ 1,000,000 $ 1,000,000 $ 1,000,000
Jan-1995 $ 1,020,700 $ 1,030,800 $ 1,017,900
Feb-1995 $ 1,054,791 $ 1,071,517 $ 1,050,676
Mar-1995 $ 1,083,798 $ 1,094,983 $ 1,075,472
Apr-1995 $ 1,117,288 $ 1,129,584 $ 1,101,284
May-1995 $ 1,150,806 $ 1,177,140 $ 1,135,093
Jun-1995 $ 1,165,882 $ 1,193,031 $ 1,150,190
Jul-1995 $ 1,215,082 $ 1,234,549 $ 1,181,705
Aug-1995 $ 1,220,671 $ 1,251,956 $ 1,196,240
Sep-1995 $ 1,271,451 $ 1,297,277 $ 1,233,443
Oct-1995 $ 1,253,524 $ 1,284,434 $ 1,215,928
Nov-1995 $ 1,299,904 $ 1,349,554 $ 1,267,119
Dec-1995 $ 1,336,821 $ 1,383,428 $ 1,298,417
Jan-1996 $ 1,367,568 $ 1,426,591 $ 1,328,150
Feb-1996 $ 1,375,363 $ 1,437,433 $ 1,337,846
Mar-1996 $ 1,399,982 $ 1,461,870 $ 1,354,703
Apr-1996 $ 1,408,942 $ 1,467,425 $ 1,367,166
May-1996 $ 1,433,035 $ 1,485,767 $ 1,387,400
Jun-1996 $ 1,438,624 $ 1,486,956 $ 1,389,481
Jul-1996 $ 1,379,928 $ 1,430,749 $ 1,344,045
Aug-1996 $ 1,409,597 $ 1,471,669 $ 1,374,420
Sep-1996 $ 1,476,130 $ 1,530,241 $ 1,424,999
Oct-1996 $ 1,512,442 $ 1,589,461 $ 1,458,629
Nov-1996 $ 1,602,886 $ 1,704,697 $ 1,541,917
Dec-1996 $ 1,576,118 $ 1,682,877 $ 1,532,049
Jan-1997 $ 1,674,941 $ 1,764,497 $ 1,588,122
Feb-1997 $ 1,679,463 $ 1,790,435 $ 1,610,038
Mar-1997 $ 1,619,170 $ 1,725,979 $ 1,557,872
Apr-1997 $ 1,718,588 $ 1,798,470 $ 1,604,297
May-1997 $ 1,805,720 $ 1,899,005 $ 1,696,705
Jun-1997 $ 1,895,103 $ 1,980,472 $ 1,760,840
Jul-1997 $ 2,038,183 $ 2,129,404 $ 1,866,843
Aug-1997 $ 1,921,395 $ 2,053,597 $ 1,807,104
Sep-1997 $ 2,010,164 $ 2,177,634 $ 1,898,724
Oct-1997 $ 1,952,673 $ 2,116,878 $ 1,843,091
Nov-1997 $ 2,027,461 $ 2,210,444 $ 1,904,282
Dec-1997 $ 2,065,374 $ 2,274,989 $ 1,948,271
Jan-1998 $ 2,083,756 $ 2,242,684 $ 1,947,491
Feb-1998 $ 2,212,324 $ 2,393,617 $ 2,052,656
Mar-1998 $ 2,310,330 $ 2,540,106 $ 2,145,641
Apr-1998 $ 2,350,067 $ 2,557,125 $ 2,144,568
May-1998 $ 2,303,536 $ 2,519,279 $ 2,118,190
Jun-1998 $ 2,384,620 $ 2,551,526 $ 2,135,348
Jul-1998 $ 2,356,482 $ 2,506,619 $ 2,080,256
Aug-1998 $ 2,053,674 $ 2,133,634 $ 1,829,377
Sep-1998 $ 2,192,092 $ 2,256,105 $ 1,923,407
Oct-1998 $ 2,351,237 $ 2,430,953 $ 2,037,080
Nov-1998 $ 2,489,961 $ 2,544,236 $ 2,123,249
Dec-1998 $ 2,605,993 $ 2,630,740 $ 2,177,604
Jan-1999 $ 2,617,980 $ 2,651,785 $ 2,174,773
Feb-1999 $ 2,602,796 $ 2,614,395 $ 2,134,539
Mar-1999 $ 2,674,633 $ 2,668,513 $ 2,179,578
Apr-1999 $ 2,819,331 $ 2,917,752 $ 2,334,328
May-1999 $ 2,756,460 $ 2,885,657 $ 2,301,648
Jun-1999 $ 2,878,571 $ 2,969,341 $ 2,374,150
Jul-1999 $ 2,815,242 $ 2,882,339 $ 2,314,084
Aug-1999 $ 2,829,319 $ 2,775,405 $ 2,260,166
Sep-1999 $ 2,729,727 $ 2,678,265 $ 2,180,156
Oct-1999 $ 2,855,294 $ 2,832,534 $ 2,253,627
Nov-1999 $ 2,874,139 $ 2,810,440 $ 2,241,007
Dec-1999 $ 2,946,567 $ 2,823,930 $ 2,268,795
Jan-2000 $ 2,876,144 $ 2,731,870 $ 2,182,808
Feb-2000 $ 2,781,519 $ 2,528,892 $ 2,059,916
Mar-2000 $ 3,025,180 $ 2,837,417 $ 2,250,458
Apr-2000 $ 2,988,575 $ 2,804,503 $ 2,233,354
May-2000 $ 2,941,655 $ 2,833,950 $ 2,267,078
Jun-2000 $ 2,989,015 $ 2,704,438 $ 2,218,336
Jul-2000 $ 2,945,077 $ 2,738,244 $ 2,231,202
Aug-2000 $ 3,102,933 $ 2,890,490 $ 2,361,951
Sep-2000 $ 2,950,269 $ 2,917,083 $ 2,356,754
Oct-2000 $ 2,980,657 $ 2,988,843 $ 2,406,246
Nov-2000 $ 2,811,355 $ 2,877,957 $ 2,321,546
Dec-2000 $ 2,833,003 $ 3,022,143 $ 2,437,856
Jan-2001 $ 2,845,751 $ 3,033,929 $ 2,458,090
Feb-2001 $ 2,645,979 $ 2,949,586 $ 2,375,990
Mar-2001 $ 2,497,540 $ 2,845,465 $ 2,289,029
Apr-2001 $ 2,675,864 $ 2,984,893 $ 2,407,829
May-2001 $ 2,679,878 $ 3,052,053 $ 2,449,725
Jun-2001 $ 2,583,939 $ 2,984,298 $ 2,388,972
Jul-2001 $ 2,598,409 $ 2,978,031 $ 2,386,344
Aug-2001 $ 2,436,008 $ 2,858,612 $ 2,307,595
Sep-2001 $ 2,283,270 $ 2,657,365 $ 2,148,602
Oct-2001 $ 2,309,300 $ 2,634,512 $ 2,159,560
Nov-2001 $ 2,458,480 $ 2,787,577 $ 2,270,993
Dec-2001 $ 2,480,607 $ 2,853,364 $ 2,310,962
Jan-2002 $ 2,437,692 $ 2,831,393 $ 2,288,315
Feb-2002 $ 2,439,399 $ 2,835,923 $ 2,291,747
Mar-2002 $ 2,558,929 $ 2,970,062 $ 2,378,605
Apr-2002 $ 2,403,602 $ 2,868,189 $ 2,297,494
May-2002 $ 2,404,323 $ 2,882,530 $ 2,299,562
Jun-2002 $ 2,214,622 $ 2,717,073 $ 2,155,379
Jul-2002 $ 2,001,354 $ 2,464,385 $ 1,982,302
Aug-2002 $ 2,032,175 $ 2,483,115 $ 1,996,971
Sep-2002 $ 1,788,314 $ 2,206,992 $ 1,789,087
Oct-2002 $ 1,907,058 $ 2,370,530 $ 1,897,505
Nov-2002 $ 1,991,541 $ 2,519,874 $ 2,006,422
Dec-2002 $ 1,958,083 $ 2,410,511 $ 1,931,382
Jan-2003 $ 1,899,928 $ 2,352,177 $ 1,877,690
Feb-2003 $ 1,863,639 $ 2,289,374 $ 1,831,311
Mar-2003 $ 1,864,944 $ 2,293,266 $ 1,833,874
Apr-2003 $ 1,989,522 $ 2,495,073 $ 1,974,349
May-2003 $ 2,115,856 $ 2,656,255 $ 2,092,810
Jun-2003 $ 2,138,919 $ 2,689,458 $ 2,114,785
Jul-2003 $ 2,142,342 $ 2,729,531 $ 2,138,470
Aug-2003 $ 2,167,193 $ 2,772,112 $ 2,170,333
Sep-2003 $ 2,168,926 $ 2,744,945 $ 2,155,792
Oct-2003 $ 2,261,973 $ 2,912,936 $ 2,263,151
Nov-2003 $ 2,301,558 $ 2,952,551 $ 2,291,440
Dec-2003 $ 2,423,310 $ 3,134,429 $ 2,430,531
Jan-2004 $ 2,467,415 $ 3,189,595 $ 2,468,204
Feb-2004 $ 2,516,763 $ 3,257,852 $ 2,514,853
Mar-2004 $ 2,509,968 $ 3,229,183 $ 2,486,435
Apr-2004 $ 2,428,645 $ 3,150,391 $ 2,444,663
May-2004 $ 2,475,760 $ 3,182,525 $ 2,460,309
Jun-2004 $ 2,538,397 $ 3,257,632 $ 2,516,650
Jul-2004 $ 2,549,820 $ 3,211,700 $ 2,463,297
Aug-2004 $ 2,612,035 $ 3,257,306 $ 2,488,422
Sep-2004 $ 2,636,066 $ 3,307,794 $ 2,524,256
Oct-2004 $ 2,678,243 $ 3,362,703 $ 2,552,023
Nov-2004 $ 2,786,444 $ 3,532,856 $ 2,666,098
Dec-2004 $ 2,859,106 $ 3,651,207 $ 2,746,881
</Table>
SOURCE: LIPPER, INC. THE PERFORMANCE QUOTED IS PAST PERFORMANCE AND IS 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.
CURRENT PERFORMANCE MAY BE HIGHER OR LOWER THAN THE PERFORMANCE DATA SHOWN. FOR
UP-TO-DATE MONTH-END PERFORMANCE INFORMATION PLEASE CALL 1-800-480-4111.
The Fund commenced operations on 3/29/88.
Returns for the Class A Shares prior to 8/24/98 (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.
Returns for the Class B and C Shares prior to 2/16/01 (offering date of the
Class B and C Shares) are calculated using the historical expenses of the Class
A Shares, which are lower than the expenses of the Class B and C Shares.
JPMorgan Equity Income Fund, formerly Chase Equity Income Fund, is the successor
to the AVESTA Trust Equity Fund. Effective 12/31/97, the AVESTA Trust was
converted from a Texas Trust to Mutual Fund Investment Trust ("MFIT"), a
Massachusetts business trust.
The graph illustrates comparative performance for $1,000,000 invested in Select
Shares of the JPMorgan Equity Income Fund, Russell 1000 Value Index, and Lipper
Equity Income Funds Index from December 31, 1994 to December 31, 2004. The
performance of the Fund assumes reinvestment of all dividends 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 those Russell 1000 companies with lower
price-to-book ratios and lower forecasted growth values. The Lipper Equity
Income Funds Index represents the total returns of the funds in the indicated
category, as defined by Lipper, Inc. Investors cannot invest directly in an
index.
Select Shares have a $1,000,000 minimum initial deposit and carry no sales
charge.
Certain fees and expenses of the Fund are currently being waived and reimbursed
as described in the prospectus. Had the expenses not been subsidized or waived,
returns would have been lower. Also all performance shown in this section does
not reflect the deduction of taxes that a shareholder would pay on fund
distributions or redemption of fund shares.
13
<Page>
JPMORGAN
U.S. EQUITY FUND
AS OF DECEMBER 31, 2004 (Unaudited)
FUND FACTS
<Table>
Fund Inception 9/17/1993
Fiscal Year End DECEMBER 31
Net Assets as of 12/31/2004
(In Millions) $485.5
Primary Benchmark S&P 500 INDEX
</Table>
Q: HOW DID THE FUND PERFORM?
A: JPMorgan U.S. Equity Fund, which seeks to provide high total return from a
portfolio of selected equity securities, returned 11.0% (Institutional
shares) during the year ended December 31, 2004, while its benchmark, the
S&P 500 Index, returned 10.9%.
Q: WHY DID THE FUND PERFORM THIS WAY?
A: For the year, the Fund's performance benefited from solid stock selection
within the finance, industrial, cyclical and insurance sectors. At the
stock-specific level, aiding performance the most was a position in
Sepracor, the drug maker, whose stock rose sharply as a result of optimism
about its new insomnia medication, Lunesta. Most recently, the stock
received an incremental boost owing to favorable Food and Drug
Administration labeling for Lunesta. Additionally, our overweight position
in Tyco positively contributed to performance, underscoring our conviction
in the powerful cash flow generation of capital goods companies as demand
recovers. Tyco increased its dividend faster and at a higher rate than the
market had expected as the new management team continues to execute well.
An underweight position in Merck also proved to be prudent when the drug
maker pulled its pain reliever, Vioxx, from the market after a new study
found increased risk of heart attacks and strokes when using the drug.
Elsewhere within the portfolio, overweight positions in Altera, Freddie Mac
and Ambac Financial Group contributed strongly to performance.
On the other hand, stock picking within the software and services, media
and consumer staple sectors detracted from results. Within the media
sector, the Portfolio's holding in media giant Viacom has continued to be a
drag on performance. New management in Viacom's Paramount film division, as
well as renewed focus on its cable and radio properties, gives us
conviction that our patience will be well rewarded. Our overweight in
Forest Labs also negatively impacted performance as its stock fell on news
that orders were down and that its once promising drug, Neramexane, did not
pass its first trials for statistical significance. That said, we have
maintained our overweight position, as Forest Labs generates substantial
cash flow, is cheap relative to our forecasts for earnings growth and will
potentially buy back a substantial amount of shares.
Q: HOW WAS THE FUND MANAGED?
A: At a high level, we continued to manage the Portfolio with a largely
sector-neutral, style-consistent approach, driven by the stock selection
insights of our fundamental research analysts. At the stock-specific level,
the Portfolio concentrated in names within each sector that our analysts
deemed to be inexpensive relative to their sector peers, and to their
long-term earnings and cash flow forecasts.
14
<Page>
[CHART]
PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS
<Table>
Consumer Goods & Services 22.5%
Finance & Insurance 20.5%
Technology 15.0%
Industrial Products & Services 14.2%
Pharmaceuticals 9.2%
Energy 6.9%
Health Services & Systems 3.3%
Telecommunications 3.3%
Short-Term Investments 2.9%
Utilities 2.2%
</Table>
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO
<Table>
1. Citigroup, Inc. 4.4%
2. General Electric Co. 3.9%
3. ExxonMobil Corp. 2.9%
4. Morgan Stanley 2.9%
5. Tyco International LTD
(Bermuda) 2.7%
6. Microsoft Corp. 2.5%
7. Procter & Gamble Co. 2.3%
8. Johnson & Johnson 2.1%
9. Viacom, Inc., Class B 1.9%
10. The Coca-Cola Co. 1.8%
</Table>
Top 10 equity holdings comprised 27.4% of the Portfolio's market value of
investments ($138,458 in thousands). As of December 31, 2004 the Fund held 110
equity holdings. Portfolio holdings are subject to change at any time.
15
<Page>
AVERAGE ANNUAL TOTAL RETURNS AS OF DECEMBER 31, 2004
<Table>
<Caption>
1 YEAR 3 YEARS 5 YEARS 10 YEARS
------------------------------------------------------------
CLASS A SHARES
Without Sales Charge 10.50% 2.25% (2.08%) 10.22%
With Sales Charge* 4.74% 0.42% (3.13%) 9.63%
CLASS B SHARES
Without CDSC 9.74% 1.55% (2.54%) 9.96%
With CDSC** 4.74% 0.57% (2.75%) 9.96%
CLASS C SHARES
Without CDSC 9.74% 1.52% (2.53%) 9.96%
With CDSC*** 8.74% 1.52% (2.53%) 9.96%
INSTITUTIONAL SHARES 10.96% 2.65% (1.68%) 10.55%
SELECT SHARES 10.80% 2.50% (1.85%) 10.35%
</Table>
* Sales Charge for Class A Shares is 5.25%.
** 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 1% CDSC for the one year period and 0% CDSC thereafter.
[CHART]
TEN-YEAR FUND PERFORMANCE (12/31/94 TO 12/31/04)
<Table>
<Caption>
JPMORGAN U.S. EQUITY FUND LIPPER LARGE-CAP
(INSTITUTIONAL SHARES) S&P 500 INDEX CORE FUNDS INDEX
Dec-1994 $ 3,000,000 $ 3,000,000 $ 3,000,000
Jan-1995 $ 3,066,600 $ 3,077,700 $ 3,052,800
Feb-1995 $ 3,197,237 $ 3,197,730 $ 3,157,816
Mar-1995 $ 3,313,297 $ 3,292,063 $ 3,236,446
Apr-1995 $ 3,385,858 $ 3,389,179 $ 3,307,648
May-1995 $ 3,510,458 $ 3,524,746 $ 3,414,485
Jun-1995 $ 3,565,572 $ 3,606,521 $ 3,504,286
Jul-1995 $ 3,675,748 $ 3,726,257 $ 3,623,782
Aug-1995 $ 3,702,949 $ 3,735,573 $ 3,629,218
Sep-1995 $ 3,804,039 $ 3,893,214 $ 3,764,950
Oct-1995 $ 3,705,895 $ 3,879,198 $ 3,747,632
Nov-1995 $ 3,914,166 $ 4,049,495 $ 3,894,164
Dec-1995 $ 3,984,621 $ 4,127,650 $ 3,952,966
Jan-1996 $ 4,088,221 $ 4,267,990 $ 4,069,183
Feb-1996 $ 4,173,256 $ 4,307,683 $ 4,118,827
Mar-1996 $ 4,251,713 $ 4,349,036 $ 4,156,308
Apr-1996 $ 4,342,700 $ 4,412,967 $ 4,216,575
May-1996 $ 4,402,629 $ 4,526,822 $ 4,300,485
Jun-1996 $ 4,352,439 $ 4,544,024 $ 4,306,505
Jul-1996 $ 4,123,066 $ 4,343,178 $ 4,130,369
Aug-1996 $ 4,266,549 $ 4,434,819 $ 4,224,129
Sep-1996 $ 4,462,383 $ 4,684,499 $ 4,442,938
Oct-1996 $ 4,526,641 $ 4,813,791 $ 4,531,353
Nov-1996 $ 4,911,859 $ 5,177,714 $ 4,824,985
Dec-1996 $ 4,830,322 $ 5,075,195 $ 4,736,205
Jan-1997 $ 5,108,548 $ 5,392,395 $ 4,995,275
Feb-1997 $ 5,129,493 $ 5,434,456 $ 4,989,281
Mar-1997 $ 4,957,142 $ 5,211,100 $ 4,775,740
Apr-1997 $ 5,161,377 $ 5,522,202 $ 5,040,316
May-1997 $ 5,513,383 $ 5,858,504 $ 5,346,263
Jun-1997 $ 5,682,643 $ 6,120,965 $ 5,578,291
Jul-1997 $ 6,179,306 $ 6,608,194 $ 6,018,976
Aug-1997 $ 5,959,941 $ 6,238,135 $ 5,712,610
Sep-1997 $ 6,228,734 $ 6,579,985 $ 6,006,809
Oct-1997 $ 5,982,699 $ 6,360,214 $ 5,821,800
Nov-1997 $ 6,120,900 $ 6,654,692 $ 6,012,172
Dec-1997 $ 6,210,877 $ 6,769,152 $ 6,121,594
Jan-1998 $ 6,248,763 $ 6,844,290 $ 6,182,198
Feb-1998 $ 6,713,671 $ 7,337,763 $ 6,620,516
Mar-1998 $ 7,005,045 $ 7,713,457 $ 6,948,231
Apr-1998 $ 7,153,552 $ 7,791,363 $ 7,018,408
May-1998 $ 7,085,593 $ 7,657,351 $ 6,898,393
Jun-1998 $ 7,183,374 $ 7,968,240 $ 7,226,067
Jul-1998 $ 7,026,058 $ 7,883,776 $ 7,167,536
Aug-1998 $ 5,904,699 $ 6,743,782 $ 6,094,556
Sep-1998 $ 6,380,618 $ 7,176,059 $ 6,397,455
Oct-1998 $ 6,856,612 $ 7,759,472 $ 6,877,264
Nov-1998 $ 7,392,114 $ 8,229,696 $ 7,286,462
Dec-1998 $ 7,749,892 $ 8,703,727 $ 7,770,283
Jan-1999 $ 7,983,939 $ 9,067,542 $ 8,042,243
Feb-1999 $ 7,666,178 $ 8,785,542 $ 7,793,737
Mar-1999 $ 8,011,922 $ 9,136,964 $ 8,107,045
Apr-1999 $ 8,496,644 $ 9,490,564 $ 8,324,314
May-1999 $ 8,407,429 $ 9,266,587 $ 8,103,720
Jun-1999 $ 8,893,378 $ 9,780,882 $ 8,555,908
Jul-1999 $ 8,552,762 $ 9,475,719 $ 8,305,219
Aug-1999 $ 8,340,653 $ 9,428,340 $ 8,220,506
Sep-1999 $ 7,993,682 $ 9,170,004 $ 7,997,730
Oct-1999 $ 8,340,608 $ 9,750,465 $ 8,487,991
Nov-1999 $ 8,547,455 $ 9,948,399 $ 8,695,947
Dec-1999 $ 8,903,029 $ 10,534,360 $ 9,274,228
Jan-2000 $ 8,532,663 $ 10,005,535 $ 8,899,549
Feb-2000 $ 8,316,787 $ 9,816,431 $ 8,896,879
Mar-2000 $ 9,225,812 $ 10,776,477 $ 9,670,018
Apr-2000 $ 8,801,424 $ 10,452,105 $ 9,353,808
May-2000 $ 8,613,074 $ 10,237,837 $ 9,115,286
Jun-2000 $ 8,821,510 $ 10,489,688 $ 9,448,906
Jul-2000 $ 8,801,221 $ 10,326,049 $ 9,301,503
Aug-2000 $ 9,448,991 $ 10,967,297 $ 9,943,306
Sep-2000 $ 9,037,015 $ 10,388,223 $ 9,414,322
Oct-2000 $ 9,037,015 $ 10,344,593 $ 9,305,116
Nov-2000 $ 8,227,298 $ 9,529,439 $ 8,486,266
Dec-2000 $ 8,335,076 $ 9,576,133 $ 8,589,798
Jan-2001 $ 8,738,493 $ 9,916,086 $ 8,832,890
Feb-2001 $ 7,830,564 $ 9,011,739 $ 8,010,548
Mar-2001 $ 7,261,282 $ 8,440,395 $ 7,518,700
Apr-2001 $ 7,924,237 $ 9,096,213 $ 8,090,121
May-2001 $ 8,010,611 $ 9,157,158 $ 8,135,426
Jun-2001 $ 7,852,001 $ 8,934,639 $ 7,919,024
Jul-2001 $ 7,794,681 $ 8,847,079 $ 7,804,198
Aug-2001 $ 7,289,586 $ 8,293,252 $ 7,344,531
Sep-2001 $ 6,618,944 $ 7,623,987 $ 6,787,081
Oct-2001 $ 6,806,260 $ 7,769,605 $ 6,947,256
Nov-2001 $ 7,440,604 $ 8,365,534 $ 7,402,301
Dec-2001 $ 7,558,909 $ 8,439,150 $ 7,485,947
Jan-2002 $ 7,298,127 $ 8,315,939 $ 7,367,669
Feb-2002 $ 7,080,643 $ 8,155,441 $ 7,243,892
Mar-2002 $ 7,416,973 $ 8,462,086 $ 7,490,185
Apr-2002 $ 6,887,401 $ 7,949,283 $ 7,098,448
May-2002 $ 6,793,044 $ 7,890,459 $ 7,046,629
Jun-2002 $ 6,246,204 $ 7,328,658 $ 6,559,707
Jul-2002 $ 5,745,258 $ 6,757,023 $ 6,072,321
Aug-2002 $ 5,781,454 $ 6,801,619 $ 6,122,114
Sep-2002 $ 5,117,743 $ 6,062,283 $ 5,527,657
Oct-2002 $ 5,503,621 $ 6,595,764 $ 5,957,156
Nov-2002 $ 5,918,594 $ 6,984,254 $ 6,223,440
Dec-2002 $ 5,555,192 $ 6,574,279 $ 5,895,465
Jan-2003 $ 5,409,090 $ 6,402,033 $ 5,741,004
Feb-2003 $ 5,329,036 $ 6,306,002 $ 5,664,649
Mar-2003 $ 5,407,906 $ 6,367,170 $ 5,712,232
Apr-2003 $ 5,905,433 $ 6,891,825 $ 6,133,223
May-2003 $ 6,308,183 $ 7,255,024 $ 6,430,684
Jun-2003 $ 6,385,143 $ 7,347,889 $ 6,494,348
Jul-2003 $ 6,458,572 $ 7,477,212 $ 6,596,959
Aug-2003 $ 6,568,368 $ 7,623,017 $ 6,724,280
Sep-2003 $ 6,517,792 $ 7,542,213 $ 6,637,537
Oct-2003 $ 6,907,556 $ 7,969,102 $ 6,962,113
Nov-2003 $ 6,995,972 $ 8,039,231 $ 7,020,594
Dec-2003 $ 7,368,158 $ 8,460,486 $ 7,358,285
Jan-2004 $ 7,508,153 $ 8,615,313 $ 7,462,037
Feb-2004 $ 7,633,539 $ 8,735,066 $ 7,550,089
Mar-2004 $ 7,536,593 $ 8,603,166 $ 7,431,552
Apr-2004 $ 7,396,413 $ 8,468,097 $ 7,316,363
May-2004 $ 7,477,773 $ 8,584,110 $ 7,390,990
Jun-2004 $ 7,625,085 $ 8,750,641 $ 7,523,289
Jul-2004 $ 7,358,207 $ 8,460,995 $ 7,256,965
Aug-2004 $ 7,409,715 $ 8,494,839 $ 7,261,319
Sep-2004 $ 7,523,083 $ 8,586,583 $ 7,344,824
Oct-2004 $ 7,590,039 $ 8,717,958 $ 7,443,979
Nov-2004 $ 7,849,618 $ 9,071,035 $ 7,726,850
Dec-2004 $ 8,178,726 $ 9,379,451 $ 7,968,701
</Table>
SOURCE: LIPPER, INC. THE PERFORMANCE QUOTED IS PAST PERFORMANCE AND IS 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.
CURRENT PERFORMANCE MAY BE HIGHER OR LOWER THAN THE PERFORMANCE DATA SHOWN. FOR
UP-TO-DATE MONTH-END PERFORMANCE INFORMATION PLEASE CALL 1-800-480-4111.
The Fund commenced operations on 9/17/93.
Returns for the Institutional Shares prior to 9/10/01 (offering date of the
Institutional Shares) are calculated using the historical expenses of the J.P.
Morgan Institutional U.S. 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 U.S.
Equity Fund, which are similar to the expenses of the Select Shares.
Returns for the Class A, Class B, and Class C Shares prior to 9/10/01 (offering
date of the Class A, Class B, and Class C Shares) are calculated using the
historical expenses of the J.P. Morgan U.S. Equity Fund-Advisor Series, which
are similar to the expenses of the Class A Shares, but are lower than Class B
and C Shares. The returns presented prior to 9/15/00 are based on the historical
expenses of the J.P. Morgan U.S. Equity Fund which are lower than the expenses
of the Class A, Class B, and Class C Shares.
The graph illustrates comparative performance for $3,000,000 invested in
Institutional Shares of the JPMorgan U.S. Equity Fund, S&P 500 Index and Lipper
Large-Cap Core Funds Index from December 31, 1994 to December 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 S&P
500 Index is an unmanaged broad-based index that replicates the U.S. stock
markets. 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.
16
<Page>
JPMORGAN DISCIPLINED EQUITY FUND
PORTFOLIO OF INVESTMENTS AS OF DECEMBER 31, 2004
(Amounts in thousands)
<Table>
<Caption>
SHARES ISSUER VALUE
- ------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- 99.1%
COMMON STOCKS -- 99.1%
AEROSPACE -- 2.3%
47 Lockheed Martin Corp. $ 2,616
64 Northrop Grumman Corp. 3,484
58 United Technologies Corp. 5,964
--------------------------------------------------------------------
12,064
--------------------------------------------------------------------
APPAREL -- 1.0%
52 Jones Apparel Group, Inc. 1,887
36 Nike, Inc., Class B 3,220
--------------------------------------------------------------------
5,107
--------------------------------------------------------------------
AUTOMOTIVE -- 1.2%
134 Ford Motor Co. 1,965
35 General Motors Corp. 1,398
1 Harley-Davidson, Inc. 49
27 Johnson Controls, Inc. 1,688
23 Lear Corp. 1,385
--------------------------------------------------------------------
6,485
--------------------------------------------------------------------
BANKING -- 5.2%
138 Bank of America Corp. 6,485
4 Comerica, Inc. 268
10 Doral Financial Corp. (Puerto Rico) 497
21 First Horizon National Corp. 884
4 KeyCorp 139
11 Marshall & Ilsley Corp. 473
71 Mellon Financial Corp. 2,196
79 North Fork Bancorporation, Inc. 2,273
3 PNC Financial Services Group, Inc. 155
8 TCF Financial Corp. 264
14 The Bank of New York Co., Inc. 461
70 U.S. Bancorp 2,199
59 Wachovia Corp. 3,098
110 Wells Fargo & Co. 6,837
14 Zions Bancorporation 939
--------------------------------------------------------------------
27,168
--------------------------------------------------------------------
BIOTECHNOLOGY -- 1.3%
69 Amgen, Inc.* 4,420
4 Biogen Idec, Inc.* 273
56 Gilead Sciences, Inc.* 1,973
3 Medimmune, Inc.* 68
--------------------------------------------------------------------
6,734
--------------------------------------------------------------------
BROADCASTING/CABLE -- 0.2%
34 EchoStar Communications Corp., Class A $ 1,117
BUSINESS SERVICES -- 1.0%
5 Automatic Data Processing, Inc. 208
28 Computer Sciences Corp.* 1,573
56 First Data Corp. 2,374
33 SunGard Data Systems, Inc.* 943
--------------------------------------------------------------------
5,098
--------------------------------------------------------------------
CHEMICALS -- 1.6%
34 Air Products & Chemicals, Inc. 1,983
67 Praxair, Inc. 2,940
24 Rohm & Haas Co. 1,053
46 The Dow Chemical Co. 2,297
--------------------------------------------------------------------
8,273
--------------------------------------------------------------------
COMPUTER NETWORKS -- 1.5%
373 Cisco Systems, Inc.* 7,193
26 Juniper Networks, Inc.* 696
--------------------------------------------------------------------
7,889
--------------------------------------------------------------------
COMPUTER SOFTWARE -- 4.4%
558 Microsoft Corp. 14,905
507 Oracle Corp.* 6,957
38 Take-Two Interactive Software, Inc.* 1,336
--------------------------------------------------------------------
23,198
--------------------------------------------------------------------
COMPUTERS/COMPUTER HARDWARE -- 4.1%
132 Dell, Inc.* 5,550
133 EMC Corp.* 1,976
19 Gateway, Inc.* 114
154 Hewlett-Packard Co. 3,227
82 International Business Machines Corp. 8,053
22 Lexmark International, Inc., Class A* 1,862
10 NCR Corp.* 672
--------------------------------------------------------------------
21,454
--------------------------------------------------------------------
CONSTRUCTION -- 0.4%
13 Centex Corp. 757
2 D.R. Horton, Inc. 60
20 Lennar Corp., Class A 1,134
--------------------------------------------------------------------
1,951
--------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
17
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- ------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
CONSTRUCTION MATERIALS -- 0.1%
16 Masco Corp. $ 592
CONSUMER PRODUCTS -- 4.3%
144 Altria Group, Inc. 8,786
183 Procter & Gamble Co. 10,058
82 The Gillette Co. 3,676
--------------------------------------------------------------------
22,520
--------------------------------------------------------------------
DIVERSIFIED -- 4.9%
519 General Electric Co. 18,933
184 Tyco International LTD (Bermuda) 6,576
--------------------------------------------------------------------
25,509
--------------------------------------------------------------------
ENTERTAINMENT/LEISURE -- 0.7%
48 Carnival Corp. 2,738
31 International Game Technology 1,069
--------------------------------------------------------------------
3,807
--------------------------------------------------------------------
ENVIRONMENTAL SERVICES -- 0.2%
55 Nalco Holding Co.* 1,076
FINANCIAL SERVICES -- 10.3%
57 CIT Group, Inc. 2,612
352 Citigroup, Inc. 16,970
92 Countrywide Financial Corp. 3,398
22 Fannie Mae 1,552
45 Freddie Mac 3,302
32 Goldman Sachs Group, Inc. 3,360
5 Legg Mason, Inc. 355
136 MBNA Corp. 3,825
150 Morgan Stanley 8,328
60 State Street Corp. 2,962
337 The Charles Schwab Corp. 4,028
95 Washington Mutual, Inc. 3,995
--------------------------------------------------------------------
54,687
--------------------------------------------------------------------
FOOD/BEVERAGE PRODUCTS -- 3.2%
38 Anheuser-Busch Companies, Inc. 1,938
81 PepsiCo, Inc. 4,207
43 Sysco Corp. 1,634
214 The Coca-Cola Co. 8,925
--------------------------------------------------------------------
16,704
--------------------------------------------------------------------
HEALTH CARE/HEALTH CARE SERVICES -- 3.7%
26 Aetna, Inc. $ 3,268
20 Baxter International, Inc. 684
87 Boston Scientific Corp.* 3,079
4 CIGNA Corp. 294
53 Guidant Corp. 3,792
47 HCA, Inc. 1,882
26 McKesson Corp. 802
1 UnitedHealth Group, Inc. 79
48 WellPoint, Inc.* 5,463
0^^ Zimmer Holdings, Inc.* 24
--------------------------------------------------------------------
19,367
--------------------------------------------------------------------
HOTELS/OTHER LODGING -- 0.8%
79 Hilton Hotels Corp. 1,792
31 Marriott International, Inc., Class A 1,934
5 MGM Mirage* 356
5 Starwood Hotels & Resorts Worldwide, Inc. 304
--------------------------------------------------------------------
4,386
--------------------------------------------------------------------
INDUSTRIAL COMPONENTS -- 0.2%
21 SPX Corp. 853
INSURANCE -- 4.3%
71 AFLAC, Inc. + 2,817
53 AMBAC Financial Group, Inc. 4,368
50 American International Group, Inc. 3,276
2 Assurant, Inc. 46
62 Genworth Financial, Inc., Class A 1,685
45 Hartford Financial Services Group, Inc. 3,147
34 MBIA, Inc. 2,133
31 Metlife, Inc. 1,272
7 Protective Life Corp. 316
34 The St. Paul Travelers Companies, Inc. 1,253
10 Torchmark Corp. 560
35 W.R. Berkley Corp. 1,637
--------------------------------------------------------------------
22,510
--------------------------------------------------------------------
INTERNET SERVICES/SOFTWARE -- 0.7%
32 eBay, Inc.* 3,744
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
18
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- ------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
MACHINERY & ENGINEERING EQUIPMENT -- 1.2%
31 Caterpillar, Inc. $ 2,994
42 Deere & Co. 3,109
--------------------------------------------------------------------
6,103
--------------------------------------------------------------------
MANUFACTURING -- 0.9%
40 3M Co. 3,249
21 Eaton Corp. 1,549
1 ITT Industries, Inc. 110
--------------------------------------------------------------------
4,908
--------------------------------------------------------------------
METALS/MINING -- 0.5%
79 Alcoa, Inc. 2,476
MULTI-MEDIA -- 4.0%
100 Fox Entertainment Group, Inc., Class A* 3,139
50 Gannett Co., Inc. 4,101
39 The E.W. Scripps Co., Class A 1,902
100 The Walt Disney Co. 2,772
65 Time Warner, Inc.* 1,260
2 Tribune Co. 67
210 Viacom, Inc., Class B 7,642
--------------------------------------------------------------------
20,883
--------------------------------------------------------------------
OIL & GAS -- 6.9%
24 Anadarko Petroleum Corp. 1,581
53 Baker Hughes, Inc. 2,270
93 ChevronTexaco Corp. 4,899
68 ConocoPhillips 5,887
5 Cooper Cameron Corp.* 264
31 Devon Energy Corp. 1,207
285 Exxon Mobil Corp. 14,625
3 Murphy Oil Corp. 233
4 Occidental Petroleum Corp. 245
28 Pride International, Inc.* 569
19 Rowan Companies, Inc.* 492
81 Unocal Corp. 3,489
28 Valero Energy Corp. 1,253
--------------------------------------------------------------------
37,014
--------------------------------------------------------------------
PACKAGING -- 0.3%
82 Smurfit-Stone Container Corp.* 1,528
PAPER/FOREST PRODUCTS -- 0.1%
8 International Paper Co. $ 328
PHARMACEUTICALS -- 7.5%
106 Eli Lilly & Co. 6,016
82 Forest Laboratories, Inc.* 3,692
8 Hospira, Inc.* 281
145 Johnson & Johnson 9,202
35 Medicis Pharmaceutical Corp., Class A 1,243
96 Merck & Co., Inc. 3,076
28 OSI Pharmaceuticals, Inc.* 2,103
310 Pfizer, Inc. 8,331
50 Schering-Plough Corp. 1,034
26 Sepracor, Inc.* 1,561
35 Watson Pharmaceuticals, Inc.* 1,132
51 Wyeth 2,172
--------------------------------------------------------------------
39,843
--------------------------------------------------------------------
PIPELINES -- 0.1%
63 Dynegy, Inc., Class A* 290
REAL ESTATE INVESTMENT TRUST -- 0.5%
1 Apartment Investment & Management Co.,
Class A 19
14 CarrAmerica Realty Corp. 449
25 Equity Office Properties Trust 731
6 Kimco Realty Corp. 331
3 MACK-CALI Realty Corp. 129
19 ProLogis 814
--------------------------------------------------------------------
2,473
--------------------------------------------------------------------
RESTAURANTS/FOOD SERVICES -- 1.2%
133 McDonald's Corp. 4,274
9 Wendy's International, Inc. 365
34 Yum! Brands, Inc. 1,590
--------------------------------------------------------------------
6,229
--------------------------------------------------------------------
RETAILING -- 5.8%
8 Abercrombie & Fitch Co., Class A 390
15 Bed Bath & Beyond, Inc.* 609
14 CVS Corp. 617
20 Dollar General Corp. 405
16 Family Dollar Stores, Inc. 484
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
19
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- ------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
RETAILING -- CONTINUED
26 Federated Department Stores, Inc. $ 1,474
17 Foot Locker, Inc. 463
154 Home Depot, Inc. 6,599
49 Kohl's Corp.* 2,390
80 Lowe's Companies, Inc. 4,601
3 Ross Stores, Inc. 81
46 Staples, Inc. 1,541
61 Target Corp. 3,173
5 The TJX Companies, Inc. 121
154 Wal-Mart Stores, Inc. 8,113
--------------------------------------------------------------------
31,061
--------------------------------------------------------------------
SEMI-CONDUCTORS -- 2.8%
67 Altera Corp.* 1,385
91 Analog Devices, Inc. 3,345
54 Broadcom Corp., Class A* 1,737
13 Freescale Semiconductor, Inc., Class B* 237
210 Intel Corp. 4,914
54 Intersil Corp., Class A 909
20 Linear Technology Corp. 775
4 Novellus Systems, Inc.* 117
40 Xilinx, Inc. 1,171
--------------------------------------------------------------------
14,590
--------------------------------------------------------------------
SHIPPING/TRANSPORTATION -- 1.2%
61 CSX Corp. 2,433
4 FedEx Corp. 364
41 Norfolk Southern Corp. 1,487
26 United Parcel Service, Inc., Class B 2,248
--------------------------------------------------------------------
6,532
--------------------------------------------------------------------
STEEL -- 0.4%
41 United States Steel Corp. 2,096
TELECOMMUNICATIONS -- 3.2%
110 Nextel Communications, Inc., Class A* 3,294
127 SBC Communications, Inc. 3,275
97 Sprint Corp. -- FON Group 2,413
196 Verizon Communications, Inc. 7,952
--------------------------------------------------------------------
16,934
--------------------------------------------------------------------
TELECOMMUNICATIONS EQUIPMENT -- 1.7%
194 Corning, Inc.* $ 2,286
111 Motorola, Inc. 1,901
108 QUALCOMM, Inc. 4,583
--------------------------------------------------------------------
8,770
--------------------------------------------------------------------
TOYS & GAMES -- 0.3%
72 Hasbro, Inc. 1,401
8 Mattel, Inc. 148
--------------------------------------------------------------------
1,549
--------------------------------------------------------------------
UTILITIES -- 2.9%
23 Consolidated Edison, Inc. 1,024
51 Dominion Resources, Inc. 3,427
19 Edison International 593
3 Entergy Corp. 216
26 FPL Group, Inc. 1,914
14 Northeast Utilities 270
34 PG&E Corp.* 1,122
48 Pinnacle West Capital Corp. 2,113
32 PPL Corp. 1,678
9 SCANA Corp. 335
9 Wisconsin Energy Corp. 287
119 XCEL Energy, Inc. 2,167
--------------------------------------------------------------------
15,146
--------------------------------------------------------------------
Total Common Stocks 521,046
(Cost $372,509)
--------------------------------------------------------------------
<Caption>
PRINCIPAL
AMOUNT
- ------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS -- 0.8%
U.S. TREASURY SECURITIES -- 0.2%
U.S. Treasury Notes & Bonds,
$ 700 1.50%, 07/31/05 @ 696
100 1.63%, 01/31/05 @ 100
--------------------------------------------------------------------
Total U.S. Treasury Securities 796
(Cost $798)
--------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
20
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- ------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS -- CONTINUED
MONEY MARKET FUND -- 0.6%
3,149 JPMorgan Prime Money Market Fund (a) + $ 3,149
(Cost $3,149)
--------------------------------------------------------------------
Total Short-Term Investments 3,945
(Cost $3,947)
--------------------------------------------------------------------
TOTAL INVESTMENTS -- 99.9% $ 524,991
(COST $376,456)
--------------------------------------------------------------------
OTHER ASSETS IN EXCESS
OF LIABILITIES -- 0.1% 595
--------------------------------------------------------------------
NET ASSETS -- 100.0% $ 525,586
--------------------------------------------------------------------
</Table>
Percentages indicated are based on net assets.
FUTURES CONTRACTS
(Amounts in thousands, except number of contracts)
<Table>
<Caption>
NOTIONAL UNREALIZED
NUMBER OF VALUE AT APPRECIATION/
CONTRACTS DESCRIPTION EXPIRATION DATE 12/31/04 (USD) (DEPRECIATION) (USD)
- --------------------------------------------------------------------------------------------------------------------------
LONG FUTURES OUTSTANDING
16 S&P 500 Index March, 2005 $ 4,855 $ 71
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
21
<Page>
JPMORGAN DIVERSIFIED FUND
PORTFOLIO OF INVESTMENTS AS OF DECEMBER 31, 2004
(Amounts in thousands)
<Table>
<Caption>
SHARES ISSUER VALUE
- ------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- 97.5%
COMMON STOCKS -- 66.3%
ADVERTISING -- 0.0% ^
0^^ ADVO, Inc. + $ 11
1 aQuantive, Inc.* (l) + 6
0^^ Catalina Marketing Corp. (l) 6
1 R.H. Donnelley Corp.* 42
1 SITEL Corp.* 2
--------------------------------------------------------------------
67
--------------------------------------------------------------------
AEROSPACE -- 1.1%
1 Aviall, Inc.* + 30
1 BE Aerospace, Inc.* 10
0^^ Curtiss-Wright Corp. (l) 11
1 Esterline Technologies Corp.* 42
1 HEICO Corp. 14
1 Kaman Corp., Class A 10
21 Lockheed Martin Corp. 1,140
3 Moog, Inc., Class A* 113
14 Northrop Grumman Corp. 777
2 Orbital Sciences Corp.* (l) 24
0^^ Triumph Group, Inc.* 1
28 United Technologies Corp. 2,868
--------------------------------------------------------------------
5,040
--------------------------------------------------------------------
AGRICULTURAL PRODUCTION/SERVICES -- 0.0% ^
2 DIMON, Inc. (l) 14
AIRLINES -- 0.2%
316 Cathay Pacific Airways LTD (Hong Kong) (f) 600
0^^ Continental Airlines, Inc., Class B* (l) 3
3 Delta Air Lines, Inc.* (l) 23
3 ExpressJet Holdings, Inc.* 40
0^^ FLYi, Inc.* (l) 0^^
2 Mesa Air Group, Inc.* (l) 13
0^^ Northwest Airlines Corp.* 3
1 Pinnacle Airlines Corp.* 17
2 SkyWest, Inc. 44
--------------------------------------------------------------------
743
--------------------------------------------------------------------
APPAREL -- 0.5%
0^^ DHB Industries, Inc.* 6
17 Jones Apparel Group, Inc. 606
1 Kellwood Co. 21
1 Kenneth Cole Productions, Inc., Class A 22
18 Nike, Inc., Class B $ 1,639
1 Quiksilver, Inc.* 42
1 Skechers U.S.A., Inc., Class A* 16
--------------------------------------------------------------------
2,352
--------------------------------------------------------------------
APPLIANCES & HOUSEHOLD DURABLES -- 0.0% ^
1 Furniture Brands International, Inc. 20
2 Jacuzzi Brands, Inc.* 15
--------------------------------------------------------------------
35
--------------------------------------------------------------------
AUTOMOTIVE -- 1.1%
1 ArvinMeritor, Inc. + 31
7 Bayerische Motoren Werke AG
(Germany) (f) 306
49 Ford Motor Co. 712
13 General Motors Corp. (l) 521
1 Harley-Davidson, Inc. 30
1 Hayes Lemmerz International, Inc.* 10
7 Honda Motor Co., LTD (Japan) (f) 340
14 Johnson Controls, Inc. 911
7 Lear Corp. 421
1 Lithia Motors, Inc., Class A 23
15 Peugeot SA (France) (f) 944
0^^ Sonic Automotive, Inc. 10
1 Standard Motor Products, Inc. 9
15 Suzuki Motor Corp. (Japan) (f) 280
2 Tenneco Automotive, Inc.* 34
38 TI Automotive LTD (United Kingdom),
Class A* (f) 0
1 Tower Automotive, Inc.* (l) 3
13 Toyota Motor Corp. (Japan) (f) 529
1 Wabash National Corp.* 16
0^^ Winnebago Industries, Inc. 8
--------------------------------------------------------------------
5,138
--------------------------------------------------------------------
BANKING -- 4.7%
0^^ ABC Bancorp + 4
0^^ Ace Cash Express, Inc.* + 6
1 Amcore Financial, Inc. + 19
0^^ AmSouth Bancorp + 8
0^^ Bancfirst Corp. + 8
42 Bank of America Corp. + 1,950
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
22
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- ------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
BANKING -- CONTINUED
1 Bank of the Ozarks, Inc. + $ 48
3 BankAtlantic Bancorp, Inc., Class A 54
32 Bayerische Hypo-und Vereinsbank AG
(Germany)* (f) 726
17 BNP Paribas (France) (f) 1,216
0^^ Capital Corp of the West 5
0^^ Capitol Bancorp LTD 14
0^^ Center Financial Corp. 2
1 Central Pacific Financial Corp. 25
0^^ Chemical Financial Corp. 17
0^^ City Holding Co. 7
0^^ City National Corp. 23
1 Columbia Banking Systems, Inc. 13
1 Comerica, Inc. 85
0^^ Commercial Capital Bancorp, Inc. 7
2 Community Bank System, Inc. 48
0^^ Community Trust Bancorp, Inc. 11
2 Corus Bankshares, Inc. 72
45 DBS Group Holdings LTD (Singapore) (f) 444
0^^ Dime Community Bancshares 7
3 Doral Financial Corp. (Puerto Rico) (l) 138
2 EuroBancshares, Inc. (Puerto Rico)* 32
1 First Bancorp (Puerto Rico) 57
3 First Horizon National Corp. (l) 138
1 First Niagara Financial Group, Inc. 8
0^^ First Republic Bank 11
1 First State Bancorporation 21
4 FirstMerit Corp. 111
1 Flagstar Bancorp, Inc. (l) 18
0^^ Glacier Bancorp, Inc. 14
1 Gold Banc Corp., Inc. 16
1 Greater Bay Bancorp (l) 17
107 HSBC Holdings PLC (United Kingdom) (f) 1,806
1 Hudson River Bancorp 12
1 IBERIABANK Corp. 80
1 Independent Bank Corp. 27
2 Irwin Financial Corp. 51
4 KeyCorp 129
21 Kookmin Bank (South Korea), ADR* 815
0^^ Macatawa Bank Corp. (l) 3
1 Marshall & Ilsley Corp. 62
0^^ MB Financial, Inc. 8
19 Mellon Financial Corp. $ 597
0^^ Mercantile Bank Corp. 16
0^^ Nara Bancorp, Inc. 9
33 North Fork Bancorporation, Inc. 959
1 Oriental Financial Group, Inc.
(Puerto Rico) (l) 19
1 Partners Trust Financial Group, Inc. 7
0^^ Peoples Bancorp, Inc. 5
1 PrivateBancorp, Inc. 45
2 Provident Bancorp, Inc. 22
2 R&G Financial Corp. (Puerto Rico), Class B 93
1 Republic Bancorp, Inc. 15
0^^ Republic Bancorp, Inc., Class A 3
71 Royal Bank of Scotland Group PLC
(United Kingdom) (f) 2,382
0^^ Simmons First National Corp., Class A 6
0^^ Southwest Bancorp, Inc. 2
0^^ State Financial Services Corp., Class A 3
0^^ Sterling Bancorp 10
2 Sterling Bancshares, Inc. 30
1 Sterling Financial Corp.* 22
1 Summit Bancshares, Inc. 38
0^^ Sun Bancorp, Inc.* 10
0^^ Taylor Capital Group, Inc. 3
2 TCF Financial Corp. 77
25 The Bank of New York Co., Inc. + 832
0^^ TriCo Bancshares 5
39 U.S. Bancorp 1,218
11 UBS AG (Switzerland) (f) 923
0^^ UFJ Holdings, Inc. (Japan) (f) 1,390
0^^ Umpqua Holdings Corp. 8
3 W Holding Co., Inc. (Puerto Rico) 70
18 Wachovia Corp. (l) 921
45 Wells Fargo & Co. 2,821
1 West Coast Bancorp 25
1 Westamerica Bancorporation 52
0^^ Western Sierra Bancorp* 4
1 Wilshire Bancorp, Inc.* 10
0^^ Wintrust Financial Corp. (l) 17
7 Zions Bancorporation 456
--------------------------------------------------------------------
21,518
--------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
23
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- ------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
BIOTECHNOLOGY -- 0.9%
1 Abgenix, Inc.* (l) + $ 5
1 Aksys LTD* (l) + 4
0^^ Alexion Pharmaceuticals, Inc.* + 8
35 Amgen, Inc.* + 2,251
1 Applera Corp. -- Celera Genomics
Group* + 8
0^^ Bio-Rad Laboratories, Inc., Class A* 6
5 Biogen Idec, Inc.* 333
1 Cell Genesys, Inc. (l) 6
2 Cytokinetics, Inc.* 16
0^^ Diversa Corp.* 3
1 Enzon Pharmaceuticals, Inc.* 8
0^^ Exelixis, Inc.* 3
7 Genelabs Technologies* 8
30 Gilead Sciences, Inc.* 1,042
1 Human Genome Sciences, Inc. (l) 11
4 Incyte Corp.* (l) 41
1 Integra LifeSciences Holdings Corp.* 18
1 Maxygen, Inc.* 10
1 Medimmune, Inc.* 19
1 Myriad Genetics, Inc.* 16
1 Regeneration Technologies, Inc.* 15
2 Seattle Genetics, Inc.* 11
1 Telik, Inc.* 14
1 Transkaryotic Therapies, Inc.* 13
--------------------------------------------------------------------
3,869
--------------------------------------------------------------------
BROADCASTING/CABLE -- 0.2%
42 British Sky Broadcasting PLC
(United Kingdom) (f) 454
3 Charter Communications, Inc., Class A* (l) 6
10 EchoStar Communications Corp., Class A 316
4 Mediacom Communications Corp.,
Class A* 27
0^^ Saga Communications, Inc., Class A* 5
0^^ Sinclair Broadcast Group, Inc., Class A 4
--------------------------------------------------------------------
812
--------------------------------------------------------------------
BUSINESS SERVICES -- 0.5%
16 Accenture LTD (Bermuda), Class A* 431
0^^ Banta Corp. 9
0^^ Charles River Associates, Inc.* (l) 5
8 Computer Sciences Corp.* 445
1 CSG Systems International, Inc.* $ 11
0^^ DiamondCluster International, Inc.,* 6
1 Digital River, Inc.* 21
1 Dollar Thrifty Automotive Group, Inc.* 30
22 First Data Corp. 918
2 Gartner, Inc., Class A* (l) 27
0^^ Gevity HR, Inc. 2
1 Heidrick & Struggles International, Inc.* 31
1 Labor Ready, Inc.* (l) 22
0^^ Metris Companies, Inc.* 5
1 Navigant Consulting, Inc.* 32
1 PDI, Inc.* 11
1 Quanta Services, Inc.* 5
3 Spherion Corp.* 23
6 SunGard Data Systems, Inc.* 159
2 TeleTech Holdings, Inc.* (l) 19
1 Tyler Technologies, Inc.* 4
1 Valassis Communications, Inc.* 18
0^^ Vertrue, Inc.* (l) 4
--------------------------------------------------------------------
2,238
--------------------------------------------------------------------
CHEMICALS -- 1.6%
0^^ Aceto Corp. + 4
25 Air Products & Chemicals, Inc. + 1,449
1 Albemarle Corp. + 23
7 BASF AG (Germany) (f) 475
26 Bayer AG (Germany) (f) 895
1 Cabot Microelectronics Corp.* 24
1 Cytec Industries, Inc. 26
1 Eastman Chemical Co. 40
1 FMC Corp.* 29
2 Georgia Gulf Corp. 75
0^^ HB Fuller Co. 6
1 Hercules, Inc.* 21
0^^ Kronos Worldwide, Inc. 8
82 Mitsui Chemicals, Inc. (Japan) (f) 446
1 NewMarket Corp.* 10
0^^ NuCO2, Inc.* (l) 7
0^^ OM Group, Inc.* 10
2 PolyOne Corp.* 21
34 Praxair, Inc. 1,509
43 Reliance Industries LTD (India), GDR, # 1,120
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
24
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- ------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
CHEMICALS -- CONTINUED
3 Rohm & Haas Co. (f) $ 119
1 Terra Industries, Inc.* (l) 6
15 The Dow Chemical Co. 762
2 The Mosaic Co.* 29
2 W.R. Grace & Co.* (l) 22
--------------------------------------------------------------------
7,136
--------------------------------------------------------------------
COMPUTER NETWORKS -- 0.8%
2 Adaptec, Inc.* + 17
1 Anixter International, Inc. (l) + 50
1 Black Box Corp. 29
4 Brocade Communications Systems, Inc.* 28
163 Cisco Systems, Inc.* 3,152
0^^ Factset Research Systems, Inc. 18
8 Juniper Networks, Inc.* 204
--------------------------------------------------------------------
3,498
--------------------------------------------------------------------
COMPUTER SOFTWARE -- 2.4%
0^^ Ansys, Inc.* + 13
1 Ariba, Inc.* + 9
1 Ascential Software Corp.* + 10
1 Aspen Technology, Inc.* + 5
2 Atari, Inc.* + 5
1 Borland Software Corp.* 12
1 CACI International, Inc., Class A* 43
0^^ Cerner Corp.* (l) 21
2 Ciber, Inc.* (l) 18
2 Computer Programs & Systems, Inc. 38
0^^ Datastream Systems, Inc.* 1
1 Dendrite International, Inc.* 14
0^^ DSP Group, Inc.* 9
1 E.piphany, Inc.* 5
0^^ Echelon Corp.* 3
1 Epicor Software Corp.* 7
1 EPIQ Systems, Inc.* (l) 7
0^^ FileNet Corp.* 8
1 Hyperion Solutions Corp.* 37
1 Informatica Corp.* 6
1 Intergraph Corp.* 22
0^^ Intervideo, Inc.* 1
0^^ Intervoice, Inc.* 3
1 JDA Software Group, Inc.* 8
0^^ Kronos, Inc.* $ 10
0^^ Lexar Media, Inc.* (l) 3
1 Magma Design Automation, Inc.* 9
1 Manhattan Associates, Inc.* 12
1 ManTech International Corp., Class A* 19
1 Manugistics Group, Inc.* 1
0^^ MAPICS, Inc.* 4
1 Mentor Graphics Corp.* (l) 14
240 Microsoft Corp. 6,408
0^^ MicroStrategy, Inc., Class A* 6
1 MRO Software, Inc.* 9
1 Openwave Systems, Inc.* (l) 9
235 Oracle Corp.* 3,228
0^^ PalmSource, Inc.* 3
5 Parametric Technology Corp.* 28
0^^ Pegasystems, Inc.* (l) 3
1 Per-Se Technologies, Inc.* (l) 22
1 Perot Systems Corp., Class A* 22
1 Progress Software Corp.* 33
0^^ Quality Systems, Inc.* 6
0^^ Quest Software, Inc.* 5
1 Retek, Inc.* 4
1 SafeNet, Inc.* 22
2 Secure Computing Corp.* 23
0^^ SPSS, Inc.* 2
0^^ SRA International, Inc., Class A* 13
0^^ SS&C Technologies, Inc. 2
0^^ Stratasys, Inc.* 3
10 Take-Two Interactive Software, Inc.* (l) 348
0^^ TALX Corp. 5
0^^ TradeStation Group, Inc.* 1
1 Transaction Systems Architects, Inc.,
Class A* 14
7 VERITAS Software Corp.* (l) 200
1 webMethods, Inc.* 4
1 Wind River Systems, Inc.* 18
--------------------------------------------------------------------
10,818
--------------------------------------------------------------------
COMPUTERS/COMPUTER HARDWARE -- 2.3%
1 Advanced Digital Information Corp.* + 6
2 Agilysys, Inc. (l) + 26
49 Dell, Inc.* 2,067
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
25
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- ------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
COMPUTERS/COMPUTER HARDWARE -- CONTINUED
1 Dot Hill Systems Corp.* $ 4
0^^ Electronics for Imaging, Inc.* (l) 4
75 EMC Corp.* 1,117
100 Fujitsu LTD (Japan) (f) 653
1 Gateway, Inc.* 8
78 Hewlett-Packard Co. 1,634
1 Hutchinson Technology, Inc.* (l) 35
0^^ Imagistics International, Inc.* 13
1 Imation Corp. 25
33 International Business Machines Corp. 3,236
1 Komag, Inc.* (l) 19
10 Lexmark International, Inc., Class A* 867
7 NCR Corp.* 478
1 PalmOne, Inc.* (l) 19
1 RadiSys Corp.* 10
4 Silicon Graphics, Inc.* (l) 6
1 Sykes Enterprises, Inc.* 8
--------------------------------------------------------------------
10,235
--------------------------------------------------------------------
CONSTRUCTION -- 0.3%
0^^ Beazer Homes USA, Inc. (l) 15
5 Centex Corp. (l) 268
2 Champion Enterprises, Inc.* (l) 27
1 D.R. Horton, Inc. 32
0^^ Dycom Industries, Inc.* 8
9 Lennar Corp., Class A (l) 487
1 Levitt Corp., Class A 24
0^^ Meritage Corp.* (l) 34
1 Technip SA (France) (f) 274
1 WCI Communities, Inc.* (l) 18
--------------------------------------------------------------------
1,187
--------------------------------------------------------------------
CONSTRUCTION MATERIALS -- 0.3%
0^^ Ameron International Corp. + 11
23 CRH PLC (Ireland) (f) 611
0^^ Eagle Materials, Inc. (l) 35
0^^ ElkCorp 16
9 Masco Corp. 314
1 NCI Building Systems, Inc.* 30
0^^ Texas Industries, Inc. 19
3 Universal Forest Products, Inc. 114
1 USG Corp.* (l) 28
--------------------------------------------------------------------
1,178
--------------------------------------------------------------------
CONSUMER PRODUCTS -- 2.7%
51 Altria Group, Inc. + $ 3,119
1 American Greetings Corp., Class A + 18
12 British American Tobacco PLC
(United Kingdom) (f) 215
0^^ CSS Industries, Inc. 3
14 Imperial Tobacco Group PLC
(United Kingdom) (f) 370
0^^ Japan Tobacco, Inc. (Japan) (f) 548
1 Kimberly-Clark Corp. 66
88 Procter & Gamble Co. 4,832
38 Reckitt Benckiser PLC
(United Kingdom) (f) 1,137
2 Revlon, Inc., Class A* 4
0^^ Stanley Furniture Company, Inc. 13
42 The Gillette Co. 1,896
0^^ Toro Co. 24
1 Tupperware Corp. 25
1 Universal Corp. 48
--------------------------------------------------------------------
12,318
--------------------------------------------------------------------
CONSUMER SERVICES -- 0.0% ^
1 Alderwoods Group, Inc. (Canada)* + 7
1 Arbitron, Inc.* + 20
3 Rent-Way, Inc.* 22
1 Sotheby's Holdings, Inc., Class A* 13
1 SOURCECORP, Inc.* 10
1 Startek, Inc. 14
3 Stewart Enterprises, Inc., Class A* 20
1 The GEO Group, Inc.* 16
--------------------------------------------------------------------
122
--------------------------------------------------------------------
DISTRIBUTION -- 0.2%
0^^ Building Material Holding Corp. 11
206 Itochu Corp. (Japan) (f) 957
1 WESCO International, Inc.* 15
--------------------------------------------------------------------
983
--------------------------------------------------------------------
DIVERSIFIED -- 3.1%
242 General Electric Co. 8,848
64 Hutchison Whampoa LTD (Hong Kong) (f) 598
116 Tyco International LTD (Bermuda) (l) 4,161
74 Wharf Holdings LTD (Hong Kong) (f) 260
--------------------------------------------------------------------
13,867
--------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
26
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- ------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
ELECTRONICS/ELECTRICAL EQUIPMENT -- 0.7%
0^^ Analogic Corp. + $ 4
0^^ BEI Technologies, Inc. + 3
0^^ Bel Fuse, Inc., Class B 10
1 Benchmark Electronics, Inc.* 27
1 Checkpoint Systems, Inc.* 9
1 CTS Corp. (l) 12
0^^ Electro Scientific Industries, Inc.* 8
1 Encore Wire Corp.* 11
0^^ FARO Technologies, Inc.* 3
15 Hon Hai Precision Industry Co.
(Taiwan), GDR, Regulation S (f) 145
1 Integrated Electrical Services, Inc.* (l) 3
1 Itron, Inc.* 14
19 Koninklijke Philips Electronics NV
(The Netherlands) (f) 501
3 Kyocera Corp. (Japan) (f) 216
0^^ MTS Systems Corp. 7
1 Planar Systems, Inc.* 6
0^^ Power-One, Inc.* 4
1 Rayovac Corp.* 43
0^^ ROFIN-SINAR Technologies, Inc.* 17
1 Samsung Electronics Co., LTD
(South Korea) (f) 378
21 Sony Corp. (Japan) (f) 809
1 Stoneridge, Inc.* 14
1 Sypris Solutions, Inc. 12
30 Thomson SA (France) (f) 789
1 Trimble Navigation LTD* 26
2 TTM Technologies, Inc.* 19
0^^ Valence Technology, Inc.* (l) 1
1 Watts Water Technologies, Inc., Class A 19
0^^ Zygo Corp.* 2
--------------------------------------------------------------------
3,112
--------------------------------------------------------------------
ENGINEERING SERVICES -- 0.0% ^
0^^ URS Corp.* 10
1 Washington Group International, Inc.* 20
--------------------------------------------------------------------
30
--------------------------------------------------------------------
ENTERTAINMENT/LEISURE -- 0.6%
1 Ameristar Casinos, Inc. + 26
1 Argosy Gaming Co.* + 23
0^^ Aztar Corp.* + $ 10
0^^ Brunswick Corp. 15
1 Callaway Golf Co. (l) 14
0^^ Carmike Cinemas, Inc. 11
23 Carnival Corp. 1,348
20 International Game Technology 684
0^^ Isle of Capri Casinos, Inc.* (l) 5
1 K2, Inc.* (l) 13
1 Macrovision Corp.* 13
1 Multimedia Games, Inc.* (l) 13
1 Navigant International, Inc.* (l) 12
1 Penn National Gaming, Inc.* 42
1 Pinnacle Entertainment, Inc.* 16
48 Rank Group PLC (United Kingdom) (f) 245
2 Scientific Games Corp., Class A* 55
1 Thor Industries, Inc. (l) 44
--------------------------------------------------------------------
2,589
--------------------------------------------------------------------
ENVIRONMENTAL SERVICES -- 0.2%
1 Duratek, Inc.* 15
0^^ Metal Management, Inc. (l) 5
35 Nalco Holding Co.* 682
0^^ Tetra Tech, Inc.* 5
0^^ Waste Connections, Inc.* 10
--------------------------------------------------------------------
717
--------------------------------------------------------------------
FINANCIAL SERVICES -- 5.8%
1 Accredited Home Lenders Holding Co.* + 32
0^^ Advanta Corp., Class B (l) + 7
1 Affiliated Managers Group, Inc.* (l) + 36
0^^ Asta Funding, Inc. + 3
32 CIT Group, Inc. 1,463
175 Citigroup, Inc. 8,423
0^^ Coinstar, Inc.* (l) 8
1 CompuCredit Corp.* 25
40 Countrywide Financial Corp. 1,493
0^^ Credit Acceptance Corp.* 3
125 Daiwa Securities Group, Inc. (Japan) (f) 904
3 E*TRADE Financial Corp.* 43
0^^ Education Lending Group, Inc.* (l) 3
0^^ Encore Capital Group, Inc.* 2
0^^ eSpeed, Inc., Class A* 1
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
27
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- ------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
FINANCIAL SERVICES -- CONTINUED
0^^ Euronet Worldwide, Inc.* $ 5
10 Fannie Mae 698
27 Freddie Mac 1,960
9 Goldman Sachs Group, Inc. 947
0^^ ITLA Capital Corp.* 12
1 Knight Trading Group, Inc., Class A* (l) 9
2 Legg Mason, Inc. 110
72 MBNA Corp. 2,024
84 Morgan Stanley 4,659
0^^ National Financial Partners Corp. 16
3 Safeguard Scientifics, Inc.* 7
26 State Street Corp. 1,262
136 The Charles Schwab Corp. 1,625
23 Washington Mutual, Inc. 960
1 World Acceptance Corp.* 25
1 WSFS Financial Corp. 30
--------------------------------------------------------------------
26,795
--------------------------------------------------------------------
FOOD/BEVERAGE PRODUCTS -- 1.9%
17 Anheuser-Busch Companies, Inc. + 867
87 Cadbury Schweppes PLC
(United Kingdom) (f) 811
1 Chiquita Brands International, Inc. 26
1 Corn Products International, Inc. 32
1 Flowers Foods, Inc. 16
0^^ J & J Snack Foods Corp. 10
13 Koninklijke Wessanen NV
(The Netherlands) (f) 166
36 PepsiCo, Inc. 1,890
27 SABMiller PLC (United Kingdom) (f) 442
1 Sanderson Farms, Inc. (l) 39
9 Sysco Corp. 332
95 The Coca-Cola Co. 3,941
--------------------------------------------------------------------
8,572
--------------------------------------------------------------------
HEALTH CARE/HEALTH CARE SERVICES -- 2.2%
1 ABIOMED Inc.* + 9
13 Aetna, Inc. + 1,571
1 Align Technology, Inc.* + 8
2 Alliance Imaging, Inc.* + 19
0^^ America Service Group, Inc.* + 8
1 Animas Corp.* (l) + 8
1 Apria Healthcare Group, Inc.* + $ 26
0^^ Arrow International, Inc. + 12
0^^ ArthroCare Corp.* (l) + 10
3 Bausch & Lomb, Inc. 187
21 Baxter International, Inc. 724
0^^ Biosite, Inc.* (l) 25
41 Boston Scientific Corp.* 1,458
1 Centene Corp.* 34
1 CIGNA Corp. 90
1 CONMED Corp.* (l) 37
1 CTI Molecular Imaging, Inc.* (l) 9
1 Diagnostic Products Corp. 28
3 Encore Medical Corp.* 20
0^^ Epix Pharmaceuticals, Inc.* (l) 5
0^^ First Health Group Corp.* 6
0^^ Genesis HealthCare Corp.* 14
2 Gentiva Health Services* 27
23 Guidant Corp. 1,684
16 HCA, Inc. 627
0^^ Immucor, Inc.* (l) 5
0^^ Inverness Medical Innovations, Inc.* 10
2 Kindred Healthcare, Inc.* 69
1 Kyphon, Inc.* (l) 32
13 McKesson Corp. 400
1 Mentor Corp. (l) 24
0^^ Merit Medical Systems, Inc.* 5
0^^ NeighborCare, Inc.* 3
2 NeuroMetrix, Inc.* (l) 25
1 OCA, Inc.* (l) 8
0^^ Ocular Sciences, Inc.* 15
1 Owens & Minor, Inc. (l) 37
2 Palatin Technologies, Inc.* 6
1 Pediatrix Medical Group, Inc.* 61
0^^ Possis Medical, Inc.* 4
1 Province Healthcare Co.* 20
2 PSS World Medical, Inc.* 28
1 Res-Care, Inc.* 11
1 Sierra Health Services, Inc.* 33
1 Sola International, Inc.* 28
2 Steris Corp.* 45
0^^ SurModics, Inc.* (l) 10
1 Symbion, Inc.* 13
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
28
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- ------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
HEALTH CARE/HEALTH CARE SERVICES -- CONTINUED
4 Synthes, Inc. (Switzerland)* (f) $ 503
0^^ TECHNE Corp.* 12
1 United Surgical Partners
International, Inc.* 51
1 UnitedHealth Group, Inc. 62
1 VISX, Inc.* 34
15 WellPoint, Inc.* 1,775
--------------------------------------------------------------------
9,975
--------------------------------------------------------------------
HOTELS/OTHER LODGING -- 0.6%
30 Hilton Hotels Corp. 680
41 Intercontinental Hotels Group PLC
(United Kingdom) 512
1 La Quinta Corp.* 11
15 Marriott International, Inc., Class A 913
5 MGM Mirage* 342
3 Starwood Hotels & Resorts Worldwide, Inc. 158
--------------------------------------------------------------------
2,616
--------------------------------------------------------------------
INDUSTRIAL COMPONENTS -- 0.1%
0^^ Hexcel Corp.* (l) 6
2 Lennox International, Inc. 49
7 SKF AB, Ser. B (Sweden) 301
5 SPX Corp. (l) 180
--------------------------------------------------------------------
536
--------------------------------------------------------------------
INSURANCE -- 3.0%
38 AFLAC, Inc. + 1,497
35 AMBAC Financial Group, Inc. + 2,854
16 American International Group, Inc. + 1,038
0^^ AmerUs Group Co. (l) + 5
1 Argonaut Group, Inc.* + 14
3 Assurant, Inc. + 86
35 AXA (France) (f) 874
3 Delphi Financial Group, Inc., Class A 134
1 Direct General Corp. 23
15 Genworth Financial, Inc., Class A 394
11 Hartford Financial Services Group, Inc. 762
36 ING Groep NV (The Netherlands) (f) 1,097
1 LandAmerica Financial Group, Inc. (l) 27
13 MBIA, Inc. 791
6 Metlife, Inc. 259
0^^ NYMAGIC, Inc. $ 5
4 PMA Capital Corp., Class A* 39
1 Protective Life Corp. 43
21 RenaissanceRe Holdings LTD (Bermuda) 1,068
1 Selective Insurance Group (l) 22
1 Stewart Information Services Corp. 21
11 The St. Paul Travelers Companies, Inc. 419
3 Torchmark Corp. 183
0^^ United Fire & Casualty Co. 7
1 Vesta Insurance Group, Inc. 2
9 W.R. Berkley Corp. 406
30 Willis Group Holdings LTD
(United Kingdom) 1,218
1 Zenith National Insurance Corp. (l) 60
2 Zurich Financial Services AG
(Switzerland) (f) 378
--------------------------------------------------------------------
13,726
--------------------------------------------------------------------
INTERNET SERVICES/SOFTWARE -- 0.4%
1 AsiaInfo Holdings, Inc. (China)* + 6
1 Autobytel, Inc.* + 4
0^^ Blue Coat Systems, Inc.* 4
6 CMGI, Inc.* 15
2 CNET Networks, Inc.* 25
0^^ Corillian Corp.* 1
0^^ Digital Insight Corp.* 6
2 Digitas, Inc.* 17
2 DoubleClick, Inc.* 14
5 EarthLink, Inc.* 57
13 eBay, Inc.* (l) 1,543
0^^ Equinix, Inc.* 13
1 Harris Interactive, Inc.* 6
3 Homestore, Inc.* 10
1 Infospace, Inc.* 29
1 Internet Security Systems, Inc.* 16
0^^ Interwoven, Inc.* 2
1 iPass, Inc.* 4
1 j2 Global Communications, Inc.* 17
1 Lionbridge Technologies, Inc.* 4
3 LookSmart LTD* 6
1 Mindspeed Technologies, Inc.* (l) 3
0^^ PC-Tel, Inc.* 2
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
29
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- ------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
INTERNET SERVICES/SOFTWARE -- CONTINUED
1 Portal Software, Inc.* $ 1
1 ProQuest Co.* 15
1 Redback Networks, Inc.* 3
2 SupportSoft, Inc.* 15
1 Trizetto Group, Inc.* 10
1 United Online, Inc.* 14
1 Valueclick, Inc.* 16
1 WebEx Communications, Inc.* 17
1 Websense, Inc.* 30
--------------------------------------------------------------------
1,925
--------------------------------------------------------------------
LEASING -- 0.0% ^
0^^ Amerco, Inc.* + 14
1 GATX Corp. (l) 38
0^^ Interpool, Inc. 7
--------------------------------------------------------------------
59
--------------------------------------------------------------------
MACHINERY & ENGINEERING EQUIPMENT -- 0.7%
5 Applied Industrial Technologies, Inc. + 143
1 Astec Industries, Inc.* + 12
14 Atlas Copco AB (Sweden), Class A (f) 623
1 Cascade Corp. 20
13 Caterpillar, Inc. 1,307
11 Deere & Co. 781
1 Flowserve Corp.* 25
61 Kubota Corp. (Japan) (f) 303
0^^ NACCO Industries, Inc., Class A 42
0^^ Sauer-Danfoss, Inc. 4
0^^ Tecumseh Products Co., Class A 19
1 The Manitowoc Co., Inc. 30
0^^ UNOVA, Inc.* 8
1 York International Corp. 28
--------------------------------------------------------------------
3,345
--------------------------------------------------------------------
MANUFACTURING -- 0.6%
18 3M Co. 1,494
1 Armor Holdings, Inc.* + 24
1 Barnes Group, Inc. 24
43 BBA Group PLC (United Kingdom) (f) 237
0^^ Cyberoptics Corp.* 4
4 Eaton Corp. 282
0^^ ESCO Technologies, Inc.* (l) 15
1 Fleetwood Enterprises, Inc.* (l) $ 12
1 Griffon Corp.* 35
3 ITT Industries, Inc. 245
1 JLG Industries, Inc. (l) 18
1 Joy Global, Inc. 39
1 Lincoln Electric Holdings, Inc. 31
0^^ NN, Inc. 5
0^^ Penn Engineering & Manufacturing Corp. 5
1 Quanex Corp. (l) 82
1 Terex Corp.* 38
1 Walter Industries, Inc. 30
--------------------------------------------------------------------
2,620
--------------------------------------------------------------------
METALS/MINING -- 0.3%
37 Alcoa, Inc. + 1,163
1 Commercial Metals Co. 73
1 Metals USA, Inc.* 9
0^^ Valmont Industries, Inc. 10
--------------------------------------------------------------------
1,255
--------------------------------------------------------------------
MULTI-MEDIA -- 2.3%
0^^ Digital Generation Systems, Inc.* 0^^
1 Emmis Communications Corp., Class A* 12
31 Fox Entertainment Group, Inc.,
Class A* (l) 960
22 Gannett Co., Inc. 1,805
1 Gray Television, Inc. 10
1 Insight Communications Co., Inc.,
Class A* (l) 5
1 Journal Register Co.* 11
3 Lodgenet Entertainment Corp.* 46
40 News Corp., 753
15 News Corp., Class A 284
27 The E.W. Scripps Co., Class A 1,285
31 The Walt Disney Co. 862
15 Time Warner, Inc.* + 292
4 Tribune Co. (l) 156
104 Viacom, Inc., Class B 3,770
1 World Wrestling Entertainment, Inc. 13
--------------------------------------------------------------------
10,264
--------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
30
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- ------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
OFFICE/BUSINESS EQUIPMENT -- 0.2%
7 Canon, Inc. (Japan) (f) $ 353
0^^ General Binding Corp.* 3
1 Global Imaging Systems, Inc.* (l) 51
18 Ricoh Co., LTD (Japan) (f) 349
1 United Stationers, Inc.* 23
--------------------------------------------------------------------
779
--------------------------------------------------------------------
OIL & GAS -- 4.6%
13 Anadarko Petroleum Corp. + 818
21 Baker Hughes, Inc. + 875
0^^ Black Hills Corp. 12
71 BP PLC (United Kingdom) (f) 687
0^^ Callon Petroleum Co.* 4
44 ChevronTexaco Corp. 2,327
0^^ Comstock Resources, Inc.* 9
27 ConocoPhillips 2,335
3 Cooper Cameron Corp.* (l) 140
2 Denbury Resources, Inc.* 51
28 Devon Energy Corp. 1,093
1 Energen Corp. 83
0^^ Energy Partners LTD* 6
8 ENI-Ente Nazionale Idrocarburi SPA
(Italy) (f) 207
128 Exxon Mobil Corp. 6,548
0^^ Giant Industries, Inc.* 3
0^^ Gulf Island Fabrication, Inc. 7
1 Hanover Compressor Co.* 11
1 Headwaters, Inc.* (l) 14
1 Helmerich & Payne, Inc. 24
2 Houston Exploration Co.* 135
0^^ Hydril Co.* 18
3 Key Energy Services, Inc.* 40
1 Lone Star Technologies, Inc.* 23
0^^ Magnum Hunter Resources, Inc.* (l) 3
1 Mission Resources Corp.* (l) 4
1 Oceaneering International, Inc.* 41
1 Oil States International, Inc.* 10
0^^ Penn Virginia Corp. 8
18 Petroleo Brasileiro SA (Brazil), ADR 644
6 Pride International, Inc.* (l) 115
16 Rowan Companies, Inc.* 416
2 Southern Union Co.* 53
1 Southwest Gas Corp. (l) $ 30
2 Southwestern Energy Co.* 117
32 Statoil ASA (Norway) (f) 510
1 Stone Energy Corp.* 28
1 Tesoro Petroleum Corp.* 41
1 Todco, Class A* 13
9 Total SA (France) (f) 1,921
1 Unit Corp.* 19
28 Unocal Corp. 1,206
9 Valero Energy Corp. 409
1 Veritas DGC, Inc.* (l) 16
2 Vintage Petroleum, Inc. 34
0^^ World Fuel Services Corp. 15
--------------------------------------------------------------------
21,123
--------------------------------------------------------------------
PACKAGING -- 0.1%
4 Crown Holdings, Inc.* 59
1 Silgan Holdings, Inc. 46
21 Smurfit-Stone Container Corp.* 392
--------------------------------------------------------------------
497
--------------------------------------------------------------------
PAPER/FOREST PRODUCTS -- 0.1%
2 International Paper Co. 80
0^^ Schweitzer-Mauduit International, Inc. 14
17 Stora Enso OYJ (Finland), R Shares (f) 261
1 Wausau-Mosinee Paper Corp. 20
--------------------------------------------------------------------
375
--------------------------------------------------------------------
PHARMACEUTICALS -- 4.6%
1 Able Laboratories, Inc.* + 15
2 Adolor Corp.* + 23
1 Alkermes, Inc.* + 10
0^^ Antigenics, Inc.* (l) + 2
22 AstraZeneca PLC (United Kingdom) (f) 808
2 AtheroGenics, Inc.* (l) + 42
2 Auxilium Pharmaceuticals, Inc.* + 16
10 AVANIR Pharmaceuticals, Class A* (l) + 34
0^^ Bradley Pharmaceuticals, Inc.* (l) 6
1 Corixa Corp.* 2
2 Cubist Pharmaceuticals, Inc.* 28
2 CV Therapeutics, Inc.* (l) 53
4 Cypress Bioscience, Inc.* 61
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
31
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- ------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
PHARMACEUTICALS -- CONTINUED
0^^ Dendreon Corp.* (l) $ 4
49 Eli Lilly & Co. 2,778
36 Forest Laboratories, Inc.* 1,600
2 Hospira, Inc.* 57
1 Impax Laboratories, Inc.* (l) 10
67 Johnson & Johnson 4,237
0^^ Kos Pharmaceuticals, Inc.* 11
1 Ligand Pharmaceuticals, Inc., Class B* (l) 9
0^^ Medicines Co.* 11
11 Medicis Pharmaceutical Corp., Class A (l) 393
38 Merck & Co., Inc. 1,225
1 Onyx Pharmaceuticals, Inc.* 45
15 OSI Pharmaceuticals, Inc.* (l) 1,093
1 Par Pharmaceutical Companies, Inc.* 21
136 Pfizer, Inc. 3,666
0^^ Pharmion Corp.* (l) 13
1 PolyMedica Corp. (l) 26
1 Rigel Pharmaceuticals, Inc.* 21
9 Roche Holding AG (Switzerland) (f) 1,034
7 Sanofi-Aventis (France) (f) 572
10 Schering AG (Germany) (f) 727
19 Schering-Plough Corp. 403
16 Sepracor, Inc.* (l) 956
0^^ Tanox, Inc.* (l) 3
1 United Therapeutics Corp.* (l) 32
2 Valeant Pharmaceuticals International 40
1 Vertex Pharmaceuticals, Inc.* 11
1 Vicuron Pharmaceuticals, Inc.* 14
8 Watson Pharmaceuticals, Inc.* 269
16 Wyeth 698
--------------------------------------------------------------------
21,079
--------------------------------------------------------------------
PIPELINES -- 0.0% ^
15 Dynegy, Inc., Class A* (l) 68
PRINTING & PUBLISHING -- 0.0% ^
2 Bowne & Co., Inc. (l) 27
1 John H. Harland Co. 22
--------------------------------------------------------------------
49
--------------------------------------------------------------------
REAL ESTATE -- 0.2%
0^^ LNR Property Corp. $ 13
100 Sun Hung Kai Properties LTD
(Hong Kong) (f) 1,000
--------------------------------------------------------------------
1,013
--------------------------------------------------------------------
REAL ESTATE INVESTMENT TRUST -- 0.4%
2 Affordable Residential Communities, Inc. + 22
4 American Financial Realty Trust + 68
2 American Home Mortgage
Investment Corp. + 61
2 Anthracite Capital, Inc. + 21
1 Capital Automotive Real Estate
Investment Trust (l) 30
8 CarrAmerica Realty Corp. (l) 250
1 Entertainment Properties Trust 31
3 Equity Inns, Inc. 35
5 Equity Office Properties Trust 137
1 FelCor Lodging Trust, Inc.* (l) 9
1 Gables Residential Trust 25
4 Government Properties Trust, Inc. 35
1 Highwoods Properties, Inc. 22
1 IMPAC Mortgage Holdings, Inc. 16
3 InnKeepers USA Trust 48
2 Kimco Realty Corp. (l) 122
0^^ LaSalle Hotel Properties 13
2 Lexington Corporate Properties Trust 37
2 LTC Properties, Inc. 44
1 MACK-CALI Realty Corp. 46
3 Meristar Hospitality Corp.* 22
2 MFA Mortgage Investments, Inc. 14
2 Mid-America Apartment
Communities, Inc. 82
0^^ National Health Investors, Inc. 9
1 New Century Financial Corp. 38
1 NovaStar Financial, Inc. (l) 30
2 Pennsylvania Real Estate
Investment Trust (l) 64
2 Prentiss Properties Trust 69
7 ProLogis 298
3 RAIT Investment Trust 70
1 Saul Centers, Inc. (l) 46
--------------------------------------------------------------------
1,814
--------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
32
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- ------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
RESTAURANTS/FOOD SERVICES -- 0.7%
1 CBRL Group, Inc. $ 25
0^^ CEC Entertainment, Inc.* 8
2 CKE Restaurants, Inc.* 25
0^^ Jack in the Box, Inc.* 4
3 Landry's Restaurants, Inc. (l) 86
57 McDonald's Corp. 1,817
0^^ Rare Hospitality International, Inc.* 13
2 Ryan's Restaurant Group, Inc.* 32
1 Wendy's International, Inc. 47
20 Yum! Brands, Inc. 961
--------------------------------------------------------------------
3,018
--------------------------------------------------------------------
RETAILING -- 4.0%
0^^ 1-800-FLOWERS.COM, Inc., Class A* 3
6 Aaron Rents, Inc. (l) + 138
4 Abercrombie & Fitch Co., Class A + 174
1 Aeropostale, Inc.* + 41
2 Asbury Automotive Group, Inc.* + 23
7 Bed Bath & Beyond, Inc.* 275
1 Brookstone, Inc.* 27
0^^ Brown Shoe Co., Inc. (l) 9
3 Cash America International, Inc. 95
0^^ Charlotte Russe Holding, Inc.* 4
5 Charming Shoppes, Inc.* 50
36 Compagnie Financiere Richemont AG
(Switzerland), Class A (f) 1,197
7 CVS Corp. 315
20 Dollar General Corp. 405
0^^ Electronics Boutique Holdings Corp.* (l) 9
2 Family Dollar Stores, Inc. 59
15 Federated Department Stores, Inc. 846
3 Foot Locker, Inc. 86
1 Genesco, Inc.* 19
2 Hollywood Entertainment Corp.* 31
60 Home Depot, Inc. 2,554
1 Hot Topic, Inc.* 10
21 Industria de Diseno Textil SA (Spain) (f) 615
1 Insight Enterprises, Inc.* 12
0^^ Jo-Ann Stores, Inc.* 3
32 Kohl's Corp.* 1,572
30 Lowe's Companies, Inc. 1,716
1 MarineMax, Inc.* 18
0^^ Movado Group, Inc. $ 4
0^^ Movie Gallery, Inc. 4
0^^ Nash-Finch Co. 8
1 Pathmark Stores, Inc.* 3
0^^ Party City Corp.* 1
1 Ross Stores, Inc. 26
1 Select Comfort Corp.* (l) 14
1 ShopKo Stores, Inc.* 21
29 Staples, Inc. 978
2 Stein Mart, Inc.* 29
34 Target Corp. 1,743
218 Tesco PLC (United Kingdom) (f) 1,342
1 The Children's Place Retail Stores, Inc.* 22
8 The Gap, Inc. (l) 171
1 The J. Jill Group, Inc.* 15
1 The Pantry, Inc.* 30
0^^ The Sports Authority, Inc.* 5
1 The TJX Companies, Inc. 23
2 Too, Inc.* 37
0^^ Trans World Entertainment Corp.* 5
0^^ United Auto Group, Inc. 12
68 Wal-Mart Stores, Inc. 3,580
1 Winn-Dixie Stores, Inc. (l) 3
1 Zale Corp.* 18
--------------------------------------------------------------------
18,400
--------------------------------------------------------------------
SEMI-CONDUCTORS -- 1.7%
0^^ Actel Corp.* + 7
1 ADE Corp.* (l) + 9
17 Altera Corp.* + 342
2 AMIS Holdings, Inc.* + 28
48 Analog Devices, Inc. + 1,782
1 Asyst Technologies, Inc.* + 3
0^^ ATMI, Inc.* + 7
1 August Technology Corp.* + 7
2 Axcelis Technologies, Inc.* + 19
14 Broadcom Corp., Class A* 436
1 Brooks Automation, Inc.* 14
1 Cirrus Logic, Inc.* 8
1 Credence Systems Corp.* 8
1 Cymer, Inc.* 18
0^^ Diodes, Inc.* 9
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
33
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- ------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
SEMI-CONDUCTORS -- CONTINUED
0^^ ESS Technology, Inc.* $ 3
0^^ Exar Corp.* 6
4 Freescale Semiconductor, Inc.,
Class B* (l) 76
0^^ Genesis Microchip, Inc.* (l) 5
0^^ Integrated Silicon Solutions, Inc.* 3
95 Intel Corp. 2,218
8 Intersil Corp., Class A 141
1 IXYS Corp.* 5
0^^ Kopin Corp.* 2
1 Lattice Semiconductor Corp.* 5
9 Linear Technology Corp. 329
1 LTX Corp.* 7
1 Mattson Technology, Inc.* 11
1 Micrel, Inc.* 15
1 Microsemi Corp.* 19
1 MIPS Technologies, Inc.* 11
0^^ MKS Instruments, Inc.* 6
1 Mykrolis Corp.* 11
3 NEC Electronics Corp. (Japan) (f) 132
3 Novellus Systems, Inc.* 81
1 Omnivision Technologies, Inc.* (l) 11
5 ON Semiconductor Corp.* 23
1 Photronics, Inc.* (l) 18
1 Pixelworks, Inc.* 12
0^^ Power Integrations, Inc.* 6
3 Rohm Co., LTD (Japan) 332
1 Semitool, Inc.* 6
0^^ SigmaTel, Inc.* 14
1 Silicon Image, Inc.* (l) 20
2 Silicon Storage Technology, Inc.* 14
0^^ Siliconix, Inc.* 4
2 Skyworks Solutions, Inc.* 21
0^^ Supertex, Inc.* 4
2 Transmeta Corp.* (l) 3
0^^ Ultratech, Inc.* 2
199 United Microelectronics Corp.
(Taiwan), ADR* 702
0^^ Varian Semiconductor Equipment
Associates, Inc.* (l) 15
4 Vitesse Semiconductor Corp.* (l) 12
0^^ White Electronic Designs Corp.* 1
19 Xilinx, Inc. 560
1 Zoran Corp.* 6
--------------------------------------------------------------------
7,569
--------------------------------------------------------------------
SHIPPING/TRANSPORTATION -- 0.7%
21 CSX Corp. $ 846
1 FedEx Corp. 79
13 Norfolk Southern Corp. 481
1 Swift Transportation Co., Inc.* 13
18 United Parcel Service, Inc., Class B 1,526
--------------------------------------------------------------------
2,945
--------------------------------------------------------------------
STEEL -- 0.4%
4 AK Steel Holding Corp.* (l) + 58
1 Gibraltar Industries, Inc. (l) 13
23 JFE Holdings, Inc. (Japan) (f) 652
6 POSCO (South Korea), ADR 278
1 Reliance Steel & Aluminum Co. 21
1 Ryerson Tull, Inc. (l) 17
0^^ Schnitzer Steel Industries, Inc.,
Class A (l) 11
1 Steel Dynamics, Inc. (l) 53
15 United States Steel Corp. (l) 754
--------------------------------------------------------------------
1,857
--------------------------------------------------------------------
TELECOMMUNICATIONS -- 3.0%
1 Aeroflex, Inc.* + 12
0^^ Aether Systems, Inc.* + 0^^
3 Alamosa Holdings, Inc.* + 39
2 Arris Group, Inc.* + 12
1 Aspect Communications* + 16
3 BellSouth Corp. 86
1 Boston Communications Group* 6
1 Broadwing Corp.* (l) 6
1 Centennial Communications Corp.* 10
6 Cincinnati Bell, Inc.* 24
0^^ Commonwealth Telephone
Enterprises, Inc.* (l) 10
0^^ Computer Network Technology Corp.* (l) 2
1 CT Communications, Inc. 14
1 Extreme Networks, Inc.* 9
3 Finisar Corp.* (l) 6
1 Hypercom Corp.* 4
0^^ Interdigital Communications Corp.* 4
1 Intrado, Inc.* 6
4 ITC DeltaCom, Inc.* 7
136 Koninklijke KPN NV (The Netherlands) (f) 1,298
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
34
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- ------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
TELECOMMUNICATIONS -- CONTINUED
2 MasTec, Inc.* (l) $ 17
2 MRV Communications, Inc.* 7
1 NETGEAR, Inc.* 11
36 Nextel Communications, Inc., Class A* 1,065
0^^ Nippon Telegraph & Telephone Corp.
(Japan) (f) 1,086
47 Portugal Telecom SGPS SA
(Portugal) (f) 574
2 Primus Telecommunications GP* 6
8 PTEK Holdings, Inc.* 80
1 Raindance Communications, Inc.* 1
70 SBC Communications, Inc. 1,816
299 Singapore Telecommunications LTD
(Singapore) (f) 436
34 Sprint Corp. -- FON Group 846
2 Symmetricom, Inc.* 20
1 Talk America Holdings, Inc.* (l) 3
1 Tekelec* 16
1 Time Warner Telecom, Inc., Class A* 5
93 Verizon Communications, Inc. 3,764
750 Vodafone Group PLC
(United Kingdom) (f) 2,042
1 Westell Technologies, Inc., Class A* 8
--------------------------------------------------------------------
13,374
--------------------------------------------------------------------
TELECOMMUNICATIONS EQUIPMENT -- 1.0%
0^^ Audiovox Corp., Class A* (l) + 5
0^^ Brightpoint, Inc.* 8
1 C-COR.net Corp.* 9
0^^ Comtech Telecommunications* 8
92 Corning, Inc.* 1,083
0^^ Ditech Communications Corp.* 6
2 Inter-Tel, Inc. 49
61 Motorola, Inc. 1,044
51 QUALCOMM, Inc. 2,150
1 Remec, Inc.* (l) 5
3 RF Micro Devices, Inc.* (l) 21
1 Spirent PLC (United Kingdom) (f) 1
1 Terayon Communications Systems, Inc.* 1
--------------------------------------------------------------------
4,390
--------------------------------------------------------------------
TEXTILES -- 0.0% ^
2 Angelica Corp. + $ 59
1 UniFirst Corp. 17
--------------------------------------------------------------------
76
--------------------------------------------------------------------
TIRE & RUBBER -- 0.0% ^
3 The Goodyear Tire & Rubber Co.* (l) 41
TOYS & GAMES -- 0.2%
17 Hasbro, Inc. 333
1 JAKKS Pacific, Inc.* (l) 18
6 Mattel, Inc. 123
5 Nintendo Co., LTD (Japan) (f) 605
1 RC2 Corp.* 33
1 Steinway Musical Instruments, Inc.* 14
--------------------------------------------------------------------
1,126
--------------------------------------------------------------------
TRANSPORTATION -- 0.1%
0^^ Arkansas Best Corp. + 18
1 Genesee & Wyoming, Inc., Class A* 37
1 Offshore Logistics, Inc.* 16
0^^ Old Dominion Freight Line, Inc.* 10
1 Overnite Corp. 19
1 Overseas Shipholding Group, Inc. 44
1 RailAmerica, Inc.* 17
2 SCS Transportation, Inc.* 42
0^^ The Greenbrier Companies, Inc. 14
1 US Xpress Enterprises, Inc., Class A* 26
1 Werner Enterprises, Inc. 32
--------------------------------------------------------------------
275
--------------------------------------------------------------------
UTILITIES -- 2.0%
1 Aquila, Inc.* + 4
1 Atmos Energy Corp. + 25
1 Avista Corp. + 16
66 Centrica PLC (United Kingdom) (f) 299
4 CMS Energy Corp.* (l) 38
4 Consolidated Edison, Inc. 188
23 Dominion Resources, Inc. 1,586
4 E.ON AG (Germany) (f) 346
4 Edison International 115
1 El Paso Electric Co.* 17
1 Entergy Corp. 74
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
35
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- ------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
UTILITIES -- CONTINUED
13 FPL Group, Inc. $ 957
22 Iberdrola SA (Spain) (f) 564
1 Idacorp, Inc. 18
0^^ MGE Energy, Inc. (l) 4
1 New Jersey Resources Corp. 43
4 Northeast Utilities 77
10 PG&E Corp.* (l) 343
24 Pinnacle West Capital Corp. 1,071
2 PNM Resources, Inc. 43
18 PPL Corp. 932
3 SCANA Corp. (l) 106
37 Scottish Power PLC (United Kingdom) (f) 288
3 Sierra Pacific Resources* (l) 31
0^^ South Jersey Industries, Inc. 16
16 Tokyo Electric Power Co. (Japan) (f) 381
0^^ UIL Holdings Corp. 5
1 UniSource Energy Corp. (l) 29
23 Veolia Environnement (France) (f) 842
40 XCEL Energy, Inc. (l) 733
--------------------------------------------------------------------
9,191
--------------------------------------------------------------------
Total Common Stocks 300,363
(Cost $216,919)
--------------------------------------------------------------------
RIGHTS -- 0.0% ^
1 Technology Investment Capital Corp. 1
--------------------------------------------------------------------
Total Rights 1
(Cost $0)
--------------------------------------------------------------------
<Caption>
PRINCIPAL
AMOUNT
(USD)
- ------------------------------------------------------------------------------------
U.S. TREASURY SECURITIES -- 0.7%
U.S. Treasury Notes & Bonds,
$ 125 2.75%, 07/31/06 @ 125
380 3.50%, 11/15/09 + 378
170 4.25%, 11/15/13 @ 171
1,945 4.25%, 11/15/14 + 1,950
475 5.38%, 02/15/31 + 514
--------------------------------------------------------------------
Total U.S. Treasury Securities 3,138
(Cost $3,132)
--------------------------------------------------------------------
U.S. GOVERNMENT AGENCY SECURITIES -- 0.5%
$ 295 Federal Home Loan Bank, 1.63%,
06/15/05 + $ 294
250 Federal Home Loan Mortgage Corp.,
6.25%, 07/15/32 287
1,250 Federal National Mortgage Association,
7.13%, 01/15/30 1,572
--------------------------------------------------------------------
Total U.S. Government Agency Securities 2,153
(Cost $1,902)
--------------------------------------------------------------------
FOREIGN GOVERNMENT SECURITIES -- 2.3%
4,150 Federal Republic of Germany (Germany),
5.25%, 07/04/10 6,236
402 Republic of Colombia (Colombia),
9.75%, 04/09/11 462
Russian Federation (Russia),
370 8.75%, 07/24/05, Regulation S 381
345 10.00%, 06/26/07, Regulation S 389
100 11.00%, 07/24/18, Regulation S 139
470 5.00%, 03/31/30, Regulation S, SUB 485
Ukraine Government (Ukraine),
175 6.88%, 03/04/11, # 180
930 7.65%, 06/11/13, Regulation S 989
United Mexican States (Mexico),
100 7.50%, 01/14/12 113
60 6.38%, 01/16/13, MTN 64
175 5.88%, 01/15/14, Ser. A, MTN 179
325 6.63%, 03/03/15 349
350 8.30%, 08/15/31, MTN 410
--------------------------------------------------------------------
Total Foreign Government Securities 10,376
(Cost $9,896)
--------------------------------------------------------------------
CORPORATE NOTES & BONDS -- 8.7%
AUTOMOTIVE -- 0.6%
195 DaimlerChrysler N.A. Holding Corp.,
7.20%, 09/01/09 217
Ford Motor Credit Co.,
1,065 7.88%, 06/15/10 1,174
270 7.00%, 10/01/13 286
General Motors Acceptance Corp.,
455 6.88%, 09/15/11 466
95 6.75%, 12/01/14 95
General Motors Corp.,
200 8.25%, 07/15/23 208
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
36
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT
(USD) ISSUER VALUE
- ------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
AUTOMOTIVE -- CONTINUED
$ 305 8.38%, 07/15/33 $ 316
85 TRW Automotive, Inc., 9.38%, 02/15/13 99
--------------------------------------------------------------------
2,861
--------------------------------------------------------------------
BANKING -- 1.9%
295 ABN-Amro North American Holding
Preferred Capital Repackage Trust
I, 6.52% to 11/12; thereafter
FRN, 12/29/49, # + 324
430 ANZ Capital Trust I, 5.36%, 12/15/53, # + 436
250 Cadets Trust, 4.80%, 07/15/13,
Ser. 2003-1, # 241
125 Den Norske Bank ASA (Norway), 7.73%
to 6/11; thereafter FRN, 12/31/49, # 145
20 HBOS Capital Funding LP
(United Kingdom), 6.07% to 6/14;
thereafter FRN, 12/29/49, # 21
365 HBOS Treasury Services PLC
(United Kingdom), 3.60%, 08/15/07,
MTN, # 365
290 Industrial Bank of Korea (South Korea),
4.00% to 05/09; thereafter FRN,
05/19/14, # 284
280 KBC Bank Fund Trust III, 9.86% to 11/09;
thereafter FRN, 11/29/49, # 344
200 Korea First Bank (South Korea), 7.27% to
03/14; thereafter FRN, 03/03/34, # 223
280 Mizuho Finance Group LTD
(Cayman Islands), 5.79%, 04/15/14, # 294
340 Nordea Bank AB (Sweden), 8.95% to
11/09; thereafter FRN, 12/31/49, # 403
125 Northern Rock PLC (United Kingdom),
5.60%, 12/31/49, MTN, # 129
270 Popular North America, Inc., 4.70%,
06/30/09 275
300 Rabobank Capital Funding Trust III, 5.25%
to 12/16; thereafter FRN, 12/31/49, # 298
820 RBS Capital Trust I, 5.51%, 12/31/49, to
9/14; thereafter FRN, 12/31/49
Royal Bank of Scotland Group PLC
(United Kingdom), 839
250 2.37%, 11/24/06, FRN, # 250
$ 685 7.82%, 11/30/49, Ser. 3 $ 713
210 Standard Chartered Bank
(United Kingdom), 8.00%, 05/30/31, # 267
500 SunTrust Bank, 2.50%, 11/01/06 492
230 Swedbank (Sweden), 9.00% to 03/10;
thereafter FRN, 12/31/49, # 276
545 U.S. Bank N.A., 2.85%, 11/15/06 541
390 United Overseas Bank LTD
(Singapore), 5.38% to 9/14; thereafter
FRN, 12/31/49, # 395
215 Westpac Capital Trust III, 5.82% to
09/13; thereafter FRN, 12/31/49, # 225
245 Woori Bank (South Korea), 5.75% to
03/09; thereafter FRN, 03/13/14, # 257
--------------------------------------------------------------------
8,037
--------------------------------------------------------------------
BROADCASTING/CABLE -- 0.1%
360 Cox Communications, Inc., 4.63%,
06/01/13 344
80 Echostar DBS Corp., 6.38%, 10/01/11 82
--------------------------------------------------------------------
426
--------------------------------------------------------------------
CHEMICALS -- 0.2%
75 Huntsman International LLC, 9.88%,
03/01/09 82
325 ICI Wilmington, Inc., 5.63%, 12/01/13 337
11 IMC Global, Inc., 10.88%,
06/01/08, Ser. B 13
115 Lyondell Chemical Co., 10.88%, 05/01/09 122
11 Millennium America, Inc., 9.25%,
06/15/08 12
115 PolyOne Corp., 10.63%, 05/15/10 129
160 The Dow Chemical Co., 7.38%, 11/01/29 194
--------------------------------------------------------------------
889
--------------------------------------------------------------------
COMPUTER SOFTWARE -- 0.0% ^
180 Computer Associates International, Inc.,
5.63%, 12/01/14, # 182
CONSTRUCTION -- 0.1%
70 D.R. Horton, Inc., 9.75%, 09/15/10 85
260 Pulte Homes, Inc., 5.25%, 01/15/14 258
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
37
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT
(USD) ISSUER VALUE
- ------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
CONSTRUCTION -- CONTINUED
$ 100 Standard-Pacific Corp., 6.88%, 05/15/11 $ 106
--------------------------------------------------------------------
449
--------------------------------------------------------------------
CONSTRUCTION MATERIALS -- 0.1%
435 KB Home, 5.75%, 02/01/14 431
CONSUMER SERVICES -- 0.0% ^
75 Iron Mountain, Inc., 6.63%, 01/01/16 70
DIVERSIFIED -- 0.1%
80 General Electric Capital Corp., 6.75%,
03/15/32, Ser. A, MTN 94
215 Hutchison Whampoa International LTD
(Hong Kong), 6.25%, 01/24/14, # 226
--------------------------------------------------------------------
320
--------------------------------------------------------------------
ELECTRONICS/ELECTRICAL EQUIPMENT -- 0.0% ^
85 Celestica, Inc. (Canada), 7.88%, 07/01/11 91
ENVIRONMENTAL SERVICES -- 0.1%
Allied Waste North America, Inc.,
550 6.13%, 02/15/14 + 517
30 7.38%, 04/15/14, Ser. B + 29
--------------------------------------------------------------------
546
--------------------------------------------------------------------
FINANCIAL SERVICES -- 1.6%
American General Finance Corp.,
575 3.00%, 11/15/06, Ser. H, MTN + 568
315 4.50%, 11/15/07, Ser. H, MTN + 321
95 Arch Western Finance LLC, 6.75%,
07/01/13 + 98
225 Capital One Bank, 8.25%, 06/15/05,
Ser. BKNT 230
680 Capital One Financial Corp., 8.75%,
02/01/07 747
55 Citigroup, Inc., 6.63%, 06/15/32 62
395 Goldman Sachs Group, Inc., 6.35%,
02/15/34 411
HSBC Capital Funding LP (Channel Islands),
110 4.61% to 06/13; thereafter FRN,
12/31/49, # 106
$ 765 9.55% to 06/10; thereafter FRN,
12/31/49, # $ 953
235 ING Capital Funding Trust III, 8.44% to
12/10; thereafter FRN, 12/31/49 281
265 Mantis Reef LTD (Australia), 4.80%,
11/03/09, # 264
100 Merrill Lynch & Co., Inc., 5.00%,
01/15/15, Ser. C, MTN 100
355 Mizuho JGB Investment LLC, 9.87% to
06/08; thereafter FRN, 12/31/49, # 415
395 Mizuho Preferred Capital Co., LLC,
8.79% to 06/08; thereafter
FRN, 12/31/49, # 447
Morgan Stanley,
95 5.80%, 04/01/07 100
250 2.40%, 11/09/07, FRN 250
145 3.63%, 04/01/08 144
OMX Timber Finance Investments LLC
240 5.42% to 10/19, thereafter FRN,
01/29/20, Ser. 1, # 238
235 5.54%, 01/29/20 thereafter FRN,
01/29/20, Ser. 2, # 234
882 Targeted Return Index (TRAINS), 8.21%
to 08/06; thereafter FRN, 08/01/15,
Ser. HY-2004-1, # 966
190 UFJ Finance AEC (Aruba), 6.75%,
07/15/13 212
--------------------------------------------------------------------
7,147
--------------------------------------------------------------------
FOOD/BEVERAGE PRODUCTS -- 0.1%
460 Delhaize America, Inc., 9.00%, 04/15/31 595
HEALTH CARE/HEALTH CARE SERVICES -- 0.2%
95 Fresenius Medical Care Capital Trust II,
7.88%, 02/01/08 103
520 HCA, Inc., 5.25%, 11/06/08 523
35 Medex, Inc., 8.88%, 05/15/13 41
115 Tenet Healthcare Corp., 5.00%, 07/01/07 113
320 UnitedHealth Group, Inc., 3.30%, 01/30/08 315
--------------------------------------------------------------------
1,095
--------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
38
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT
(USD) ISSUER VALUE
- ------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
HOTELS/OTHER LODGING -- 0.0% ^
$ 65 ITT Corp., 7.38%, 11/15/15 $ 72
INSURANCE -- 0.4%
185 Arch Capital Group LTD (Bermuda),
7.35%, 05/01/34 + 197
375 Aspen Insurance Holdings LTD
(Bermuda), 6.00%, 08/15/14, # + 377
50 AXA (France), 8.60%, 12/15/30 + 66
280 CNA Financial Corp., 5.85%, 12/15/14 279
170 Liberty Mutual Group, 7.00%, 03/15/34, # 172
Nationwide Financial Services, Inc.,
130 6.25%, 11/15/11 142
110 5.90%, 07/01/12 116
140 Odyssey Re Holdings Corp., 7.65%,
11/01/13 154
220 Prudential Holdings LLC, 8.70%,
12/18/23, # 289
--------------------------------------------------------------------
1,792
--------------------------------------------------------------------
METALS/MINING -- 0.0% ^
65 Peabody Energy Corp., 6.88%,
03/15/13, Ser. B 70
MULTI-MEDIA -- 0.4%
245 Clear Channel Communications, Inc.,
5.50%, 09/15/14 246
259 Comcast Cable Communications
Holdings, Inc., 8.38%, 03/15/13 + 319
80 Comcast Corp., 7.05%, 03/15/33 92
90 MediaNews Group, Inc., 6.88%, 10/01/13 92
115 News America Holdings, Inc., 7.75%,
12/01/45 140
260 Time Warner Entertainment Co., LP,
8.38%, 03/15/23 326
Time Warner, Inc.,
100 9.15%, 02/01/23 134
270 7.63%, 04/15/31 326
--------------------------------------------------------------------
1,675
--------------------------------------------------------------------
OFFICE/BUSINESS EQUIPMENT -- 0.0% ^
55 Xerox Corp., 7.63%, 06/15/13 60
OIL & GAS -- 0.3%
$ 365 BP Capital Markets PLC (United Kingdom),
2.75%, 12/29/06 + $ 361
205 Kerr-McGee Corp., 6.95%, 07/01/24 227
154 PEMEX Project Funding Master
Trust, 8.63%, 02/01/22 179
330 Pioneer Natural Resources Co.,
5.88%, 07/15/16 345
180 Valero Energy Corp., 7.50%, 04/15/32 217
--------------------------------------------------------------------
1,329
--------------------------------------------------------------------
PACKAGING -- 0.1%
90 Crown European Holdings SA (France),
9.50%, 03/01/11 103
Owens-Brockway Glass Container, Inc.,
150 8.88%, 02/15/09 163
65 7.75%, 05/15/11 70
--------------------------------------------------------------------
336
--------------------------------------------------------------------
PAPER/FOREST PRODUCTS -- 0.0% ^
15 Abitibi-Consolidated, Inc. (Canada)
(Yankee), 6.00%, 06/20/13 + 14
40 Georgia Pacific Corp., 7.70%, 06/15/15 46
--------------------------------------------------------------------
60
--------------------------------------------------------------------
PHARMACEUTICALS -- 0.1%
270 Hospira, Inc., 4.95%, 06/15/09 275
135 Wyeth, 6.45%, 02/01/24 144
--------------------------------------------------------------------
419
--------------------------------------------------------------------
PIPELINES -- 0.2%
Kinder Morgan Energy Partners LP,
200 7.40%, 03/15/31 233
60 7.75%, 03/15/32 72
120 7.30%, 08/15/33 139
305 Magellan Midstream Partners LP, 5.65%,
10/15/16 308
38 Transcontinental Gas Pipeline Corp.,
8.88%, 07/15/12, Ser. B 46
37 Williams Companies, Inc., 8.13%,
03/15/12 43
--------------------------------------------------------------------
841
--------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
39
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT
(USD) ISSUER VALUE
- ------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
REAL ESTATE -- 0.1%
$ 250 Westfield Capital Corp., LTD (Australia),
5.13%, 11/15/14, # $ 249
REAL ESTATE INVESTMENT TRUST -- 0.0% ^
210 iStar Financial, Inc., 6.00%, 12/15/10 222
RETAILING -- 0.1%
90 Ingles Markets, Inc., 8.88%, 12/01/11 96
540 Safeway, Inc., 4.13%, 11/01/08 537
--------------------------------------------------------------------
633
--------------------------------------------------------------------
SEMI-CONDUCTORS -- 0.0% ^
55 Freescale Semiconductor, Inc., 7.13%,
07/15/14 60
SHIPPING/TRANSPORTATION -- 0.1%
Norfolk Southern Corp.,
155 7.80%, 05/15/27 194
95 7.25%, 02/15/31 114
95 Teekay Shipping Corp. (Bahamas),
8.88%, 07/15/11 110
--------------------------------------------------------------------
418
--------------------------------------------------------------------
STEEL -- 0.0% ^
97 United States Steel Corp., 9.75%, 05/15/10 111
TELECOMMUNICATIONS -- 1.1%
10 AT&T Wireless Services, Inc., 8.13%,
05/01/12 + 12
360 BellSouth Corp., 6.00%, 11/15/34 365
125 British Telecom PLC (United Kingdom),
8.38%, 12/15/10 150
Deutsche Telekom International Finance BV
(The Netherlands),
360 5.25%, 07/22/13 370
45 8.75%, 06/15/30 59
France Telecom (France),
390 8.50%, 03/01/11 466
130 9.25%, 03/01/31 176
80 Nextel Communications, Inc., 7.38%,
08/01/15 88
120 Qwest Corp., 9.13%, 03/15/12, # 139
$ 440 Rogers Wireless Communications, Inc.
(Canada), 6.38%, 03/01/14 $ 436
SBC Communications, Inc.,
295 5.10%, 09/15/14 298
380 5.63%, 06/15/16 393
Sprint Capital Corp.,
280 6.90%, 05/01/19 313
130 8.75%, 03/15/32 173
255 TCI Communications, Inc., 7.88%,
02/15/26 313
Telecom Italia Capital SA (Luxembourg),
245 4.00%, 11/15/08 244
400 4.00%, 01/15/10, # 392
70 Verizon Global Funding Corp., 7.38%,
09/01/12 82
Verizon New York, Inc.,
125 6.88%, 04/01/12, Ser. A 140
305 7.38%, 04/01/32, Ser. B 350
--------------------------------------------------------------------
4,959
--------------------------------------------------------------------
UTILITIES -- 0.7%
245 Alabama Power Co., 2.80%, 12/01/06 + 242
190 Arizona Public Service Co., 4.65%,
05/15/15 + 184
Dominion Resources, Inc.,
435 8.13%, 06/15/10, Ser. A 512
110 6.30%, 03/15/33 114
315 Nisource Finance Corp., 6.15%, 03/01/13 341
285 Pacificorp, 4.30%, 09/15/08 288
Pepco Holdings, Inc.,
65 6.45%, 08/15/12 72
165 7.45%, 08/15/32 196
530 Progress Energy, Inc., 6.85%, 04/15/12 592
PSEG Power LLC,
150 5.50%, 12/01/15 153
115 8.63%, 04/15/31 153
115 Reliant Resources, Inc., 9.50%, 07/15/13 131
--------------------------------------------------------------------
2,978
--------------------------------------------------------------------
Total Corporate Notes & Bonds 39,423
(Cost $37,837)
--------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
40
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT
(USD) ISSUER VALUE
- ------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
RESIDENTIAL MORTGAGE BACKED SECURITIES -- 13.0%
COLLATERALIZED MORTGAGE OBLIGATIONS -- 3.7%
$ 1,986 Countrywide Alternative Loan Trust,
6.00%, 01/25/35, Ser. 2004-28CB,
Class 3A1 $ 2,048
Countrywide Home Loan Mortgage Pass
Through Trust
2,637 5.50%, 08/25/33, Ser. 2004-28R,
Class A1 2,673
925 2.79%, 02/25/35, Ser. 2004-25,
Class 2A3, FRN 925
2,560 Countrywide Home Loans, 6.25%,
10/25/32, Ser. 2002-22, Class A20 2,597
1,532 CS First Boston Mortgage Securities Corp.,
6.00%, 09/25/34, Ser. 2004-5, Class 1A8 1,569
Federal Home Loan Mortgage Corp.,
775 4.50%, 02/15/11, Ser. 2760, Class GI, IO 46
995 5.00%, 04/15/17, Ser. 2857, Class NI, IO 79
1,917 4.75%, 10/15/18, Ser. 2779,
Class SM, IO, FRN 181
6,674 4.80%, 01/15/21, Ser. 2861, Class GS, IO,
FRN 423
1,310 5.00%, 04/15/22, Ser. 2751, Class AI, IO 124
1,100 5.00%, 10/15/23, Ser. 2781, Class PI, IO 105
5,914 4.65%, 02/15/34, Ser. 2813,
Class SB, IO, FRN 569
Federal National Mortgage Association,
250 4.50%, 11/25/22, Ser. 2003-19, Class JP 251
128 5.75%, 06/25/29, Ser. 2002-57, Class DM 127
2,301 4.68%, 10/25/31, Ser. 2004-61,
Class TS, IO, FRN 178
Government National Mortgage Association,
504 5.50%, 04/20/25, Ser. 2004-46,
Class IH, IO 37
745 5.50%, 01/20/27, Ser. 2004-39,
Class IM, IO 67
1,191 5.50%, 10/20/27, Ser. 2004-44,
Class PK, IO 129
224 Impac CMB Trust, 2.74%, 03/25/35, Ser.
2004-10, Class 2A, FRN 224
980 Indymac Index Mortgage Loan Trust,
2.86%, 09/25/34, Ser. 2004-AR7,
Class A1, FRN 980
$ 530 Permanent Financing PLC
(United Kingdom), 2.68%, 12/10/09, Ser. 2,
Class 4A, FRN $ 532
RESI Finance LP (Cayman Islands),
586 3.92%, 07/10/35, Ser. 2003-B,
Class B3, FRN, # 597
786 3.82%, 09/10/35, Ser. 2003-C,
Class B3, FRN, # ss 1A5, # (i) 800
197 4.02%, 09/10/35, Ser. 2003-C,
Class B4, FRN, # (i) 200
1,093 SACO I, Inc., 7.00%, 08/25/36,
Ser. 1997-2, Class 1A5, # (i) 1,098
--------------------------------------------------------------------
16,559
--------------------------------------------------------------------
MORTGAGE BACKED PASS-THROUGH SECURITIES -- 9.3%
Federal National Mortgage Association,
3,400 5.00%, 01/25/19, TBA 3,455
7,300 5.50%, 01/25/19, TBA 7,545
14,900 5.00%, 01/25/34, TBA 14,787
100 5.50%, 01/25/34, TBA 102
8,925 6.00%, 01/25/34, TBA 9,226
7,300 5.50%, 02/25/34, TBA 7,394
--------------------------------------------------------------------
42,509
--------------------------------------------------------------------
Total Residential Mortgage
Backed Securities 59,068
(Cost $58,974)
--------------------------------------------------------------------
COMMERCIAL MORTGAGE BACKED SECURITIES -- 0.1%
299 CR, 6.70%, 08/10/14, Ser. 2000-ZC2,
Class A4A, # 322
(Cost $328)
ASSET BACKED SECURITIES -- 5.9%
American Express Credit Account
Master Trust,
250 1.69%, 01/15/09, Ser. 2003-4, Class A + 245
600 2.51%, 09/15/09, Ser. 2002-1,
Class A, FRN + 601
1,075 2.90%, 02/15/12, Ser. 2004-C,
Class C, FRN, # + 1,078
AmeriCredit Automobile Receivables Trust,
315 2.75%, 10/06/07, Ser. 2003-CF, Class A3 + 314
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
41
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT
(USD) ISSUER VALUE
- ------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
ASSET BACKED SECURITIES -- CONTINUED
$ 795 2.55%, 12/06/07, Ser. 2003-DM,
Class A3B, FRN + $ 796
165 2.98%, 07/06/09, Ser. 2004-DF,
Class A3 + 163
510 3.48%, 05/06/10, Ser. 2003-CF, Class A4 + 510
430 2.84%, 08/06/10, Ser. 2003-DM,
Class A4 + 425
1,075 2.67%, 03/07/11, Ser. 2004-BM,
Class A4 + 1,050
Capital Auto Receivables Asset Trust,
676 2.44%, 02/15/07, Ser. 2003-2,
Class A3B, FRN 676
625 1.96%, 01/15/09, Ser. 2003-2, Class A4A 609
210 Capital One Auto Finance Trust,
3.18%, 09/15/10, Ser. 2003-B, Class A4 208
935 Capital One Master Trust, 4.60%,
08/17/09, Ser. 2001-8A, Class A 954
Capital One Multi-Asset Execution Trust,
1,500 3.65%, 12/15/10, Ser. 2003-A, FRN, # (i) 1,551
1,145 3.65%, 07/15/11, Ser. 2003-A4, Class A4 1,139
505 Carmax Auto Owner Trust, 3.07%,
10/15/10, Ser. 2003-2, Class A4 501
Countrywide Asset-Backed Certificates,
360 3.61%, 04/25/30, Ser. 2003-5, Class AF3 360
325 5.41%, 01/25/34, Ser. 2003-5, Class MF1 331
220 Daimler Chrysler Auto Trust, 2.88%,
10/08/09, Ser. 2003-A, Class A4 218
400 Discover Card Master Trust I, 2.34%,
05/18/10, Ser. 2004-2, Class A1, FRN 400
550 Gracechurch Card Funding PLC
(United Kingdom), 2.28%, 11/16/09,
Ser. 7, Class A, FRN 550
400 GSAMP Trust, 2.76%, 11/25/34,
Ser. 2004-OPT, Class A1, FRN 400
1,730 Household Automotive Trust,
4.37%, 12/17/08, Ser. 2001-3, Class A4 1,741
633 Long Beach Mortgage Loan Trust,
2.76%, 08/25/33, Ser. 2003-4,
Class AV3, FRN 634
255 M&I Auto Loan Trust, 2.97%, 04/20/09,
Ser. 2003-1, Class A4 252
885 MBNA Master Credit Card Trust USA,
5.75%, 10/15/08, Ser. 2001-A1, Class A1 915
$ 470 Morgan Stanley Auto Loan Trust, 2.17%,
04/15/11, Ser. 2003-HB1, Class A2 $ 461
Onyx Acceptance Grantor Trust,
320 3.20%, 03/15/10, Ser. 2003-D, Class A4 319
450 2.66%, 05/17/10, Ser. 2003-C, Class A4 443
Option One Mortgage Loan Trust,
393 2.84%, 02/25/33, Ser. 2003-1,
Class A2, FRN 394
248 2.74%, 07/01/33, Ser. 2003-5,
Class A2, FRN 248
Residential Asset Securities Corp.,
183 2.67%, 07/25/32, Ser. 2002-KS4,
Class AIIB, FRN 182
525 2.71%, 07/25/33, Ser. 2003-KS5,
Class AIIB, FRN 525
426 2.74%, 11/25/33, Ser. 2003-KS9,
Class A2B, FRN 427
1,790 SLM Student Loan Trust, 2.99%,
12/15/22, Ser. 2003-11, Class A5, # 1,789
Triad Auto Receivables Owner Trust,
1,365 2.50%, 09/13/10, Ser. 2004-A, Class A4 1,325
525 3.20%, 12/13/10, Ser. 2003-B, Class A4 520
Volkswagon Auto Loan Enhanced Trust,
1,510 1.93%, 01/20/10, Ser. 2003-1, Class A4 1,472
615 2.94%, 03/22/10, Ser. 2003-2, Class A4 608
Wachovia Asset Securitization, Inc.,
390 2.85%, 12/25/32, Ser. 2002-HE2,
Class A, FRN 391
573 2.68%, 07/25/33, Ser. 2003-HE2,
Class AII1, FRN 573
335 WFS Financial Owner Trust, 3.15%,
05/20/11, Ser. 2003-4, Class A4 333
--------------------------------------------------------------------
Total Asset Backed Securities 26,631
(Cost $26,810)
--------------------------------------------------------------------
INVESTMENT COMPANY -- 0.0% ^
1 Technology Investment Capital Corp. 20
(Cost $19)
--------------------------------------------------------------------
Total Long Term Investments 441,495
(Cost $355,817)
--------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
42
<Page>
<Table>
<Caption>
UNITS ISSUER VALUE
- ------------------------------------------------------------------------------------
SHOT-TERM INVESTMENTS -- 11.4%
OPTIONS -- 0.0% ^
0^^ Call Option on U.S. Treasury Note,
strike price of 112.00, expiring 01/21/05,
European Style. $ 7
0^^ Put Option on U.S. Treasury Note,
strike price of 111.00, expiring 01/21/05,
European Style. 3
--------------------------------------------------------------------
0^^ Put Option on U.S. Treasury Note,
strike price of 112.00, expiring 01/21/05,
European Style. 9
--------------------------------------------------------------------
Total Options 19
(Cost $36)
--------------------------------------------------------------------
<Caption>
PRINCIPAL
AMOUNT
(USD)
- ------------------------------------------------------------------------------------
U.S. TREASURY SECURITIES -- 0.2%
$ 130 U.S Treasury Bills, 2.16%, 02/24/05 @ 130
600 U.S. Treasury Notes & Bonds,
1.63%, 01/31/05 @ 599
--------------------------------------------------------------------
Total U.S. Treasury Securities 729
(Cost $730)
--------------------------------------------------------------------
U.S. GOVERNMENT AGENCY SECURITY -- 0.3%
1,250 Federal Home Loan Mortgage Corp.,
2.25%, 02/01/05, Ser. RB+ 1,248
(Cost $1,248)
COMMERCIAL PAPER -- 6.1%
ASSET BACKED SECURITIES -- 1.9%
2,500 Amsterdam Funding Corp.,
2.19%, 01/18/05 + 2,497
2,000 Fairway Finance Corp.,
2.23%, 01/19/05 + 1,998
1,750 Sheffield Receivables Corp.,
2.32%, 01/13/05 + 1,749
2,500 Windmill Funding Corp.,
2.12%, 01/11/05 + 2,498
--------------------------------------------------------------------
8,742
--------------------------------------------------------------------
BANKING -- 2.6%
$ 2,000 Banque Generale du Luxembourg SA
(Luxembourg), 2.27%, 02/02/05 + $ 1,996
2,500 ING (US) Funding LLC,
2.25%, 01/28/05 + 2,496
2,250 Norddeutsche Landesbank Girozentrale
(Germany), 2.27%, 01/06/05 + 2,249
2,750 Stadshypotek Bank (Sweden),
2.10%, 01/10/05 + 2,748
2,250 Westdeutsche Landesbank Girozentrale
(Germany), 2.27%, 02/01/05 + 2,245
--------------------------------------------------------------------
11,734
--------------------------------------------------------------------
FINANCIAL SERVICES -- 1.6%
2,500 CIT Group, Inc., 2.35%, 02/11/05 + 2,493
2,500 Citigroup Global Markets Holdings, Inc.,
2.32%, 01/20/05 + 2,498
2,250 Goldman Sachs Group, Inc.,
2.35%, 02/15/05 + 2,243
--------------------------------------------------------------------
7,234
--------------------------------------------------------------------
Total Commercial Paper 27,710
(Cost $27,710)
--------------------------------------------------------------------
<Caption>
SHARES
- ------------------------------------------------------------------------------------
MONEY MARKET FUND -- 4.8%
21,838 JPMorgan Prime Money Market Fund (a) + 21,838
(Cost $21,838)
--------------------------------------------------------------------
Total Short-Term Investments 51,544
(Cost $51,562)
--------------------------------------------------------------------
TOTAL INVESTMENTS -- 108.9% $ 493,039
(COST $407,379)
--------------------------------------------------------------------
LIABILITIES IN EXCESS
OF OTHER ASSETS -- (8.9)% (40,246)
--------------------------------------------------------------------
NET ASSETS -- 100.0% $ 452,793
--------------------------------------------------------------------
</Table>
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
43
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT
(USD) COLLATERAL INVESTMENTS VALUE
- ------------------------------------------------------------------------------------
REPURCHASE AGREEMENT (c)
$ 10,957 Cantor Fitzgerald Securities 2.35%,
dated 12/31/04, due 01/03/05,
proceeds $10,959 collateralized by
U.S. Government Agency Securities $ 10,957
</Table>
SUMMARY OF INVESTMENTS BY COUNTRY, DECEMBER 31, 2004
<Table>
<Caption>
COUNTRY % OF INVESTMENT SECURITIES
- ----------------------------------------------------
United States 80.9%
United Kingdom 3.8
Germany 2.9
Japan 2.3
France 1.7
Bermuda 1.3
Sweden 0.9
Switzerland 0.8
The Netherlands 0.7
Other (below 0.5%) 4.7
- ----------------------------------------------------
Total 100.0%
- ----------------------------------------------------
</Table>
FUTURES CONTRACTS
(Amounts in thousands, except number of contracts)
<Table>
<Caption>
NOTIONAL UNREALIZED
NUMBER OF VALUE AT APPRECIATION
CONTRACTS DESCRIPTION EXPIRATION DATE 12/31/04 (USD) (DEPRECIATION) (USD)
- ------------------------------------------------------------------------------------------------------------------
LONG FUTURES OUTSTANDING
43 Treasury Bonds March, 2005 $ 4,838 $ 28
34 2 Year Treasury Notes March, 2005 7,126 (4)
19 DJ Euro Stoxx March, 2005 761 2
11 S&P 500 Index March, 2005 3,338 13
3 FTSE 100 Index March, 2005 276 (-)^^
2 Topix Index March, 2005 224 -^^
SHORT FUTURES OUTSTANDING
(121) 5 Year Treasury Notes March, 2005 (13,253) (28)
(8) 10 Year Treasury Notes March, 2005 (896) (9)
(34) Eurodollar December, 2006 (8,163) 11
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
44
<Page>
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS
<Table>
<Caption>
NET UNREALIZED
SETTLEMENT SETTLEMENT VALUE AT APPRECIATION
CONTRACTS TO BUY DATE VALUE (USD) 12/31/04 (USD) (DEPRECIATION) (USD)
- ---------------------------------------------------------------------------------------------------------------
3,304 AUD 2/24/05 $ 2,576 $ 2,580 $ 4
617 CHF 2/24/05 545 544 (1)
2,555 EUR 2/24/05 3,342 3,474 132
10 GBP 1/4/05 19 19 -^^
210 GBP 2/24/05 400 402 2
2,000 JPY 1/4/05 19 19 -^^
88,680 JPY 2/24/05 860 868 8
354 NOK 2/24/05 57 59 2
447 SEK 2/24/05 65 67 2
- ---------------------------------------------------------------------------------------------------------------
$ 7,883 $ 8,032 $ 149
- ---------------------------------------------------------------------------------------------------------------
</Table>
<Table>
<Caption>
NET UNREALIZED
SETTLEMENT SETTLEMENT VALUE AT APPRECIATION
CONTRACTS TO SELL DATE VALUE (USD) 12/31/04 (USD) (DEPRECIATION) (USD)
- ---------------------------------------------------------------------------------------------------------------
1,950 CHF 2/24/05 $ 1,685 $ 1,719 $ (34)
440 EUR 2/24/05 579 598 (19)
4,735 EUR 3/22/05 6,131 6,441 (310)
542 GBP 2/24/05 998 1,036 (38)
13,503 HKD 2/24/05 1,745 1,742 3
13,394 JPY 2/24/05 131 131 (-)^^
1,854 SEK 2/24/05 276 279 (3)
1,114 SGD 2/24/05 679 684 (5)
- ---------------------------------------------------------------------------------------------------------------
$ 12,224 $ 12,630 $ (406)
- ---------------------------------------------------------------------------------------------------------------
</Table>
OPTIONS
<Table>
<Caption>
UNITS PUT OPTIONS WRITTEN VALUE
- ------------------------------------------------------------------------------------
- -^^ Call Option on Swap - Forward Rate
Agreement with Merril Lynch
Capital Services, expiring 6/21/06,
if exercised, the Fund pays 4.24%
receives 3 month LIBOR. $ (94)
- -^^ Call Option on U.S. Treasury Note,
strike price of 113.00, expiring 1/21/05,
European Style. $ (5)
- -^^ Call Option on U.S. Treasury Note,
strike price of 110.00, expiring 1/21/05,
European Style. $ (8)
</Table>
SWAP CONTRACTS
<Table>
<Caption>
UNDERLYING UNREALIZED
NOTIONAL APPRECIATION
DESCRIPTIONS EXPIRATION DATE VALUE (DEPRECIATION)
- -----------------------------------------------------------------------------------------------------------------------------------
Swap - price lock with UBS AG on 30 Year FNMA, 5.50%, TBA 1/05
price less 101.25, the Fund pays negative, receives positive. 01/06/05 $ 8,600 $ 23
Interest Rate Swap with Lehman Brothers Special Financing, the Fund
pays 4.63%, receives 3 Month LIBOR. 01/14/15 1,720 2
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
45
<Page>
<Table>
<Caption>
UNDERLYING UNREALIZED
NOTIONAL APPRECIATION
DESCRIPTIONS EXPIRATION DATE VALUE (DEPRECIATION)
- -----------------------------------------------------------------------------------------------------------------------------------
Swap - price lock with Lehman Brothers Special Financing on
30 year FHLMC, 6.25%, TBA, the Fund pays negative, receives positive. 01/14/05 $ 1,065 $ (3)
Swap - price lock with Citibank N.A. on U.S. Treasury Note, 3.63%,
07/15/09, the Fund pays negative, receives positive. 01/18/05 3,500 2
Swap - price lock with UBS AG on U.S. Treasury Note, 4.25%, 11/15/14,
price less 100.30, the Fund pays negative, receives positive. 01/19/05 4,575 (7)
Total Return Swap with UBS AG on Lehman AAA 8.5 CMBS Index, the
Fund pays 1 month LIBOR, receives 30.00 bps. 02/01/05 4,000 44
Spread Return Swap with Bank of America N.A. on Bank of America AAA
10 Year CMBS Index, the Fund pays if the spread widens, receives
carry amount plus 37 bps. 03/31/05 8,500 -
Spread Return Swap on Lehman Brothers Special Financing on Lehman AAA
8.5 CMBS INDEX, the Fund pays if the spread widens, receives
carry amount plus 35bps. 04/01/05 6,500 -
Interest Rate Swap with Merrill Lynch Capital Services, the Fund pays
1 Month LIBOR, receives 2.65%. 04/01/05 207,795 (19)
Swap Rate Lock with Deutsche Bank AG New York on 5 Year Forward
Interest Rate Swap less 4.18%, the Fund pays negative, receives positive. 06/21/05 5,000 11
Swap - rate lock with Deutsche Bank AG New York on 30 Year Forward
Interest Rate Swap less 5.27%, the Fund pays positive, receives negative. 06/21/05 1,500 (7)
Swap - Forward Rate Agreement with Merrill Lynch Capital Services,
the Fund pays 3 Month LIBOR, receives 3.42%. 03/15/06 73,000 (13)
Swap - credit default with Morgan Stanley Capital Services on 5 Mil
Russia Government International Bond, 5.00%, 3/31/30,
95 bps per annum paid semi-annually, if default the Fund receives
an obligation of the underlying entity. 12/20/06 5,000 (1)
Swap - credit default with Morgan Stanley Capital Services on
5 Mil GAZPROM 8.63% 4/28/34, 175 bps per annum paid semi-annually,
if default the Fund receives an obligation of the underlying entity. 12/20/06 5,000 1
Swap - Forward Rate Agreement with Merrill Lynch Capital Services,
the Fund pays 3 Month LIBOR, receives 3.42%. 12/21/05 103,470 40
Swap - Forward Rate Agreement with Merrill Lynch Capital Services,
the Fund pays 3.96%, receives 3 Month LIBOR. 03/21/07 73,000 (1)
Interest Rate Swap with Deutsche Bank AG New York, the Fund
pays 4.60%, receives 3 Month LIBOR. 01/14/15 1,735 5
Interest Rate Swap with UBS AG, the Fund pays 4.62%,
receives 3 Month LIBOR. 01/21/15 4,575 9
Interest Rate Swap with UBS AG, the Fund pays 4.56%,
receives 3 Month LIBOR. 02/01/15 3,500 28
Interest Rate Swap with Lehman Brothers Special Financing, the Fund
pays 5.14%, receives 3 Month LIBOR. 07/15/32 1,151 9
Interest Rate Swap with Lehman Brothers Special Financing, the Fund
pays 3 Month LIBOR, receives 5.23%. 01/14/35 1,215 1
Interest Rate Swap with Deutsche Bank AG New York, the Fund
pays 3 Month LIBOR, receives 5.22% 01/14/35 1,130 (2)
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
46
<Page>
JPMORGAN EQUITY GROWTH FUND
PORTFOLIO OF INVESTMENTS AS OF DECEMBER 31, 2004
(Amounts in thousands)
<Table>
<Caption>
SHARES ISSUER VALUE
- ------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- 99.1%
COMMON STOCKS -- 99.1%
ADVERTISING -- 1.1%
3 Getty Images, Inc.* $ 227
8 Lamar Advertising Co., Class A* 334
--------------------------------------------------------------------
561
--------------------------------------------------------------------
AEROSPACE -- 1.3%
3 General Dynamics Corp. 335
6 Lockheed Martin Corp. 322
--------------------------------------------------------------------
657
--------------------------------------------------------------------
BIOTECHNOLOGY -- 3.5%
6 Amgen, Inc.* 385
8 Biogen Idec, Inc.* 534
6 Genentech, Inc.* 343
8 Gilead Sciences, Inc.* 262
11 Medimmune, Inc.* 295
--------------------------------------------------------------------
1,819
--------------------------------------------------------------------
BROADCASTING/CABLE -- 0.6%
10 EchoStar Communications Corp., Class A 319
BUSINESS SERVICES -- 7.3%
16 Accenture LTD (Bermuda), Class A* 443
11 Affiliated Computer Services, Inc., Class A* 650
9 Apollo Group, Inc., Class A* 743
12 Automatic Data Processing, Inc. 550
7 ChoicePoint, Inc.* 308
6 Cintas Corp. 259
9 Iron Mountain, Inc.* 287
8 Robert Half International, Inc. 247
11 SunGard Data Systems, Inc.* 323
--------------------------------------------------------------------
3,810
--------------------------------------------------------------------
CHEMICALS -- 0.6%
7 Praxair, Inc. 320
COMPUTER NETWORKS -- 3.1%
61 Cisco Systems, Inc.* 1,172
16 Juniper Networks, Inc.* 427
--------------------------------------------------------------------
1,599
--------------------------------------------------------------------
COMPUTER SOFTWARE -- 5.7%
3 Intuit, Inc.* $ 150
74 Microsoft Corp. 1,963
30 Oracle Corp.* 410
10 Red Hat, Inc.* 131
7 SAP AG (Germany), ADR 327
--------------------------------------------------------------------
2,981
--------------------------------------------------------------------
COMPUTERS/COMPUTER HARDWARE -- 4.0%
32 Dell, Inc.* 1,326
19 EMC Corp.* 286
4 Research In Motion LTD (Canada)* 305
3 Zebra Technologies Corp., Class A* 158
--------------------------------------------------------------------
2,075
--------------------------------------------------------------------
CONSUMER PRODUCTS -- 4.1%
27 Procter & Gamble Co. 1,460
15 The Gillette Co. 649
--------------------------------------------------------------------
2,109
--------------------------------------------------------------------
CONSUMER SERVICES -- 0.6%
9 Education Management Corp.* 287
DIVERSIFIED -- 3.0%
25 General Electric Co. 909
19 Tyco International LTD (Bermuda) 672
--------------------------------------------------------------------
1,581
--------------------------------------------------------------------
ELECTRONICS/ELECTRICAL EQUIPMENT -- 1.4%
17 PerkinElmer, Inc. 382
21 Symbol Technologies, Inc. 360
--------------------------------------------------------------------
742
--------------------------------------------------------------------
ENTERTAINMENT/LEISURE -- 1.4%
8 Carnival Corp. 474
7 International Game Technology 248
--------------------------------------------------------------------
722
--------------------------------------------------------------------
FINANCIAL SERVICES -- 6.0%
2 Chicago Mercantile Exchange 521
3 Countrywide Financial Corp. 104
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
47
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- ------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
FINANCIAL SERVICES -- CONTINUED
11 Freddie Mac $ 795
3 Legg Mason, Inc. 187
11 Morgan Stanley 600
11 Providian Financial Corp.* 180
33 The Charles Schwab Corp. 395
6 The First Marblehead Corp.* 315
--------------------------------------------------------------------
3,097
--------------------------------------------------------------------
FOOD/BEVERAGE PRODUCTS -- 2.9%
13 Sysco Corp. 500
25 The Coca-Cola Co. 1,020
--------------------------------------------------------------------
1,520
--------------------------------------------------------------------
HEALTH CARE/HEALTH CARE SERVICES -- 6.3%
14 Baxter International, Inc. 477
11 Boston Scientific Corp.* 395
12 Cytyc Corp.* 331
10 Guidant Corp. 743
11 Laboratory Corp. of America Holdings* 528
9 UnitedHealth Group, Inc. 826
--------------------------------------------------------------------
3,300
--------------------------------------------------------------------
INSURANCE -- 2.7%
3 AMBAC Financial Group, Inc. 246
11 American International Group, Inc. 717
10 Willis Group Holdings LTD (United Kingdom) 420
--------------------------------------------------------------------
1,383
--------------------------------------------------------------------
INTERNET SERVICES/SOFTWARE -- 4.2%
6 eBay, Inc.* 708
2 Google, Inc., Class A* 308
12 VeriSign, Inc.* 389
20 Yahoo!, Inc.* 757
--------------------------------------------------------------------
2,162
--------------------------------------------------------------------
MULTI-MEDIA -- 2.1%
47 Liberty Media Corp., Class A* 515
5 The E.W. Scripps Co., Class A 237
9 Viacom, Inc., Class B 335
--------------------------------------------------------------------
1,087
--------------------------------------------------------------------
OFFICE/BUSINESS EQUIPMENT -- 0.7%
23 Xerox Corp.* $ 386
OIL & GAS -- 2.5%
7 Anadarko Petroleum Corp. 460
5 Newfield Exploration Co.* 289
10 Smith International, Inc.* 539
--------------------------------------------------------------------
1,288
--------------------------------------------------------------------
PHARMACEUTICALS -- 11.1%
9 Eli Lilly & Co. 494
8 Forest Laboratories, Inc.* 350
32 Johnson & Johnson 2,037
8 Merck & Co., Inc. 257
5 OSI Pharmaceuticals, Inc.* 344
53 Pfizer, Inc. 1,433
21 Schering-Plough Corp. 434
8 Sepracor, Inc.* 487
--------------------------------------------------------------------
5,836
--------------------------------------------------------------------
RESTAURANTS/FOOD SERVICES -- 0.3%
3 P.F. Chang's China Bistro, Inc.* 180
RETAILING -- 10.1%
9 CDW Corp. 591
7 CVS Corp. 302
29 Home Depot, Inc. 1,257
6 Kohl's Corp.* 310
10 MSC Industrial Direct Co., Class A 360
7 PETsMART, Inc. 259
15 Staples, Inc. 489
14 Target Corp. 732
19 Wal-Mart Stores, Inc. 1,014
--------------------------------------------------------------------
5,314
--------------------------------------------------------------------
SEMI-CONDUCTORS -- 4.8%
19 Altera Corp.* 385
13 Analog Devices, Inc. 469
17 Applied Materials, Inc.* 284
45 Intel Corp. 1,062
7 Linear Technology Corp. 271
--------------------------------------------------------------------
2,471
--------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
48
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- ------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
SHIPPING/TRANSPORTATION -- 1.2%
4 Expeditors International of Washington, Inc. $ 240
4 United Parcel Service, Inc., Class B 376
--------------------------------------------------------------------
616
--------------------------------------------------------------------
STEEL -- 0.6%
6 United States Steel Corp. 302
TELECOMMUNICATIONS -- 2.9%
36 Crown Castle International Corp.* 607
18 Nextel Communications, Inc., Class A 525
15 Sprint Corp. -- FON Group 373
--------------------------------------------------------------------
1,505
--------------------------------------------------------------------
TELECOMMUNICATIONS EQUIPMENT -- 3.0%
30 Corning, Inc.* 348
23 Motorola, Inc. 392
19 QUALCOMM, Inc. 810
--------------------------------------------------------------------
1,550
--------------------------------------------------------------------
Total Common Stocks 51,579
(Cost $46,547)
--------------------------------------------------------------------
SHORT-TERM INVESTMENTS -- 1.1%
MONEY MARKET FUND -- 1.1%
557 JPMorgan Prime Money Market Fund (a) $ 557
(Cost $557)
--------------------------------------------------------------------
TOTAL INVESTMENTS -- 100.2% $ 52,136
(COST $47,104)
--------------------------------------------------------------------
LIABILITIES IN EXCESS
OF OTHER ASSETS -- (0.2)% (115)
--------------------------------------------------------------------
NET ASSETS -- 100.0% $ 52,021
--------------------------------------------------------------------
</Table>
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
49
<Page>
JPMORGAN EQUITY INCOME FUND
PORTFOLIO OF INVESTMENTS AS OF DECEMBER 31, 2004
(Amounts in thousands)
<Table>
<Caption>
SHARES ISSUER VALUE
- ------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- 96.5%
COMMON STOCKS -- 96.5%
AGRICULTURAL PRODUCTION/SERVICES -- 0.5%
7 UST, Inc. $ 351
APPAREL -- 1.2%
14 VF Corp. 775
APPLIANCES & HOUSEHOLD DURABLES -- 1.6%
25 Furniture Brands International, Inc. (l) 629
6 Whirlpool Corp. 408
--------------------------------------------------------------------
1,037
--------------------------------------------------------------------
AUTOMOTIVE -- 0.7%
10 Genuine Parts Co. 432
BANKING -- 18.8%
51 Bank of America Corp. 2,400
26 Compass Bancshares, Inc. 1,256
12 Fifth Third Bancorp 567
4 M&T Bank Corp. 431
21 New York Community Bancorp, Inc. (l) 442
26 North Fork Bancorporation, Inc. 762
17 Northern Trust Corp. 845
8 SunTrust Banks, Inc. 613
6 TCF Financial Corp. 183
20 The Bank of New York Co., Inc. 672
40 U.S. Bancorp 1,240
36 Wachovia Corp. 1,890
11 Wells Fargo & Co. 659
--------------------------------------------------------------------
11,960
--------------------------------------------------------------------
BUSINESS SERVICES -- 0.7%
20 Cendant Corp. 465
CHEMICALS -- 1.2%
9 PPG Industries, Inc. 607
4 The Sherwin-Williams Co. 174
--------------------------------------------------------------------
781
--------------------------------------------------------------------
COMPUTER SOFTWARE -- 1.4%
35 Microsoft Corp. 924
COMPUTERS/COMPUTER HARDWARE -- 0.7%
22 Hewlett-Packard Co. 456
CONSTRUCTION MATERIALS -- 1.1%
13 Vulcan Materials Co. $ 694
CONSUMER PRODUCTS -- 3.4%
14 Altria Group, Inc. 880
9 Fortune Brands, Inc. 679
21 Loews Corp. -- Carolina Group 608
--------------------------------------------------------------------
2,167
--------------------------------------------------------------------
DIVERSIFIED -- 3.2%
56 General Electric Co. 2,048
ELECTRONICS/ELECTRICAL EQUIPMENT -- 0.5%
5 Emerson Electric Co. 343
ENTERTAINMENT/LEISURE -- 1.6%
50 Regal Entertainment Group, Class A (l) 1,044
FINANCIAL SERVICES -- 7.4%
58 Citigroup, Inc. 2,785
17 Freddie Mac 1,275
16 Washington Mutual, Inc. 693
--------------------------------------------------------------------
4,753
--------------------------------------------------------------------
FOOD/BEVERAGE PRODUCTS -- 1.6%
6 Kellogg Co. 281
18 The Coca-Cola Co. 762
--------------------------------------------------------------------
1,043
--------------------------------------------------------------------
INSURANCE -- 9.0%
24 Chubb Corp. 1,831
9 Hartford Financial Services Group, Inc. 596
19 IPC Holdings LTD (Bermuda) 810
18 Marsh & McLennan Companies, Inc. 582
19 Old Republic International Corp. 478
14 SAFECO Corp. 710
10 The Allstate Corp. 507
6 Willis Group Holdings LTD (United Kingdom) 226
--------------------------------------------------------------------
5,740
--------------------------------------------------------------------
MANUFACTURING -- 1.2%
7 Cooper Industries LTD, Class A 468
8 Honeywell International, Inc. 294
--------------------------------------------------------------------
762
--------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
50
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- ------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
MULTI-MEDIA -- 0.5%
5 Knight Ridder, Inc. $ 335
OIL & GAS -- 10.4%
33 ChevronTexaco Corp. 1,746
19 ConocoPhillips 1,606
56 Exxon Mobil Corp. 2,881
8 Questar Corp. 408
--------------------------------------------------------------------
6,641
--------------------------------------------------------------------
PAPER/FOREST PRODUCTS -- 0.9%
12 Rayonier, Inc. 580
PHARMACEUTICALS -- 1.6%
6 Johnson & Johnson 368
24 Pfizer, Inc. 648
--------------------------------------------------------------------
1,016
--------------------------------------------------------------------
PIPELINES -- 0.6%
5 Kinder Morgan, Inc. 388
REAL ESTATE -- 2.4%
12 Brascan Corp. (Canada), Class A 438
16 Brookfield Properties Corp. (Canada) 595
15 WP Carey & Co., LLC (l) 520
--------------------------------------------------------------------
1,553
--------------------------------------------------------------------
REAL ESTATE INVESTMENT TRUST -- 3.5%
22 Extra Space Storage, Inc. 288
5 Global Signal, Inc. (l) + 149
9 ProLogis 399
12 PS Business Parks, Inc. 545
7 Regency Centers Corp. 382
27 U-Store-It Trust* 462
--------------------------------------------------------------------
2,225
--------------------------------------------------------------------
RETAILING -- 1.2%
26 The May Department Stores Co. 767
TELECOMMUNICATIONS -- 7.9%
30 Alltel Corp. 1,786
37 BellSouth Corp. 1,034
23 SBC Communications, Inc. 598
41 Verizon Communications, Inc. $ 1,641
--------------------------------------------------------------------
5,059
--------------------------------------------------------------------
UTILITIES -- 11.7%
32 AGL Resources, Inc. 1,046
7 Dominion Resources, Inc. 495
14 Entergy Corp. 960
15 Exelon Corp. 648
11 FirstEnergy Corp. 435
9 FPL Group, Inc. 658
9 KeySpan Corp. (l) 343
56 Northeast Utilities 1,045
11 Pinnacle West Capital Corp. 471
19 SCANA Corp. 745
18 Wisconsin Energy Corp. 607
--------------------------------------------------------------------
7,453
--------------------------------------------------------------------
Total Common Stocks $ 61,792
(Cost $48,043)
--------------------------------------------------------------------
SHORT-TERM INVESTMENTS - 3.4%
MONEY MARKET FUND -- 3.4%
2,196 JPMorgan Prime Money Market Fund (a) 2,196
(Cost $2,196)
--------------------------------------------------------------------
TOTAL INVESTMENTS -- 99.9% $ 63,988
(COST $50,239)
--------------------------------------------------------------------
OTHER ASSETS IN EXCESS
OF LIABILITIES -- 0.1% 62
--------------------------------------------------------------------
NET ASSETS -- 100.0% $ 64,050
--------------------------------------------------------------------
</Table>
Percentages indicated are based on net assets.
<Table>
<Caption>
PRINCIPAL
AMOUNT
(USD) COLLATERAL INVESTMENTS VALUE
- ------------------------------------------------------------------------------------
REPURCHASE AGREEMENT (c)
$ 2,817 Cantor Fitzgerald Securities 2.35%,
dated 12/31/04, due 01/03/05,
proceeds $2,818 collateralized by
U.S. Government Agency Securities $ 2,817
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
51
<Page>
JPMORGAN U.S. EQUITY FUND
PORTFOLIO OF INVESTMENTS AS OF DECEMBER 31, 2004
(Amounts in thousands)
<Table>
<Caption>
SHARES ISSUER VALUE
- ------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- 101.1%
COMMON STOCKS -- 101.1%
AEROSPACE -- 1.7%
56 Lockheed Martin Corp. $ 3,083
51 United Technologies Corp. 5,311
--------------------------------------------------------------------
8,394
--------------------------------------------------------------------
APPAREL -- 1.0%
53 Nike, Inc., Class B 4,770
AUTOMOTIVE -- 0.9%
63 Ford Motor Co. 915
24 General Motors Corp. (l) 957
36 Johnson Controls, Inc. 2,258
--------------------------------------------------------------------
4,130
--------------------------------------------------------------------
BANKING -- 2.7%
81 North Fork Bancorporation, Inc. 2,333
23 The Bank of New York Co., Inc. 769
132 U.S. Bancorp 4,134
94 Wells Fargo & Co. 5,860
--------------------------------------------------------------------
13,096
--------------------------------------------------------------------
BIOTECHNOLOGY -- 2.2%
89 Amgen, Inc.* 5,690
26 Biogen Idec, Inc.* 1,719
88 Gilead Sciences, Inc.* 3,092
--------------------------------------------------------------------
10,501
--------------------------------------------------------------------
BUSINESS SERVICES -- 0.9%
108 Accenture LTD (Bermuda), Class A* 2,910
33 First Data Corp. 1,421
--------------------------------------------------------------------
4,331
--------------------------------------------------------------------
CHEMICALS -- 1.5%
64 Air Products & Chemicals, Inc. 3,681
84 Praxair, Inc. 3,695
--------------------------------------------------------------------
7,376
--------------------------------------------------------------------
COMPUTER NETWORKS -- 1.4%
361 Cisco Systems, Inc.* 6,961
COMPUTER SOFTWARE -- 4.3%
483 Microsoft Corp. 12,904
568 Oracle Corp.* 7,793
--------------------------------------------------------------------
20,697
--------------------------------------------------------------------
COMPUTERS/COMPUTER HARDWARE -- 3.9%
70 Dell, Inc.* $ 2,945
239 EMC Corp.* 3,552
217 Hewlett-Packard Co. 4,544
65 International Business Machines Corp. 6,409
20 Lexmark International, Inc., Class A* 1,683
--------------------------------------------------------------------
19,133
--------------------------------------------------------------------
CONSTRUCTION -- 0.4%
31 Lennar Corp., Class A (l) 1,763
CONSTRUCTION MATERIALS -- 0.2%
21 Masco Corp. 753
CONSUMER PRODUCTS -- 4.3%
67 Altria Group, Inc. 4,106
209 Procter & Gamble Co. 11,515
118 The Gillette Co. 5,287
--------------------------------------------------------------------
20,908
--------------------------------------------------------------------
DIVERSIFIED -- 6.8%
537 General Electric Co. 19,595
375 Tyco International LTD (Bermuda) 13,389
--------------------------------------------------------------------
32,984
--------------------------------------------------------------------
ENTERTAINMENT/LEISURE -- 1.0%
60 Carnival Corp. (l) 3,457
39 International Game Technology 1,331
--------------------------------------------------------------------
4,788
--------------------------------------------------------------------
ENVIRONMENTAL SERVICES -- 0.5%
128 Nalco Holding Co.* 2,493
FINANCIAL SERVICES -- 12.6%
105 CIT Group, Inc. 4,792
461 Citigroup, Inc. 22,233
69 Countrywide Financial Corp. 2,560
76 Freddie Mac 5,575
211 MBNA Corp. 5,940
267 Morgan Stanley 14,802
67 State Street Corp. 3,271
209 The Charles Schwab Corp. 2,496
--------------------------------------------------------------------
61,669
--------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
52
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- ------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
FOOD/BEVERAGE PRODUCTS -- 2.8%
89 PepsiCo, Inc. $ 4,643
216 The Coca-Cola Co. 8,987
--------------------------------------------------------------------
13,630
--------------------------------------------------------------------
HEALTH CARE/HEALTH CARE SERVICES -- 3.5%
22 Aetna, Inc. 2,695
20 Bausch & Lomb, Inc. 1,283
96 Baxter International, Inc. 3,308
84 Boston Scientific Corp.* 2,997
44 Guidant Corp. 3,167
14 HCA, Inc. 539
34 McKesson Corp. 1,060
16 WellPoint, Inc.* (l) 1,885
--------------------------------------------------------------------
16,934
--------------------------------------------------------------------
HOTELS/OTHER LODGING -- 1.1%
82 Hilton Hotels Corp. 1,858
27 Marriott International, Inc., Class A 1,719
22 MGM Mirage* (l) 1,586
--------------------------------------------------------------------
5,163
--------------------------------------------------------------------
INSURANCE -- 5.9%
124 AFLAC, Inc. + 4,956
101 AMBAC Financial Group, Inc. 8,273
138 RenaissanceRe Holdings LTD (Bermuda) 7,208
200 Willis Group Holdings LTD
(United Kingdom) 8,234
--------------------------------------------------------------------
28,671
--------------------------------------------------------------------
INTERNET SERVICES/SOFTWARE -- 0.7%
30 eBay, Inc.* 3,465
MACHINERY & ENGINEERING EQUIPMENT -- 0.8%
38 Caterpillar, Inc. 3,725
MANUFACTURING -- 0.6%
35 3M Co. 2,856
METALS/MINING -- 0.6%
98 Alcoa, Inc. 3,073
MULTI-MEDIA -- 4.3%
45 Gannett Co., Inc. $ 3,693
102 News Corp., Class A (l) 1,911
117 The E.W. Scripps Co., Class A 5,646
268 Viacom, Inc., Class B 9,746
--------------------------------------------------------------------
20,996
--------------------------------------------------------------------
OIL & GAS -- 7.2%
29 Anadarko Petroleum Corp. 1,874
44 Baker Hughes, Inc. 1,873
94 ChevronTexaco Corp. 4,921
34 ConocoPhillips 2,936
100 Devon Energy Corp. 3,905
289 Exxon Mobil Corp. 14,831
53 Rowan Companies, Inc.* (l) 1,367
73 Unocal Corp. 3,139
--------------------------------------------------------------------
34,846
--------------------------------------------------------------------
PHARMACEUTICALS -- 7.3%
117 Eli Lilly & Co. 6,628
62 Forest Laboratories, Inc.* 2,790
165 Johnson & Johnson 10,455
75 Merck & Co., Inc. 2,423
46 OSI Pharmaceuticals, Inc.* 3,421
281 Pfizer, Inc. 7,564
43 Sepracor, Inc.* (l) 2,523
--------------------------------------------------------------------
35,804
--------------------------------------------------------------------
RESTAURANTS/FOOD SERVICES -- 1.3%
112 McDonald's Corp. 3,597
57 Yum! Brands, Inc. 2,673
--------------------------------------------------------------------
6,270
--------------------------------------------------------------------
RETAILING -- 6.9%
94 Dollar General Corp. 1,952
43 Federated Department Stores, Inc. 2,462
98 Home Depot, Inc. 4,189
105 Kohl's Corp.* 5,183
69 Lowe's Companies, Inc. 3,956
87 Staples, Inc. 2,940
106 Target Corp. 5,518
135 Wal-Mart Stores, Inc. 7,114
--------------------------------------------------------------------
33,314
--------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
53
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- ------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
SEMI-CONDUCTORS -- 2.4%
159 Analog Devices, Inc. $ 5,863
187 Intel Corp. 4,374
47 Xilinx, Inc. 1,397
--------------------------------------------------------------------
11,634
--------------------------------------------------------------------
SHIPPING/TRANSPORTATION -- 1.4%
38 CSX Corp. 1,539
62 United Parcel Service, Inc., Class B 5,282
--------------------------------------------------------------------
6,821
--------------------------------------------------------------------
STEEL -- 0.3%
29 United States Steel Corp. (l) 1,502
TELECOMMUNICATIONS -- 3.4%
72 Nextel Communications, Inc., Class A (l)* 2,163
196 SBC Communications, Inc. 5,059
63 Sprint Corp. -- FON Group 1,555
196 Verizon Communications, Inc. 7,942
--------------------------------------------------------------------
16,719
--------------------------------------------------------------------
TELECOMMUNICATIONS EQUIPMENT -- 2.0%
214 Corning, Inc.* 2,519
157 Motorola, Inc. 2,700
104 QUALCOMM, Inc. 4,389
--------------------------------------------------------------------
9,608
--------------------------------------------------------------------
UTILITIES -- 2.3%
55 Dominion Resources, Inc. $ 3,752
36 FPL Group, Inc. 2,706
50 Pinnacle West Capital Corp. 2,201
48 PPL Corp. 2,531
--------------------------------------------------------------------
11,190
--------------------------------------------------------------------
Total Common Stocks 490,968
(Cost $380,449)
--------------------------------------------------------------------
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS -- 3.0%
U.S. TREASURY SECURITY -- 0.2%
$ 1,150 U.S. Treasury Notes & Bonds,
1.50%, 7/31/05 @ $ 1,143
(Cost $1,144)
--------------------------------------------------------------------
<Caption>
SHARES
- ------------------------------------------------------------------------------------
MONEY MARKET FUND -- 2.8%
13,512 JPMorgan Prime Money Market Fund (a) + 13,512
(Cost $13,512)
--------------------------------------------------------------------
Total Short-Term Investments 14,655
(Cost $14,656)
--------------------------------------------------------------------
TOTAL INVESTMENTS -- 104.1% $ 505,623
(COST $395,105)
--------------------------------------------------------------------
LIABILITIES IN EXCESS
OF OTHER ASSETS -- (4.1)% (20,127)
--------------------------------------------------------------------
NET ASSETS -- 100.0% $ 485,496
--------------------------------------------------------------------
</Table>
Percentages indicated are based on net assets.
<Table>
<Caption>
PRINCIPAL
AMOUNT
(USD) COLLATERAL INVESTMENTS VALUE
- ------------------------------------------------------------------------------------
REPURCHASE AGREEMENT (c)
$ 10,377 Deutsche Bank Securities 2.33%,
dated 12/31/04, due 01/03/05,
proceeds $10,379 collateralized by
U.S. Government Agency Securities $ 10,377
</Table>
FUTURES CONTRACTS
(Amounts in thousands, except number of contracts)
<Table>
<Caption>
NOTIONAL UNREALIZED
NUMBER OF VALUE AT APPRECIATION/
CONTRACTS DESCRIPTION EXPIRATION DATE 12/31/04 (USD) (DEPRECIATION) (USD)
- ---------------------------------------------------------------------------------------------------------------------------
LONG FUTURES OUTSTANDING
48 S&P 500 Index March, 2005 $ 14,564 $ 324
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
54
<Page>
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 securities or swaps.
# -- All or a portion of this security is a 144A or private placement
security and can only be sold to qualified institutional buyers.
@ -- Security is fully or partially segregated with the broker as
collateral for futures.
(a) -- Affiliated. Money market fund registered under the Investment
Company Act of 1940, as amended and advised by J.P. Morgan
Investment Management Inc.
(c) -- Investment of cash collateral for portfolio securities on loan.
(f) -- Fair valued investment. The following are approximately the
market value and percentage of the investments that are fair
valued (amounts in thousands):
<Table>
<Caption>
FUND MARKET VALUE PERCENTAGE
----------------------------------------
Diversified Fund $ 50,656 10.27%
</Table>
(i) -- Security is illiquid and may be difficult to sell.
(l) -- Security, or a portion of the security, has been delivered to a
counterparty as part of a security lending transaction.
ADR -- American Depositary Receipt.
AUD -- Australian Dollar.
CHF -- Swiss Franc.
EUR -- Euro.
FRN -- Floating Rate Note. The interest rate shown is the rate in effect as
of December 31, 2004.
GBP -- Great Britain Pound.
GDR -- Global Depositary Receipt.
HKD -- Hong Kong Dollar.
IO -- Interest Only.
JPY -- Japanese Yen.
LIBOR -- London Interbank Offered Rate.
MTN -- Medium Term Note.
NOK -- Norwegian Krone.
SEK -- Swedish Krona.
Ser. -- Series.
SGD -- Singapore Dollar.
SUB -- Step-Up Bond. The rate shown is the rate in effect as of December 31,
2004.
TBA -- To Be Announced.
USD -- United States Dollar.
SEE NOTES TO FINANCIAL STATEMENTS.
55
<Page>
JPMORGAN FUNDS
STATEMENT OF ASSETS
AND LIABILITIES AS OF DECEMBER 31, 2004
(Amounts in thousands, except per share amounts)
<Table>
<Caption>
DISCIPLINED EQUITY EQUITY
EQUITY DIVERSIFIED GROWTH INCOME U.S. EQUITY
FUND FUND FUND FUND FUND
ASSETS
Investments in non-affiliates, at value $ 521,842 $ 471,201 $ 51,579 $ 61,792 $ 492,111
Investments in affiliates, at value 3,149 21,838 557 2,196 13,512
- -------------------------------------------------------------------------------------------------------------------
Total investment securities, at value 524,991 493,039 52,136 63,988 505,623
- -------------------------------------------------------------------------------------------------------------------
Investments held as collateral for
securities lending program -- 10,957 -- 2,817 10,377
Cash -- 1,213 3 2 --
Segregated Cash -- 153 -- -- --
Foreign currency, at value -- 130 -- -- --
Receivables:
Investment securities sold 101 23,574 403 244 1,462
Fund shares sold 939 28,091 1 26 194
Interest and dividends 615 1,359 34 108 613
Foreign tax reclaim -- 148 -- -- --
Unrealized appreciation on forward
foreign currency exchange contracts -- 153 -- -- --
Unrealized appreciation on open
swap contracts -- 175 -- -- --
Securities lending (net) -- 2 -- 1 3
Expense reimbursements 1 -- 6 -- 4
- -------------------------------------------------------------------------------------------------------------------
Total Assets 526,647 558,994 52,583 67,186 518,276
- -------------------------------------------------------------------------------------------------------------------
LIABILITIES
Payables:
Due to custodian -- -- -- -- 897
Distributions -- -- -- -- 536
Investment securities purchased 102 66,910 353 158 --
Collateral for securities
lending program -- 10,957 -- 2,817 10,377
Fund shares redeemed 602 27,261 95 15 20,445
Variation margin 3 12 -- -- 13
Unrealized depreciation on forward
foreign currency exchange contracts -- 410 -- -- --
Outstanding options written,
at fair value -- 107 -- -- --
Unrealized depreciation on open
swap contracts -- 53 -- -- --
Accrued liabilities:
Investment advisory fees 111 168 11 15 173
Administration fees 14 31 -- 3 41
Shareholder servicing fees 44 34 6 11 72
Distribution fees --^ 18 5 7 30
Custodian fees 22 53 2 13 17
Trustees' fees - deferred
compensation plan 4 9 5 6 12
Other 159 178 85 91 167
- -------------------------------------------------------------------------------------------------------------------
Total Liabilities 1,061 106,201 562 3,136 32,780
- -------------------------------------------------------------------------------------------------------------------
NET ASSETS $ 525,586 $ 452,793 $ 52,021 $ 64,050 $ 485,496
- -------------------------------------------------------------------------------------------------------------------
</Table>
^ Amount rounds to less than one thousand.
SEE NOTES TO FINANCIAL STATEMENTS.
56
<Page>
<Table>
<Caption>
DISCIPLINED EQUITY EQUITY
EQUITY DIVERSIFIED GROWTH INCOME U.S. EQUITY
FUND FUND FUND FUND FUND
NET ASSETS:
Paid in capital $ 842,449 $ 437,605 $ 111,042 $ 64,282 $ 455,541
Accumulated undistributed
(overdistributed) net investment income 75 358 (5) (2) 470
Accumulated net realized gain (loss)
on investments, futures, foreign
exchange transactions, written options
and swaps (465,544) (70,684) (64,048) (13,979) (81,357)
Net unrealized appreciation
(depreciation) of investments, futures,
foreign exchange translations, written
options and swaps 148,606 85,514 5,032 13,749 110,842
- -------------------------------------------------------------------------------------------------------------------
Total Net Assets $ 525,586 $ 452,793 $ 52,021 $ 64,050 $ 485,496
- -------------------------------------------------------------------------------------------------------------------
Class A $ 1,847 $ 42,711 $ 15,374 $ 18,047 $ 52,893
Class B $ -- $ 13,641 $ 7,472 $ 8,062 $ 24,746
Class C $ -- $ 786 $ 789 $ 3,497 $ 4,376
Institutional $ 341,580 $ 258,665 $ -- $ -- $ 63,670
Select $ 79,342 $ 136,990 $ 28,386 $ 34,444 $ 339,811
Ultra $ 102,817 $ -- $ -- $ -- $ --
- -------------------------------------------------------------------------------------------------------------------
Total $ 525,586 $ 452,793 $ 52,021 $ 64,050 $ 485,496
- -------------------------------------------------------------------------------------------------------------------
Shares of beneficial interest outstanding
($0.001 par value; unlimited number
of shares authorized):
Class A 125 3,111 535 560 4,814
Class B -- 994 268 250 2,270
Class C -- 57 28 109 402
Institutional 23,104 18,824 -- -- 5,801
Select 5,362 9,962 971 1,068 30,964
Ultra 6,953 -- -- -- --
Net Asset Value:
Class A (and redemption price) $ 14.78 $ 13.73 $ 28.72 $ 32.25 $ 10.99
Class B* $ -- $ 13.72 $ 27.93 $ 32.20 $ 10.90
Class C* $ -- $ 13.72 $ 27.91 $ 32.17 $ 10.90
Institutional (and redemption price) $ 14.78 $ 13.74 $ -- $ -- $ 10.97
Select (and redemption price) $ 14.80 $ 13.75 $ 29.24 $ 32.24 $ 10.97
Ultra Shares (and redemption price) $ 14.79 $ -- $ -- $ -- $ --
Class A Maximum Public Offering
Price Per Share (net asset value per
share/94.75%) $ 15.60 $ 14.49 $ 30.31 $ 34.04 $ 11.60
Cost of investments $ 376,456 $ 407,379 $ 47,104 $ 50,239 $ 395,105
Cost of foreign currency $ -- $ 124 $ -- $ -- $ --
- -------------------------------------------------------------------------------------------------------------------
Premiums received from options written $ -- $ 33 $ -- $ -- $ --
- -------------------------------------------------------------------------------------------------------------------
Investment securities on loan, at value $ -- $ 10,745 $ -- $ 2,756 $ 10,204
- -------------------------------------------------------------------------------------------------------------------
</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 DECEMBER 31, 2004
(Amounts in thousands)
<Table>
<Caption>
DISCIPLINED EQUITY EQUITY
EQUITY DIVERSIFIED GROWTH INCOME U.S. EQUITY
FUND FUND FUND FUND FUND
INVESTMENT INCOME
Interest $ 9 $ 5,461 $ -- $ -- $ 15
Dividend 10,149 5,894 710 1,907 8,784
Dividend income from affiliated
investments* 93 446 7 21 141
Securities lending (net) -- 12 -- 4 18
Foreign taxes withheld --^ (141) (2) (2) (1)
- -------------------------------------------------------------------------------------------------------------------
Total investment income 10,251 11,672 715 1,930 8,957
- -------------------------------------------------------------------------------------------------------------------
EXPENSES
Investment advisory fees 1,302 2,519 298 242 1,961
Administration fees 781 687 89 91 735
Shareholder servicing fees 583 752 149 151 1,098
Distribution fees 5 221 107 125 367
Custodian fees 95 293 82 60 98
Interest expense --^ --^ -- 1 --^
Printing and postage 34 53 17 17 76
Professional fees 71 127 44 53 65
Registration expenses 216 96 54 51 73
Transfer agent fees 74 231 183 145 381
Trustees' fees 8 7 1 1 7
Other 47 45 6 8 34
- -------------------------------------------------------------------------------------------------------------------
Total expenses 3,216 5,031 1,030 945 4,895
- -------------------------------------------------------------------------------------------------------------------
Less amounts waived 816 1,235 271 225 628
Less earnings credits 1 3 -- --^ 1
Less expense reimbursements 18 5 37 22 82
- -------------------------------------------------------------------------------------------------------------------
Net expenses 2,381 3,788 722 698 4,184
- -------------------------------------------------------------------------------------------------------------------
Net investment income (loss) 7,870 7,884 (7) 1,232 4,773
- -------------------------------------------------------------------------------------------------------------------
</Table>
^ Amount rounds to less than one thousand.
SEE NOTES TO FINANCIAL STATEMENTS.
58
<Page>
<Table>
<Caption>
DISCIPLINED EQUITY EQUITY
EQUITY DIVERSIFIED GROWTH INCOME U.S. EQUITY
FUND FUND FUND FUND FUND
REALIZED AND UNREALIZED
GAIN (LOSS) ON INVESTMENTS
Net realized gain (loss) on transactions from:
Investments 66,216 42,153 (240) 5,569 30,561
Futures 612 (758) -- -- 923
Foreign exchange contracts -- 609 -- -- --
Written options -- 205 -- -- --
Swaps -- 823 -- -- --
Change in net unrealized
appreciation/depreciation of:
Investments (18,748) (8,989) 2,099 3,305 14,433
Futures (83) 74 -- -- (153)
Foreign currency translations -- (300) -- -- --
Written options -- (132) -- -- --
Swaps -- (494) -- -- --
Net realized and unrealized gain (loss)
on investments, futures, foreign
exchange transactions, written options
and swaps 47,997 33,191 1,859 8,874 45,764
- -------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets
from operations $ 55,867 $ 41,075 $ 1,852 $ 10,106 $ 50,537
- -------------------------------------------------------------------------------------------------------------------
* Includes reimbursements of
investment advisory, administration
and shareholder servicing fees : $ 12 $ 57 $ 1 $ 2 $ 18
- -------------------------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
59
<Page>
STATEMENT OF CHANGES
IN NET ASSETS FOR THE PERIODS INDICATED
(Amounts in thousands)
<Table>
<Caption>
DISCIPLINED EQUITY FUND DIVERSIFIED FUND
-------------------------- --------------------------
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
12/31/04 12/31/03 12/31/04 12/31/03
INCREASE (DECREASE) IN NET
ASSETS FROM OPERATIONS
Net investment income (loss) $ 7,870 $ 10,433 $ 7,884 $ 8,257
Net realized gain (loss) on
investments, futures, foreign exchange
transactions, written options and swaps 66,828 12,958 43,032 21,580
Change in net unrealized appreciation
(depreciation) of investments, futures,
foreign exchange translations, written
options and swaps (18,831) 197,098 (9,841) 76,277
- --------------------------------------------------------------------------------------------------------
Increase (decrease) in net assets
from operations 55,867 220,489 41,075 106,114
- --------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO
SHAREHOLDERS FROM
Net investment income (7,778) (10,377) (8,495) (8,975)
Return of capital -- (90) -- --
- --------------------------------------------------------------------------------------------------------
Total distributions to shareholders (7,778) (10,467) (8,495) (8,975)
- --------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS
Increase (decrease) from capital
share transactions (128,012) (595,745) (61,526) (140,046)
- --------------------------------------------------------------------------------------------------------
Total increase (decrease) in
net assets (79,923) (385,723) (28,946) (42,907)
- --------------------------------------------------------------------------------------------------------
NET ASSETS
Beginning of period 605,509 991,232 481,739 524,646
- --------------------------------------------------------------------------------------------------------
End of period $ 525,586 $ 605,509 $ 452,793 $ 481,739
- --------------------------------------------------------------------------------------------------------
Accumulated undistributed
(overdistributed) net
investment income $ 75 $ 13 $ 358 $ (365)
- --------------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
60
<Page>
<Table>
<Caption>
EQUITY GROWTH FUND EQUITY INCOME FUND
-------------------------- --------------------------
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
12/31/04 12/31/03 12/31/04 12/31/03
INCREASE (DECREASE) IN NET
ASSETS FROM OPERATIONS
Net investment income $ (7) $ (91) $ 1,232 $ 1,654
Net realized gain (loss) on investments (240) (11,740) 5,569 (95)
Change in net unrealized appreciation
(depreciation) of investments 2,099 24,434 3,305 12,073
- --------------------------------------------------------------------------------------------------------
Increase (decrease) in net assets
from operations 1,852 12,603 10,106 13,632
- --------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO
SHAREHOLDERS FROM
Net investment income -- -- (1,250) (1,573)
Return of capital -- -- -- (80)
- --------------------------------------------------------------------------------------------------------
Total distributions to shareholders -- -- (1,250) (1,653)
- --------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS
Increase (decrease) from capital
share transactions (20,150) (9,898) (11,320) (12,681)
- --------------------------------------------------------------------------------------------------------
Total increase (decrease) in
net assets (18,298) 2,705 (2,464) (702)
- --------------------------------------------------------------------------------------------------------
NET ASSETS
Beginning of period 70,319 67,614 66,514 67,216
- --------------------------------------------------------------------------------------------------------
End of period $ 52,021 $ 70,319 $ 64,050 $ 66,514
- --------------------------------------------------------------------------------------------------------
Accumulated undistributed
(overdistributed) net
investment income $ (5) $ (23) $ (2) $ (5)
- --------------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
61
<Page>
<Table>
<Caption>
U.S. EQUITY FUND
--------------------------
YEAR ENDED YEAR ENDED
12/31/04 12/31/03
INCREASE (DECREASE) IN NET
ASSETS FROM OPERATIONS
Net investment income $ 4,773 $ 2,868
Net realized gain (loss) on investments
and futures 31,484 13,873
Change in net unrealized appreciation
(depreciation) of investments
and futures 14,280 102,829
- --------------------------------------------------------------------------------------------------------
Increase (decrease) in net assets
from operations 50,537 119,570
- --------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO
SHAREHOLDERS FROM
Net investment income (4,254) (3,368)
- --------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS
Increase (decrease) from capital
share transactions (32,923) 10,622
- --------------------------------------------------------------------------------------------------------
Total increase (decrease) in
net assets 13,360 126,824
- --------------------------------------------------------------------------------------------------------
NET ASSETS
Beginning of period 472,136 345,312
- --------------------------------------------------------------------------------------------------------
End of period $ 485,496 $ 472,136
- --------------------------------------------------------------------------------------------------------
Accumulated undistributed
(overdistributed) net
investment income $ 470 $ (48)
- --------------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
62
<Page>
JPMORGAN FUNDS
NOTES TO FINANCIAL STATEMENTS
1. ORGANIZATION
J.P. Morgan Institutional Funds ("JPMIF") and J.P. Morgan Mutual Fund Investment
Trust ("JPMMFIT") were organized on November 4, 1992, and September 23, 1997,
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.
The following are five separate portfolios (collectively, the "Funds") of the
JPMIF and JPMMFIT (the "Trusts"):
<Table>
<Caption>
FUND CLASSES OFFERED
JPMorgan Disciplined Equity Fund ("DEF") Class A, Institutional, Select and Ultra
JPMorgan Diversified Fund ("DF") Class A, Class B, Class C, Institutional and Select
JPMorgan Equity Growth Fund ("EGF") Class A, Class B, Class C and Select
JPMorgan Equity Income Fund ("EIF") Class A, Class B, Class C and Select
JPMorgan U.S. Equity Fund ("USEF") Class A, Class B, Class C, Institutional and Select
</Table>
DEF, DF and USEF are separate series of JPMIF. EGF and EIF are separate series
of JPMMFIT.
On September 12, 2003, Class B shares of DEF were closed. On May 1, 2004, Ultra
Class shares of DEF were closed to new investors.
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, Select Class and the Ultra
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.
On November 11, 2004, The Board of Directors approved the following:
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 Funds.
See note 12 for subsequent events with respect to the reorganization and
redomiciliation of each of the series of the Trusts.
2. REORGANIZATIONS
Prior to the open of business on March 24, 2003, USEF acquired all the net
assets of JPMorgan Core Equity Fund ("CEF") and JPMorgan Focus Fund ("FF"), DF
acquired all the net assets of JPMorgan Balanced Fund ("BF") and DEF acquired
all the net assets of JPMorgan SmartIndex(TM) Fund ("SF"). DEF, DF and USEF are
hereafter collectively referred to as the "Acquiring Funds". CEF, FF, BF and SF
are hereafter collectively referred to as the "Target Funds". These
reorganizations were pursuant to Reorganization Plans approved by the Target
Funds' shareholders on February 13, 2003. The transactions
63
<Page>
were structured for tax purposes to qualify as tax-free reorganizations under
the Internal Revenue Code. Under each Reorganization Plan, shareholders of the
Target Funds received shares in the Acquiring Funds with a value equal to their
holdings in the Target Funds. Shareholders of the Acquiring Funds retained the
same amount of shares that they currently owned prior to the Reorganization
Plans.
The reorganization of SF into DEF resulted in the creation of a new share class.
The DEF-Ultra Class assumed all of the net assets of the SF.
The following is a summary of Shares Outstanding, Net Assets, Net Asset Values
Per Share and Net Unrealized Appreciation (Depreciation) immediately before and
after the reorganization (amounts in thousands, except per share amounts):
JPMORGAN DISCIPLINED EQUITY FUND REORGANIZATION
<Table>
<Caption>
NET ASSET NET UNREALIZED
SHARES VALUE APPRECIATION
OUTSTANDING NET ASSETS PER SHARE (DEPRECIATION)
TARGET FUND
JPMorgan SmartIndex(TM) Fund $ 4,742
Institutional 17,766 $ 186,589 $ 10.50
ACQUIRING FUND
JPMorgan Disciplined Equity Fund $ 21,666
Class A 207 $ 2,227 $ 10.75
Class B 33 $ 354 $ 10.74
Select Class 5,690 $ 61,307 $ 10.77
Institutional Class 81,334 $ 875,880 $ 10.77
POST REORGANIZATION
JPMorgan Disciplined Equity Fund $ 26,408
Class A 207 $ 2,227 $ 10.75
Class B 33 $ 354 $ 10.74
Select Class 5,690 $ 61,307 $ 10.77
Institutional Class 81,334 $ 875,880 $ 10.77
Ultra Class 17,321 $ 186,589 $ 10.77
</Table>
64
<Page>
JPMORGAN DIVERSIFIED FUND REORGANIZATION
<Table>
<Caption>
NET ASSET NET UNREALIZED
SHARES VALUE APPRECIATION
OUTSTANDING NET ASSETS PER SHARE (DEPRECIATION)
TARGET FUND
JPMorgan Balanced Fund $ (3,247)
Class A 1,766 $ 41,788 $ 23.67
Class B 527 $ 12,459 $ 23.62
Class C 28 $ 668 $ 23.62
Select 391 $ 9,290 $ 23.76
ACQUIRING FUND
JPMorgan Diversified Fund $ 29,817
Institutional 23,466 $ 252,713 $ 10.77
Select 22,946 $ 247,123 $ 10.77
POST REORGANIZATION
JPMorgan Diversified Fund $ 26,570
Class A 3,881 $ 41,788 $ 10.77
Class B 1,157 $ 12,459 $ 10.77
Class C 62 $ 668 $ 10.77
Institutional 23,466 $ 252,713 $ 10.77
Select 23,809 $ 256,413 $ 10.77
</Table>
65
<Page>
JPMORGAN U.S. EQUITY FUND REORGANIZATION
<Table>
<Caption>
NET ASSET NET UNREALIZED
SHARES VALUE APPRECIATION
OUTSTANDING NET ASSETS PER SHARE (DEPRECIATION)
TARGET FUNDS
JPMorgan Focus Fund $ (1,015)
Class A 756 $ 3,466 $ 4.58
Class B 1,012 $ 4,512 $ 4.46
Class C 229 $ 1,021 $ 4.46
Select Class 8 $ 38 $ 4.63
JPMorgan Core Equity Fund $ (3,567)
Class A 679 $ 11,566 $ 17.03
Class B 646 $ 10,842 $ 16.78
Class C 181 $ 3,045 $ 16.78
Select Class 1,805 $ 31,030 $ 17.19
ACQUIRING FUND
JPMorgan U.S. Equity Fund $ 13,511
Class A 3,657 $ 28,544 $ 7.81
Class B 1,370 $ 10,643 $ 7.77
Class C 76 $ 594 $ 7.77
Select Class 28,662 $ 223,532 $ 7.80
Institutional Class 10,698 $ 83,440 $ 7.80
POST REORGANIZATION
JPMorgan U.S. Equity Fund $ 8,929
Class A 5,582 $ 43,576 $ 7.81
Class B 3,346 $ 25,997 $ 7.77
Class C 600 $ 4,660 $ 7.77
Select Class 32,646 $ 254,600 $ 7.80
Institutional Class 10,698 $ 83,440 $ 7.80
</Table>
3. SIGNIFICANT ACCOUNTING POLICIES
THE FOLLOWING IS A SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES FOLLOWED BY THE
FUNDS:
The preparation of financial statements in accordance with accounting principles
generally accepted in the United States of America requires management to make
estimates and assumptions that affect the reported amounts and disclosures in
the financial statements. Actual results could differ from those estimates.
A. VALUATION OF INVESTMENTS -- Equity securities, purchased options and futures
contracts are valued at the last sale price on the exchange on which they are
primarily traded. The value of National Market Systems equity securities quotes
by the Nasdaq Stock Market, Inc. shall generally be the Nasdaq Official Closing
Price. Securities for which sale prices are not available and other
over-the-counter securities are valued at the mean between the bid and asked
quotations. Fixed income securities (other than convertible bonds) with a
maturity of 61 days or more 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
66
<Page>
provide bidside quotations. Convertible bonds are valued at the last sale price
on the primary exchange on which the bond is principally traded. Short-term
investments with 60 days or less to maturity at time of purchase are valued at
amortized cost, 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 reasonably possible that the estimated
values may differ significantly from the values that would have been used had a
ready market for the investments existed, and such differences could have been
material. Trading in securities on most foreign exchanges and over-the counter
markets is normally completed before the close of the domestic market and may
also take place on days when the domestic market is closed. In accordance with
procedures adopted by the Trustees, the Fund applies fair value pricing on a
daily basis for all non-U.S. and non-Canadian equity securities held in its
portfolio by utilizing the quotations of an independent pricing service, unless
the Fund's advisor, J.P. Morgan Investment Management Inc. ("JPMIM" or the
"Advisor"), determines that use of another valuation methodology is appropriate.
The pricing service uses statistical analyses and quantitative models to adjust
local market prices using factors such as subsequent movements in 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. REPURCHASE AGREEMENTS -- The Funds' custodian (or designated subcustodians,
as the case may be under tri-party repurchase agreements) takes possession of
the collateral pledged for investments in repurchase agreements on behalf of the
Funds. It is the policy of the Funds to mark-to-market the collateral on a daily
basis to determine that the value, including accrued interest, is at least equal
to the repurchase price plus accrued interest. In the event of default of the
obligation to repurchase, the Funds have the right to liquidate the collateral
and apply the proceeds in satisfaction of the obligation. In the event of
default or bankruptcy by the seller of the agreement, realization and/or
retention of the collateral or proceeds may be subject to legal proceedings.
C. 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.
Diversified Fund may invest in exchange-traded interest rate futures for hedging
purposes, to either modify the duration of the 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 Fund to risk of loss in excess of
amounts shown on the Statement of Assets and Liabilities, up to the notional
value of the futures contract. Use of short futures contracts subject the Fund
to unlimited risk. The Funds may enter into futures contracts only on exchanges
or boards of trade. The exchange or board of trade acts as the counterparty to
each futures transaction; therefore, the Fund's credit risk is limited to
failure of the exchange or board of trade.
As of December 31, 2004, The Funds had outstanding futures contracts as listed
on the Funds' Portfolio of Investments.
D. FOREIGN CURRENCY TRANSLATION -- The books and records of the Funds are
maintained in U.S. dollars. Foreign currency amounts are translated into U.S.
dollars at the prevailing exchange rates, or at the mean of the
67
<Page>
current bid and asked prices, of such currencies against the U.S. dollar as
quoted by a major bank, on the following basis:
1. Market value of investment securities and other assets and
liabilities: at the rate of exchange at the valuation date.
2. Purchases and sales of investment securities, income and expenses: at
the rates of exchange prevailing on the respective dates of such
transactions.
Although the net assets of the Funds are presented at the foreign exchange rates
and market values at the close of the periods, the Funds do not isolate that
portion of the results of operations arising as a result of changes in the
foreign exchange rates from the fluctuations arising from changes in the market
prices of securities held or sold during the year. Accordingly, such realized
foreign currency gains (losses) are included in the reported net realized gains
(losses) on investment transactions.
Reported realized foreign currency gains or losses arise from disposition of
foreign currency, currency gains or losses realized between the trade and
settlement dates on securities transactions, and the difference between the
amounts of dividends, interest and foreign withholding taxes recorded on the
Funds' books on the transaction date and the U.S. dollar equivalent of the
amounts actually received or paid. Unrealized foreign exchange gains and losses
arise from changes (due to the changes in the exchange rate) in the value of
foreign currency and other assets and liabilities denominated in foreign
currencies which are held at period end.
E. FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS -- The Funds may enter into
forward foreign currency contracts (obligations to purchase or sell foreign
currency in the future on a date and price fixed at the time the contracts are
entered into) to manage the Funds' exposure to foreign currency exchange
fluctuations. Each day the forward contract is open, changes in the value of the
contract are recognized as unrealized gains or losses by "marking to market".
When the forward contract is closed, or the delivery of the currency is made or
taken, the Funds record a realized gain or loss equal to the difference between
the proceeds from (or cost of) the closing transaction and the Funds' 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 December 31, 2004, the Funds had outstanding forward foreign currency
contracts as listed on the Funds' Portfolio of Investments.
F. WRITTEN OPTIONS -- When the 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. If a call
option is exercised, the premium is added to the proceeds from the sale of the
underlying security in determining whether there had been a realized gain or
loss. If a put option is exercised, the premium reduces the cost basis of the
security.
The Funds write options on securities, futures and interest rate swaps
("swaptions"). These options are settled for cash and subject the Funds to
unlimited risk of loss. The Funds, however, are not subject to credit risk on
written options as the counterparty has already performed its obligation by
paying the premium at the inception of the contract.
As of December 31, 2004, the Funds had written options contracts outstanding as
listed on the Funds' Portfolio of Investments.
68
<Page>
Transactions in options written during the period ended December 31, 2004, were
as follows (amounts in thousands):
<Table>
<Caption>
DF
--------------------
NUMBER OF PREMIUMS
UNITS RECEIVED
Options outstanding at
December 31, 2003 (47,300) $ 176
Options written (266,549) 1,395
Options exercised or
terminated in closing
purchase transactions 313,849 (1,538)
Options outstanding at
December 31, 2004 --^ $ 33
</Table>
^ Amount rounds to less than one thousand.
G. SWAPS -- The Funds may engage in swap transactions, specifically forward rate
agreements, interest rate, currency, fixed income, index and total return swaps
and credit default swaps in order to obtain a desired return at a lower cost
than if the Funds had invested directly in the asset that yielded the desired
return. 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 the value of the swaps, including periodic amounts of interest to be paid or
received on swaps is reported as unrealized gains or losses in the Statement of
Operations. A realized gain or loss is recorded upon payment or termination of
swap agreements. Swap agreements are stated at fair value. Notional principal
amounts are used upon payment or receipt of a periodic payment or termination of
swap agreements to express the extent of involvement in these transactions, but
the amounts potentially subject to credit risk are much smaller.
As of December 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 in the Statement of Assets and Liabilities.
H. 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.
I. 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.
The Funds had TBA Dollar Rolls outstanding as of December 31, 2004, which are
included in Receivable for Investment securities sold and Payable for Investment
securities purchased on the Statement of Assets and Liabilities. The Funds
segregate assets with a current value at least equal to the amount of its TBA
Dollar Rolls.
J. 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
69
<Page>
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.
K. SECURITIES ON LOAN -- For all the Funds, the Board of Trustees has approved
the lending of securities, through its custodian JPMorgan Chase Bank ("JPMCB")
an affiliate of the Funds, acting as lending agent to certain borrowers. By
lending investment securities, the 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, in the case of fixed income securities, any accrued
but unpaid interest thereon. 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 December 31, 2004, the market value of securities loaned and the amount of
cash collateral received were as follows (amounts in thousands):
<Table>
<Caption>
MARKET VALUE OF MARKET VALUE OF
SECURITIES LOANED COLLATERAL RECEIVED
DEF $ -- $ --
DF 10,745 10,957
EGF -- --
EIF 2,756 2,817
USEF 10,204 10,377
</Table>
JPMCB as lending agent receives a fee of 0.05% (0.06% prior to January 31, 2004)
of the average dollar value of loans of U.S. securities outstanding during a
given month and 0.10% (0.1142% prior to January 31, 2004) of the average dollar
value of loans on non-U.S. securities outstanding during a given month from the
Funds as detailed below (amounts in thousands):
<Table>
DEF $ --
DF 3
EGF --
EIF 1
USEF 11
</Table>
Risks of delay in recovery of securities or even loss of rights in the
securities may occur should the borrower of the securities fail financially.
Risks may also arise to the extent that the value of the securities loaned
increases above the value of the collateral received. JPMCB will indemnify the
Fund from any loss resulting from a borrower's failure to return a loaned
security when due.
L. SECURITY TRANSACTIONS AND INVESTMENT INCOME -- Investment transactions are
accounted for on the trade date (the date the order to buy or sell is executed).
Securities gains and losses are calculated on the identified cost basis.
Interest income is determined on the basis of coupon interest accrued using the
interest method adjusted for amortization of premiums and accretion of
discounts. Dividend income less foreign taxes withheld (if any) is recorded on
the ex-dividend date or when the Fund first learns of the dividend.
M. 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,
70
<Page>
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.
N. 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.
O. 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 its
current interpretation of tax rules and regulations that exist in the markets in
which it invests.
P. 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 (amounts in
thousands):
<Table>
<Caption>
ACCUMULATED ACCUMULATED
UNDISTRIBUTED/ NET REALIZED
(OVERDISTRIBUTED) GAIN (LOSS)
PAID-IN-CAPITAL NET INVESTMENT INCOME ON INVESTMENTS
DEF $ -- $ (30) $ 30
DF --^ 1,334 (1,334)
EGF (25) 25 --^
EIF (54) 21 33
USEF -- (1) 1
</Table>
The reclassifications for DEF relate primarily to investments in REITs. The
reclassifications for DF relate primarily to foreign currency gain/loss, PFIC
sale adjustments, paydown gain/loss, swap gain/loss and investments in REITs.
The reclassifications for EGF relate primarily to non-deductable net operating
losses. The reclassifications for EIF relate primarily to investments in REITs
and taxable overdistributions.
Q. OTHER EXPENSES -- Other expenses in the Statement of Operations include fees
related to line of credit, insurance, pricing and reporting services.
4. FEES AND OTHER TRANSACTIONS WITH AFFILIATES
A. INVESTMENT ADVISORY FEE -- Pursuant to the Investment Advisory Agreement,
JPMIM acts as the investment advisor to the Funds. JPMIM is a wholly owned
subsidiary of J.P Morgan Fleming Asset Management Holdings, Inc., which is a
wholly owned subsidiary of J.P Morgan Chase & Co.
71
<Page>
The Advisor supervises the investments of each respective Fund and for such
services is paid a fee. The fee is accrued daily and paid monthly based on each
Fund's respective average daily net assets. The annual fee for each Fund is as
follows:
<Table>
<Caption>
INVESTMENT
ADVISORY FEE (%)
FUND
DEF 0.25%
DF 0.55%
EGF 0.50%
EIF 0.40%
USEF 0.40%
</Table>
The Advisors 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 FEE -- Pursuant to a Distribution Agreement, J.P. Morgan Fund
Distributors, Inc. ("JPMFD" or "Distributor"), a wholly-owned subsidiary of The
BISYS Group, Inc., serves as the Trusts' exclusive underwriter and promotes and
arranges for the sale of each Fund's shares. JPMFD receives no compensation in
its capacity as the Funds' underwriter.
The Trustees have adopted Distribution Plans (the "Distribution Plans") for
Class A, B, and C Shares of the Funds in accordance with Rule 12b-1 under the
1940 Act. The Distribution Plans provide that each Fund shall pay distribution
fees, including payments to the Distributor, at annual rates of the average
daily net assets as shown in the table below (%):
<Table>
<Caption>
CLASS A CLASS B CLASS C
FUND
DEF 0.25 n/a n/a
DF 0.25 0.75 0.75
EGF 0.25 0.75 0.75
EIF 0.25 0.75 0.75
USEF 0.25 0.75 0.75
</Table>
In addition, JPMFD is entitled to receive the contingent deferred sales charge
("CDSC") from redemptions of Class B and C shares.
The Distributor waived fees as outlined in 4.F.
72
<Page>
C. SHAREHOLDER SERVICING FEE -- 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 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 ULTRA
CLASS A CLASS B CLASS C CLASS CLASS CLASS
FUND
DEF 0.25 n/a n/a 0.10 0.25 0.05*
DF 0.25 0.25 0.25 0.10 0.25 n/a
EGF 0.25 0.25 0.25 n/a 0.25 n/a
EIF 0.25 0.25 0.25 n/a 0.25 n/a
USEF 0.25 0.25 0.25 0.10 0.25 n/a
</Table>
* As approved by the Board of Trustees, effective February 19, 2005, the fee
was reduced to an annual rate of 0.00.
JPMCB may enter into services contracts with certain entities under which it
will pay all or a portion of the annual fee to such entities for performing
shareholder servicing and administrative services.
In addition, JPMCB, Charles Schwab & Co. ("Schwab"), and JPMIF and JPMMFIT are
parties to separate services 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 relationship between JPMIF and JPMMFIT with
JPMCB is terminated, the Funds would be responsible for the ongoing payments to
Schwab with respect to pre-termination shares.
The Shareholder Servicing Agents waived fees as outlined in Note 4.F.
D. CUSTODIAN AND ACCOUNTING FEES -- JPMCB provides portfolio custody and
portfolio accounting services for all the Funds, except for EGF. Compensation
for such services is presented in the Statement of Operations as custodian fees.
The custodian fees may be reduced by credits earned by each Fund, based on the
uninvested cash balances held by the custodian. Such earning credits are
presented separately in the Statement of Operations.
Interest expense paid to the Custodian related to overdrafts is presented as
interest expense in the Statement of Operations.
JPMCB began providing fund accounting services to EGF in January 2005.
E. ADMINISTRATION FEE -- Pursuant to the Administration Agreement, JPMCB (the
"Administrator") provides certain administration services to the Funds. In
consideration of these services, the Administrator receives a fee computed daily
and paid monthly at the annual rate equal to 0.15% of the first $25 billion of
the average daily net assets of all non-money market funds in the JPMorgan Fund
Complex and 0.075% of the average daily net assets in excess of $25 billion for
all of the 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 Distributor have
contractually agreed to reimburse the Funds to the extent that total operating
expenses
73
<Page>
(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 ULTRA
CLASS A CLASS B CLASS C CLASS CLASS CLASS
FUND
DEF 0.95 n/a n/a 0.45 0.75 0.35
DF 1.25 1.93 1.93 0.65 0.98 n/a
EGF 1.25 1.98 1.98 n/a 1.00 n/a
EIF 1.25 1.75 1.75 n/a 0.90 n/a
USEF 1.05 1.75 1.75 0.64 0.79 n/a
</Table>
Effective February 19, 2005, the following funds changed in expense
limitations (%):
<Table>
<Caption>
INSTITUTIONAL SELECT ULTRA
CLASS A CLASS B CLASS C CLASS CLASS CLASS
FUND
DF 1.14 1.65 1.65 0.65 0.89 n/a
USEF 1.05 1.57 1.57 0.64 0.79 n/a
</Table>
The contractual expense limitation agreements were in effect for the year ended
December 31, 2004 for the Funds. The expense limitation percentages in the table
above are due to expire on April 30, 2006.
The Administrator waived fees and reimbursed expenses as outlined in Note 4.F.
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<Page>
F. WAIVERS AND REIMBURSEMENTS -- For the year ended December 31, 2004,
the Funds' vendors waived fees and the Administrator contractually reimbursed
expenses for each of the Funds as follows (amounts in thousands). None of the
Funds' service providers 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
DEF $ 8 $ 642 $ 77 $ -- $ 727 $ 18
DF 458 311 370 -- 1,139 5
EGF 107 65 59 40 271 37
EIF 97 60 29 39 225 22
USEF -- 344 284 -- 628 82
Total $ 670 $ 1,422 $ 819 $ 79 $ 2,990 $ 164
<Caption>
VOLUNTARY WAIVERS
------------------------------------------------------------------
INVESTMENT SHAREHOLDER
ADVISORY ADMINISTRATION SERVICING DISTRIBUTION TOTAL
FUND
DEF $ -- $ 89 $ -- $ -- $ 89
DF -- 96 -- -- 96
Total $ -- $ 185 $ -- $ -- $ 185
</Table>
G. OTHER -- Certain officers of the Trust(s) are officers of J.P. Morgan Chase &
Co. or of BISYS or their subsidiaries.
During the period, certain Funds may have purchased securities from an
underwriting syndicate in which the principal underwriter or members of the
syndicate were affiliated with the Advisors.
The Funds may use related party broker dealers. For the year ended December 31,
2004, DF and USEF incurred less than $1,000 and approximately $1,000,
respectively, as brokerage commissions to broker/dealers affiliated with JPMCB.
The SEC has granted an exemptive order permitting each fund to engage in
principal transactions with J.P. Morgan Securities Inc., an affiliated broker,
involving taxable money market instruments subject to certain conditions.
H. SUBSEQUENT CHANGES -- After considering management's recommendations, the
Boards of Trustees of the Trusts approved, and the Funds entered into, a
Distribution Agreement and a Shareholder Servicing Agreement with JPMorgan
Distribution Services, Inc. ("JPMDS") and an Administration Agreement with
JPMorgan Funds Management, Inc. ("JPMFM"). JPMDS and JPMFM are both indirect,
wholly-owned subsidiaries of JPMorgan Chase & Co. The agreements are effective
February 19, 2005, and the fees charged to the Funds under the agreements are
subject to the same fee structure as those paid to the prior service providers.
Beginning in mid-2005, JPMCB will serve as the Funds' sub-administrator. For its
services as sub-administrator, JPMCB will receive a portion of the fees payable
to JPMFM as Administrator.
75
<Page>
5. CLASS SPECIFIC EXPENSES
The Funds' class specific expenses for the year ended December 31, 2004, are as
follows (amounts in thousands):
<Table>
<Caption>
SHAREHOLDER
FUND SERVICING DISTRIBUTION TRANSFER AGENT
DEF
Class A $ 5 $ 5 $ 12
Institutional 336 -- 22
Select 188 -- 26
Ultra 54 -- 14
- --------------------------------------------------------------------------------
Total $ 583 $ 5 $ 74
- --------------------------------------------------------------------------------
DF
Class A $ 111 $ 111 $ 131
Class B 35 105 41
Class C 2 5 2
Institutional 262 -- 16
Select 342 -- 41
- --------------------------------------------------------------------------------
Total $ 752 $ 221 $ 231
- --------------------------------------------------------------------------------
EGF
Class A $ 40 $ 40 $ 107
Class B 20 61 55
Class C 2 6 6
Select 87 -- 15
- --------------------------------------------------------------------------------
Total $ 149 $ 107 $ 183
- --------------------------------------------------------------------------------
EIF
Class A $ 39 $ 39 $ 74
Class B 21 62 40
Class C 8 24 15
Select 83 -- 16
- --------------------------------------------------------------------------------
Total $ 151 $ 125 $ 145
- --------------------------------------------------------------------------------
USEF
Class A $ 126 $ 126 $ 171
Class B 69 206 94
Class C 12 35 16
Institutional 85 -- 19
Select 806 -- 81
- --------------------------------------------------------------------------------
Total $ 1,098 $ 367 $ 381
- --------------------------------------------------------------------------------
</Table>
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<Page>
6. CLASS SPECIFIC DISTRIBUTIONS
The Funds' class specific distributions from net investment income and realized
gain on investment transactions for the year ended December 31, 2004, and the
year ended December 31, 2003, are as follows (amounts in thousands):
<Table>
<Caption>
YEAR ENDED DECEMBER 31, 2004 YEAR ENDED DECEMBER 31, 2003
---------------------------------- ------------------------------------
NET NET
FUND INVESTMENT INCOME REALIZED GAIN INVESTMENT INCOME REALIZED GAIN
DEF
Class A $ 19 $ -- $ 13 $ --
Class B ^^ -- -- -- --
Institutional 5,016 -- 8,027 --
Select 1,039 -- 730 --
Ultra 1,704 -- 1,697 --
- ------------------------------------------------------------------------------------------------------
Total $ 7,778 $ -- $ 10,467* $ --
- ------------------------------------------------------------------------------------------------------
DF
Class A $ 640 $ -- $ 463 $ --
Class B 113 -- 77 --
Class C 6 -- 4 --
Institutional 5,289 -- 5,104 --
Select 2,447 -- 3,327 --
- ------------------------------------------------------------------------------------------------------
Total $ 8,495 $ -- $ 8,975 $ --
- ------------------------------------------------------------------------------------------------------
EIF
Class A $ 323 $ -- $ 346
Class B 125 -- 149
Class C 51 -- 55
Select 751 -- 1,103
- ------------------------------------------------------------------------------------------------------
Total $ 1,250 $ -- $ 1,653** $ --
- ------------------------------------------------------------------------------------------------------
USEF
Class A $ 332 $ -- $ 248 $ --
Class B 44 -- 1 --
Class C 8 -- 1 --
Institutional 890 -- 740 --
Select 2,980 -- 2,378 --
- ------------------------------------------------------------------------------------------------------
Total $ 4,254 $ -- $ 3,368 $ --
- ------------------------------------------------------------------------------------------------------
</Table>
^^ Class ceased operations as of September 12, 2003.
* Includes return of capital in the amount (in thousands) of 90.
** Includes return of capital in the amount (in thousands) of 80.
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<Page>
7. INVESTMENT TRANSACTIONS
For the year ended December 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.
GOVERNMENT) GOVERNMENT) GOVERNMENT GOVERNMENT
FUND
DEF $ 252,979 $ 378,288 $ -- $ --
DF 287,899 354,538 781,130 781,912
EGF 78,670 99,087 -- --
EIF 21,820 33,998 -- --
USEF 393,068 404,886 -- 950
</Table>
8. FEDERAL INCOME TAX MATTERS
For Federal income tax purposes, the cost and unrealized appreciation
(depreciation) in value of the investment securities at December 31, 2004, were
as follows (amounts in thousands):
<Table>
<Caption>
GROSS GROSS NET UNREALIZED
AGGREGATE UNREALIZED UNREALIZED APPRECIATION/
COST APPRECIATION DEPRECIATION (DEPRECIATION)
FUND
DEF $ 390,396 $ 136,411 $ 1,816 $ 134,595
DF 412,862 82,452 2,275 $ 80,177
EGF 50,811 3,031 1,706 $ 1,325
EIF 50,358 14,011 381 $ 13,630
USEF 402,433 105,930 2,740 $ 103,190
</Table>
The tax character of distributions paid during the years ended December 31, 2004
and December 31, 2003 were as follows (amounts in thousands):
<Table>
<Caption>
ORDINARY LONG-TERM RETURN OF TOTAL
INCOME CAPITAL GAIN CAPITAL DISTRIBUTIONS
YEAR ENDED
DECEMBER 31, 2004
DEF $ 7,778 $ -- $ -- $ 7,778
DF 8,495 -- -- 8,495
EGF -- -- -- --
EIF 1,250 -- -- 1,250
USEF 4,254 -- -- 4,254
</Table>
78
<Page>
<Table>
<Caption>
ORDINARY LONG-TERM RETURN OF TOTAL
INCOME CAPITAL GAIN CAPITAL DISTRIBUTIONS
YEAR ENDED
DECEMBER 31, 2003
DEF $ 10,377 $ -- $ 90 $ 10,467
DF 8,975 -- -- 8,975
EGF -- -- -- --
EIF 1,573 -- 80 1,653
USEF 3,368 -- -- 3,368
</Table>
At December 31, 2004, the tax components of capital are as follows:
<Table>
<Caption>
DEF DF EGF EIF USEF
Current distributable ordinary income $ 54 $ 991 $ -- $ -- $ 475
Current distributable long-term capital
gain or tax basis capital loss carryover $ (451,533) $ (65,439) $ (59,515) $ (13,857) $ (73,698)
Unrealized appreciation (depreciation) $ 134,619 $ 79,645 $ 1,325 $ 13,630 $ 103,190
</Table>
79
<Page>
At December 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 (in thousands).
<Table>
<Caption>
EXPIRATION
AMOUNT DATE
FUND
DEF $ 9,155 December 31, 2008
199,716 December 31, 2009
198,549 December 31, 2010
44,113 December 31, 2011
- -------------------------------------------------------------------------------------------------------------
TOTAL 451,533(a)
- -------------------------------------------------------------------------------------------------------------
DF 10,624 December 31, 2009
54,815 December 31, 2010
- -------------------------------------------------------------------------------------------------------------
TOTAL 65,439(b)
- -------------------------------------------------------------------------------------------------------------
EGF 17 December 31, 2006
710 December 31, 2007
6,334 December 31, 2008
20,694 December 31, 2009
16,150 December 31, 2010
14,872 December 31, 2011
738 December 31, 2012
- -------------------------------------------------------------------------------------------------------------
TOTAL 59,515
- -------------------------------------------------------------------------------------------------------------
EIF 426 December 31, 2010
13,431 December 31, 2011
- -------------------------------------------------------------------------------------------------------------
TOTAL 13,857
- -------------------------------------------------------------------------------------------------------------
USEF 2,142 December 31, 2009
71,556 December 31, 2010
- -------------------------------------------------------------------------------------------------------------
TOTAL 73,698(c)
- -------------------------------------------------------------------------------------------------------------
</Table>
(a) Includes $66,953 (in thousands) of losses acquired from JPMorgan SmartIndex
Fund. Utilization of these losses will be subject to an annual limitation
as prescribed by the Internal Revenue Code.
(b) Includes $10,126 (in thousands) of losses acquired from JPMorgan Balanced
Fund. Utilization of these losses will be subject to an annual limitation
as prescribed by the Internal Revenue Code.
(c) Includes $15,590 (in thousands) of losses acquired from JPMorgan Core
Equity Fund and $2,512 (in thousands) acquired from JPMorgan Focus Fund.
Utilization of these losses will be subject to an annual limitation as
prescribed by the Internal Revenue Code.
During the year ended December 31, 2004, DEF, DF, EIF and USEF utilized capital
loss carryovers of $54,799, $35,620, $5,592 and $28,773, respectively (amounts
in thousands).
80
<Page>
Capital losses incurred after October 31, within a Fund's fiscal year are deemed
to arise on the first business day of the following fiscal year for tax
purposes. The following Funds have incurred the following post-October realized
losses (amounts in thousands):
<Table>
<Caption>
CAPITAL
FUND
DEF $ --
DF --
EGF 826
EIF --
USEF --
</Table>
9. 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 it to participate with other JPMorgan Funds in a line of
credit with JPMCB, as administrative agent, and with a syndicate of banks, which
permits borrowings up to $250 million, collectively. Interest is charged to the
Funds based on its borrowings at an annual rate equal to the sum of the Federal
Funds Rate plus 0.50%. This agreement was extended and was subsequently
terminated as of February 18, 2005.
The Funds had no borrowings outstanding at December 31, 2004, nor at anytime
during the year then ended.
Effective February 18, 2005, the Trust and JPMCB have entered into a financing
arrangement. Under this arrangement, JPMCB provides an unsecured uncommitted
credit facility in the aggregate amount of $100 million. Interest on borrowing
is payable at a rate determined by JPMCB at the time of borrowing.
Effective February 19, 2005, the Funds began relying upon an exemptive order
("Order") permitting the establishment and operation of an Interfund Lending
Facility ("Facility"). The Facility allows the Funds to directly lend and borrow
money to or from any other fund relying upon the Order at rates beneficial to
both the borrowing and lending funds. Advances under the Facility are taken
primarily for temporary or emergency purposes, including the meeting of
redemption requests that otherwise might require the untimely disposition of
securities, and are subject to each Fund's borrowing restrictions. The Interfund
Loan Rate is determined, as specified in the Order, by averaging the current
repurchase agreement rate and the current bank loan rate. The Order was granted
to One Group Mutual Funds and may be relied upon by the Funds because they are
investment companies in the same "group of investment companies" (as defined in
Section 12(d)(1)(G) of the Investment Company Act of 1940) as One Group Mutual
Funds.
10. CONCENTRATIONS AND INDEMNIFICATIONS
From time to time, the Funds may have a concentration of several shareholders
which may be a related party, holding a significant percentage of shares
outstanding. Investment activities of these shareholders could have a material
impact on the Funds.
In the normal course of business the Funds enter into contracts that contain a
variety of representations which provide general indemnifications. Each Fund's
maximum exposure under these arrangements is unknown, as this would involve
future claims that may be made against each Fund that have not yet occurred.
However, based on experience, the Funds expect the risk of loss to be remote.
81
<Page>
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 August 19, 2004, the Boards of Trustees of the Trusts each approved an
Agreement and Plan of Reorganization regarding the reorganization of each series
of their respective Trust into a corresponding series of J.P. Morgan Mutual Fund
Series ("JPMMFS").
At a special meeting of shareholders of JPMorgan Disciplined Equity Fund,
JPMorgan Diversified Fund, JPMorgan Equity Growth Fund, JPMorgan Equity Income
Fund and JPMorgan U.S. Equity Fund (the "Funds") was held on January 20, 2005,
and adjourned and reconvened on February 3, 2005, shareholders of each of the
Funds approved the Agreement and Plan of Reorganization with respect to each
respective Fund.
Effective after the close of business on February 18, 2005 pursuant to the
Agreement and Plan of Reorganization, the Funds were each reorganized, by means
of a tax-free reorganization, each as a separate series of JPMMFS.
Additionally, at a special meeting of shareholders on January 20, 2005, the
shareholders of JPMMFS approved an Agreement and Plan of Reorganization and
Redomiciliation providing for the reorganization and redomiciliation of each
series of JPMMFS as a corresponding series of JPMorgan Trust I, a Delaware
statutory trust, including those series of JPMMFS such as the Funds which became
a series of JPMMFS as of February 18, 2005. Therefore, effective after the close
of business on February 18, 2005, pursuant to the Agreement and Plan of
Reorganization and Redomiciliation, the Funds were each reorganized and
redomiciled, by means of a tax-free reorganization, as a separate series of
JPMorgan Trust I.
On August 19, 2004, the Boards of Trustees of the Trusts, and on August 12,
2004, the Board of Trustees of the One Group Mutual Funds, each approved
management's proposal to merge the following Funds:
<Table>
<Caption>
TARGET FUNDS ACQUIRING FUNDS
One Group Balanced Fund JPMorgan Diversified Fund
One Group Diversified
Equity Fund JPMorgan U.S. Equity Fund
JPMorgan Equity One Group Equity
Income Fund Income Fund
JPMorgan Equity One Group Large Cap
Growth Fund Growth Fund
</Table>
The Agreement and Plan of Reorganization with respect to the JPMorgan Equity
Income Fund was approved by that Fund's shareholders at a special meeting of
shareholders held on January 20, 2005, and adjourned and reconvened on February
3, 2005. The Agreement and Plan of Reorganization with respect to each of the
other proposed mergers were approved by the respective Target Funds'
shareholders at special meetings of shareholders held on January 20, 2005.
The mergers were effective after the close of business on February 18, 2005. The
Acquiring Funds acquired all of the assets and liabilities of the corresponding
Target Funds as shown in the table below. Each merger transaction was structured
to qualify as a tax-free reorganization under the Internal Revenue Code of 1986.
Pursuant to each Agreement and Plan of Reorganization, shareholders of the
Target Funds received a number of shares of the corresponding class in the
corresponding Acquiring Fund with a value equal to their holdings in the
respective Target Fund as of the close of business on the date of the
reorganization.
82
<Page>
The following is a summary of Shares Outstanding, Net Assets, Net Asset Value
Per Share, Net Unrealized Appreciation or Depreciation immediately before and
after the reorganization (amounts in thousands, except per share amounts):
ONE GROUP BALANCED FUND\JPMORGAN DIVERSIFIED FUND REORGANIZATION
<Table>
<Caption>
NET ASSET NET
SHARES VALUE UNREALIZED
OUTSTANDING NET ASSETS PER SHARE APPRECIATION
TARGET FUND
One Group Balanced Fund $ 35,804
Class A 8,893 $ 115,144 $ 12.95
Class B 12,300 $ 160,005 $ 13.01
Class C 446 $ 5,797 $ 12.99
Institutional 2,026 $ 26,208 $ 12.94
ACQUIRING FUND
JPMorgan Diversified Fund $ 78,869
Class A 3,093 $ 42,273 $ 13.67
Class B 965 $ 13,173 $ 13.66
Class C 55 $ 745 $ 13.66
Select 10,242 $ 140,208 $ 13.69
Institutional 18,978 $ 259,640 $ 13.68
POST REORGANIZATION
JPMorgan Diversified Fund $ 114,673
Class A 11,518 $ 157,417 $ 13.67
Class B 12,679 $ 173,178 $ 13.66
Class C 479 $ 6,542 $ 13.66
Select 12,157 $ 166,416 $ 13.69
Institutional 18,978 $ 259,640 $ 13.68
</Table>
83
<Page>
ONE GROUP DIVERSIFIED EQUITY FUND\JPMORGAN U.S. EQUITY FUND REORGANIZATION
<Table>
<Caption>
NET ASSET NET
SHARES VALUE UNREALIZED
OUTSTANDING NET ASSETS PER SHARE APPRECIATION
TARGET FUND
One Group Diversified Equity Fund $ 255,067
Class A 11,506 $ 136,622 $ 11.87
Class B 2,016 $ 22,989 $ 11.41
Class C 660 $ 7,589 $ 11.49
Select 122,504 $ 1,460,091 $ 11.92
ACQUIRING FUND
JPMorgan U.S. Equity Fund $ 98,209
Class A 4,847 $ 52,454 $ 10.82
Class B 2,175 $ 23,342 $ 10.73
Class C 395 $ 4,232 $ 10.73
Select 30,754 $ 332,433 $ 10.81
Institutional 5,874 $ 63,502 $ 10.81
POST REORGANIZATION
JPMorgan U.S. Equity Fund $ 353,276
Class A 17,469 $ 189,076 $ 10.82
Class B 4,319 $ 46,331 $ 10.73
Class C 1,101 $ 11,821 $ 10.73
Select 165,838 $ 1,792,524 $ 10.81
Institutional 5,874 $ 63,502 $ 10.81
</Table>
84
<Page>
JPMORGAN EQUITY INCOME FUND\ONE GROUP EQUITY INCOME FUND REORGANIZATION
<Table>
<Caption>
NET ASSET NET
SHARES VALUE UNREALIZED
OUTSTANDING NET ASSETS PER SHARE APPRECIATION
TARGET FUND
JPMorgan Equity Income Fund $ 12,535
Class A 569 $ 18,431 $ 32.37
Class B 236 $ 7,621 $ 32.33
Class C 109 $ 3,534 $ 32.30
Select 1,095 $ 35,444 $ 32.37
ACQUIRING FUND
One Group Equity Income Fund $ 152,292
Class A 6,215 $ 95,757 $ 15.41
Class B 3,937 $ 60,478 $ 15.36
Class C 284 $ 4,362 $ 15.36
Institutional 20,836 $ 322,563 $ 15.48
POST REORGANIZATION
JPMorgan Equity Income Fund $ 164,827
Class A 7,411 $ 114,188 $ 15.41
Class B 4,434 $ 68,099 $ 15.36
Class C 514 $ 7,896 $ 15.36
Institutional 23,125 $ 358,007 $ 15.48
</Table>
85
<Page>
JPMORGAN EQUITY GROWTH FUND\ONE GROUP LARGE CAP GROWTH FUND REORGANIZATION
<Table>
<Caption>
NET ASSET NET
SHARES VALUE UNREALIZED
OUTSTANDING NET ASSETS PER SHARE APPRECIATION
TARGET FUND
JPMorgan Equity Growth Fund $ 3,228
Class A 532 $ 14,694 $ 27.65
Class B 254 $ 6,832 $ 26.86
Class C 28 $ 755 $ 26.84
Select 908 $ 25,562 $ 28.16
ACQUIRING FUND
One Group Large Cap Growth Fund $ 288,347
Class A 15,923 $ 236,848 $ 14.88
Class B 18,059 $ 247,422 $ 13.70
Class C 967 $ 13,132 $ 13.58
Select 86,413 $ 1,263,817 $ 14.63
POST REORGANIZATION
JPMorgan Large Cap Growth Fund $ 291,575
Class A 16,910 $ 251,542 $ 14.88
Class B 18,558 $ 254,254 $ 13.70
Class C 1,022 $ 13,887 $ 13.58
Select 88,161 $ 1,289,379 $ 14.63
</Table>
13. LEGAL PROCEEDINGS
NONE OF THE ACTIONS DESCRIBED BELOW ALLEGE THAT ANY UNLAWFUL ACTIVITY TOOK PLACE
WITH RESPECT TO ANY FUNDS WHOSE FINANCIAL STATEMENTS ARE INCLUDED IN THIS
REPORT.
On July 1, 2004, Bank One Corporation, the former corporate parent of the One
Group Dealer Services, Inc., One Group Administrative Services, Inc. and Banc
One Investment Advisors Corporation ("BOIA"), the investment adviser to the
former One Group Mutual Funds, merged into JPMorgan Chase. As a consequence of
the merger, on that date, One Group Dealer Services, One Group Administrative
Services and BOIA (renamed JPMorgan Investment Advisors, Inc. effective February
19, 2005) became affiliates of both JPMIM and JPMCB. JPMorgan Distribution
Services, Inc. (formerly One Group Dealer Services, Inc.) ("JPMDS") and JPMorgan
Funds Management Inc. (formerly One Group Administrative Services, Inc.) became
the distributor and administrator, respectively, of the JPMorgan Funds effective
February 19, 2005.
Prior to becoming an affiliate of JPMorgan Chase, on June 29, 2004, BOIA entered
into agreements with the Securities and Exchange Commission ("SEC") and the New
York Attorney General ("NYAG") in resolution of investigations conducted by the
SEC and the NYAG into market timing of certain mutual funds advised by BOIA,
possible late trading of certain of these funds and related matters. In this
connection, BOIA or its affiliates agreed to pay disgorgement and a civil money
penalty in an aggregate amount of $50 million. The settlement agreement with the
NYAG also requires BOIA to reduce its management fee for certain series of the
former One Group Mutual Funds, in an aggregate amount of approximately $8
million annually over the next five
86
<Page>
years. In addition, BOIA has agreed to undertakings relating to, among other
things, governance and compliance initiatives.
In addition to the matters involving the SEC and NYAG, various lawsuits have
been filed against BOIA, the then incumbent trustees of One Group Mutual Funds
and various affiliates of BOIA, including JPMDS. The lawsuits generally relate
to the same facts that were the subject of the SEC order and NYAG settlement
discussed above. These actions seek, among other things, compensatory damages,
restitution, disgorgement of unjustly earned profits, punitive damages, removal
of the then incumbent trustees of One Group Mutual Funds, removal of the One
Group Mutual Funds' investment advisers (e.g., BOIA) and distributor (i.e.,
JPMDS), rescission of the distribution and service plans adopted under Rule
12b-1 of the Investment Company Act of 1940, and attorneys' fees. These lawsuits
are ongoing and, accordingly, an estimate of the financial impact of these
actions cannot currently be made.
Any Fund identified in this report as having acquired the assets and liabilities
of a former One Group Mutual Fund or that was acquired by a former One Group
Mutual Fund will be reimbursed for all costs associated with these matters to
ensure that the Fund or its successor incurs no expenses as it relates to the
matters described above. A portion of these reimbursements may be from related
parties.
The settlement agreement with the NYAG requires BOIA to establish reduced "net
management fee rates" for certain Funds ("Reduced Rate Funds"). "Net Management
Fee Rates" means the percentage fee rates specified in contracts between BOIA
and its affiliates and the Reduced Rate Funds, less waivers and reimbursements
by BOIA and its affiliates, in effect as of June 30, 2004. The settlement
agreement requires that the reduced Net Management Fee Rates must result in a
reduction of $8 million annually based upon assets under management as of June
30, 2004, for a total reduction over five years of $40 million from that which
would have been paid by the Reduced Rate Funds on the Net Management Fee Rates
as of June 30, 2004. To the extent that BOIA and its affiliates have agreed as
part of the settlement with the NYAG to waive or reimburse expenses of a Fund in
connection with the settlement with the NYAG, those reduced Net Management Fee
Rates are referred to as "Reduced Rates." The Reduced Rates will remain in place
at least through June 30, 2009. To the extent that a Reduced Rate Fund merges
into another Fund, the Reduced Rate will carry forward and apply with respect to
the acquiring Fund. The Reduced Rate Funds included One Group Diversified Equity
Fund and One Group Equity Income Fund, both of which implemented a Reduced Rate
on September 27, 2004. The U.S. Equity Fund acquired all of the assets and
liabilities of the One Group Diversified Equity Fund and the One Group Equity
Income Fund acquired all of the assets and liabilities of the Equity Income Fund
effective after the close of business on February 18, 2005.
87
<Page>
14. CAPITAL SHARE TRANSACTIONS
<Table>
<Caption>
DISCIPLINED EQUITY FUND
--------------------------------------
YEAR ENDED YEAR ENDED
DECEMBER 31, 2004 DECEMBER 31, 2003
CLASS A
AMOUNT
Shares sold $ 358 $ 872
Shares issued in reinvestment
of distributions 19 10
Shares redeemed (603) (1,588)
- --------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ (226) $ (706)
- --------------------------------------------------------------------------------------
SHARES
Shares sold 26 72
Shares issued in reinvestment
of distributions 1 1
Shares redeemed (44) (137)
- --------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding (17) (64)
- --------------------------------------------------------------------------------------
CLASS B ^^
AMOUNT
Shares sold $ -- $ 120
Shares issued in reinvestment
of distributions -- --^
Shares redeemed -- (507)
- --------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ -- $ (387)
- --------------------------------------------------------------------------------------
SHARES
Shares sold -- 11
Shares issued in reinvestment
of distributions -- --^
Shares redeemed -- (42)
- --------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding -- (31)
- --------------------------------------------------------------------------------------
</Table>
^^ Class ceased operations as of September 12, 2003.
^ Amount rounds to less than one thousand.
88
<Page>
<Table>
<Caption>
DISCIPLINED EQUITY FUND (CONTINUED)
--------------------------------------
YEAR ENDED YEAR ENDED
DECEMBER 31, 2004 DECEMBER 31, 2003
INSTITUTIONAL
AMOUNT
Shares sold $ 62,218 $ 73,548
Shares issued in reinvestment
of distributions 3,964 7,321
Shares redeemed (174,739) (333,275)
In-kind transfers -- (412,239)
- --------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ (108,557) $ (664,645)
- --------------------------------------------------------------------------------------
SHARES
Shares sold 4,517 6,397
Shares issued in reinvestment
of distributions 281 633
Shares redeemed (12,669) (28,959)
In-kind transfers -- (34,677)
- --------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding (7,871) (56,606)
- --------------------------------------------------------------------------------------
SELECT
AMOUNT
Shares sold $ 28,259 $ 20,033
Shares issued in reinvestment
of distributions 801 649
Shares redeemed (34,509) (24,611)
- --------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ (5,449) $ (3,929)
- --------------------------------------------------------------------------------------
SHARES
Shares sold 2,055 1,763
Shares issued in reinvestment
of distributions 56 54
Shares redeemed (2,485) (2,215)
- --------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding (374) (398)
- --------------------------------------------------------------------------------------
</Table>
89
<Page>
<Table>
<Caption>
DISCIPLINED EQUITY FUND (CONTINUED)
--------------------------------------
YEAR ENDED YEAR ENDED
DECEMBER 31, 2004 DECEMBER 31, 2003*
ULTRA
AMOUNT
Shares sold $ 29,330 $ 10,914
Shares issued in connection with
Fund Reorganization (Note 2) -- 186,589
Shares issued in reinvestment
of distributions 1,696 1,693
Shares redeemed (44,806) (125,274)
- --------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ (13,780) $ 73,922
- --------------------------------------------------------------------------------------
SHARES
Shares sold 2,113 888
Shares issued in connection with
Fund Reorganization (Note 2) -- 17,321
Shares issued in reinvestment
of distributions 121 139
Shares redeemed (3,292) (10,337)
- --------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding (1,058) 8,011
- --------------------------------------------------------------------------------------
</Table>
* For Ultra Shares, from commencement of offering on March 24, 2003.
90
<Page>
<Table>
<Caption>
DIVERSIFIED FUND
--------------------------------------
YEAR ENDED YEAR ENDED
DECEMBER 31, 2004 DECEMBER 31, 2003*
CLASS A
AMOUNT
Shares sold $ 3,376 $ 2,723
Shares issued in connection with
Fund Reorganization (Note 2) -- 41,788
Shares issued in reinvestment
of distributions 543 382
Shares redeemed (10,346) (6,448)
- --------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ (6,427) $ 38,445
- --------------------------------------------------------------------------------------
SHARES
Shares sold 260 236
Shares issued in connection with
Fund Reorganization (Note 2) -- 3,881
Shares issued in reinvestment
of distributions 41 32
Shares redeemed (786) (553)
- --------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding (485) 3,596
- --------------------------------------------------------------------------------------
CLASS B
AMOUNT
Shares sold $ 1,442 $ 1,425
Shares issued in connection with
Fund Reorganization (Note 2) -- 12,459
Shares issued in reinvestment
of distributions 101 68
Shares redeemed (3,311) (1,757)
- --------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ (1,768) $ 12,195
- --------------------------------------------------------------------------------------
SHARES
Shares sold 111 121
Shares issued in connection with
Fund Reorganization (Note 2) -- 1,157
Shares issued in reinvestment
of distributions 8 6
Shares redeemed (256) (153)
- --------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding (137) 1,131
- --------------------------------------------------------------------------------------
</Table>
* For Class A , Class B and Class C, from commencement of offering on March 24,
2003.
91
<Page>
<Table>
<Caption>
DIVERSIFIED FUND (CONTINUED)
--------------------------------------
YEAR ENDED YEAR ENDED
DECEMBER 31, 2004 DECEMBER 31, 2003*
CLASS C
AMOUNT
Shares sold $ 103 $ 95
Shares issued in connection with
Fund Reorganization (Note 2) -- 668
Shares issued in reinvestment
of distributions 3 2
Shares redeemed (95) (162)
- --------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ 11 $ 603
- --------------------------------------------------------------------------------------
SHARES
Shares sold 8 8
Shares issued in connection with
Fund Reorganization (Note 2) -- 62
Shares issued in reinvestment
of distributions --^ --^
Shares redeemed (7) (14)
- --------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding 1 56
- --------------------------------------------------------------------------------------
INSTITUTIONAL
AMOUNT
Shares sold $ 100,776 $ 42,734
Shares issued in reinvestment
of distributions 4,409 4,509
Shares redeemed (146,361) (69,087)
- --------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ (41,176) $ (21,844)
- --------------------------------------------------------------------------------------
SHARES
Shares sold 7,615 3,777
Shares issued in reinvestment
of distributions 335 384
Shares redeemed (11,081) (5,920)
- --------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding (3,131) (1,759)
- --------------------------------------------------------------------------------------
</Table>
* For Class A , Class B and Class C, from commencement of offering on March 24,
2003.
^ Amount rounds to less than one thousand.
92
<Page>
<Table>
<Caption>
DIVERSIFIED FUND (CONTINUED)
--------------------------------------
YEAR ENDED YEAR ENDED
DECEMBER 31, 2004 DECEMBER 31, 2003
SELECT
AMOUNT
Shares sold $ 14,492 $ 24,755
Shares issued in connection with
Fund Reorganization (Note 2) -- 9,290
Shares issued in reinvestment
of distributions 2,339 3,271
Shares redeemed (28,997) (206,761)
- --------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ (12,166) $ (169,445)
- --------------------------------------------------------------------------------------
SHARES
Shares sold 1,111 2,163
Shares issued in connection with
Fund Reorganization (Note 2) -- 862
Shares issued in reinvestment
of distributions 177 283
Shares redeemed (2,215) (17,477)
- --------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding (927) (14,169)
- --------------------------------------------------------------------------------------
</Table>
93
<Page>
<Table>
<Caption>
EQUITY GROWTH FUND EQUITY INCOME FUND
-------------------------------------- --------------------------------------
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
DECEMBER 31, 2004 DECEMBER 31, 2003 DECEMBER 31, 2004 DECEMBER 31, 2003
CLASS A
AMOUNT
Shares sold $ 2,747 $ 5,867 $ 3,784 $ 1,430
Shares issued in reinvestment
of distributions -- -- 286 302
Shares redeemed (8,026) (7,222) (3,303) (4,411)
- --------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ (5,279) $ (1,355) $ 767 $ (2,679)
- --------------------------------------------------------------------------------------------------------------------------------
SHARES
Shares sold 100 236 127 58
Shares issued in reinvestment
of distributions -- -- 10 12
Shares redeemed (291) (294) (113) (178)
- --------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding (191) (58) 24 (108)
- --------------------------------------------------------------------------------------------------------------------------------
CLASS B
AMOUNT
Shares sold $ 294 $ 907 $ 526 $ 718
Shares issued in reinvestment
of distributions -- -- 108 128
Shares redeemed (2,042) (1,885) (2,401) (1,928)
- --------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ (1,748) $ (978) $ (1,767) $ (1,082)
- --------------------------------------------------------------------------------------------------------------------------------
SHARES
Shares sold 11 37 18 29
Shares issued in reinvestment
of distributions -- -- 4 5
Shares redeemed (77) (77) (82) (80)
- --------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding (66) (40) (60) (46)
- --------------------------------------------------------------------------------------------------------------------------------
</Table>
94
<Page>
<Table>
<Caption>
EQUITY GROWTH FUND (CONTINUED) EQUITY INCOME FUND (CONTINUED)
-------------------------------------- --------------------------------------
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
DECEMBER 31, 2004 DECEMBER 31, 2003 DECEMBER 31, 2004 DECEMBER 31, 2003
CLASS C
AMOUNT
Shares sold $ 129 $ 65 $ 496 $ 617
Shares issued in reinvestment
of distributions -- -- 44 48
Shares redeemed (246) (366) (766) (597)
- --------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ (117) $ (301) $ (226) $ 68
- --------------------------------------------------------------------------------------------------------------------------------
SHARES
Shares sold 4 3 17 25
Shares issued in reinvestment
of distributions -- -- 1 2
Shares redeemed (9) (16) (26) (25)
- --------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding (5) (13) (8) 2
- --------------------------------------------------------------------------------------------------------------------------------
SELECT
AMOUNT
Shares sold $ 2,499 $ 7,281 $ 6,397 $ 2,050
Shares issued in reinvestment
of distributions -- -- 381 750
Shares redeemed (15,505) (14,545) (16,872) (11,788)
- --------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ (13,006) $ (7,264) $ (10,094) $ (8,988)
- --------------------------------------------------------------------------------------------------------------------------------
SHARES
Shares sold 89 284 217 82
Shares issued in reinvestment
of distributions -- -- 13 31
Shares redeemed (562) (575) (577) (475)
- --------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding (473) (291) (347) (362)
- --------------------------------------------------------------------------------------------------------------------------------
</Table>
95
<Page>
<Table>
<Caption>
U.S. EQUITY FUND
--------------------------------------
YEAR ENDED YEAR ENDED
DECEMBER 31, 2004 DECEMBER 31, 2003
CLASS A
AMOUNT
Shares sold $ 16,959 $ 5,585
Shares Issued in connection with
Fund Reorganization ( Note 2) -- 15,032
Shares issued in reinvestment
of distributions 226 177
Shares redeemed (19,079) (12,297)
- --------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ (1,894) $ 8,497
- --------------------------------------------------------------------------------------------------------------------------------
SHARES
Shares sold 1,658 650
Shares Issued in connection with
Fund Reorganization ( Note 2) -- 1,925
Shares issued in reinvestment
of distributions 21 20
Shares redeemed (1,848) (1,437)
- --------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding (169) 1,158
- --------------------------------------------------------------------------------------------------------------------------------
CLASS B
AMOUNT
Shares sold $ 902 $ 937
Shares Issued in connection with
Fund Reorganization ( Note 2) -- 15,354
Shares issued in reinvestment
of distributions 34 1
Shares redeemed (7,934) (4,945)
- --------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ (6,998) $ 11,347
- --------------------------------------------------------------------------------------------------------------------------------
SHARES
Shares sold 89 107
Shares Issued in connection with
Fund Reorganization ( Note 2) -- 1,976
Shares issued in reinvestment
of distributions 3 --^
Shares redeemed (785) (579)
Net increase (decrease) in Fund
shares outstanding (693) 1,504
</Table>
^ Amount rounds to less than one thousand.
96
<Page>
<Table>
<Caption>
U.S. EQUITY FUND (CONTINUED)
--------------------------------------
YEAR ENDED YEAR ENDED
DECEMBER 31, 2004 DECEMBER 31, 2003
CLASS C
AMOUNT
Shares sold $ 111 $ 158
Shares Issued in connection with
Fund Reorganization ( Note 2) -- 4,066
Shares issued in reinvestment
of distributions 4 --^
Shares redeemed (1,320) (877)
- --------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ (1,205) $ 3,347
- --------------------------------------------------------------------------------------------------------------------------------
SHARES
Shares sold 11 19
Shares Issued in connection with
Fund Reorganization ( Note 2) -- 524
Shares issued in reinvestment
of distributions --^ --^
Shares redeemed (130) (102)
- --------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding (119) 441
- --------------------------------------------------------------------------------------------------------------------------------
INSTITUTIONAL
AMOUNT
Shares sold $ 18,193 $ 12,339
Shares Issued in connection with
Fund Reorganization ( Note 2) -- --
Shares issued in reinvestment
of distributions 573 611
Shares redeemed (38,685) (36,570)
- --------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ (19,919) $ (23,620)
- --------------------------------------------------------------------------------------------------------------------------------
SHARES
Shares sold 1,772 1,478
Shares Issued in connection with
Fund Reorganization ( Note 2) -- --
Shares issued in reinvestment
of distributions 55 71
Shares redeemed (3,588) (4,389)
- --------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding (1,761) (2,840)
- --------------------------------------------------------------------------------------------------------------------------------
</Table>
^ Amount rounds to less than one thousand.
97
<Page>
<Table>
<Caption>
U.S. EQUITY FUND (CONTINUED)
--------------------------------------
YEAR ENDED YEAR ENDED
DECEMBER 31, 2004 DECEMBER 31, 2003
SELECT
AMOUNT
Shares sold $ 55,489 $ 42,770
Shares Issued in connection with
Fund Reorganization ( Note 2) -- 31,068
Shares issued in reinvestment
of distributions 2,447 2,083
Shares redeemed (60,843) (64,870)
- --------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ (2,907) $ 11,051
- --------------------------------------------------------------------------------------------------------------------------------
SHARES
Shares sold 5,417 4,894
Shares Issued in connection with
Fund Reorganization ( Note 2) -- 3,984
Shares issued in reinvestment
of distributions 232 237
Shares redeemed (5,906) (7,523)
- --------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding (257) 1,592
- --------------------------------------------------------------------------------------------------------------------------------
</Table>
98
<Page>
THIS PAGE IS INTENTIONALLY LEFT BLANK
99
<Page>
JPMORGAN FUNDS
FINANCIAL HIGHLIGHTS
CLASS A
<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
DISCIPLINED EQUITY FUND
Year Ended 12/31/04 $ 13.50 0.13 1.30 1.43
Year Ended 12/31/03 $ 10.54 0.05 2.99 3.04
Year Ended 12/31/02 $ 14.17 0.07@ (3.62) (3.55)
9/28/01** Through 12/31/01 $ 12.85 0.01@ 1.39 1.40
DIVERSIFIED FUND
Year Ended 12/31/04 $ 12.79 0.17@ 0.96 1.13
3/24/03** Through 12/31/03 $ 10.77 0.09@ 2.06 2.15
EQUITY GROWTH FUND
Year Ended 12/31/04 $ 27.56 (0.01)@ 1.17 1.16
Year Ended 12/31/03 $ 22.87 (0.04)@ 4.73 4.69
Year Ended 12/31/02 $ 31.87 (0.06)@ (8.94) (9.00)
Year Ended 12/31/01 $ 43.12 (0.18)@ (8.03) (8.21)
Year Ended 12/31/00 $ 67.85 (0.42)@ (16.14) (16.56)
EQUITY INCOME FUND
Year Ended 12/31/04 $ 27.99 0.57@ 4.29 4.86
Year Ended 12/31/03 $ 23.25 0.60@ 4.75 5.35
Year Ended 12/31/02 $ 30.57 0.25@ (6.71) (6.46)
Year Ended 12/31/01 $ 35.35 0.10@ (4.62) (4.52)
Year Ended 12/31/00 $ 49.83 0.17@ (2.66) (2.49)
U.S. EQUITY FUND+
Year Ended 12/31/04 $ 10.01 0.08@ 0.97 1.05
Year Ended 12/31/03 $ 7.61 0.04@ 2.41 2.45
Year Ended 12/31/02 $ 10.45 0.03 (2.84) (2.81)
6/1/01 Through 12/31/01^ $ 11.16 0.02@ (0.69) (0.67)
9/15/00** Through 5/31/01 $ 12.86 0.03 (1.72) (1.69)
<Caption>
PER SHARE OPERATING PERFORMANCE:
--------------------------------------------------------------
LESS DISTRIBUTIONS:
--------------------------------------------------------------
DIVIDENDS
FROM NET DISTRIBUTIONS
INVESTMENT FROM CAPITAL RETURN OF TOTAL
INCOME GAINS CAPITAL DISTRIBUTIONS
DISCIPLINED EQUITY FUND
Year Ended 12/31/04 0.15 -- -- 0.15
Year Ended 12/31/03 0.08 -- --t 0.08
Year Ended 12/31/02 0.08 -- -- 0.08
9/28/01** Through 12/31/01 0.08 -- -- 0.08
DIVERSIFIED FUND
Year Ended 12/31/04 0.19 -- -- 0.19
3/24/03** Through 12/31/03 0.13 -- -- 0.13
EQUITY GROWTH FUND
Year Ended 12/31/04 -- -- -- --
Year Ended 12/31/03 -- -- -- --
Year Ended 12/31/02 -- -- -- --
Year Ended 12/31/01 -- 3.04 -- 3.04
Year Ended 12/31/00 -- 8.17 -- 8.17
EQUITY INCOME FUND
Year Ended 12/31/04 0.60 -- -- 0.60
Year Ended 12/31/03 0.58 -- 0.03 0.61
Year Ended 12/31/02 0.29 0.57 -- 0.86
Year Ended 12/31/01 0.09 0.17 -- 0.26
Year Ended 12/31/00 0.18 11.81 -- 11.99
U.S. EQUITY FUND+
Year Ended 12/31/04 0.07 -- -- 0.07
Year Ended 12/31/03 0.05 -- -- 0.05
Year Ended 12/31/02 0.03 -- -- 0.03
6/1/01 Through 12/31/01^ 0.02 0.02 -- 0.04
9/15/00** Through 5/31/01 0.01 -- -- 0.01
</Table>
* Prior to September 10, 2001, USEF invested all of its investable assets in
The U.S. Equity Portfolio ("USEP"). The portfolio turnover rate disclosed
prior to September 10, 2001, is the turnover rate of USEP.
** Commencement of offering of class of shares.
@ Calculated based upon average shares outstanding.
t Amount rounds to less than $.005.
+ Prior to the open of business on September 10, 2001, the class underwent a
split of shares in connection with a Fund reorganization. Prior periods
have been restated to reflect the split.
^ The Fund changed its fiscal year end from May 31 to December 31.
SEE NOTES TO FINANCIAL STATEMENTS.
100
<Page>
<Table>
<Caption>
PER SHARE OPERATING PERFORMANCE: RATIOS/SUPPLEMENTAL DATA:
-------------------------------- ---------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
-------------------------------
NET ASSETS, NET
NET ASSET END OF INVESTMENT
VALUE, END TOTAL PERIOD NET INCOME
OF PERIOD RETURN (1)(a) (MILLIONS) EXPENSES (LOSS)
DISCIPLINED EQUITY FUND
Year Ended 12/31/04 $ 14.78 10.64% $ 2 0.95% 1.01%
Year Ended 12/31/03 $ 13.50 28.96% $ 2 0.95% 0.74%
Year Ended 12/31/02 $ 10.54 (25.07%) $ 2 0.95% 0.60%
9/28/01** Through 12/31/01 $ 14.17 10.93% $ 2 0.95% 0.42%
DIVERSIFIED FUND
Year Ended 12/31/04 $ 13.73 8.94% $ 43 1.25% 1.32%
3/24/03** Through 12/31/03 $ 12.79 20.00% $ 46 1.25% 1.04%
EQUITY GROWTH FUND
Year Ended 12/31/04 $ 28.72 4.21% $ 15 1.25% (0.02%)
Year Ended 12/31/03 $ 27.56 20.51% $ 20 1.25% (0.18%)
Year Ended 12/31/02 $ 22.87 (28.24%) $ 18 1.25% (0.20%)
Year Ended 12/31/01 $ 31.87 (19.06%) $ 32 1.24% (0.50%)
Year Ended 12/31/00 $ 43.12 (23.85%) $ 24 1.24% (0.65%)
EQUITY INCOME FUND
Year Ended 12/31/04 $ 32.25 17.55% $ 18 1.25% 1.93%
Year Ended 12/31/03 $ 27.99 23.38% $ 15 1.25% 2.46%
Year Ended 12/31/02 $ 23.25 (21.34%) $ 15 1.25% 0.95%
Year Ended 12/31/01 $ 30.57 (12.76%) $ 28 1.25% 0.30%
Year Ended 12/31/00 $ 35.35 (4.09%) $ 5 1.25% 0.34%
U.S. EQUITY FUND+
Year Ended 12/31/04 $ 10.99 10.50% $ 53 1.05% 0.80%
Year Ended 12/31/03 $ 10.01 32.32% $ 50 1.05% 0.50%
Year Ended 12/31/02 $ 7.61 (26.89%) $ 29 1.05% 0.30%
6/1/01 Through 12/31/01^ $ 10.45 (5.96%) $ 54 1.05% 0.30%
9/15/00** Through 5/31/01 $ 11.16 (13.10%) $ 3 1.05% 0.22%
<Caption>
RATIOS/SUPPLEMENTAL DATA:
-----------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
-----------------------------------------
NET INVESTMENT
EXPENSES INCOME (LOSS) PORTFOLIO
WITHOUT WAIVERS WITHOUT WAIVERS TURNOVER
AND REIMBURSEMENTS AND REIMBURSEMENTS RATE (a)
DISCIPLINED EQUITY FUND
Year Ended 12/31/04 1.67% 0.29% 49%
Year Ended 12/31/03 2.31% (0.62%) 77%
Year Ended 12/31/02 2.23% (0.68%) 74%
9/28/01** Through 12/31/01 11.02%!! (9.65%)!! 33%
DIVERSIFIED FUND
Year Ended 12/31/04 1.63% 0.94% 242%
3/24/03** Through 12/31/03 1.70% 0.59% 210%
EQUITY GROWTH FUND
Year Ended 12/31/04 2.17% (0.95%) 133%
Year Ended 12/31/03 2.09% (1.02%) 81%
Year Ended 12/31/02 2.26% (1.21%) 50%
Year Ended 12/31/01 1.58% (0.84%) 98%~
Year Ended 12/31/00 1.64% (1.05%) 58%~
EQUITY INCOME FUND
Year Ended 12/31/04 1.84% 1.34% 37%
Year Ended 12/31/03 1.94% 1.77% 17%
Year Ended 12/31/02 1.91% 0.29% 167%
Year Ended 12/31/01 1.55% 0.00% 4%
Year Ended 12/31/00 1.94% (0.35%) 15%
U.S. EQUITY FUND+
Year Ended 12/31/04 1.46% 0.39% 82%
Year Ended 12/31/03 1.54% 0.01% 101%
Year Ended 12/31/02 1.44% (0.09%) 83%
6/1/01 Through 12/31/01^ 1.44% (0.09%) 48%*
9/15/00** Through 5/31/01 7.05%!! (5.78%)!! 81%*
</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.
~ Portfolio turnover reflects the rate of the Fund for the period January 1,
1999 to August 11, 1999. From August 11, 1999 to September 9, 2001, all of
the Fund's investable assets were invested in The Equity Growth Portfolio,
and the portfolio turnover rate is disclosed at the Portfolio level.
Effective the opening of business September 10, 2001, the portfolio
turnover reflects the rate of the Fund.
SEE NOTES TO FINANCIAL STATEMENTS.
101
<Page>
CLASS B
<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
DIVERSIFIED FUND
Year Ended 12/31/04 $ 12.79 0.08@ 0.96 1.04
3/24/03** Through 12/31/03 $ 10.77 0.03@ 2.06 2.09
EQUITY GROWTH FUND
Year Ended 12/31/04 $ 27.00 (0.20)@ 1.13 0.93
Year Ended 12/31/03 $ 22.58 (0.22)@ 4.64 4.42
Year Ended 12/31/02 $ 31.68 (0.26)@ (8.84) (9.10)
2/16/01** Through 12/31/01 $ 41.84 (0.36)@ (6.76) (7.12)
EQUITY INCOME FUND
Year Ended 12/31/04 $ 27.95 0.42@ 4.28 4.70
Year Ended 12/31/03 $ 23.21 0.48@ 4.73 5.21
Year Ended 12/31/02 $ 30.54 0.12@ (6.70) (6.58)
2/16/01** Through 12/31/01 $ 34.41 (0.06)@ (3.64) (3.70)
U.S. EQUITY FUND
Year Ended 12/31/04 $ 9.95 --t@ 0.97 0.97
Year Ended 12/31/03 $ 7.58 (0.02)@ 2.39 2.37
Year Ended 12/31/02 $ 10.43 (0.04) (2.81) (2.85)
9/10/01** Through 12/31/01^ $ 9.67 (0.01)@ 0.79 0.78
<Caption>
PER SHARE OPERATING PERFORMANCE:
--------------------------------------------------------------
LESS DISTRIBUTIONS:
--------------------------------------------------------------
DIVIDENDS
FROM NET DISTRIBUTIONS
INVESTMENT FROM CAPITAL RETURN OF TOTAL
INCOME GAINS CAPITAL DISTRIBUTIONS
DIVERSIFIED FUND
Year Ended 12/31/04 0.11 -- -- 0.11
3/24/03** Through 12/31/03 0.07 -- -- 0.07
EQUITY GROWTH FUND
Year Ended 12/31/04 -- -- -- --
Year Ended 12/31/03 -- -- -- --
Year Ended 12/31/02 -- -- -- --
2/16/01** Through 12/31/01 -- 3.04 -- 3.04
EQUITY INCOME FUND
Year Ended 12/31/04 0.45 -- -- 0.45
Year Ended 12/31/03 0.44 -- 0.03 0.47
Year Ended 12/31/02 0.18 0.57 -- 0.75
2/16/01** Through 12/31/01 -- 0.17 -- 0.17
U.S. EQUITY FUND
Year Ended 12/31/04 0.02 -- -- 0.02
Year Ended 12/31/03 --t -- -- --t
Year Ended 12/31/02 -- -- -- --
9/10/01** Through 12/31/01^ -- 0.02 -- 0.02
</Table>
** Commencement of offering of class of shares.
^ The Fund changed its fiscal year end from May 31 to December 31.
@ Calculated based upon average shares outstanding.
t Amount is less than $.005.
SEE NOTES TO FINANCIAL STATEMENTS.
102
<Page>
<Table>
<Caption>
PER SHARE OPERATING PERFORMANCE: RATIOS/SUPPLEMENTAL DATA:
-------------------------------- ---------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
-------------------------------
NET ASSETS, NET
NET ASSET END OF INVESTMENT
VALUE, END TOTAL PERIOD NET INCOME
OF PERIOD RETURN (1)(a) (MILLIONS) EXPENSES (LOSS)
DIVERSIFIED FUND
Year Ended 12/31/04 $ 13.72 8.16% $ 14 1.93% 0.63%
3/24/03** Through 12/31/03 $ 12.79 19.42% $ 14 1.93% 0.35%
EQUITY GROWTH FUND
Year Ended 12/31/04 $ 27.93 3.44% $ 7 1.98% (0.75%)
Year Ended 12/31/03 $ 27.00 19.57% $ 9 1.98% (0.91%)
Year Ended 12/31/02 $ 22.58 (28.72%) $ 9 1.98% (0.92%)
2/16/01** Through 12/31/01 $ 31.68 (17.07%) $ 15 1.99% (1.24%)
EQUITY INCOME FUND
Year Ended 12/31/04 $ 32.20 16.96% $ 8 1.75% 1.42%
Year Ended 12/31/03 $ 27.95 22.70% $ 9 1.75% 1.95%
Year Ended 12/31/02 $ 23.21 (21.74%) $ 8 1.75% 0.45%
2/16/01** Through 12/31/01 $ 30.54 (10.74%) $ 14 1.75% (0.20%)
U.S. EQUITY FUND
Year Ended 12/31/04 $ 10.90 9.74% $ 25 1.75% 0.03%
Year Ended 12/31/03 $ 9.95 31.29% $ 29 1.75% (0.20%)
Year Ended 12/31/02 $ 7.58 (27.31%) $ 11 1.75% (0.40%)
9/10/01** Through 12/31/01^ $ 10.43 8.07% $ 19 1.75% (0.40%)
<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)
DIVERSIFIED FUND
Year Ended 12/31/04 2.13% 0.43% 242%
3/24/03** Through 12/31/03 2.20% 0.08% 210%
EQUITY GROWTH FUND
Year Ended 12/31/04 2.67% 1.44% 133%
Year Ended 12/31/03 2.59% (1.52%) 81%
Year Ended 12/31/02 2.75% (1.69%) 50%
2/16/01** Through 12/31/01 2.10% (1.35%) 98%
EQUITY INCOME FUND
Year Ended 12/31/04 2.35% 0.82% 37%
Year Ended 12/31/03 2.43% 1.27% 17%
Year Ended 12/31/02 2.42% (0.22%) 167%
2/16/01** Through 12/31/01 2.06% (0.51%) 4%
U.S. EQUITY FUND
Year Ended 12/31/04 1.97% (0.19%) 82%
Year Ended 12/31/03 2.04% (0.49%) 101%
Year Ended 12/31/02 1.93% (0.58%) 83%
9/10/01** Through 12/31/01^ 1.85% (0.50%) 48%
</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.
SEE NOTES TO FINANCIAL STATEMENTS.
103
<Page>
CLASS C
<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
DIVERSIFIED FUND
Year Ended 12/31/04 $ 12.80 0.08@ 0.95 1.03
3/24/03** Through 12/31/03 $ 10.77 0.03@ 2.07 2.10
EQUITY GROWTH FUND
Year Ended 12/31/04 $ 26.98 (0.19)@ 1.12 0.93
Year Ended 12/31/03 $ 22.56 (0.22)@ 4.64 4.42
Year Ended 12/31/02 $ 31.64 (0.28)@ (8.80) (9.08)
2/16/01** Through 12/31/01 $ 41.84 (0.37)@ (6.79) (7.16)
EQUITY INCOME FUND
Year Ended 12/31/04 $ 27.93 0.42@ 4.28 4.70
Year Ended 12/31/03 $ 23.20 0.48@ 4.73 5.21
Year Ended 12/31/02 $ 30.53 0.13@ (6.71) (6.58)
2/16/01** Through 12/31/01 $ 34.41 (0.05)@ (3.66) (3.71)
U.S. EQUITY FUND
Year Ended 12/31/04 $ 9.95 --t@ 0.97 0.97
Year Ended 12/31/03 $ 7.58 (0.02)@ 2.39 2.37
Year Ended 12/31/02 $ 10.44 (0.05) (2.81) (2.86)
9/10/01** Through 12/31/01^ $ 9.67 (0.01)@ 0.80 0.79
<Caption>
PER SHARE OPERATING PERFORMANCE:
--------------------------------------------------------------
LESS DISTRIBUTIONS:
--------------------------------------------------------------
DIVIDENDS
FROM NET DISTRIBUTIONS
INVESTMENT FROM CAPITAL RETURN OF TOTAL
INCOME GAINS CAPITAL DISTRIBUTIONS
DIVERSIFIED FUND
Year Ended 12/31/04 0.11 -- -- 0.11
3/24/03** Through 12/31/03 0.07 -- -- 0.07
EQUITY GROWTH FUND
Year Ended 12/31/04 -- -- -- --
Year Ended 12/31/03 -- -- -- --
Year Ended 12/31/02 -- -- -- --
2/16/01** Through 12/31/01 -- 3.04 -- 3.04
EQUITY INCOME FUND
Year Ended 12/31/04 0.46 -- -- 0.46
Year Ended 12/31/03 0.45 -- 0.03 0.48
Year Ended 12/31/02 0.18 0.57 -- 0.75
2/16/01** Through 12/31/01 -- 0.17 -- 0.17
U.S. EQUITY FUND
Year Ended 12/31/04 0.02 -- -- 0.02
Year Ended 12/31/03 --t -- -- --t
Year Ended 12/31/02 -- -- -- --
9/10/01** Through 12/31/01^ -- 0.02 -- 0.02
</Table>
** Commencement of offering of class of shares.
^ The Fund changed its fiscal year end from May 31 to December 31.
@ Calculated based upon average shares outstanding.
t Amount is less than $.005.
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 (1)(a) (MILLIONS) EXPENSES (LOSS)
DIVERSIFIED FUND
Year Ended 12/31/04 $ 13.72 8.10% $ 1 1.93% 0.65%
3/24/03** Through 12/31/03 $ 12.80 19.48% $ 1 1.93% 0.36%
EQUITY GROWTH FUND
Year Ended 12/31/04 $ 27.91 3.45% $ 1 1.98% (0.73%)
Year Ended 12/31/03 $ 26.98 19.59% $ 1 1.98% (0.90%)
Year Ended 12/31/02 $ 22.56 (28.70%) $ 1 1.98% (0.92%)
2/16/01** Through 12/31/01 $ 31.64 (17.17%) $ 2 1.99% (1.25%)
EQUITY INCOME FUND
Year Ended 12/31/04 $ 32.17 16.96% $ 3 1.75% 1.42%
Year Ended 12/31/03 $ 27.93 22.72% $ 3 1.75% 1.95%
Year Ended 12/31/02 $ 23.20 (21.74%) $ 3 1.75% 0.48%
2/16/01** Through 12/31/01 $ 30.53 (10.76%) $ 4 1.75% (0.20%)
U.S. EQUITY FUND
Year Ended 12/31/04 $ 10.90 9.74% $ 4 1.75% 0.04%
Year Ended 12/31/03 $ 9.95 31.29% $ 5 1.75% (0.20%)
Year Ended 12/31/02 $ 7.58 (27.37%) $ 1 1.75% (0.42%)
9/10/01** Through 12/31/01^ $ 10.44 8.18% $ 1 1.75% (0.39%)
<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)
DIVERSIFIED FUND
Year Ended 12/31/04 2.13% 0.45% 242%
3/24/03** Through 12/31/03 2.20% 0.09% 210%
EQUITY GROWTH FUND
Year Ended 12/31/04 2.67% (1.43%) 133%
Year Ended 12/31/03 2.59% (1.51%) 81%
Year Ended 12/31/02 2.56% (1.50%) 50%
2/16/01** Through 12/31/01 2.10% (1.36%) 98%
EQUITY INCOME FUND
Year Ended 12/31/04 2.34% 0.83% 37%
Year Ended 12/31/03 2.43% 1.27% 17%
Year Ended 12/31/02 2.41% (0.18%) 167%
2/16/01** Through 12/31/01 2.06% (0.51%) 4%
U.S. EQUITY FUND
Year Ended 12/31/04 1.96% (0.17%) 82%
Year Ended 12/31/03 2.04% (0.49%) 101%
Year Ended 12/31/02 1.93% (0.60%) 83%
9/10/01** Through 12/31/01^ 1.85% (0.49%) 48%
</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.
SEE NOTES TO FINANCIAL STATEMENTS.
105
<Page>
INSTITUTIONAL
<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
DISCIPLINED EQUITY FUND
Year Ended 12/31/04 $ 13.49 0.22 1.28 1.50
Year Ended 12/31/03 $ 10.55 0.18 2.92 3.10
Year Ended 12/31/02 $ 14.19 0.13@ (3.63) (3.50)
6/1/01 Through 12/31/01^ $ 15.65 0.07@ (1.44) (1.37)
Year Ended 5/31/01 $ 17.54 0.14 (1.89) (1.75)
Year Ended 5/31/00 $ 17.57 0.17 0.81 0.98
DIVERSIFIED FUND
Year Ended 12/31/04 $ 12.80 0.25@ 0.96 1.21
Year Ended 12/31/03 $ 10.76 0.19@ 2.07 2.26
Year Ended 12/31/02 $ 12.65 0.25@ (1.89) (1.64)
7/1/01 Through 12/31/01^ $ 13.20 0.14@ (0.50) (0.36)
Year Ended 6/30/01 $ 14.93 0.39 (1.38) (0.99)
Year Ended 6/30/00 $ 14.69 0.38 0.61 0.99
U.S. EQUITY FUND
Year Ended 12/31/04 $ 9.99 0.12@ 0.97 1.09
Year Ended 12/31/03 $ 7.61 0.09@ 2.38 2.47
Year Ended 12/31/02 $ 10.44 0.06 (2.82) (2.76)
6/1/01 Through 12/31/01^ $ 11.12 0.03@ (0.66) (0.63)
Year Ended 5/31/01 $ 12.79 0.08 (0.96) (0.88)
Year Ended 5/31/00 $ 15.08 0.11 0.26 0.37
<Caption>
PER SHARE OPERATING PERFORMANCE:
--------------------------------------------------------------
LESS DISTRIBUTIONS:
--------------------------------------------------------------
DIVIDENDS
FROM NET DISTRIBUTIONS
INVESTMENT FROM CAPITAL RETURN OF TOTAL
INCOME GAINS CAPITAL DISTRIBUTIONS
DISCIPLINED EQUITY FUND
Year Ended 12/31/04 0.21 -- -- 0.21
Year Ended 12/31/03 0.16 -- --t 0.16
Year Ended 12/31/02 0.14 -- -- 0.14
6/1/01 Through 12/31/01^ 0.09 -- -- 0.09
Year Ended 5/31/01 0.14 -- -- 0.14
Year Ended 5/31/00 0.18 0.83 -- 1.01
DIVERSIFIED FUND
Year Ended 12/31/04 0.27 -- -- 0.27
Year Ended 12/31/03 0.22 -- -- 0.22
Year Ended 12/31/02 0.25 -- -- 0.25
7/1/01 Through 12/31/01^ 0.19 -- -- 0.19
Year Ended 6/30/01 0.38 0.36 -- 0.74
Year Ended 6/30/00 0.27 0.48 -- 0.75
U.S. EQUITY FUND
Year Ended 12/31/04 0.11 -- -- 0.11
Year Ended 12/31/03 0.09 -- -- 0.09
Year Ended 12/31/02 0.07 -- -- 0.07
6/1/01 Through 12/31/01^ 0.03 0.02 -- 0.05
Year Ended 5/31/01 0.08 0.71 -- 0.79
Year Ended 5/31/00 0.11 2.55 -- 2.66
</Table>
* Prior to September 10, 2001, DF invested all of its investable assets in
The Diversified Portfolio ("DP"). The portfolio turnover rate disclosed
prior to September 10, 2001, is the turnover rate of DP.
^ The Fund changed its fiscal year end to December 31.
@ Calculated based upon average shares outstanding.
t Amount rounds to less than $.005.
(1) Total return figures do not include the effect of any front-end or deferred
sales load.
SEE NOTES TO FINANCIAL STATEMENTS.
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 (1)(a) (MILLIONS) EXPENSES (LOSS)
DISCIPLINED EQUITY FUND
Year Ended 12/31/04 $ 14.78 11.23% $ 342 0.45% 1.52%
Year Ended 12/31/03 $ 13.49 29.60% $ 418 0.45% 1.24%
Year Ended 12/31/02 $ 10.55 (24.76%) $ 924 0.45% 1.09%
6/1/01 Through 12/31/01^ $ 14.19 (8.73%) $ 1,162 0.45% 0.86%
Year Ended 5/31/01 $ 15.65 (9.99%) $ 1,210 0.45% 0.85%
Year Ended 5/31/00 $ 17.54 5.54% $ 1,476 0.45% 1.04%
DIVERSIFIED FUND
Year Ended 12/31/04 $ 13.74 9.55% $ 259 0.65% 1.90%
Year Ended 12/31/03 $ 12.80 21.20% $ 281 0.65% 1.68%
Year Ended 12/31/02 $ 10.76 (13.00%) $ 255 0.65% 1.98%
7/1/01 Through 12/31/01^ $ 12.65 (2.71%) $ 505 0.65% 2.21%
Year Ended 6/30/01 $ 13.20 (6.69%) $ 582 0.65% 2.75%
Year Ended 6/30/00 $ 14.93 6.88% $ 622 0.65% 2.48%
U.S. EQUITY FUND
Year Ended 12/31/04 $ 10.97 10.96% $ 64 0.64% 1.20%
Year Ended 12/31/03 $ 9.99 32.63% $ 76 0.64% 0.91%
Year Ended 12/31/02 $ 7.61 (26.50%) $ 79 0.64% 0.74%
6/1/01 Through 12/31/01^ $ 10.44 (5.63%) $ 90 0.65% 0.55%
Year Ended 5/31/01 $ 11.12 (6.99%) $ 151 0.62% 0.57%
Year Ended 5/31/00 $ 12.79 2.45% $ 241 0.60% 0.76%
<Caption>
RATIOS/SUPPLEMENTAL DATA:
-----------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
-----------------------------------------
NET INVESTMENT
EXPENSES INCOME (LOSS) PORTFOLIO
WITHOUT WAIVERS WITHOUT WAIVERS TURNOVER
AND REIMBURSEMENTS AND REIMBURSEMENTS RATE (a)
DISCIPLINED EQUITY FUND
Year Ended 12/31/04 0.60% 1.37% 49%
Year Ended 12/31/03 0.60% 1.09% 77%
Year Ended 12/31/02 0.65% 0.89% 74%
6/1/01 Through 12/31/01^ 0.60% 0.71% 33%~
Year Ended 5/31/01 0.55% 0.75% 72%~
Year Ended 5/31/00 0.55% 0.94% 56%~
DIVERSIFIED FUND
Year Ended 12/31/04 0.94% 1.61% 242%
Year Ended 12/31/03 0.93% 1.40% 210%
Year Ended 12/31/02 0.91% 1.72% 232%
7/1/01 Through 12/31/01^ 0.87% 1.99% 107%*
Year Ended 6/30/01 0.83% 2.57% 185%*
Year Ended 6/30/00 0.80% 2.33% 217%*
U.S. EQUITY FUND
Year Ended 12/31/04 0.74% 1.10% 82%
Year Ended 12/31/03 0.76% 0.79% 101%
Year Ended 12/31/02 0.77% 0.61% 83%
6/1/01 Through 12/31/01^ 0.70% 0.50% 48%+
Year Ended 5/31/01 0.64% 0.55% 81%+
Year Ended 5/31/00 0.63% 0.73% 89%+
</Table>
(a) Not annualized for periods less than one year.
# Short periods have been annualized.
~ Prior to September 10, 2001, DEF invested all of its investable assets in
The Disciplined Equity Portfolio ("DEP"). The portfolio turnover rate
disclosed prior to September 10, 2001, is the turnover rate of DEP.
+ Prior to September 10, 2001, USEF invested all of its investable assets in
The U.S. Equity Portfolio ("USEP"). The portfolio turnover rate disclosed
prior to September 10, 2001, is the turnover rate of USEP.
SEE NOTES TO FINANCIAL STATEMENTS.
107
<Page>
SELECT
<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
DISCIPLINED EQUITY FUND+
Year Ended 12/31/04 $ 13.51 0.18 1.30 1.48
Year Ended 12/31/03 $ 10.55 0.11 2.98 3.09
Year Ended 12/31/02 $ 14.19 0.10@ (3.64) (3.54)
6/1/01 Through 12/31/01^ $ 15.70 0.05@ (1.44) (1.39)
Year Ended 5/31/01 $ 17.85 0.09 (1.94) (1.85)
Year Ended 5/31/00 $ 17.42 0.12 0.78 0.90
DIVERSIFIED FUND+
Year Ended 12/31/04 $ 12.81 0.22@ 0.96 1.18
Year Ended 12/31/03 $ 10.76 0.16@ 2.07 2.23
Year Ended 12/31/02 $ 12.65 0.20@ (1.87) (1.67)
7/1/01 Through 12/31/01^ $ 13.36 0.13@ (0.52) (0.39)
Year Ended 6/30/01 $ 15.15 0.35 (1.41) (1.06)
Year Ended 6/30/00 $ 14.92 0.33 0.63 0.96
EQUITY GROWTH FUND
Year Ended 12/31/04 $ 27.99 0.05@ 1.20 1.25
Year Ended 12/31/03 $ 23.18 0.02@ 4.79 4.81
Year Ended 12/31/02 $ 32.21 0.02@ (9.05) (9.03)
Year Ended 12/31/01 $ 43.44 (0.10)@ (8.09) (8.19)
Year Ended 12/31/00 $ 68.09 (0.26)@ (16.22) (16.48)
EQUITY INCOME FUND
Year Ended 12/31/04 $ 27.97 0.68@ 4.28 4.96
Year Ended 12/31/03 $ 23.26 0.69@ 4.74 5.43
Year Ended 12/31/02 $ 30.57 0.35@ (6.72) (6.37)
Year Ended 12/31/01 $ 35.33 0.22@ (4.62) (4.40)
Year Ended 12/31/00 $ 49.80 0.29@ (2.66) (2.37)
<Caption>
PER SHARE OPERATING PERFORMANCE:
--------------------------------------------------------------
LESS DISTRIBUTIONS:
--------------------------------------------------------------
DIVIDENDS
FROM NET DISTRIBUTIONS
INVESTMENT FROM CAPITAL RETURN OF TOTAL
INCOME GAINS CAPITAL DISTRIBUTIONS
DISCIPLINED EQUITY FUND+
Year Ended 12/31/04 0.19 -- -- 0.19
Year Ended 12/31/03 0.13 -- -- 0.13
Year Ended 12/31/02 0.10 -- -- 0.10
6/1/01 Through 12/31/01^ 0.12 -- -- 0.12
Year Ended 5/31/01 0.11 0.19 -- 0.30
Year Ended 5/31/00 0.12 0.35 -- 0.47
DIVERSIFIED FUND+
Year Ended 12/31/04 0.24 -- -- 0.24
Year Ended 12/31/03 0.18 -- -- 0.18
Year Ended 12/31/02 0.22 -- -- 0.22
7/1/01 Through 12/31/01^ 0.32 -- -- 0.32
Year Ended 6/30/01 0.35 0.38 -- 0.73
Year Ended 6/30/00 0.24 0.49 -- 0.73
EQUITY GROWTH FUND
Year Ended 12/31/04 -- -- -- --
Year Ended 12/31/03 -- -- -- --
Year Ended 12/31/02 -- -- -- --
Year Ended 12/31/01 -- 3.04 -- 3.04
Year Ended 12/31/00 -- 8.17 -- 8.17
EQUITY INCOME FUND
Year Ended 12/31/04 0.69 -- -- 0.69
Year Ended 12/31/03 0.69 -- 0.03 0.72
Year Ended 12/31/02 0.37 0.57 -- 0.94
Year Ended 12/31/01 0.19 0.17 -- 0.36
Year Ended 12/31/00 0.29 11.81 -- 12.10
</Table>
+ Prior to the open of business on September 10, 2001, the class underwent a
split of shares in connection with a Fund reorginization. Prior periods
have been restated to reflect the split.
^ The Fund changed its fiscal year end to December 31.
@ Calculated based upon average shares outstanding.
(a) Not annualized for periods less than one year.
# Short periods have been annualized.
SEE NOTES TO FINANCIAL STATEMENTS.
108
<Page>
<Table>
<Caption>
PER SHARE OPERATING PERFORMANCE: RATIOS/SUPPLEMENTAL DATA:
-------------------------------- ---------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
-------------------------------
NET ASSETS, NET
NET ASSET END OF INVESTMENT
VALUE, END TOTAL PERIOD NET INCOME
OF PERIOD RETURN (a) (MILLIONS) EXPENSES (LOSS)
DISCIPLINED EQUITY FUND+
Year Ended 12/31/04 $ 14.80 11.03% $ 79 0.63% 1.37%
Year Ended 12/31/03 $ 13.51 29.45% $ 78 0.67% 1.02%
Year Ended 12/31/02 $ 10.55 (24.98%) $ 65 0.73% 0.77%
6/1/01 Through 12/31/01^ $ 14.19 (8.88%) $ 132 0.72% 0.56%
Year Ended 5/31/01 $ 15.70 (10.43%) $ 128 0.77% 0.53%
Year Ended 5/31/00 $ 17.85 5.19% $ 160 0.75% 0.76%
DIVERSIFIED FUND+
Year Ended 12/31/04 $ 13.75 9.28% $ 137 0.91% 1.65%
Year Ended 12/31/03 $ 12.81 20.90% $ 140 0.91% 1.42%
Year Ended 12/31/02 $ 10.76 (13.22%) $ 270 0.91% 1.72%
7/1/01 Through 12/31/01^ $ 12.65 (2.90%) $ 343 0.93% 1.96%
Year Ended 6/30/01 $ 13.36 (7.01%) $ 360 0.98% 2.42%
Year Ended 6/30/00 $ 15.15 6.61% $ 359 0.96% 2.19%
EQUITY GROWTH FUND
Year Ended 12/31/04 $ 29.24 4.47% $ 28 1.00% 0.18%
Year Ended 12/31/03 $ 27.99 20.75% $ 40 1.00% 0.07%
Year Ended 12/31/02 $ 23.18 (28.03%) $ 40 1.00% 0.06%
Year Ended 12/31/01 $ 32.21 (18.86%) $ 86 1.00% (0.28%)
Year Ended 12/31/00 $ 43.44 (23.65%) $ 179 1.00% (0.40%)
EQUITY INCOME FUND
Year Ended 12/31/04 $ 32.24 17.95% $ 34 0.90% 2.30%
Year Ended 12/31/03 $ 27.97 23.76% $ 40 0.90% 2.80%
Year Ended 12/31/02 $ 23.26 (21.06%) $ 41 0.90% 1.30%
Year Ended 12/31/01 $ 30.57 (12.43%) $ 68 0.92% 0.69%
Year Ended 12/31/00 $ 35.33 (3.85%) $ 97 1.00% 0.59%
<Caption>
RATIOS/SUPPLEMENTAL DATA:
-----------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
-----------------------------------------
NET INVESTMENT
EXPENSES INCOME (LOSS) PORTFOLIO
WITHOUT WAIVERS WITHOUT WAIVERS TURNOVER
AND REIMBURSEMENTS AND REIMBURSEMENTS RATE (a)
DISCIPLINED EQUITY FUND+
Year Ended 12/31/04 0.78% 1.22% 49%
Year Ended 12/31/03 0.80% 0.89% 77%
Year Ended 12/31/02 0.84% 0.66% 74%
6/1/01 Through 12/31/01^ 0.77% 0.51% 33%~
Year Ended 5/31/01 0.77% 0.53% 72%~
Year Ended 5/31/00 0.78% 0.73% 56%~
DIVERSIFIED FUND+
Year Ended 12/31/04 1.11% 1.45% 242%
Year Ended 12/31/03 1.09% 1.24% 210%
Year Ended 12/31/02 1.08% 1.55% 232%
7/1/01 Through 12/31/01^ 1.03% 1.86% 107%**
Year Ended 6/30/01 1.01% 2.39% 185%**
Year Ended 6/30/00 0.98% 2.17% 217%**
EQUITY GROWTH FUND
Year Ended 12/31/04 1.29% (0.10%) 133%
Year Ended 12/31/03 1.20% (0.13%) 81%
Year Ended 12/31/02 1.15% (0.09%) 50%
Year Ended 12/31/01 1.05% (0.33%) 98%*
Year Ended 12/31/00 1.02% (0.42%) 58%*
EQUITY INCOME FUND
Year Ended 12/31/04 1.16% 2.04% 37%
Year Ended 12/31/03 1.10% 2.60% 17%
Year Ended 12/31/02 1.07% 1.13% 167%
Year Ended 12/31/01 0.98% 0.63% 4%
Year Ended 12/31/00 1.03% 0.56% 15%
</Table>
~ Prior to September 10, 2001, DEF invested all of its investable assets in
The Disciplined Equity Portfolio ("DEP"). The portfolio turnover rate
disclosed prior to September 10, 2001, is the turnover rate of DEP.
* Portfolio turnover reflects the rate of the Fund for the period January 1,
1999 to August 11, 1999. From August 11, 1999 to September 9, 2001, all of
the Fund's investable assets were invested in The Equity Growth Portfolio,
and the portfolio turnover rate is disclosed at the Portfolio level.
Effective the opening of business September 10, 2001, the portfolio
turnover reflects the rate of the Fund.
** Prior to September 10, 2001, DF invested all of its investable assets in
The Diversified Portfolio ("DP"). The portfolio turnover rate disclosed
prior to September 10, 2001, is the turnover rate of DP.
SEE NOTES TO FINANCIAL STATEMENTS.
109
<Page>
<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
U.S. EQUITY FUND++
Year Ended 12/31/04 $ 9.99 0.11@ 0.97 1.08
Year Ended 12/31/03 $ 7.61 0.07@ 2.39 2.46
Year Ended 12/31/02 $ 10.44 0.05 (2.83) (2.78)
6/1/01 Through 12/31/01^ $ 11.21 0.03@ (0.68) (0.65)
Year Ended 5/31/01 $ 12.66 0.05 (0.94) (0.89)
Year Ended 5/31/00 $ 14.62 0.09 0.24 0.33
<Caption>
PER SHARE OPERATING PERFORMANCE:
--------------------------------------------------------------
LESS DISTRIBUTIONS:
--------------------------------------------------------------
DIVIDENDS
FROM NET DISTRIBUTIONS
INVESTMENT FROM CAPITAL RETURN OF TOTAL
INCOME GAINS CAPITAL DISTRIBUTIONS
U.S. EQUITY FUND++
Year Ended 12/31/04 0.10 -- -- 0.10
Year Ended 12/31/03 0.08 -- -- 0.08
Year Ended 12/31/02 0.05 -- -- 0.05
6/1/01 Through 12/31/01^ 0.04 0.08 -- 0.12
Year Ended 5/31/01 0.05 0.51 -- 0.56
Year Ended 5/31/00 0.09 2.20 -- 2.29
</Table>
++ Prior to the open of business on September 10, 2001, the class underwent a
split of shares in connection with a Fund reorganization as described in
Note 2. Prior periods have been restated to reflect the split.
^ The Fund changed its fiscal year end from May 31 to December 31.
@ Calculated based upon average shares outstanding.
SEE NOTES TO FINANCIAL STATEMENTS.
110
<Page>
<Table>
<Caption>
PER SHARE OPERATING PERFORMANCE: RATIOS/SUPPLEMENTAL DATA:
-------------------------------- ---------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
-------------------------------
NET ASSETS, NET
NET ASSET END OF INVESTMENT
VALUE, END TOTAL PERIOD NET INCOME
OF PERIOD RETURN (a) (MILLIONS) EXPENSES (LOSS)
U.S. EQUITY FUND++
Year Ended 12/31/04 $ 10.97 10.80% $ 340 0.79% 1.04%
Year Ended 12/31/03 $ 9.99 32.42% $ 312 0.79% 0.76%
Year Ended 12/31/02 $ 7.61 (26.62%) $ 225 0.79% 0.57%
6/1/01 Through 12/31/01^ $ 10.44 (5.76%) $ 348 0.79% 0.44%
Year Ended 5/31/01 $ 11.21 (7.10%) $ 312 0.79% 0.41%
Year Ended 5/31/00 $ 12.66 2.20% $ 387 0.78% 0.59%
<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)
U.S. EQUITY FUND++
Year Ended 12/31/04 0.90% 0.93% 82%
Year Ended 12/31/03 0.92% 0.63% 101%
Year Ended 12/31/02 0.92% 0.44% 83%
6/1/01 Through 12/31/01^ 0.85% 0.38% 48%*
Year Ended 5/31/01 0.79% 0.41% 81%*
Year Ended 5/31/00 0.78% 0.59% 89%*
</Table>
(a) Not annualized for periods less than one year.
# Short periods have been annualized.
* Prior to September 10, 2001, USEF invested all of its investable assets in
The U.S. Equity Portfolio (USEP). The portfolio turnover rate disclosed
prior to September 10, 2001, is the turnover rate of USEP.
SEE NOTES TO FINANCIAL STATEMENTS.
111
<Page>
ULTRA
<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
DISCIPLINED EQUITY FUND
Year Ended 12/31/04 $ 13.50 0.22 1.30 1.52
3/24/03** Through 12/31/03 $ 10.77 0.12 2.75 2.87
<Caption>
PER SHARE OPERATING PERFORMANCE:
--------------------------------------------------------------
LESS DISTRIBUTIONS:
--------------------------------------------------------------
DIVIDENDS
FROM NET DISTRIBUTIONS
INVESTMENT FROM CAPITAL RETURN OF TOTAL
INCOME GAINS CAPITAL DISTRIBUTIONS
DISCIPLINED EQUITY FUND
Year Ended 12/31/04 0.23 -- -- 0.23
3/24/03** Through 12/31/03 0.14 -- --(t) 0.14
</Table>
** Commencement of offering of class of shares.
(t) Amount rounds to less than $.005.
SEE NOTES TO FINANCIAL STATEMENTS.
112
<Page>
<Table>
<Caption>
PER SHARE OPERATING PERFORMANCE: RATIOS/SUPPLEMENTAL DATA:
-------------------------------- ---------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
-------------------------------
NET ASSETS, NET
NET ASSET END OF INVESTMENT
VALUE, END TOTAL PERIOD NET INCOME
OF PERIOD RETURN (a) (MILLIONS) EXPENSES (LOSS)
DISCIPLINED EQUITY FUND
Year Ended 12/31/04 $ 14.79 11.33% $ 103 0.35% 1.59%
3/24/03** Through 12/31/03 $ 13.50 26.75% $ 108 0.35% 1.28%
<Caption>
RATIOS/SUPPLEMENTAL DATA:
-----------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
-----------------------------------------
NET INVESTMENT
EXPENSES INCOME (LOSS) PORTFOLIO
WITHOUT WAIVERS WITHOUT WAIVERS TURNOVER
AND REIMBURSEMENTS AND REIMBURSEMENTS RATE (a)
DISCIPLINED EQUITY FUND
Year Ended 12/31/04 0.55% 1.39% 49%
3/24/03** Through 12/31/03 0.54% 1.09% 77%
</Table>
(a) Not annualized for periods less than one year.
# Short periods have been annualized.
SEE NOTES TO FINANCIAL STATEMENTS.
113
<Page>
JPMORGAN FUNDS
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Trustees and Shareholders of
J.P. Morgan Institutional Funds and
J.P. Morgan Mutual Fund Investment Trust
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 Disciplined Equity Fund,
JPMorgan Diversified Fund and JPMorgan U.S. Equity Fund (separate portfolios of
J.P. Morgan Institutional Funds) and JPMorgan Equity Growth Fund and JPMorgan
Equity Income Fund (separate portfolios of J.P. Morgan Mutual Fund Investment
Trust), (hereafter collectively referred to as the "Funds"), at December 31,
2004, the results 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 December 31, 2004 by
correspondence with the custodian and brokers, provide a reasonable basis for
our opinion.
PricewaterhouseCoopers LLP
New York, New York
February 22, 2005
114
<Page>
SCHEDULE OF SHAREHOLDER EXPENSES
Hypothetical $1,000 Investment at Beginning of Period
December 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, July 1, 2004, and continued to hold your
shares at the end of the reporting period, December 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.
115
<Page>
<Table>
<Caption>
EXPENSES PAID
BEGINNING ENDING DURING PERIOD
ACCOUNT VALUE, ACCOUNT VALUE, JULY 1 TO ANNUALIZED
JULY 1, 2004 DECEMBER 31, 2004 DECEMBER 31, 2004* EXPENSE RATIO
DISCIPLINED EQUITY FUND
CLASS A
Actual period return $ 1,000 $ 1,075 $ 4.96 0.95%
Hypothetical $ 1,000 $ 1,020 $ 4.82 0.95%
INSTITUTIONAL
Actual period return $ 1,000 $ 1,077 $ 2.35 0.45%
Hypothetical $ 1,000 $ 1,023 $ 2.29 0.45%
SELECT
Actual period return $ 1,000 $ 1,077 $ 3.29 0.63%
Hypothetical $ 1,000 $ 1,022 $ 3.20 0.63%
ULTRA
Actual period return $ 1,000 $ 1,079 $ 1.83 0.35%
Hypothetical $ 1,000 $ 1,023 $ 1.78 0.35%
DIVERSIFIED FUND
CLASS A
Actual period return $ 1,000 $ 1,074 $ 6.52 1.25%
Hypothetical $ 1,000 $ 1,019 $ 6.34 1.25%
CLASS B
Actual period return $ 1,000 $ 1,070 $ 10.04 1.93%
Hypothetical $ 1,000 $ 1,015 $ 9.78 1.93%
CLASS C
Actual period return $ 1,000 $ 1,070 $ 10.04 1.93%
Hypothetical $ 1,000 $ 1,015 $ 9.78 1.93%
INSTITUTIONAL
Actual period return $ 1,000 $ 1,077 $ 3.39 0.65%
Hypothetical $ 1,000 $ 1,022 $ 3.30 0.65%
SELECT
Actual period return $ 1,000 $ 1,075 $ 4.75 0.91%
Hypothetical $ 1,000 $ 1,020 $ 4.62 0.91%
</Table>
116
<Page>
<Table>
<Caption>
EXPENSES PAID
BEGINNING ENDING DURING PERIOD
ACCOUNT VALUE, ACCOUNT VALUE, JULY 1 TO ANNUALIZED
JULY 1, 2004 DECEMBER 31, 2004 DECEMBER 31, 2004* EXPENSE RATIO
EQUITY GROWTH FUND
CLASS A
Actual period return $ 1,000 $ 1,018 $ 6.34 1.25%
Hypothetical $ 1,000 $ 1,019 $ 6.34 1.25%
CLASS B
Actual period return $ 1,000 $ 1,015 $ 10.03 1.98%
Hypothetical $ 1,000 $ 1,015 $ 10.03 1.98%
CLASS C
Actual period return $ 1,000 $ 1,015 $ 10.03 1.98%
Hypothetical $ 1,000 $ 1,015 $ 10.03 1.98%
SELECT
Actual period return $ 1,000 $ 1,020 $ 5.08 1.00%
Hypothetical $ 1,000 $ 1,020 $ 5.08 1.00%
EQUITY INCOME FUND
CLASS A
Actual period return $ 1,000 $ 1,124 $ 6.67 1.25%
Hypothetical $ 1,000 $ 1,019 $ 6.34 1.25%
CLASS B
Actual period return $ 1,000 $ 1,121 $ 9.33 1.75%
Hypothetical $ 1,000 $ 1,016 $ 8.87 1.75%
CLASS C
Actual period return $ 1,000 $ 1,121 $ 9.33 1.75%
Hypothetical $ 1,000 $ 1,016 $ 8.87 1.75%
SELECT
Actual period return $ 1,000 $ 1,126 $ 4.81 0.90%
Hypothetical $ 1,000 $ 1,021 $ 4.57 0.90%
</Table>
117
<Page>
<Table>
<Caption>
EXPENSES PAID
BEGINNING ENDING DURING PERIOD
ACCOUNT VALUE, ACCOUNT VALUE, JULY 1 TO ANNUALIZED
JULY 1, 2004 DECEMBER 31, 2004 DECEMBER 31, 2004* EXPENSE RATIO
U.S. EQUITY FUND
CLASS A
Actual period return $ 1,000 $ 1,070 $ 5.46 1.05%
Hypothetical $ 1,000 $ 1,020 $ 5.33 1.05%
CLASS B
Actual period return $ 1,000 $ 1,066 $ 9.09 1.75%
Hypothetical $ 1,000 $ 1,016 $ 8.87 1.75%
CLASS C
Actual period return $ 1,000 $ 1,066 $ 9.09 1.75%
Hypothetical $ 1,000 $ 1,016 $ 8.87 1.75%
INSTITUTIONAL
Actual period return $ 1,000 $ 1,072 $ 3.33 0.64%
Hypothetical $ 1,000 $ 1,022 $ 3.25 0.64%
SELECT
Actual period return $ 1,000 $ 1,072 $ 4.11 0.79%
Hypothetical $ 1,000 $ 1,021 $ 4.01 0.79%
</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).
118
<Page>
TRUSTEE AND OFFICER INFORMATION (UNAUDITED)
The names of the Trustees of the Funds, together with information regarding
their year of birth, the year each Trustee became a Board member of the Trusts
(whichever was earliest), the year each Trustee first became a Board member of
any of the Predecessor Funds (if applicable), principal occupations and other
board memberships are shown below. The contact address for each of the Trustees
is 522 Fifth Avenue, New York, NY 10036.
<Table>
<Caption>
NUMBER OF
NAME (YEAR OF BIRTH); PORTFOLIOS IN FUND
POSITIONS WITH PRINCIPAL OCCUPATIONS COMPLEX OVERSEEN OTHER DIRECTORSHIPS HELD
THE FUNDS (SINCE) DURING PAST 5 YEARS BY TRUSTEE(1) OUTSIDE FUND COMPLEX
- -----------------------------------------------------------------------------------------------------------------------------------
INDEPENDENT TRUSTEES
William J. Armstrong Retired; Vice President & Treasurer of Ingersoll- 110 None.
(1941); Trustee of Trusts Rand Company (manufacturer of industrial
since 1997; Trustee of equipment) (1972-2000).
Predecessor Funds since
1987.
Roland R. Eppley, Jr. Retired; President & Chief Executive Officer, 110 Director, Janel Hydro, Inc.
(1932); Trustee of Trusts Eastern States Bankcard (1971-1988). (automotive) (1993-present).
since 1997; Trustee of
Predecessor Funds since
1989.
John F. Finn President and Chief Executive Officer of Gardner, 110 Director, Cardinal Health, Inc
(1947); Trustee of Trusts Inc. (wholesale distributor to outdoor power (CAH) (1994-present).
since 2005. equipment industry) (1979-present).
Dr. Matthew Goldstein Chancellor of the City University of New York 110 Trustee of Bronx-Lebanon
(1941); Trustee of Trusts (1999-present); President, Adelphi University Hospital Center (1992-present);
since 2003; Trustee of (New York) (1998-1999). Director of New Plan Excel
Predecessor Funds since Realty Trust, Inc. (real estate
2003. investment trust)
(2000-present); Director of
Lincoln Center Institute for the
Arts in Education
(1999-present).
Robert J. Higgins (1945); Retired; Director of Administration of the State 110 Director of Providian Financial
Trustee of Trusts since of Rhode Island (2003-2004); President - Corp. (banking) (2002-present).
2002; Trustee of Consumer Banking and Investment Services,
Predecessor Funds since Fleet Boston Financial (1971-2001).
2002.
Peter C. Marshall Self-employed business consultant (2002- 110 None.
(1942); Trustee of Trusts present); Senior Vice President, W.D. Hoard, Inc.
since 2005. (corporate parent of DCI Marketing, Inc.)
(2000-2002); President, DCI Marketing, Inc.
(1992-2000).
Marilyn McCoy Vice President of Administration and Planning, 110 Director, Mather LifeWays
(1948); Trustee of Trusts Northwestern University (1985-present). (1994-present); Director,
Since 2005. Carleton College (2003-present).
William G. Morton, Jr. Retired; Chairman Emeritus (2001-2002), and 110 Director of Radio Shack
(1937); Trustee of Trusts Chairman and Chief Executive Officer, Boston Corporation (electronics)
since 2003; Trustee of Stock Exchange (1985- 2001). (1987-present); Director of The
Predecessor Funds since National Football Foundation and
2003. College Hall of Fame
(1994-present); Trustee of the
Berklee College of Music
(1998-present); Trustee of the
Stratton Mountain School
(2001-present).
</Table>
119
<Page>
<Table>
<Caption>
NUMBER OF
NAME (YEAR OF BIRTH); PORTFOLIOS IN FUND
POSITIONS WITH PRINCIPAL OCCUPATIONS COMPLEX OVERSEEN OTHER DIRECTORSHIPS HELD
THE FUNDS (SINCE) DURING PAST 5 YEARS BY TRUSTEE(1) OUTSIDE FUND COMPLEX
- -----------------------------------------------------------------------------------------------------------------------------------
INDEPENDENT TRUSTEES (CONTINUED)
Robert A. Oden, Jr. President, Carleton College (2002-present); 110 Director, American University in
(1946); Trustee of Trusts President, Kenyon College (1995-2002). Cairo.
since 2005.
Fergus Reid, III Chairman of Lumelite Corporation (plastics 110 Trustee of Morgan Stanley Funds
(1932); Trustee of Trusts manufacturing) (2003-present); Chairman and (209 portfolios) (1995-present).
(Chairman) since 1997; CEO of Lumelite Corporation (1985-2002).
Trustee (Chairman) of
Predecessor Funds since
1987.
Frederick W. Ruebeck Advisor, Jerome P. Green & Associates, LLC 110 Director, AMS Group
(1939); Trustee of Trusts (broker-dealer) (2002-present); Endowment (2001-present); Director, Wabash
since 2005. Fund Manager, Wabash College (2004-present); College (1988-present); Trustee,
self-employed consultant (January 2000 to Seabury-Western Theology
present); Director of Investments, Eli Lilly and Seminary (1993-present);
Company (1988-1999). Director, Indianapolis Symphony
Foundation (1994-present).
James J. Schonbachler Retired; Managing Director of Bankers Trust 110 None.
(1943); Trustee of Trusts Company (financial services) (1968-1998).
since 2001; Trustee of
Predecessor Funds since
2001.
INTERESTED TRUSTEE
Leonard M. Spalding, Jr.* Retired; Chief Executive Officer of Chase Mutual 110 None.
(1935); Trustee of Trusts Funds (investment company) (1989-1998);
since 1998; Trustee of President & Chief Executive Officer of Vista
Predecessor Funds since Capital Management (investment management)
1998. (1990-1998); Chief Investment Executive of
Chase Manhattan Private Bank (investment
management) (1990-1998).
</Table>
(1) A Fund Complex means two or more registered investment companies that hold
themselves out to investors as related companies for purposes of investment
and investor services or have a common investment adviser or have an
investment adviser that is an affiliated person of the investment adviser
of any of the other registered investment companies. The JPMorgan Funds
Complex for which the Board of Trustees includes seven registered
investment companies (110 portfolios) as of February 19, 2005.
* Mr. Spalding is deemed to be an "interested person" due to his ownership of
JPMorgan Chase stock.
120
<Page>
The Funds' executive officers (listed below) are generally employees of the
Adviser or one of its affiliates. The officers conduct and supervise the
business operations of the Funds. The officers hold office until a successor has
been elected and duly qualified. The Funds have no employees.
The names of the officers of the Funds, together with their year of birth,
information regarding their positions held with the Funds and principal
occupations are shown below. The contact address for each of the officers,
unless otherwise noted, is 522 Fifth Avenue, New York, NY 10036.
<Table>
<Caption>
NAME (YEAR OF BIRTH),
POSITIONS HELD WITH PRINCIPAL OCCUPATIONS
THE FUNDS (SINCE) DURING PAST 5 YEARS
- ----------------------------------------------------------------------------------------------------------------------------
OFFICERS
George C.W. Gatch Managing Director, JPMIM, CEO and President of the J.P. Morgan and One Group Funds. An employee
(1962), President (2001) since 1986, Mr. Gatch leads the firm's U.S. mutual fund and financial intermediary 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 Dai-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 Chief Operating Officer, JPMorgan Funds (August 2004 to present) and One Group Mutual Funds from
(1963), Senior Vice November 2001 until present. From October 1999 to present, Vice President and Treasurer, One
President (2004)** Group Administrative Services, Inc., and Vice President and Treasurer, One Group Dealer
Services, Inc.
Patricia A. Maleski Vice President, JPMIM; previously, Treasurer, JPMorgan Funds and Head of Funds Administration
(1960), Vice President and Board Liaison. Prior to joining J.P. Morgan Chase & Co. in 2001, Ms. Maleski was the Vice
and Chief Administrative President of Finance for the Pierpont Group, Inc., a service provider to the Board of
Officer (2004) Directors/Trustees of the JPMorgan Funds.
Stephanie J. Dorsey Director of Mutual Fund Administration, One Group Administrative Services, since 2004;
(1969), Treasurer Ms. Dorsey worked for Bank One Corporation (now known as JPMorgan Chase & Co.) from 2003 to
(2004)** 2004; prior to joining Bank One Corporation, she was a Senior Manager specializing in Financial
Services audits at PricewaterhouseCoopers LLP from 1992 through 2002.
Stephen M. Benham Vice President and Assistant General Counsel, JPMIM since 2004; Vice President (Legal Advisory)
(1959), Secretary (2005) of Merrill Lynch Investment Managers, L.P. from 2000 to 2004; attorney associated with
Kirkpatrick & Lockhart LLP from 1997 to 2000.
Elizabeth A. Davin From 2004 to present, Senior Counsel, JPMorgan Chase& Co.; Assistant General Counsel and
(1964), Assistant Associate General Counsel and Vice President, Gartmore Global Investments, Inc. from 1999 to
Secretary (2004)** 2004.
Jessica K. Ditullio Various attorney positions for Bank One Corporation (now known as JPMorgan Chase & Co.)
(1962), Assistant since 1990.
Secretary (2004)**
Nancy E. Fields From October 1999 to present, Director, Mutual Fund Administration, One Group Administrative
(1949), Assistant Services, Inc. and Senior Project Manager, Mutual Funds, One Group Dealer Services, Inc. From
Secretary (2004)** July 1999 to October 1999, Project Manager, One Group, Banc One Investment Advisors Corporation.
Avery P. Maher Vice President and Assistant General Counsel, JPMIM since 2004; Second Vice President and
(1945), Assistant Assistant Secretary of John Hancock Advisers, LLC, from 1992 to 2004.
Secretary (2004)
Alaina V. Metz (1967), Vice President, BISYS Fund Services, Inc. since 1995.
Assistant Secretary
(2001)*
Suzanne E. Cioffi Vice President, JPMIM, responsible for mutual fund financial reporting. During the past five
(1967), Assistant years, Ms. Cioffi has overseen various fund accounting, custody and administration conversion
Treasurer (2005) projects for JPMIM.
</Table>
121
<Page>
<Table>
<Caption>
NAME (YEAR OF BIRTH),
POSITIONS HELD WITH PRINCIPAL OCCUPATIONS
THE FUNDS (SINCE) DURING PAST 5 YEARS
- -----------------------------------------------------------------------------------------------------------------------------
OFFICERS (CONTINUED)
Christopher D. Walsh Vice President, JPMIM; Mr. Walsh manages all aspects of institutional and retail mutual fund
(1965), Assistant administration and vendor relationships within the mutual funds, commingled/ERISA funds,
Treasurer (2004) 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.
Stephen M. Ungerman Vice President, JPMIM; previously, head of Fund Administration - Pooled Vehicles. Prior to
(1953), Chief Compliance joining J.P. Morgan Chase & Co. in 2000, he held a number of positions in Prudential Financial's
Officer (2004) asset management business, including Associate General Counsel, Tax Director and Co-head of
Fund Administration Department. Mr. Ungerman was also the Assistant Treasurer for all mutual
funds managed by Prudential.
</Table>
* The contact address for the officer is 3435 Stelzer Road, Columbus, OH
43219.
** The contact address for the officer is 1111 Polaris Parkway, Columbus, OH
43271.
As of January 31, 2005, the officers and Trustees, as a group, owned less than
1% of the shares of any class of each Fund.
122
<Page>
TAX LETTER (UNAUDITED)
JPMORGAN DISCIPLINED EQUITY FUND ("DEF")
JPMORGAN DIVERSIFIED FUND ("DF")
JPMORGAN EQUITY GROWTH FUND ("EGF")
JPMORGAN EQUITY INCOME FUND ("EIF")
JPMORGAN U.S. EQUITY FUND ("USEF")
Certain tax information for the JPMorgan Funds is required to be provided to
shareholders based upon the Funds' income and distributions for the taxable year
ended December 31, 2004. The information and distributions reported in this
letter may differ from the information and taxable distributions reported 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.
The following represents the percentage of ordinary income distributions
eligible for the dividends received deduction and the dollar amount of long-term
capital gains distributed by the Funds for the fiscal year ended December 31,
2004.
<Table>
<Caption>
DIVIDENDS LONG-TERM
RECEIVED CAPITAL GAINS
DEDUCTION DISTRIBUTION
FUND
DEF 100.00% $ --
DF 49.12% --
EGF 0.00% --
EIF 100.00% --
USEF 100.00% --
</Table>
For the fiscal year ended December 31, 2004, certain dividends paid by the Funds
may be subject to a maximum tax rate of 15% as provided for by the Jobs and
Growth Tax Relief Reconciliation Act of 2003. The Funds intend to designate the
maximum amount allowable as taxed at a maximum rate of 15%. Complete information
will be reported in conjunction with your 2003 Form 1099-DIV.
For the fiscal year ended December 31, 2004, the following represents the
percentage of ordinary income distributions treated as qualified dividends:
<Table>
<Caption>
PERCENTAGE OF
DISTRIBUTIONS
FUND
DEF 100.00%
DF 58.23%
EGF 0.00%
EIF 100.00%
USEF 100.00%
</Table>
123
<Page>
SPECIAL MEETING OF SHAREHOLDERS (UNAUDITED)
A Special Meeting of Shareholders of J.P. Morgan Institutional Funds ("JPMIF")
was held on January 20, 2005, and adjourned and reconvened on February 3, 2005,
at 522 Fifth Avenue, New York, New York 10036 for purposes of asking
shareholders to consider the following proposals:
To elect thirteen (13) Trustees for each JPMorgan Fund. A majority of the
shareholders of JPMIF approved the election of each Trustee by the following
votes:
<Table>
<Caption>
AFFIRMATIVE NEGATIVE
William J. Armstrong 2,570,614,090 22,720,763
Roland E. Eppley, Jr. 2,570,399,817 22,935,037
John F. Finn 2,569,881,278 23,453,575
Dr. Matthew Goldstein 2,570,332,886 23,001,967
Robert J. Higgins 2,569,489,951 23,844,902
Peter C. Marshall 2,569,718,781 23,616,072
Marilyn McCoy 2,569,796,782 23,538,071
William G. Morton, Jr. 2,569,572,614 23,762,240
Robert A. Oden, Jr. 2,569,148,888 24,185,965
Fergus Reid, III 2,570,290,303 23,044,550
Frederick W. Ruebeck 2,569,687,035 23,647,818
James J. Schonbachler 2,570,727,808 22,607,045
Leonard M. Spalding, Jr. 2,570,279,217 23,055,636
</Table>
To approve proposed Agreement and Plan of Reorganization (each, a
"Reorganization Agreement") pursuant to which each of the JPMorgan Funds would
be reorganized as a corresponding series of J.P. Morgan Mutual Fund Series. A
majority of the shareholders of the following Funds approved the Agreement and
Plan of Reorganization by the following votes:
<Table>
<Caption>
BROKER
FOR AGAINST ABSTAIN NON-VOTES
JPMorgan Disciplined Equity Fund 233,757,925 729,523 962,997 27,824,372
JPMorgan Diversified Fund 174,472,669 1,303,645 3,383,577 47,115,560
JPMorgan U.S. Equity Fund 212,764,261 2,316,943 6,567,121 31,919,597
</Table>
124
<Page>
A Special Meeting of Shareholders of J.P. Morgan Mutual Fund Investment Trust
("JPMMFIT") was held on January 20, 2005, and adjourned and reconvened on
February 3, 2005, at 522 Fifth Avenue, New York, New York 10036 for purposes of
asking shareholders to consider the following proposals:
To elect thirteen (13) Trustees for each JPMorgan Fund. A majority of the
shareholders of the JPMMFIT approved the election of each Trustee by the
following votes:
<Table>
<Caption>
AFFIRMATIVE NEGATIVE
William J. Armstrong 11,248,428 1,372,878
Roland E. Eppley, Jr. 11,235,653 1,385,652
John F. Finn 11,255,712 1,365,593
Dr. Matthew Goldstein 11,245,604 1,375,701
Robert J. Higgins 11,248,938 1,372,367
Peter C. Marshall 11,256,725 1,364,581
Marilyn McCoy 11,254,126 1,367,180
William G. Morton, Jr. 11,232,157 1,389,148
Robert A. Oden, Jr. 11,259,077 1,362,229
Fergus Reid, III 11,246,607 1,374,698
Frederick W. Ruebeck 11,247,097 1,374,209
James J. Schonbachler 11,252,232 1,369,074
Leonard M. Spalding, Jr. 11,241,447 1,379,858
</Table>
To approve proposed Agreement and Plan of Reorganization (each, a
"Reorganization Agreement") pursuant to which each of the JPMorgan Funds would
be reorganized as a corresponding series of J.P. Morgan Mutual Fund Series. A
majority of the shareholders of the following Funds approved the Agreement and
Plan of Reorganization by the following votes:
<Table>
<Caption>
BROKER
FOR AGAINST ABSTAIN NON-VOTES
JPMorgan Equity Growth Fund 1,000,156 12,390 29,129 91,027
JPMorgan Equity Income Fund 1,248,201 13,908 24,332 338,742
</Table>
125
<Page>
To approve the amendment of certain of the JPMorgan Fund's fundamental
investment restrictions on borrowing in order to make them simpler, more
flexible and consistent with the borrowing restrictions for the other JPMorgan
Funds. A majority of the shareholders of the following Funds approved the
proposal by the following votes:
<Table>
<Caption>
BROKER
FOR AGAINST ABSTAIN NON-VOTES
JPMorgan Equity Growth Fund 1,000,511 13,297 27,866 91,027
JPMorgan Equity Income Fund 1,228,725 30,546 27,170 338,742
</Table>
To approve or disapprove the Agreement and Plan of Reorganization of JPMorgan
Equity Growth Fund into One Group Large Cap Growth Fund and the Agreement and
Plan of Reorganization of JPMorgan Equity Income Fund into the One Group Equity
Income Fund. A majority of the shareholders of the following Funds approved the
Agreement and Plan of Reorganization by the following votes:
<Table>
<Caption>
BROKER
FOR AGAINST ABSTAIN NON-VOTES
JPMorgan Equity Growth Fund 998,125 20,420 23,130 91,027
JPMorgan Equity Income Fund 1,246,409 17,002 23,030 338,742
</Table>
126
<Page>
THIS PAGE IS INTENTIONALLY LEFT BLANK
<Page>
THIS PAGE IS INTENTIONALLY LEFT BLANK
<Page>
JPMorgan Funds are distributed by JPMorgan Distribution Services, Inc.
Affiliates of JPMorgan Chase & Co. receive fees for providing various 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.
CONTACT JPMORGAN FUNDS DISTRIBUTION SERVICES AT 1-800-480-4111 FOR A FUND
PROSPECTUS. YOU CAN ALSO VISIT US AT www.jpmorganfunds.com. INVESTORS SHOULD
CAREFULLY CONSIDER THE INVESTMENT OBJECTIVES AND RISK AS WELL AS CHARGES AND
EXPENSES OF THE MUTUAL FUND BEFORE INVESTING. THE PROSPECTUS CONTAINS THIS AND
OTHER INFORMATION ABOUT THE MUTUAL FUND. READ THE PROSPECTUS CAREFULLY BEFORE
INVESTING.
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 1-800-480-4111 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) JPMorgan Chase & Co. 2004 All rights reserved. February 2005. AN-LCE-1204
<Page>
ANNUAL REPORT DECEMBER 31, 2004
JPMORGAN FUNDS
U.S. EQUITY MID/SMALL CAP FUNDS
DYNAMIC SMALL CAP FUND
MID CAP EQUITY FUND
MID CAP GROWTH FUND
MID CAP VALUE FUND
SMALL CAP EQUITY FUND
SMALL CAP GROWTH FUND
TRUST SMALL CAP EQUITY FUND
U.S. SMALL COMPANY FUND
U.S. SMALL COMPANY OPPORTUNITIES FUND
[JPMORGAN ASSET MANAGEMENT LOGO]
<Page>
JPMORGAN 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 Asset Management is an EXPERIENCED PARTNER dedicated to
working with your financial professional to help provide you with a broad array
of WEALTH SOLUTIONS.
CONTENTS
<Table>
President's Letter 1
Fund Commentaries: 3
Dynamic Small Cap Fund 3
Mid Cap Equity Fund 6
Mid Cap Growth Fund 9
Mid Cap Value Fund 12
Small Cap Equity Fund 15
Small Cap Growth Fund 18
Trust Small Cap Equity 21
U.S. Small Company Fund 24
U.S. Small Company
Opportunities Fund 27
Portfolios of Investments 30
Financial Statements 76
Notes to Financial Statements 93
Financial Highlights 124
</Table>
IMPORTANT FUND FAMILY UPDATE
As shareholders of the JPMorgan Funds, we hope you share our enthusiasm
regarding our 'new' fund family resulting from the successful integration of the
former JPMorgan Funds and One Group Funds, effective February 19, 2005. Over the
next few weeks and months, you will be hearing more about our integration, and
our newly combined fund family. As we continue to integrate the two
organizations our dedication to our investors remains steadfast.
HIGHLIGHTS
- - Year-end rally boosts returns
- - Economic news positive
- - Stock selection opportunities in premium growth companies
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) 480-4111 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 JPMorgan Distribution Services, Inc.
Affiliates of JPMorgan Chase & Co. receive fees for providing various services
to the funds.
<Page>
JPMORGAN
U.S. MID AND SMALL CAP EQUITY FUNDS
PRESIDENT'S LETTER JANUARY 19, 2005
[PHOTO OF GEORGE C.W. GATCH]
"DURING 2004, THE EQUITY MARKET ACHIEVED ALMOST ALL OF ITS GAINS IN THE FINAL
QUARTER."
DEAR SHAREHOLDER:
We are pleased to present this annual report for the JPMorgan U.S. Mid and Small
Cap Equity Funds. Inside, you'll find information detailing the performance of
the Funds for the year ended December 31, 2004, along with reports from the
Portfolio Managers.
YEAR-END RALLY BRINGS 2004 TO POSITIVE CLOSE
During 2004, the equity market achieved almost all of its gains in the final
quarter. This was a year in which equities made nervous progress. After starting
the year on a rising trend, and then retrenching during the spring and summer,
equities climbed from October onward in an exceptionally robust year-end rally.
The broad-based S&P 500 Index rose by 9.2% in the quarter, lifting full-year
2004 gains to 10.9%.
At the beginning of the year, a scenario of solid economic growth, accelerating
corporate earnings and low inflation supported the market's progress. By spring,
however, rising oil prices began to raise concerns that the economic recovery
might not be sustained. In the summer, a patch of weak economic growth, a
further rise in oil prices, and rising short-term rates stoked investors' fears.
But in the fourth quarter, doubts were put aside as oil prices fell, the economy
rebounded and the presidential election reached a clear conclusion.
SMALL-CAP STOCKS OUTPERFORM
Small-capitalization stocks were the best performers among U.S. equities,
continuing a five-year pattern of outperformance. During 2004, the Russell 2000
Index rose 18.3%, rallying 14.1% in the fourth quarter alone. To an extent, this
represents a reversion to the mean after small caps became extremely undervalued
compared to large caps in the late 1990s. It is also true that small-cap stocks
have tended to outperform in the early stages of past economic recoveries.
OUTLOOK
We believe that the U.S. economy is on a firm footing entering 2005, as it
evolves from recovery to expansion. The expansion, however, is unlikely to be
smooth as companies continue to manage costs aggressively. In addition, we
expect the Federal Open Market Committee to increase the fed funds target rate
by at least 1% in 2005 to keep inflation under control. Higher interest rates in
the face of an uncertain economy could breed anxiety among investors for a good
part of the year. But we expect that growth will remain solid overall and that
equities will ultimately post gains. The best buying opportunities usually occur
when most people are feeling doubtful about owning assets, and those
opportunities will likely exist in 2005.
On behalf of all of us at JPMorgan Asset Management, thank you for your
business. We appreciate the trust you
<Page>
have placed in us, and look forward to serving your investment needs for many
years to come. Should you have any questions, please feel free to contact the
JPMorgan Funds Service Center at 1-800-480-4111.
Sincerely yours
/s/ George C.W. Gatch
George C.W. Gatch
President
JPMorgan Funds
2
<Page>
JPMORGAN
DYNAMIC SMALL CAP FUND
AS OF DECEMBER 31, 2004 (Unaudited)
FUND FACTS
<Table>
Fund Inception 5/19/1997
Fiscal Year End DECEMBER 31
Net Assets as of 12/31/2004
(In Millions) $ 191.8
Primary Benchmark S&P SMALLCAP
600/BARRA
GROWTH INDEX
</Table>
Q: HOW DID THE FUND PERFORM?
A: The Dynamic Small Cap Fund, which seeks capital growth over the long term,
rose 10.3% (Select Shares) in the year ended December 31, 2004. This
compares to a gain of 22.0% for the S&P SmallCap 600/BARRA Growth Index,
the Fund's benchmark.
Q: WHY DID THE FUND PERFORM IN THIS WAY?
A: The U.S. equity markets recorded another year of gains as strong earnings
growth and healthy corporate balance sheets kept investors' minds off
increasing short-term interest rates, high oil prices and the twin
deficits. Although the Fund participated in the market's advance its return
was disappointing from a relative perspective compared to its benchmark.
Hindering the Fund's advance was weak stock selection in the health care,
information technology and industrial sectors, which underperformed their
benchmark peer group and detracted from performance.
The Fund had many strong individual contributors including Immucor and
Psychiatric Solutions, both of which were added to the Fund in 2004. Shares
of Immucor, a supplier of blood transfusion equipment, surged on news the
Food & Drug Administration approved its Galileo blood transfusion system.
The Galileo system is a fully automated walk-away system that can process
up to 224 blood samples at once. Psychiatric Solutions owns inpatient
behavioral care facilities and also manages psychiatric units for third
parties. The company, which reported third-quarter results that were
in-line with expectations, increased its 2005 earnings outlook.
Additionally, the company participated in a successful secondary offering
before year-end, which exceeded initial expectations. Another strong
contributor was Penn National Gaming, whose share price soared following
the company's announcement of its acquisition of Argosy Gaming. Argosy is
perhaps the most dominant and valuable riverboat casino operator in the
industry. Argosy would add considerably to Penn National's financial
results, as it could provide substantial cash flow and would nearly double
the company's revenues and EBITDA (earnings before interest, taxes,
depreciation and amortization).
While the market gains were strong, a few Fund holdings suffered
double-digit declines. Shares of ESS Technology, which makes semiconductor
chips used in DVD players and camera cell phones, declined as excess
inventory and significant competition in the image sensor business
negatively impacted results. With the inventory overhang expected to last
through the first half of 2005 and aggressive pricing eroding margins, we
believe that ESS will continue to face a very difficult environment. As a
result of these issues we exited our position. Another holding which
disappointed during the year was Merit Medical Systems, a manufacturer of
disposable cardiology and radiology products. The company faced an
intensifying competitive landscape in 2004 that has continued to weigh on
the company's ability to derive growth in a number of key markets. In light
of the high degree of uncertainty surrounding future sales growth in
several key business segments, we exited our position.
Q: HOW WAS THE FUND MANAGED?
A: During the period under review, management of the Portfolio was
transitioned to Christopher Jones and Eytan Shapiro. The portfolio manager
change did not affect the Portfolio's investment objectives or guidelines.
The Portfolio will continue to be managed using a "bottom-up" approach to
its construction. Portfolio Managers will base their stock selection on
proprietary company research complemented by research derived from
third-party sources. The research process is designed to identify companies
with predictable and durable business models deemed capable of achieving
sustainable growth. Potential investments are subjected to rigorous
financial analysis and a disciplined approach to valuation.
3
<Page>
[CHART]
PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS
<Table>
Technology 26.2%
Consumer Goods & Services 22.4%
Health Services & Systems 12.5%
Industrial Products & Services 9.2%
Energy 7.4%
Pharmaceuticals 7.4%
Finance & Insurance 6.7%
Telecommunications 5.6%
Short-Term Investments 2.2%
REITs 0.4%
</Table>
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO
<Table>
1. Psyciatric Solutions, Inc. 1.6%
2. The Pantry, Inc. 1.3%
3. Unit Corp. 1.3%
4. Inter-Tel, Inc. 1.3%
5. Aeroflex, Inc. 1.2%
6. Engineered Support Systems, Inc. 1.2%
7. Tech Data Corp. 1.2%
8. Eagle Materials, Inc. 1.2%
9. Nextel Partners, Inc. 1.2%
10. Penn National Gaming, Inc. 1.2%
</Table>
Top 10 equity holdings comprised 12.7% of the Portfolio's market value of
investments ($25,054 in thousands). As of December 31, 2004 the Fund held 136
equity holdings. Portfolio holdings are subject to change at any time.
4
<Page>
AVERAGE ANNUAL TOTAL RETURNS AS OF DECEMBER 31, 2004
<Table>
<Caption>
SINCE
INCEPTION
1 YEAR 3 YEARS 5 YEARS (5/19/97)
--------------------------------------------
CLASS A SHARES
Without Sales Charge 9.82% 5.50% 2.31% 10.99%
With Sales Charge* 4.06% 3.62% 1.21% 10.21%
CLASS B SHARES
Without CDSC 9.12% 4.84% 1.66% 10.26%
With CDSC** 4.12% 3.92% 1.32% 10.26%
CLASS C SHARES
Without CDSC 9.14% 4.85% 1.65% 10.25%
With CDSC*** 8.14% 4.85% 1.65% 10.25%
SELECT SHARES 10.27% 5.93% 2.75% 11.31%
</Table>
* Sales Charge for Class A Shares is 5.25%.
** Assumes 5% CDSC (contingent deferred sales charge) for the one year period,
3% CDSC for the three year period, 2% CDSC for the five year period and 1%
for the period since inception.
*** Assumes a 1% CDSC for the one year period and 0% CDSC thereafter.
[CHART]
LIFE OF FUND PERFORMANCE (05/19/97 TO 12/31/04)
<Table>
<Caption>
JPMORGAN DYNAMIC SMALL CAP FUND S&P SMALLCAP 600/BARRA LIPPER SMALL-CAP
(CLASS A SHARES) RUSSELL 2000 INDEX GROWTH INDEX GROWTH FUNDS INDEX
5/19/97 $ 9,475 $ 10,000 $ 10,000 $ 10,000
5/31/97 $ 9,977 $ 10,000 $ 10,000 $ 10,000
6/30/97 $ 11,020 $ 10,429 $ 10,357 $ 10,535
7/31/97 $ 12,147 $ 10,914 $ 10,977 $ 11,169
8/31/97 $ 12,564 $ 11,164 $ 11,317 $ 11,347
9/30/97 $ 13,455 $ 11,981 $ 12,036 $ 12,302
10/31/97 $ 13,124 $ 11,455 $ 11,372 $ 11,674
11/30/97 $ 12,612 $ 11,381 $ 11,157 $ 11,410
12/31/97 $ 12,668 $ 11,580 $ 11,289 $ 11,258
1/31/98 $ 12,508 $ 11,397 $ 11,083 $ 11,091
2/28/98 $ 13,748 $ 12,239 $ 12,177 $ 11,988
3/31/98 $ 14,856 $ 12,743 $ 12,500 $ 12,529
4/30/98 $ 15,017 $ 12,813 $ 12,565 $ 12,621
5/31/98 $ 13,966 $ 12,123 $ 11,779 $ 11,727
6/30/98 $ 14,429 $ 12,148 $ 11,856 $ 12,071
7/31/98 $ 13,539 $ 11,164 $ 11,132 $ 11,163
8/31/98 $ 10,546 $ 8,996 $ 8,847 $ 8,725
9/30/98 $ 11,692 $ 9,701 $ 9,463 $ 9,192
10/31/98 $ 12,119 $ 10,096 $ 9,929 $ 9,554
11/30/98 $ 13,019 $ 10,625 $ 10,621 $ 10,331
12/31/98 $ 14,374 $ 11,283 $ 11,546 $ 11,366
1/31/99 $ 14,223 $ 11,433 $ 11,389 $ 11,641
2/28/99 $ 12,973 $ 10,507 $ 10,269 $ 10,521
3/31/99 $ 13,286 $ 10,671 $ 10,565 $ 10,997
4/30/99 $ 13,779 $ 11,627 $ 11,049 $ 11,426
5/31/99 $ 13,713 $ 11,797 $ 11,146 $ 11,488
6/30/99 $ 15,162 $ 12,330 $ 11,739 $ 12,564
7/31/99 $ 15,182 $ 11,992 $ 11,711 $ 12,520
8/31/99 $ 14,907 $ 11,548 $ 11,174 $ 12,345
9/30/99 $ 15,087 $ 11,551 $ 11,438 $ 12,793
10/31/99 $ 15,145 $ 11,597 $ 11,611 $ 13,538
11/30/99 $ 16,453 $ 12,289 $ 12,281 $ 15,247
12/31/99 $ 18,709 $ 13,681 $ 13,806 $ 18,321
1/31/2000 $ 18,425 $ 13,460 $ 13,616 $ 18,130
2/29/2000 $ 22,793 $ 15,683 $ 16,456 $ 23,442
3/31/2000 $ 22,262 $ 14,649 $ 14,955 $ 21,602
4/30/2000 $ 22,367 $ 13,767 $ 14,385 $ 18,932
5/31/2000 $ 20,519 $ 12,965 $ 13,770 $ 17,383
6/30/2000 $ 23,400 $ 14,095 $ 15,021 $ 20,445
7/31/2000 $ 22,036 $ 13,641 $ 13,994 $ 19,114
8/31/2000 $ 25,154 $ 14,682 $ 15,680 $ 21,169
9/30/2000 $ 23,884 $ 14,250 $ 14,846 $ 20,121
10/31/2000 $ 23,258 $ 13,615 $ 14,962 $ 18,612
11/30/2000 $ 19,741 $ 12,218 $ 12,718 $ 15,442
12/31/2000 $ 20,845 $ 13,267 $ 13,886 $ 16,807
1/31/2001 $ 20,788 $ 13,959 $ 13,897 $ 17,320
2/28/2001 $ 18,244 $ 13,043 $ 12,718 $ 15,103
3/31/2001 $ 16,505 $ 12,405 $ 12,061 $ 13,636
4/30/2001 $ 17,846 $ 13,375 $ 13,231 $ 15,109
5/31/2001 $ 18,447 $ 13,704 $ 13,382 $ 15,519
6/30/2001 $ 18,788 $ 14,177 $ 13,812 $ 15,910
7/31/2001 $ 18,232 $ 13,410 $ 13,477 $ 15,023
8/31/2001 $ 17,402 $ 12,977 $ 13,076 $ 14,134
9/30/2001 $ 15,323 $ 11,230 $ 11,416 $ 11,928
10/31/2001 $ 16,141 $ 11,887 $ 12,111 $ 12,802
11/30/2001 $ 16,867 $ 12,807 $ 12,910 $ 13,794
12/31/2001 $ 17,856 $ 13,598 $ 13,722 $ 14,630
1/31/2002 $ 17,572 $ 13,456 $ 13,703 $ 14,188
2/28/2002 $ 17,277 $ 13,087 $ 13,279 $ 13,330
3/31/2002 $ 18,265 $ 14,140 $ 14,214 $ 14,420
4/30/2002 $ 18,435 $ 14,268 $ 14,419 $ 14,040
5/31/2002 $ 17,698 $ 13,635 $ 13,761 $ 13,477
6/30/2002 $ 16,437 $ 12,959 $ 12,943 $ 12,475
7/31/2002 $ 14,404 $ 11,002 $ 11,395 $ 10,706
8/31/2002 $ 14,370 $ 10,973 $ 11,622 $ 10,690
9/30/2002 $ 13,494 $ 10,185 $ 11,048 $ 10,042
10/31/2002 $ 14,029 $ 10,512 $ 11,528 $ 10,471
11/30/2002 $ 14,528 $ 11,450 $ 12,107 $ 11,349
12/31/2002 $ 13,790 $ 10,812 $ 11,615 $ 10,591
1/31/2003 $ 13,337 $ 10,513 $ 11,297 $ 10,311
2/28/2003 $ 13,052 $ 10,195 $ 10,991 $ 9,989
3/31/2003 $ 13,268 $ 10,327 $ 11,201 $ 10,195
4/30/2003 $ 14,222 $ 11,306 $ 12,001 $ 11,037
5/31/2003 $ 15,165 $ 12,519 $ 12,813 $ 12,163
6/30/2003 $ 15,529 $ 12,745 $ 13,093 $ 12,575
7/31/2003 $ 16,415 $ 13,543 $ 13,815 $ 13,311
8/31/2003 $ 17,166 $ 14,164 $ 14,496 $ 14,016
9/30/2003 $ 16,791 $ 13,902 $ 14,119 $ 13,672
10/31/2003 $ 18,360 $ 15,069 $ 15,309 $ 14,910
11/30/2003 $ 19,211 $ 15,604 $ 15,834 $ 15,307
12/31/2003 $ 19,098 $ 15,921 $ 15,950 $ 15,328
1/31/2004 $ 19,461 $ 16,612 $ 16,490 $ 16,046
2/29/2004 $ 19,473 $ 16,761 $ 16,728 $ 15,985
3/31/2004 $ 19,701 $ 16,917 $ 16,862 $ 15,874
4/30/2004 $ 18,916 $ 16,055 $ 16,373 $ 15,098
5/31/2004 $ 19,268 $ 16,310 $ 16,674 $ 15,414
6/30/2004 $ 19,983 $ 16,996 $ 17,608 $ 15,853
7/31/2004 $ 18,414 $ 15,853 $ 16,513 $ 14,455
8/31/2004 $ 18,063 $ 15,772 $ 16,163 $ 13,986
9/30/2004 $ 18,870 $ 16,511 $ 17,072 $ 14,785
10/31/2004 $ 19,131 $ 16,837 $ 17,571 $ 15,199
11/30/2004 $ 20,391 $ 18,296 $ 18,971 $ 16,263
12/31/2004 $ 20,964 $ 18,838 $ 19,461 $ 16,980
</Table>
SOURCE: LIPPER, INC. THE PERFORMANCE QUOTED IS PAST PERFORMANCE AND IS 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.
CURRENT PERFORMANCE MAY BE HIGHER OR LOWER THAN THE PERFORMANCE DATA SHOWN. FOR
UP-TO-DATE MONTH-END PERFORMANCE INFORMATION PLEASE CALL 1-800-480-4111.
The Fund commenced operations on 5/19/97.
Class A and Class B Shares were introduced on 5/19/97.
Returns for the Select Shares prior to 4/5/99 (offering date of the Select
Shares) are calculated using the historical expenses of the Class A Shares,
which are higher than the expenses of the Select Shares.
Returns for the Class C Shares prior to 1/7/98 (offering date of the Class C
Shares) are calculated using the historical expenses of the Class A Shares,
which are lower than the expenses of the Class C Shares.
The graph illustrates comparative performance for $10,000 invested in Class A
Shares of the JPMorgan Dynamic Small Cap Fund, Russell 2000 Index, S&P SmallCap
600/BARRA Growth Index, and Lipper Small-Cap Growth Funds Index from May 19,
1997 to December 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 Russell 2000 Index is an unmanaged,
capitalization weighted price only index, which is comprised of 2000 of the
smallest stocks (on the basis of capitalization) in the Russell 3000 Index. The
S&P SmallCap 600/BARRA Growth Index is a capitalization-weighted index of all
the stocks in the S&P SmallCap 600 Index with higher price-to-book ratios. The
Lipper Small-Cap Growth Funds Index represents the total returns of the funds in
the indicated category, as defined by Lipper, Inc. Investors cannot invest
directly in an index.
Class A Shares have a $2,500 minimum initial deposit and carry a 5.25% sales
charge.
Certain fees and expenses of the fund are currently being waived and reimbursed
as described in the prospectus. Had the expenses not been subsidized or waived,
returns would have been lower. Also all performance shown in this section does
not reflect the deduction of taxes that a shareholder would pay on fund
distributions or redemption of fund shares.
5
<Page>
JPMORGAN
MID CAP EQUITY FUND
AS OF DECEMBER 31, 2004 (Unaudited)
FUND FACTS
<Table>
Fund Inception 1/1/1997
Fiscal Year End DECEMBER 31
Net Assets as of 12/31/2004
(In Millions) $ 227.1
Primary Benchmark RUSSELL MIDCAP
EQUITY INDEX
</Table>
Q: HOW DID THE FUND PERFORM?
A: The JPMorgan Mid Cap Equity Fund, which seeks to provide capital
appreciation from a Portfolio of mid-cap stocks, returned 19.4% in the year
ended December 31, 2004. The Fund's benchmark, the Russell Midcap Equity
Index, returned 20.2%.
Q: WHY DID THE FUND PERFORM IN THIS WAY?
A: The U.S. equity markets recorded another year of gains as strong earnings
growth and healthy corporate balance sheets increased investor confidence
despite rising short-term interest rates, high oil prices and the twin
deficits. The Fund performed well during 2004, but marginally
underperformed its benchmark, the Russell Midcap Equity Index. All sectors
of the Fund and benchmark posted positive returns. The Fund's stock
selection in the health care and industrial sectors was particularly
strong. However, the Fund's consumer discretionary names underperformed
their benchmark peer group and hindered relative performance.
At the stock level, Apple Computer and Assurant enhanced the Fund's
performance. Shares of Apple Computer rose as consumer demand for its iPod
digital music player exceeded expectations. The company has sold more than
4.5 million iPods, building on its position as a niche computer firm to
become a leading marketer of digital music technology. Sales of the iPod
have boosted traffic in Apple's retail stores, which are also beginning to
drive higher sales of its PCs and laptops. We see Apple's renaissance as a
multi-year trend that capitalizes on its brand and strong base of
intellectual property, along with a design and marketing prowess that seems
rare in this industry. Another top contributor was Florida Rock Industries,
a producer of construction materials. The stock gained solid ground as the
company continued to add to its strong position in the robust Florida
construction market. This enabled the company to reward shareholders with a
special $1-per-share dividend in October. Florida Rock finished the year by
reporting record fiscal results, including an earnings increase of 48.3%.
Although the Fund had positive results, a few names in the semiconductor
industry hindered performance, particularly Novellus Systems and Amkor
Technology. Semiconductor capital equipment stocks suffered declines as the
strong rebound in customer demand failed to materialize and expectations
for 2005 were reduced. Amkor Technology, a provider of semiconductor
packaging and test services, pre-announced disappointing second-quarter
results, due to lower-than-expected gross margins. Gross margins contracted
because of an unfavorable product mix, rising material costs, and
operational inefficiencies. Both positions were sold during the year.
Q: HOW WAS THE FUND MANAGED?
A: The Portfolio Manager's focus remained on stock selection, believing that
quality companies trading at attractive valuations would outperform in the
long term, regardless of their economic sector. The Portfolio Manager also
sought to maintain significant sector diversification to avoid any large
bets contingent on macroeconomic or sector trends.
6
<Page>
[CHART]
PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS
<Table>
Consumer Goods & Services 27.5%
Finance & Insurance 17.6%
Technology 15.9%
Industrial Products & Services 11.7%
Health Services & Systems 8.7%
Energy 6.5%
Telecommunications 3.4%
Pharmaceuticals 3.1%
Short-Term Investments 2.1%
Utilities 2.0%
REITs 1.5%
</Table>
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO
<Table>
1. AutoZone, Inc. 1.4%
2. Assurant, Inc. 1.4%
3. M&T Bank, Corp. 1.4%
4. Harsco Corp. 1.3%
5. Kinder Morgan, Inc. 1.3%
6. Golden West Financial Corp. 1.2%
7. North Fork Bancorporation, Inc. 1.2%
8. VF Corp. 1.2%
9. Devon Energy Corp. 1.1%
10. IPC Holdings LTD (Bermuda) 1.1%
</Table>
Top 10 equity holdings comprised 12.6% of the Portfolio's market value of
investments ($28,581 in thousands). As of December 31, 2004, the Fund held 181
equity holdings. Portfolio holdings are subject to change at any time.
7
<Page>
AVERAGE ANNUAL TOTAL RETURNS AS OF DECEMBER 31, 2004
<Table>
<Caption>
1 YEAR 3 YEARS 5 YEARS 10 YEARS
-----------------------------------------------------
SELECT SHARES 19.36% 11.00% 8.54% 12.93%
</Table>
[CHART]
TEN-YEAR FUND PERFORMANCE (12/31/94 TO 12/31/04)
<Table>
<Caption>
JPMORGAN MID CAP RUSSELL MIDCAP LIPPER MID-CAP
EQUITY FUND EQUITY INDEX CORE FUNDS INDEX
Dec-1994 $ 1,000,000 $ 1,000,000 $ 1,000,000
Jan-1995 $ 987,100 $ 1,020,500 $ 986,900
Feb-1995 $ 1,027,176 $ 1,073,362 $ 1,025,093
Mar-1995 $ 1,073,707 $ 1,104,060 $ 1,046,312
Apr-1995 $ 1,078,110 $ 1,120,731 $ 1,045,685
May-1995 $ 1,109,806 $ 1,157,603 $ 1,060,638
Jun-1995 $ 1,141,768 $ 1,196,499 $ 1,125,973
Jul-1995 $ 1,219,066 $ 1,254,529 $ 1,197,698
Aug-1995 $ 1,230,769 $ 1,273,723 $ 1,213,747
Sep-1995 $ 1,258,092 $ 1,302,510 $ 1,242,998
Oct-1995 $ 1,198,081 $ 1,273,333 $ 1,202,974
Nov-1995 $ 1,239,295 $ 1,336,618 $ 1,239,544
Dec-1995 $ 1,246,483 $ 1,344,370 $ 1,253,675
Jan-1996 $ 1,248,353 $ 1,372,737 $ 1,267,340
Feb-1996 $ 1,271,697 $ 1,404,996 $ 1,317,273
Mar-1996 $ 1,282,125 $ 1,425,368 $ 1,332,422
Apr-1996 $ 1,321,999 $ 1,465,706 $ 1,405,838
May-1996 $ 1,348,703 $ 1,487,838 $ 1,441,828
Jun-1996 $ 1,310,131 $ 1,465,521 $ 1,391,796
Jul-1996 $ 1,189,861 $ 1,374,805 $ 1,287,133
Aug-1996 $ 1,285,644 $ 1,440,246 $ 1,356,638
Sep-1996 $ 1,396,853 $ 1,511,394 $ 1,427,726
Oct-1996 $ 1,336,089 $ 1,523,485 $ 1,412,735
Nov-1996 $ 1,348,782 $ 1,616,265 $ 1,474,613
Dec-1996 $ 1,338,666 $ 1,599,779 $ 1,478,152
Jan-1997 $ 1,374,677 $ 1,659,611 $ 1,525,009
Feb-1997 $ 1,316,665 $ 1,657,122 $ 1,483,224
Mar-1997 $ 1,214,492 $ 1,586,694 $ 1,413,068
Apr-1997 $ 1,220,929 $ 1,626,203 $ 1,422,253
May-1997 $ 1,361,824 $ 1,744,916 $ 1,569,029
Jun-1997 $ 1,429,915 $ 1,801,974 $ 1,625,828
Jul-1997 $ 1,517,426 $ 1,952,259 $ 1,739,961
Aug-1997 $ 1,486,774 $ 1,930,979 $ 1,744,485
Sep-1997 $ 1,590,848 $ 2,041,238 $ 1,862,761
Oct-1997 $ 1,524,828 $ 1,961,834 $ 1,787,878
Nov-1997 $ 1,511,257 $ 2,008,526 $ 1,785,554
Dec-1997 $ 1,539,517 $ 2,063,760 $ 1,806,623
Jan-1998 $ 1,545,060 $ 2,024,962 $ 1,774,827
Feb-1998 $ 1,705,746 $ 2,183,314 $ 1,926,042
Mar-1998 $ 1,804,168 $ 2,286,803 $ 2,019,840
Apr-1998 $ 1,849,091 $ 2,292,520 $ 2,043,068
May-1998 $ 1,728,531 $ 2,221,681 $ 1,937,850
Jun-1998 $ 1,813,920 $ 2,252,340 $ 1,959,942
Jul-1998 $ 1,703,271 $ 2,144,903 $ 1,848,421
Aug-1998 $ 1,327,359 $ 1,801,933 $ 1,471,713
Sep-1998 $ 1,460,759 $ 1,918,518 $ 1,600,046
Oct-1998 $ 1,514,222 $ 2,049,361 $ 1,691,089
Nov-1998 $ 1,611,587 $ 2,146,501 $ 1,775,982
Dec-1998 $ 1,789,506 $ 2,272,501 $ 1,946,831
Jan-1999 $ 1,818,675 $ 2,268,637 $ 1,937,681
Feb-1999 $ 1,672,090 $ 2,193,092 $ 1,801,074
Mar-1999 $ 1,740,478 $ 2,261,736 $ 1,853,486
Apr-1999 $ 1,814,100 $ 2,428,878 $ 1,959,876
May-1999 $ 1,794,871 $ 2,421,834 $ 1,983,198
Jun-1999 $ 1,945,640 $ 2,507,325 $ 2,091,283
Jul-1999 $ 1,898,556 $ 2,438,624 $ 2,050,502
Aug-1999 $ 1,867,229 $ 2,375,464 $ 1,993,909
Sep-1999 $ 1,892,624 $ 2,291,847 $ 1,956,623
Oct-1999 $ 1,963,219 $ 2,400,481 $ 2,053,671
Nov-1999 $ 2,066,680 $ 2,469,615 $ 2,207,902
Dec-1999 $ 2,238,008 $ 2,686,941 $ 2,496,033
Jan-2000 $ 2,139,088 $ 2,598,003 $ 2,469,575
Feb-2000 $ 2,287,969 $ 2,797,790 $ 2,880,018
Mar-2000 $ 2,451,787 $ 2,958,103 $ 2,857,842
Apr-2000 $ 2,426,043 $ 2,818,185 $ 2,663,509
May-2000 $ 2,324,392 $ 2,743,503 $ 2,554,039
Jun-2000 $ 2,387,383 $ 2,824,711 $ 2,761,937
Jul-2000 $ 2,379,982 $ 2,793,074 $ 2,682,670
Aug-2000 $ 2,645,112 $ 3,060,650 $ 2,944,498
Sep-2000 $ 2,591,681 $ 3,016,883 $ 2,866,175
Oct-2000 $ 2,570,688 $ 2,970,423 $ 2,764,426
Nov-2000 $ 2,364,262 $ 2,703,085 $ 2,458,680
Dec-2000 $ 2,567,352 $ 2,908,790 $ 2,651,932
Jan-2001 $ 2,586,351 $ 2,955,621 $ 2,730,164
Feb-2001 $ 2,457,033 $ 2,775,624 $ 2,515,846
Mar-2001 $ 2,276,687 $ 2,603,535 $ 2,348,039
Apr-2001 $ 2,464,514 $ 2,826,137 $ 2,575,095
May-2001 $ 2,511,093 $ 2,878,704 $ 2,636,125
Jun-2001 $ 2,491,004 $ 2,851,644 $ 2,642,979
Jul-2001 $ 2,450,152 $ 2,770,087 $ 2,559,725
Aug-2001 $ 2,372,727 $ 2,663,438 $ 2,449,401
Sep-2001 $ 2,107,456 $ 2,342,228 $ 2,136,367
Oct-2001 $ 2,178,267 $ 2,434,980 $ 2,243,186
Nov-2001 $ 2,318,983 $ 2,639,031 $ 2,412,770
Dec-2001 $ 2,466,006 $ 2,745,120 $ 2,521,586
Jan-2002 $ 2,418,412 $ 2,728,650 $ 2,492,840
Feb-2002 $ 2,373,188 $ 2,699,726 $ 2,449,714
Mar-2002 $ 2,506,798 $ 2,861,709 $ 2,615,070
Apr-2002 $ 2,503,540 $ 2,806,192 $ 2,571,921
May-2002 $ 2,483,511 $ 2,774,482 $ 2,519,711
Jun-2002 $ 2,321,835 $ 2,588,592 $ 2,337,536
Jul-2002 $ 2,135,391 $ 2,335,945 $ 2,100,510
Aug-2002 $ 2,154,823 $ 2,348,793 $ 2,124,456
Sep-2002 $ 2,009,157 $ 2,132,000 $ 1,954,924
Oct-2002 $ 2,111,825 $ 2,239,666 $ 2,046,806
Nov-2002 $ 2,200,944 $ 2,395,098 $ 2,185,988
Dec-2002 $ 2,135,796 $ 2,300,731 $ 2,083,684
Jan-2003 $ 2,106,109 $ 2,254,257 $ 2,042,427
Feb-2003 $ 2,067,567 $ 2,224,500 $ 1,999,332
Mar-2003 $ 2,105,610 $ 2,246,523 $ 2,004,330
Apr-2003 $ 2,234,474 $ 2,409,621 $ 2,155,657
May-2003 $ 2,404,517 $ 2,630,101 $ 2,336,732
Jun-2003 $ 2,427,360 $ 2,656,665 $ 2,377,859
Jul-2003 $ 2,493,141 $ 2,744,335 $ 2,451,573
Aug-2003 $ 2,570,429 $ 2,863,439 $ 2,560,177
Sep-2003 $ 2,531,101 $ 2,827,646 $ 2,517,166
Oct-2003 $ 2,698,154 $ 3,043,395 $ 2,701,926
Nov-2003 $ 2,763,179 $ 3,128,915 $ 2,775,689
Dec-2003 $ 2,825,351 $ 3,222,782 $ 2,846,191
Jan-2004 $ 2,900,505 $ 3,316,565 $ 2,923,038
Feb-2004 $ 2,986,650 $ 3,387,871 $ 2,978,868
Mar-2004 $ 3,003,375 $ 3,388,549 $ 2,971,719
Apr-2004 $ 2,935,199 $ 3,264,189 $ 2,878,110
May-2004 $ 2,992,435 $ 3,345,141 $ 2,923,296
Jun-2004 $ 3,064,254 $ 3,437,801 $ 3,002,810
Jul-2004 $ 2,922,379 $ 3,287,570 $ 2,850,267
Aug-2004 $ 2,922,379 $ 3,301,706 $ 2,839,436
Sep-2004 $ 3,016,187 $ 3,409,012 $ 2,939,100
Oct-2004 $ 3,094,608 $ 3,503,100 $ 2,987,302
Nov-2004 $ 3,259,551 $ 3,716,439 $ 3,165,046
Dec-2004 $ 3,372,739 $ 3,874,759 $ 3,285,634
</Table>
SOURCE: LIPPER, INC. THE PERFORMANCE QUOTED IS PAST PERFORMANCE AND IS 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.
CURRENT PERFORMANCE MAY BE HIGHER OR LOWER THAN THE PERFORMANCE DATA SHOWN. FOR
UP-TO-DATE MONTH-END PERFORMANCE INFORMATION PLEASE CALL 1-800-480-4111.
The Fund commenced operations on 1/1/97.
Returns for the Fund prior to 1/1/97 (offering date of the Shares) are
calculated using the historical expenses at the level indicated (absent
reimbursements) in the Expense Summary for the Fund as disclosed in the
Prospectus. The account was not registered with the SEC and was not subject to
investment restrictions of registered mutual funds. If the account had been
registered, performance may have been adversely affected.
The graph illustrates comparative performance for $1,000,000 invested in the
JPMorgan Mid Cap Equity Fund, Russell MidCap Equity Index, and Lipper Mid-Cap
Core Funds Index from December 31, 1994 to December 31, 2004. The performance of
the Fund assumes reinvestment of all dividends and capital gains. The
performance of the indices does not include a sales charge and has been adjusted
to reflect reinvestment of all dividends and capital gains of the securities
included in the benchmark. The Russell MidCap Equity Index measures the
performance of the smallest 800 companies of the Russell 1000 Index, which
represents approximately 25% of the total market capitalization of the Russell
1000 Index. The Lipper Mid-Cap Core Funds Index represents the total returns of
the funds in the indicated category, as defined by Lipper, Inc. Investors cannot
invest directly in an Index.
Select Shares have a $1,000,000 minimum initial deposit and carry no sales
charge.
Certain fees and expenses of the Fund are currently being waived and reimbursed
as described in the prospectus. Had the expenses not been subsidized or waived,
returns would have been lower. Also all performance shown in this section does
not reflect the deduction of taxes that a shareholder would pay on fund
distributions or redemption of fund shares.
8
<Page>
JPMORGAN
MID CAP GROWTH FUND
AS OF DECEMBER 31, 2004 (Unaudited)
FUND FACTS
<Table>
Fund Inception 10/29/1999
Fiscal Year End DECEMBER 31
Net Assets as of 12/31/2004
(In Millions) $ 57.4
Primary Benchmark RUSSELL MIDCAP
GROWTH INDEX
</Table>
Q: HOW DID THE FUND PERFORM?
A: The JPMorgan Mid Cap Growth Fund, which seeks to provide capital
appreciation from a Portfolio of mid cap stocks, rose 16.9% (Class A
Shares, without sales charge) in the year ended December 31, 2004. This
compares to a gain of 15.5% for the Russell Midcap Growth Index, the Fund's
benchmark.
Q: WHY DID THE FUND PERFORM IN THIS WAY?
A: The U.S. equity markets recorded another year of gains as strong earnings
growth and healthy corporate balance sheets kept investors' minds off
increasing short-term interest rates, high oil prices and the twin
deficits. The Fund performed well during the period, outperforming both its
benchmark and the Lipper Midcap Growth Index. All sectors of the Fund and
benchmark posted positive returns. The Fund's positive performance relative
to the benchmark is attributable to stock selection rather than sector
weightings, with the health care, technology and industrial sectors doing
particularly well.
At the stock level, Apple Computer and Sepracor positively contributed to
the Fund's performance. Shares of Apple Computer rose as consumer demand
for its iPod digital music players exceeded expectations. The company has
sold more than 4.5 million iPods and has built upon its position as a niche
computer player to become a leading marketer of digital music technology.
Sales of the portable device have boosted traffic in Apple's retail stores,
which are also beginning to drive higher sales of its PCs and laptops. We
see Apple's renaissance as a multi-year trend that capitalizes on its
strong base of intellectual property along with a success in design and
marketing that is rare in this industry. Another top contributor was
Sepracor Inc, whose share price advanced upon Food and Drug Administration
approval of Lunesta, a new prescription sleep aid. Lunesta has been
approved for use beyond the seven- to 10-day period to which most sleep
aids are restricted, giving it a unique selling point versus the current
market leader, Ambien. The drug, which was known as Estorra during
development, was scheduled to be available in pharmacies in mid-January and
is priced roughly 10% higher than Ambien.
Although the Fund experienced positive results, a few names within the
semiconductor industry hindered performance, particularly Novellus Systems
and Amkor Technology. Semiconductor capital equipment stocks suffered
declines as the strong rebound in customer demand failed to materialize and
expectations for 2005 were reduced. Amkor Technology, a provider of
semiconductor packaging and test services, pre-announced disappointing
second quarter results due to lower than expected gross margins. Gross
margins contracted as a result of an unfavorable product mix, rising
material costs, and operational inefficiencies. Both positions were sold
during the year.
Q: HOW WAS THE FUND MANAGED?
A: The Portfolio Manager's focus remained on stock selection, believing that
quality companies, regardless of their economic sector, trading at
attractive valuations will outperform in the long term. The Portfolio
Manager sought to maintain significant sector diversification in the Fund
to avoid any large bets contingent on macroeconomic or sector
trends.
9
<Page>
[CHART]
PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS
<Table>
Technology 28.0%
Consumer Goods & Services 25.5%
Health Services & Systems 14.1%
Finance & Insurance 9.1%
Industrial Products & Services 8.6%
Pharmaceuticals 6.5%
Energy 4.3%
Telecommunications 2.3%
Short-Term Investments 1.6%
</Table>
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO
<Table>
1. Amphenol Corp., Class A 1.9%
2. Harsco Corp. 1.8%
3. NCR Corp. 1.8%
4. Caremark Rx, Inc. 1.7%
5. DaVita, Inc. 1.5%
6. Abercrombie & Fitch Co., Class A 1.5%
7. Aetna, Inc. 1.5%
8. Omnicare, Inc. 1.4%
9. Adobe Systems, Inc. 1.4%
10. Coach, Inc. 1.3%
</Table>
Top 10 equity holdings comprised 15.8% of the Portfolio's market value of
investments ($9,153 in thousands). As of December 31, 2004, the Fund held 103
equity holdings. Portfolio holdings are subject to change at any time.
10
<Page>
AVERAGE ANNUAL TOTAL RETURNS AS OF DECEMBER 31, 2004
<Table>
<Caption>
SINCE
INCEPTION
1 YEAR 3 YEAR (10/29/99)
----------------------------------
CLASS A SHARES
Without Sales Charge 16.90% 4.29% (16.18%)
With Sales Charge* 10.81% 2.44% (17.08%)
CLASS B SHARES
Without CDSC 16.14% 3.55% (16.76%)
With CDSC** 11.14% 2.61% (17.09%)
</Table>
* Sales Charge for Class A Shares is 5.25%.
** Assumes 5% CDSC (contingent deferred sales charge) for the one year period,
3% CDSC for the three year period, 2% CDSC for the period since inception.
[CHART]
LIFE OF FUND PERFORMANCE (10/29/99 TO 12/31/04)
<Table>
<Caption>
JPMORGAN MID CAP GROWTH RUSSELL MIDCAP LIPPER MID-CAP
FUND (CLASS A SHARES) GROWTH INDEX GROWTH FUNDS INDEX
Oct-1999 $ 9,475 $ 10,000 $ 10,000
Oct-1999 $ 9,434 $ 10,000 $ 10,000
Nov-1999 $ 11,669 $ 11,036 $ 11,254
Dec-1999 $ 13,367 $ 12,947 $ 13,602
Jan-2000 $ 13,631 $ 12,945 $ 13,368
Feb-2000 $ 18,344 $ 15,666 $ 16,718
Mar-2000 $ 15,206 $ 15,682 $ 15,541
Apr-2000 $ 11,284 $ 14,159 $ 13,491
May-2000 $ 9,502 $ 13,127 $ 12,278
Jun-2000 $ 12,594 $ 14,519 $ 14,186
Jul-2000 $ 11,746 $ 13,600 $ 13,597
Aug-2000 $ 12,952 $ 15,651 $ 15,376
Sep-2000 $ 11,793 $ 14,886 $ 14,636
Oct-2000 $ 9,493 $ 13,868 $ 13,452
Nov-2000 $ 6,430 $ 10,854 $ 10,639
Dec-2000 $ 6,802 $ 11,426 $ 11,406
Jan-2001 $ 7,103 $ 12,079 $ 11,562
Feb-2001 $ 5,609 $ 9,989 $ 9,827
Mar-2001 $ 5,098 $ 8,560 $ 8,785
Apr-2001 $ 5,667 $ 9,987 $ 9,942
May-2001 $ 5,782 $ 9,940 $ 10,024
Jun-2001 $ 5,522 $ 9,945 $ 9,985
Jul-2001 $ 5,117 $ 9,274 $ 9,460
Aug-2001 $ 4,771 $ 8,602 $ 8,826
Sep-2001 $ 4,115 $ 7,180 $ 7,553
Oct-2001 $ 4,385 $ 7,935 $ 7,974
Nov-2001 $ 4,693 $ 8,789 $ 8,629
Dec-2001 $ 4,876 $ 9,123 $ 9,003
Jan-2002 $ 4,732 $ 8,827 $ 8,659
Feb-2002 $ 4,395 $ 8,326 $ 8,229
Mar-2002 $ 4,703 $ 8,962 $ 8,747
Apr-2002 $ 4,530 $ 8,487 $ 8,457
May-2002 $ 4,366 $ 8,235 $ 8,174
Jun-2002 $ 3,961 $ 7,325 $ 7,440
Jul-2002 $ 3,575 $ 6,613 $ 6,638
Aug-2002 $ 3,498 $ 6,590 $ 6,559
Sep-2002 $ 3,267 $ 6,066 $ 6,152
Oct-2002 $ 3,469 $ 6,536 $ 6,462
Nov-2002 $ 3,633 $ 7,048 $ 6,846
Dec-2002 $ 3,440 $ 6,623 $ 6,441
Jan-2003 $ 3,392 $ 6,558 $ 6,346
Feb-2003 $ 3,315 $ 6,501 $ 6,248
Mar-2003 $ 3,411 $ 6,622 $ 6,337
Apr-2003 $ 3,604 $ 7,072 $ 6,782
May-2003 $ 3,922 $ 7,753 $ 7,343
Jun-2003 $ 3,999 $ 7,864 $ 7,458
Jul-2003 $ 4,134 $ 8,144 $ 7,752
Aug-2003 $ 4,327 $ 8,593 $ 8,133
Sep-2003 $ 4,192 $ 8,426 $ 7,860
Oct-2003 $ 4,548 $ 9,106 $ 8,476
Nov-2003 $ 4,664 $ 9,350 $ 8,678
Dec-2003 $ 4,732 $ 9,452 $ 8,722
Jan-2004 $ 4,895 $ 9,763 $ 8,943
Feb-2004 $ 5,011 $ 9,928 $ 9,066
Mar-2004 $ 5,030 $ 9,909 $ 9,064
Apr-2004 $ 4,856 $ 9,629 $ 8,777
May-2004 $ 4,972 $ 9,856 $ 8,968
Jun-2004 $ 5,044 $ 10,013 $ 9,184
Jul-2004 $ 4,536 $ 9,350 $ 8,532
Aug-2004 $ 4,379 $ 9,235 $ 8,385
Sep-2004 $ 4,466 $ 9,580 $ 8,744
Oct-2004 $ 4,506 $ 9,905 $ 9,002
Nov-2004 $ 4,654 $ 10,416 $ 9,503
Dec-2004 $ 5,561 $ 10,915 $ 9,950
</Table>
SOURCE: LIPPER, INC. THE PERFORMANCE QUOTED IS PAST PERFORMANCE AND IS 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.
CURRENT PERFORMANCE MAY BE HIGHER OR LOWER THAN THE PERFORMANCE DATA SHOWN. FOR
UP-TO-DATE MONTH-END PERFORMANCE INFORMATION PLEASE CALL 1-800-480-4111.
The JPMorgan MidCap Growth Fund (formerly J.P. Morgan H&Q IPO & Emerging Company
Fund) commenced operations on 10/29/99.
All Share Classes were introduced on 10/29/99.
The graph illustrates comparative performance for $10,000 invested in Class A
Shares of the JPMorgan Mid Cap Growth Fund, Russell MidCap Growth Index, and
Lipper Mid-Cap Growth Funds Index from October 29, 1999 to December 31, 2004.
The performance of the Fund assumes reinvestment of all dividends and capital
gains and assumes a sales charge. The performance of the indices reflects an
initial investment at the end of the month following the Fund's inception. The
performance of the indices does not include a sales charge and has been adjusted
to reflect reinvestment of all dividends and capital gains of the securities
included in the benchmark. The Russell MidCap Growth Index measures the
performance of those Russell MidCap companies with higher price-to-book ratios
and higher forecasted growth values. The Lipper Mid-Cap Growth Funds Index
represents the total returns of the funds in the indicated category, as defined
by Lipper, Inc. Investors cannot invest directly in an index.
Class A Shares have a $2,500 minimum initial deposit and carry a 5.25% sales
charge.
Certain fees and expenses of the Fund are currently being waived and reimbursed
as described in the prospectus. Had the expenses not been subsidized or waived,
returns would have been lower. Also all performance shown in this section does
not reflect the deduction of taxes that a shareholder would pay on fund
distributions or redemption of fund shares.
11
<Page>
JPMORGAN
MID CAP VALUE FUND
AS OF DECEMBER 31, 2004 (Unaudited)
FUND FACTS
<Table>
Fund Inception 11/13/1997
Fiscal Year End DECEMBER 31
Net Assets as of 12/31/2004
(In Millions) $ 3,688.8
Primary Benchmark RUSSELL MIDCAP
VALUE INDEX
</Table>
Q: HOW DID THE FUND PERFORM?
A: The Mid Cap Value Fund, which seeks to provide capital appreciation from a
Portfolio of mid-cap value stocks, returned 21.0% (Institutional Shares) in
the year ended December 31, 2004. Although the Fund posted strong
performance, it underperformed its benchmark, the Russell Midcap Value
Index, which returned 23.7% over the same period.
Q: WHY DID THE FUND PERFORM IN THIS WAY?
A: The majority of the relative underperformance came in the fourth quarter as
the market experienced a strong reversal from high-quality to low-quality
stocks. This development hindered the Fund's performance, as our overriding
focus is on quality and value. When these stocks are not in favor, the Fund
tends to underperform.
In terms of what specifically helped the Fund's performance, our
overweighting and stock selection in the energy sector and our
underweighting in information technology were strong contributors. The
energy sector benefited from the rally in oil and natural gas prices during
the early fall. On the flip side, our stock selection in consumer
discretionary and consumer staples were the main performance detractors.
The consumer sectors struggled through a tough retail environment most of
the year, although some of the stars recovered a bit in the fourth quarter.
Our investment style emphasizes higher quality names such as Assurant,
which was the Fund's greatest contributor to performance. While the
insurance industry has been hit with investigations by the New York
Attorney General Eliot Spitzer, Assurant was not affected and reported
strong earnings above Street estimates. Another strong name in 2004 was
Florida Rock Industries. The stock gained solid ground as the company
continued to add to its strong position in the robust Florida construction
market. This enabled the company to reward shareholders with a special
$1-per-share dividend in October. Florida Rock finished off the year
reporting a record fiscal result, with earnings increasing 48.3% in 2004.
Although a significant number of the Fund's holdings saw double digit
returns, there were some weak performers, particularly in our consumer
discretionary sector. Among the names that disappointed were Gannett and
Knight Ridder. The media sector faced a soft advertising environment last
year, resulting in poor performance by these names. Gannett missed
third-quarter earnings and management gave a cautious outlook for 2005.
However, we still believe in the company's long-term fundamentals and
strong management team. Knight Ridder's significant exposure to retail
advertising hindered the company's earnings in 2004, as department stores'
advertising spending was lackluster. As a result, the company's revenues
trailed most of the industry averages.
Q: HOW WAS THE FUND MANAGED?
A: Despite the Fund's solid gains in 2004, performance relative to the market
was somewhat muted by lack of exposure to the highly cyclical and highly
leveraged segments of the market that were the driving force behind the
rally in U.S. equities in the fourth quarter. As is often the case, our
overriding focus on quality and value -- which generally avoids investments
in highly cyclical and leveraged companies -- works to smooth out Fund
performance at sharp inflection points in the market, such as the one just
experienced. The Fund's return was comfortably ahead of the gain by the
broad stock market as measured by the S&P 500 Index.
12
<Page>
[CHART]
PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS
<Table>
Consumer Goods & Services 29.8%
Finance & Insurance 23.7%
Industrial Products & Services 14.7%
Energy 8.5%
Telecommunications 4.4%
Short-Term Investments 4.2%
Utilities 4.2%
Health Services & Systems 4.1%
Technology 4.0%
REITs 2.4%
</Table>
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO
<Table>
1. Kinder Morgan, Inc. 2.8%
2. AutoZone, Inc. 2.7%
3. Golden West Financial Corp. 2.7%
4. VF Corp. 2.5%
5. Assurant, Inc. 2.4%
6. M&T Bank Corp. 2.3%
7. Devon Energy Corp. 2.1%
8. Coventry Health Care, Inc. 1.8%
9. Old Republic International Corp. 1.8%
10. North Fork Bancorporation, Inc. 1.8%
</Table>
Top 10 equity holdings comprised 22.9% of the Portfolio's market value of
investments ($851,350 in thousands). As of December 31, 2004, the Fund held 89
equity holdings. Portfolio holdings are subject to change at any time.
13
<Page>
AVERAGE ANNUAL TOTAL RETURNS AS OF DECEMBER 31, 2004
<Table>
<Caption>
SINCE
INCEPTION
1 YEAR 3 YEARS 5 YEARS 11/13/97)
--------------------------------------------
CLASS A SHARES
Without Sales Charge 20.32% 17.13% 18.94% 18.75%
With Sales Charge* 14.01% 15.05% 17.67% 17.86%
CLASS B SHARES
Without CDSC 19.60% 16.31% 18.33% 18.32%
With CDSC** 14.60% 15.57% 18.13% 18.32%
CLASS C SHARES
Without CDSC 19.56% 16.31% 18.37% 18.35%
With CDSC*** 18.56% 16.31% 18.37% 18.35%
INSTITUTIONAL SHARES 20.99% 17.72% 19.39% 19.06%
SELECT SHARES 20.67% 17.41% 19.19% 18.92%
</Table>
* Sales Charge for Class A Shares is 5.25%.
** Assumes 5% CDSC (contingent deferred sales charge) for the one year period,
3% CDSC for the three year period, 2% CDSC for the five year period and 0%
CDSC for the period since inception.
*** Assumes a 1% CDSC for the one year period and 0% CDSC thereafter.
[CHART]
LIFE OF FUND PERFORMANCE (11/13/97 TO 12/31/04)
<Table>
<Caption>
JPMORGAN MID CAP VALUE FUND RUSSELL MIDCAP S&P MIDCAP 400/BARRA LIPPER MID-CAP VALUE
(INSTITUTIONAL SHARES) VALUE INDEX VALUE INDEX FUNDS INDEX
Nov-1997 $ 3,000,000 $ 3,000,000 $ 3,000,000 $ 3,000,000
Nov-1997 $ 3,060,000 $ 3,000,000 $ 3,000,000 $ 3,000,000
Dec-1997 $ 3,146,904 $ 3,114,900 $ 3,180,000 $ 3,031,200
Jan-1998 $ 3,170,820 $ 3,054,471 $ 3,107,178 $ 2,992,098
Feb-1998 $ 3,321,117 $ 3,258,510 $ 3,337,109 $ 3,200,048
Mar-1998 $ 3,579,832 $ 3,426,323 $ 3,493,286 $ 3,333,810
Apr-1998 $ 3,597,732 $ 3,407,135 $ 3,515,643 $ 3,372,149
May-1998 $ 3,555,638 $ 3,327,408 $ 3,373,611 $ 3,240,973
Jun-1998 $ 3,591,906 $ 3,338,056 $ 3,348,646 $ 3,228,009
Jul-1998 $ 3,408,359 $ 3,168,817 $ 3,202,980 $ 3,045,949
Aug-1998 $ 3,050,482 $ 2,723,281 $ 2,678,332 $ 2,536,057
Sep-1998 $ 3,194,769 $ 2,882,048 $ 2,886,706 $ 2,608,588
Oct-1998 $ 3,423,515 $ 3,068,805 $ 3,114,467 $ 2,764,843
Nov-1998 $ 3,637,142 $ 3,176,520 $ 3,187,034 $ 2,866,865
Dec-1998 $ 3,768,807 $ 3,273,086 $ 3,329,176 $ 2,978,673
Jan-1999 $ 3,699,084 $ 3,196,823 $ 3,155,060 $ 2,958,716
Feb-1999 $ 3,683,917 $ 3,126,493 $ 3,004,564 $ 2,804,567
Mar-1999 $ 3,701,969 $ 3,171,202 $ 3,061,050 $ 2,860,378
Apr-1999 $ 4,002,198 $ 3,471,515 $ 3,357,359 $ 3,081,199
May-1999 $ 4,226,722 $ 3,486,095 $ 3,412,084 $ 3,107,389
Jun-1999 $ 4,366,203 $ 3,525,837 $ 3,518,200 $ 3,227,334
Jul-1999 $ 4,461,387 $ 3,437,691 $ 3,471,408 $ 3,167,952
Aug-1999 $ 4,243,225 $ 3,318,747 $ 3,339,842 $ 3,060,241
Sep-1999 $ 4,166,423 $ 3,150,818 $ 3,175,521 $ 2,990,162
Oct-1999 $ 4,316,830 $ 3,243,767 $ 3,239,032 $ 3,018,867
Nov-1999 $ 4,299,131 $ 3,184,406 $ 3,304,136 $ 3,127,245
Dec-1999 $ 4,291,393 $ 3,269,749 $ 3,406,565 $ 3,333,330
Jan-2000 $ 4,204,707 $ 3,074,218 $ 3,259,401 $ 3,158,997
Feb-2000 $ 3,944,015 $ 2,945,715 $ 3,139,781 $ 3,247,133
Mar-2000 $ 4,540,350 $ 3,302,736 $ 3,620,167 $ 3,470,536
Apr-2000 $ 4,500,849 $ 3,315,947 $ 3,587,224 $ 3,415,701
May-2000 $ 4,737,594 $ 3,372,981 $ 3,690,536 $ 3,390,766
Jun-2000 $ 4,698,272 $ 3,247,169 $ 3,523,724 $ 3,398,904
Jul-2000 $ 4,844,388 $ 3,323,153 $ 3,663,263 $ 3,422,697
Aug-2000 $ 5,010,066 $ 3,526,862 $ 3,925,187 $ 3,642,434
Sep-2000 $ 5,156,360 $ 3,560,720 $ 3,983,279 $ 3,610,745
Oct-2000 $ 5,377,568 $ 3,628,374 $ 3,945,438 $ 3,584,386
Nov-2000 $ 5,389,398 $ 3,581,205 $ 3,950,567 $ 3,391,188
Dec-2000 $ 5,805,999 $ 3,897,067 $ 4,354,315 $ 3,686,560
Jan-2001 $ 5,878,574 $ 3,883,038 $ 4,548,518 $ 3,815,590
Feb-2001 $ 5,925,602 $ 3,866,729 $ 4,397,962 $ 3,683,570
Mar-2001 $ 5,755,538 $ 3,759,620 $ 4,204,451 $ 3,544,331
Apr-2001 $ 6,049,070 $ 3,966,400 $ 4,584,954 $ 3,776,840
May-2001 $ 6,214,815 $ 4,079,045 $ 4,675,736 $ 3,882,213
Jun-2001 $ 6,299,958 $ 4,024,794 $ 4,683,218 $ 3,914,048
Jul-2001 $ 6,385,007 $ 4,008,695 $ 4,683,686 $ 3,900,348
Aug-2001 $ 6,231,767 $ 3,935,336 $ 4,588,607 $ 3,809,860
Sep-2001 $ 5,733,849 $ 3,559,905 $ 4,073,765 $ 3,433,065
Oct-2001 $ 5,737,862 $ 3,578,772 $ 4,137,723 $ 3,499,323
Nov-2001 $ 6,061,478 $ 3,829,286 $ 4,389,297 $ 3,762,122
Dec-2001 $ 6,381,524 $ 3,988,202 $ 4,665,823 $ 3,934,804
Jan-2002 $ 6,385,991 $ 4,028,482 $ 4,664,890 $ 3,918,671
Feb-2002 $ 6,566,714 $ 4,093,744 $ 4,775,447 $ 3,933,170
Mar-2002 $ 6,841,860 $ 4,302,934 $ 5,128,831 $ 4,180,173
Apr-2002 $ 6,963,645 $ 4,299,922 $ 5,205,763 $ 4,168,887
May-2002 $ 7,045,119 $ 4,293,472 $ 5,115,183 $ 4,107,604
Jun-2002 $ 6,679,478 $ 4,101,983 $ 4,827,709 $ 3,817,197
Jul-2002 $ 6,278,709 $ 3,700,399 $ 4,327,076 $ 3,443,111
Aug-2002 $ 6,455,141 $ 3,743,324 $ 4,365,154 $ 3,452,752
Sep-2002 $ 6,089,134 $ 3,365,248 $ 3,935,623 $ 3,150,982
Oct-2002 $ 6,459,354 $ 3,472,263 $ 4,093,048 $ 3,257,800
Nov-2002 $ 6,703,517 $ 3,691,016 $ 4,355,822 $ 3,520,378
Dec-2002 $ 6,587,546 $ 3,603,169 $ 4,194,221 $ 3,358,441
Jan-2003 $ 6,492,027 $ 3,503,362 $ 4,049,101 $ 3,276,831
Feb-2003 $ 6,414,772 $ 3,445,206 $ 3,963,665 $ 3,203,758
Mar-2003 $ 6,510,352 $ 3,456,920 $ 3,950,981 $ 3,216,573
Apr-2003 $ 6,923,108 $ 3,719,645 $ 4,271,801 $ 3,463,284
May-2003 $ 7,367,572 $ 4,046,974 $ 4,689,156 $ 3,774,633
Jun-2003 $ 7,403,673 $ 4,075,303 $ 4,708,850 $ 3,833,140
Jul-2003 $ 7,603,572 $ 4,202,045 $ 4,850,586 $ 3,953,884
Aug-2003 $ 7,794,422 $ 4,351,218 $ 5,097,966 $ 4,131,018
Sep-2003 $ 7,735,184 $ 4,317,278 $ 5,048,006 $ 4,069,879
Oct-2003 $ 8,175,316 $ 4,634,166 $ 5,461,438 $ 4,351,921
Nov-2003 $ 8,356,808 $ 4,768,557 $ 5,677,165 $ 4,487,701
Dec-2003 $ 8,604,170 $ 4,974,559 $ 5,880,975 $ 4,670,799
Jan-2004 $ 8,755,603 $ 5,105,887 $ 6,035,056 $ 4,805,318
Feb-2004 $ 9,021,773 $ 5,232,003 $ 6,194,985 $ 4,939,867
Mar-2004 $ 9,085,828 $ 5,240,374 $ 6,206,136 $ 4,932,457
Apr-2004 $ 8,984,975 $ 5,018,706 $ 5,965,959 $ 4,800,268
May-2004 $ 9,140,415 $ 5,147,185 $ 6,090,647 $ 4,864,111
Jun-2004 $ 9,269,378 $ 5,330,939 $ 6,280,067 $ 5,040,678
Jul-2004 $ 9,164,703 $ 5,186,471 $ 6,007,512 $ 4,844,596
Aug-2004 $ 9,276,593 $ 5,269,973 $ 6,049,564 $ 4,830,547
Sep-2004 $ 9,470,542 $ 5,423,329 $ 6,231,051 $ 4,992,370
Oct-2004 $ 9,660,002 $ 5,548,608 $ 6,282,146 $ 5,069,253
Nov-2004 $ 10,143,033 $ 5,923,694 $ 6,728,806 $ 5,394,699
Dec-2004 $ 10,410,382 $ 6,153,533 $ 6,993,921 $ 5,582,974
</Table>
SOURCE: LIPPER, INC. THE PERFORMANCE QUOTED IS PAST PERFORMANCE AND IS 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.
CURRENT PERFORMANCE MAY BE HIGHER OR LOWER THAN THE PERFORMANCE DATA SHOWN. FOR
UP-TO-DATE MONTH-END PERFORMANCE INFORMATION PLEASE CALL 1-800-480-4111.
The Fund commenced operations on 11/13/97.
Returns for the Select Shares prior to 10/31/01 (offering date of the Select
Shares) are calculated using the historical expenses of the Institutional
Shares, which are lower than the expenses of the Select Shares.
Returns for the Class A, Class B, and Class C Shares prior to 4/30/01 (offering
date of the Class A, Class B, and Class C Shares) are calculated using the
historical expenses of the Institutional Shares, which are lower than the
expenses of the Class A Shares, Class B and C Shares.
The graph illustrates comparative performance for $3,000,000 invested in
Institutional Shares of the JPMorgan Mid Cap Value Fund, Russell MidCap Value
Index, S&P MidCap 400/BARRA Value Index, and Lipper Mid-Cap Value Funds Index
from November 13, 1997 to December 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
Russell MidCap Value Index is an unmanaged, capitalization weighted, price only
index that measures the performance of those companies included in the Russell
MidCap Index that have lower price-to-book ratios and lower forecasted growth
rates. The S&P MidCap 400/BARRA Value Index is an unmanaged, capitalization
weighted, price only index of 400 stocks that measure performance of the
mid-sized company segment of the U.S. market. The S&P MidCap 400/BARRA Value
Index is a subset of the MidCap 400 Index, which contains companies with lower
price-to-book ratios. The Lipper Mid-Cap Value Funds Index represents the total
returns of the funds in the indicated category, as defined by Lipper, Inc.
Investors cannot invest directly in an index.
Institutional Shares have a $3,000,000 minimum initial deposit and carry no
sales charge.
Certain fees and expenses of the Fund are currently being waived and reimbursed
as described in the prospectus. Had the expenses not been subsidized or waived,
returns would have been lower. Also all performance shown in this section does
not reflect the deduction of taxes that a shareholder would pay on fund
distributions or redemption of fund shares.
14
<Page>
JPMORGAN
SMALL CAP EQUITY FUND
AS OF DECEMBER 31, 2004 (Unaudited)
FUND FACTS
<Table>
Fund Inception 12/20/1994
Fiscal Year End DECEMBER 31
Net Assets as of 12/31/2004
(In Millions) $ 356.9
Primary Benchmark S&P SMALLCAP
600 INDEX
</Table>
Q: HOW DID THE FUND PERFORM?
A: The JPMorgan Small Cap Equity Fund, which seeks capital growth over the
long term, rose 26.1% (Class A Shares, without sales charge) in the year
ended December 31, 2004. This compares with a gain of 22.7% for the S&P
SmallCap 600 Index, the Fund's benchmark.
Q: WHY DID THE FUND PERFORM THIS WAY?
A: The U.S. equity markets recorded another year of gains as strong earnings
growth and healthy corporate balance sheets kept investors' minds off
increasing short-term interest rates, high oil prices and the twin
deficits. The Fund performed well during the period under review,
outperforming both its benchmark and the Lipper Small Cap Core Index. All
sectors of the Fund and benchmark posted positive returns in the period.
The Fund's positive performance relative to the benchmark is attributable
to stock selection rather than sector weightings, with names in the health
care and industrial sectors doing particularly well.
At the stock level, Boyd Gaming and Southwestern Energy contributed
positively to performance. Shares of Boyd Gaming, a casino operator,
rallied during the period after the company announced strong third-quarter
earnings, which included a 68% increase in revenues as well as a 109%
increase in EBITDA (earnings before interest, taxes, depreciation and
amortization). The company's increased earnings can be attributed to its
recent acquisition of Las Vegas casino operator Coast Casinos.
Additionally, the company's joint venture with MGM Mirage, Borgata Casino,
also aided results. Shares of Southwestern Energy appreciated during the
year after the company raised its 2004 production outlook. The oil company,
which is focused on growth through drilling, attributed its raised
production forecast to a significant number of additional drilling
locations in its Overton Field in Smith County, Texas, and in its Ranger
Anticline area located in the Arkoma Basin in Arkansas.
Although the Fund experienced strong positive results, a few names within
the semiconductor sector hindered performance, particularly Standard
Microsystems and Cirrus Logic. Semiconductor stocks suffered declines as
the strong rebound in customer demand failed to materialize and
expectations for 2005 were reduced. Shares of Standard Microsystems, a
manufacturer of computer networking chips, generated a negative return
during the year after the company lowered its fiscal 2004 revenue forecast
due to a general slowdown in orders across all of its businesses. Shares of
analog and digital chipmaker Cirrus Logic declined significantly during the
year as the company reduced its 2004 earnings. The company cited
lower-than-expected demand for DVD recorders, that incorporate its
technology, as well as an industry-wide inventory correction within the
supply chain for DVD players.
Q: HOW WAS THE FUND MANAGED?
A: During the period, management of the portfolio was transitioned to a new
team. The Portfolio Manager change did not affect the Fund's investment
objectives or guidelines. The Portfolio Managers utilize a "bottom up"
approach to construct the Fund's portfolio, basing their stock selection on
a combination of proprietary company research complemented by research
derived from third-party sources. The research process is designed to
identify companies with predictable and durable business models deemed
capable of achieving sustainable growth. Potential investments are
subjected to rigorous financial analysis and a disciplined approach to
valuation.
Effective May 1, 2005, the Fund will change its primary benchmark from the
S&P SmallCap 600 Index to the Russell 2000 Index, as approved by the Board
of Directors on February 14, 2005.
15
<Page>
[CHART]
PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS
<Table>
Consumer Goods & Services 24.5%
Industrial Products & Services 19.3%
Technology 16.8%
Finance & Insurance 16.5%
Health Services & Systems 9.4%
Energy 5.6%
Short-Term Investments 3.6%
Utilities 2.5%
REITs 1.8%
</Table>
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO
<Table>
1. Micros Systems, Inc. 1.6%
2. Commercial Metals Co. 1.4%
3. Southwestern Energy Co. 1.4%
4. Georgia Gulf Corp. 1.3%
5. Jarden Corp. 1.3%
6. Landstar System, Inc. 1.3%
7. CACI International, Inc. Class A 1.3%
8. Quiksilver, Inc. 1.3%
9. Plains Exploration & Production Co. 1.3%
10. Boyd Gaming Corp. 1.3%
</Table>
Top 10 equity holdings comprised 13.5% of the Portfolio's market value of
investments ($47,640 in thousands). As of December 31, 2004, the Fund held 119
equity holdings. Portfolio holdings are subject to change at any time.
16
<Page>
AVERAGE ANNUAL TOTAL RETURNS AS OF DECEMBER 31, 2004
<Table>
<Caption>
1 YEAR 3 YEARS 5 YEARS 10 YEARS
-------------------------------------------
CLASS A SHARES
Without Sales Charge 26.13% 12.46% 8.78% 15.38%
With Sales Charge* 19.49% 10.46% 7.61% 14.76%
CLASS B SHARES
Without CDSC 25.22% 11.63% 7.95% 14.70%
With CDSC** 20.22% 10.83% 7.65% 14.70%
SELECT SHARES 26.81% 13.05% 9.37% 15.87%
</Table>
* Sales Charge for Class A Shares is 5.25%.
** Assumes 5% CDSC (contingent deferred sales charge) for the one year period,
3% CDSC for the three year period, 2% CDSC for the five year period and 0%
CDSC for the period since inception.
[CHART]
LIFE OF FUND PERFORMANCE (12/31/94 TO 12/31/04)
<Table>
<Caption>
JPMORGAN SMALL CAP EQUITY FUND LIPPER SMALL-CAP
(CLASS A SHARES) S&P SMALLCAP 600 INDEX CORE FUNDS INDEX
Dec-1994 $ 9,475 $ 10,000 $ 10,000
Jan-1995 $ 9,183 $ 9,858 $ 10,103
Feb-1995 $ 9,721 $ 10,264 $ 10,505
Mar-1995 $ 10,488 $ 10,471 $ 10,728
Apr-1995 $ 10,863 $ 10,705 $ 10,908
May-1995 $ 11,209 $ 10,872 $ 11,040
Jun-1995 $ 12,048 $ 11,469 $ 11,479
Jul-1995 $ 12,991 $ 12,346 $ 12,114
Aug-1995 $ 13,457 $ 12,614 $ 12,518
Sep-1995 $ 13,860 $ 12,936 $ 12,732
Oct-1995 $ 13,796 $ 12,297 $ 12,281
Nov-1995 $ 14,181 $ 12,783 $ 12,648
Dec-1995 $ 14,595 $ 12,917 $ 13,073
Jan-1996 $ 14,661 $ 13,021 $ 13,169
Feb-1996 $ 15,208 $ 13,447 $ 13,635
Mar-1996 $ 15,644 $ 13,734 $ 13,976
Apr-1996 $ 17,129 $ 14,537 $ 14,940
May-1996 $ 17,870 $ 15,040 $ 15,614
Jun-1996 $ 17,693 $ 14,323 $ 14,905
Jul-1996 $ 16,154 $ 13,283 $ 13,695
Aug-1996 $ 17,332 $ 14,287 $ 14,393
Sep-1996 $ 18,129 $ 14,914 $ 14,998
Oct-1996 $ 17,804 $ 14,811 $ 14,717
Nov-1996 $ 18,258 $ 15,581 $ 15,248
Dec-1996 $ 18,797 $ 15,764 $ 15,518
Jan-1997 $ 19,389 $ 16,027 $ 15,864
Feb-1997 $ 18,608 $ 15,695 $ 15,449
Mar-1997 $ 17,478 $ 14,890 $ 14,670
Apr-1997 $ 16,961 $ 15,072 $ 14,674
May-1997 $ 19,013 $ 16,843 $ 16,239
Jun-1997 $ 20,200 $ 17,345 $ 17,156
Jul-1997 $ 21,375 $ 18,692 $ 18,189
Aug-1997 $ 21,732 $ 19,163 $ 18,635
Sep-1997 $ 23,117 $ 20,430 $ 20,032
Oct-1997 $ 22,185 $ 19,547 $ 19,235
Nov-1997 $ 21,996 $ 19,405 $ 18,989
Dec-1997 $ 22,133 $ 19,797 $ 18,968
Jan-1998 $ 21,958 $ 19,411 $ 18,691
Feb-1998 $ 23,895 $ 21,179 $ 20,087
Mar-1998 $ 25,503 $ 21,988 $ 21,033
Apr-1998 $ 25,212 $ 22,118 $ 21,235
May-1998 $ 23,788 $ 20,948 $ 20,133
Jun-1998 $ 24,292 $ 21,010 $ 20,061
Jul-1998 $ 22,781 $ 19,403 $ 18,614
Aug-1998 $ 17,803 $ 15,658 $ 15,016
Sep-1998 $ 19,160 $ 16,618 $ 15,648
Oct-1998 $ 19,760 $ 17,389 $ 16,290
Nov-1998 $ 21,008 $ 18,368 $ 17,199
Dec-1998 $ 22,872 $ 19,542 $ 18,279
Jan-1999 $ 22,238 $ 19,298 $ 18,142
Feb-1999 $ 20,159 $ 17,557 $ 16,660
Mar-1999 $ 20,461 $ 17,784 $ 16,735
Apr-1999 $ 21,515 $ 18,959 $ 17,864
May-1999 $ 21,418 $ 19,422 $ 18,234
Jun-1999 $ 22,952 $ 20,527 $ 19,288
Jul-1999 $ 22,982 $ 20,346 $ 19,182
Aug-1999 $ 22,483 $ 19,451 $ 18,478
Sep-1999 $ 22,483 $ 19,535 $ 18,463
Oct-1999 $ 22,229 $ 19,486 $ 18,624
Nov-1999 $ 23,429 $ 20,300 $ 19,825
Dec-1999 $ 26,018 $ 21,969 $ 21,964
Jan-2000 $ 25,318 $ 21,288 $ 21,542
Feb-2000 $ 28,716 $ 24,560 $ 24,580
Mar-2000 $ 28,705 $ 23,246 $ 24,231
Apr-2000 $ 28,989 $ 22,446 $ 22,884
May-2000 $ 27,273 $ 22,074 $ 21,911
Jun-2000 $ 29,446 $ 23,480 $ 23,844
Jul-2000 $ 28,495 $ 22,902 $ 23,102
Aug-2000 $ 31,390 $ 24,934 $ 25,160
Sep-2000 $ 30,602 $ 24,253 $ 24,514
Oct-2000 $ 30,471 $ 24,406 $ 23,776
Nov-2000 $ 27,192 $ 21,865 $ 21,408
Dec-2000 $ 29,702 $ 24,559 $ 23,487
Jan-2001 $ 28,615 $ 25,610 $ 24,323
Feb-2001 $ 26,583 $ 24,048 $ 22,778
Mar-2001 $ 25,368 $ 22,944 $ 21,701
Apr-2001 $ 27,413 $ 24,692 $ 23,430
May-2001 $ 27,813 $ 25,164 $ 24,283
Jun-2001 $ 28,125 $ 26,085 $ 25,034
Jul-2001 $ 28,319 $ 25,649 $ 24,453
Aug-2001 $ 27,478 $ 25,064 $ 23,768
Sep-2001 $ 24,516 $ 21,676 $ 20,654
Oct-2001 $ 25,408 $ 22,831 $ 21,881
Nov-2001 $ 26,508 $ 24,502 $ 23,507
Dec-2001 $ 27,855 $ 26,161 $ 25,157
Jan-2002 $ 28,036 $ 26,389 $ 24,860
Feb-2002 $ 27,764 $ 25,935 $ 24,197
Mar-2002 $ 29,019 $ 27,984 $ 26,055
Apr-2002 $ 29,509 $ 28,776 $ 26,183
May-2002 $ 28,863 $ 27,584 $ 25,206
Jun-2002 $ 27,154 $ 26,158 $ 23,795
Jul-2002 $ 23,907 $ 22,462 $ 20,561
Aug-2002 $ 24,088 $ 22,675 $ 20,670
Sep-2002 $ 22,824 $ 21,288 $ 19,206
Oct-2002 $ 23,150 $ 21,969 $ 19,888
Nov-2002 $ 23,854 $ 23,111 $ 21,356
Dec-2002 $ 23,033 $ 22,332 $ 20,318
Jan-2003 $ 22,278 $ 21,564 $ 19,725
Feb-2003 $ 21,990 $ 20,874 $ 19,109
Mar-2003 $ 21,977 $ 21,039 $ 19,270
Apr-2003 $ 23,553 $ 22,745 $ 20,875
May-2003 $ 25,077 $ 24,579 $ 22,708
Jun-2003 $ 25,521 $ 25,218 $ 23,230
Jul-2003 $ 26,707 $ 26,529 $ 24,422
Aug-2003 $ 28,166 $ 27,821 $ 25,479
Sep-2003 $ 27,422 $ 27,003 $ 24,926
Oct-2003 $ 29,846 $ 29,344 $ 26,886
Nov-2003 $ 30,667 $ 30,453 $ 27,854
Dec-2003 $ 31,409 $ 30,992 $ 28,628
Jan-2004 $ 31,839 $ 31,885 $ 29,535
Feb-2004 $ 32,387 $ 32,497 $ 30,049
Mar-2004 $ 33,025 $ 32,923 $ 30,374
Apr-2004 $ 32,437 $ 31,830 $ 29,329
May-2004 $ 32,541 $ 32,317 $ 29,584
Jun-2004 $ 34,546 $ 34,107 $ 30,847
Jul-2004 $ 32,905 $ 32,238 $ 29,222
Aug-2004 $ 32,898 $ 31,954 $ 28,968
Sep-2004 $ 34,823 $ 33,638 $ 30,407
Oct-2004 $ 35,937 $ 34,267 $ 30,906
Nov-2004 $ 38,801 $ 37,197 $ 33,347
Dec-2004 $ 39,630 $ 38,016 $ 33,888
</Table>
SOURCE: LIPPER, INC. THE PERFORMANCE QUOTED IS PAST PERFORMANCE AND IS 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.
CURRENT PERFORMANCE MAY BE HIGHER OR LOWER THAN THE PERFORMANCE DATA SHOWN. FOR
UP-TO-DATE MONTH-END PERFORMANCE INFORMATION PLEASE CALL 1-800-480-4111.
The Fund commenced operations on 12/20/94.
Returns for the Select Shares prior to 5/7/96 (offering date of the Select
Shares) are calculated using the historical expenses of the Class A Shares,
which are higher than the expenses of the Select Shares.
Returns for the Class B Shares prior to 3/28/95 (offering date of the Class B
Shares) are calculated using the historical expenses of the Class A Shares,
which are lower than the expenses of the Class B Shares.
The graph illustrates comparative performance for $10,000 invested in Class A
Shares of the JPMorgan Small Cap Equity Fund, S&P SmallCap 600 Index and Lipper
Small-Cap Core Funds Index from December 31, 1994 to December 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 S&P SmallCap 600 Index includes 600 stocks of
small U.S. Companies chosen for market size, liquidity and industry group
representation. The Lipper Small-Cap Core Funds Index represents the total
returns of the funds in the indicated category, as defined by Lipper, Inc.
Investors cannot invest directly in an index.
Class A Shares have a $2,500 minimum initial deposit and carry a 5.25% sales
charge.
Certain fees and expenses of the Fund are currently being waived and reimbursed
as described in the prospectus. Had the expenses not been subsidized or waived,
returns would have been lower. Also all performance shown in this section does
not reflect the deduction of taxes that a shareholder would pay on fund
distributions or redemption of fund shares.
17
<Page>
JPMORGAN
SMALL CAP GROWTH FUND
AS OF DECEMBER 31, 2004 (Unaudited)
FUND FACTS
<Table>
Fund Inception 11/14/1997
Fiscal Year End DECEMBER 31
Net Assets as of 12/31/2004
(In Millions) $ 6.0
Primary Benchmark RUSSELL 2000
GROWTH INDEX
</Table>
Q: HOW DID THE FUND PERFORM?
A: The Small Cap Growth Fund, which seeks to provide capital appreciation from
a Portfolio of small-cap growth stocks, rose 17.1% (Institutional Shares)
in the year ended December 31, 2004. This compares to a gain of 14.3% for
the Russell 2000 Growth Index, the Fund's benchmark.
Q: WHY DID THE FUND PERFORM IN THIS WAY?
A: The U.S. equity markets recorded another year of gains as strong earnings
growth and healthy corporate balance sheets kept investors' minds off
increasing short-term interest rates, high oil prices and the twin
deficits. The Fund outperformed both its benchmark and the Lipper Small Cap
Growth Index. The Fund's positive performance relative to the benchmark is
attributable to stock selection rather than sector weightings, with names
in the consumer discretionary and financial sectors doing particularly
well.
At the stock level, Psychiatric Solutions and Alliance Data Systems
positively contributed to the Fund's performance. Psychiatric Solutions
owns inpatient behavioral care facilities and also manages psychiatric
units for third parties. Shares of the company advanced after they reported
strong earnings throughout the year and increased its 2005 earnings
outlook. During the year the firm acquired four psychiatric facilities and
an inpatient management contract from Heartland. Additionally, the company
participated in a successful secondary offering before year end, and net
proceeds will be used to reduce debt. Alliance Data Systems, the largest
U.S. specialty retail credit card processing company, reported stellar
earnings throughout the year. The company offers a combination of strong
earnings visibility as approximately 90% of its annual revenue is
recurring.
Despite the Fund's positive return for the period, a number of individual
holdings, particularly in the technology sector, performed poorly. In
particular, shares of Staktek Holdings declined after the company lowered
quarterly earnings guidance. Staktek attributed the shortfall to a shortage
of DRAM, with license revenues from Samsung making up the bulk of that
business. Additionally, the company continues to experience market share
erosion. As a result of these issues we exited our position. Another
detractor from performance was chip maker Conexant Systems, whose share
price declined significantly during the year. The company's balance sheet
has been severely impacted by increased inventories as demand continues to
weaken for many of its products. Given the uncertainty about when sales
will pick up and the lack of any near term growth drivers, we exited our
position.
Q: HOW WAS THE FUND MANAGED?
A: The Fund Managers utilize a "bottom up" approach to construct the Fund's
portfolio, basing their stock selection on a combination of proprietary
company research complemented by research derived from third-party sources.
The research process is designed to identify companies with predictable and
durable business models deemed capable of achieving sustainable growth.
Potential investments are subjected to rigorous financial analysis and a
disciplined approach to valuation.
18
<Page>
[CHART]
PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS
<Table>
Consumer Goods & Services 25.3%
Technology 20.4%
Health Services & Systems 12.8%
Industrial Products & Services 9.2%
Finance & Insurance 7.6%
Pharmaceuticals 7.5%
Telecommunications 6.4%
Energy 5.9%
Short-Term Investments 3.6%
REITs 1.3%
</Table>
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO
<Table>
1. General Cable Corp. 1.6%
2. Psychiatric Solutions, Inc. 1.5%
3. Sunrise Senior Living, Inc. 1.4%
4. Inter-Tel, Inc. 1.3%
5. Aeroflex, Inc. 1.3%
6. The Pantry, Inc. 1.3%
7. Genesco, Inc. 1.3%
8. Unit Corp. 1.3%
9. Global Imaging Systems, Inc. 1.2%
10. Hyperion Solutions Corp. 1.2%
</Table>
Top 10 equity holdings comprised 13.4% of the Portfolio's market value of
investments ($798 in thousands). As of December 31, 2004 the Fund held 126
equity holdings. Portfolio holdings are subject to change at any time.
19
<Page>
AVERAGE ANNUAL TOTAL RETURNS AS OF DECEMBER 31, 2004
<Table>
<Caption>
SINCE
INCEPTION
1 YEAR 3 YEARS 5 YEARS (11/14/97)
-----------------------------------------------
CLASS A SHARES
Without Sales Charge 16.17% (1.24%) (4.71%) 4.29%
With Sales Charge* 10.14% (2.99%) (5.74%) 3.51%
INSTITUTIONAL SHARES 17.09% (0.50%) (4.14%) 4.73%
SELECT SHARES 16.69% (0.76%) (4.33%) 4.58%
</Table>
* Sales Charge for Class A Shares is 5.25%.
[CHART]
LIFE OF FUND PERFORMANCE (11/14/97 TO 12/31/04)
<Table>
<Caption>
JPMORGAN SMALL CAP
GROWTH FUND RUSSELL 2000 GROWTH LIPPER SMALL-CAP
(INSTITUTIONAL SHARES) RUSSELL 2000 INDEX INDEX GROWTH FUNDS INDEX
Nov-1997 $ 3,000,000 $ 3,000,000 $ 3,000,000 $ 3,000,000
Nov-1997 $ 2,991,000 $ 3,000,000 $ 3,000,000 $ 3,000,000
Dec-1997 $ 3,061,887 $ 3,052,500 $ 3,001,800 $ 2,960,100
Jan-1998 $ 3,116,082 $ 3,004,271 $ 2,961,876 $ 2,916,291
Feb-1998 $ 3,278,430 $ 3,226,286 $ 3,223,410 $ 3,151,927
Mar-1998 $ 3,485,627 $ 3,359,209 $ 3,358,471 $ 3,294,394
Apr-1998 $ 3,524,666 $ 3,377,685 $ 3,378,957 $ 3,318,443
May-1998 $ 3,389,319 $ 3,195,628 $ 3,133,645 $ 3,083,497
Jun-1998 $ 3,482,525 $ 3,202,338 $ 3,165,608 $ 3,173,844
Jul-1998 $ 3,233,176 $ 2,942,949 $ 2,901,280 $ 2,935,171
Aug-1998 $ 2,599,150 $ 2,371,428 $ 2,231,664 $ 2,294,129
Sep-1998 $ 2,845,550 $ 2,557,111 $ 2,457,955 $ 2,416,865
Oct-1998 $ 3,019,697 $ 2,661,441 $ 2,586,261 $ 2,512,090
Nov-1998 $ 3,193,934 $ 2,800,901 $ 2,786,954 $ 2,716,323
Dec-1998 $ 3,516,521 $ 2,974,276 $ 3,039,174 $ 2,988,498
Jan-1999 $ 3,590,016 $ 3,013,834 $ 3,175,937 $ 3,060,820
Feb-1999 $ 3,427,748 $ 2,769,714 $ 2,885,338 $ 2,766,369
Mar-1999 $ 3,461,340 $ 2,812,921 $ 2,988,056 $ 2,891,409
Apr-1999 $ 3,819,588 $ 3,064,959 $ 3,251,902 $ 3,004,174
May-1999 $ 3,969,698 $ 3,109,707 $ 3,257,105 $ 3,020,697
Jun-1999 $ 4,118,562 $ 3,250,266 $ 3,428,754 $ 3,303,434
Jul-1999 $ 4,338,905 $ 3,161,209 $ 3,322,806 $ 3,291,872
Aug-1999 $ 4,090,720 $ 3,044,244 $ 3,198,533 $ 3,245,786
Sep-1999 $ 4,171,307 $ 3,044,853 $ 3,260,264 $ 3,363,608
Oct-1999 $ 4,286,018 $ 3,057,032 $ 3,343,727 $ 3,559,706
Nov-1999 $ 4,599,754 $ 3,239,537 $ 3,697,159 $ 4,008,941
Dec-1999 $ 5,152,645 $ 3,606,253 $ 4,348,968 $ 4,817,144
Jan-2000 $ 4,814,116 $ 3,548,192 $ 4,308,523 $ 4,767,045
Feb-2000 $ 5,118,849 $ 4,133,999 $ 5,311,116 $ 6,163,790
Mar-2000 $ 5,393,220 $ 3,861,568 $ 4,752,918 $ 5,679,932
Apr-2000 $ 5,272,951 $ 3,629,102 $ 4,272,873 $ 4,977,892
May-2000 $ 5,020,904 $ 3,417,525 $ 3,898,570 $ 4,570,701
Jun-2000 $ 5,746,927 $ 3,715,533 $ 4,402,265 $ 5,375,601
Jul-2000 $ 5,468,775 $ 3,595,893 $ 4,024,991 $ 5,025,650
Aug-2000 $ 5,991,590 $ 3,870,260 $ 4,448,420 $ 5,565,907
Sep-2000 $ 5,687,217 $ 3,756,474 $ 4,227,333 $ 5,290,395
Oct-2000 $ 5,367,596 $ 3,588,936 $ 3,884,074 $ 4,893,615
Nov-2000 $ 4,524,883 $ 3,220,711 $ 3,178,726 $ 4,060,232
Dec-2000 $ 4,751,580 $ 3,497,370 $ 3,373,264 $ 4,419,157
Jan-2001 $ 5,014,817 $ 3,679,583 $ 3,646,161 $ 4,553,941
Feb-2001 $ 4,283,657 $ 3,438,202 $ 3,146,272 $ 3,971,037
Mar-2001 $ 3,683,945 $ 3,270,074 $ 2,860,276 $ 3,585,449
Apr-2001 $ 4,265,272 $ 3,525,794 $ 3,210,374 $ 3,972,678
May-2001 $ 4,460,621 $ 3,612,528 $ 3,284,855 $ 4,080,337
Jun-2001 $ 4,705,955 $ 3,737,161 $ 3,374,531 $ 4,183,162
Jul-2001 $ 4,228,771 $ 3,534,980 $ 3,086,684 $ 3,950,159
Aug-2001 $ 3,915,419 $ 3,420,800 $ 2,893,766 $ 3,716,310
Sep-2001 $ 3,102,187 $ 2,960,361 $ 2,426,712 $ 3,136,194
Oct-2001 $ 3,529,048 $ 3,133,542 $ 2,660,162 $ 3,366,077
Nov-2001 $ 3,951,475 $ 3,376,078 $ 2,882,285 $ 3,626,948
Dec-2001 $ 4,233,215 $ 3,584,382 $ 3,061,852 $ 3,846,741
Jan-2002 $ 4,165,060 $ 3,547,104 $ 2,952,850 $ 3,730,570
Feb-2002 $ 3,688,161 $ 3,449,914 $ 2,761,800 $ 3,504,870
Mar-2002 $ 3,947,070 $ 3,727,287 $ 3,001,801 $ 3,791,568
Apr-2002 $ 3,674,722 $ 3,761,205 $ 2,936,962 $ 3,691,471
May-2002 $ 3,356,858 $ 3,594,207 $ 2,765,150 $ 3,543,443
Jun-2002 $ 3,007,074 $ 3,415,935 $ 2,530,665 $ 3,280,165
Jul-2002 $ 2,534,662 $ 2,900,129 $ 2,141,702 $ 2,815,038
Aug-2002 $ 2,548,350 $ 2,892,588 $ 2,140,631 $ 2,810,815
Sep-2002 $ 2,298,611 $ 2,684,900 $ 1,986,077 $ 2,640,480
Oct-2002 $ 2,471,237 $ 2,771,086 $ 2,086,573 $ 2,753,228
Nov-2002 $ 2,721,079 $ 3,018,267 $ 2,293,352 $ 2,983,949
Dec-2002 $ 2,539,311 $ 2,850,149 $ 2,135,111 $ 2,784,621
Jan-2003 $ 2,475,828 $ 2,771,200 $ 2,077,036 $ 2,711,107
Feb-2003 $ 2,380,509 $ 2,687,510 $ 2,021,579 $ 2,626,521
Mar-2003 $ 2,421,454 $ 2,722,179 $ 2,052,105 $ 2,680,627
Apr-2003 $ 2,621,466 $ 2,980,241 $ 2,246,234 $ 2,902,047
May-2003 $ 2,884,923 $ 3,300,021 $ 2,499,385 $ 3,198,055
Jun-2003 $ 2,944,064 $ 3,359,751 $ 2,547,623 $ 3,306,469
Jul-2003 $ 3,103,043 $ 3,570,072 $ 2,740,223 $ 3,499,898
Aug-2003 $ 3,289,226 $ 3,733,581 $ 2,887,373 $ 3,685,393
Sep-2003 $ 3,171,143 $ 3,664,510 $ 2,814,322 $ 3,594,732
Oct-2003 $ 3,434,665 $ 3,972,329 $ 3,057,480 $ 3,920,415
Nov-2003 $ 3,507,480 $ 4,113,346 $ 3,157,154 $ 4,024,698
Dec-2003 $ 3,561,846 $ 4,196,847 $ 3,171,361 $ 4,030,332
Jan-2004 $ 3,779,830 $ 4,378,991 $ 3,337,857 $ 4,218,952
Feb-2004 $ 3,761,687 $ 4,418,401 $ 3,332,851 $ 4,202,920
Mar-2004 $ 3,784,257 $ 4,459,493 $ 3,348,515 $ 4,173,920
Apr-2004 $ 3,611,695 $ 4,232,059 $ 3,180,420 $ 3,969,815
May-2004 $ 3,707,044 $ 4,299,348 $ 3,243,710 $ 4,052,784
Jun-2004 $ 3,829,715 $ 4,480,351 $ 3,351,725 $ 4,168,288
Jul-2004 $ 3,480,030 $ 4,178,823 $ 3,050,741 $ 3,800,645
Aug-2004 $ 3,439,282 $ 4,157,511 $ 2,985,150 $ 3,677,504
Sep-2004 $ 3,625,659 $ 4,352,498 $ 3,150,228 $ 3,887,490
Oct-2004 $ 3,775,729 $ 4,438,243 $ 3,226,779 $ 3,996,340
Nov-2004 $ 4,043,773 $ 4,823,038 $ 3,499,442 $ 4,276,083
Dec-2004 $ 4,170,437 $ 4,965,800 $ 3,625,072 $ 4,464,659
</Table>
SOURCE: LIPPER, INC. THE PERFORMANCE QUOTED IS PAST PERFORMANCE AND IS 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.
CURRENT PERFORMANCE MAY BE HIGHER OR LOWER THAN THE PERFORMANCE DATA SHOWN. FOR
UP-TO-DATE MONTH-END PERFORMANCE INFORMATION PLEASE CALL 1-800-480-4111.
The Fund commenced operations on 11/14/97.
Returns for the Select Shares prior to 10/31/01 (offering date of the Select
Shares) are calculated using the historical expenses of the Institutional
Shares, which are lower than the expenses of the Select Shares.
Returns for the Class A Shares prior to 4/30/01 (offering date of the Class A
Shares) are calculated using the historical expenses of the Institutional
Shares, which are lower than the expenses of the Class A Shares.
The graph illustrates comparative performance for $3,000,000 invested in
Institutional Shares of the JPMorgan Small Cap Growth Fund, Russell 2000 Index,
Russell 2000 Growth Index and Lipper Small-Cap Growth Funds Index from November
14, 1997 to December 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
Russell 2000 Index is an unmanaged, capitalization weighted price only index,
which is comprised of 2000 of the smallest stocks (on the basis of
capitalization) in the Russell 3000 Index. The Russell 2000 Growth Index
measures the performance of those Russell 2000 companies with higher
price-to-book ratios and higher forecasted growth rates. The Lipper Small-Cap
Growth Funds Index represents the total returns of the funds in the indicated
category, as defined by Lipper, Inc. Investors cannot invest directly in an
index.
Institutional Shares have a $3,000,000 minimum initial deposit and carry no
sales charge.
Certain fees and expenses of the Fund are currently being waived and reimbursed
as described in the prospectus. Had the expenses not been subsidized or waived,
returns would have been lower. Also all performance shown in this section does
not reflect the deduction of taxes that a shareholder would pay on fund
distributions or redemption of fund shares.
20
<Page>
JPMORGAN
TRUST SMALL CAP EQUITY FUND
AS OF DECEMBER 31, 2004 (Unaudited)
FUND FACTS
<Table>
Fund Inception 1/1/1997
Fiscal Year End DECEMBER 31
Net Assets as of 12/31/2004
(In Millions) $ 903.7
Primary Benchmark RUSSELL 2000 INDEX
</Table>
Q: HOW DID THE FUND PERFORM?
A: The JPMorgan Trust Small Cap Equity Fund, which seeks capital growth over
the long term, rose 22.3% during year ended December 31, 2004,
outperforming its benchmark, the Russell 2000 Index, which delivered a
return of 18.3% for the same period.
Q: WHY DID THE FUND PERFORM THIS WAY?
A: The Fund participated in the market's advance as stock selection within the
health care and industrial sectors contributed to performance. In addition,
the Fund benefited from holding an overweight position in energy as the
sector returned over 57% during the period. Alternatively, stock selection
within the utilities and telecommunication sectors hindered performance. An
underweight position in the finance sector also detracted from results as
interest rate levels continued to hold steady, helping the interest rate
sensitive sectors to defy predictions for a sharp drop. Going forward, we
would anticipate that the performance of the Fund will be driven by broader
stock selection and sector weightings structured more closely in line with
the Russell 2000 benchmark.
At the stock level, Aaron Rents, Boyd Gaming, and Southwestern Energy
contributed positively to performance. Aaron Rents is the second largest
rent-to-own retailer in the United States specializing in residential and
office furniture. The company's stock price increased during the period as
a result of better-than-expected operating results. Boyd Gaming is an owner
and operator of casino properties in Nevada, Mississippi, Illinois,
Indiana, New Jersey and Louisiana. The company's share price increased
during the year due to strong gaming volume in Atlantic City and Las Vegas.
In addition, the company was helped by strong results at its newest
property, the Borgata, located in Atlantic City. Lastly, Southwestern
Energy is an integrated energy company primarily focused on natural gas.
The market reacted positively to Southwestern Energy after the company
announced that it is testing a new shale gas play on the Arkansas side of
the Arkoma Basin. The company also benefited from rising energy prices.
Although the Fund experienced positive results, a few names within the
semiconductor sector hindered performance, particularly Standard
Microsystems and Cirrus Logic. Standard Microsystems produces input/output
chips, which perform basic control and interface functions for PCs. The
company's stock price declined during the period due to demand
deterioration in the PC market. Cirrus Logic is a leading player in
consumer audio semiconductors and an early contender in the DVD recorder
markets. During the year, the stock declined as a result of weak demand for
DVD recorders, which led to excess inventory.
Q: HOW WAS THE FUND MANAGED?
A: During the period, management of the Fund was transitioned to a new team
and changed its benchmark from the S&P Small Cap 600 Index to the Russell
2000. The Portfolio Managers strive to add value to stock selection rather
than market timing or sector bets. To control risk and produce consistent
excess returns, holdings in the Fund have increased to approximately 650
names and sector weightings will be within 1% of the Russell 2000 Index.
The strategy's targeted tracking error relative to the benchmark is
approximately 3%.
21
<Page>
[CHART]
PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS
<Table>
Consumer Goods & Services 24.5%
Industrial Products & Services 19.3%
Technology 16.8%
Finance & Insurance 16.5%
Health Services & Systems 9.4%
Energy 5.6%
Short-Term Investments 3.6%
Utilities 2.5%
REITs 1.8%
</Table>
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO
<Table>
1. Applied Industrial Technologies, Inc. 1.0%
2. Houston Exploration Co. 1.0%
3. Southwestern Energy Co. 0.8%
4. Moog, Inc., Class A 0.8%
5. CarrAmerica Realty Corp. 0.8%
6. Cash America International, Inc. 0.7%
7. R&G Financial Corp.
(Peurto Rico), Class B 0.6%
8. Quanex Corp. 0.6%
9. Landry's Restaurants, Inc. 0.6%
10. Energen Corp. 0.6%
</Table>
Top 10 equity holdings comprised 7.5% of the Portfolio's market value of
investments ($66,557 in thousands). As of December 31, 2004, the Fund held 700
equity holdings. Portfolio holdings are subject to change at any time.
22
<Page>
ANNUAL TOTAL RETURNS AS OF DECEMBER 31, 2004
<Table>
<Caption>
1 YEAR 3 YEARS 5 YEARS 10 YEARS
----------------------------------------------
SELECT SHARES 22.31% 11.16% 7.98% 9.11%
</Table>
[CHART]
TEN-YEAR FUND PERFORMANCE (12/31/94 TO 12/31/04)
<Table>
<Caption>
JPMORGAN TRUST S&P SMALL CAP 600 LIPPER SMALL-CAP
SMALL CAP EQUITY INDEX RUSSELL 2000 INDEX CORE FUNDS INDEX
Dec-1994 $ 1,000,000 $ 1,000,000 $ 1,000,000 $ 1,000,000
Jan-1995 $ 1,013,600 $ 985,800 $ 987,400 $ 1,010,300
Feb-1995 $ 1,039,548 $ 1,026,415 $ 1,028,476 $ 1,050,510
Mar-1995 $ 1,048,072 $ 1,047,149 $ 1,046,063 $ 1,072,781
Apr-1995 $ 1,055,619 $ 1,070,500 $ 1,069,285 $ 1,090,803
May-1995 $ 1,072,931 $ 1,087,200 $ 1,087,677 $ 1,104,002
Jun-1995 $ 1,121,856 $ 1,146,887 $ 1,144,128 $ 1,147,941
Jul-1995 $ 1,166,955 $ 1,234,624 $ 1,210,029 $ 1,211,423
Aug-1995 $ 1,189,244 $ 1,261,415 $ 1,235,077 $ 1,251,763
Sep-1995 $ 1,216,596 $ 1,293,581 $ 1,257,185 $ 1,273,168
Oct-1995 $ 1,172,921 $ 1,229,678 $ 1,200,989 $ 1,228,098
Nov-1995 $ 1,209,750 $ 1,278,251 $ 1,251,430 $ 1,264,818
Dec-1995 $ 1,198,500 $ 1,291,672 $ 1,284,468 $ 1,307,316
Jan-1996 $ 1,198,260 $ 1,302,135 $ 1,283,055 $ 1,316,859
Feb-1996 $ 1,223,663 $ 1,344,715 $ 1,323,086 $ 1,363,476
Mar-1996 $ 1,269,061 $ 1,373,357 $ 1,350,077 $ 1,397,563
Apr-1996 $ 1,326,930 $ 1,453,698 $ 1,422,306 $ 1,493,995
May-1996 $ 1,339,005 $ 1,503,996 $ 1,478,345 $ 1,561,374
Jun-1996 $ 1,322,669 $ 1,432,256 $ 1,417,585 $ 1,490,488
Jul-1996 $ 1,265,133 $ 1,328,274 $ 1,293,830 $ 1,369,460
Aug-1996 $ 1,321,811 $ 1,428,692 $ 1,369,002 $ 1,439,303
Sep-1996 $ 1,365,828 $ 1,491,411 $ 1,422,530 $ 1,499,753
Oct-1996 $ 1,337,009 $ 1,481,120 $ 1,400,623 $ 1,471,708
Nov-1996 $ 1,392,093 $ 1,558,139 $ 1,458,328 $ 1,524,837
Dec-1996 $ 1,388,613 $ 1,576,369 $ 1,496,536 $ 1,551,826
Jan-1997 $ 1,365,562 $ 1,602,694 $ 1,526,467 $ 1,586,432
Feb-1997 $ 1,363,377 $ 1,569,518 $ 1,489,374 $ 1,544,867
Mar-1997 $ 1,311,296 $ 1,489,002 $ 1,419,076 $ 1,467,006
Apr-1997 $ 1,319,951 $ 1,507,168 $ 1,423,049 $ 1,467,446
May-1997 $ 1,451,814 $ 1,684,260 $ 1,581,434 $ 1,623,876
Jun-1997 $ 1,537,035 $ 1,734,451 $ 1,649,278 $ 1,715,625
Jul-1997 $ 1,617,576 $ 1,869,218 $ 1,725,969 $ 1,818,906
Aug-1997 $ 1,615,150 $ 1,916,322 $ 1,765,494 $ 1,863,469
Sep-1997 $ 1,686,539 $ 2,042,991 $ 1,894,728 $ 2,003,229
Oct-1997 $ 1,635,943 $ 1,954,734 $ 1,811,550 $ 1,923,500
Nov-1997 $ 1,600,279 $ 1,940,464 $ 1,799,774 $ 1,898,880
Dec-1997 $ 1,634,045 $ 1,979,662 $ 1,831,271 $ 1,896,791
Jan-1998 $ 1,600,384 $ 1,941,058 $ 1,802,336 $ 1,869,098
Feb-1998 $ 1,722,653 $ 2,117,889 $ 1,935,529 $ 2,008,719
Mar-1998 $ 1,809,647 $ 2,198,792 $ 2,015,273 $ 2,103,330
Apr-1998 $ 1,806,752 $ 2,211,765 $ 2,026,357 $ 2,123,522
May-1998 $ 1,737,915 $ 2,094,763 $ 1,917,136 $ 2,013,311
Jun-1998 $ 1,724,533 $ 2,101,047 $ 1,921,162 $ 2,006,063
Jul-1998 $ 1,654,689 $ 1,940,317 $ 1,765,548 $ 1,861,426
Aug-1998 $ 1,408,471 $ 1,565,836 $ 1,422,679 $ 1,501,612
Sep-1998 $ 1,450,021 $ 1,661,821 $ 1,534,074 $ 1,564,830
Oct-1998 $ 1,496,567 $ 1,738,930 $ 1,596,665 $ 1,628,988
Nov-1998 $ 1,593,096 $ 1,836,832 $ 1,680,330 $ 1,719,886
Dec-1998 $ 1,689,956 $ 1,954,205 $ 1,784,342 $ 1,827,895
Jan-1999 $ 1,678,295 $ 1,929,778 $ 1,808,074 $ 1,814,186
Feb-1999 $ 1,550,745 $ 1,755,712 $ 1,661,620 $ 1,665,967
Mar-1999 $ 1,526,243 $ 1,778,360 $ 1,687,541 $ 1,673,463
Apr-1999 $ 1,646,206 $ 1,895,910 $ 1,838,745 $ 1,786,422
May-1999 $ 1,707,774 $ 1,942,170 $ 1,865,591 $ 1,823,401
Jun-1999 $ 1,757,470 $ 2,052,680 $ 1,949,915 $ 1,928,794
Jul-1999 $ 1,725,660 $ 2,034,616 $ 1,896,488 $ 1,918,185
Aug-1999 $ 1,607,452 $ 1,945,093 $ 1,826,318 $ 1,847,788
Sep-1999 $ 1,511,969 $ 1,953,457 $ 1,826,683 $ 1,846,310
Oct-1999 $ 1,433,801 $ 1,948,573 $ 1,833,990 $ 1,862,373
Nov-1999 $ 1,520,689 $ 2,030,024 $ 1,943,479 $ 1,982,496
Dec-1999 $ 1,629,874 $ 2,196,892 $ 2,163,481 $ 2,196,407
Jan-2000 $ 1,550,662 $ 2,128,788 $ 2,128,649 $ 2,154,236
Feb-2000 $ 1,692,238 $ 2,455,983 $ 2,480,089 $ 2,457,983
Mar-2000 $ 1,719,314 $ 2,324,588 $ 2,316,651 $ 2,423,080
Apr-2000 $ 1,744,416 $ 2,244,622 $ 2,177,188 $ 2,288,357
May-2000 $ 1,667,836 $ 2,207,361 $ 2,050,258 $ 2,191,101
Jun-2000 $ 1,804,765 $ 2,347,970 $ 2,229,041 $ 2,384,357
Jul-2000 $ 1,746,291 $ 2,290,210 $ 2,157,266 $ 2,310,203
Aug-2000 $ 1,928,429 $ 2,493,352 $ 2,321,865 $ 2,516,042
Sep-2000 $ 1,869,997 $ 2,425,283 $ 2,253,602 $ 2,451,380
Oct-2000 $ 1,866,070 $ 2,440,562 $ 2,153,092 $ 2,377,593
Nov-2000 $ 1,663,788 $ 2,186,500 $ 1,932,184 $ 2,140,785
Dec-2000 $ 1,821,183 $ 2,455,877 $ 2,098,159 $ 2,348,655
Jan-2001 $ 1,763,633 $ 2,560,988 $ 2,207,473 $ 2,432,267
Feb-2001 $ 1,642,119 $ 2,404,768 $ 2,062,663 $ 2,277,819
Mar-2001 $ 1,572,657 $ 2,294,389 $ 1,961,799 $ 2,170,078
Apr-2001 $ 1,692,179 $ 2,469,221 $ 2,115,211 $ 2,343,033
May-2001 $ 1,715,870 $ 2,516,384 $ 2,167,245 $ 2,428,319
Jun-2001 $ 1,735,431 $ 2,608,483 $ 2,242,015 $ 2,503,354
Jul-2001 $ 1,745,670 $ 2,564,922 $ 2,120,722 $ 2,445,277
Aug-2001 $ 1,695,744 $ 2,506,441 $ 2,052,223 $ 2,376,809
Sep-2001 $ 1,518,369 $ 2,167,570 $ 1,775,994 $ 2,065,447
Oct-2001 $ 1,577,282 $ 2,283,102 $ 1,879,889 $ 2,188,134
Nov-2001 $ 1,654,726 $ 2,450,225 $ 2,025,393 $ 2,350,713
Dec-2001 $ 1,741,599 $ 2,616,105 $ 2,150,360 $ 2,515,733
Jan-2002 $ 1,759,712 $ 2,638,865 $ 2,127,996 $ 2,486,047
Feb-2002 $ 1,743,347 $ 2,593,477 $ 2,069,689 $ 2,419,670
Mar-2002 $ 1,825,807 $ 2,798,362 $ 2,236,092 $ 2,605,500
Apr-2002 $ 1,859,037 $ 2,877,555 $ 2,256,440 $ 2,618,267
May-2002 $ 1,819,439 $ 2,758,424 $ 2,156,254 $ 2,520,606
Jun-2002 $ 1,713,366 $ 2,615,814 $ 2,049,304 $ 2,379,452
Jul-2002 $ 1,510,161 $ 2,246,199 $ 1,739,859 $ 2,056,084
Aug-2002 $ 1,522,695 $ 2,267,538 $ 1,735,336 $ 2,066,982
Sep-2002 $ 1,437,881 $ 2,128,765 $ 1,610,738 $ 1,920,639
Oct-2002 $ 1,455,711 $ 2,196,885 $ 1,662,443 $ 1,988,822
Nov-2002 $ 1,498,217 $ 2,311,123 $ 1,810,733 $ 2,135,597
Dec-2002 $ 1,446,529 $ 2,233,239 $ 1,709,875 $ 2,031,807
Jan-2003 $ 1,397,925 $ 2,156,415 $ 1,662,512 $ 1,972,478
Feb-2003 $ 1,381,430 $ 2,087,410 $ 1,612,304 $ 1,910,937
Mar-2003 $ 1,379,910 $ 2,103,900 $ 1,633,103 $ 1,926,989
Apr-2003 $ 1,477,470 $ 2,274,527 $ 1,787,921 $ 2,087,507
May-2003 $ 1,571,585 $ 2,457,854 $ 1,979,765 $ 2,270,790
Jun-2003 $ 1,599,559 $ 2,521,758 $ 2,015,598 $ 2,323,018
Jul-2003 $ 1,671,219 $ 2,652,889 $ 2,141,775 $ 2,442,189
Aug-2003 $ 1,761,967 $ 2,782,085 $ 2,239,868 $ 2,547,936
Sep-2003 $ 1,708,579 $ 2,700,292 $ 2,198,431 $ 2,492,646
Oct-2003 $ 1,861,326 $ 2,934,407 $ 2,383,099 $ 2,688,568
Nov-2003 $ 1,918,096 $ 3,045,328 $ 2,467,699 $ 2,785,356
Dec-2003 $ 1,955,691 $ 3,099,230 $ 2,517,793 $ 2,862,789
Jan-2004 $ 1,978,573 $ 3,188,488 $ 2,627,065 $ 2,953,540
Feb-2004 $ 2,019,529 $ 3,249,707 $ 2,650,709 $ 3,004,931
Mar-2004 $ 2,063,555 $ 3,292,278 $ 2,675,360 $ 3,037,384
Apr-2004 $ 2,035,903 $ 3,182,974 $ 2,538,917 $ 2,932,898
May-2004 $ 2,045,676 $ 3,231,674 $ 2,579,286 $ 2,958,415
Jun-2004 $ 2,171,689 $ 3,410,708 $ 2,687,874 $ 3,084,739
Jul-2004 $ 2,044,863 $ 3,223,802 $ 2,506,980 $ 2,922,173
Aug-2004 $ 2,000,489 $ 3,195,432 $ 2,494,194 $ 2,896,750
Sep-2004 $ 2,098,513 $ 3,363,831 $ 2,611,172 $ 3,040,719
Oct-2004 $ 2,138,595 $ 3,426,735 $ 2,662,612 $ 3,090,586
Nov-2004 $ 2,322,941 $ 3,719,721 $ 2,893,460 $ 3,334,743
Dec-2004 $ 2,392,024 $ 3,801,555 $ 2,979,107 $ 3,388,766
</Table>
SOURCE: LIPPER, INC. THE PERFORMANCE QUOTED IS PAST PERFORMANCE AND IS 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.
CURRENT PERFORMANCE MAY BE HIGHER OR LOWER THAN THE PERFORMANCE DATA SHOWN. FOR
UP-TO-DATE MONTH-END PERFORMANCE INFORMATION PLEASE CALL 1-800-480-4111.
The Fund commenced operations on 1/1/97.
Returns for the Fund prior to 1/1/97 (offering date of the Shares) are
calculated using the historical expenses at the level indicated (absent
reimbursements) in the Expense Summary for the Fund as disclosed in the
Prospectus. The account was not registered with the SEC and was not subject to
investment restrictions of registered mutual funds. If the account had been
registered, performance may have been adversely affected.
The graph illustrates comparative performance for $1,000,000 invested in the
JPMorgan Trust Small Cap Equity Fund, Russell 2000 Index, S&P Small Cap 600
Index and Lipper Small-Cap Core Funds Index from June 30, 1994 to December 31,
2004. The performance of the Fund assumes reinvestment of all dividends and
capital gains. During the year ended December 31, 2004, the Fund changed its
benchmark from the S&P Small Cap 600 Index to the Russell 2000 Index.
The performance of the indices does not include a sales charge and has been
adjusted to reflect reinvestment of all dividends and capital gains of the
securities included in the benchmark. The Russell 2000 Index is an unmanaged,
capitalization weighted price only index, which is comprised of 2000 of the
smallest stocks (on the basis of capitalization) in the Russell 3000 Index. The
S&P Small Cap 600 Index includes 600 stocks of small U.S. Companies chosen for
market size, liquidity, and industry group representation. The Lipper Small-Cap
Core Funds Index represents the total returns of the funds in the indicated
category, as defined by Lipper, Inc. Investor's cannot invest directly in an
index.
Select Shares have a $1,000,000 minimum initial deposit and carry no sales
charge.
Certain fees and expenses of the Fund are currently being waived and reimbursed
as described in the prospectus. Had the expenses not been subsidized or waived,
returns would have been lower. Also all performance shown in this section does
not reflect the deduction of taxes that a shareholder would pay on fund
distributions or redemption of fund shares.
23
<Page>
JPMORGAN
U.S. SMALL COMPANY FUND
AS OF DECEMBER 31, 2004 (Unaudited)
FUND FACTS
<Table>
Fund Inception 11/4/1993
Fiscal Year End DECEMBER 31
Net Assets as of 12/31/2004
(In Millions) $ 210.8
Primary Benchmark RUSSELL 2000 INDEX
</Table>
Q: HOW DID THE FUND PERFORM?
A: The JPMorgan U.S. Small Company Fund, which seeks to provide high total
return from a portfolio of small company stocks, had a return of 13.8%
(Institutional Shares) during the year ended delivered December 31, 2004.
This compares to an 18.3% return from the Russell 2000 Index, the Fund's
benchmark.
Q: WHY DID THE FUND PERFORM THIS WAY?
A: Stock selection negatively impacted relative performance during the period
under review, particularly within the software, consumer cyclical and
hardware sectors. In addition, the Fund's overweight position in the health
care sector also hindered performance. Going forward, we would anticipate
that the Fund's performance will be driven by broader stock selection and
sector weightings structured more closely in line with the Russell 2000
benchmark.
Among the holdings that disappointed during the year was the
biopharmaceutical company Adolor. The company's share price declined after
it announced that a Phase III trial of a key gastrointestinal drug failed
to show significant improvement over the placebo. Maxtor, a hard disk drive
manufacturer, was another detractor to the Fund. The company came under
pressure as its peer group was hurt by high levels of inventory and weak
pricing. Another detractor to performance was Northwest Airlines. In the
beginning of the year, airlines expected to break even or post a small
profit, reversing a slump that began in 2000. Instead, the industry was
beset with rising fuel prices and fare wars that contributed to weaker
ticket prices.
Alternatively, the finance and basic material sectors aided performance.
The largest stock contributor to the Fund was Encore Wire, a leading
manufacturer of copper electrical wire. Encore was aided by low inventory
and higher copper prices, which resulted in record prices for finished
goods. Another contributor was biotechnology company AtheroGenics. The
company's share price soared after the firm reported positive results in a
Phase IIb clinical trial for its anti-inflammatory drug that is used in the
treatment of atherosclerosis, a heart disease in which plaque builds up in
the inner lining of an artery.
Q: HOW WAS THE FUND MANAGED?
A: During the period under review, management of the Fund was transitioned to
a new team. The Portfolio Managers strive to add value through stock
selection rather than market timing or sector bets. To control risk and
produce consistent excess returns, holdings in the Fund have increased to
approximately 650 names and sector weightings will be within 1% of the
Russell 2000 Index. The strategy's targeted tracking error relative to the
benchmark is approximately 3%.
24
<Page>
[CHART]
PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS
<Table>
Consumer Goods & Services 18.8%
Technology 17.6%
Industrial Products & Services 17.6%
Finance & Insurance 13.9%
REITs 7.6%
Health Services & Systems 6.4%
Energy 6.3%
Pharmaceuticals 5.6%
Telecommunications 2.6%
Utilities 2.1%
Short-Term Investments 1.5%
</Table>
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO
<Table>
1. Applied Industrial Technologies, Inc. 1.0%
2. Houston Exploration Co. 1.0%
3. Aaron Rents, Inc. 1.0%
4. Delphi Financial Group,Inc., Class A 0.9%
5. Universal Forest Products, Inc. 0.9%
6. Southwestern Energy Co. 0.8%
7. Moog, Inc., Class A 0.8%
8. CarrAmerica Realty Corp. 0.8%
9. Cash America International,Inc. 0.7%
10. R&G Financial Corp.
(Puerto Rico), Class B 0.7%
</Table>
Top 10 equity holdings comprised 8.6% of the Portfolio's market value of
investments ($17,887 in thousands). As of December 31, 2004, the Fund held 726
equity holdings. Portfolio holdings are subject to change at any time.
25
<Page>
AVERAGE ANNUAL TOTAL RETURNS AS OF DECEMBER 31, 2004
<Table>
<Caption>
1 YEAR 3 YEARS 5 YEARS 10 YEARS
------------------------------------------------
INSTITUTIONAL SHARES 13.82% 8.27% 0.90% 10.83%
SELECT SHARES 13.73% 8.11% 0.74% 10.69%
</Table>
[CHART]
TEN YEAR PERFORMANCE (12/31/94 TO 12/31/04)
<Table>
<Caption>
JPMORGAN U.S. SMALL
COMPANY FUND LIPPER SMALL-CAP
(INSTITUTIONAL SHARES) RUSSELL 2000 INDEX CORE FUNDS INDEX
Dec-1994 $ 3,000,000 $ 3,000,000 $ 3,000,000
Jan-1995 $ 2,994,000 $ 2,962,200 $ 3,030,900
Feb-1995 $ 3,135,317 $ 3,085,428 $ 3,151,530
Mar-1995 $ 3,234,393 $ 3,138,188 $ 3,218,342
Apr-1995 $ 3,312,665 $ 3,207,856 $ 3,272,410
May-1995 $ 3,354,736 $ 3,263,031 $ 3,312,007
Jun-1995 $ 3,529,182 $ 3,432,383 $ 3,443,824
Jul-1995 $ 3,709,523 $ 3,630,088 $ 3,634,268
Aug-1995 $ 3,784,827 $ 3,705,231 $ 3,755,289
Sep-1995 $ 3,849,547 $ 3,771,554 $ 3,819,504
Oct-1995 $ 3,722,897 $ 3,602,966 $ 3,684,294
Nov-1995 $ 3,877,397 $ 3,754,290 $ 3,794,454
Dec-1995 $ 3,956,496 $ 3,853,404 $ 3,921,948
Jan-1996 $ 3,982,609 $ 3,849,165 $ 3,950,578
Feb-1996 $ 4,125,983 $ 3,969,259 $ 4,090,429
Mar-1996 $ 4,184,572 $ 4,050,232 $ 4,192,690
Apr-1996 $ 4,399,659 $ 4,266,919 $ 4,481,985
May-1996 $ 4,549,248 $ 4,435,036 $ 4,684,123
Jun-1996 $ 4,363,638 $ 4,252,756 $ 4,471,463
Jul-1996 $ 4,060,802 $ 3,881,490 $ 4,108,381
Aug-1996 $ 4,274,806 $ 4,107,005 $ 4,317,908
Sep-1996 $ 4,447,081 $ 4,267,589 $ 4,499,260
Oct-1996 $ 4,471,095 $ 4,201,868 $ 4,415,124
Nov-1996 $ 4,636,525 $ 4,374,985 $ 4,574,510
Dec-1996 $ 4,780,721 $ 4,489,609 $ 4,655,479
Jan-1997 $ 4,883,029 $ 4,579,401 $ 4,759,296
Feb-1997 $ 4,777,067 $ 4,468,122 $ 4,634,602
Mar-1997 $ 4,543,946 $ 4,257,227 $ 4,401,018
Apr-1997 $ 4,515,774 $ 4,269,147 $ 4,402,339
May-1997 $ 4,978,641 $ 4,744,303 $ 4,871,628
Jun-1997 $ 5,211,641 $ 4,947,834 $ 5,146,875
Jul-1997 $ 5,547,271 $ 5,177,908 $ 5,456,717
Aug-1997 $ 5,658,216 $ 5,296,482 $ 5,590,406
Sep-1997 $ 6,011,289 $ 5,684,184 $ 6,009,687
Oct-1997 $ 5,758,815 $ 5,434,649 $ 5,770,501
Nov-1997 $ 5,784,729 $ 5,399,323 $ 5,696,639
Dec-1997 $ 5,865,715 $ 5,493,812 $ 5,690,373
Jan-1998 $ 5,692,677 $ 5,407,009 $ 5,607,293
Feb-1998 $ 6,227,219 $ 5,806,587 $ 6,026,158
Mar-1998 $ 6,552,903 $ 6,045,819 $ 6,309,990
Apr-1998 $ 6,500,480 $ 6,079,071 $ 6,370,566
May-1998 $ 6,150,754 $ 5,751,409 $ 6,039,934
Jun-1998 $ 6,110,774 $ 5,763,487 $ 6,018,190
Jul-1998 $ 5,580,359 $ 5,296,644 $ 5,584,278
Aug-1998 $ 4,484,376 $ 4,268,036 $ 4,504,837
Sep-1998 $ 4,790,659 $ 4,602,223 $ 4,694,491
Oct-1998 $ 4,935,816 $ 4,789,994 $ 4,886,965
Nov-1998 $ 5,177,671 $ 5,040,990 $ 5,159,658
Dec-1998 $ 5,556,159 $ 5,353,027 $ 5,483,684
Jan-1999 $ 5,565,049 $ 5,424,222 $ 5,442,557
Feb-1999 $ 5,084,228 $ 4,984,860 $ 4,997,900
Mar-1999 $ 5,285,564 $ 5,062,624 $ 5,020,390
Apr-1999 $ 5,569,399 $ 5,516,235 $ 5,359,267
May-1999 $ 5,486,972 $ 5,596,772 $ 5,470,204
Jun-1999 $ 5,899,043 $ 5,849,746 $ 5,786,381
Jul-1999 $ 5,871,318 $ 5,689,463 $ 5,754,556
Aug-1999 $ 5,784,422 $ 5,478,953 $ 5,543,364
Sep-1999 $ 5,949,278 $ 5,480,049 $ 5,538,929
Oct-1999 $ 6,219,970 $ 5,501,969 $ 5,587,118
Nov-1999 $ 7,008,663 $ 5,830,437 $ 5,947,487
Dec-1999 $ 8,017,209 $ 6,490,442 $ 6,589,221
Jan-2000 $ 7,976,321 $ 6,385,946 $ 6,462,708
Feb-2000 $ 9,544,466 $ 7,440,266 $ 7,373,950
Mar-2000 $ 8,682,601 $ 6,949,952 $ 7,269,240
Apr-2000 $ 7,444,462 $ 6,531,565 $ 6,865,070
May-2000 $ 6,926,327 $ 6,150,775 $ 6,573,304
Jun-2000 $ 8,062,938 $ 6,687,122 $ 7,153,070
Jul-2000 $ 7,654,953 $ 6,471,797 $ 6,930,609
Aug-2000 $ 8,531,445 $ 6,965,595 $ 7,548,127
Sep-2000 $ 8,297,684 $ 6,760,807 $ 7,354,140
Oct-2000 $ 7,701,080 $ 6,459,275 $ 7,132,780
Nov-2000 $ 6,521,275 $ 5,796,553 $ 6,422,355
Dec-2000 $ 7,249,049 $ 6,294,477 $ 7,045,966
Jan-2001 $ 7,348,361 $ 6,622,419 $ 7,296,802
Feb-2001 $ 6,583,397 $ 6,187,988 $ 6,833,456
Mar-2001 $ 6,106,100 $ 5,885,396 $ 6,510,233
Apr-2001 $ 6,729,533 $ 6,345,634 $ 7,029,099
May-2001 $ 6,991,312 $ 6,501,736 $ 7,284,958
Jun-2001 $ 7,122,749 $ 6,726,046 $ 7,510,063
Jul-2001 $ 6,734,559 $ 6,362,167 $ 7,335,830
Aug-2001 $ 6,430,157 $ 6,156,669 $ 7,130,426
Sep-2001 $ 5,512,573 $ 5,327,982 $ 6,196,340
Oct-2001 $ 5,811,355 $ 5,639,668 $ 6,564,403
Nov-2001 $ 6,215,244 $ 6,076,179 $ 7,052,138
Dec-2001 $ 6,606,804 $ 6,451,079 $ 7,547,198
Jan-2002 $ 6,470,044 $ 6,383,988 $ 7,458,141
Feb-2002 $ 6,349,054 $ 6,209,067 $ 7,259,009
Mar-2002 $ 6,837,931 $ 6,708,275 $ 7,816,501
Apr-2002 $ 6,779,809 $ 6,769,321 $ 7,854,802
May-2002 $ 6,495,735 $ 6,468,763 $ 7,561,818
Jun-2002 $ 6,164,452 $ 6,147,912 $ 7,138,356
Jul-2002 $ 5,306,977 $ 5,219,578 $ 6,168,253
Aug-2002 $ 5,359,516 $ 5,206,007 $ 6,200,945
Sep-2002 $ 5,033,121 $ 4,832,215 $ 5,761,918
Oct-2002 $ 5,112,141 $ 4,987,329 $ 5,966,466
Nov-2002 $ 5,449,031 $ 5,432,199 $ 6,406,791
Dec-2002 $ 5,261,040 $ 5,129,626 $ 6,095,421
Jan-2003 $ 5,028,502 $ 4,987,535 $ 5,917,435
Feb-2003 $ 4,795,682 $ 4,836,912 $ 5,732,811
Mar-2003 $ 4,816,783 $ 4,899,308 $ 5,780,967
Apr-2003 $ 5,234,398 $ 5,363,762 $ 6,262,521
May-2003 $ 5,784,534 $ 5,939,294 $ 6,812,371
Jun-2003 $ 5,927,412 $ 6,046,795 $ 6,969,055
Jul-2003 $ 6,197,109 $ 6,425,324 $ 7,326,568
Aug-2003 $ 6,508,823 $ 6,719,604 $ 7,643,808
Sep-2003 $ 6,323,973 $ 6,595,292 $ 7,477,937
Oct-2003 $ 6,984,828 $ 7,149,296 $ 8,065,703
Nov-2003 $ 7,153,861 $ 7,403,096 $ 8,356,069
Dec-2003 $ 7,367,046 $ 7,553,379 $ 8,588,367
Jan-2004 $ 7,451,767 $ 7,881,196 $ 8,860,619
Feb-2004 $ 7,568,760 $ 7,952,126 $ 9,014,793
Mar-2004 $ 7,642,934 $ 8,026,081 $ 9,112,153
Apr-2004 $ 7,260,787 $ 7,616,751 $ 8,798,695
May-2004 $ 7,271,678 $ 7,737,857 $ 8,875,244
Jun-2004 $ 7,478,921 $ 8,063,621 $ 9,254,217
Jul-2004 $ 7,022,707 $ 7,520,939 $ 8,766,519
Aug-2004 $ 6,974,952 $ 7,482,583 $ 8,690,251
Sep-2004 $ 7,320,212 $ 7,833,516 $ 9,122,156
Oct-2004 $ 7,452,708 $ 7,987,836 $ 9,271,759
Nov-2004 $ 8,105,565 $ 8,680,381 $ 10,004,228
Dec-2004 $ 8,387,371 $ 8,937,321 $ 10,166,297
</Table>
SOURCE: LIPPER, INC. THE PERFORMANCE QUOTED IS PAST PERFORMANCE AND IS 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.
CURRENT PERFORMANCE MAY BE HIGHER OR LOWER THAN THE PERFORMANCE DATA SHOWN. FOR
UP-TO-DATE MONTH-END PERFORMANCE INFORMATION PLEASE CALL 1-800-480-4111.
The Fund commenced operations on 11/4/93.
Returns for the Institutional Shares prior to 9/10/01 (offering date of the
Institutional Shares) are calculated using the historical expenses of the J.P.
Morgan Institutional U.S. Small Company Fund, which are similar to the expenses
of the Institutional Shares.
Returns for the Select Shares prior to 9/10/01 (offering date of the Select
Shares) are calculated using the historical expenses of the J.P. Morgan U.S.
Small Company Fund, which are similar to the expenses of the Select Shares.
The graph illustrates comparative performance for $3,000,000 invested in
Institutional Shares of the JPMorgan U.S. Small Company Fund, Russell 2000
Index, and Lipper Small-Cap Core Funds Index from December 31, 1994 to December
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 2000 Index is an unmanaged, capitalization weighted price only index,
which is comprised of 2000 of the smallest stocks (on the basis of
capitalization) in the Russell 3000 Index. The Lipper Small-Cap Core Funds Index
represents the total returns of the funds in the indicated category, as defined
by Lipper, Inc. Investors cannot invest directly in an index.
Institutional Shares have a $3,000,000 minimum initial deposit and carry no
sales charge.
Certain fees and expenses of the Fund are currently being waived and reimbursed
as described in the prospectus. Had the expenses not been subsidized or waived,
returns would have been lower. Also all performance shown in this section does
not reflect the deduction of taxes that a shareholder would pay on fund
distributions or redemption of fund shares.
26
<Page>
JPMORGAN U.S. SMALL
COMPANY OPPORTUNITIES FUND
AS OF DECEMBER 31, 2004 (Unaudited)
FUND FACTS
<Table>
Fund Inception 6/16/1997
Fiscal Year End DECEMBER 31
Net Assets as of 12/31/2004
(In Millions) $ 6.6
Primary Benchmark RUSSELL 2000
GROWTH INDEX
</Table>
Q: HOW DID THE FUND PERFORM?
A: The U.S. Small Company Opportunities Fund, which seeks to provide capital
appreciation from a portfolio of small-cap growth stocks, rose 18.9% in the
year ended December 31, 2004. This compares to a gain of 14.3% for the
Russell 2000 Growth Index, the Fund's benchmark.
Q: WHY DID THE FUND PERFORM IN THIS WAY?
A: The U.S. equity markets recorded another year of gains as strong earnings
growth and healthy corporate balance sheets kept investors' minds off
increasing short-term interest rates, high oil prices and the twin
deficits. The Fund outperformed both its benchmark and the Lipper Small Cap
Growth Index. The Fund's positive performance relative to the benchmark is
attributable to stock selection rather than sector weightings, with names
in the consumer discretionary and financial sectors doing particularly
well.
At the stock level, Psychiatric Solutions and Alliance Data Systems
positively contributed to the Fund's performance. Psychiatric Solutions
owns inpatient behavioral care facilities and also manages psychiatric
units for third parties. Shares of the company advanced after it reported
strong earnings throughout the year and increased its 2005 earnings
outlook. During the year the firm acquired four psychiatric facilities and
an inpatient management contract from Heartland. Additionally, the company
participated in a successful secondary offering before year end, and net
proceeds will be used to reduce debt. Alliance Data Systems, the largest
U.S. specialty retail credit card processing company, reported stellar
earnings throughout the year. The company offers a combination of strong
earnings visibility as approximately 90% of its annual revenue is
recurring.
Despite the Fund's positive return for the period, a number of individual
holdings, particularly in the technology sector, performed poorly. In
particular, shares of Staktek Holdings declined after the company lowered
quarterly earnings guidance. Staktek attributed the shortfall to a shortage
of DRAM, with license revenues from Samsung making up the bulk of that
business. Additionally, the company continues to experience market share
erosion. As a result of these issues we exited our position. Another
detractor from performance was chip-maker Conexant Systems, whose share
price declined significantly during the year. The company's balance sheet
has been severely impacted by increased inventories as demand continues to
weaken for many of its products. Given the uncertainty about when sales
will pick up and the lack of any near term growth drivers, we exited our
position.
Q: HOW WAS THE FUND MANAGED?
A: The Portfolio Managers utilize a "bottom up" approach to construct the
Fund's portfolio, basing their stock selection on a combination of
proprietary company research complemented by research derived from
third-party sources. The research process is designed to identify companies
with predictable and durable business models deemed capable of achieving
sustainable growth. Potential investments are subjected to rigorous
financial analysis and a disciplined approach to valuation.
27
<Page>
[CHART]
PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS
<Table>
Technology 24.1%
Consumer Goods & Services 24.0%
Health Services & Systems 13.2%
Finance & Insurance 8.5%
Pharmaceuticals 8.2%
Industrial Products & Services 7.9%
Telecommunications 6.1%
Energy 6.0%
REITs 1.4%
Short-Term Investments 0.6%
</Table>
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO
<Table>
1. Psychiatric Solutions, Inc. 1.5%
2. Aeroflex, Inc. 1.4%
3. General Cable Corp. 1.3%
4. The Pantry, Inc. 1.3%
5. Genesco, Inc. 1.3%
6. Inter-Tel, Inc. 1.3%
7. Unit Corp. 1.3%
8. Champion Enterprises, Inc. 1.2%
9. Sunrise Senior Living, Inc. 1.2%
10. Tech Data Corp. 1.2%
</Table>
Top 10 equity holdings comprised 13.0% of the Portfolio's market value of
investments ($870 in thousands). As of December 31, 2004, the Fund held 125
equity holdings. Portfolio holdings are subject to change at any time.
28
<Page>
AVERAGE ANNUAL TOTAL RETURNS AS OF DECEMBER 31, 2004
<Table>
<Caption>
SINCE
INCEPTION
1 YEAR 3 YEARS 5 YEARS (6/16/97)
--------------------------------------------------
SELECT SHARES 18.85% 0.76% (9.62%) 2.61%
</Table>
[CHART]
LIFE OF FUND PERFORMANCE (06/16/97 TO 12/31/04)
<Table>
<Caption>
JPMORGAN U.S.
SMALL COMPANY
OPPORTUNITIES FUND RUSSELL 2000 GROWTH LIPPER SMALL-CAP
(SELECT SHARES) INDEX GROWTH FUNDS INDEX
Jun-1997 $ 1,000,000 $ 1,000,000 $ 1,000,000
Jun-1997 $ 1,028,000 $ 1,000,000 $ 1,000,000
Jul-1997 $ 1,092,970 $ 1,051,200 $ 1,060,200
Aug-1997 $ 1,114,938 $ 1,082,736 $ 1,077,057
Sep-1997 $ 1,222,976 $ 1,169,138 $ 1,167,745
Oct-1997 $ 1,151,921 $ 1,098,873 $ 1,108,074
Nov-1997 $ 1,136,946 $ 1,072,720 $ 1,083,031
Dec-1997 $ 1,183,902 $ 1,073,364 $ 1,068,627
Jan-1998 $ 1,182,955 $ 1,059,088 $ 1,052,811
Feb-1998 $ 1,288,947 $ 1,152,605 $ 1,137,878
Mar-1998 $ 1,363,964 $ 1,200,899 $ 1,189,310
Apr-1998 $ 1,360,963 $ 1,208,225 $ 1,197,992
May-1998 $ 1,256,986 $ 1,120,508 $ 1,113,175
Jun-1998 $ 1,268,047 $ 1,131,937 $ 1,145,791
Jul-1998 $ 1,186,005 $ 1,037,420 $ 1,059,627
Aug-1998 $ 905,040 $ 797,984 $ 828,205
Sep-1998 $ 1,012,016 $ 878,899 $ 872,513
Oct-1998 $ 1,045,008 $ 924,778 $ 906,890
Nov-1998 $ 1,131,012 $ 996,540 $ 980,621
Dec-1998 $ 1,245,696 $ 1,086,727 $ 1,078,879
Jan-1999 $ 1,303,248 $ 1,135,630 $ 1,104,988
Feb-1999 $ 1,189,213 $ 1,031,720 $ 998,688
Mar-1999 $ 1,229,290 $ 1,068,449 $ 1,043,829
Apr-1999 $ 1,274,528 $ 1,162,793 $ 1,084,538
May-1999 $ 1,250,949 $ 1,164,654 $ 1,090,503
Jun-1999 $ 1,389,679 $ 1,226,031 $ 1,192,574
Jul-1999 $ 1,384,537 $ 1,188,147 $ 1,188,400
Aug-1999 $ 1,361,969 $ 1,143,710 $ 1,171,762
Sep-1999 $ 1,412,362 $ 1,165,784 $ 1,214,297
Oct-1999 $ 1,485,381 $ 1,195,628 $ 1,285,091
Nov-1999 $ 1,688,879 $ 1,322,005 $ 1,447,269
Dec-1999 $ 2,013,650 $ 1,555,075 $ 1,739,039
Jan-2000 $ 2,083,524 $ 1,540,613 $ 1,720,953
Feb-2000 $ 2,616,906 $ 1,899,113 $ 2,225,192
Mar-2000 $ 2,220,183 $ 1,699,517 $ 2,050,514
Apr-2000 $ 1,849,190 $ 1,527,865 $ 1,797,071
May-2000 $ 1,634,314 $ 1,394,024 $ 1,650,070
Jun-2000 $ 2,042,403 $ 1,574,132 $ 1,940,648
Jul-2000 $ 1,863,488 $ 1,439,229 $ 1,814,312
Aug-2000 $ 2,193,512 $ 1,590,636 $ 2,009,350
Sep-2000 $ 2,084,494 $ 1,511,582 $ 1,909,887
Oct-2000 $ 1,851,239 $ 1,388,841 $ 1,766,646
Nov-2000 $ 1,401,018 $ 1,136,628 $ 1,465,786
Dec-2000 $ 1,577,967 $ 1,206,189 $ 1,595,362
Jan-2001 $ 1,607,475 $ 1,303,770 $ 1,644,020
Feb-2001 $ 1,341,277 $ 1,125,023 $ 1,433,585
Mar-2001 $ 1,155,510 $ 1,022,758 $ 1,294,384
Apr-2001 $ 1,349,173 $ 1,147,944 $ 1,434,178
May-2001 $ 1,380,879 $ 1,174,576 $ 1,473,044
Jun-2001 $ 1,385,436 $ 1,206,642 $ 1,510,165
Jul-2001 $ 1,261,994 $ 1,103,716 $ 1,426,049
Aug-2001 $ 1,179,333 $ 1,034,733 $ 1,341,627
Sep-2001 $ 940,282 $ 867,727 $ 1,132,199
Oct-2001 $ 1,021,805 $ 951,203 $ 1,215,189
Nov-2001 $ 1,123,781 $ 1,030,628 $ 1,309,366
Dec-2001 $ 1,187,274 $ 1,094,836 $ 1,388,713
Jan-2002 $ 1,119,244 $ 1,055,860 $ 1,346,774
Feb-2002 $ 1,040,001 $ 987,546 $ 1,265,294
Mar-2002 $ 1,138,593 $ 1,073,364 $ 1,368,796
Apr-2002 $ 1,085,307 $ 1,050,179 $ 1,332,659
May-2002 $ 1,011,723 $ 988,744 $ 1,279,220
Jun-2002 $ 933,517 $ 904,898 $ 1,184,174
Jul-2002 $ 796,477 $ 765,815 $ 1,016,258
Aug-2002 $ 808,902 $ 765,433 $ 1,014,733
Sep-2002 $ 761,338 $ 710,168 $ 953,241
Oct-2002 $ 780,600 $ 746,103 $ 993,944
Nov-2002 $ 836,101 $ 820,042 $ 1,077,237
Dec-2002 $ 797,557 $ 763,459 $ 1,005,277
Jan-2003 $ 752,255 $ 742,693 $ 978,738
Feb-2003 $ 703,509 $ 722,863 $ 948,201
Mar-2003 $ 722,785 $ 733,778 $ 967,734
Apr-2003 $ 768,104 $ 803,193 $ 1,047,669
May-2003 $ 850,829 $ 893,713 $ 1,154,531
Jun-2003 $ 863,251 $ 910,962 $ 1,193,670
Jul-2003 $ 888,199 $ 979,831 $ 1,263,499
Aug-2003 $ 931,277 $ 1,032,448 $ 1,330,465
Sep-2003 $ 898,403 $ 1,006,327 $ 1,297,736
Oct-2003 $ 975,485 $ 1,093,273 $ 1,415,310
Nov-2003 $ 1,003,775 $ 1,128,914 $ 1,452,958
Dec-2003 $ 1,021,943 $ 1,133,994 $ 1,454,992
Jan-2004 $ 1,083,157 $ 1,193,529 $ 1,523,085
Feb-2004 $ 1,077,525 $ 1,191,738 $ 1,517,298
Mar-2004 $ 1,083,236 $ 1,197,340 $ 1,506,828
Apr-2004 $ 1,032,215 $ 1,137,233 $ 1,433,144
May-2004 $ 1,059,363 $ 1,159,864 $ 1,463,097
Jun-2004 $ 1,089,978 $ 1,198,488 $ 1,504,795
Jul-2004 $ 995,913 $ 1,090,863 $ 1,372,072
Aug-2004 $ 1,002,685 $ 1,067,410 $ 1,327,617
Sep-2004 $ 1,055,928 $ 1,126,438 $ 1,403,424
Oct-2004 $ 1,099,010 $ 1,153,810 $ 1,442,720
Nov-2004 $ 1,178,358 $ 1,251,307 $ 1,543,711
Dec-2004 $ 1,214,235 $ 1,296,229 $ 1,611,788
</Table>
SOURCE: LIPPER, INC. THE PERFORMANCE QUOTED IS PAST PERFORMANCE AND IS 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.
CURRENT PERFORMANCE MAY BE HIGHER OR LOWER THAN THE PERFORMANCE DATA SHOWN. FOR
UP-TO-DATE MONTH-END PERFORMANCE INFORMATION PLEASE CALL 1-800-480-4111.
The Fund commenced operations on 6/16/97.
Returns for the Select Shares prior to 9/10/01 (offering date of the Select
Shares) are calculated using the historical expenses of the J.P. Morgan U.S.
Small Company Opportunities Fund, which are similar to the expenses of the
Select Shares.
The graph illustrates comparative performance for $1,000,000 invested in Select
Shares of the JPMorgan U.S. Small Company Opportunities Fund, Russell 2000
Growth Index, and Lipper Small-Cap Growth Funds Index from June 16, 1997 to
December 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 2000 Growth measures the performance of those Russell
2000 companies with higher price-to-book ratios and higher forecasted growth
rates. The Lipper Small-Cap Growth Funds Index represents the total returns of
the funds in the indicated category, as defined by Lipper, Inc. Investors cannot
invest directly in an index.
Select Shares have a $1,000,000 minimum initial deposit and carry no sales
charge.
Certain fees and expenses of the Fund are currently being waived and reimbursed
as described in the prospectus. Had the expenses not been subsidized or waived,
returns would have been lower. Also all performance shown in this section does
not reflect the deduction of taxes that a shareholder would pay on fund
distributions or redemption of fund shares.
29
<Page>
JPMORGAN DYNAMIC SMALL CAP FUND
PORTFOLIO OF INVESTMENTS AS OF DECEMBER 31, 2004
(Amounts in thousands)
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- 101.1%
COMMON STOCKS -- 101.1%
AEROSPACE -- 2.1%
41 Engineered Support Systems, Inc. (l) $ 2,439
39 United Industrial Corp. (l) 1,526
-------------------------------------------------------------------
3,965
-------------------------------------------------------------------
AIRLINES -- 0.8%
13 Republic Airways Holdings, Inc.* 171
65 SkyWest, Inc. (l) 1,308
-------------------------------------------------------------------
1,479
-------------------------------------------------------------------
APPLIANCES & HOUSEHOLD DURABLES -- 0.6%
132 Jacuzzi Brands, Inc.* 1,148
AUTOMOTIVE -- 2.0%
25 Oshkosh Truck Corp. 1,720
57 Winnebago Industries, Inc. (l) 2,211
-------------------------------------------------------------------
3,931
-------------------------------------------------------------------
BANKING -- 3.7%
49 Central Pacific Financial Corp. (l) 1,780
38 East-West Bancorp, Inc. 1,614
43 MB Financial, Inc. 1,808
1 Santander BanCorp (Puerto Rico) 36
44 Texas Capital Bancshares, Inc.* 960
28 Texas Regional Bancshares, Inc., Class A 921
-------------------------------------------------------------------
7,119
-------------------------------------------------------------------
BIOTECHNOLOGY -- 1.2%
43 Alexion Pharmaceuticals, Inc.* 1,086
88 Incyte Corp.* (l) 879
14 Telik, Inc.* (l) 268
-------------------------------------------------------------------
2,233
-------------------------------------------------------------------
BROADCASTING/CABLE -- 0.8%
61 Salem Communications Corp., Class A* 1,511
BUSINESS SERVICES -- 2.4%
41 Alliance Data Systems Corp.* 1,954
75 Learning Tree International, Inc.* (l) 1,006
86 LECG Corp* 1,609
-------------------------------------------------------------------
4,569
-------------------------------------------------------------------
COMPUTER NETWORKS -- 1.1%
52 Avocent Corp.* $ 2,093
COMPUTER SOFTWARE -- 10.5%
46 Ansys, Inc.* 1,475
224 Aspen Technology, Inc.* 1,389
86 DSP Group, Inc.* 1,929
123 Epicor Software Corp.* 1,739
18 Global Payments, Inc. 1,077
45 Hyperion Solutions Corp.* 2,078
25 Kronos, Inc.* (l) 1,283
200 Lawson Software, Inc.* 1,375
114 Packeteer, Inc.* 1,652
94 Serena Software, Inc.* (l) 2,028
43 Take-Two Interactive Software, Inc.* (l) 1,503
77 THQ, Inc.* (l) 1,769
26 Verint Systems, Inc.* 952
-------------------------------------------------------------------
20,249
-------------------------------------------------------------------
COMPUTERS/COMPUTER HARDWARE -- 1.3%
53 Tech Data Corp.* 2,420
CONSTRUCTION -- 0.6%
100 Champion Enterprises, Inc.* (l) 1,184
CONSTRUCTION MATERIALS -- 1.2%
27 Eagle Materials, Inc. (l) 2,349
CONSUMER SERVICES -- 4.3%
27 Arbitron, Inc.* 1,042
171 Educate, Inc.* 2,259
71 Jackson Hewitt Tax Service, Inc. 1,798
32 Ritchie Bros. Auctioneers, Inc. (Canada) (l) 1,066
53 Universal Technical Institute, Inc.* (l) 2,007
-------------------------------------------------------------------
8,172
-------------------------------------------------------------------
DISTRIBUTION -- 1.0%
30 Scansource, Inc.* 1,859
ELECTRONICS/ELECTRICAL EQUIPMENT -- 2.6%
51 Paxar Corp.* 1,140
184 TTM Technologies, Inc.* 2,172
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
30
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
ELECTRONICS/ELECTRICAL EQUIPMENT -- CONTINUED
39 Varian, Inc.* $ 1,608
4,920
-------------------------------------------------------------------
ENTERTAINMENT/LEISURE -- 5.1%
60 Carmike Cinemas, Inc. 2,201
123 K2, Inc.* 1,955
66 LIFE TIME FITNESS, Inc.* 1,703
144 Lions Gate Entertainment Corp.
(Canada)* (l) 1,532
38 Penn National Gaming, Inc.* 2,307
-------------------------------------------------------------------
9,698
-------------------------------------------------------------------
ENVIRONMENTAL SERVICES -- 0.5%
29 Waste Connections, Inc.* 1,010
FINANCIAL SERVICES -- 0.7%
27 Calamos Asset Management, Inc., Class A* 721
29 Marlin Business Services, Inc.* 549
-------------------------------------------------------------------
1,270
-------------------------------------------------------------------
FOOD/BEVERAGE PRODUCTS -- 0.8%
46 United Natural Foods, Inc.* (l) 1,443
HEALTH CARE/HEALTH CARE SERVICES -- 12.8%
66 Abaxis, Inc.* 955
23 Advanced Medical Optics, Inc.* 954
63 Amedisys, Inc.* (l) 2,024
15 AMERIGROUP Corp.* 1,150
69 ArthroCare Corp.* (l) 2,209
20 Cooper Companies, Inc. 1,384
42 Covance, Inc.* 1,620
51 Gentiva Health Services* (l) 858
56 Immucor, Inc.* 1,328
76 Kyphon, Inc.* (l) 1,958
85 Psychiatric Solutions, Inc.* (l) 3,092
49 Sunrise Senior Living, Inc.* (l) 2,289
21 Symmetry Medical, Inc.* 438
25 TECHNE Corp.* 986
86 TriPath Imaging, Inc.* (l) 768
73 VCA Antech, Inc.* (l) 1,431
21 Ventana Medical Systems, Inc.* (l) 1,334
-------------------------------------------------------------------
24,778
-------------------------------------------------------------------
HOTELS/OTHER LODGING -- 2.0%
46 Gaylord Entertainment Co.* $ 1,898
99 Orient-Express Hotels LTD (Bermuda),
Class A 2,030
-------------------------------------------------------------------
3,928
-------------------------------------------------------------------
INSURANCE -- 2.6%
45 Direct General Corp. (l) 1,457
42 Infinity Property & Casualty Corp. 1,492
51 ProAssurance Corp.* (l) 1,984
-------------------------------------------------------------------
4,933
-------------------------------------------------------------------
INTERNET SERVICES/SOFTWARE -- 2.6%
46 Equinix, Inc.* (l) 1,957
22 F5 Networks, Inc.* (l) 1,077
127 Sapient Corp.* 1,005
39 WebEx Communications, Inc.* (l) 918
-------------------------------------------------------------------
4,957
-------------------------------------------------------------------
INVESTMENT COMPANY-- 0.0% ^
4 Apollo Investment Corp. 53
MACHINERY & ENGINEERING EQUIPMENT -- 0.7%
34 Cascade Corp. (l) 1,362
MANUFACTURING -- 1.4%
36 Gardner Denver, Inc.* 1,318
94 General Cable Corp.* (l) 1,303
-------------------------------------------------------------------
2,621
-------------------------------------------------------------------
METALS/MINING -- 1.0%
54 Arch Coal, Inc. 1,907
MULTI-MEDIA -- 0.4%
50 Gray Television, Inc. 775
OIL & GAS -- 7.5%
32 Headwaters, Inc.* (l) 922
66 Key Energy Services, Inc.* 781
20 Newfield Exploration Co.* 1,157
57 Oceaneering International, Inc.* 2,109
62 Spinnaker Exploration Co.* 2,188
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
31
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
OIL & GAS -- CONTINUED
38 Swift Energy Co.* (l) $ 1,097
68 Unit Corp.* 2,578
57 Universal Compression Holding, Inc.* 1,983
80 W-H Energy Services, Inc.* 1,782
-------------------------------------------------------------------
14,597
-------------------------------------------------------------------
PHARMACEUTICALS -- 6.4%
52 Able Laboratories, Inc.* (l) 1,178
113 Adolor Corp.* 1,117
36 AtheroGenics, Inc.* (l) 849
93 Cubist Pharmaceuticals, Inc.* (l) 1,094
47 CV Therapeutics, Inc.* 1,090
89 Cypress Bioscience, Inc.* 1,254
13 Idenix Pharmaceuticals, Inc.* (l) 228
68 Nabi Biopharmaceuticals* 996
33 Onyx Pharmaceuticals, Inc.* (l) 1,059
18 Pharmion Corp.* 756
39 Rigel Pharmaceuticals, Inc.* (l) 940
19 United Therapeutics Corp.* (l) 844
40 Valeant Pharmaceuticals International 1,049
-------------------------------------------------------------------
12,454
-------------------------------------------------------------------
REAL ESTATE INVESTMENT TRUST -- 0.4%
26 Global Signal, Inc. + 716
RESTAURANTS/FOOD SERVICES -- 1.1%
63 Rare Hospitality International, Inc.* 2,022
RETAILING -- 4.4%
28 Aeropostale, Inc.* 828
27 Cost Plus, Inc.* 864
52 Genesco, Inc.* (l) 1,613
27 Guitar Center, Inc.* (l) 1,444
28 The Children's Place Retail Stores, Inc.* (l) 1,052
87 The Pantry, Inc.* 2,624
-------------------------------------------------------------------
8,425
-------------------------------------------------------------------
SEMI-CONDUCTORS -- 4.6%
133 Credence Systems Corp.* (l) 1,216
49 Cymer, Inc.* (l) 1,450
148 Entegris, Inc.* 1,470
103 Mattson Technology, Inc.* 1,163
86 Micrel, Inc.* $ 946
46 Power Integrations, Inc.* 906
46 Semtech Corp.* 1,010
16 Varian Semiconductor
Equipment Associates, Inc.* 586
-------------------------------------------------------------------
8,747
-------------------------------------------------------------------
SHIPPING/TRANSPORTATION -- 0.6%
16 UTI Worldwide, Inc. (Virgin Islands) (l) 1,116
TELECOMMUNICATIONS -- 5.7%
202 Aeroflex, Inc.* 2,443
176 Atheros Communications, Inc.* 1,805
119 Nextel Partners, Inc., Class A* 2,316
71 Symmetricom, Inc.* 692
87 Tekelec* 1,770
84 Viasat, Inc.* 2,031
-------------------------------------------------------------------
11,057
-------------------------------------------------------------------
TELECOMMUNICATIONS EQUIPMENT -- 2.1%
176 C-COR.net Corp.* 1,636
91 Inter-Tel, Inc. (l) 2,486
-------------------------------------------------------------------
4,122
-------------------------------------------------------------------
TRANSPORTATION -- 1.5%
43 Heartland Express, Inc. 966
95 Sirva, Inc.* 1,829
-------------------------------------------------------------------
2,795
-------------------------------------------------------------------
Total Common Stocks
(Cost $165,181) 193,987
-------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
32
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------
SHORT-TERM INVESTMENT -- 2.3%
MONEY MARKET FUND -- 2.3%
4,464 JPMorgan Prime Money Market Fund (a)
(Cost $4,464) $ 4,464
-------------------------------------------------------------------
TOTAL INVESTMENTS -- 103.4%
(COST $169,645) $ 198,451
-------------------------------------------------------------------
LIABILITIES IN EXCESS OF OTHER ASSETS -- (3.4)% (6,607)
-------------------------------------------------------------------
NET ASSETS -- 100.0% $ 191,844
-------------------------------------------------------------------
Percentages indicated are based on net assets.
<Caption>
SHARES COLLATERAL INVESTMENTS VALUE
- --------------------------------------------------------------------------------
MONEY MARKET FUND (c)
300 Barclays Global Investors
Prime Money Market Fund $ 300
CERTIFICATES OF DEPOSIT (c)
1,800 Depfa Bank NY,
2.21%, 01/18/05 1,800
1,800 Washington Mutual Bank FA,
2.21%, 01/18/05 1,800
3,600
-------------------------------------------------------------------
<Caption>
PRINCIPAL
AMOUNT
(USD)
- --------------------------------------------------------------------------------
REPURCHASE AGREEMENT (c)
$ 37,570 Cantor Fitzgerald Securities, Inc.,
2.35%, dated 12/31/04, due 01/03/05,
proceeds $37,578 collateralized by
U.S. Government Agency Securities 37,570
$ 41,470
-------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
33
<Page>
JPMORGAN MID CAP EQUITY FUND
PORTFOLIO OF INVESTMENTS AS OF DECEMBER 31, 2004
(Amounts in thousands)
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- 97.5%
COMMON STOCKS -- 97.5%
AEROSPACE -- 1.0%
27 Rockwell Collins, Inc. $ 1,055
28 United Defense Industries, Inc.* 1,318
-------------------------------------------------------------------
2,373
-------------------------------------------------------------------
AIRLINES -- 0.5%
52 SkyWest, Inc. (l) 1,041
APPAREL -- 2.7%
26 Coach, Inc.* 1,461
34 Columbia Sportswear Co.* 2,009
50 VF Corp. 2,769
-------------------------------------------------------------------
6,239
-------------------------------------------------------------------
AUTOMOTIVE -- 2.4%
29 Autoliv, Inc. (Sweden) 1,404
18 BorgWarner, Inc. 953
20 Genuine Parts Co. 859
20 Oshkosh Truck Corp. (l) 1,333
13 Polaris Industries, Inc. 884
-------------------------------------------------------------------
5,433
-------------------------------------------------------------------
BANKING -- 6.0%
17 BOK Financial Corp.* 850
16 Cullen/Frost Bankers, Inc. 787
17 Doral Financial Corp. (Puerto Rico) 859
29 M&T Bank Corp. 3,118
97 North Fork Bancorporation, Inc. 2,793
20 Northern Trust Corp. 991
17 TCF Financial Corp. 540
15 Webster Financial Corp. 775
57 Wilmington Trust Corp. 2,071
13 Zions Bancorporation 878
-------------------------------------------------------------------
13,662
-------------------------------------------------------------------
BIOTECHNOLOGY -- 0.7%
14 Genzyme Corp.* 837
12 Invitrogen Corp.* 832
-------------------------------------------------------------------
1,669
-------------------------------------------------------------------
BROADCASTING/CABLE -- 0.4%
30 Univision Communications, Inc., Class A* 885
BUSINESS SERVICES -- 3.3%
35 Affiliated Computer Services, Inc.,
Class A* $ 2,131
18 Alliance Data Systems Corp.* 855
18 ChoicePoint, Inc.* 842
48 IMS Health, Inc. 1,102
63 Interactive Data Corp.* 1,374
23 Manpower, Inc. 1,096
-------------------------------------------------------------------
7,400
-------------------------------------------------------------------
CHEMICALS -- 2.0%
19 Albemarle Corp. 728
17 Ashland, Inc. 1,016
17 International Flavors & Fragrances, Inc. 720
23 Sigma-Aldrich Corp. 1,402
15 The Sherwin-Williams Co. 687
-------------------------------------------------------------------
4,553
-------------------------------------------------------------------
COMPUTER NETWORKS -- 0.8%
28 Juniper Networks, Inc.* 765
30 Network Appliance, Inc.* 992
-------------------------------------------------------------------
1,757
-------------------------------------------------------------------
COMPUTER SOFTWARE -- 3.0%
24 Adobe Systems, Inc. 1,525
25 Cognos, Inc. (Canada)* 1,108
73 Computer Associates International, Inc. 2,254
18 Dun & Bradstreet Corp.* 1,065
24 Fiserv, Inc.* 971
-------------------------------------------------------------------
6,923
-------------------------------------------------------------------
COMPUTERS/COMPUTER HARDWARE -- 2.7%
18 Apple Computer, Inc.* 1,133
12 Lexmark International, Inc., Class A* 1,012
28 NCR Corp.* 1,942
26 Tech Data Corp.* 1,165
15 Zebra Technologies Corp., Class A* 863
-------------------------------------------------------------------
6,115
-------------------------------------------------------------------
CONSTRUCTION MATERIALS -- 1.5%
14 American Standard Companies, Inc.* 591
25 Florida Rock Industries, Inc. 1,471
24 Vulcan Materials Co. 1,332
-------------------------------------------------------------------
3,394
-------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
34
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
CONSUMER PRODUCTS -- 1.0%
14 Clorox Co. $ 813
18 Fortune Brands, Inc. 1,397
-------------------------------------------------------------------
2,210
-------------------------------------------------------------------
ELECTRONICS/ELECTRICAL EQUIPMENT -- 2.7%
56 Amphenol Corp., Class A* 2,043
45 Arrow Electronics, Inc.* 1,103
23 Fisher Scientific International* 1,444
47 Flextronics International LTD (Singapore)* 656
34 Jabil Circuit, Inc.* 876
-------------------------------------------------------------------
6,122
-------------------------------------------------------------------
ENTERTAINMENT/LEISURE -- 1.3%
27 Brunswick Corp. 1,326
10 International Speedway Corp., Class A 544
20 Royal Caribbean Cruises LTD (l) 1,078
-------------------------------------------------------------------
2,948
-------------------------------------------------------------------
ENVIRONMENTAL SERVICES -- 0.7%
50 Republic Services, Inc. 1,677
FINANCIAL SERVICES -- 4.4%
42 AmeriCredit Corp.* 1,033
95 Ameritrade Holding Corp.* 1,357
26 CIT Group, Inc. 1,178
46 Golden West Financial Corp. 2,812
18 Legg Mason, Inc. 1,326
36 T. Rowe Price Group, Inc. 2,249
-------------------------------------------------------------------
9,955
-------------------------------------------------------------------
FOOD/BEVERAGE PRODUCTS -- 1.9%
18 Brown-Forman Corp., Class B 899
36 Dean Foods Co.* 1,193
38 Hormel Foods Corp. 1,185
22 The J.M. Smucker Co. 1,056
-------------------------------------------------------------------
4,333
-------------------------------------------------------------------
HEALTH CARE/HEALTH CARE SERVICES -- 8.7%
12 Aetna, Inc. 1,485
13 Bausch & Lomb, Inc. 835
12 Beckman Coulter, Inc. 814
21 Biomet, Inc. 922
48 Caremark Rx, Inc.* $ 1,901
19 Covance, Inc.* 738
37 Coventry Health Care, Inc.* 1,980
30 Cytyc Corp.* 823
42 DaVita, Inc.* 1,669
23 Laboratory Corp. of America Holdings* 1,131
36 Manor Care, Inc. 1,258
62 Omnicare, Inc. 2,145
8 Quest Diagnostics, Inc. 793
17 Renal Care Group, Inc.* 608
26 St. Jude Medical, Inc.* 1,096
22 Triad Hospitals, Inc.* 811
10 Zimmer Holdings, Inc.* 793
-------------------------------------------------------------------
19,802
-------------------------------------------------------------------
HOTELS/OTHER LODGING -- 1.6%
57 Caesars Entertainment, Inc.* 1,157
5 Choice Hotels International, Inc. 261
56 Hilton Hotels Corp. 1,272
13 Marriott International, Inc., Class A 831
-------------------------------------------------------------------
3,521
-------------------------------------------------------------------
INSURANCE -- 7.1%
12 AMBAC Financial Group, Inc. 949
105 Assurant, Inc. 3,195
31 Cincinnati Financial Corp. 1,350
55 IPC Holdings LTD (Bermuda) 2,401
22 MGIC Investment Corp. 1,509
77 Old Republic International Corp. 1,942
15 PartnerRe LTD (Bermuda) 923
32 Principal Financial Group, Inc. 1,294
19 SAFECO Corp. 972
39 Willis Group Holdings LTD
(United Kingdom) 1,604
-------------------------------------------------------------------
16,139
-------------------------------------------------------------------
INTERNET SERVICES/SOFTWARE -- 1.1%
16 Ask Jeeves, Inc.* (l) 424
26 CheckFree Corp.* (l) 982
34 VeriSign, Inc.* 1,149
-------------------------------------------------------------------
2,555
-------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
35
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
MACHINERY & ENGINEERING EQUIPMENT -- 0.4%
18 Rockwell Automation, Inc. $ 867
MANUFACTURING -- 3.8%
23 Carlisle Companies, Inc. 1,493
20 Cooper Industries LTD, Class A 1,371
33 Crane Co. 963
26 Donaldson Co., Inc. (l) 855
52 Harsco Corp. 2,908
13 ITT Industries, Inc. 1,077
-------------------------------------------------------------------
8,667
-------------------------------------------------------------------
METALS/MINING -- 1.0%
23 CONSOL Energy, Inc. 936
21 Precision Castparts Corp. 1,373
-------------------------------------------------------------------
2,309
-------------------------------------------------------------------
MULTI-MEDIA -- 2.4%
19 Dex Media, Inc. 477
25 Gannett Co., Inc. 2,010
9 Knight Ridder, Inc. 616
47 The E.W. Scripps Co., Class A 2,291
-------------------------------------------------------------------
5,394
-------------------------------------------------------------------
OFFICE/BUSINESS EQUIPMENT -- 0.6%
79 Xerox Corp.* 1,338
OIL & GAS -- 5.2%
19 BJ Services Co. 880
42 Burlington Resources, Inc. 1,818
65 Devon Energy Corp. 2,514
9 Energen Corp. 507
10 Equitable Resources, Inc. 613
15 Nabors Industries LTD (Barbados)* 792
17 Newfield Exploration Co.* 1,013
24 Noble Corp.* 1,176
38 Premcor, Inc. 1,598
32 Talisman Energy, Inc. (Canada) (l) 874
-------------------------------------------------------------------
11,785
-------------------------------------------------------------------
PACKAGING -- 0.7%
11 Ball Corp. 493
44 Pactiv Corp.* 1,107
-------------------------------------------------------------------
1,600
-------------------------------------------------------------------
PAPER/FOREST PRODUCTS -- 0.6%
26 Rayonier, Inc. $ 1,253
PHARMACEUTICALS -- 2.4%
40 Celgene Corp.* 1,061
23 Eon Labs, Inc.* (l) 610
18 OSI Pharmaceuticals, Inc.* 1,362
23 Sepracor, Inc.* (l) 1,348
39 Valeant Pharmaceuticals International 1,020
-------------------------------------------------------------------
5,401
-------------------------------------------------------------------
PIPELINES -- 1.2%
39 Kinder Morgan, Inc. 2,830
REAL ESTATE -- 0.9%
43 Brookfield Properties Corp. (Canada) 1,597
9 Forest City Enterprises, Inc., Class A 518
-------------------------------------------------------------------
2,115
-------------------------------------------------------------------
REAL ESTATE INVESTMENT TRUST -- 0.5%
17 PS Business Parks, Inc. 757
8 Public Storage, Inc. 452
-------------------------------------------------------------------
1,209
-------------------------------------------------------------------
RESTAURANTS/FOOD SERVICES -- 1.6%
40 Applebee's International, Inc. 1,053
40 Outback Steakhouse, Inc. 1,844
23 The Cheesecake Factory, Inc.* 740
-------------------------------------------------------------------
3,637
-------------------------------------------------------------------
RETAILING -- 10.3%
35 Abercrombie & Fitch Co., Class A 1,639
23 Advanced Auto Parts, Inc.* 1,002
70 Autonation, Inc.* 1,350
36 AutoZone, Inc.* 3,241
33 CarMax, Inc.* 1,014
16 CDW Corp. 1,082
19 Chico's FAS, Inc.* (l) 883
75 Circuit City Stores, Inc. 1,174
32 Claire's Stores, Inc. 690
63 Family Dollar Stores, Inc. 1,967
52 Foot Locker, Inc. 1,387
24 MSC Industrial Direct Co., Class A 880
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
36
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
RETAILING -- CONTINUED
21 PETsMART, Inc. $ 759
41 RadioShack Corp. 1,348
33 The May Department Stores Co. 961
66 The TJX Companies, Inc. 1,649
42 Tiffany & Co. 1,343
25 Tuesday Morning Corp.* 766
-------------------------------------------------------------------
23,135
-------------------------------------------------------------------
SEMI-CONDUCTORS -- 1.8%
24 Altera Corp.* 491
34 Broadcom Corp., Class A* 1,105
18 KLA-Tencor Corp.* 848
21 Linear Technology Corp. 824
34 Microchip Technology, Inc. 918
-------------------------------------------------------------------
4,186
-------------------------------------------------------------------
TELECOMMUNICATIONS -- 3.4%
33 Alltel Corp. 1,957
51 Avaya, Inc.* 871
59 CenturyTel, Inc. 2,075
57 Nextel Partners, Inc., Class A* (l) 1,106
15 Telephone & Data Systems, Inc. 1,131
17 West Corp.* (l) 566
-------------------------------------------------------------------
7,706
-------------------------------------------------------------------
TELECOMMUNICATIONS EQUIPMENT -- 0.4%
41 Polycom, Inc.* 951
TEXTILES -- 0.8%
21 Mohawk Industries, Inc.* 1,907
UTILITIES -- 2.0%
18 Dominion Resources, Inc. 1,239
28 Energy East Corp. 744
31 SCANA Corp. 1,210
23 Sempra Energy 844
21 Westar Energy, Inc. 478
-------------------------------------------------------------------
4,515
-------------------------------------------------------------------
Total Common Stocks
(Cost $169,261) 221,511
-------------------------------------------------------------------
SHORT-TERM INVESTMENT -- 2.1%
MONEY MARKET FUND -- 2.1%
4,756 JPMorgan Prime Money Market Fund (a)
(Cost $4,756) $ 4,756
-------------------------------------------------------------------
TOTAL INVESTMENTS -- 99.6%
(COST $174,017) $ 226,267
-------------------------------------------------------------------
OTHER ASSETS IN EXCESS OF LIABILITIES -- 0.4% 840
-------------------------------------------------------------------
NET ASSETS -- 100.0% $ 227,107
-------------------------------------------------------------------
Percentages indicated are based on net assets.
<Caption>
SHARES COLLATERAL INVESTMENTS VALUE
- --------------------------------------------------------------------------------
MONEY MARKET FUND (c)
100 Barclays Global Investors Prime
Money Market Fund $ 100
<Caption>
PRINCIPAL
AMOUNT
(USD)
- --------------------------------------------------------------------------------
REPURCHASE AGREEMENT (c)
$ 9,003 Cantor Fitzgerald Securities 2.35%,
dated 12/31/04, due 01/03/05,
proceeds $9,004 collateralized by
U.S. Government Agency Securities 9,003
-------------------------------------------------------------------
$ 9,103
-------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
37
<Page>
JPMORGAN MID CAP GROWTH FUND
PORTFOLIO OF INVESTMENTS AS OF DECEMBER 31, 2004
(Amounts in thousands)
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- 98.7%
COMMON STOCKS -- 98.7%
AEROSPACE -- 1.0%
14 Rockwell Collins, Inc. $ 556
AIRLINES -- 1.0%
27 SkyWest, Inc. (l) 551
APPAREL -- 1.3%
14 Coach, Inc.* 773
AUTOMOTIVE -- 3.3%
15 Autoliv, Inc. (Sweden) 715
10 Oshkosh Truck Corp. (l) 704
7 Polaris Industries, Inc. (l) 469
-------------------------------------------------------------------
1,888
-------------------------------------------------------------------
BANKING -- 3.4%
9 BOK Financial Corp.* (l) 449
9 Doral Financial Corp. (Puerto Rico) 448
21 North Fork Bancorporation, Inc. 595
7 Zions Bancorporation 449
-------------------------------------------------------------------
1,941
-------------------------------------------------------------------
BIOTECHNOLOGY -- 1.5%
8 Genzyme Corp.* 439
7 Invitrogen Corp.* 436
-------------------------------------------------------------------
875
-------------------------------------------------------------------
BROADCASTING/CABLE -- 0.8%
16 Univision Communications, Inc., Class A* 468
BUSINESS SERVICES -- 3.6%
11 Affiliated Computer Services, Inc., Class A* 639
9 Alliance Data Systems Corp.* 427
9 ChoicePoint, Inc.* 423
12 Manpower, Inc. 577
-------------------------------------------------------------------
2,066
-------------------------------------------------------------------
COMPUTER NETWORKS -- 1.6%
15 Juniper Networks, Inc.* 405
16 Network Appliance, Inc.* 525
-------------------------------------------------------------------
930
-------------------------------------------------------------------
COMPUTER SOFTWARE -- 5.6%
13 Adobe Systems, Inc. $ 804
13 Cognos, Inc. (Canada)* 586
24 Computer Associates International, Inc. 745
9 Dun & Bradstreet Corp.* 564
12 Fiserv, Inc.* 494
-------------------------------------------------------------------
3,193
-------------------------------------------------------------------
COMPUTERS/COMPUTER HARDWARE -- 4.7%
9 Apple Computer, Inc.* 599
15 NCR Corp.* 1,025
14 Tech Data Corp.* 614
8 Zebra Technologies Corp., Class A* 455
-------------------------------------------------------------------
2,693
-------------------------------------------------------------------
ELECTRONICS/ELECTRICAL EQUIPMENT -- 5.5%
30 Amphenol Corp., Class A* 1,083
23 Arrow Electronics, Inc.* 563
12 Fisher Scientific International* 764
25 Flextronics International LTD (Singapore)* 347
18 Jabil Circuit, Inc.* 463
-------------------------------------------------------------------
3,220
-------------------------------------------------------------------
ENTERTAINMENT/LEISURE -- 2.7%
14 Brunswick Corp. 675
5 International Speedway Corp., Class A 285
11 Royal Caribbean Cruises LTD (l) 572
-------------------------------------------------------------------
1,532
-------------------------------------------------------------------
FINANCIAL SERVICES -- 4.2%
22 AmeriCredit Corp.* 526
51 Ameritrade Holding Corp.* 719
13 CIT Group, Inc. 600
9 T. Rowe Price Group, Inc. 572
-------------------------------------------------------------------
2,417
-------------------------------------------------------------------
HEALTH CARE/HEALTH CARE SERVICES -- 14.0%
7 Aetna, Inc. 860
7 Bausch & Lomb, Inc. 429
6 Beckman Coulter, Inc. 425
11 Biomet, Inc. 488
25 Caremark Rx, Inc.* 1,001
10 Covance, Inc.* 389
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
38
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
HEALTH CARE/HEALTH CARE SERVICES -- CONTINUED
16 Cytyc Corp.* $ 436
22 DaVita, Inc.* 882
12 Laboratory Corp. of America Holdings* 598
10 Manor Care, Inc. 351
24 Omnicare, Inc. 820
14 St. Jude Medical, Inc.* 577
11 Triad Hospitals, Inc.* 426
5 Zimmer Holdings, Inc.* 421
-------------------------------------------------------------------
8,103
-------------------------------------------------------------------
HOTELS/OTHER LODGING -- 3.0%
30 Caesars Entertainment, Inc.* 610
30 Hilton Hotels Corp. 673
7 Marriott International, Inc., Class A 441
-------------------------------------------------------------------
1,724
-------------------------------------------------------------------
INSURANCE -- 1.6%
6 AMBAC Financial Group, Inc. 473
11 Willis Group Holdings LTD (United Kingdom) 432
-------------------------------------------------------------------
905
-------------------------------------------------------------------
INTERNET SERVICES/SOFTWARE -- 2.3%
8 Ask Jeeves, Inc.* (l) 211
13 CheckFree Corp.* (l) 501
18 VeriSign, Inc.* 607
-------------------------------------------------------------------
1,319
-------------------------------------------------------------------
MACHINERY & ENGINEERING EQUIPMENT -- 0.8%
9 Rockwell Automation, Inc. 436
MANUFACTURING -- 3.6%
14 Donaldson Co., Inc. (l) 451
19 Harsco Corp. 1,039
7 ITT Industries, Inc. 562
-------------------------------------------------------------------
2,052
-------------------------------------------------------------------
METALS/MINING -- 2.1%
12 CONSOL Energy, Inc. 493
11 Precision Castparts Corp. 722
-------------------------------------------------------------------
1,215
-------------------------------------------------------------------
MULTI-MEDIA -- 0.7%
8 The E.W. Scripps Co., Class A $ 406
OFFICE/BUSINESS EQUIPMENT -- 1.2%
40 Xerox Corp.* 683
OIL & GAS -- 4.4%
10 BJ Services Co. 472
9 Nabors Industries LTD (Barbados)* 441
9 Newfield Exploration Co.* 540
12 Noble Corp.* 603
16 Talisman Energy, Inc. (Canada) 443
-------------------------------------------------------------------
2,499
-------------------------------------------------------------------
PHARMACEUTICALS -- 5.0%
21 Celgene Corp.* 562
12 Eon Labs, Inc.* (l) 324
10 OSI Pharmaceuticals, Inc.* 716
12 Sepracor, Inc.* 709
20 Valeant Pharmaceuticals International 539
-------------------------------------------------------------------
2,850
-------------------------------------------------------------------
RESTAURANTS/FOOD SERVICES -- 0.7%
12 The Cheesecake Factory, Inc.* 395
RETAILING -- 11.3%
18 Abercrombie & Fitch Co., Class A 866
12 Advanced Auto Parts, Inc.* 529
17 CarMax, Inc.* (l) 534
9 CDW Corp. 571
10 Chico's FAS, Inc.* (l) 464
38 Circuit City Stores, Inc. 597
17 Claire's Stores, Inc. 363
27 Foot Locker, Inc. 731
13 MSC Industrial Direct Co., Class A 464
11 PETsMART, Inc. 400
22 RadioShack Corp. 710
9 Tiffany & Co. 294
-------------------------------------------------------------------
6,523
-------------------------------------------------------------------
SEMI-CONDUCTORS -- 3.8%
12 Altera Corp.* 255
18 Broadcom Corp., Class A* 583
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
39
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
SEMI-CONDUCTORS -- CONTINUED
10 KLA-Tencor Corp.* $ 447
11 Linear Technology Corp. 434
18 Microchip Technology, Inc. 485
-------------------------------------------------------------------
2,204
-------------------------------------------------------------------
TELECOMMUNICATIONS -- 2.3%
27 Avaya, Inc.* 459
29 Nextel Partners, Inc., Class A* (l) 562
9 West Corp.* (l) 281
-------------------------------------------------------------------
1,302
-------------------------------------------------------------------
TELECOMMUNICATIONS EQUIPMENT -- 0.9%
22 Polycom, Inc.* 503
TEXTILES -- 0.8%
5 Mohawk Industries, Inc.* 443
-------------------------------------------------------------------
Total Common Stocks
(Cost $45,221) 56,665
-------------------------------------------------------------------
SHORT-TERM INVESTMENT -- 1.6%
MONEY MARKET FUND -- 1.6%
900 JPMorgan Prime Money Market Fund (a)
(Cost $900) $ 900
-------------------------------------------------------------------
TOTAL INVESTMENTS -- 100.3%
(COST $46,121) $ 57,565
-------------------------------------------------------------------
LIABILITIES IN EXCESS OF OTHER ASSETS -- (0.3)% (183)
-------------------------------------------------------------------
NET ASSETS -- 100.0% $ 57,382
-------------------------------------------------------------------
</Table>
Percentages indicated are based on net assets.
<Table>
<Caption>
PRINCIPAL
AMOUNT
(USD) COLLATERAL INVESTMENT VALUE
- --------------------------------------------------------------------------------
REPURCHASE AGREEMENT (c)
$ 2,830 Deutsche Bank Securities Inc., 2.33%,
dated 12/31/04, due 01/03/05,
proceeds $2,831 collateralized by
U.S. Government Agency Securities $ 2,830
-------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
40
<Page>
JPMORGAN MID CAP VALUE FUND
PORTFOLIO OF INVESTMENTS AS OF DECEMBER 31, 2004
(Amounts in thousands)
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- 96.8%
COMMON STOCKS -- 96.8%
AEROSPACE -- 1.1%
848 United Defense Industries, Inc.* $ 40,087
APPAREL -- 4.2%
1,063 Columbia Sportswear Co.* (l) 63,365
1,663 VF Corp. 92,120
-------------------------------------------------------------------
155,485
-------------------------------------------------------------------
AUTOMOTIVE -- 1.5%
600 BorgWarner, Inc. 32,513
548 Genuine Parts Co. 24,127
-------------------------------------------------------------------
56,640
-------------------------------------------------------------------
BANKING -- 7.9%
397 Cullen/Frost Bankers, Inc. 19,314
796 M&T Bank Corp. 85,797
2,299 North Fork Bancorporation, Inc. 66,312
635 Northern Trust Corp. 30,839
480 TCF Financial Corp. 15,418
464 Webster Financial Corp. 23,477
1,438 Wilmington Trust Corp. 51,980
-------------------------------------------------------------------
293,137
-------------------------------------------------------------------
BUSINESS SERVICES -- 2.5%
480 Affiliated Computer Services, Inc.,
Class A* (l) 28,867
1,510 IMS Health, Inc. 35,055
1,268 Interactive Data Corp.* 27,566
-------------------------------------------------------------------
91,488
-------------------------------------------------------------------
CHEMICALS -- 4.0%
716 Albemarle Corp. 27,724
531 Ashland, Inc. 30,971
542 International Flavors & Fragrances, Inc. 23,228
716 Sigma-Aldrich Corp. 43,265
504 The Sherwin-Williams Co. 22,511
-------------------------------------------------------------------
147,699
-------------------------------------------------------------------
COMPUTER SOFTWARE -- 0.8%
937 Computer Associates International, Inc. 29,113
COMPUTERS/COMPUTER HARDWARE -- 0.8%
353 Lexmark International, Inc., Class A* (l) 30,022
CONSTRUCTION MATERIALS -- 3.2%
474 American Standard Companies, Inc.* $ 19,573
707 Florida Rock Industries, Inc. 42,079
1,012 Vulcan Materials Co. 55,282
-------------------------------------------------------------------
116,934
-------------------------------------------------------------------
CONSUMER PRODUCTS -- 2.0%
477 Clorox Co. 28,133
610 Fortune Brands, Inc. (l) 47,065
-------------------------------------------------------------------
75,198
-------------------------------------------------------------------
ENVIRONMENTAL SERVICES -- 1.5%
1,655 Republic Services, Inc. 55,505
FINANCIAL SERVICES -- 4.5%
1,624 Golden West Financial Corp. 99,722
558 Legg Mason, Inc. (l) 40,853
382 T. Rowe Price Group, Inc. 23,742
-------------------------------------------------------------------
164,317
-------------------------------------------------------------------
FOOD/BEVERAGE PRODUCTS -- 3.8%
632 Brown-Forman Corp., Class B 30,782
1,333 Dean Foods Co.* (l) 43,925
1,117 Hormel Foods Corp. 35,027
654 The J.M. Smucker Co. (l) 30,791
-------------------------------------------------------------------
140,525
-------------------------------------------------------------------
HEALTH CARE/HEALTH CARE SERVICES -- 4.1%
1,280 Coventry Health Care, Inc.* (l) 67,957
531 Manor Care, Inc. 18,817
547 Omnicare, Inc. 18,920
247 Quest Diagnostics, Inc. 23,563
638 Renal Care Group, Inc.* 22,951
-------------------------------------------------------------------
152,208
-------------------------------------------------------------------
HOTELS/OTHER LODGING -- 0.2%
133 Choice Hotels International, Inc. 7,702
INSURANCE -- 11.5%
2,893 Assurant, Inc. 88,384
911 Cincinnati Financial Corp. 40,300
1,245 IPC Holdings LTD (Bermuda) 54,170
674 MGIC Investment Corp. 46,438
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
41
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
INSURANCE -- CONTINUED
2,671 Old Republic International Corp. $ 67,571
486 PartnerRe LTD (Bermuda) 30,109
911 Principal Financial Group, Inc. (l) 37,288
702 SAFECO Corp. 36,646
562 Willis Group Holdings LTD
(United Kingdom) 23,142
-------------------------------------------------------------------
424,048
-------------------------------------------------------------------
MANUFACTURING -- 4.0%
760 Carlisle Companies, Inc. 49,366
548 Cooper Industries LTD, Class A 37,224
1,140 Crane Co. 32,886
501 Harsco Corp. 27,948
-------------------------------------------------------------------
147,424
-------------------------------------------------------------------
MULTI-MEDIA -- 3.9%
572 Dex Media, Inc. 14,265
775 Gannett Co., Inc. 63,325
251 Knight Ridder, Inc. 16,809
1,015 The E.W. Scripps Co., Class A (l) 48,997
-------------------------------------------------------------------
143,396
-------------------------------------------------------------------
OIL & GAS -- 5.8%
1,232 Burlington Resources, Inc. 53,575
1,976 Devon Energy Corp. (l) 76,905
289 Energen Corp. 17,031
309 Equitable Resources, Inc. (l) 18,714
1,109 Premcor, Inc. 46,779
-------------------------------------------------------------------
213,004
-------------------------------------------------------------------
PACKAGING -- 1.8%
569 Ball Corp. (l) 25,011
1,573 Pactiv Corp.* 39,769
-------------------------------------------------------------------
64,780
-------------------------------------------------------------------
PAPER/FOREST PRODUCTS -- 1.0%
788 Rayonier, Inc. (l) 38,540
PIPELINES -- 2.8%
1,424 Kinder Morgan, Inc. 104,159
REAL ESTATE -- 1.5%
959 Brookfield Properties Corp. (Canada) $ 35,859
308 Forest City Enterprises, Inc., Class A 17,731
-------------------------------------------------------------------
53,590
-------------------------------------------------------------------
REAL ESTATE INVESTMENT TRUST -- 1.0%
552 PS Business Parks, Inc. 24,886
222 Public Storage, Inc. 12,371
-------------------------------------------------------------------
37,257
-------------------------------------------------------------------
RESTAURANTS/FOOD SERVICES -- 2.5%
1,326 Applebee's International, Inc. (l) 35,067
1,250 Outback Steakhouse, Inc. (l) 57,235
-------------------------------------------------------------------
92,302
-------------------------------------------------------------------
RETAILING -- 9.3%
2,303 Autonation, Inc.* 44,248
1,122 AutoZone, Inc.* 102,423
2,037 Family Dollar Stores, Inc. 63,619
1,091 The May Department Stores Co. 32,087
2,088 The TJX Companies, Inc. 52,466
776 Tiffany & Co. 24,793
728 Tuesday Morning Corp.* 22,308
-------------------------------------------------------------------
341,944
-------------------------------------------------------------------
TELECOMMUNICATIONS -- 4.5%
1,084 Alltel Corp. (l) 63,708
1,848 CenturyTel, Inc. 65,537
469 Telephone & Data Systems, Inc. (l) 36,105
-------------------------------------------------------------------
165,350
-------------------------------------------------------------------
TEXTILES -- 0.8%
333 Mohawk Industries, Inc.* (l) 30,395
UTILITIES -- 4.3%
562 Dominion Resources, Inc. 38,097
1,044 Energy East Corp. (l) 27,843
1,021 SCANA Corp. 40,235
698 Sempra Energy 25,603
1,124 Westar Energy, Inc. 25,706
-------------------------------------------------------------------
157,484
-------------------------------------------------------------------
Total Common Stocks
(Cost $3,119,895) 3,569,733
-------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
42
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------
SHORT-TERM INVESTMENT - 4.3%
MONEY MARKET FUND -- 4.3%
157,737 JPMorgan Prime Money
Market Fund (a)
(Cost $157,737) $ 157,737
TOTAL INVESTMENTS -- 101.1%
(COST $3,277,632) $ 3,727,470
-------------------------------------------------------------------
LIABILITIES IN EXCESS OF OTHER ASSETS -- (1.1)% (41,316)
-------------------------------------------------------------------
NET ASSETS -- 100.0% $ 3,688,754
-------------------------------------------------------------------
</Table>
Percentages indicated are based on net assets.
<Table>
<Caption>
SHARES COLLATERAL INVESTMENTS VALUE
- --------------------------------------------------------------------------------
MONEY MARKET FUND (c)
3,100 Barclays Global Investors Prime
Money Market Fund $ 3,100
<Caption>
PRINCIPLE
AMOUNT
(USD) COLLATERAL INVESTMENTS VALUE
- --------------------------------------------------------------------------------
CERTIFICATES OF DEPOSIT (c)
$ 6,600 Depfa Bank NY, 2.21%, 01/18/05 $ 6,100
5,000 Washington Mutual Bank FA,
2.21%, 01/18/05 5,000
-------------------------------------------------------------------
11,100
-------------------------------------------------------------------
COMMERCIAL PAPER (c)
6,077 Kitty Hawk, 2.23%, 01/18/05 6,078
REPURCHASE AGREEMENT (c)
91,651 Cantor Fitzgerald Securities 2.35%,
dated 12/31/04, due 01/03/05,
proceeds $91,669 collateralized by
U.S. Government Agency Securities 91,651
-------------------------------------------------------------------
$ 111,929
-------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
43
<Page>
JPMORGAN SMALL CAP EQUITY FUND
PORTFOLIO OF INVESTMENTS AS OF DECEMBER 31, 2004
(Amounts in thousands)
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- 89.8%
COMMON STOCKS -- 89.8%
AEROSPACE -- 2.0%
52 Alliant Techsystems, Inc.* $ 3,391
63 Curtiss-Wright Corp. 3,605
-------------------------------------------------------------------
6,996
-------------------------------------------------------------------
APPAREL -- 3.0%
92 Kenneth Cole Productions, Inc., Class A 2,824
154 Quiksilver, Inc.* 4,578
53 Timberland Co., Class A* 3,303
-------------------------------------------------------------------
10,705
-------------------------------------------------------------------
APPLIANCES & HOUSEHOLD DURABLES -- 0.2%
83 Jacuzzi Brands, Inc.* 721
AUTOMOTIVE -- 3.5%
64 Bandag, Inc. 3,188
61 Lithia Motors, Inc., Class A 1,625
54 Oshkosh Truck Corp. 3,692
33 Polaris Industries, Inc. 2,272
46 Winnebago Industries, Inc. 1,797
-------------------------------------------------------------------
12,574
-------------------------------------------------------------------
BANKING -- 5.9%
29 Alabama National Bancorp 1,851
42 Bank of the Ozarks, Inc. 1,426
57 Boston Private Financial Holdings, Inc. 1,592
77 East-West Bancorp, Inc. 3,222
82 Hancock Holding Co. 2,730
82 Hudson United Bancorp 3,213
32 MB Financial, Inc. 1,328
9 Mercantile Bank Corp. 344
10 S.Y. Bancorp, Inc. 241
114 Sterling Bancshares, Inc. 1,631
52 The South Financial Group, Inc. 1,679
33 Wintrust Financial Corp. 1,885
-------------------------------------------------------------------
21,142
-------------------------------------------------------------------
BROADCASTING/CABLE -- 0.4%
162 Sinclair Broadcast Group, Inc., Class A 1,492
BUSINESS SERVICES -- 2.7%
57 Banta Corp. 2,533
120 Hudson Highland Group, Inc.* 3,447
307 MPS Group, Inc.* $ 3,762
-------------------------------------------------------------------
9,742
-------------------------------------------------------------------
CHEMICALS -- 3.4%
87 Albemarle Corp. 3,379
95 Georgia Gulf Corp. 4,707
76 NuCO2, Inc.* 1,675
82 Spartech Corp. 2,231
-------------------------------------------------------------------
11,992
-------------------------------------------------------------------
COMPUTER NETWORKS -- 3.3%
91 Anixter International, Inc. 3,289
67 Avocent Corp.* 2,731
72 Micros Systems, Inc.* 5,597
-------------------------------------------------------------------
11,617
-------------------------------------------------------------------
COMPUTER SOFTWARE -- 4.1%
67 CACI International, Inc., Class A* 4,592
106 FileNet Corp.* 2,731
56 Hyperion Solutions Corp.* 2,620
117 Intergraph Corp.* 3,137
163 MSC.Software Corp.* 1,702
-------------------------------------------------------------------
14,782
-------------------------------------------------------------------
COMPUTERS/COMPUTER HARDWARE -- 1.0%
41 Imation Corp. 1,308
38 Zebra Technologies Corp., Class A* 2,160
-------------------------------------------------------------------
3,468
-------------------------------------------------------------------
CONSUMER PRODUCTS -- 5.2%
113 Church & Dwight Co., Inc. 3,807
129 Fossil, Inc.* 3,303
106 Jarden Corp.* 4,618
45 The Scotts Co., Class A* 3,272
44 Toro Co. 3,604
-------------------------------------------------------------------
18,604
-------------------------------------------------------------------
CONSUMER SERVICES -- 1.1%
127 Alderwoods Group, Inc. (Canada)* 1,445
54 Regis Corp. 2,511
-------------------------------------------------------------------
3,956
-------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
44
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
DISTRIBUTION -- 1.1%
107 Watsco, Inc. $ 3,779
ELECTRONICS/ELECTRICAL EQUIPMENT -- 1.8%
40 Brady Corp., Class A 2,472
175 Paxar Corp.* 3,873
-------------------------------------------------------------------
6,345
-------------------------------------------------------------------
ENTERTAINMENT/LEISURE -- 1.3%
109 Boyd Gaming Corp. 4,557
ENVIRONMENTAL SERVICES -- 1.0%
108 Waste Connections, Inc.* 3,690
FINANCIAL SERVICES -- 1.0%
137 Calamos Asset Management, Inc., Class A* 3,710
HEALTH CARE/HEALTH CARE SERVICES -- 9.3%
67 Advanced Medical Optics, Inc.* 2,748
36 AMERIGROUP Corp.* 2,754
50 Cooper Companies, Inc. 3,544
41 Datascope Corp. 1,615
34 Idexx Laboratories, Inc.* 1,845
73 Invacare Corp. 3,354
108 Kindred Healthcare, Inc.* 3,229
53 Ocular Sciences, Inc.* 2,612
306 PSS World Medical, Inc.* 3,825
26 Respironics, Inc.* 1,397
62 Sierra Health Services, Inc.* 3,395
89 Sybron Dental Specialties, Inc.* 3,131
-------------------------------------------------------------------
33,449
-------------------------------------------------------------------
HOTELS/OTHER LODGING -- 0.5%
178 La Quinta Corp.* 1,618
INSURANCE -- 3.0%
115 Direct General Corp. 3,685
64 Hilb, Rogal & Hobbs Co. 2,330
28 Philadelphia Consolidated Holding Corp.* 1,872
95 Platinum Underwriters Holdings LTD
(Bermuda) 2,955
-------------------------------------------------------------------
10,842
-------------------------------------------------------------------
INTERNET SERVICES/SOFTWARE -- 0.2%
84 Digitas, Inc.* $ 797
MACHINERY & ENGINEERING EQUIPMENT -- 3.0%
71 Regal-Beloit Corp. 2,025
96 The Manitowoc Co., Inc. 3,615
71 UNOVA, Inc.* 1,785
158 Wabtec Corp. 3,360
-------------------------------------------------------------------
10,785
-------------------------------------------------------------------
MANUFACTURING -- 2.4%
68 AptarGroup, Inc. 3,585
135 General Cable Corp.* 1,875
94 Kaydon Corp. 3,110
-------------------------------------------------------------------
8,570
-------------------------------------------------------------------
METALS/MINING -- 2.5%
40 Century Aluminum Co.* 1,045
28 Cleveland-Cliffs, Inc. 2,950
99 Commercial Metals Co. 4,985
-------------------------------------------------------------------
8,980
-------------------------------------------------------------------
MULTI-MEDIA -- 0.6%
114 Emmis Communications Corp., Class A* 2,182
OIL & GAS -- 5.6%
84 FMC Technologies, Inc.* 2,714
67 Maverick Tube Corp.* 2,015
176 Plains Exploration & Production Co.* 4,576
95 Southwestern Energy Co.* 4,821
91 St. Mary Land & Exploration Co. 3,794
68 Varco International, Inc.* 1,985
-------------------------------------------------------------------
19,905
-------------------------------------------------------------------
PAPER/FOREST PRODUCTS -- 0.5%
97 Wausau-Mosinee Paper Corp. 1,729
REAL ESTATE -- 0.9%
90 Jones Lang LaSalle, Inc.* 3,371
REAL ESTATE INVESTMENT TRUST -- 0.9%
42 Alexandria Real Estate Equities, Inc. 3,103
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
45
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
RESTAURANTS/FOOD SERVICES -- 2.7%
95 Applebee's International, Inc. $ 2,515
128 Lone Star Steakhouse & Saloon 3,595
100 Papa John's International, Inc.* 3,427
-------------------------------------------------------------------
9,537
-------------------------------------------------------------------
RETAILING -- 5.0%
36 Chico's FAS, Inc.* 1,635
66 Genesco, Inc.* 2,051
308 Hancock Fabrics, Inc. 3,192
75 Men's Wearhouse, Inc.* 2,387
73 School Specialty, Inc.* 2,821
97 The Finish Line, Inc., Class A 1,779
564 Tweeter Home Entertainment Group, Inc.* 3,863
-------------------------------------------------------------------
17,728
-------------------------------------------------------------------
SEMI-CONDUCTORS -- 2.6%
151 Axcelis Technologies, Inc.* 1,228
36 Cymer, Inc.* 1,055
155 FSI International, Inc.* 722
44 International Rectifier Corp.* 1,970
79 Standard Microsystems Corp.* 1,409
75 Varian Semiconductor Equipment
Associates, Inc.* 2,763
-------------------------------------------------------------------
9,147
-------------------------------------------------------------------
SHIPPING/TRANSPORTATION -- 1.3%
66 UTI Worldwide, Inc. (Virgin Islands) 4,483
TELECOMMUNICATIONS EQUIPMENT -- 1.1%
113 CommScope, Inc.* 2,141
65 Inter-Tel, Inc. 1,791
-------------------------------------------------------------------
3,932
-------------------------------------------------------------------
TRANSPORTATION -- 3.3%
77 Arkansas Best Corp. 3,466
118 EGL, Inc.* 3,536
63 Landstar System, Inc.* 4,609
-------------------------------------------------------------------
11,611
-------------------------------------------------------------------
UTILITIES -- 2.4%
54 American States Water Co. 1,414
99 Aqua America, Inc. 2,424
48 Atmos Energy Corp. $ 1,318
39 New Jersey Resources Corp. 1,669
67 NorthWestern Corp.* 1,882
-------------------------------------------------------------------
8,707
-------------------------------------------------------------------
Total Common Stocks
(Cost $230,352) 320,348
-------------------------------------------------------------------
INVESTMENT COMPANIES -- 6.5%
142 ishares S&P Smallcap 600 Index Fund
(Cost $22,120) 23,170
-------------------------------------------------------------------
Total Long-Term Investments
(Cost $252,472) 343,518
-------------------------------------------------------------------
SHORT-TERM INVESTMENT -- 3.6%
MONEY MARKET FUND -- 3.6%
12,857 JPMorgan Prime Money Market Fund (a)
(Cost $12,857) 12,857
-------------------------------------------------------------------
TOTAL INVESTMENTS -- 99.9%
(COST $265,329) $ 356,375
-------------------------------------------------------------------
OTHER ASSETS IN EXCESS
OF LIABILITIES -- 0.1% 495
-------------------------------------------------------------------
NET ASSETS -- 100.0% $ 356,870
-------------------------------------------------------------------
</Table>
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
46
<Page>
JPMORGAN SMALL CAP GROWTH FUND
PORTFOLIO OF INVESTMENTS AS OF DECEMBER 31, 2004
(Amounts in thousands)
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- 97.4%
COMMON STOCKS -- 97.4%
AEROSPACE -- 0.9%
1 Engineered Support Systems, Inc. $ 52
AIRLINES -- 1.2%
1 Republic Airways Holdings, Inc.* 10
3 SkyWest, Inc. 59
-------------------------------------------------------------------
69
-------------------------------------------------------------------
APPLIANCES & HOUSEHOLD DURABLES -- 0.9%
6 Jacuzzi Brands, Inc.* 53
AUTOMOTIVE -- 1.7%
1 Oshkosh Truck Corp. 50
1 Winnebago Industries, Inc. 52
-------------------------------------------------------------------
102
-------------------------------------------------------------------
BANKING -- 4.2%
2 Central Pacific Financial Corp. 56
1 East-West Bancorp, Inc. 44
2 EuroBancshares, Inc. (Puerto Rico)* 40
1 MB Financial, Inc. (l) 50
2 Texas Capital Bancshares, Inc.* 35
1 Texas Regional Bancshares, Inc., Class A 28
-------------------------------------------------------------------
253
-------------------------------------------------------------------
BIOTECHNOLOGY -- 1.3%
1 Alexion Pharmaceuticals, Inc.* 32
3 Incyte Corp.* (l) 26
1 Telik, Inc.* (l) 22
-------------------------------------------------------------------
80
-------------------------------------------------------------------
BROADCASTING/CABLE -- 0.7%
2 Salem Communications Corp., Class A* 44
BUSINESS SERVICES -- 1.7%
1 Alliance Data Systems Corp.* 55
3 LECG Corp* 48
-------------------------------------------------------------------
103
-------------------------------------------------------------------
COMPUTER NETWORKS -- 0.5%
1 Avocent Corp.* 28
COMPUTER SOFTWARE -- 9.8%
8 Aspen Technology, Inc.* (l) $ 50
3 DSP Group, Inc.* 61
4 Epicor Software Corp.* 56
2 Hyperion Solutions Corp.* 73
1 Kronos, Inc.* 26
8 Lawson Software, Inc.* 56
4 Packeteer, Inc.* 56
3 Serena Software, Inc.* (l) 59
1 Take-Two Interactive Software, Inc.* (l) 45
2 THQ, Inc.* (l) 53
1 Verint Systems, Inc.* (l) 51
-------------------------------------------------------------------
586
-------------------------------------------------------------------
COMPUTERS/COMPUTER HARDWARE -- 1.2%
2 Tech Data Corp.* 72
CONSTRUCTION -- 1.0%
5 Champion Enterprises, Inc.* (l) 62
CONSTRUCTION MATERIALS -- 0.9%
1 Eagle Materials, Inc. 52
CONSUMER SERVICES -- 4.6%
5 Educate, Inc.* 63
3 Jackson Hewitt Tax Service, Inc. 65
1 Laureate Education, Inc.* 31
2 Ritchie Bros. Auctioneers, Inc. (Canada) 54
2 Universal Technical Institute, Inc.* 65
-------------------------------------------------------------------
278
-------------------------------------------------------------------
DISTRIBUTION -- 1.0%
1 Scansource, Inc.* 62
ELECTRONICS/ELECTRICAL EQUIPMENT -- 1.1%
5 TTM Technologies, Inc.* 65
ENTERTAINMENT/LEISURE -- 4.8%
2 Carmike Cinemas, Inc. 67
3 K2, Inc.* 52
2 LIFE TIME FITNESS, Inc.* 63
4 Lions Gate Entertainment Corp. (Canada)* (l) 46
3 Scientific Games Corp., Class A* 60
-------------------------------------------------------------------
288
-------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
47
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
FINANCIAL SERVICES -- 0.9%
1 Calamos Asset Management, Inc., Class A* $ 20
2 Marlin Business Services, Inc.* 32
-------------------------------------------------------------------
52
-------------------------------------------------------------------
FOOD/BEVERAGE PRODUCTS -- 0.7%
1 United Natural Foods, Inc.* 39
HEALTH CARE/HEALTH CARE SERVICES -- 12.9%
3 Abaxis, Inc.* 38
1 Advanced Medical Optics, Inc.* 29
2 Amedisys, Inc.* (l) 58
0^^ AMERIGROUP Corp.* 30
2 ArthroCare Corp.* (l) 66
1 Cooper Companies, Inc. 46
1 Covance, Inc.* 50
1 Gentiva Health Services* 23
3 Kyphon, Inc.* (l) 71
2 Psychiatric Solutions, Inc.* 90
2 Sunrise Senior Living, Inc.* (l) 82
1 Symmetry Medical, Inc.* 15
5 TriPath Imaging, Inc.* (l) 47
1 United Surgical Partners International, Inc.* (l) 43
2 VCA Antech, Inc.* 45
1 Ventana Medical Systems, Inc.* 38
-------------------------------------------------------------------
771
-------------------------------------------------------------------
HOTELS/OTHER LODGING -- 1.1%
2 Gaylord Entertainment Co.* 66
INSURANCE -- 2.6%
1 Direct General Corp. (l) 42
2 Infinity Property & Casualty Corp. 54
1 ProAssurance Corp.* 57
-------------------------------------------------------------------
153
-------------------------------------------------------------------
INTERNET SERVICES/SOFTWARE -- 2.8%
1 Equinix, Inc.* (l) 56
1 F5 Networks, Inc.* 29
9 Mindspeed Technologies, Inc.* (l) 25
4 Sapient Corp.* 30
1 WebEx Communications, Inc.* (l) 26
-------------------------------------------------------------------
166
-------------------------------------------------------------------
INVESTMENT COMPANY -- 0.0% ^
0^^ Apollo Investment Corp. $ 2
MANUFACTURING -- 1.6%
7 General Cable Corp.* (l) 94
METALS/MINING -- 0.9%
2 Arch Coal, Inc. 55
MULTI-MEDIA -- 1.0%
4 Gray Television, Inc. 58
OFFICE/BUSINESS EQUIPMENT -- 1.2%
2 Global Imaging Systems, Inc.* (l) 73
OIL & GAS -- 6.0%
2 Headwaters, Inc.* (l) 46
1 Newfield Exploration Co.* 54
1 Oceaneering International, Inc.* 45
1 Spinnaker Exploration Co.* 35
1 Swift Energy Co.* 30
2 Unit Corp.* 76
2 Universal Compression Holding, Inc.* 73
-------------------------------------------------------------------
359
-------------------------------------------------------------------
PHARMACEUTICALS -- 6.2%
2 Able Laboratories, Inc.* (l) 35
3 Adolor Corp.* 33
1 AtheroGenics, Inc.* (l) 24
3 Cubist Pharmaceuticals, Inc.* 39
1 CV Therapeutics, Inc.* (l) 32
3 Cypress Bioscience, Inc.* (l) 40
0^^ Idenix Pharmaceuticals, Inc.* (l) 7
2 Nabi Biopharmaceuticals* 29
1 Onyx Pharmaceuticals, Inc.* (l) 29
1 Pharmion Corp.* 24
1 Rigel Pharmaceuticals, Inc.* (l) 24
1 United Therapeutics Corp.* 25
1 Valeant Pharmaceuticals International 31
-------------------------------------------------------------------
372
-------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
48
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
REAL ESTATE INVESTMENT TRUST -- 1.4%
2 American Financial Realty Trust $ 25
2 Global Signal, Inc. + 56
-------------------------------------------------------------------
81
-------------------------------------------------------------------
RESTAURANTS/FOOD SERVICES -- 1.0%
2 Rare Hospitality International, Inc.* 61
RETAILING -- 5.1%
1 Aeropostale, Inc.* 24
1 Cost Plus, Inc.* 29
2 Genesco, Inc.* (l) 76
1 Guitar Center, Inc.* 66
1 The Children's Place Retail Stores, Inc.* (l) 33
3 The Pantry, Inc.* 77
-------------------------------------------------------------------
305
-------------------------------------------------------------------
SEMI-CONDUCTORS -- 4.1%
4 Credence Systems Corp.* 35
1 Cymer, Inc.* 40
4 Entegris, Inc.* 41
3 Mattson Technology, Inc.* 34
3 Micrel, Inc.* 28
1 Power Integrations, Inc.* 26
1 Semtech Corp.* 28
0^^ Varian Semiconductor Equipment
Associates, Inc.* 15
-------------------------------------------------------------------
247
-------------------------------------------------------------------
SHIPPING/TRANSPORTATION -- 0.8%
1 UTI Worldwide, Inc. (Virgin Islands) 49
TELECOMMUNICATIONS -- 6.5%
6 Aeroflex, Inc.* 77
5 Atheros Communications, Inc.* (l) 53
11 LCC International, Inc.* 67
4 Nextel Partners, Inc., Class A* 71
3 Symmetricom, Inc.* 33
4 Tekelec* 73
1 Viasat, Inc.* 16
-------------------------------------------------------------------
390
-------------------------------------------------------------------
TELECOMMUNICATIONS EQUIPMENT -- 2.2%
6 C-COR.net Corp.* $ 52
3 Inter-Tel, Inc. 80
-------------------------------------------------------------------
132
-------------------------------------------------------------------
TRANSPORTATION -- 0.9%
3 Sirva, Inc.* 54
-------------------------------------------------------------------
Total Common Stocks
(Cost $4,679) 5,828
-------------------------------------------------------------------
SHORT-TERM INVESTMENT - 3.6%
MONEY MARKET FUND -- 3.6%
216 JPMorgan Prime Money Market Fund (a)
(Cost $216) 216
-------------------------------------------------------------------
TOTAL INVESTMENTS -- 101.0%
(COST $4,895) $ 6,044
-------------------------------------------------------------------
LIABILITIES IN EXCESS OF OTHER ASSETS -- (1.0)% (59)
-------------------------------------------------------------------
NET ASSETS -- 100.0% $ 5,985
-------------------------------------------------------------------
</Table>
Percentages indicated are based on net assets.
<Table>
<Caption>
PRINCIPAL
AMOUNT
(USD) COLLATERAL INVESTMENT VALUE
- --------------------------------------------------------------------------------
REPURCHASE AGREEMENT (c)
$ 1,132 Deutsche Bank Securities, Inc. 2.33%,
dated 12/31/04, due 01/03/05,
proceeds $1,132, collateralized by
U.S. Government Agency Securities $ 1,132
-------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
49
<Page>
JPMORGAN TRUST SMALL CAP EQUITY FUND
PORTFOLIO OF INVESTMENTS AS OF DECEMBER 31, 2004
(Amounts in thousands)
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- 92.3%
COMMON STOCKS -- 92.3%
ADVERTISING -- 0.5%
15 ADVO, Inc. $ 549
37 aQuantive, Inc.* (l) 328
13 Catalina Marketing Corp. 376
46 R.H. Donnelley Corp.* (l) 2,722
59 SITEL Corp.* 145
-------------------------------------------------------------------
4,120
-------------------------------------------------------------------
AEROSPACE -- 1.7%
80 Aviall, Inc.* 1,840
54 BE Aerospace, Inc.* 633
11 Curtiss-Wright Corp. (l) 632
85 Esterline Technologies Corp.* 2,775
23 HEICO Corp. (l) 511
45 Kaman Corp., Class A 572
157 Moog, Inc., Class A* 7,119
123 Orbital Sciences Corp.* (l) 1,453
-------------------------------------------------------------------
15,535
-------------------------------------------------------------------
AGRICULTURAL PRODUCTION/SERVICES -- 0.1%
130 DIMON, Inc. (l) 872
AIRLINES -- 0.8%
203 Delta Air Lines, Inc.* (l) 1,521
184 ExpressJet Holdings, Inc.* (l) 2,367
8 FLYi, Inc.* 15
106 Mesa Air Group, Inc.* (l) 842
77 Pinnacle Airlines Corp.* 1,073
93 SkyWest, Inc. 1,856
-------------------------------------------------------------------
7,674
-------------------------------------------------------------------
APPAREL -- 0.8%
19 DHB Industries, Inc.* 367
43 Kellwood Co. (l) 1,473
45 Kenneth Cole Productions, Inc., Class A 1,395
92 Quiksilver, Inc.* 2,738
73 Skechers U.S.A., Inc., Class A* 945
-------------------------------------------------------------------
6,918
-------------------------------------------------------------------
APPLIANCES & HOUSEHOLD DURABLES -- 0.3%
52 Furniture Brands International, Inc. 1,313
112 Jacuzzi Brands, Inc.* 975
-------------------------------------------------------------------
2,288
-------------------------------------------------------------------
AUTOMOTIVE -- 1.0%
93 ArvinMeritor, Inc. $ 2,087
74 Hayes Lemmerz International, Inc.* (l) 653
51 Lithia Motors, Inc., Class A 1,371
21 Sonic Automotive, Inc. (l) 521
38 Standard Motor Products, Inc. 597
128 Tenneco Automotive, Inc.* 2,208
78 Tower Automotive, Inc.* (l) 185
40 Wabash National Corp.* 1,069
12 Winnebago Industries, Inc. 484
-------------------------------------------------------------------
9,175
-------------------------------------------------------------------
BANKING -- 8.3%
13 ABC Bancorp + 271
15 Ace Cash Express, Inc.* + 457
35 Amcore Financial, Inc. 1,110
7 AmericanWest Bancorp* 140
4 Bancfirst Corp. 348
81 Bank of the Ozarks, Inc. (l) 2,753
169 BankAtlantic Bancorp, Inc., Class A 3,361
6 Capital Corp of the West 282
27 Capitol Bancorp LTD 944
14 Center Financial Corp. 288
39 Central Pacific Financial Corp. 1,418
21 Chemical Financial Corp. 901
12 City Holding Co. 439
17 City National Corp. 1,208
24 Columbia Banking Systems, Inc. 595
20 Commercial Capital Bancorp, Inc. 466
109 Community Bank System, Inc. (l) 3,071
18 Community Trust Bancorp, Inc. 569
82 Corus Bankshares, Inc. 3,951
21 Dime Community Bancshares 381
50 EuroBancshares, Inc. (Puerto Rico)* 1,042
61 First Bancorp (Puerto Rico) 3,842
25 First Niagara Financial Group, Inc. 343
9 First Republic Bank 498
38 First State Bancorporation 1,412
49 Flagstar Bancorp, Inc. (l) 1,110
22 Glacier Bancorp, Inc. 752
69 Gold Banc Corp., Inc. 1,013
41 Greater Bay Bancorp 1,154
41 Hudson River Bancorp 809
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
50
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
BANKING -- CONTINUED
49 IBERIABANK Corp. $ 3,238
46 Independent Bank Corp. 1,372
107 Irwin Financial Corp. (l) 3,024
6 Macatawa Bank Corp. (l) 194
15 MB Financial, Inc. 649
9 Mercantile Bank Corp. 371
25 Nara Bancorp, Inc. 534
42 Oriental Financial Group, Inc. (Puerto Rico) 1,194
37 Partners Trust Financial Group, Inc. (l) 433
12 Peoples Bancorp, Inc. 340
89 PrivateBancorp, Inc. (l) 2,872
103 Provident Bancorp, Inc. 1,357
147 R&G Financial Corp. (Puerto Rico), Class B 5,699
75 Republic Bancorp, Inc. 1,150
5 Republic Bancorp, Inc., Class A 134
12 Simmons First National Corp., Class A 345
9 Southwest Bancorp, Inc. 218
6 State Financial Services Corp., Class A 181
23 Sterling Bancorp 653
119 Sterling Bancshares, Inc. 1,692
40 Sterling Financial Corp. - Washington* 1,559
29 Summit Bancshares, Inc. 1,080
19 Sun Bancorp, Inc.* 462
6 Taylor Capital Group, Inc. 201
12 TriCo Bancshares 283
21 Umpqua Holdings Corp. 522
183 W Holding Co., Inc. (Puerto Rico) 4,187
64 West Coast Bancorp (l) 1,621
62 Westamerica Bancorporation 3,586
6 Western Sierra Bancorp* 222
34 Wilshire Bancorp, Inc.* 566
16 Wintrust Financial Corp. (l) 894
-------------------------------------------------------------------
75,761
-------------------------------------------------------------------
BIOTECHNOLOGY -- 1.5%
33 Abgenix, Inc.* (l) + 342
48 Aksys LTD* (l) + 267
19 Alexion Pharmaceuticals, Inc.* (l) + 466
37 Applera Corp. - Celera Genomics Group* 505
6 Bio-Rad Laboratories, Inc., Class A* 333
45 Cell Genesys, Inc.* (l) 362
110 Cytokinetics, Inc.* (l) 1,132
26 Diversa Corp.* (l) $ 224
34 Enzon Pharmaceuticals, Inc.* (l) 466
13 Exelixis, Inc.* 123
335 Genelabs Technologies* 401
63 Human Genome Sciences, Inc.* (l) 752
251 Incyte Corp.* (l) 2,509
32 Integra LifeSciences Holdings Corp.* (l) 1,194
57 Maxygen, Inc.* 724
43 Myriad Genetics, Inc.* (l) 957
88 Regeneration Technologies, Inc.* (l) 920
93 Seattle Genetics, Inc.* (l) 607
47 Telik, Inc.* 907
28 Transkaryotic Therapies, Inc.* (l) 713
-------------------------------------------------------------------
13,904
-------------------------------------------------------------------
BROADCASTING/CABLE -- 0.3%
165 Charter Communications, Inc., Class A* (l) 370
260 Mediacom Communications Corp., Class A* (l) 1,623
20 Saga Communications, Inc., Class A* (l) 344
24 Sinclair Broadcast Group, Inc., Class A (l) 224
-------------------------------------------------------------------
2,561
-------------------------------------------------------------------
BUSINESS SERVICES -- 2.0%
13 Banta Corp. 577
6 Charles River Associates, Inc.* 271
39 CSG Systems International, Inc.* 724
28 DiamondCluster International, Inc., Class A* 398
30 Digital River, Inc.* (l) 1,240
64 Dollar Thrifty Automotive Group, Inc.* 1,927
140 Gartner, Inc., Class A* (l) 1,743
7 Gevity HR, Inc. 148
57 Heidrick & Struggles International, Inc.* (l) 1,940
76 Labor Ready, Inc.* (l) 1,279
23 Metris Companies, Inc.* 292
80 Navigant Consulting, Inc.* 2,136
30 PDI, Inc.* 664
40 Quanta Services, Inc.* (l) 322
162 Spherion Corp.* (l) 1,361
116 TeleTech Holdings, Inc.* (l) 1,123
31 Tyler Technologies, Inc.* (l) 258
32 Valassis Communications, Inc.* 1,110
6 Vertrue, Inc.* (l) 227
-------------------------------------------------------------------
17,740
-------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
51
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
CHEMICALS -- 2.3%
14 Aceto Corp. + $ 274
34 Albemarle Corp. + 1,316
38 Cabot Microelectronics Corp.* (l) 1,538
31 Cytec Industries, Inc. 1,573
44 FMC Corp.* 2,106
94 Georgia Gulf Corp. 4,672
10 HB Fuller Co. 282
88 Hercules, Inc.* 1,308
28 Kronos Worldwide, Inc. 1,121
30 NewMarket Corp.* 593
17 NuCO2, Inc.* (l) 379
20 OM Group, Inc.* (l) 652
136 PolyOne Corp.* 1,230
41 Terra Industries, Inc.* (l) 365
127 The Mosaic Co.* 2,068
103 W.R. Grace & Co.* (l) 1,405
-------------------------------------------------------------------
20,882
-------------------------------------------------------------------
COMPUTER NETWORKS -- 1.0%
136 Adaptec, Inc.* + 1,031
89 Anixter International, Inc. (l) 3,188
38 Black Box Corp. 1,801
232 Brocade Communications Systems, Inc.* 1,771
17 Factset Research Systems, Inc. 970
-------------------------------------------------------------------
8,761
-------------------------------------------------------------------
COMPUTER SOFTWARE -- 4.5%
24 Ansys, Inc.* 753
37 Ariba, Inc.* 618
34 Ascential Software Corp.* 555
54 Aspen Technology, Inc.* (l) 336
74 Atari, Inc.* 216
65 Borland Software Corp.* 764
41 CACI International, Inc., Class A* 2,820
23 Cerner Corp.* (l) 1,202
127 Ciber, Inc.* (l) 1,226
46 Computer Programs & Systems, Inc. (l) 1,072
44 Dendrite International, Inc.* 861
24 DSP Group, Inc.* 543
64 E.piphany, Inc.* 309
26 Echelon Corp.* 216
33 Epicor Software Corp.* 458
27 EPIQ Systems, Inc.* (l) $ 395
16 FileNet Corp.* 415
56 Hyperion Solutions Corp.* 2,624
46 Informatica Corp.* 372
54 Intergraph Corp.* 1,457
7 Intervideo, Inc.* 95
13 Intervoice, Inc.* 172
35 JDA Software Group, Inc.* 474
12 Kronos, Inc.* 634
27 Lexar Media, Inc.* 208
38 Magma Design Automation, Inc.* (l) 482
30 Manhattan Associates, Inc.* (l) 719
51 ManTech International Corp., Class A* (l) 1,206
24 Manugistics Group, Inc.* 68
25 MAPICS, Inc.* 260
59 Mentor Graphics Corp.* (l) 894
9 MicroStrategy, Inc.* (l) 512
47 MRO Software, Inc.* 615
40 Openwave Systems, Inc.* (l) 614
11 PalmSource, Inc.* (l) 136
286 Parametric Technology Corp.* 1,682
21 Pegasystems, Inc.* (l) 177
83 Per-Se Technologies, Inc.* (l) 1,320
87 Perot Systems Corp., Class A* 1,398
94 Progress Software Corp.* 2,183
4 Quality Systems, Inc.* 209
24 Quest Software, Inc.* 380
37 Retek, Inc.* 228
45 SafeNet, Inc.* 1,642
139 Secure Computing Corp.* 1,391
6 SPSS, Inc.* 94
12 SRA International, Inc., Class A* 777
9 SS&C Technologies, Inc. 184
7 Stratasys, Inc.* 248
42 Take-Two Interactive Software, Inc.* (l) 1,451
12 TALX Corp. 312
12 TradeStation Group, Inc.* (l) 81
48 Transaction Systems Architects, Inc.,
Class A* 947
23 webMethods, Inc.* 165
88 Wind River Systems, Inc.* 1,186
-------------------------------------------------------------------
40,356
-------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
52
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
COMPUTERS/COMPUTER HARDWARE -- 1.2%
37 Advanced Digital Information Corp.* + $ 371
88 Agilysys, Inc. (l) + 1,505
28 Dot Hill Systems Corp.* (l) 216
13 Electronics for Imaging, Inc.* 221
87 Gateway, Inc.* 522
61 Hutchinson Technology, Inc.* 2,120
21 Imagistics International, Inc.* (l) 707
54 Imation Corp. 1,712
60 Komag, Inc.* 1,129
35 PalmOne, Inc.* (l) 1,098
29 RadiSys Corp.* (l) 561
208 Silicon Graphics, Inc.* (l) 359
70 Sykes Enterprises, Inc.* 489
-------------------------------------------------------------------
11,010
-------------------------------------------------------------------
CONSTRUCTION -- 0.9%
9 Beazer Homes USA, Inc. (l) 1,301
148 Champion Enterprises, Inc.* (l) 1,745
18 Dycom Industries, Inc.* 537
54 Levitt Corp., Class A (l) 1,645
15 Meritage Corp.* 1,736
36 WCI Communities, Inc.* (l) 1,064
-------------------------------------------------------------------
8,028
-------------------------------------------------------------------
CONSTRUCTION MATERIALS -- 1.3%
16 Ameron International Corp. 595
24 Eagle Materials, Inc. (l) 2,055
33 ElkCorp 1,122
50 NCI Building Systems, Inc.* (l) 1,871
19 Texas Industries, Inc. 1,154
75 Universal Forest Products, Inc. 3,256
46 USG Corp.* (l) 1,844
-------------------------------------------------------------------
11,897
-------------------------------------------------------------------
CONSUMER PRODUCTS -- 1.0%
45 American Greetings Corp., Class A 1,146
6 CSS Industries, Inc. 191
136 Revlon, Inc., Class A* 313
18 Stanley Furniture Company, Inc. 791
19 Toro Co. 1,570
78 Tupperware Corp. (l) 1,618
67 Universal Corp. 3,196
-------------------------------------------------------------------
8,825
-------------------------------------------------------------------
CONSUMER SERVICES -- 0.8%
42 Alderwoods Group, Inc. (Canada)* + $ 477
33 Arbitron, Inc.* 1,273
182 Rent-Way, Inc.* 1,455
41 Sotheby's Holdings, Inc., Class A* 752
31 SOURCECORP, Inc.* 592
31 Startek, Inc. (l) 882
174 Stewart Enterprises, Inc., Class A* 1,216
34 The GEO Group, Inc.* 909
-------------------------------------------------------------------
7,556
-------------------------------------------------------------------
DISTRIBUTION -- 0.2%
18 Building Material Holding Corp. 697
39 WESCO International, Inc.* 1,162
-------------------------------------------------------------------
1,859
-------------------------------------------------------------------
ELECTRONICS/ELECTRICAL EQUIPMENT -- 1.9%
9 Analogic Corp. 381
8 BEI Technologies, Inc. 247
19 Bel Fuse, Inc., Class B (l) 652
55 Benchmark Electronics, Inc.* 1,879
30 Checkpoint Systems, Inc.* (l) 543
61 CTS Corp. 815
25 Electro Scientific Industries, Inc.* 496
48 Encore Wire Corp.* 634
7 FARO Technologies, Inc.* 224
36 Integrated Electrical Services, Inc.* (l) 176
38 Itron, Inc.* 897
14 MTS Systems Corp. 460
26 Planar Systems, Inc.* (l) 295
24 Power-One, Inc.* 214
81 Rayovac Corp.* 2,471
26 ROFIN-SINAR Technologies, Inc.* 1,104
61 Stoneridge, Inc.* 915
56 Sypris Solutions, Inc. (l) 850
52 Trimble Navigation LTD* 1,705
93 TTM Technologies, Inc.* 1,092
32 Valence Technology, Inc.* (l) 100
39 Watts Water Technologies, Inc., Class A 1,264
14 Zygo Corp.* 166
-------------------------------------------------------------------
17,580
-------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
53
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
ENGINEERING SERVICES -- 0.2%
21 URS Corp.* $ 664
31 Washington Group International, Inc.* (l) 1,263
-------------------------------------------------------------------
1,927
-------------------------------------------------------------------
ENTERTAINMENT/LEISURE -- 2.2%
40 Ameristar Casinos, Inc. 1,711
30 Argosy Gaming Co.* 1,392
17 Aztar Corp.* 580
18 Brunswick Corp. 886
61 Callaway Golf Co. 824
17 Carmike Cinemas, Inc. 613
12 Isle of Capri Casinos, Inc.* (l) 318
47 K2, Inc.* 750
31 Macrovision Corp.* 802
52 Multimedia Games, Inc.* (l) 813
62 Navigant International, Inc.* (l) 758
50 Penn National Gaming, Inc.* 3,040
52 Pinnacle Entertainment, Inc.* 1,036
150 Scientific Games Corp., Class A* 3,585
77 Thor Industries, Inc. (l) 2,842
-------------------------------------------------------------------
19,950
-------------------------------------------------------------------
ENVIRONMENTAL SERVICES -- 0.2%
37 Duratek, Inc.* 921
13 Metal Management, Inc. (l) 347
24 Tetra Tech, Inc.* 402
15 Waste Connections, Inc.* 510
-------------------------------------------------------------------
2,180
-------------------------------------------------------------------
FINANCIAL SERVICES -- 1.6%
46 Accredited Home Lenders Holding Co.* + 2,305
19 Advanta Corp., Class B + 456
30 Affiliated Managers Group, Inc.* (l) + 2,039
9 Asta Funding, Inc. 239
20 Coinstar, Inc.* 539
53 CompuCredit Corp.* 1,449
8 Credit Acceptance Corp.* (l) 196
9 Education Lending Group, Inc.* 146
8 Encore Capital Group, Inc.* 190
15 eSpeed, Inc., Class A* 190
14 Euronet Worldwide, Inc.* 375
14 ITLA Capital Corp.* 847
50 Knight Trading Group, Inc., Class A* (l) $ 550
24 National Financial Partners Corp. 931
195 Safeguard Scientifics, Inc.* 414
57 World Acceptance Corp.* 1,571
30 WSFS Financial Corp. 1,816
-------------------------------------------------------------------
14,253
-------------------------------------------------------------------
FOOD/BEVERAGE PRODUCTS -- 0.9%
76 Chiquita Brands International, Inc. (l) 1,681
40 Corn Products International, Inc. 2,142
29 Flowers Foods, Inc. 906
14 J & J Snack Foods Corp. 706
56 Sanderson Farms, Inc. (l) 2,403
-------------------------------------------------------------------
7,838
-------------------------------------------------------------------
HEALTH CARE/HEALTH CARE SERVICES -- 6.1%
39 ABIOMED Inc.* (l) + 601
49 Align Technology, Inc.* + 522
108 Alliance Imaging, Inc.* 1,212
21 America Service Group, Inc.* 554
34 Animas Corp.* (l) 527
54 Apria Healthcare Group, Inc.* 1,773
23 Arrow International, Inc. 700
17 ArthroCare Corp.* (l) 558
24 Biosite, Inc.* (l) 1,465
84 Centene Corp.* 2,376
88 CONMED Corp.* (l) 2,504
27 CTI Molecular Imaging, Inc.* 387
33 Diagnostic Products Corp. 1,789
184 Encore Medical Corp.* 1,252
14 Epix Medical, Inc.* (l) 258
19 First Health Group Corp.* 357
27 Genesis HealthCare Corp.* 928
97 Gentiva Health Services* 1,625
16 Immucor, Inc.* 380
17 Inverness Medical Innovations, Inc.* (l) 417
151 Kindred Healthcare, Inc.* (l) 4,512
79 Kyphon, Inc.* (l) 2,032
40 Mentor Corp. 1,333
19 Merit Medical Systems, Inc.* 292
53 NeuroMetrix, Inc.* 617
81 OCA, Inc.* (l) 512
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
54
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
HEALTH CARE/HEALTH CARE SERVICES -- CONTINUED
17 Ocular Sciences, Inc.* $ 814
84 Owens & Minor, Inc. 2,355
136 Palatin Technologies, Inc.* 363
63 Pediatrix Medical Group, Inc.* 4,009
11 Possis Medical, Inc.* 142
59 Province Healthcare Co.* 1,325
137 PSS World Medical, Inc.* (l) 1,720
48 Res-Care, Inc.* 726
40 Sierra Health Services, Inc.* (l) 2,177
66 Sola International, Inc.* 1,818
120 Steris Corp.* (l) 2,834
15 SurModics, Inc.* (l) 501
40 Symbion, Inc.* 872
15 TECHNE Corp.* 599
77 United Surgical Partners
International, Inc.* (l) 3,210
80 VISX, Inc.* 2,062
-------------------------------------------------------------------
55,010
-------------------------------------------------------------------
HOTELS/OTHER LODGING -- 0.1%
70 La Quinta Corp.* 634
INDUSTRIAL COMPONENTS -- 0.4%
22 Hexcel Corp.* 313
151 Lennox International, Inc. 3,067
-------------------------------------------------------------------
3,380
-------------------------------------------------------------------
INSURANCE -- 2.0%
9 AmerUs Group Co. 403
38 Argonaut Group, Inc.* (l) 803
86 Delphi Financial Group, Inc., Class A 3,988
36 Direct General Corp. (l) 1,152
33 LandAmerica Financial Group, Inc. (l) 1,753
8 NYMAGIC, Inc. 202
229 PMA Capital Corp., Class A* (l) 2,368
31 Selective Insurance Group 1,371
35 Stewart Information Services Corp. 1,449
2 The Navigators Group, Inc.* (l) 66
14 United Fire & Casualty Co. 485
21 Vesta Insurance Group, Inc. 76
84 Zenith National Insurance Corp. 4,183
-------------------------------------------------------------------
18,299
-------------------------------------------------------------------
INTERNET SERVICES/SOFTWARE -- 2.6%
63 AsiaInfo Holdings, Inc. (China)* $ 373
50 Autobytel, Inc.* 300
5 Blue Coat Systems, Inc.* 93
355 CMGI, Inc.* 904
129 CNET Networks, Inc.* 1,446
18 Corillian Corp.* 88
27 Digital Insight Corp.* 488
115 Digitas, Inc.* 1,094
122 DoubleClick, Inc.* 949
306 EarthLink, Inc.* 3,520
18 Equinix, Inc.* (l) 765
35 Harris Interactive, Inc.* 279
184 Homestore, Inc.* (l) 558
35 Infospace, Inc.* (l) 1,656
52 Internet Security Systems, Inc.* 1,200
6 Interwoven, Inc.* 65
38 iPass, Inc.* 284
33 j2 Global Communications, Inc.* 1,121
43 Lionbridge Technologies, Inc.* 292
175 LookSmart LTD* 383
47 Mindspeed Technologies, Inc.* (l) 131
14 PC-Tel, Inc.* 108
31 Portal Software, Inc.* (l) 83
29 ProQuest Co.* 846
29 Redback Networks, Inc.* 155
136 SupportSoft, Inc.* (l) 902
60 Trizetto Group, Inc.* 566
78 United Online, Inc.* 904
71 Valueclick, Inc.* (l) 942
46 WebEx Communications, Inc.* (l) 1,084
34 Websense, Inc.* 1,725
-------------------------------------------------------------------
23,304
-------------------------------------------------------------------
INVESTMENT COMPANY -- 0.1%
43 Technology Investment Capital Corp. 638
LEASING -- 0.4%
18 Amerco, Inc.* 809
84 GATX Corp. 2,495
17 Interpool, Inc. 399
-------------------------------------------------------------------
3,703
-------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
55
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
MACHINERY & ENGINEERING EQUIPMENT -- 2.2%
324 Applied Industrial Technologies, Inc. $ 8,883
50 Astec Industries, Inc.* 864
32 Cascade Corp. 1,278
53 Flowserve Corp.* 1,451
16 NACCO Industries, Inc., Class A 1,665
15 Sauer-Danfoss, Inc. (l) 318
24 Tecumseh Products Co., Class A 1,123
52 The Manitowoc Co., Inc. 1,954
18 UNOVA, Inc.* (l) 460
53 York International Corp. 1,831
-------------------------------------------------------------------
19,827
-------------------------------------------------------------------
MANUFACTURING -- 2.6%
29 Armor Holdings, Inc.* 1,349
61 Barnes Group, Inc. 1,604
21 Cyberoptics Corp.* (l) 308
11 ESCO Technologies, Inc.* 874
62 Fleetwood Enterprises, Inc.* (l) 836
77 Griffon Corp.* 2,071
57 JLG Industries, Inc. (l) 1,121
58 Joy Global, Inc. 2,532
60 Lincoln Electric Holdings, Inc. 2,069
31 NN, Inc. 412
19 Penn Engineering & Manufacturing Corp. 349
79 Quanex Corp. (l) 5,410
49 Terex Corp.* 2,316
57 Walter Industries, Inc. (l) 1,936
-------------------------------------------------------------------
23,187
-------------------------------------------------------------------
METALS/MINING -- 0.7%
93 Commercial Metals Co. (l) 4,678
32 Metals USA, Inc.* (l) 584
27 Valmont Industries, Inc. 665
-------------------------------------------------------------------
5,927
-------------------------------------------------------------------
MULTI-MEDIA -- 0.6%
38 Emmis Communications Corp., Class A* 720
35 Gray Television, Inc. 539
33 Insight Communications Co., Inc., Class A* (l) 304
35 Journal Register Co.* 667
153 Lodgenet Entertainment Corp.* 2,699
73 World Wrestling Entertainment, Inc. 888
-------------------------------------------------------------------
5,817
-------------------------------------------------------------------
OFFICE/BUSINESS EQUIPMENT -- 0.5%
9 General Binding Corp.* $ 112
85 Global Imaging Systems, Inc.* (l) 3,369
29 United Stationers, Inc.* 1,340
-------------------------------------------------------------------
4,821
-------------------------------------------------------------------
OIL & GAS -- 6.0%
26 Black Hills Corp. 785
18 Callon Petroleum Co.* (l) 259
24 Comstock Resources, Inc.* 536
120 Denbury Resources, Inc.* 3,280
88 Energen Corp. 5,176
19 Energy Partners LTD* 387
7 Giant Industries, Inc.* 196
16 Gulf Island Fabrication, Inc. 351
47 Hanover Compressor Co.* (l) 670
28 Headwaters, Inc.* (l) 792
45 Helmerich & Payne, Inc. 1,539
152 Houston Exploration Co.* 8,548
23 Hydril Co.* 1,029
223 Key Energy Services, Inc.* 2,629
46 Lone Star Technologies, Inc.* 1,543
41 Mission Resources Corp.* (l) 239
71 Oceaneering International, Inc.* 2,646
30 Oil States International, Inc.* 581
15 Penn Virginia Corp. 604
129 Southern Union Co.* (l) 3,098
71 Southwest Gas Corp. 1,801
143 Southwestern Energy Co.* (l) 7,259
36 Stone Energy Corp.* 1,632
78 Tesoro Petroleum Corp.* 2,498
43 Todco, Class A* 783
34 Unit Corp.* 1,288
46 Veritas DGC, Inc.* (l) 1,040
102 Vintage Petroleum, Inc. 2,323
18 World Fuel Services Corp. 891
-------------------------------------------------------------------
54,403
-------------------------------------------------------------------
PACKAGING -- 0.7%
264 Crown Holdings, Inc.* 3,629
50 Silgan Holdings, Inc. 3,060
-------------------------------------------------------------------
6,689
-------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
56
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
PAPER/FOREST PRODUCTS -- 0.2%
23 Schweitzer-Mauduit International, Inc. $ 767
67 Wausau-Mosinee Paper Corp. 1,202
-------------------------------------------------------------------
1,969
-------------------------------------------------------------------
PHARMACEUTICALS -- 3.8%
42 Able Laboratories, Inc.* (l) + 953
136 Adolor Corp.* + 1,352
47 Alkermes, Inc.* (l) 657
16 Antigenics, Inc.* (l) 165
111 AtheroGenics, Inc.* (l) 2,613
42 Auxilium Pharmaceuticals, Inc.* 369
562 AVANIR Pharmaceuticals, Class A* (l) 1,918
15 Bradley Pharmaceuticals, Inc.* (l) 299
36 Corixa Corp.* (l) 130
146 Cubist Pharmaceuticals, Inc.* 1,726
139 CV Therapeutics, Inc.* (l) 3,186
264 Cypress Bioscience, Inc.* 3,708
18 Dendreon Corp.* (l) 190
39 Impax Laboratories, Inc.* (l) 622
21 Kos Pharmaceuticals, Inc.* (l) 779
52 Ligand Pharmaceuticals, Inc., Class B* (l) 604
24 Medicines Co.* 700
90 Onyx Pharmaceuticals, Inc.* (l) 2,902
30 Par Pharmaceutical Companies, Inc.* 1,221
17 Pharmion Corp.* 722
43 PolyMedica Corp. (l) 1,618
54 Rigel Pharmaceuticals, Inc.* (l) 1,309
11 Tanox, Inc.* (l) 167
44 United Therapeutics Corp.* (l) 1,982
96 Valeant Pharmaceuticals International 2,530
53 Vertex Pharmaceuticals, Inc.* 557
53 Vicuron Pharmaceuticals, Inc.* 928
-------------------------------------------------------------------
33,907
-------------------------------------------------------------------
PRINTING & PUBLISHING -- 0.4%
119 Bowne & Co., Inc. 1,928
38 John H. Harland Co. 1,354
-------------------------------------------------------------------
3,282
-------------------------------------------------------------------
REAL ESTATE -- 0.1%
13 LNR Property Corp. (l) 799
REAL ESTATE INVESTMENT TRUST -- 6.7%
93 Affordable Residential
Communities, Inc. (l) + $ 1,335
265 American Financial Realty Trust 4,291
106 American Home Mortgage
Investment Corp. 3,620
108 Anthracite Capital, Inc. 1,331
59 Capital Automotive Real Estate
Investment Trust 2,100
211 CarrAmerica Realty Corp. 6,959
45 Entertainment Properties Trust 2,014
187 Equity Inns, Inc. 2,200
44 FelCor Lodging Trust, Inc.* 643
48 Gables Residential Trust 1,721
201 Government Properties Trust, Inc. (l) 1,979
54 Highwoods Properties, Inc. (l) 1,499
44 IMPAC Mortgage Holdings, Inc. 995
213 InnKeepers USA Trust 3,026
26 LaSalle Hotel Properties 815
101 Lexington Corporate Properties Trust 2,287
84 LTC Properties, Inc. 1,664
162 Meristar Hospitality Corp.* 1,353
99 MFA Mortgage Investments, Inc. 873
52 Mid-America Apartment Communities, Inc. 2,148
15 National Health Investors, Inc. 449
38 New Century Financial Corp. 2,397
35 NovaStar Financial, Inc. (l) 1,752
96 Pennsylvania Real Estate
Investment Trust (l) 4,100
115 Prentiss Properties Trust 4,396
77 RAIT Investment Trust (l) 2,162
65 Saul Centers, Inc. (l) 2,479
-------------------------------------------------------------------
60,588
-------------------------------------------------------------------
RESTAURANTS/FOOD SERVICES -- 1.3%
41 CBRL Group, Inc. 1,720
12 CEC Entertainment, Inc.* 496
103 CKE Restaurants, Inc.* (l) 1,495
6 Jack in the Box, Inc.* 221
185 Landry's Restaurants, Inc. (l) 5,373
27 Rare Hospitality International, Inc.* 844
129 Ryan's Restaurant Group, Inc.* 1,992
-------------------------------------------------------------------
12,141
-------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
57
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
RETAILING -- 4.5%
26 1-800-FLOWERS.COM, Inc., Class A* $ 221
205 Aaron Rents, Inc. + 5,133
88 Aeropostale, Inc.* + 2,575
78 Asbury Automotive Group, Inc.* 1,078
91 Brookstone, Inc.* 1,775
19 Brown Shoe Co., Inc. 570
206 Cash America International, Inc. 6,131
24 Charlotte Russe Holding, Inc.* 245
338 Charming Shoppes, Inc.* (l) 3,167
11 Electronics Boutique Holdings Corp.* (l) 451
38 Genesco, Inc.* (l) 1,168
143 Hollywood Entertainment Corp.* 1,874
36 Hot Topic, Inc.* 626
46 Insight Enterprises, Inc.* 946
6 Jo-Ann Stores, Inc.* 165
34 MarineMax, Inc.* 1,018
7 Movado Group, Inc. 134
20 Movie Gallery, Inc. (l) 379
49 Select Comfort Corp.* (l) 881
78 ShopKo Stores, Inc.* (l) 1,450
104 Stein Mart, Inc.* 1,769
34 The Children's Place Retail Stores, Inc.* (l) 1,259
67 The J. Jill Group, Inc.* (l) 990
68 The Pantry, Inc.* 2,052
14 The Sports Authority, Inc.* (l) 350
94 Too, Inc.* 2,294
21 Trans World Entertainment Corp.* 258
26 United Auto Group, Inc. 758
44 Zale Corp.* 1,320
-------------------------------------------------------------------
41,037
-------------------------------------------------------------------
RETAILING - FOOD & STAPLES -- 0.1%
14 Nash-Finch Co. 521
34 Pathmark Stores, Inc.* 198
42 Winn-Dixie Stores, Inc. (l) 192
-------------------------------------------------------------------
911
-------------------------------------------------------------------
SEMI-CONDUCTORS -- 3.1%
25 Actel Corp.* + 446
33 ADE Corp.* (l) + 625
104 AMIS Holdings, Inc.* 1,714
28 Asyst Technologies, Inc.* 140
19 ATMI, Inc.* + $ 417
42 August Technology Corp.* 441
143 Axcelis Technologies, Inc.* 1,160
54 Brooks Automation, Inc.* 926
79 Cirrus Logic, Inc.* 434
56 Credence Systems Corp.* 512
44 Cymer, Inc.* 1,288
24 Diodes, Inc.* 539
23 ESS Technology, Inc.* 161
21 Exar Corp.* 302
18 Genesis Microchip, Inc.* (l) 285
28 Integrated Silicon Solutions, Inc.* 226
28 IXYS Corp.* 287
25 Kopin Corp.* 97
50 Lattice Semiconductor Corp.* 283
59 LTX Corp.* (l) 450
65 Mattson Technology, Inc.* 733
88 Micrel, Inc.* 973
65 Microsemi Corp.* 1,130
69 MIPS Technologies, Inc.* 677
19 MKS Instruments, Inc.* 358
56 Mykrolis Corp.* (l) 794
40 Omnivision Technologies, Inc.* (l) 728
334 ON Semiconductor Corp.* 1,517
73 Photronics, Inc.* (l) 1,198
71 Pixelworks, Inc.* 807
19 Power Integrations, Inc.* 366
46 Semitool, Inc.* 425
26 SigmaTel, Inc.* 924
77 Silicon Image, Inc.* (l) 1,262
145 Silicon Storage Technology, Inc.* 864
8 Siliconix, Inc.* (l) 292
130 Skyworks Solutions, Inc.* 1,226
13 Supertex, Inc.* 276
110 Transmeta Corp.* (l) 179
9 Ultratech, Inc.* 168
24 Varian Semiconductor Equipment
Associates, Inc.* (l) 877
221 Vitesse Semiconductor Corp.* (l) 779
27 Zoran Corp.* 316
-------------------------------------------------------------------
27,602
-------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
58
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
SHIPPING/TRANSPORTATION -- 0.1%
34 Swift Transportation Co., Inc.* (l) $ 735
STEEL -- 1.2%
248 AK Steel Holding Corp.* + 3,591
30 Gibraltar Industries, Inc. 711
42 Reliance Steel & Aluminum Co. 1,632
65 Ryerson Tull, Inc. (l) 1,017
18 Schnitzer Steel Industries, Inc., Class A (l) 607
87 Steel Dynamics, Inc. (l) 3,281
-------------------------------------------------------------------
10,839
-------------------------------------------------------------------
TELECOMMUNICATIONS -- 2.4%
62 Aeroflex, Inc.* + 755
190 Alamosa Holdings, Inc.* + 2,372
112 Arris Group, Inc.* 785
88 Aspect Communications* 978
37 Boston Communications Group* 339
42 Broadwing Corp.* (l) 380
84 Centennial Communications Corp.* 663
373 Cincinnati Bell, Inc.* 1,546
12 Commonwealth Telephone Enterprises, Inc.* 616
34 CT Communications, Inc. 423
76 Extreme Networks, Inc.* 500
159 Finisar Corp.* (l) 362
26 Hypercom Corp.* 156
10 Interdigital Communications Corp.* 219
30 Intrado, Inc.* (l) 364
93 ITC DeltaCom, Inc.* 159
111 MasTec, Inc.* (l) 1,121
125 MRV Communications, Inc.* (l) 458
36 NETGEAR, Inc.* (l) 648
125 Primus Telecommunications Group, Inc.* (l) 398
475 PTEK Holdings, Inc.* 5,090
121 Symmetricom, Inc.* (l) 1,174
32 Talk America Holdings, Inc.* (l) 210
53 Tekelec* 1,077
81 Time Warner Telecom, Inc., Class A* 351
76 Westell Technologies, Inc., Class A* 514
-------------------------------------------------------------------
21,658
-------------------------------------------------------------------
TELECOMMUNICATIONS EQUIPMENT -- 0.8%
16 Audiovox Corp., Class A* (l) 254
28 Brightpoint, Inc.* $ 543
65 C-COR.net Corp.* 605
9 Comtech Telecommunications* (l) 354
22 Ditech Communications Corp.* 333
115 Inter-Tel, Inc. 3,144
54 Remec, Inc.* (l) 388
188 RF Micro Devices, Inc.* (l) 1,285
50 Terayon Communications Systems, Inc.* 135
-------------------------------------------------------------------
7,041
-------------------------------------------------------------------
TEXTILES -- 0.5%
126 Angelica Corp. 3,403
38 UniFirst Corp. 1,075
-------------------------------------------------------------------
4,478
-------------------------------------------------------------------
TIRE & RUBBER -- 0.3%
169 Goodyear Tire & Rubber Co.* (l) 2,473
TOYS & GAMES -- 0.4%
53 JAKKS Pacific, Inc.* (l) 1,178
59 RC2 Corp.* 1,934
29 Steinway Musical Instruments, Inc.* 839
-------------------------------------------------------------------
3,951
-------------------------------------------------------------------
TRANSPORTATION -- 1.9%
26 Arkansas Best Corp. 1,181
81 Genesee & Wyoming, Inc., Class A* 2,276
32 Offshore Logistics, Inc.* 1,023
17 Old Dominion Freight Line, Inc.* 578
34 Overnite Corp. 1,255
54 Overseas Shipholding Group, Inc. (l) 2,985
84 RailAmerica, Inc.* 1,098
105 SCS Transportation, Inc.* 2,459
32 The Greenbrier Companies, Inc. 1,093
55 US Xpress Enterprises, Inc., Class A* 1,614
83 Werner Enterprises, Inc. 1,888
-------------------------------------------------------------------
17,450
-------------------------------------------------------------------
UTILITIES -- 2.0%
80 Aquila, Inc.* (l) 296
64 Atmos Energy Corp. 1,745
59 Avista Corp. 1,044
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
59
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
UTILITIES -- CONTINUED
218 CMS Energy Corp.* $ 2,281
57 El Paso Electric Co.* 1,087
40 Idacorp, Inc. 1,214
5 MGE Energy, Inc. (l) 187
62 New Jersey Resources Corp. 2,691
110 PNM Resources, Inc. 2,780
186 Sierra Pacific Resources* (l) 1,953
18 South Jersey Industries, Inc. 957
6 UIL Holdings Corp. 298
78 UniSource Energy Corp. (l) 1,883
-------------------------------------------------------------------
18,416
-------------------------------------------------------------------
Total Common Stocks
(Cost $773,696) 834,366
-------------------------------------------------------------------
SHORT-TERM INVESTMENTS -- 5.0%
RIGHTS -- 0.0% ^
38 Technology Investment Capital Corp.
(Cost $0) 19
U.S. TREASURY SECURITY -- 0.3%
2,500 U.S. Treasury Note, 1.88%, 11/30/05, @
(Cost $2,481) 2,480
MONEY MARKET FUND -- 4.7%
42,664 JPMorgan Prime Money Market Fund (a)
(Cost $42,664) 42,664
-------------------------------------------------------------------
Total Short-Term Investments
(Cost $45,145) 45,163
-------------------------------------------------------------------
TOTAL INVESTMENTS -- 97.3%
(COST $818,841) $ 879,529
-------------------------------------------------------------------
OTHER ASSETS IN
EXCESS OF LIABILITIES -- 2.7% $ 24,209
-------------------------------------------------------------------
NET ASSETS -- 100.0% $ 903,738
-------------------------------------------------------------------
Percentages indicated are based on net assets.
<Caption>
SHARES COLLATERAL INVESTMENTS VALUE
- --------------------------------------------------------------------------------
MONEY MARKET FUND (c)
600 Barclays Global Investors
Prime Money Market Fund $ 600
CERTIFICATES OF DEPOSIT (c)
2,500 Depfa Bank NY, 2.21%, 01/18/05 2,500
2,500 Washington Mutual Bank FA,
2.21%, 01/18/05 2,500
-------------------------------------------------------------------
5,000
-------------------------------------------------------------------
COMMERCIAL PAPER (c)
2,989 Kitty Hawk, 2.23%, 01/18/05 2,989
<Caption>
PRINCIPAL
AMOUNT
(USD)
- --------------------------------------------------------------------------------
REPURCHASE AGREEMENT (c)
$ 64,726 Deutsche Bank Securities Inc., 2.33%,
dated 12/31/04, due 01/03/05,
proceeds $64,739 collateralized by
U.S. Government Agency Securities 64,726
-------------------------------------------------------------------
$ 73,315
-------------------------------------------------------------------
</Table>
FUTURES CONTRACTS
(Amounts in thousands, except number of contracts)
<Table>
<Caption>
NOTIONAL UNREALIZED
NUMBER OF VALUE AT APPRECIATION/
CONTRACTS DESCRIPTION EXPIRATION DATE 12/31/04 (USD) (DEPRECIATION) (USD)
- ---------------------------------------------------------------------------------------------------
LONG FUTURES OUTSTANDING
211 Russell 2000 Index March, 2005 $ 68,346 $ 646
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
60
<Page>
JPMORGAN U.S. SMALL COMPANY FUND
PORTFOLIO OF INVESTMENTS AS OF DECEMBER 31, 2004
(Amounts in thousands)
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- 98.5%
COMMON STOCKS -- 98.5%
ADVERTISING -- 0.5%
4 ADVO, Inc. $ 135
9 aQuantive, Inc.* 78
3 Catalina Marketing Corp. 95
11 R.H. Donnelley Corp.* 662
14 SITEL Corp.* 34
-------------------------------------------------------------------
1,004
-------------------------------------------------------------------
AEROSPACE -- 1.8%
19 Aviall, Inc.* 446
13 BE Aerospace, Inc.* 152
3 Curtiss-Wright Corp. 149
20 Esterline Technologies Corp.* 666
9 HEICO Corp. 194
11 Kaman Corp., Class A 139
38 Moog, Inc., Class A* 1,715
30 Orbital Sciences Corp.* 349
1 Triumph Group, Inc.* 33
-------------------------------------------------------------------
3,843
-------------------------------------------------------------------
AGRICULTURAL PRODUCTION/SERVICES -- 0.1%
31 DIMON, Inc. 210
AIRLINES -- 1.0%
1 Continental Airlines, Inc., Class B* 12
49 Delta Air Lines, Inc.* 364
44 ExpressJet Holdings, Inc.* 568
2 FLYi, Inc.* 4
25 Mesa Air Group, Inc.* 199
3 Northwest Airlines Corp.* 28
18 Pinnacle Airlines Corp.* 255
31 SkyWest, Inc. 624
-------------------------------------------------------------------
2,054
-------------------------------------------------------------------
APPAREL -- 0.8%
5 DHB Industries, Inc.* 88
10 Kellwood Co. 359
11 Kenneth Cole Productions, Inc., Class A 336
22 Quiksilver, Inc.* 655
17 Skechers U.S.A., Inc., Class A* 226
-------------------------------------------------------------------
1,664
-------------------------------------------------------------------
APPLIANCES & HOUSEHOLD DURABLES -- 0.3%
13 Furniture Brands International, Inc. $ 315
27 Jacuzzi Brands, Inc.* 234
-------------------------------------------------------------------
549
-------------------------------------------------------------------
AUTOMOTIVE -- 1.0%
22 ArvinMeritor, Inc. 499
18 Hayes Lemmerz International, Inc.* 156
12 Lithia Motors, Inc., Class A 331
5 Sonic Automotive, Inc. 126
9 Standard Motor Products, Inc. 144
31 Tenneco Automotive, Inc.* 530
17 Tower Automotive, Inc.* 42
10 Wabash National Corp.* 261
3 Winnebago Industries, Inc. 117
-------------------------------------------------------------------
2,206
-------------------------------------------------------------------
BANKING -- 9.2%
3 ABC Bancorp + 69
4 Ace Cash Express, Inc.* 107
8 Amcore Financial, Inc. 264
2 AmericanWest Bancorp* 36
1 Bancfirst Corp. 87
20 Bank of the Ozarks, Inc. 667
41 BankAtlantic Bancorp, Inc., Class A 808
1 Capital Corp of the West 66
6 Capitol Bancorp LTD 225
4 Center Financial Corp. 70
10 Central Pacific Financial Corp. 344
5 Chemical Financial Corp. 215
3 City Holding Co. 105
4 City National Corp. 294
6 Columbia Banking Systems, Inc. 142
5 Commercial Capital Bancorp, Inc. 114
26 Community Bank System, Inc. 737
4 Community Trust Bancorp, Inc. 143
22 Corus Bankshares, Inc. 1,046
5 Dime Community Bancshares 91
23 EuroBancshares, Inc. (Puerto Rico)* 485
14 First Bancorp (Puerto Rico) 915
0^^ First Citizens Banc Corp. 7
6 First Niagara Financial Group, Inc. 83
2 First Republic Bank 117
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
61
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
BANKING -- CONTINUED
9 First State Bancorporation $ 346
12 Flagstar Bancorp, Inc. 269
0^^ Fulton Financial Corp. 5
5 Glacier Bancorp, Inc. 180
16 Gold Banc Corp., Inc. 240
10 Greater Bay Bancorp 279
10 Hudson River Bancorp 196
18 IBERIABANK Corp. 1,207
13 Independent Bank Corp. 376
26 Irwin Financial Corp. 727
1 Macatawa Bank Corp. 45
4 MB Financial, Inc. 160
6 Mercantile Bank Corp. 233
6 Nara Bancorp, Inc. 128
10 Oriental Financial Group, Inc. (Puerto Rico) 286
9 Partners Trust Financial Group, Inc. 106
3 Peoples Bancorp, Inc. 80
21 PrivateBancorp, Inc. 690
25 Provident Bancorp, Inc. 324
35 R&G Financial Corp. (Puerto Rico), Class B 1,372
18 Republic Bancorp, Inc. 272
1 Republic Bancorp, Inc., Class A 31
3 Simmons First National Corp., Class A 81
2 Southwest Bancorp, Inc. 51
1 State Financial Services Corp., Class A 42
6 Sterling Bancorp 158
29 Sterling Bancshares, Inc. 410
10 Sterling Financial Corp. - Washington* 379
15 Summit Bancshares, Inc. 544
4 Sun Bancorp, Inc.* 107
1 Taylor Capital Group, Inc. 47
3 TriCo Bancshares 68
5 Umpqua Holdings Corp. 124
44 W Holding Co., Inc. (Puerto Rico) 1,003
15 West Coast Bancorp 390
15 Westamerica Bancorporation 863
1 Western Sierra Bancorp* 54
8 Wilshire Bancorp, Inc.* 139
4 Wintrust Financial Corp. 222
-------------------------------------------------------------------
19,471
-------------------------------------------------------------------
BIOTECHNOLOGY -- 1.6%
8 Abgenix, Inc.* $ 82
12 Aksys LTD* 64
4 Alexion Pharmaceuticals, Inc.* 111
9 Applera Corp. - Celera Genomics Group* 120
1 Bio-Rad Laboratories, Inc., Class A* 75
11 Cell Genesys, Inc.* 87
27 Cytokinetics, Inc.* 272
6 Diversa Corp.* 54
8 Enzon Pharmaceuticals, Inc.* 111
3 Exelixis, Inc.* 31
102 Genelabs Technologies* 122
15 Human Genome Sciences, Inc.* 180
61 Incyte Corp.* 604
8 Integra LifeSciences Holdings Corp.* 280
14 Maxygen, Inc.* 174
10 Myriad Genetics, Inc.* 232
21 Regeneration Technologies, Inc.* 222
23 Seattle Genetics, Inc.* 147
11 Telik, Inc.* 219
7 Transkaryotic Therapies, Inc.* 168
-------------------------------------------------------------------
3,355
-------------------------------------------------------------------
BROADCASTING/CABLE -- 0.3%
40 Charter Communications, Inc., Class A* 89
62 Mediacom Communications Corp., Class A* 391
5 Saga Communications, Inc., Class A* 84
6 Sinclair Broadcast Group, Inc., Class A 55
-------------------------------------------------------------------
619
-------------------------------------------------------------------
BUSINESS SERVICES -- 2.0%
3 Banta Corp. 148
1 Charles River Associates, Inc.* 65
9 CSG Systems International, Inc.* 176
7 DiamondCluster International, Inc., Class A* 95
7 Digital River, Inc.* 291
15 Dollar Thrifty Automotive Group, Inc.* 462
34 Gartner, Inc., Class A* 417
2 Gevity HR, Inc. 37
14 Heidrick & Struggles International, Inc.* 466
18 Labor Ready, Inc.* 306
6 Metris Companies, Inc.* 70
19 Navigant Consulting, Inc.* 517
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
62
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
BUSINESS SERVICES -- CONTINUED
7 PDI, Inc.* $ 154
10 Quanta Services, Inc.* 78
39 Spherion Corp.* 324
28 TeleTech Holdings, Inc.* 273
7 Tyler Technologies, Inc.* 62
8 Valassis Communications, Inc.* 266
1 Vertrue, Inc.* 53
-------------------------------------------------------------------
4,260
-------------------------------------------------------------------
CHEMICALS -- 2.3%
4 Aceto Corp. 67
8 Albemarle Corp. 314
9 Cabot Microelectronics Corp.* 372
7 Cytec Industries, Inc. 375
10 FMC Corp.* 502
23 Georgia Gulf Corp. 1,126
2 HB Fuller Co. 60
21 Hercules, Inc.* 313
3 Kronos Worldwide, Inc. 118
7 NewMarket Corp.* 141
4 NuCO2, Inc.* 91
5 OM Group, Inc.* 156
33 PolyOne Corp.* 297
10 Terra Industries, Inc.* 86
30 The Mosaic Co.* 493
24 W.R. Grace & Co.* 332
-------------------------------------------------------------------
4,843
-------------------------------------------------------------------
COMPUTER NETWORKS -- 1.0%
32 Adaptec, Inc.* 246
21 Anixter International, Inc. 766
9 Black Box Corp. 437
56 Brocade Communications Systems, Inc.* 430
4 Factset Research Systems, Inc. 234
-------------------------------------------------------------------
2,113
-------------------------------------------------------------------
COMPUTER SOFTWARE -- 4.8%
6 Ansys, Inc.* 183
9 Ariba, Inc.* 148
8 Ascential Software Corp.* 132
13 Aspen Technology, Inc.* 80
16 Atari, Inc.* 48
16 Borland Software Corp.* $ 183
10 CACI International, Inc., Class A* 690
5 Cerner Corp.* 287
30 Ciber, Inc.* 293
24 Computer Programs & Systems, Inc. 550
1 Datastream Systems, Inc.* 7
11 Dendrite International, Inc.* 210
6 DSP Group, Inc.* 130
15 E.piphany, Inc.* 72
6 Echelon Corp.* 51
8 Epicor Software Corp.* 111
6 EPIQ Systems, Inc.* 94
4 FileNet Corp.* 106
14 Hyperion Solutions Corp.* 634
11 Informatica Corp.* 88
13 Intergraph Corp.* 347
2 Intervideo, Inc.* 22
3 Intervoice, Inc.* 41
8 JDA Software Group, Inc.* 112
3 Kronos, Inc.* 159
6 Lexar Media, Inc.* 49
9 Magma Design Automation, Inc.* 117
7 Manhattan Associates, Inc.* 170
12 ManTech International Corp., Class A* 292
6 Manugistics Group, Inc.* 17
6 MAPICS, Inc.* 60
14 Mentor Graphics Corp.* 214
2 MicroStrategy, Inc.* 121
11 MRO Software, Inc.* 148
10 Openwave Systems, Inc.* 150
3 PalmSource, Inc.* 33
69 Parametric Technology Corp.* 404
5 Pegasystems, Inc.* 42
20 Per-Se Technologies, Inc.* 320
21 Perot Systems Corp., Class A* 337
22 Progress Software Corp.* 525
1 Quality Systems, Inc.* 54
6 Quest Software, Inc.* 93
9 Retek, Inc.* 55
11 SafeNet, Inc.* 397
34 Secure Computing Corp.* 334
1 SPSS, Inc.* 22
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
63
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
COMPUTER SOFTWARE -- CONTINUED
3 SRA International, Inc., Class A* $ 186
2 SS&C Technologies, Inc. 43
2 Stratasys, Inc.* 60
10 Take-Two Interactive Software, Inc.* 351
3 TALX Corp. 75
3 TradeStation Group, Inc.* 20
11 Transaction Systems Architects, Inc., Class A* 226
5 webMethods, Inc.* 38
21 Wind River Systems, Inc.* 285
-------------------------------------------------------------------
10,016
-------------------------------------------------------------------
COMPUTERS/COMPUTER HARDWARE -- 1.3%
9 Advanced Digital Information Corp.* 88
21 Agilysys, Inc. 363
1 Concurrent Computer Corp.* 4
6 Dot Hill Systems Corp.* 50
3 Electronics for Imaging, Inc.* 56
21 Gateway, Inc.* 126
15 Hutchinson Technology, Inc.* 504
5 Imagistics International, Inc.* 168
13 Imation Corp. 407
14 Komag, Inc.* 272
8 PalmOne, Inc.* 259
7 RadiSys Corp.* 133
50 Silicon Graphics, Inc.* 87
19 Sykes Enterprises, Inc.* 135
-------------------------------------------------------------------
2,652
-------------------------------------------------------------------
CONSTRUCTION -- 0.9%
2 Beazer Homes USA, Inc. 307
35 Champion Enterprises, Inc.* 417
4 Dycom Industries, Inc.* 128
13 Levitt Corp., Class A 391
4 Meritage Corp.* 417
9 WCI Communities, Inc.* 253
-------------------------------------------------------------------
1,913
-------------------------------------------------------------------
CONSTRUCTION MATERIALS -- 1.8%
4 Ameron International Corp. 148
6 Eagle Materials, Inc. 501
8 ElkCorp 270
12 NCI Building Systems, Inc.* 454
4 Texas Industries, Inc. $ 274
41 Universal Forest Products, Inc. 1,792
11 USG Corp.* 447
-------------------------------------------------------------------
3,886
-------------------------------------------------------------------
CONSUMER PRODUCTS -- 1.0%
11 American Greetings Corp., Class A 276
1 CSS Industries, Inc. 44
32 Revlon, Inc., Class A* 73
4 Stanley Furniture Company, Inc. 189
5 Toro Co. 374
19 Tupperware Corp. 390
16 Universal Corp. 766
-------------------------------------------------------------------
2,112
-------------------------------------------------------------------
CONSUMER SERVICES -- 0.9%
10 Alderwoods Group, Inc. (Canada)* 116
8 Arbitron, Inc.* 302
44 Rent-Way, Inc.* 349
10 Sotheby's Holdings, Inc., Class A* 182
7 SOURCECORP, Inc.* 141
7 Startek, Inc. 208
42 Stewart Enterprises, Inc., Class A* 291
8 The GEO Group, Inc.* 215
-------------------------------------------------------------------
1,804
-------------------------------------------------------------------
DISTRIBUTION -- 0.2%
4 Building Material Holding Corp. 168
10 WESCO International, Inc.* 282
-------------------------------------------------------------------
450
-------------------------------------------------------------------
ELECTRONICS/ELECTRICAL EQUIPMENT -- 2.0%
2 Analogic Corp. 94
2 BEI Technologies, Inc. 62
5 Bel Fuse, Inc., Class B 155
13 Benchmark Electronics, Inc.* 453
7 Checkpoint Systems, Inc.* 130
15 CTS Corp. 194
6 Electro Scientific Industries, Inc.* 119
12 Encore Wire Corp.* 156
2 FARO Technologies, Inc.* 53
1 Innovex, Inc.* 4
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
64
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
ELECTRONICS/ELECTRICAL EQUIPMENT -- CONTINUED
8 Integrated Electrical Services, Inc.* $ 41
9 Itron, Inc.* 218
3 MTS Systems Corp. 115
0 Pemstar, Inc.* 1
6 Planar Systems, Inc.* 71
6 Power-One, Inc.* 52
20 Rayovac Corp.* 598
6 ROFIN-SINAR Technologies, Inc.* 263
15 Stoneridge, Inc.* 225
13 Sypris Solutions, Inc. 205
13 Trimble Navigation LTD* 413
22 TTM Technologies, Inc.* 260
7 Valence Technology, Inc.* 23
10 Watts Water Technologies, Inc., Class A 306
4 Zygo Corp.* 41
-------------------------------------------------------------------
4,252
-------------------------------------------------------------------
ENGINEERING SERVICES -- 0.2%
5 URS Corp.* 157
7 Washington Group International, Inc.* 306
-------------------------------------------------------------------
463
-------------------------------------------------------------------
ENTERTAINMENT/LEISURE -- 2.3%
10 Ameristar Casinos, Inc. 418
7 Argosy Gaming Co.* 327
4 Aztar Corp.* 143
1 Bally Total Fitness Holding Corp.* 3
4 Brunswick Corp. 218
14 Callaway Golf Co. 194
4 Carmike Cinemas, Inc. 150
3 Isle of Capri Casinos, Inc.* 77
11 K2, Inc.* 179
7 Macrovision Corp.* 190
13 Multimedia Games, Inc.* 197
15 Navigant International, Inc.* 181
12 Penn National Gaming, Inc.* 739
13 Pinnacle Entertainment, Inc.* 251
36 Scientific Games Corp., Class A* 864
18 Thor Industries, Inc. 678
-------------------------------------------------------------------
4,809
-------------------------------------------------------------------
ENVIRONMENTAL SERVICES -- 0.2%
9 Duratek, Inc.* $ 222
3 Metal Management, Inc. 86
6 Tetra Tech, Inc.* 95
4 Waste Connections, Inc.* 123
-------------------------------------------------------------------
526
-------------------------------------------------------------------
FINANCIAL SERVICES -- 1.6%
11 Accredited Home Lenders Holding Co.* 557
5 Advanta Corp., Class B 112
7 Affiliated Managers Group, Inc.* 489
2 Asta Funding, Inc. 59
5 Coinstar, Inc.* 129
13 CompuCredit Corp.* 347
2 Credit Acceptance Corp.* 48
2 Education Lending Group, Inc.* 36
2 Encore Capital Group, Inc.* 45
4 eSpeed, Inc., Class A* 47
4 Euronet Worldwide, Inc.* 91
4 ITLA Capital Corp.* 206
12 Knight Trading Group, Inc., Class A* 131
6 National Financial Partners Corp. 225
47 Safeguard Scientifics, Inc.* 99
14 World Acceptance Corp.* 374
7 WSFS Financial Corp. 440
-------------------------------------------------------------------
3,435
-------------------------------------------------------------------
FOOD/BEVERAGE PRODUCTS -- 0.9%
18 Chiquita Brands International, Inc. 403
10 Corn Products International, Inc. 525
7 Flowers Foods, Inc. 208
4 J & J Snack Foods Corp. 172
13 Sanderson Farms, Inc. 580
-------------------------------------------------------------------
1,888
-------------------------------------------------------------------
HEALTH CARE/HEALTH CARE SERVICES -- 6.4%
9 ABIOMED Inc.* 139
12 Align Technology, Inc.* 127
26 Alliance Imaging, Inc.* 291
5 America Service Group, Inc.* 131
8 Animas Corp.* 128
13 Apria Healthcare Group, Inc.* 425
5 Arrow International, Inc. 167
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
65
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
HEALTH CARE/HEALTH CARE SERVICES -- CONTINUED
4 ArthroCare Corp.* $ 135
6 Biosite, Inc.* 357
20 Centene Corp.* 577
21 CONMED Corp.* 597
7 CTI Molecular Imaging, Inc.* 92
1 Curative Health Services, Inc.* 3
8 Diagnostic Products Corp. 424
45 Encore Medical Corp.* 307
4 Epix Medical, Inc.* 66
5 First Health Group Corp.* 86
6 Genesis HealthCare Corp.* 224
23 Gentiva Health Services* 391
4 Immucor, Inc.* 85
4 Inverness Medical Innovations, Inc.* 95
37 Kindred Healthcare, Inc.* 1,094
19 Kyphon, Inc.* 490
10 Mentor Corp. 324
5 Merit Medical Systems, Inc.* 69
1 NeighborCare, Inc.* 31
33 NeuroMetrix, Inc.* 391
19 OCA, Inc.* 122
4 Ocular Sciences, Inc.* 201
20 Owens & Minor, Inc. 566
33 Palatin Technologies, Inc.* 88
15 Pediatrix Medical Group, Inc.* 962
3 Possis Medical, Inc.* 34
14 Province Healthcare Co.* 313
33 PSS World Medical, Inc.* 414
11 Res-Care, Inc.* 172
10 Sierra Health Services, Inc.* 524
16 Sola International, Inc.* 432
29 Steris Corp.* 686
4 SurModics, Inc.* 120
10 Symbion, Inc.* 210
4 TECHNE Corp.* 148
19 United Surgical Partners International, Inc.* 772
19 VISX, Inc.* 497
-------------------------------------------------------------------
13,507
-------------------------------------------------------------------
HOTELS/OTHER LODGING -- 0.1%
17 La Quinta Corp.* 155
INDUSTRIAL COMPONENTS -- 0.4%
5 Hexcel Corp.* $ 74
37 Lennox International, Inc. 743
-------------------------------------------------------------------
817
-------------------------------------------------------------------
INSURANCE -- 2.5%
2 AmerUs Group Co. 95
9 Argonaut Group, Inc.* 194
41 Delphi Financial Group, Inc., Class A 1,873
8 Direct General Corp. 269
0^^ FBL Financial Group, Inc., Class A 9
8 LandAmerica Financial Group, Inc. 421
2 NYMAGIC, Inc. 58
55 PMA Capital Corp., Class A* 570
7 Selective Insurance Group 323
8 Stewart Information Services Corp. 342
1 The Navigators Group, Inc.* 18
3 United Fire & Casualty Co. 115
6 Vesta Insurance Group, Inc. 21
19 Zenith National Insurance Corp. 951
-------------------------------------------------------------------
5,259
-------------------------------------------------------------------
INTERNET SERVICES/SOFTWARE -- 2.6%
15 AsiaInfo Holdings, Inc. (China)* 89
12 Autobytel, Inc.* 69
1 Blue Coat Systems, Inc.* 22
86 CMGI, Inc.* 219
31 CNET Networks, Inc.* 345
4 Corillian Corp.* 20
6 Digital Insight Corp.* 118
28 Digitas, Inc.* 265
29 DoubleClick, Inc.* 227
74 EarthLink, Inc.* 847
4 Equinix, Inc.* 184
8 Harris Interactive, Inc.* 65
45 Homestore, Inc.* 135
8 Infospace, Inc.* 394
13 Internet Security Systems, Inc.* 291
1 Interwoven, Inc.* 15
9 iPass, Inc.* 67
8 j2 Global Communications, Inc.* 266
10 Lionbridge Technologies, Inc.* 70
44 LookSmart LTD* 97
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
66
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
INTERNET SERVICES/SOFTWARE -- CONTINUED
11 Mindspeed Technologies, Inc.* $ 31
3 PC-Tel, Inc.* 26
8 Portal Software, Inc.* 20
7 ProQuest Co.* 199
7 Redback Networks, Inc.* 38
32 SupportSoft, Inc.* 214
14 Trizetto Group, Inc.* 136
19 United Online, Inc.* 219
17 Valueclick, Inc.* 224
11 WebEx Communications, Inc.* 262
8 Websense, Inc.* 410
-------------------------------------------------------------------
5,584
-------------------------------------------------------------------
INVESTMENT COMPANY -- 0.2%
23 Technology Investment Capital Corp. 339
LEASING -- 0.4%
4 Amerco, Inc.* 193
20 GATX Corp. 600
4 Interpool, Inc. 100
-------------------------------------------------------------------
893
-------------------------------------------------------------------
MACHINERY & ENGINEERING EQUIPMENT -- 2.4%
78 Applied Industrial Technologies, Inc. 2,134
12 Astec Industries, Inc.* 206
8 Cascade Corp. 308
13 Flowserve Corp.* 350
6 NACCO Industries, Inc., Class A 674
4 Sauer-Danfoss, Inc. 79
6 Tecumseh Products Co., Class A 272
13 The Manitowoc Co., Inc. 471
5 UNOVA, Inc.* 114
13 York International Corp. 439
-------------------------------------------------------------------
5,047
-------------------------------------------------------------------
MANUFACTURING -- 2.6%
7 Armor Holdings, Inc.* 320
15 Barnes Group, Inc. 384
5 Cyberoptics Corp.* 73
3 ESCO Technologies, Inc.* 207
15 Fleetwood Enterprises, Inc.* 199
18 Griffon Corp.* 491
14 JLG Industries, Inc. $ 271
14 Joy Global, Inc. 599
14 Lincoln Electric Holdings, Inc. 494
7 NN, Inc. 98
5 Penn Engineering & Manufacturing Corp. 83
19 Quanex Corp. 1,303
12 Terex Corp.* 558
14 Walter Industries, Inc. 461
-------------------------------------------------------------------
5,541
-------------------------------------------------------------------
METALS/MINING -- 0.7%
22 Commercial Metals Co. 1,124
8 Metals USA, Inc.* 141
6 Valmont Industries, Inc. 158
-------------------------------------------------------------------
1,423
-------------------------------------------------------------------
MULTI-MEDIA -- 0.7%
3 Digital Generation Systems, Inc.* 4
9 Emmis Communications Corp., Class A* 175
8 Gray Television, Inc. 127
8 Insight Communications Co., Inc., Class A* 73
8 Journal Register Co.* 158
36 Lodgenet Entertainment Corp.* 644
18 World Wrestling Entertainment, Inc. 212
-------------------------------------------------------------------
1,393
-------------------------------------------------------------------
OFFICE/BUSINESS EQUIPMENT -- 0.5%
2 General Binding Corp.* 26
21 Global Imaging Systems, Inc.* 810
7 United Stationers, Inc.* 319
-------------------------------------------------------------------
1,155
-------------------------------------------------------------------
OIL & GAS -- 6.3%
6 Black Hills Corp. 187
4 Callon Petroleum Co.* 64
6 Comstock Resources, Inc.* 128
29 Denbury Resources, Inc.* 791
21 Energen Corp. 1,256
5 Energy Partners LTD* 93
2 Giant Industries, Inc.* 45
4 Gulf Island Fabrication, Inc. 83
11 Hanover Compressor Co.* 160
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
67
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
OIL & GAS -- CONTINUED
7 Headwaters, Inc.* $ 188
11 Helmerich & Payne, Inc. 371
37 Houston Exploration Co.* 2,061
5 Hydril Co.* 246
54 Key Energy Services, Inc.* 632
11 Lone Star Technologies, Inc.* 375
3 Magnum Hunter Resources, Inc.* 41
10 Mission Resources Corp.* 57
17 Oceaneering International, Inc.* 638
7 Oil States International, Inc.* 141
4 Penn Virginia Corp. 146
1 Quicksilver Resources, Inc.* 37
31 Southern Union Co.* 741
17 Southwest Gas Corp. 434
35 Southwestern Energy Co.* 1,749
9 Stone Energy Corp.* 387
19 Tesoro Petroleum Corp.* 605
10 Todco, Class A* 190
8 Unit Corp.* 310
11 Veritas DGC, Inc.* 251
25 Vintage Petroleum, Inc. 558
4 World Fuel Services Corp. 214
-------------------------------------------------------------------
13,179
-------------------------------------------------------------------
PACKAGING -- 0.8%
63 Crown Holdings, Inc.* 868
12 Silgan Holdings, Inc. 743
-------------------------------------------------------------------
1,611
-------------------------------------------------------------------
PAPER/FOREST PRODUCTS -- 0.2%
6 Schweitzer-Mauduit International, Inc. 187
16 Wausau-Mosinee Paper Corp. 284
-------------------------------------------------------------------
471
-------------------------------------------------------------------
PHARMACEUTICALS -- 4.0%
10 Able Laboratories, Inc.* 233
33 Adolor Corp.* 324
11 Alkermes, Inc.* 159
4 Antigenics, Inc.* 41
27 AtheroGenics, Inc.* 628
27 Auxilium Pharmaceuticals, Inc.* 235
148 AVANIR Pharmaceuticals, Class A* 506
4 Bradley Pharmaceuticals, Inc.* $ 74
9 Corixa Corp.* 32
35 Cubist Pharmaceuticals, Inc.* 415
33 CV Therapeutics, Inc.* 768
64 Cypress Bioscience, Inc.* 893
5 Dendreon Corp.* 54
9 Impax Laboratories, Inc.* 149
5 Kos Pharmaceuticals, Inc.* 196
13 Ligand Pharmaceuticals, Inc., Class B* 146
6 Medicines Co.* 167
22 Onyx Pharmaceuticals, Inc.* 703
7 Par Pharmaceutical Companies, Inc.* 286
4 Pharmion Corp.* 169
10 PolyMedica Corp. 388
13 Rigel Pharmaceuticals, Inc.* 315
3 Tanox, Inc.* 40
11 United Therapeutics Corp.* 479
23 Valeant Pharmaceuticals International 606
14 Vertex Pharmaceuticals, Inc.* 143
13 Vicuron Pharmaceuticals, Inc.* 219
-------------------------------------------------------------------
8,368
-------------------------------------------------------------------
PRINTING & PUBLISHING -- 0.4%
29 Bowne & Co., Inc. 466
9 John H. Harland Co. 329
-------------------------------------------------------------------
795
-------------------------------------------------------------------
REAL ESTATE -- 0.1%
3 LNR Property Corp. 195
REAL ESTATE INVESTMENT TRUST -- 7.5%
22 Affordable Residential Communities, Inc. 321
64 American Financial Realty Trust 1,031
25 American Home Mortgage Investment Corp. 868
26 Anthracite Capital, Inc. 319
14 Capital Automotive Real Estate
Investment Trust 498
51 CarrAmerica Realty Corp. 1,680
11 Entertainment Properties Trust 486
45 Equity Inns, Inc. 531
10 FelCor Lodging Trust, Inc.* 145
12 Gables Residential Trust 412
48 Government Properties Trust, Inc. 476
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
68
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
REAL ESTATE INVESTMENT TRUST -- CONTINUED
13 Highwoods Properties, Inc. $ 357
11 IMPAC Mortgage Holdings, Inc. 238
51 InnKeepers USA Trust 727
6 LaSalle Hotel Properties 194
24 Lexington Corporate Properties Trust 548
31 LTC Properties, Inc. 615
39 Meristar Hospitality Corp.* 325
23 MFA Mortgage Investments, Inc. 206
27 Mid-America Apartment Communities, Inc. 1,105
4 National Health Investors, Inc. 108
9 New Century Financial Corp. 575
9 NovaStar Financial, Inc. 426
23 Pennsylvania Real Estate Investment Trust 984
28 Prentiss Properties Trust 1,058
33 RAIT Investment Trust 912
16 Saul Centers, Inc. 597
-------------------------------------------------------------------
15,742
-------------------------------------------------------------------
RESTAURANTS/FOOD SERVICES -- 1.4%
10 CBRL Group, Inc. 419
3 CEC Entertainment, Inc.* 124
25 CKE Restaurants, Inc.* 360
1 Jack in the Box, Inc.* 52
44 Landry's Restaurants, Inc. 1,290
6 Rare Hospitality International, Inc.* 204
31 Ryan's Restaurant Group, Inc.* 479
-------------------------------------------------------------------
2,928
-------------------------------------------------------------------
RETAILING -- 5.1%
7 1-800-FLOWERS.COM, Inc., Class A* 55
82 Aaron Rents, Inc. 2,055
21 Aeropostale, Inc.* 618
24 Asbury Automotive Group, Inc.* 325
22 Brookstone, Inc.* 430
5 Brown Shoe Co., Inc. 134
49 Cash America International, Inc. 1,457
6 Charlotte Russe Holding, Inc.* 58
81 Charming Shoppes, Inc.* 761
3 Electronics Boutique Holdings Corp.* 107
9 Genesco, Inc.* 283
34 Hollywood Entertainment Corp.* 450
9 Hot Topic, Inc.* 150
11 Insight Enterprises, Inc.* $ 230
1 Jo-Ann Stores, Inc.* 39
8 MarineMax, Inc.* 241
2 Movado Group, Inc. 32
5 Movie Gallery, Inc. 88
1 Party City Corp.* 9
12 Select Comfort Corp.* 210
19 ShopKo Stores, Inc.* 349
25 Stein Mart, Inc.* 425
8 The Children's Place Retail Stores, Inc.* 296
16 The J. Jill Group, Inc.* 238
16 The Pantry, Inc.* 490
3 The Sports Authority, Inc.* 88
23 Too, Inc.* 553
5 Trans World Entertainment Corp.* 60
6 United Auto Group, Inc. 180
11 Zale Corp.* 320
-------------------------------------------------------------------
10,731
-------------------------------------------------------------------
RETAILING - FOOD & STAPLES -- 0.1%
3 Nash-Finch Co. 129
8 Pathmark Stores, Inc.* 46
10 Winn-Dixie Stores, Inc. 47
-------------------------------------------------------------------
222
-------------------------------------------------------------------
SEMI-CONDUCTORS -- 3.1%
6 Actel Corp.* 105
8 ADE Corp.* + 152
25 AMIS Holdings, Inc.* 412
6 Asyst Technologies, Inc.* 32
4 ATMI, Inc.* 99
10 August Technology Corp.* 108
34 Axcelis Technologies, Inc.* 276
13 Brooks Automation, Inc.* 222
0^^ Ceva, Inc.* 4
19 Cirrus Logic, Inc.* 103
13 Credence Systems Corp.* 123
10 Cymer, Inc.* 308
6 Diodes, Inc.* 131
6 ESS Technology, Inc.* 39
5 Exar Corp.* 72
4 Genesis Microchip, Inc.* 68
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
69
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
SEMI-CONDUCTORS -- CONTINUED
7 Integrated Silicon Solutions, Inc.* $ 54
7 IXYS Corp.* 69
6 Kopin Corp.* 23
12 Lattice Semiconductor Corp.* 67
14 LTX Corp.* 107
16 Mattson Technology, Inc.* 177
21 Micrel, Inc.* 235
16 Microsemi Corp.* 272
17 MIPS Technologies, Inc.* 163
5 MKS Instruments, Inc.* 85
13 Mykrolis Corp.* 190
10 Omnivision Technologies, Inc.* 178
79 ON Semiconductor Corp.* 360
17 Photronics, Inc.* 287
17 Pixelworks, Inc.* 195
4 Power Integrations, Inc.* 87
11 Semitool, Inc.* 103
6 SigmaTel, Inc.* 220
18 Silicon Image, Inc.* 301
35 Silicon Storage Technology, Inc.* 207
2 Siliconix, Inc.* 73
31 Skyworks Solutions, Inc.* 293
3 Supertex, Inc.* 69
26 Transmeta Corp.* 43
2 Ultratech, Inc.* 40
6 Varian Semiconductor Equipment Associates, Inc.* 214
53 Vitesse Semiconductor Corp.* 186
1 White Electronic Designs Corp.* 5
7 Zoran Corp.* 75
-------------------------------------------------------------------
6,632
-------------------------------------------------------------------
SHIPPING/TRANSPORTATION -- 0.1%
8 Swift Transportation Co., Inc.* 174
STEEL -- 1.2%
60 AK Steel Holding Corp.* + 863
7 Gibraltar Industries, Inc. 165
10 Reliance Steel & Aluminum Co. 400
15 Ryerson Tull, Inc. 238
4 Schnitzer Steel Industries, Inc., Class A 148
21 Steel Dynamics, Inc. 792
-------------------------------------------------------------------
2,606
-------------------------------------------------------------------
TELECOMMUNICATIONS -- 2.6%
15 Aeroflex, Inc.* 181
1 Aether Systems, Inc.* $ 2
46 Alamosa Holdings, Inc.* 572
27 Arris Group, Inc.* 188
21 Aspect Communications* 235
9 Boston Communications Group* 80
10 Broadwing Corp.* 93
20 Centennial Communications Corp.* 156
90 Cincinnati Bell, Inc.* 372
3 Commonwealth Telephone Enterprises, Inc.* 149
4 Computer Network Technology Corp.* 27
16 CT Communications, Inc. 194
19 Extreme Networks, Inc.* 121
38 Finisar Corp.* 87
6 Hypercom Corp.* 38
3 Interdigital Communications Corp.* 55
7 Intrado, Inc.* 88
59 ITC DeltaCom, Inc.* 101
26 MasTec, Inc.* 267
30 MRV Communications, Inc.* 110
9 NETGEAR, Inc.* 155
1 Network Equipment Technologies, Inc.* 5
30 Primus Telecommunications Group, Inc.* 94
114 PTEK Holdings, Inc.* 1,224
1 Raindance Communications, Inc.* 2
29 Symmetricom, Inc.* 283
8 Talk America Holdings, Inc.* 50
13 Tekelec* 260
20 Time Warner Telecom, Inc., Class A* 85
18 Westell Technologies, Inc., Class A* 124
-------------------------------------------------------------------
5,398
-------------------------------------------------------------------
TELECOMMUNICATIONS EQUIPMENT -- 0.8%
4 Audiovox Corp., Class A* 65
7 Brightpoint, Inc.* 129
16 C-COR.net Corp.* 144
1 Centillium Communications, Inc.* 1
2 Comtech Telecommunications* 83
5 Ditech Communications Corp.* 81
28 Inter-Tel, Inc. 764
13 Remec, Inc.* 92
45 RF Micro Devices, Inc.* 308
13 Terayon Communications Systems, Inc.* 34
0^^ Tollgrade Communications, Inc.* 4
-------------------------------------------------------------------
1,705
-------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
70
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
TEXTILES -- 0.5%
31 Angelica Corp. $ 841
9 UniFirst Corp. 260
-------------------------------------------------------------------
1,101
-------------------------------------------------------------------
TIRE & RUBBER -- 0.3%
41 Goodyear Tire & Rubber Co.* 594
TOYS & GAMES -- 0.4%
13 JAKKS Pacific, Inc.* 279
14 RC2 Corp.* 465
7 Steinway Musical Instruments, Inc.* 200
-------------------------------------------------------------------
944
-------------------------------------------------------------------
TRANSPORTATION -- 2.0%
6 Arkansas Best Corp. 283
20 Genesee & Wyoming, Inc., Class A* 551
8 Offshore Logistics, Inc.* 244
4 Old Dominion Freight Line, Inc.* 143
8 Overnite Corp. 302
13 Overseas Shipholding Group, Inc. 711
20 RailAmerica, Inc.* 264
25 SCS Transportation, Inc.* 589
8 The Greenbrier Companies, Inc. 261
14 US Xpress Enterprises, Inc., Class A* 404
20 Werner Enterprises, Inc. 455
-------------------------------------------------------------------
4,207
-------------------------------------------------------------------
UTILITIES -- 2.1%
19 Aquila, Inc.* 72
15 Atmos Energy Corp. 418
14 Avista Corp. 249
52 CMS Energy Corp.* 547
14 El Paso Electric Co.* 259
10 Idacorp, Inc. 293
1 MGE Energy, Inc. 43
15 New Jersey Resources Corp. $ 646
0^^ Nicor, Inc. 11
26 PNM Resources, Inc. 669
45 Sierra Pacific Resources* 471
4 South Jersey Industries, Inc. 231
1 UIL Holdings Corp. 67
19 UniSource Energy Corp. 458
-------------------------------------------------------------------
4,434
-------------------------------------------------------------------
Total Common Stocks
(Cost $173,687) 207,547
-------------------------------------------------------------------
SHORT-TERM INVESTMENTS -- 1.5%
RIGHTS -- 0.0% ^
22 Technology Investment Capital Corp.
(Cost $0) 11
-------------------------------------------------------------------
U.S. TREASURY SECURITY -- 0.2%
425 U.S. Treasury Note, 1.88%, 11/30/05, @
(Cost $424) 422
MONEY MARKET FUND -- 1.3%
2,838 JPMorgan Prime Money Market Fund (a)
(Cost $2,838) 2,838
-------------------------------------------------------------------
Total Short-Term Investments
(Cost $3,262) 3,271
-------------------------------------------------------------------
TOTAL INVESTMENTS -- 100.0%
(COST $176,949) $ 210,818
-------------------------------------------------------------------
LIABILITIES IN EXCESS OF OTHER ASSETS -- 0.0% ^ (11)
-------------------------------------------------------------------
NET ASSETS -- 100.0% $ 210,807
-------------------------------------------------------------------
</Table>
Percentages indicated are based on net assets.
<Table>
<Caption>
NUMBER OF EXPIRATION VALUE AT APPRECIATION
CONTRACTS DESCRIPTION DATE 12/31/04 (USD) (DEPRECIATION) (USD)
- -------------------------------------------------------------------------------------------
LONG FUTURES OUTSTANDING
10 Russell 2000 Index March, 2005 $ 3,146 $ 123
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
71
<Page>
JPMORGAN
U.S. SMALL COMPANY OPPORTUNITIES FUND
PORTFOLIO OF INVESTMENTS AS OF DECEMBER 31, 2004
(Amounts in thousands)
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- 99.5%
COMMON STOCKS -- 99.5%
AEROSPACE -- 0.8%
1 Engineered Support Systems, Inc. $ 53
AIRLINES -- 1.1%
4 SkyWest, Inc. 71
APPLIANCES & HOUSEHOLD DURABLES -- 1.0%
7 Jacuzzi Brands, Inc.* 63
AUTOMOTIVE -- 1.8%
1 Oshkosh Truck Corp. 51
2 Winnebago Industries, Inc. 70
-------------------------------------------------------------------
121
-------------------------------------------------------------------
BANKING -- 5.2%
2 Central Pacific Financial Corp. 62
1 East-West Bancorp, Inc. 47
2 EuroBancshares, Inc. (Puerto Rico)* 49
1 MB Financial, Inc. 60
2 Santander BanCorp (Puerto Rico) 61
2 Texas Capital Bancshares, Inc.* 32
1 Texas Regional Bancshares, Inc., Class A 31
-------------------------------------------------------------------
342
-------------------------------------------------------------------
BIOTECHNOLOGY -- 1.4%
1 Alexion Pharmaceuticals, Inc.* 35
3 Incyte Corp.* (1) 31
1 Telik, Inc.* (1) 26
-------------------------------------------------------------------
92
-------------------------------------------------------------------
BROADCASTING/CABLE -- 0.8%
2 Salem Communications Corp., Class A* 54
BUSINESS SERVICES -- 1.7%
1 Alliance Data Systems Corp.* 64
3 LECG Corp* 51
-------------------------------------------------------------------
115
-------------------------------------------------------------------
COMPUTER NETWORKS -- 0.5%
1 Avocent Corp.* 32
COMPUTER SOFTWARE -- 10.2%
9 Aspen Technology, Inc.* 59
3 DSP Group, Inc.* $ 75
5 Epicor Software Corp.* 68
2 Hyperion Solutions Corp.* 75
1 Kronos, Inc.* 31
10 Lawson Software, Inc.* 67
4 Packeteer, Inc.* 59
3 Serena Software, Inc.* (1) 68
2 Take-Two Interactive Software, Inc.* (l) 52
3 THQ, Inc.* (l) 61
2 Verint Systems, Inc.* (l) 58
-------------------------------------------------------------------
673
-------------------------------------------------------------------
COMPUTERS/COMPUTER HARDWARE -- 1.2%
2 Tech Data Corp.* 82
CONSTRUCTION -- 1.2%
7 Champion Enterprises, Inc.* (l) 82
CONSTRUCTION MATERIALS -- 0.8%
1 Eagle Materials, Inc. 56
CONSUMER SERVICES -- 4.7%
6 Educate, Inc.* 75
3 Jackson Hewitt Tax Service, Inc. 71
1 Laureate Education, Inc.* 34
2 Ritchie Bros. Auctioneers, Inc. (Canada) (l) 61
2 Universal Technical Institute, Inc.* 71
-------------------------------------------------------------------
312
-------------------------------------------------------------------
DISTRIBUTION -- 0.9%
1 Scansource, Inc.* 59
ELECTRONICS/ELECTRICAL EQUIPMENT -- 1.1%
6 TTM Technologies, Inc.* 76
ENTERTAINMENT/LEISURE -- 4.9%
2 Carmike Cinemas, Inc. 73
4 K2, Inc.* 60
3 LIFE TIME FITNESS, Inc.* 73
5 Lions Gate Entertainment Corp. (Canada)* (l) 52
3 Scientific Games Corp., Class A* 66
-------------------------------------------------------------------
324
-------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
72
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
FINANCIAL SERVICES -- 0.6%
0^^ Calamos Asset Management, Inc., Class A* $ 6
2 Marlin Business Services, Inc.* 37
-------------------------------------------------------------------
43
-------------------------------------------------------------------
FOOD/BEVERAGE PRODUCTS -- 0.7%
1 United Natural Foods, Inc.* 44
HEALTH CARE/HEALTH CARE SERVICES -- 13.1%
3 Abaxis, Inc.* 48
1 Advanced Medical Optics, Inc.* (l) 33
2 Amedisys, Inc.* 66
1 AMERIGROUP Corp.* 38
2 ArthroCare Corp.* (l) 69
1 Cooper Companies, Inc. 53
2 Covance, Inc.* 63
2 Gentiva Health Services* 28
3 Kyphon, Inc.* (l) 71
3 Psychiatric Solutions, Inc.* 102
2 Sunrise Senior Living, Inc.* (l) 82
1 Symmetry Medical, Inc.* 18
6 TriPath Imaging, Inc.* 56
1 United Surgical Partners International, Inc.* 53
3 VCA Antech, Inc.* (l) 49
1 Ventana Medical Systems, Inc.* 48
-------------------------------------------------------------------
877
-------------------------------------------------------------------
HOTELS/OTHER LODGING -- 1.2%
2 Gaylord Entertainment Co.* 77
INSURANCE -- 2.6%
1 Direct General Corp. 47
2 Infinity Property & Casualty Corp. 59
2 ProAssurance Corp.* 65
-------------------------------------------------------------------
171
-------------------------------------------------------------------
INTERNET SERVICES/SOFTWARE -- 2.9%
1 Equinix, Inc.* 64
1 F5 Networks, Inc.* 34
10 Mindspeed Technologies, Inc.* (l) 29
4 Sapient Corp.* 32
1 WebEx Communications, Inc.* (l) 31
-------------------------------------------------------------------
190
-------------------------------------------------------------------
INVESTMENT COMPANY -- 0.1%
0^^ Apollo Investment Corp. $ 5
MANUFACTURING -- 1.3%
6 General Cable Corp.* (l) 89
METALS/MINING -- 1.1%
2 Arch Coal, Inc. 70
MULTI-MEDIA -- 1.0%
4 Gray Television, Inc. 63
OFFICE/BUSINESS EQUIPMENT -- 0.9%
1 Global Imaging Systems, Inc.* (l) 58
OIL & GAS -- 6.0%
2 Headwaters, Inc.* (l) 52
1 Newfield Exploration Co.* 68
1 Oceaneering International, Inc.* 41
1 Spinnaker Exploration Co.* 44
1 Swift Energy Co.* 38
2 Unit Corp.* 83
2 Universal Compression Holding, Inc.* 72
0^^ XTO Energy, Inc. 0
-------------------------------------------------------------------
398
-------------------------------------------------------------------
PHARMACEUTICALS -- 6.9%
2 Able Laboratories, Inc.* (l) 40
4 Adolor Corp.* 37
1 AtheroGenics, Inc.* (l) 28
4 Cubist Pharmaceuticals, Inc.* 45
2 CV Therapeutics, Inc.* (l) 36
3 Cypress Bioscience, Inc.* 48
2 Idenix Pharmaceuticals, Inc.* (l) 36
2 Nabi Biopharmaceuticals* 31
1 Onyx Pharmaceuticals, Inc.* (l) 34
1 Pharmion Corp.* 30
1 Rigel Pharmaceuticals, Inc.* (l) 28
1 United Therapeutics Corp.* 27
1 Valeant Pharmaceuticals International 34
-------------------------------------------------------------------
454
-------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
73
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
REAL ESTATE INVESTMENT TRUST -- 1.4%
2 American Financial Realty Trust $ 31
2 Global Signal, Inc. 64
-------------------------------------------------------------------
95
-------------------------------------------------------------------
RESTAURANTS/FOOD SERVICES -- 1.1%
2 Rare Hospitality International, Inc.* 70
RETAILING -- 5.0%
1 Aeropostale, Inc.* 26
1 Cost Plus, Inc.* 22
3 Genesco, Inc.* 86
1 Guitar Center, Inc.* 78
1 The Children's Place Retail Stores, Inc.* (l) 35
3 The Pantry, Inc.* 87
-------------------------------------------------------------------
334
-------------------------------------------------------------------
SEMI-CONDUCTORS -- 4.3%
5 Credence Systems Corp.* 42
2 Cymer, Inc.* 46
4 Entegris, Inc.* 44
3 Mattson Technology, Inc.* 37
3 Micrel, Inc.* 31
2 Power Integrations, Inc.* 34
2 Semtech Corp.* 35
1 Varian Semiconductor Equipment
Associates, Inc.* 18
-------------------------------------------------------------------
287
-------------------------------------------------------------------
SHIPPING/TRANSPORTATION -- 0.8%
1 UTI Worldwide, Inc. (Virgin Islands) 53
TELECOMMUNICATIONS -- 6.1%
8 Aeroflex, Inc.* 92
6 Atheros Communications, Inc.* (l) 63
7 LCC International, Inc.* 41
4 Nextel Partners, Inc., Class A* 76
3 Symmetricom, Inc.* 34
4 Tekelec* 81
1 Viasat, Inc.* 16
-------------------------------------------------------------------
403
-------------------------------------------------------------------
TELECOMMUNICATIONS EQUIPMENT -- 2.2%
7 C-COR.net Corp.* $ 60
3 Inter-Tel, Inc. 85
-------------------------------------------------------------------
145
-------------------------------------------------------------------
TRANSPORTATION -- 0.9%
3 Sirva, Inc.* 59
-------------------------------------------------------------------
Total Common Stocks
(Cost $5,459) 6,592
-------------------------------------------------------------------
SHORT-TERM INVESTMENT -- 0.6%
MONEY MARKET FUND -- 0.6%
40 JPMorgan Prime Money Market Fund (a)
(Cost $40) 40
-------------------------------------------------------------------
TOTAL INVESTMENTS -- 100.1%
(Cost $5,499) $ 6,632
-------------------------------------------------------------------
LIABILITIES IN EXCESS OF OTHER ASSETS -- (0.1)% (6)
-------------------------------------------------------------------
NET ASSETS -- 100.0% $ 6,626
-------------------------------------------------------------------
</Table>
Percentages indicated are based on net assets.
<Table>
<Caption>
PRINCIPAL
AMOUNT
(USD) COLLATERAL INVESTMENT VALUE
- --------------------------------------------------------------------------------
REPURCHASE AGREEMENT (c)
$ 1,069 Deutsche Bank Securities Inc., 2.33%
dated 12/31/04, due 01/03/05,
proceeds $1,069 collateralized by
U.S. Government Agency Securities $ 1,069
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
74
<Page>
Abbreviations:
* -- Non-income producing security.
^ -- Amount rounds to less than 0.1%.
^^ -- Amount rounds to less than one thousand.
@ -- Security is fully or partially segregated with brokers as initial
margin for futures contracts
+ -- All or portion of this security is segregated with the custodian for
futures contracts
(a) -- Affiliated. Money market fund registered under the Investment Company
Act of 1940, as amended and advised by J.P. Morgan Investment
Management, Inc.
(c) -- Investment of cash collateral for portfolio securities on loan.
(l) -- Security, or portion of a security, has been delivered to
counterparty as part of security lending transaction.
USD -- United States Dollar
SEE NOTES TO FINANCIAL STATEMENTS.
75
<Page>
JPMORGAN FUNDS
STATEMENT OF ASSETS AND LIABILITIES AS OF DECEMBER 31, 2004
(Amounts in thousands, except per share amounts)
<Table>
<Caption>
DYNAMIC MID CAP MID CAP
SMALL CAP EQUITY GROWTH
FUND FUND FUND
ASSETS:
Investments in non-affiliates, at value $ 193,987 $ 221,511 $ 56,665
Investments in affiliates, at value 4,464 4,756 900
- ---------------------------------------------------------------------------------
Total investment securities at value 198,451 226,267 57,565
- ---------------------------------------------------------------------------------
Investments held as collateral for
securities lending program 41,470 9,103 2,830
Cash -- 48 --
Receivables:
Investment securities sold 1,010 298 102
Fund shares sold 367 2,034 25
Interest and dividends 52 146 14
Securities lending (net) 6 1 --^
- ---------------------------------------------------------------------------------
Total Assets 241,356 237,897 60,536
- ---------------------------------------------------------------------------------
LIABILITIES:
Payables:
Due to custodian -- -- 80
Distributions -- 43 --
Investment securities purchased 1,383 -- --
Collateral for securities
lending program 41,470 9,103 2,830
Fund shares redeemed 6,262 1,416 124
Accrued liabilities:
Investment advisory fees 107 125 24
Administration fees 17 19 2
Shareholder servicing fees 17 12 3
Distribution fees 79 -- 13
Custodian fees 8 10 7
Trustees' fees - deferred
compensation plan 6 6 1
Other 163 56 70
- ---------------------------------------------------------------------------------
Total Liabilities 49,512 10,790 3,154
- ---------------------------------------------------------------------------------
NET ASSETS $ 191,844 $ 227,107 $ 57,382
- ---------------------------------------------------------------------------------
</Table>
^ Amount rounds to less than one thousand.
SEE NOTES TO FINANCIAL STATEMENTS.
76
<Page>
<Table>
<Caption>
DYNAMIC MID CAP MID CAP
SMALL CAP EQUITY GROWTH
FUND FUND FUND
NET ASSETS:
Paid in capital $ 167,001 $ 169,744 $ 299,474
Accumulated undistributed
(overdistributed) net investment income (7) (6) (1)
Accumulated net realized gain (loss)
on investments (3,956) 5,119 (253,535)
Net unrealized appreciation
(depreciation) of investments 28,806 52,250 11,444
- ---------------------------------------------------------------------------------
Total Net Assets $ 191,844 $ 227,107 $ 57,382
- ---------------------------------------------------------------------------------
Class A $ 85,734 $ -- $ 54,516
Class B $ 61,966 $ -- $ 2,866
Class C $ 34,309 $ -- $ --
Select $ 9,835 $ 227,107 $ --
- ---------------------------------------------------------------------------------
Total $ 191,844 $ 227,107 $ 57,382
- ---------------------------------------------------------------------------------
Shares of beneficial interest outstanding
($0.001 par value; unlimited
number of shares authorized):
Class A 4,644 -- 9,492
Class B 3,547 -- 517
Class C 1,967 -- --
Select 521 6,819 --
Net Asset Value:
Class A (and redemption price) $ 18.46 $ -- $ 5.74
Class B* $ 17.47 $ -- $ 5.54
Class C* $ 17.44 $ -- $ --
Select (and redemption price) $ 18.89 $ 33.30 $ --
Class A Maximum Public Offering
Price Per Share (net asset value per
share/94.75%) $ 19.48 $ -- $ 6.06
Cost of investments $ 169,645 $ 174,017 $ 46,121
- ---------------------------------------------------------------------------------
Investment securities on loan, at value $ 40,549 $ 8,957 $ 2,781
- ---------------------------------------------------------------------------------
</Table>
* Redemption price may be reduced by contingent deferred sales charge.
SEE NOTES TO FINANCIAL STATEMENTS.
77
<Page>
<Table>
<Caption>
MID CAP SMALL CAP SMALL CAP
VALUE EQUITY GROWTH
FUND FUND FUND
ASSETS:
Investments in non-affiliates, at value $ 3,569,733 $ 343,518 $ 5,828
Investments in affiliates, at value 157,737 12,857 216
- ---------------------------------------------------------------------------------
Total investment securities, at value 3,727,470 356,375 6,044
- ---------------------------------------------------------------------------------
Investments held as collateral for
securities lending program 111,929 -- 1,132
Cash 1,151 199 9
Receivables:
Investment securities sold 2,903 -- 51
Fund shares sold 47,782 17,112 --^
Interest and dividends 3,672 256 2
Securities lending (net) 9 -- --^
Expense reimbursements 10 -- 7
- ---------------------------------------------------------------------------------
Total Assets 3,894,926 373,942 7,245
- ---------------------------------------------------------------------------------
LIABILITIES:
Payables:
Investment securities purchased 88,805 -- 43
Collateral for securities
lending program 111,929 -- 1,132
Fund shares redeemed 1,737 16,508 --
Accrued liabilities:
Investment advisory fees 1,624 251 --
Administration fees 232 58 --
Shareholder servicing fees 295 12 --
Distribution fees 650 37 --^
Custodian fees 69 19 8
Trustees' fees - deferred
compensation plan 10 25 --^
Other 821 162 77
- ---------------------------------------------------------------------------------
Total Liabilities 206,172 17,072 1,260
- ---------------------------------------------------------------------------------
NET ASSETS $ 3,688,754 $ 356,870 $ 5,985
- ---------------------------------------------------------------------------------
</Table>
^ Amount rounds to less than one thousand.
SEE NOTES TO FINANCIAL STATEMENTS.
78
<Page>
<Table>
<Caption>
MID CAP SMALL CAP SMALL CAP
VALUE EQUITY GROWTH
FUND FUND FUND
NET ASSETS:
Paid in capital $ 3,217,826 $ 250,926 $ 5,709
Accumulated undistributed
(overdistributed) net investment income (10) (8) --^
Accumulated net realized gain (loss)
on investments 21,100 14,906 (873)
Net unrealized appreciation
(depreciation) of investments 449,838 91,046 1,149
- --------------------------------------------------------------------------------------------------------------
Total Net Assets $ 3,688,754 $ 356,870 $ 5,985
- --------------------------------------------------------------------------------------------------------------
Class A $ 1,332,927 $ 128,703 $ 1,439
Class B $ 173,129 $ 16,817 $ --
Class C $ 482,960 $ -- $ --
Institutional $ 1,214,608 $ -- $ 3,723
Select $ 485,130 $ 211,350 $ 823
- --------------------------------------------------------------------------------------------------------------
Total $ 3,688,754 $ 356,870 $ 5,985
- --------------------------------------------------------------------------------------------------------------
Shares of beneficial interest outstanding
($0.001 par value; unlimited
number of shares authorized):
Class A 60,447 4,868 162
Class B 7,992 700 --
Class C 22,252 -- --
Institutional 54,473 -- 406
Select 21,870 7,559 90
Net Asset Value:
Class A (and redemption price) $ 22.05 $ 26.44 $ 8.91
Class B* $ 21.66 $ 24.01 $ --
Class C* $ 21.70 $ -- $ --
Institutional (and redemption price) $ 22.30 $ -- $ 9.18
Select (and redemption price) $ 22.18 $ 27.96 $ 9.09
Class A Maximum Public Offering
Price Per Share (net asset value per
share/94.75%) $ 23.27 $ 27.91 $ 9.40
Cost of investments $ 3,277,632 $ 265,329 $ 4,895
- --------------------------------------------------------------------------------------------------------------
Investment securities on loan, at value $ 110,496 $ -- $ 1,104
- --------------------------------------------------------------------------------------------------------------
</Table>
* Redemption price may be reduced by contingent deferred sales charge.
^ Amount rounds to less than one thousand.
SEE NOTES TO FINANCIAL STATEMENTS.
79
<Page>
<Table>
<Caption>
U.S. SMALL
TRUST SMALL U.S. SMALL COMPANY
CAP EQUITY COMPANY OPPORTUNITIES
FUND FUND FUND
ASSETS:
Investments in non-affiliates, at value $ 836,865 $ 207,980 $ 6,592
Investments in affiliates, at value 42,664 2,838 40
- --------------------------------------------------------------------------------------------------------------
Total investment securities, at value 879,529 210,818 6,632
- --------------------------------------------------------------------------------------------------------------
Investments held as collateral for
securities lending program 73,315 -- 1,069
Cash 1,048 187 --
Receivables:
Investment securities sold -- -- 72
Fund shares sold 61,978 284 1
Interest and dividends 722 188 2
Variation margin 89 3 --
Securities lending (net) 55 -- --^
Expense reimbursements -- -- 8
- --------------------------------------------------------------------------------------------------------------
Total Assets 1,016,736 211,480 7,784
- --------------------------------------------------------------------------------------------------------------
LIABILITIES:
Payables:
Investment securities purchased 38,104 3 35
Collateral for securities
lending program 73,315 -- 1,069
Fund shares redeemed 1,191 439 --
Accrued liabilities:
Investment advisory fees 303 109 --
Administration fees 15 5 --
Shareholder servicing fees -- 20 --
Custodian fees 13 11 7
Trustees' fees - deferred
compensation plan 17 2 1
Other 40 84 46
- --------------------------------------------------------------------------------------------------------------
Total Liabilities 112,998 673 1,158
- --------------------------------------------------------------------------------------------------------------
NET ASSETS $ 903,738 $ 210,807 $ 6,626
- --------------------------------------------------------------------------------------------------------------
</Table>
^ Amount rounds to less than one thousand.
SEE NOTES TO FINANCIAL STATEMENTS.
80
<Page>
<Table>
<Caption>
U.S. SMALL
TRUST SMALL U.S. SMALL COMPANY
CAP EQUITY COMPANY OPPORTUNITIES
FUND FUND FUND
NET ASSETS:
Paid in capital $ 837,984 $ 173,869 $ 162,384
Accumulated undistributed
(overdistributed) net investment income 249 3 (2)
Accumulated net realized gain (loss)
on investments and futures 4,171 2,943 (156,889)
Net unrealized appreciation
(depreciation) of investments and
futures 61,334 33,992 1,133
- --------------------------------------------------------------------------------------------------------------
Total Net Assets $ 903,738 $ 210,807 $ 6,626
- --------------------------------------------------------------------------------------------------------------
Institutional $ -- $ 91,831 $ --
Select $ 903,738 $ 118,976 $ 6,626
- --------------------------------------------------------------------------------------------------------------
Total $ 903,738 $ 210,807 $ 6,626
- --------------------------------------------------------------------------------------------------------------
Shares of beneficial interest outstanding
($0.001 par value; unlimited
number of shares authorized):
Institutional -- 6,668 --
Select 20,796 8,636 618
Net Asset Value:
Institutional (and redemption price) $ -- $ 13.77 $ --
Select (and redemption price) $ 43.46 $ 13.78 $ 10.72
Cost of investments $ 818,841 $ 176,949 $ 5,499
- --------------------------------------------------------------------------------------------------------------
Investment securities on loan, at value $ 71,548 $ -- $ 1,042
- --------------------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
81
<Page>
STATEMENT OF OPERATIONS FOR THE YEAR ENDED DECEMBER 31, 2004
(Amounts in thousands)
<Table>
<Caption>
DYNAMIC MID CAP MID CAP
SMALL CAP EQUITY GROWTH
FUND FUND FUND
INVESTMENT INCOME:
Dividend $ 587 $ 2,386 $ 405
Dividend income from affiliated
investments* 59 79 11
Securities lending (net) 63 17 11
Foreign taxes withheld -- (2) --^
- --------------------------------------------------------------------------------------------------------------
Total investment income 709 2,480 427
- --------------------------------------------------------------------------------------------------------------
EXPENSES:
Investment advisory fees 1,271 1,325 376
Administration fees 293 306 87
Shareholder servicing fees 489 510 144
Distribution fees 900 -- 159
Custodian fees 61 58 48
Interest expense 1 2 --^
Printing and postage 71 32 40
Professional fees 54 48 51
Registration expenses 45 4 28
Transfer agent fees 543 22 107
Trustees' fees 3 3 1
Other 37 19 7
- --------------------------------------------------------------------------------------------------------------
Total expenses 3,768 2,329 1,048
- --------------------------------------------------------------------------------------------------------------
Less amounts waived 337 491 247
Less earnings credits --^ 1 --^
- --------------------------------------------------------------------------------------------------------------
Net expenses 3,431 1,837 801
- --------------------------------------------------------------------------------------------------------------
Net investment income (loss) (2,722) 643 (374)
- --------------------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
82
<Page>
<Table>
<Caption>
DYNAMIC MID CAP MID CAP
SMALL CAP EQUITY GROWTH
FUND FUND FUND
REALIZED AND UNREALIZED
GAIN (LOSS) ON INVESTMENTS:
Net realized gain (loss) on
transactions from:
Investments $ 37,317 $ 28,575 $ 10,011
Change in net unrealized
appreciation/depreciation of:
Investments (18,399) 8,854 (582)
Net realized and unrealized gain (loss)
on investments 18,918 37,429 9,429
- --------------------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets
from operations $ 16,196 $ 38,072 $ 9,055
- --------------------------------------------------------------------------------------------------------------
* Includes reimbursements of
investment advisory, administration
and shareholder servicing fees : $ 8 $ 10 $ 1
- --------------------------------------------------------------------------------------------------------------
</Table>
^ Amount rounds to less than one thousand.
SEE NOTES TO FINANCIAL STATEMENTS.
83
<Page>
<Table>
<Caption>
MID CAP SMALL CAP SMALL CAP
VALUE EQUITY GROWTH
FUND FUND FUND
INVESTMENT INCOME:
Dividend $ 28,813 $ 4,651 $ 13
Dividend income from affiliated
investments* 1,653 218 2
Securities lending (net) 126 191 2
Foreign taxes withheld (19) -- --^
- --------------------------------------------------------------------------------------------------------------
Total investment income 30,573 5,060 17
- --------------------------------------------------------------------------------------------------------------
EXPENSES:
Investment advisory fees 13,466 4,807 40
Administration fees 2,886 1,109 7
Shareholder servicing fees 3,775 1,849 7
Distribution fees 4,250 385 3
Custodian fees 248 92 49
Interest expense -- 1 1
Printing and postage 488 100 --^
Professional fees 86 61 50
Registration expenses 402 52 49
Transfer agent fees 2,114 339 37
Trustees' fees 29 13 --^
Other 92 50 7
- --------------------------------------------------------------------------------------------------------------
Total expenses 27,836 8,858 250
- --------------------------------------------------------------------------------------------------------------
Less amounts waived 5,510 1,820 54
Less earnings credits 2 1 --^
Less expense reimbursements 52 -- 144
- --------------------------------------------------------------------------------------------------------------
Net expenses 22,272 7,037 52
- --------------------------------------------------------------------------------------------------------------
Net investment income (loss) 8,301 (1,977) (35)
- --------------------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
84
<Page>
<Table>
<Caption>
MID CAP SMALL CAP SMALL CAP
VALUE EQUITY GROWTH
FUND FUND FUND
REALIZED AND UNREALIZED
GAIN (LOSS) ON INVESTMENTS:
Net realized gain (loss) on
transactions from:
Investments $ 68,273 $ 276,109 $ 571
Change in net unrealized
appreciation/depreciation of:
Investments 344,403 (93,478) 356
Net realized and unrealized gain (loss)
on investments 412,676 182,631 927
- --------------------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets
from operations $ 420,977 $ 180,654 $ 892
- --------------------------------------------------------------------------------------------------------------
* Includes reimbursements of
investment advisory, administration
and shareholder servicing fees : $ 197 $ 24 $ --^
- --------------------------------------------------------------------------------------------------------------
</Table>
^ Amount rounds to less than one thousand.
SEE NOTES TO FINANCIAL STATEMENTS.
85
<Page>
<Table>
<Caption>
U.S. SMALL
TRUST SMALL U.S. SMALL COMPANY
CAP EQUITY COMPANY OPPORTUNITIES
FUND FUND FUND
INVESTMENT INCOME:
Interest $ 27 $ 6 $ --
Dividend 2,919 2,007 22
Dividend income from affiliated
investments* 149 65 2
Securities lending (net) 215 11 1
Other Income -- -- --^
Foreign taxes withheld (2) (3) --^
- --------------------------------------------------------------------------------------------------------------
Total investment income 3,308 2,086 25
- --------------------------------------------------------------------------------------------------------------
EXPENSES:
Investment advisory fees 2,432 1,508 48
Administration fees 561 377 12
Shareholder servicing fees 935 457 20
Custodian fees 56 111 41
Interest expense 5 2 1
Printing and postage 49 16 10
Professional fees 50 64 60
Registration expenses 32 39 20
Transfer agent fees 22 83 25
Trustees' fees 6 4 --^
Other 30 25 5
- --------------------------------------------------------------------------------------------------------------
Total expenses 4,178 2,686 242
- --------------------------------------------------------------------------------------------------------------
Less amounts waived 1,790 350 80
Less earnings credits --^ 1 --^
Less expense reimbursements -- -- 80
- --------------------------------------------------------------------------------------------------------------
Net expenses 2,388 2,335 82
- --------------------------------------------------------------------------------------------------------------
Net investment income (loss) 920 (249) (57)
- --------------------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
86
<Page>
<Table>
<Caption>
U.S. SMALL
TRUST SMALL U.S. SMALL COMPANY
CAP EQUITY COMPANY OPPORTUNITIES
FUND FUND FUND
REALIZED AND UNREALIZED
GAIN (LOSS) ON INVESTMENTS:
Net realized gain (loss) on
transactions from:
Investments $ 100,092 $ 88,418 $ 1,742
Futures (34) 768 --
Change in net unrealized
appreciation/depreciation of:
Investments (28,353) (62,691) (487)
Futures 646 162 --
Net realized and unrealized gain (loss)
on investments and futures 72,351 26,657 1,255
- --------------------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets
from operations $ 73,271 $ 26,408 $ 1,198
- --------------------------------------------------------------------------------------------------------------
* Includes reimbursements of
investment advisory, administration
and shareholder servicing fees : $ 14 $ 9 $ --^
- --------------------------------------------------------------------------------------------------------------
</Table>
^ Amount rounds to less than one thousand.
SEE NOTES TO FINANCIAL STATEMENTS.
87
<Page>
STATEMENT OF CHANGES IN NET ASSETS FOR THE PERIODS INDICATED
(Amounts in thousands)
<Table>
<Caption>
DYNAMIC SMALL CAP FUND MID CAP EQUITY FUND
------------------------------ -----------------------------
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
12/31/04 12/31/03 12/31/04 12/31/03
INCREASE (DECREASE) IN NET
ASSETS FROM OPERATIONS
Net investment income (loss) $ (2,722) $ (2,278) $ 643 $ 779
Net realized gain (loss) on investments 37,317 6,539 28,575 6,558
Change in net unrealized appreciation/
depreciation of investments (18,399) 47,379 8,854 39,408
- ------------------------------------------------------------------------------------------------------------------------------
Increase (decrease) in net assets
from operations 16,196 51,640 38,072 46,745
- ------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO
SHAREHOLDERS FROM
Net investment income -- -- (627) (782)
Net realized gain on
investment transactions -- -- (23,640) (5,709)
- ------------------------------------------------------------------------------------------------------------------------------
Total distributions to shareholders -- -- (24,267) (6,491)
- ------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS
Increase (decrease) (15,717) (12,619) 19,236 15,181
- ------------------------------------------------------------------------------------------------------------------------------
NET ASSETS
Total increase (decrease) in net assets 479 39,021 33,041 55,435
- ------------------------------------------------------------------------------------------------------------------------------
Beginning of period 191,365 152,344 194,066 138,631
- ------------------------------------------------------------------------------------------------------------------------------
End of period $ 191,844 $ 191,365 $ 227,107 $ 194,066
- ------------------------------------------------------------------------------------------------------------------------------
Accumulated undistributed
(overdistributed) net
investment income $ (7) $ (24) $ (6) $ (10)
- ------------------------------------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
88
<Page>
<Table>
<Caption>
MID CAP GROWTH FUND MID CAP VALUE FUND
------------------------------ -----------------------------
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
12/31/04 12/31/03 12/31/04 12/31/03
INCREASE (DECREASE) IN NET
ASSETS FROM OPERATIONS
Net investment income (loss) $ (374) $ (629) $ 8,301 $ 2,226
Net realized gain (loss) on investments 10,011 (1,935) 68,273 5,402
Change in net unrealized appreciation/
depreciation of investments (582) 21,065 344,403 102,487
- ------------------------------------------------------------------------------------------------------------------------------
Increase (decrease) in net assets
from operations 9,055 18,501 420,977 110,115
- ------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO
SHAREHOLDERS FROM
Net investment income -- -- (8,593) (2,288)
Net realized gain on
investment transactions -- -- (46,201) (4,605)
- ------------------------------------------------------------------------------------------------------------------------------
Total distributions to shareholders -- -- (54,794) (6,893)
- ------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS
Increase (decrease) (12,240) (14,090) 2,466,242 631,214
- ------------------------------------------------------------------------------------------------------------------------------
NET ASSETS
Total increase (decrease) in net assets (3,185) 4,411 2,832,425 734,436
- ------------------------------------------------------------------------------------------------------------------------------
Beginning of period 60,567 56,156 856,329 121,893
- ------------------------------------------------------------------------------------------------------------------------------
End of period $ 57,382 $ 60,567 $ 3,688,754 $ 856,329
- ------------------------------------------------------------------------------------------------------------------------------
Accumulated undistributed
(overdistributed) net
investment income $ (1) $ (1) $ (10) $ (1)
- ------------------------------------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
89
<Page>
<Table>
<Caption>
SMALL CAP EQUITY FUND SMALL CAP GROWTH FUND
------------------------------ -----------------------------
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
12/31/04 12/31/03 12/31/04 12/31/03
INCREASE (DECREASE) IN NET
ASSETS FROM OPERATIONS
Net investment income (loss) $ (1,977) $ (2,067) $ (35) $ (21)
Net realized gain (loss) on investments 276,109 34,654 571 (334)
Change in net unrealized appreciation/
depreciation of investments (93,478) 173,648 356 1,296
- ------------------------------------------------------------------------------------------------------------------------------
Increase (decrease) in net assets
from operations 180,654 206,235 892 941
- ------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO
SHAREHOLDERS FROM
Net realized gain on
investment transactions (112,302) -- -- --
- ------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS
Increase (decrease) (457,947) (62,159) 697 1,655
- ------------------------------------------------------------------------------------------------------------------------------
NET ASSETS
Total increase (decrease) in net assets (389,595) 144,076 1,589 2,596
- ------------------------------------------------------------------------------------------------------------------------------
Beginning of period 746,465 602,389 4,396 1,800
- ------------------------------------------------------------------------------------------------------------------------------
End of period $ 356,870 $ 746,465 $ 5,985 $ 4,396
- ------------------------------------------------------------------------------------------------------------------------------
Accumulated undistributed
(overdistributed) net
investment income $ (8) $ (90) $ --^ $ --^
- ------------------------------------------------------------------------------------------------------------------------------
</Table>
^ Amount rounds to less than one thousand.
SEE NOTES TO FINANCIAL STATEMENTS.
90
<Page>
<Table>
<Caption>
TRUST SMALL CAP EQUITY FUND U.S. SMALL COMPANY FUND
------------------------------ -----------------------------
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
12/31/04 12/31/03 12/31/04 12/31/03
INCREASE (DECREASE) IN NET
ASSETS FROM OPERATIONS
Net investment income (loss) $ 920 $ 121 $ (249) $ 853
Net realized gain (loss) on
investments and futures 100,058 18,926 89,186 7,207
Change in net unrealized appreciation
(depreciation) of investments
and futures (27,707) 77,999 (62,529) 105,478
- ------------------------------------------------------------------------------------------------------------------------------
Increase (decrease) in net assets
from operations 73,271 97,046 26,408 113,538
- ------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO
SHAREHOLDERS FROM
Net investment income (605) (111) -- (1,000)
Net realized gain on
investment transactions (87,711) (5,840) (28,244) --
- ------------------------------------------------------------------------------------------------------------------------------
Total distributions to shareholders (88,316) (5,951) (28,244) (1,000)
- ------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS
Increase (decrease) 532,830 35,795 (126,815) (186,555)
- ------------------------------------------------------------------------------------------------------------------------------
NET ASSETS
Total increase (decrease) in net assets 517,785 126,890 (128,651) (74,017)
- ------------------------------------------------------------------------------------------------------------------------------
Beginning of period 385,953 259,063 339,458 413,475
- ------------------------------------------------------------------------------------------------------------------------------
End of period $ 903,738 $ 385,953 $ 210,807 $ 339,458
- ------------------------------------------------------------------------------------------------------------------------------
Accumulated undistributed
(overdistributed) net
investment income $ 249 $ (62) $ 3 $ (1)
- ------------------------------------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
91
<Page>
<Table>
<Caption>
U.S. SMALL COMPANY
OPPORTUNITIES FUND
------------------------------
YEAR ENDED YEAR ENDED
12/31/04 12/31/03
INCREASE (DECREASE) IN NET
ASSETS FROM OPERATIONS:
Net investment income (loss) $ (57) $ (137)
Net realized gain (loss) on investments 1,742 (3,387)
Change in net unrealized appreciation
(depreciation) of investments (487) 3,777
- ---------------------------------------------------------------------------------------------
Increase (decrease) in net assets
from operations 1,198 253
- ---------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS
Increase (decrease) (4,305) (45,370)
- ---------------------------------------------------------------------------------------------
NET ASSETS:
Total increase (decrease) in net assets (3,107) (45,117)
- ---------------------------------------------------------------------------------------------
Beginning of period 9,733 54,850
- ---------------------------------------------------------------------------------------------
End of period $ 6,626 $ 9,733
- ---------------------------------------------------------------------------------------------
Accumulated undistributed
(overdistributed) net
investment income $ (2) $ (1)
- ---------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
92
<Page>
JPMORGAN FUNDS
NOTES TO FINANCIAL STATEMENTS
1. ORGANIZATION
J.P. Morgan Funds ("JPMF"), J.P. Morgan Institutional Funds ("JPMIF"), J.P.
Morgan Mutual Fund Group ("JPMMFG"), J.P. Morgan Mutual Fund Select Group
("JPMMFSG") and the J.P. Morgan Mutual Fund Investment Trust ("JPMMFIT") were
organized as Massachusetts business trusts and J.P. Morgan Fleming Mutual Fund
Group, Inc. ("JPMFMFG") was organized as a Maryland corporation. JPMF, JPMIF,
JPMMFG, JPMMFSG, JPMMFIT and JPMFMFG (collectively, the "Trusts") are registered
under the Investment Company Act of 1940 as amended (the "1940 Act"), as
open-end management investment companies. The Trusts were organized on the
following dates:
<Table>
JPMF November 4, 1992
JPMIF November 4, 1992
JPMMFG May 11, 1987
JPMMFSG October 1, 1996
JPMMFIT September 23, 1997
JPMFMFG August 19, 1997
</Table>
The following are nine separate portfolios of the Trusts (collectively, the
"Funds"):
<Table>
<Caption>
FUND CLASSES OFFERED
JPMorgan Dynamic Small Cap Fund ("DSCF") Class A, Class B, Class C and Select
JPMorgan Mid Cap Equity Fund ("MCEF") Select
JPMorgan Mid Cap Growth Fund ("MCGF") Class A and Class B
JPMorgan Mid Cap Value Fund ("MCVF") Class A, Class B, Class C, Institutional and Select
JPMorgan Small Cap Equity Fund ("SCEF") Class A, Class B and Select
JPMorgan Small Cap Growth Fund ("SCGF") Class A, Institutional and Select
JPMorgan Trust Small Cap Equity Fund ("TSCEF") Select
JPMorgan U.S. Small Company Fund ("USSCF") Institutional and Select
JPMorgan U.S. Small Company Opportunities Fund ("USSCOF") Select
</Table>
USSCOF is a separate series of JPMF. USSCF is a separate series of JPMIF. SCEF
and DSCF are separate series of JPMMFG. MCEF and TSCEF are separate series of
JPMMFSG. MCGF is a separate series of JPMMFIT. MCVF and SCGF are separate series
of JPMFMFG.
Class A shares generally provide for a front-end sales charge while Class B and
Class C shares provide for a contingent deferred sales charge. Class B shares
automatically convert to Class A shares after eight years. No sales charges are
assessed with respect to the Institutional Class shares and Select Class shares.
All classes of shares have equal rights as to earnings, assets and voting
privileges except that each class may bear different transfer agent,
distribution and shareholder servicing fees and each class has exclusive voting
rights with respect to its distribution plan and shareholder servicing
agreements. Class A shares for which front-end charges have been waived may be
subject to redemption charges as described in the Funds' prospectus.
On November 11, 2004, The Board of Directors approved the following:
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 Funds.
93
<Page>
See note 11 for subsequent events with respect to the reorganization and
redomiciliation of certain of the series of the trusts.
TSCEF underwent changes to its portfolio management team, benchmark, and
investment process effective July 16, 2004.
During the fiscal year ended December 31, 2004, SCEF relieved securities of the
fund in exchange for the redemption of Select Class shares. Cash and securities
were transferred for redemptions on December 6, 2004 at a market value of (in
thousands) $518,018, which resulted in a realized gain of (in thousands)
$159,702 to the Fund for book purposes.
During the fiscal year ended December 31, 2004, SCGF recognized unrealized gain
on investments of approximately $11 (in thousands) related to securities
purchases in violation of the Fund's investment restrictions during the year.
The effect of such gain resulted in an increase in total return of approximately
..2%
2. SIGNIFICANT ACCOUNTING POLICIES
THE FOLLOWING IS A SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES FOLLOWED BY THE
FUNDS:
The preparation of financial statements in accordance with accounting principles
generally accepted in the United States of America requires management to make
estimates and assumptions that affect the reported amounts and disclosures in
the financial statements. Actual results could differ from those estimates.
A. VALUATION OF INVESTMENTS -- Equity securities, purchased options and futures
contracts are valued at the last sale price on the exchange on which they are
primarily traded. The value of National Market Systems equity securities quotes
by the Nasdaq Stock Market, Inc. shall generally be the Nasdaq Official Closing
Price. Securities for which sale prices are not available and other
over-the-counter securities are valued at the mean between the bid and asked
quotations. Fixed income securities, other than convertible bonds, with a
maturity of 61 days or more held by the Funds will be valued each day based on
readily available market quotations received from independent or affiliated
commercial pricing services. Such pricing services will generally provide
bidside quotations. Convertible bonds are valued at the last sale price on the
primary exchange on which the bond is principally traded. All short-term
securities with a remaining maturity of sixty days or less are valued using the
amortized cost method, which approximates market value. When valuations are not
readily available, securities are valued at fair value as determined in
accordance with procedures adopted by the Trustees. It is possible that the
estimated values may differ significantly from the values that would have been
used had a ready market for the investments existed, and such differences could
have been material. Trading in securities on most foreign exchanges and over-the
counter markets is normally completed before the close of the domestic market
and may also take place on days when the domestic market is closed. In
accordance with procedures adopted by the Trustees, each of the Funds applies
fair value pricing on a daily basis for all non-U.S. and non-Canadian equity
securities held in its portfolio by utilizing the quotations of an independent
pricing service, unless the Fund's advisor, J.P. Morgan Investment Management
Inc. ("JPMIM" or the "Advisor"), determines that use of another valuation
methodology is appropriate. The pricing service uses statistical analyses and
quantitative models to adjust local market prices using factors such as
subsequent movements and changes in the prices of indices, securities, and
exchange rates in other markets, in determining fair value as of the time a Fund
calculates its net asset value.
B. REPURCHASE AGREEMENTS -- The Funds' custodian (or designated subcustodians,
as the case may be under tri-party repurchase agreements) takes possession of
the collateral pledged for investments in repurchase agreements on behalf of the
Funds. It is the policy of the Funds to mark-to-market the collateral on a daily
basis to determine that the value, including accrued interest, is at least equal
to the repurchase price plus accrued interest. In the event of default of the
obligation to repurchase, the Funds have the right to liquidate the collateral
and apply the proceeds in satisfaction of the obligation. In the event of
default or bankruptcy by the seller of the agreement, realization and/or
retention of the collateral or proceeds may be subject to legal proceedings.
C. 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
94
<Page>
contract are recorded as unrealized appreciation (depreciation) until the
contract is closed or settled, at which time a realized gain or loss is
recognized.
Index futures contracts are used to control the asset mix of the portfolios in
the most efficient manner. Short index futures contracts are used for hedging
purposes; i.e., to reduce the exposure to equities. Long index futures contracts
are used to gain exposure to equities, when it is anticipated that this will be
more efficient than buying stocks directly.
Use of long futures contracts subjects the Fund to risk of loss in excess of
amounts shown on the Statement of Assets and Liabilities, up to the notional
value of the futures contract. Use of short futures contracts 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 Fund's credit risk is
limited to failure of the exchange or board of trade.
As of December 31, 2004, TSCEF and USSCF had outstanding futures contracts as
listed on their Portfolio of Investments.
D. 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.
E. SECURITIES ON LOAN -- For all of the Funds, the Board of Trustees has
approved the lending of securities, through its custodian JPMorgan Chase Bank
("JPMCB"), an affiliate of the Funds, acting as lending agent to certain
borrowers. By lending investment securities, the Funds attempt to increase net
investment income through the receipt of interest (after rebates and fees) on
collateral received in connection with the loan. The net amount of interest
earned, after the rebate and fee, is included in the Statement of Operations as
Securities lending (net).
The loans are secured by collateral at least equal, at all times, to the value
of the securities loaned plus accrued interest. Gain or loss on the value of the
securities loaned that may occur during the term of the loan will be for the
account of the Fund. The Fund also continues to receive interest or dividends on
the securities loaned. The Fund has the right under the lending agreement to
recover the securities from the borrower on demand. JPMCB invests the cash
collateral on behalf of the Funds in accordance with investment guidelines
contained in the securities lending agreement.
At December 31, 2004, the market value of securities loaned and the amount of
collateral received were as follows (amounts in thousands):
<Table>
<Caption>
MARKET VALUE OF MARKET VALUE OF
SECURITIES LOANED COLLATERAL RECEIVED
DSCF $ 40,549 $ 41,470
MCEF 8,957 9,103
MCGF 2,781 2,830
MCVF 110,496 111,929
SCGF 1,104 1,132
TSCEF 71,548 73,315
USSCOF 1,042 1,069
</Table>
JPMCB as lending agent receives a fee equal to 0.05% (0.06% prior to January 31,
2004) of the average dollar value of loans of U.S. securities outstanding during
a given month and 0.10% (0.1142% prior to January 31, 2004) of the average
dollar value of loans on non-U.S. securities outstanding during a given month
from the Funds as detailed below (amounts in thousands):
<Table>
DSCF $ 20
MCEF 6
MCGF 4
MCVF 52
SCEF 73
SCGF 1
TSCEF 32
USSCF 2
USSCOF --^
</Table>
^ Amount rounds to less than one thousand.
95
<Page>
Risks of delay in recovery of securities or even loss of rights in the
collateral may occur should the borrower of the securities fail financially.
Risks may also arise to the extent that the value of the securities loaned
increases above the value of the collateral received. JPMCB will indemnify the
Fund from any loss resulting from a borrower's failure to return a loaned
security when due.
F. SECURITY TRANSACTIONS AND INVESTMENT INCOME -- Investment transactions are
accounted for on the trade date (the date the order to buy or sell is executed).
Securities gains and losses are calculated on the identified cost basis.
Interest income is determined on the basis of coupon interest accrued using the
interest method adjusted for amortization of premiums and accretion of
discounts. Dividend income less foreign taxes withheld (if any) is recorded on
the ex-dividend date or when the Fund first learns of the dividend.
G. 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.
H. 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.
I. 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 (amounts in thousands):
<Table>
<Caption>
ACCUMULATED ACCUMULATED
UNDISTRIBUTED/ NET REALIZED
(OVERDISTRIBUTED) GAIN (LOSS)
PAID-IN-CAPITAL NET INVESTMENT INCOME ON INVESTMENTS
FUND
DSCF $ (2,739) $ 2,739 $ --
MCEF -- (12) 12
MCGF (374) 374 --
MCVF -- 283 (283)
SCEF 159,645 2,059 (161,704)
SCGF (35) 35 --
TSCEF 14,496 (5) (14,491)
USSCF (248) 253 (5)
USSCOF (57) 56 1
</Table>
^ Amount rounds to less than one thousand.
96
<Page>
The reclassifications for DSCF, MCGF and SCGF relate primarily to the character
for the tax purposes of current year net operating losses. The reclassifications
for MCEF, MCVF and TSCEF relate primarily to the character for tax purposes of
current year distributions received from investments in REITs. The
reclassifications for SCEF relate primarily to the character for the tax
purposes of current year non-deductible net operating losses, distributions
received from investments in REITs and redemptions in-kind. The
reclassifications for USSCF and USSCOF relate primarily to the character for the
tax purposes of current year non-deductible net operating losses and
distributions received from investments in REITs.
J. 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 JP Morgan Fleming Asset Management Holdings, Inc., which is a
wholly owned subsidiary of JP Morgan Chase & Co. The Advisor supervises the
investments of each respective Fund and for such services is paid a fee. The fee
is accrued daily and paid monthly based on each Fund's respective average daily
net assets. The annual fee for each Fund is as follows:
<Table>
<Caption>
INVESTMENT
ADVISORY FEE (%)
FUND
DSCF 0.65%
MCEF 0.65%
MCGF 0.65%
MCVF 0.70%*
SCEF 0.65%
SCGF 0.80%
TSCEF 0.65%
USSCF 0.60%
USSCOF 0.60%
</Table>
* As approved by the Board of Trustees, effective February 19, 2005, the
Investment Advisory Fee was reduced to an annual rate of 0.65% for MCVF.
The Advisors waived fees as outlined in Note 3.F.
The Funds may invest in one or more of the affiliated JPMorgan Money Market
Funds. The Adviser has agreed to waive and/or reimburse its advisory fee from
the Funds in an amount sufficient to offset any doubling up of investment
advisory, administration and shareholder servicing fees related to each Fund's
investment in an affiliated money market fund.
B. DISTRIBUTION FEE -- Pursuant to a Distribution Agreement, J.P. Morgan Fund
Distributors, Inc. ("JPMFD" or "Distributor"), a wholly-owned subsidiary of The
BISYS Group, Inc., serves as the Trusts' exclusive underwriter and promotes and
arranges for the sale of each Fund's shares. JPMFD receives no compensation in
its capacity as the Funds' underwriter.
The Trustees have adopted Distribution Plans (the "Distribution Plans") for
Class A, B, and C Shares of the Funds in accordance with Rule 12b-1 under the
1940 Act. The Distribution Plans provide that each Fund shall pay distribution
fees, including payments to the Distributor, at annual rates of the average
daily net assets as shown in the table below (%):
<Table>
<Caption>
CLASS A CLASS B CLASS C
FUND
DSCF 0.25 0.75 0.75
MCEF n/a n/a n/a
MCGF 0.25 0.75 n/a
MCVF 0.25 0.75 0.75
SCEF 0.25 0.75 n/a
SCGF 0.25 n/a n/a
TSCEF n/a n/a n/a
USSCF n/a n/a n/a
USSCOF n/a n/a n/a
</Table>
In addition, JPMFD is entitled to receive the contingent deferred sales charge
("CDSC") from redemptions of Class B and C shares.
The Distributor waived fees and reimbursed expenses as outlined in 3.F.
97
<Page>
C. SHAREHOLDER SERVICING FEE -- The Trusts have entered into Shareholder
Servicing Agreements on behalf of the Funds with JPMCB, under which JPMCB
provides account administration and personal account maintenance services to
shareholders. For performing these services, JPMCB receives a fee that is
computed daily and paid monthly equal to a percentage of the average daily net
assets as shown in the table below (%):
<Table>
<Caption>
INSTITUTIONAL SELECT
CLASS A CLASS B CLASS C CLASS CLASS
FUND
DSCF 0.25 0.25 0.25 n/a 0.25
MCEF n/a n/a n/a n/a 0.25
MCGF 0.25 0.25 n/a n/a n/a
MCVF 0.25 0.25 0.25 0.10 0.25
SCEF 0.25 0.25 n/a n/a 0.25
SCGF 0.25 n/a n/a 0.10 0.25
TSCEF n/a n/a n/a n/a 0.25
USSCF n/a n/a n/a 0.10 0.25
USSCOF n/a n/a n/a n/a 0.25
</Table>
JPMCB may enter into services contracts with certain entities under which it
will pay all or a portion of the annual fee to such entities for performing
shareholder and administrative services.
In addition, JPMCB, Charles Schwab & Co. ("Schwab") and the Trusts are parties
to separate services and operating agreements (the "Schwab Agreements") whereby
Schwab makes shares of the Funds available to customers of investment advisers
and other financial intermediaries who are Schwab's clients. The Funds are not
responsible for payments to Schwab under the Schwab Agreements; however, in the
event the servicing agreement with Schwab is terminated for reasons other than a
breach by Schwab and the relationship between the JPMMFG, JPMMFSG, JPMMFIT,
JPMFMFG, JPMF, and JPMIF with JPMCB are terminated, the Funds would be
responsible for the ongoing payments to Schwab with respect to pre-termination
shares.
D. CUSTODIAN AND ACCOUNTING FEES -- JPMCB provides portfolio custody and
accounting services for the Funds. Compensation for such services is presented
in the Statement of Operations as custodian fees. The custodian fees may be
reduced by credits earned by each Fund, based on the uninvested cash balances
held by the custodian. Such earning credits are presented separately in the
Statement of Operations.
Interest expense paid to the custodian related to overdrafts are presented as
interest expense in the Statement of Operations.
E. ADMINISTRATION FEE -- Pursuant to the Administration Agreement, JPMCB (the
"Administrator") provides certain administration services to the Funds. In
consideration of these services, the Administrator receives a fee computed daily
and paid monthly at the annual rate equal to 0.15% of the first $25 billion of
the average daily net assets of all non-money market funds in the JPMorgan Fund
Complex and 0.075% of the average daily net assets in excess of $25 billion.
BISYS Fund Services, LP ("BISYS") serves as the Funds' sub-administrator. For
its services as sub-administrator, BISYS receives a portion of the fees payable
to JPMCB as Administrator.
98
<Page>
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
DSCF 1.50 2.12 2.12 n/a 1.10
MCEF n/a n/a n/a n/a 1.00
MCGF 1.35 2.05 n/a n/a n/a
MCVF 1.25 2.00 2.00 0.75 1.00
SCEF 1.38 2.12 n/a n/a 0.85
SCGF 1.60 n/a n/a 0.85 1.10
USSCF n/a n/a n/a 0.83 1.01
USSCOF n/a n/a n/a n/a 1.02
</Table>
The contractual expense limitation agreements were in effect for the year ended
December 31, 2004 for the Funds. The expense limitation percentages in the table
above are due to expire on April 30, 2006.
The Administrator waived fees and reimbursed expenses as outlined in Note 3.F.
99
<Page>
F. WAIVERS AND REIMBURSEMENTS -- For the year ended December 31, 2004, the
Funds' vendors waived fees and the Administrator contractually reimbursed
expenses for each of the Funds as follows (amounts in thousands). Neither the
Funds' service providers nor the Administrator expect the Funds to repay any
such waived fees and reimbursed expenses in future years.
<Table>
<Caption>
CONTRACTUAL WAIVERS
-------------------------------------------------------------------
INVESTMENT SHAREHOLDER CONTRACTUAL
ADVISORY ADMINISTRATION SERVICING DISTRIBUTION TOTAL REIMBURSEMENTS
FUND
DSCF $ -- $ 54 $ 283 $ -- $ 337 $ --
MCEF -- -- 287 -- 287 --
MCGF 79 58 110 -- 247 --
MCVF 2,429 947 1,795 5,171 52
SCEF -- 41 1,754 25 1,820 --
SCGF 40 7 7 -- 54 144
USSCF -- 128 222 -- 350 --
USSCOF 48 12 20 -- 80 80
- --------------------------------------------------------------------------------------------------------------------------
Total $ 2,596 $ 1,247 $ 4,478 $ 25 $ 8,346 $ 276
- --------------------------------------------------------------------------------------------------------------------------
</Table>
<Table>
<Caption>
VOLUNTARY WAIVERS
-------------------------------------------------------------------
INVESTMENT SHAREHOLDER
ADVISORY ADMINISTRATION SERVICING DISTRIBUTION TOTAL
FUND
MCEF $ -- $ 81 $ 123 $ -- $ 204
MCVF 137 202 -- -- 339
TSCEF 543 312 935 -- 1,790
- -------------------------------------------------------------------------------------------------------------------------
Total $ 680 $ 595 $ 1,058 $ -- $ 2,333
- -------------------------------------------------------------------------------------------------------------------------
</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 December 31,
2004 MCEF incurred approximately $1 (in thousands), as brokerage commissions
with brokers/dealers affiliated with JPMCB.
The SEC has granted an exemptive order permitting each fund to engage in
principal transactions with J.P. Morgan Securities Inc., an affiliated broker,
involving taxable money market instruments subject to certain conditions.
H. SUBSEQUENT CHANGES -- After considering management's recommendations, the
Boards of Trustees of the Trusts approved, and the Funds entered into, a
Distribution Agreement and a Shareholder Servicing Agreement with JPMorgan
Distribution Services, Inc. ("JPMDS") and an Administration Agreement with
JPMorgan Funds Management, Inc. ("JPMFM"). JPMDS and JPMFM are both indirect,
wholly-owned subsidiaries of JPMorgan Chase & Co. The agreements are effective
February 19, 2005, and the fees charged to the Funds under the agreements are
subject to the same fee structure as those paid to the prior service providers.
100
<Page>
Beginning in mid-2005, JPMCB will serve as the Funds' sub-administrator. For its
services as sub-administrator, JPMCB will receive a portion of the fees payable
to JPMFM as Administrator.
4. CLASS SPECIFIC EXPENSES
The Funds' class specific expenses for the year ended December 31, 2004 are as
follows (amounts in thousands):
<Table>
<Caption>
SHAREHOLDER
FUND SERVICING DISTRIBUTION TRANSFER AGENT
DSCF
Class A $ 231 $ 231 $ 266
Class B 150 451 174
Class C 73 218 84
Select 35 -- 19
- ---------------------------------------------------------------------------------------
$ 489 $ 900 $ 543
MCEF
Select $ 510 $ -- $ 22
MCGF
Class A $ 137 $ 137 $ 102
Class B 7 22 5
- ---------------------------------------------------------------------------------------
$ 144 $ 159 $ 107
MCVF
Class A $ 1,707 $ 1,707 $ 1,238
Class B 265 794 191
Class C 583 1,749 423
Institutional 690 -- 212
Select 530 -- 50
- ---------------------------------------------------------------------------------------
$ 3,775 $ 4,250 $ 2,114
SCEF
Class A $ 234 $ 234 $ 250
Class B 50 151 55
Select 1,565 -- 34
- ---------------------------------------------------------------------------------------
$ 1,849 $ 385 $ 339
SCGF
Class A $ 3 $ 3 $ 13
Class B* -- -- --
Class C* -- -- --
Institutional 3 -- 12
Select 1 -- 12
- ---------------------------------------------------------------------------------------
$ 7 $ 3 $ 37
TSCEF
Select $ 935 $ -- $ 22
</Table>
101
<Page>
<Table>
<Caption>
SHAREHOLDER
FUND SERVICING DISTRIBUTION TRANSFER AGENT
USSCF
Institutional $ 114 $ -- $ 20
Select 343 -- 63
- ---------------------------------------------------------------------------------------
$ 457 $ -- $ 83
USSCOF
Select $ 20 $ -- $ 25
</Table>
5. CLASS SPECIFIC DISTRIBUTIONS
The Funds' class specific distributions from net investment income and realized
gain on investment transactions for the year ended December 31, 2004, and the
year ended December 31, 2003 are as follows (amounts in thousands):
<Table>
<Caption>
YEAR ENDED 12/31/04 YEAR ENDED 12/31/03
--------------------------------- ---------------------------------
NET NET
INVESTMENT INCOME REALIZED GAIN INVESTMENT INCOME REALIZED GAIN
MCEF
Select $ 627 $ 23,640 $ 782 $ 5,709
MCVF
Class A $ 2,344 $ 16,897 $ 669 $ 1,468
Class B -- 2,288 -- 389
Class C -- 6,079 20 561
Institutional 4,851 15,152 1,392 1,820
Select 1,398 5,785 207 367
- -----------------------------------------------------------------------------------------------------------
$ 8,593 $ 46,201 $ 2,288 $ 4,605
SCEF
Class A $ -- $ 16,153 $ -- $ --
Class B -- 2,612 -- --
Select -- 93,537 -- --
- -----------------------------------------------------------------------------------------------------------
$ -- $ 112,302 $ -- $ --
TSCEF
Select $ 605 $ 87,711 $ 111 $ 5,840
USSCF
Institutional $ -- $ 12,738 $ 587 $ --
Select -- 15,506 413 --
- -----------------------------------------------------------------------------------------------------------
$ -- $ 28,244 $ 1,000 $ --
- -----------------------------------------------------------------------------------------------------------
</Table>
102
<Page>
6. INVESTMENT TRANSACTIONS
For the year ended December 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.
GOVERNMENT) GOVERNMENT) GOVERNMENT GOVERNMENT
FUND
DSCF $ 214,815 $ 229,367 $ -- $ --
MCEF 205,481 214,618 -- --
MCGF 67,386 80,547 -- --
MCVF 3,113,598 760,300 -- --
SCEF 316,210 901,814 -- --
SCGF 6,315 5,696 -- --
TSCEF 1,035,221 659,306 -- --
USSCF 319,484 483,764 423 --
USSCOF 8,740 14,570 -- --
</Table>
7. FEDERAL INCOME TAX MATTERS
For Federal income tax purposes, the cost and unrealized appreciation
(depreciation) in value of the investment securities at December 31, 2004, were
as follows (amounts in thousands):
<Table>
<Caption>
GROSS GROSS NET UNREALIZED
AGGREGATE UNREALIZED UNREALIZED APPRECIATION/
COST APPRECIATION (DEPRECIATION) (DEPRECIATION)
FUND
DSCF $ 169,825 $ 31,782 $ (3,156) $ 28,626
MCEF 174,846 51,915 (494) 51,421
MCGF 46,240 11,765 (440) 11,325
MCVF 3,283,670 444,074 (274) 443,800
SCEF 265,313 95,626 (4,564) 91,062
SCGF 4,974 1,183 (113) 1,070
TSCEF 819,528 64,852 (4,851) 60,001
USSCF 176,807 39,464 (5,453) 34,011
USSCOF 5,579 1,217 (164) 1,053
</Table>
103
<Page>
The tax character of distributions paid during the periods indicated were as
follows (amounts in thousands):
<Table>
<Caption>
ORDINARY LONG-TERM RETURN OF TOTAL
FUND INCOME CAPITAL GAIN CAPITAL DISTRIBUTIONS
YEAR ENDED DECEMBER 31, 2004
DSCF $ -- $ -- $ -- $ --
MCEF 6,536 17,731 -- 24,267
MCGF -- -- -- --
MCVF 44,728 10,066 -- 54,794
SCEF 5,490 106,812 -- 112,302
SCGF -- -- -- --
TSCEF 12,478 75,838 -- 88,316
USSCF -- 28,244 -- 28,244
USSCOF -- -- -- --
<Caption>
ORDINARY LONG-TERM RETURN OF TOTAL
FUND INCOME CAPITAL GAIN CAPITAL DISTRIBUTIONS
YEAR ENDED DECEMBER 31, 2003
DSCF $ -- $ -- $ -- $ --
MCEF 3,523 2,968 -- 6,491
MCGF -- -- -- --
MCVF 6,591 302 -- 6,893
SCEF -- -- -- --
SCGF -- -- -- --
TSCEF 103 5,848 -- 5,951
USSCF 1,000 -- -- 1,000
USSCOF -- -- -- --
</Table>
At December 31, 2004, the tax components of capital were as follows (amounts in
thousands):
<Table>
<Caption>
DSCF MCEF MCGF
Current distributable ordinary income $ -- $ 2,297 $ --
Current distributable long-term capital
gain or (tax basis capital loss carryover) (3,777) 3,651 (253,416)
Unrealized appreciation (depreciation) $ 28,626 $ 51,421 $ 11,325
</Table>
104
<Page>
<Table>
<Caption>
MCVF SCEF SCGF
Current distributable ordinary income $ 14,903 $ 424 $ --
Current distributable long-term capital
gain or tax basis capital loss carryover 12,235 14,482 (794)
Unrealized appreciation (depreciation) $ 443,800 $ 91,062 $ 1,070
<Caption>
TSCEF USSCF USSCOF
Current distributable ordinary income $ 4,576 $ -- $ --
Current distributable long-term capital
gain or (tax basis capital loss carryover) 1,194 2,929 (156,810)
Unrealized appreciation (depreciation) $ 60,001 $ 34,011 $ 1,053
</Table>
For DSCF, MCEF, MCGF, MCVF, SCGF, TSCEF and USSCOF the difference between book
and tax basis unrealized appreciation/(depreciation) is primarily attributed to
wash sale loss deferrals. For SCEF, the difference between book and tax basis
unrealized appreciation/(depreciation) is primarily attributed to REIT Return of
Capital ("ROC") adjustments. For USSCF, the difference between book and tax
basis unrealized appreciation/(depreciation) is primarily attributed to wash
sale loss deferrals, inside/outside adjustment, and REIT ROC adjustments.
At December 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
AMOUNT DATE
FUND
DSCF $ 3,776 December 31, 2010
- ------------------------------------------------------------------------------------------
MCGF $ 222,526 December 31, 2009
28,364 December 31, 2010
2,527 December 31, 2011
- ------------------------------------------------------------------------------------------
$ 253,417
- ------------------------------------------------------------------------------------------
SCGF $ 242 December 31, 2010
553 December 31, 2011
- ------------------------------------------------------------------------------------------
$ 795
- ------------------------------------------------------------------------------------------
USSCOF $ 8,756 December 31, 2008
79,872 December 31, 2009
62,976 December 31, 2010
5,206 December 31, 2011
- ------------------------------------------------------------------------------------------
$ 156,810
- ------------------------------------------------------------------------------------------
</Table>
105
<Page>
During the year ended December 31, 2004, DSCF, MCGF, SCGF, USSCF, and USSCOF
utilized capital loss carryforwards of (in thousands) $37,076, $10,031, $552,
$55,510 and $1,607, respectively.
Capital losses incurred after October 31, within a Fund's fiscal year, are
deemed to arise on the first business day of the following fiscal year for tax
purposes.
8. 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 it to participate with other JPMorgan Funds in a line of
credit with JPMCB, as administrative agent, and with a syndicate of banks, which
permits borrowings up to $250 million, collectively. Interest is charged to the
Funds based on its borrowings at an annual rate equal to the sum of the Federal
Funds Rate plus 0.50%. This agreement was extended and was subsequently
terminated as of February 18, 2005.
The Funds had no borrowings outstanding at December 31, 2004, nor at anytime
during the year then ended.
Effective February 19, 2005, the Trust and JPMCB have entered into a financing
arrangement. Under this arrangement, JPMCB provides an unsecured uncommitted
credit facility in the aggregate amount of $100 million. Interest on borrowings
is payable at a rate determined by JPMCB at the time of borrowing.
Effective February 19, 2005, the Funds began relying upon an exemptive order
("Order") permitting the establishment and operation of an Interfund Lending
Facility ("Facility"). The Facility allows the Funds to directly lend and borrow
money to or from any other fund relying upon the Order at rates beneficial to
both the borrowing and lending funds. Advances under the Facility are taken
primarily for temporary or emergency purposes, including the meeting of
redemption requests that otherwise might require the untimely disposition of
securities, and are subject to each Fund's borrowing restrictions. The Interfund
Loan Rate is determined, as specified in the Order, by averaging the current
repurchase agreement rate and the current bank loan rate. The Order was granted
to One Group Mutual Funds and may be relied upon by the Funds because they are
investment companies in the same "group of investment companies" (as defined in
Section 12(d)(1)(G) of the Investment Company Act of 1940) as One Group Mutual
Funds.
9. CONCENTRATIONS AND INDEMNIFICATIONS
From time to time, the Funds may have a concentration of several shareholders
which may be a related party, holding a significant percentage of shares
outstanding. Investment activities of these shareholders could have a material
impact on the Funds.
As of December 31, 2004, there were individual shareholders who owned 23% and
28% of SCGF and there was one shareholder of record that owned 64% of TSCEF.
In the normal course of business, the Funds enter into contracts that contain a
variety of representations which provide general indemnifications. Each Fund's
maximum exposure under these arrangements is unknown as this would involve
future claims that may be made against each Fund that have not yet occurred.
However, based on experience, the Funds expect the risk of loss to be remote.
10. CORPORATE EVENT
On May 25, 2004, J.P. Morgan Chase & Co. and Bank One Corp. announced that, at
separate meetings, their respective shareholders had approved the merger of the
two companies. The companies completed the merger of their holding companies on
July 1, 2004. Effective July 20, 2004, the name of the combined holding company
was changed to JPMorgan Chase & Co. Effective November 15, 2004, the bank name
is JPMorgan Chase Bank, National Association.
106
<Page>
11. SUBSEQUENT EVENT
Effective February 19, 2005 Trust Small Cap Equity Fund changed its name to
JPMorgan Small Cap Core Fund.
In addition, the Board of Trustees approved a change in benchmark from the S&P
SmallCap 600/BARRA Growth Index to the Russell 2000 Index for the Dynamic Small
Cap Fund, effective February 19, 2005.
On February 9, 2005, the Board of Trustees approved managements proposal to
limit the offering of the Mid Cap Value Fund effective March 31, 2005, and the
Trust Small Cap Equity Fund and U.S. Small Company Fund effective February 28,
2005.
On August 19, 2004, the Boards of Trustees of the Trusts each approved an
Agreement and Plan of Reorganization regarding the reorganization of each series
of their respective Trust into a corresponding series of J.P. Morgan Mutual Fund
Series ("JPMMFS").
At a special meeting of shareholders of JPMorgan Mid Cap Equity Fund, JPMorgan
Small Cap Growth Fund and JPMorgan Trust Small Cap Equity Fund held on January
20, 2005, and at a special meeting of shareholders of JPMorgan Dynamic Small Cap
Fund, JPMorgan Small Cap Equity Fund, JPMorgan U.S. Small Company Fund and
JPMorgan U.S. Small Company Opportunities Fund (collectively, the "Funds") held
on January 20, 2005, and adjourned and reconvened on February 3, 2005,
shareholders of each of the Funds approved the Agreements and Plans of
Reorganization with respect to each respective Fund.
Effective after the close of business on February 18, 2005 pursuant to the
Agreements and Plans of Reorganization, the Funds were each reorganized, by
means of a tax-free reorganization, each as a separate series of JPMMFS.
Additionally, at a special meeting of shareholders on January 20, 2005, the
shareholders of JPMMFS approved an Agreement and Plan of Reorganization and
Redomiciliation providing for the reorganization and redomiciliation of each
series of JPMMFS as a corresponding series of JPMorgan Trust I, a Delaware
statutory trust, including those series of JPMMFS such as the Funds which became
a series of JPMMFS as of February 18, 2005. Therefore, effective after the close
of business on February 18, 2005, pursuant to the Agreement and Plan of
Reorganization and Redomiciliation, the Funds were each reorganized and
redomiciled, by means of a tax-free reorganization, as a separate series of
JPMorgan Trust I.
On August 19, 2004, the Boards of Trustees of the Trusts, and on August 12,
2004, the Board of Trustees of the One Group Mutual Funds, each approved
management's proposal to merge JPMorgan Small Cap Growth Fund and JPMorgan U.S.
Small Company Opportunities Fund (the "Target Funds") into One Group Small Cap
Growth Fund (the "Acquiring Fund").
The Agreement and Plan of Reorganization with respect to the JPMorgan Small Cap
Growth Fund was approved by that Fund's shareholders at a special meeting of
shareholders held on January 20, 2005. The Agreement and Plan of Reorganization
with respect to JPMorgan U.S. Small Company Opportunities Fund was approved by
that Fund's shareholders at a special meeting of shareholders held on January
20, 2005, and adjourned and reconvened on February 3, 2005.
The mergers were effective after the close of business on February 18, 2005. The
Acquiring Funds acquired all of the assets and liabilities of the corresponding
Target Funds as shown in the table below. Each merger transaction was structured
to qualify as a tax-free reorganization under the Internal Revenue Code of 1986.
Pursuant to each Agreement and Plan of Reorganization, shareholders of the
Target Funds received a number of shares of the corresponding class in the
corresponding Acquiring Fund with a value equal to their holdings in the
respective Target Fund as of the close of business on the date of the
reorganization.
107
<Page>
The following is a summary of Shares Outstanding, Net Assets, Net Asset Value
Per Share, Net Unrealized Appreciation or Depreciation immediately before and
after the reorganization (amounts in thousands, except per share amounts):
JPMORGAN REORGANIZATION
<Table>
<Caption>
NET ASSET NET
SHARES VALUE UNREALIZED
OUTSTANDING NET ASSETS PER SHARE APPRECIATION
TARGET FUNDS
JPMorgan Small Cap Growth Fund $ 863
Class A 176 $ 1,524 $ 8.64
Institutional 406 $ 3,614 $ 8.91
Select 106 $ 938 $ 8.82
JPMorgan U.S. Small Company
Opportunities Fund $ 800
Select 594 $ 6,200 $ 10.43
ACQUIRING FUND
One Group Small Cap Growth Fund $ 70,106
Class A 7,899 $ 97,614 $ 12.36
Class B 2,866 $ 32,547 $ 11.36
Class C 1,075 $ 12,492 $ 11.62
Class I 41,055 $ 516,120 $ 12.57
POST REORGANIZATION
JPMorgan Small Cap Growth Fund $ 71,769
Class A 8,023 $ 99,138 $ 12.36
Class B 2,866 $ 32,547 $ 11.36
Class C 1,075 $ 12,492 $ 11.62
Institutional 288 $ 3,614 $ 12.57
Select 41,622 $ 523,258 $ 12.57
</Table>
12. LEGAL PROCEEDINGS
NONE OF THE ACTIONS DESCRIBED BELOW ALLEGE THAT ANY UNLAWFUL ACTIVITY TOOK PLACE
WITH RESPECT TO ANY FUNDS WHOSE FINANCIAL STATEMENTS ARE INCLUDED IN THIS
REPORT.
On July 1, 2004, Bank One Corporation, the former corporate parent of the One
Group Dealer Services, Inc., One Group Administrative Services, Inc. and Banc
One Investment Advisors Corporation ("BOIA"), the investment adviser to the
former One Group Mutual Funds, merged into JPMorgan Chase. As a consequence of
the merger, on that date, One Group Dealer Services, One Group Administrative
Services and BOIA (renamed JPMorgan Investment Advisors, Inc. effective February
19, 2005) became affiliates of both JPMIM and JPMorgan Chase Bank N.A. JPMorgan
Distribution Services, Inc. (formerly One Group Dealer Services, Inc.) ("JPMDS")
and JPMorgan Funds Management Inc. (formerly One Group Administrative Services,
Inc.) became the distributor and administrator, respectively, of the JPMorgan
Funds effective February 19, 2005.
108
<Page>
Prior to becoming an affiliate of JPMorgan Chase, on June 29, 2004, BOIA entered
into agreements with the Securities and Exchange Commission ("SEC") and the New
York Attorney General ("NYAG") in resolution of investigations conducted by the
SEC and the NYAG into market timing of certain mutual funds advised by BOIA,
possible late trading of certain of these funds and related matters. In this
connection, BOIA or its affiliates agreed to pay disgorgement and a civil money
penalty in an aggregate amount of $50 million. The settlement agreement with the
NYAG also requires BOIA to reduce its management fee for certain series of the
former One Group Mutual Funds, in an aggregate amount of approximately $8
million annually over the next five years. In addition, BOIA has agreed to
undertakings relating to, among other things, governance and compliance
initiatives.
In addition to the matters involving the SEC and NYAG, various lawsuits have
been filed against BOIA, the then incumbent trustees of One Group Mutual Funds
and various affiliates of BOIA, including JPMDS. The lawsuits generally relate
to the same facts that were the subject of the SEC order and NYAG settlement
discussed above. These actions seek, among other things, compensatory damages,
restitution, disgorgement of unjustly earned profits, punitive damages, removal
of the then incumbent trustees of One Group Mutual Funds, removal of the One
Group Mutual Funds' investment advisers (E.G., BOIA) and distributor (I.E.,
JPMDS), rescission of the distribution and service plans adopted under Rule
12b-1 of the Investment Company Act of 1940, and attorneys' fees. These lawsuits
are ongoing and, accordingly, an estimate of the financial impact of these
actions cannot currently be made.
Any Fund identified in this report as having acquired the assets of a former One
Group Mutual Fund or that was acquired by a former One Group Mutual Fund will be
reimbursed for all costs associated with these matters to ensure that the Fund
or its successor incurs no expenses as it relates to the matters described
above. A portion of these reimbursements may be from related parties.
109
<Page>
13. CAPITAL SHARE TRANSACTIONS
Capital share transactions were as follows for the periods presented (amounts in
thousands):
<Table>
<Caption>
DYNAMIC SMALL CAP FUND
--------------------------------------
YEAR ENDED YEAR ENDED
DECEMBER 31, 2004 DECEMBER 31, 2003
CLASS A SHARES
AMOUNT
Shares sold $ 27,956 $ 33,709
Shares redeemed (38,856) (53,209)
- -------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ (10,900) $ (19,500)
- -------------------------------------------------------------------------------------------
SHARES
Shares sold 1,634 2,294
Shares redeemed (2,293) (3,769)
- -------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding (659) (1,475)
- -------------------------------------------------------------------------------------------
CLASS B
AMOUNT
Shares sold $ 11,257 $ 10,241
Shares redeemed (16,973) (12,042)
- -------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ (5,716) $ (1,801)
- -------------------------------------------------------------------------------------------
SHARES
Shares sold 693 756
Shares redeemed (1,057) (932)
- -------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding (364) (176)
- -------------------------------------------------------------------------------------------
CLASS C
AMOUNT
Shares sold $ 19,086 $ 11,002
Shares redeemed (10,644) (2,766)
- -------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ 8,442 $ 8,236
- -------------------------------------------------------------------------------------------
SHARES
Shares sold 1,186 789
Shares redeemed (673) (209)
- -------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding 513 580
- -------------------------------------------------------------------------------------------
</Table>
110
<Page>
<Table>
<Caption>
DYNAMIC SMALL CAP FUND (CONTINUED)
--------------------------------------
YEAR ENDED YEAR ENDED
DECEMBER 31, 2004 DECEMBER 31, 2003
SELECT
AMOUNT
Shares sold $ 7,516 $ 11,103
Shares redeemed (15,059) (10,657)
- -------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ (7,543) $ 446
- -------------------------------------------------------------------------------------------
SHARES
Shares sold 427 806
Shares redeemed (859) (861)
- -------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding (432) (55)
- -------------------------------------------------------------------------------------------
</Table>
111
<Page>
<Table>
<Caption>
MID CAP EQUITY FUND
--------------------------------------
YEAR ENDED YEAR ENDED
DECEMBER 31, 2004 DECEMBER 31, 2003
SELECT
AMOUNT
Shares sold $ 57,714 $ 38,236
Shares issued in reinvestment of
distributions 17,555 4,884
Shares redeemed (56,033) (27,939)
- -------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ 19,236 $ 15,181
- -------------------------------------------------------------------------------------------
SHARES
Shares sold 1,752 1,383
Shares issued in reinvestment of
distributions 536 160
Shares redeemed (1,693) (1,002)
- -------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding 595 541
- -------------------------------------------------------------------------------------------
</Table>
112
<Page>
<Table>
<Caption>
MID CAP GROWTH FUND
--------------------------------------
YEAR ENDED YEAR ENDED
DECEMBER 31, 2004 DECEMBER 31, 2003
CLASS A
AMOUNT
Shares sold $ 2,220 $ 829
Shares redeemed (13,954) (14,203)
- -------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ (11,734) $ (13,374)
- -------------------------------------------------------------------------------------------
SHARES
Shares sold 433 191
Shares redeemed (2,687) (3,409)
- -------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding (2,254) (3,218)
- -------------------------------------------------------------------------------------------
CLASS B
AMOUNT
Shares sold $ 194 $ 351
Shares redeemed (700) (1,067)
- -------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ (506) $ (716)
- -------------------------------------------------------------------------------------------
SHARES
Shares sold 39 85
Shares redeemed (140) (255)
- -------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding (101) (170)
- -------------------------------------------------------------------------------------------
</Table>
113
<Page>
<Table>
<Caption>
MID CAP VALUE FUND
--------------------------------------
YEAR ENDED YEAR ENDED
DECEMBER 31, 2004 DECEMBER 31, 2003
CLASS A
AMOUNT
Shares sold $ 1,033,844 $ 251,409
Shares issued in reinvestment of
distributions 16,217 1,676
Shares redeemed (122,265) (33,488)
- -------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ 927,796 $ 219,597
- -------------------------------------------------------------------------------------------
SHARES
Shares sold 51,027 14,916
Shares issued in reinvestment of
distributions 746 92
Shares redeemed (6,071) (2,080)
- -------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding 45,702 12,928
- -------------------------------------------------------------------------------------------
CLASS B
AMOUNT
Shares sold $ 93,272 $ 46,760
Shares issued in reinvestment of
distributions 1,863 317
Shares redeemed (9,647) (2,807)
- -------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ 85,488 $ 44,270
- -------------------------------------------------------------------------------------------
SHARES
Shares sold 4,666 2,882
Shares issued in reinvestment of
distributions 87 18
Shares redeemed (488) (177)
- -------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding 4,265 2,723
- -------------------------------------------------------------------------------------------
CLASS C
AMOUNT
Shares sold $ 348,253 $ 84,896
Shares issued in reinvestment of
distributions 4,102 404
Shares redeemed (16,865) (2,423)
- -------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ 335,490 $ 82,877
- -------------------------------------------------------------------------------------------
SHARES
Shares sold 17,330 5,088
Shares issued in reinvestment of
distributions 192 23
Shares redeemed (851) (152)
- -------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding 16,671 4,959
- -------------------------------------------------------------------------------------------
</Table>
114
<Page>
<Table>
<Caption>
MID CAP VALUE FUND (CONTINUED)
--------------------------------------
YEAR ENDED YEAR ENDED
DECEMBER 31, 2004 DECEMBER 31, 2003
INSTITUTIONAL
AMOUNT
Shares sold $ 848,157 $ 281,596
Shares issued in reinvestment of
distributions 14,335 2,657
Shares redeemed (111,900) (53,554)
- -------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ 750,592 $ 230,699
- -------------------------------------------------------------------------------------------
SHARES
Shares sold 41,530 16,975
Shares issued in reinvestment of
distributions 652 145
Shares redeemed (5,510) (3,357)
- -------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding 36,672 13,763
- -------------------------------------------------------------------------------------------
SELECT
AMOUNT
Shares sold $ 405,562 $ 61,454
Shares issued in reinvestment of
distributions 4,698 528
Shares redeemed (43,384) (8,211)
- -------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ 366,876 $ 53,771
- -------------------------------------------------------------------------------------------
SHARES
Shares sold 19,743 3,598
Shares issued in reinvestment of
distributions 215 29
Shares redeemed (2,172) (490)
- -------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding 17,786 3,137
- -------------------------------------------------------------------------------------------
</Table>
115
<Page>
<Table>
<Caption>
SMALL CAP EQUITY FUND
--------------------------------------
YEAR ENDED YEAR ENDED
DECEMBER 31, 2004 DECEMBER 31, 2003
CLASS A
AMOUNT
Shares sold $ 52,477 $ 16,547
Shares issued in reinvestment of
distributions 14,234 --
Shares redeemed (33,952) (29,997)
Redemption in-kind -- --
- -------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ 32,759 $ (13,450)
- -------------------------------------------------------------------------------------------
SHARES
Shares sold 1,991 857
Shares issued in reinvestment of
distributions 548 --
Shares redeemed (1,334) (1,535)
Redemption in-kind -- --
- -------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding 1,205 (678)
- -------------------------------------------------------------------------------------------
CLASS B
AMOUNT
Shares sold $ 2,578 $ 2,152
Shares issued in reinvestment of
distributions 2,411 --
Shares redeemed (11,902) (8,560)
Redemption in-kind -- --
- -------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ (6,913) $ (6,408)
- -------------------------------------------------------------------------------------------
SHARES
Shares sold 108 119
Shares issued in reinvestment of
distributions 102 --
Shares redeemed (500) (502)
Redemption in-kind -- --
- -------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding (290) (383)
- -------------------------------------------------------------------------------------------
</Table>
116
<Page>
<Table>
<Caption>
SMALL CAP EQUITY FUND (CONTINUED)
--------------------------------------
YEAR ENDED YEAR ENDED
DECEMBER 31, 2004 DECEMBER 31, 2003
SELECT
AMOUNT
Shares sold $ 141,242 $ 86,699
Shares issued in reinvestment of
distributions 88,631 --
Shares redeemed (195,648) (129,000)
Redemption in-kind (518,018) --
- -------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ (483,793) $ (42,301)
- -------------------------------------------------------------------------------------------
SHARES
Shares sold 5,240 4,330
Shares issued in reinvestment of
distributions 3,235 --
Shares redeemed (7,291) (6,457)
Redemption in-kind (18,885) --
- -------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding (17,701) (2,127)
- -------------------------------------------------------------------------------------------
</Table>
117
<Page>
<Table>
<Caption>
SMALL CAP GROWTH FUND
--------------------------------------
YEAR ENDED YEAR ENDED
DECEMBER 31, 2004 DECEMBER 31, 2003
CLASS A
AMOUNT
Shares sold $ 680 $ 718
Shares redeemed (423) (156)
- -------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ 257 $ 562
- -------------------------------------------------------------------------------------------
SHARES
Shares sold 84 104
Shares redeemed (54) (22)
- -------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding 30 82
- -------------------------------------------------------------------------------------------
CLASS B*
AMOUNT
Shares sold $ -- $ 75
Shares redeemed -- (275)
- -------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ -- $ (200)
- -------------------------------------------------------------------------------------------
SHARES
Shares sold -- 12
Shares redeemed -- (42)
- -------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding -- (30)
- -------------------------------------------------------------------------------------------
CLASS C*
AMOUNT
Shares sold $ -- $ 52
Shares redeemed -- (97)
- -------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ -- $ (45)
- -------------------------------------------------------------------------------------------
SHARES
Shares sold -- 9
Shares redeemed -- (15)
- -------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding -- (6)
- -------------------------------------------------------------------------------------------
</Table>
* Class ceased operations as of September 12, 2003.
118
<Page>
<Table>
<Caption>
SMALL CAP GROWTH FUND (CONTINUED)
--------------------------------------
YEAR ENDED YEAR ENDED
DECEMBER 31, 2004 DECEMBER 31, 2003
INSTITUTIONAL
AMOUNT
Shares sold $ 1,004 $ 1,620
Shares redeemed (1,078) (374)
- -------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ (74) $ 1,246
- -------------------------------------------------------------------------------
SHARES
Shares sold 126 232
Shares redeemed (126) (48)
- -------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding --^ 184
- -------------------------------------------------------------------------------
SELECT
AMOUNT
Shares sold $ 576 $ 155
Shares redeemed (62) (63)
- -------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ 514 $ 92
- -------------------------------------------------------------------------------
SHARES
Shares sold 72 22
Shares redeemed (8) (12)
- -------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding 64 10
- -------------------------------------------------------------------------------
</Table>
^ Amount rounds to less than one thousand.
119
<Page>
<Table>
<Caption>
TRUST SMALL CAP EQUITY FUND
--------------------------------------
YEAR ENDED YEAR ENDED
DECEMBER 31, 2004 DECEMBER 31, 2003
SELECT
AMOUNT
Shares sold $ 640,372 $ 78,208
Shares issued in reinvestment
of distributions 76,052 4,679
Shares redeemed (183,594) (47,092)
- -------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ 532,830 $ 35,795
- -------------------------------------------------------------------------------
SHARES
Shares sold 14,251 2,037
Shares issued in reinvestment
of distributions 1,769 107
Shares redeemed (3,918) (1,219)
- -------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding 12,102 925
- -------------------------------------------------------------------------------
</Table>
120
<Page>
<Table>
<Caption>
U.S. SMALL COMPANY FUND
--------------------------------------
YEAR ENDED YEAR ENDED
DECEMBER 31, 2004 DECEMBER 31, 2003
INSTITUTIONAL
AMOUNT
Shares sold $ 21,366 $ 44,698
Shares issued in reinvestment of
distributions 6,203 272
Shares redeemed (91,687) (153,678)
- -------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ (64,118) $ (108,708)
- -------------------------------------------------------------------------------
SHARES
Shares sold 1,563 3,883
Shares issued in reinvestment of
distributions 458 21
Shares redeemed (6,617) (14,211)
- -------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding (4,596) (10,307)
- -------------------------------------------------------------------------------
SELECT
AMOUNT
Shares sold $ 21,554 $ 35,591
Shares issued in reinvestment of
distributions 13,051 368
Shares redeemed (97,302) (113,806)
- -------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ (62,697) $ (77,847)
- -------------------------------------------------------------------------------
SHARES
Shares sold 1,535 3,163
Shares issued in reinvestment of
distributions 962 28
Shares redeemed (7,032) (9,973)
- -------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding (4,535) (6,782)
- -------------------------------------------------------------------------------
</Table>
121
<Page>
<Table>
<Caption>
U.S. SMALL COMPANY OPPORTUNITIES FUND
--------------------------------------
YEAR ENDED YEAR ENDED
DECEMBER 31, 2004 DECEMBER 31, 2003
SELECT
AMOUNT
Shares sold $ 1,102 $ 12,334
Shares redeemed (5,407) (57,704)
Net increase (decrease) in Fund
shares outstanding $ (4,305) $ (45,370)
- -------------------------------------------------------------------------------
SHARES
Shares sold 115 1,667
Shares redeemed (576) (8,376)
- -------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding (461) (6,709)
- -------------------------------------------------------------------------------
</Table>
122
<Page>
THIS PAGE IS INTENTIONALLY LEFT BLANK
123
<Page>
FINANCIAL HIGHLIGHTS
CLASS A
<Table>
<Caption>
PER SHARE OPERATING PERFORMANCE:
-------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS: LESS DISTRIBUTIONS:
--------------------------------------- ------------------------------------------
NET GAINS
OR LOSSES ON
NET ASSET NET SECURITIES DIVIDENDS
VALUE, INVESTMENT (BOTH TOTAL FROM FROM NET DISTRIBUTIONS
BEGINNING INCOME REALIZED AND INVESTMENT INVESTMENT FROM CAPITAL TOTAL
OF PERIOD (LOSS) UNREALIZED) OPERATIONS INCOME GAINS DISTRIBUTIONS
DYNAMIC SMALL CAP FUND
Year Ended 12/31/04 $ 16.81 (0.19)@ 1.84 1.65 -- -- --
Year Ended 12/31/03 $ 12.14 (0.16)@ 4.83 4.67 -- -- --
Year Ended 12/31/02 $ 15.72 (0.18) (3.40) (3.58) -- -- --
11/1/01 Through 12/31/01^ $ 14.21 (0.03) 1.54 1.51 -- -- --
Year Ended 10/31/01 $ 24.54 (0.24) (6.71) (6.95) -- 3.38 3.38
Year Ended 10/31/00 $ 15.98 (0.22)@ 8.78 8.56 -- -- --
MID CAP GROWTH FUND
Year Ended 12/31/04 $ 4.91 (0.03)@ 0.86 0.83 -- -- --
Year Ended 12/31/03 $ 3.57 (0.04)@ 1.38 1.34 -- -- --
Year Ended 12/31/02 $ 5.06 (0.05)@ (1.44) (1.49) -- -- --
10/1/01 Through 12/31/01^^ $ 4.27 (0.01) 0.80 0.79 -- -- --
Year Ended 9/30/01 $ 12.51 (0.02)@ (8.06) (8.08) -- 0.16 0.16
10/29/99* Through 9/30/00 $ 10.00 (0.09) 2.60 2.51 -- -- --
MID CAP VALUE FUND
Year Ended 12/31/04 $ 18.62 0.07@ 3.71 3.78 0.04 0.31 0.35
Year Ended 12/31/03 $ 14.44 0.09@ 4.25 4.34 0.05 0.11 0.16
Year Ended 12/31/02 $ 14.10 0.07@ 0.31 0.38 0.03 0.01 0.04
10/1/01 Through 12/31/01^^ $ 13.43 0.02@ 1.48 1.50 0.08 0.75 0.83
4/30/01** Through 9/30/01 $ 14.24 0.04@ (0.85) (0.81) -- -- --
</Table>
^ The Fund changed its fiscal year end from October 31 to December 31.
^^ The Fund changed its fiscal year end from September 30 to December 31.
* Commencement of operations.
** Commencement of offering of class of shares.
@ Calculated based upon average shares outstanding.
SEE NOTES TO FINANCIAL STATEMENTS.
124
<Page>
<Table>
<Caption>
PER SHARE OPERATING PERFORMANCE: RATIOS/SUPPLEMENTAL DATA:
-------------------------------- -------------------------
NET ASSETS,
NET ASSET END OF
VALUE, END TOTAL PERIOD
OF PERIOD RETURN (1)(a) (MILLIONS)
DYNAMIC SMALL CAP FUND $ 86
Year Ended 12/31/04 $ 18.46 9.82% $ 89
Year Ended 12/31/03 $ 16.81 38.47% $ 82
Year Ended 12/31/02 $ 12.14 (22.77%) $ 125
11/1/01 Through 12/31/01^ $ 15.72 10.63% $ 120
Year Ended 10/31/01 $ 14.21 (30.60%) $ 154
Year Ended 10/31/00 $ 24.54 53.57%
MID CAP GROWTH FUND
Year Ended 12/31/04 $ 5.74 16.90% $ 54
Year Ended 12/31/03 $ 4.91 37.53% $ 58
Year Ended 12/31/02 $ 3.57 (29.45%) $ 53
10/1/01 Through 12/31/01^^ $ 5.06 18.50% $ 101
Year Ended 9/30/01 $ 4.27 (65.10%) $ 94
10/29/99* Through 9/30/00 $ 12.51 25.12% $ 33
MID CAP VALUE FUND
Year Ended 12/31/04 $ 22.05 20.32% $ 1,333
Year Ended 12/31/03 $ 18.62 30.07% $ 275
Year Ended 12/31/02 $ 14.44 2.68% $ 26
10/1/01 Through 12/31/01^^ $ 14.10 11.20% $ 5
4/30/01** Through 9/30/01 $ 13.43 (5.69%) $ 2
<Caption>
RATIOS/SUPPLEMENTAL DATA:
---------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
-----------------------------------------------------------------------
NET INVESTMENT
NET EXPENSES INCOME (LOSS)
INVESTMENT WITHOUT WAIVERS, WITHOUT WAIVERS, PORTFOLIO
NET INCOME REIMBURSEMENTS REIMBURSEMENTS TURNOVER
EXPENSES (LOSS) AND EARNINGS CREDITS AND EARNINGS CREDITS RATE (a)
DYNAMIC SMALL CAP FUND
Year Ended 12/31/04 1.50% (1.14%) 1.73% (1.37%) 112%
Year Ended 12/31/03 1.50% (1.19%) 1.86% (1.54%) 55%
Year Ended 12/31/02 1.50% (1.20%) 1.82% (1.52%) 52%
11/1/01 Through 12/31/01^ 1.50% (1.21%) 1.63% (1.34%) 8%
Year Ended 10/31/01 1.50% (1.13%) 1.64% (1.27%) 57%
Year Ended 10/31/00 1.50% (0.99%) 1.76% (1.25%) 87%
MID CAP GROWTH FUND
Year Ended 12/31/04 1.35% (0.61%) 1.79% (1.05%) 118%
Year Ended 12/31/03 1.35% (1.05%) 1.77% (1.47%) 69%
Year Ended 12/31/02 1.35% (1.15%) 1.62% (1.42%) 39%
10/1/01 Through 12/31/01^^ 1.35% (0.84%) 1.35% (0.84%) 135%
Year Ended 9/30/01 1.30% (0.54%) 1.30% (0.54%) 159%
10/29/99* Through 9/30/00 1.16% (0.68%) 1.20% (0.72%) 147%
MID CAP VALUE FUND
Year Ended 12/31/04 1.25% 0.34% 1.60% (0.01%) 41%
Year Ended 12/31/03 1.25% 0.51% 1.65% 0.11% 32%
Year Ended 12/31/02 1.25% 0.50% 1.70% 0.05% 51%
10/1/01 Through 12/31/01^^ 1.25% 0.47% 3.72%!! (2.00%) 15%
4/30/01** Through 9/30/01 1.30% 0.71% 15.30%!! (13.29%)!! 98%
</Table>
(1) Total return figures do not include the effect of any front-end sales load.
(a) Not annualized for periods less than one year.
# Short periods have been annualized.
!! Due to the size of net assets and fixed expenses, ratios may appear
disproportionate.
SEE NOTES TO FINANCIAL STATEMENTS.
125
<Page>
CLASS A
<Table>
<Caption>
PER SHARE OPERATING PERFORMANCE:
-------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS: LESS DISTRIBUTIONS:
--------------------------------------- ------------------------------------------
NET GAINS
OR LOSSES ON
NET ASSET NET SECURITIES DIVIDENDS
VALUE, INVESTMENT (BOTH TOTAL FROM FROM NET DISTRIBUTIONS
BEGINNING INCOME REALIZED AND INVESTMENT INVESTMENT FROM CAPITAL TOTAL
OF PERIOD (LOSS) UNREALIZED) OPERATIONS INCOME GAINS DISTRIBUTIONS
SMALL CAP EQUITY FUND
Year Ended 12/31/04 $ 24.11 (0.17)@ 6.33 6.16 -- 3.83 3.83
Year Ended 12/31/03 $ 17.68 (0.15)@ 6.58 6.43 -- -- --
Year Ended 12/31/02 $ 21.53 (0.15)@ (3.57) (3.72) -- 0.13 0.13
11/1/01 Through 12/31/01^ $ 19.64 (0.03)@ 1.92 1.89 -- -- --
Year Ended 10/31/01 $ 27.89 (0.10) (4.26) (4.36) -- 3.89 3.89
Year Ended 10/31/00 $ 22.77 (0.20)@ 7.97 7.77 -- 2.65 2.65
SMALL CAP GROWTH FUND
Year Ended 12/31/04 $ 7.67 (0.10)@ 1.34 1.24 -- -- --
Year Ended 12/31/03 $ 5.50 (0.09)@ 2.26 2.17 -- -- --
Year Ended 12/31/02 $ 9.25 (0.09)@ (3.66) (3.75) -- -- --
10/1/01 Through 12/31/01^^ $ 6.80 (0.01) 2.46 2.45 -- -- --
4/30/01** Through 9/30/01 $ 9.20 (0.05)@ (2.35) (2.40) -- -- --
</Table>
^ The Fund changed its fiscal year end from October 31 to December 31.
^^ The Fund changed its fiscal year end from September 30 to December 31.
** Commencement of offering of class of shares.
@ Calculated based upon average shares outstanding.
(1) Total return figures do not include the effect of any front-end sales load.
SEE NOTES TO FINANCIAL STATEMENTS.
126
<Page>
<Table>
<Caption>
PER SHARE OPERATING PERFORMANCE: RATIOS/SUPPLEMENTAL DATA:
-------------------------------- -------------------------
NET ASSETS,
NET ASSET END OF
VALUE, END TOTAL PERIOD
OF PERIOD RETURN (1)(a) (MILLIONS)
SMALL CAP EQUITY FUND
Year Ended 12/31/04 $ 26.44 26.13% $ 129
Year Ended 12/31/03 $ 24.11 36.37% $ 88
Year Ended 12/31/02 $ 17.68 (17.30%) $ 77
11/1/01 Through 12/31/01^ $ 21.53 9.62% $ 71
Year Ended 10/31/01 $ 19.64 (16.62%) $ 67
Year Ended 10/31/00 $ 27.89 37.10% $ 93
SMALL CAP GROWTH FUND
Year Ended 12/31/04 $ 8.91 16.17%! $ 1
Year Ended 12/31/03 $ 7.67 39.45% $ 1
Year Ended 12/31/02 $ 5.50 (40.54%) $ 1
10/1/01 Through 12/31/01^^ $ 9.25 36.03% $ --+
4/30/01** Through 9/30/01 $ 6.80 (26.09%) $ --+
<Caption>
RATIOS/SUPPLEMENTAL DATA:
---------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
-----------------------------------------------------------------------
NET INVESTMENT
NET EXPENSES INCOME (LOSS)
INVESTMENT WITHOUT WAIVERS, WITHOUT WAIVERS, PORTFOLIO
NET INCOME REIMBURSEMENTS REIMBURSEMENTS TURNOVER
EXPENSES (LOSS) AND EARNINGS CREDITS AND EARNINGS CREDITS RATE (a)
SMALL CAP EQUITY FUND
Year Ended 12/31/04 1.38% (0.66%) 1.62% (0.90%) 44%
Year Ended 12/31/03 1.38% (0.75%) 1.65% (1.02%) 38%
Year Ended 12/31/02 1.38% (0.74%) 1.40% (0.76%) 51%
11/1/01 Through 12/31/01^ 1.38% (0.81%) 1.38% (0.81%) 6%
Year Ended 10/31/01 1.39% (0.80%) 1.40% (0.81%) 47%
Year Ended 10/31/00 1.44% (0.77%) 1.44% (0.77%) 75%
SMALL CAP GROWTH FUND
Year Ended 12/31/04 1.61%* (1.27%) 5.76%!! (5.42%)!! 115%
Year Ended 12/31/03 1.60% (1.30%) 15.48%!! (15.18%)!! 143%
Year Ended 12/31/02 1.60% (1.39%) 21.25%!! (21.04%)!! 76%
10/1/01 Through 12/31/01^^ 1.54% (1.27%) 12.17%!! (11.90%)!! 25%
4/30/01** Through 9/30/01 1.60% (1.37%) 11.04%!! (10.81%)!! 71%
</Table>
(a) Not annualized for periods less than one year.
# Short periods have been annualized.
+ Amount rounds to less than one million.
!! Due to the size of net assets and fixed expenses, ratios may appear
disproportionate.
* Includes interest expense for custody overdraft of 0.01%.
! SCGF recognized unrealized gain on investments of approximately $11 (in
thousands) related to securities purchases in violation of the Fund's
investment restrictions during the year. The effect of such gain resulted
in an increase in total return of approximately .2%
SEE NOTES TO FINANCIAL STATEMENTS.
127
<Page>
CLASS B
<Table>
<Caption>
PER SHARE OPERATING PERFORMANCE:
-------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS: LESS DISTRIBUTIONS:
--------------------------------------- ------------------------------------------
NET GAINS
OR LOSSES ON
NET ASSET NET SECURITIES DIVIDENDS
VALUE, INVESTMENT (BOTH TOTAL FROM FROM NET DISTRIBUTIONS
BEGINNING INCOME REALIZED AND INVESTMENT INVESTMENT FROM CAPITAL TOTAL
OF PERIOD (LOSS) UNREALIZED) OPERATIONS INCOME GAINS DISTRIBUTIONS
DYNAMIC SMALL CAP FUND
Year Ended 12/31/04 $ 16.01 (0.28)@ 1.74 1.46 -- -- --
Year Ended 12/31/03 $ 11.63 (0.24)@ 4.62 4.38 -- -- --
Year Ended 12/31/02 $ 15.16 (0.27) (3.26) (3.53) -- -- --
11/1/01 Through 12/31/01^ $ 13.72 (0.04) 1.48 1.44 -- -- --
Year Ended 10/31/01 $ 23.96 (0.23) (6.63) (6.86) -- 3.38 3.38
Year Ended 10/31/00 $ 15.71 (0.40)@ 8.65 8.25 -- -- --
MID CAP GROWTH FUND
Year Ended 12/31/04 $ 4.77 (0.07)@ 0.84 0.77 -- -- --
Year Ended 12/31/03 $ 3.49 (0.07)@ 1.35 1.28 -- -- --
Year Ended 12/31/02 $ 4.99 (0.08)@ (1.42) (1.50) -- -- --
10/1/01 Through 12/31/01^^ $ 4.22 (0.02) 0.79 0.77 -- -- --
Year Ended 9/30/01 $ 12.43 (0.07)@ (7.98) (8.05) -- 0.16 0.16
10/29/99* Through 9/30/00 $ 10.00 (0.17) 2.60 2.43 -- -- --
MID CAP VALUE FUND
Year Ended 12/31/04 $ 18.37 (0.06)@ 3.66 3.60 -- 0.31 0.31
Year Ended 12/31/03 $ 14.32 (0.03)@ 4.19 4.16 -- 0.11 0.11
Year Ended 12/31/02 $ 14.06 (0.04)@ 0.31 0.27 -- 0.01 0.01
10/1/01 Through 12/31/01^^ $ 13.40 (0.01)@ 1.47 1.46 0.05 0.75 0.80
4/30/01** Through 9/30/01 $ 14.24 --@ (0.84) (0.84) -- -- --
</Table>
^ The Fund changed its fiscal year end from October 31 to December 31.
^^ The Fund changed its fiscal year end from September 30 to December 31.
* Commencement of operations.
** Commencement of offering of class of shares.
@ Calculated based upon average shares outstanding.
SEE NOTES TO FINANCIAL STATEMENTS.
128
<Page>
<Table>
<Caption>
PER SHARE OPERATING PERFORMANCE: RATIOS/SUPPLEMENTAL DATA:
-------------------------------- -------------------------
NET ASSETS,
NET ASSET END OF
VALUE, END TOTAL PERIOD
OF PERIOD RETURN (1)(a) (MILLIONS)
DYNAMIC SMALL CAP FUND
Year Ended 12/31/04 $ 17.47 9.12% $ 62
Year Ended 12/31/03 $ 16.01 37.66% $ 63
Year Ended 12/31/02 $ 11.63 (23.28%) $ 48
11/1/01 Through 12/31/01^ $ 15.16 10.50% $ 72
Year Ended 10/31/01 $ 13.72 (31.02%) $ 67
Year Ended 10/31/00 $ 23.96 52.51% $ 110
MID CAP GROWTH FUND
Year Ended 12/31/04 $ 5.54 16.14% $ 3
Year Ended 12/31/03 $ 4.77 36.68% $ 3
Year Ended 12/31/02 $ 3.49 (30.06%) $ 3
10/1/01 Through 12/31/01^^ $ 4.99 18.25% $ 5
Year Ended 9/30/01 $ 4.22 (65.30%) $ 6
10/29/99* Through 9/30/00 $ 12.43 24.31% $ 25
MID CAP VALUE FUND
Year Ended 12/31/04 $ 21.66 19.60% $ 173
Year Ended 12/31/03 $ 18.37 29.06% $ 68
Year Ended 12/31/02 $ 14.32 1.94% $ 14
10/1/01 Through 12/31/01^^ $ 14.06 10.94% $ 3
4/30/01** Through 9/30/01 $ 13.40 (5.90%) $ 1
<Caption>
RATIOS/SUPPLEMENTAL DATA:
---------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
-----------------------------------------------------------------------
NET INVESTMENT
NET EXPENSES INCOME (LOSS)
INVESTMENT WITHOUT WAIVERS, WITHOUT WAIVERS, PORTFOLIO
NET INCOME REIMBURSEMENTS REIMBURSEMENTS TURNOVER
EXPENSES (LOSS) AND EARNINGS CREDITS AND EARNINGS CREDITS RATE (a)
DYNAMIC SMALL CAP FUND
Year Ended 12/31/04 2.12% (1.76%) 2.23% (1.87%) 112%
Year Ended 12/31/03 2.12% (1.81%) 2.35% (2.05%) 55%
Year Ended 12/31/02 2.12% (1.82%) 2.32% (2.02%) 52%
11/1/01 Through 12/31/01^ 2.12% (1.83%) 2.12% (1.83%) 8%
Year Ended 10/31/01 2.13% (1.75%) 2.14% (1.76%) 57%
Year Ended 10/31/00 2.20% (1.69%) 2.26% (1.75%) 87%
MID CAP GROWTH FUND
Year Ended 12/31/04 2.05% (1.31%) 2.29% (1.55%) 118%
Year Ended 12/31/03 2.05% (1.75%) 2.33% (2.03%) 69%
Year Ended 12/31/02 2.05% (1.85%) 2.32% (2.12%) 39%
10/1/01 Through 12/31/01^^ 2.05% (1.53%) 2.05% (1.53%) 135%
Year Ended 9/30/01 2.00% (1.22%) 2.00% (1.22%) 159%
10/29/99* Through 9/30/00 1.86% (1.38%) 1.91% (1.43%) 147%
MID CAP VALUE FUND
Year Ended 12/31/04 1.90% (0.32%) 2.10% (0.52%) 41%
Year Ended 12/31/03 1.95% (0.21%) 2.19% (0.45%) 32%
Year Ended 12/31/02 2.00% (0.27%) 2.49% (0.76%) 51%
10/1/01 Through 12/31/01^^ 1.99% (0.27%) 4.47%!! (2.75%) 15%
4/30/01** Through 9/30/01 2.03% 0.01% 16.00%!! (13.96%)!! 98%
</Table>
(1) Total return figures do not include the effect of any deferred sales load.
(a) Not annualized for periods less than one year.
# Short periods have been annualized.
!! Due to the size of net assets and fixed expenses, ratios may appear
disproportionate.
SEE NOTES TO FINANCIAL STATEMENTS.
129
<Page>
CLASS B
<Table>
<Caption>
PER SHARE OPERATING PERFORMANCE:
-------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS: LESS DISTRIBUTIONS:
--------------------------------------- ------------------------------------------
NET GAINS
OR LOSSES ON
NET ASSET NET SECURITIES DIVIDENDS
VALUE, INVESTMENT (BOTH TOTAL FROM FROM NET DISTRIBUTIONS
BEGINNING INCOME REALIZED AND INVESTMENT INVESTMENT FROM CAPITAL TOTAL
OF PERIOD (LOSS) UNREALIZED) OPERATIONS INCOME GAINS DISTRIBUTIONS
SMALL CAP EQUITY FUND
Year Ended 12/31/04 $ 22.34 (0.34)@ 5.84 5.50 -- 3.83 3.83
Year Ended 12/31/03 $ 16.50 (0.27)@ 6.11 5.84 -- -- --
Year Ended 12/31/02 $ 20.26 (0.29)@ (3.34) (3.63) -- 0.13 0.13
11/1/01 Through 12/31/01^ $ 18.50 (0.05)@ 1.81 1.76 -- -- --
Year Ended 10/31/01 $ 26.73 (0.09) (4.25) (4.34) -- 3.89 3.89
Year Ended 10/31/00 $ 22.06 (0.37)@ 7.69 7.32 -- 2.65 2.65
</Table>
^ The Fund changed its fiscal year end from October 31 to December 31.
@ Calculated based upon average shares outstanding.
(1) Total return figures do not include the effect of any deferred sales load.
SEE NOTES TO FINANCIAL STATEMENTS.
130
<Page>
<Table>
<Caption>
PER SHARE OPERATING PERFORMANCE: RATIOS/SUPPLEMENTAL DATA:
-------------------------------- -------------------------
NET ASSETS,
NET ASSET END OF
VALUE, END TOTAL PERIOD
OF PERIOD RETURN (1)(a) (MILLIONS)
SMALL CAP EQUITY FUND
Year Ended 12/31/04 $ 24.01 25.22% $ 17
Year Ended 12/31/03 $ 22.34 35.39% $ 22
Year Ended 12/31/02 $ 16.50 (17.94%) $ 23
11/1/01 Through 12/31/01^ $ 20.26 9.51% $ 42
Year Ended 10/31/01 $ 18.50 (17.37%) $ 39
Year Ended 10/31/00 $ 26.73 36.17% $ 57
<Caption>
RATIOS/SUPPLEMENTAL DATA:
---------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
-----------------------------------------------------------------------
NET INVESTMENT
NET EXPENSES INCOME (LOSS)
INVESTMENT WITHOUT WAIVERS, WITHOUT WAIVERS, PORTFOLIO
NET INCOME REIMBURSEMENTS REIMBURSEMENTS TURNOVER
EXPENSES (LOSS) AND EARNINGS CREDITS AND EARNINGS CREDITS RATE (a)
SMALL CAP EQUITY FUND
Year Ended 12/31/04 2.12% (1.43%) 2.12% (1.43%) 44%
Year Ended 12/31/03 2.12% (1.49%) 2.21% (1.58%) 38%
Year Ended 12/31/02 2.12% (1.50%) 2.16% (1.54%) 51%
11/1/01 Through 12/31/01^ 2.12% (1.55%) 2.12% (1.55%) 6%
Year Ended 10/31/01 2.13% (1.54%) 2.14% (1.55%) 47%
Year Ended 10/31/00 2.17% (1.50%) 2.17% (1.50%) 75%
</Table>
(a) Not annualized for periods less than one year.
# Short periods have been annualized.
SEE NOTES TO FINANCIAL STATEMENTS.
131
<Page>
CLASS C
<Table>
<Caption>
PER SHARE OPERATING PERFORMANCE:
-------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS: LESS DISTRIBUTIONS:
--------------------------------------- ------------------------------------------
NET GAINS
OR LOSSES ON
NET ASSET NET SECURITIES DIVIDENDS
VALUE, INVESTMENT (BOTH TOTAL FROM FROM NET DISTRIBUTIONS
BEGINNING INCOME REALIZED AND INVESTMENT INVESTMENT FROM CAPITAL TOTAL
OF PERIOD (LOSS) UNREALIZED) OPERATIONS INCOME GAINS DISTRIBUTIONS
DYNAMIC SMALL CAP FUND
Year Ended 12/31/04 $ 15.98 (0.28)@ 1.74 1.46 -- -- --
Year Ended 12/31/03 $ 11.61 (0.25)@ 4.62 4.37 -- -- --
Year Ended 12/31/02 $ 15.13 (0.21) (3.31) (3.52) -- -- --
11/1/01 Through 12/31/01^ $ 13.70 (0.04) 1.47 1.43 -- -- --
Year Ended 10/31/01 $ 23.93 (0.23) (6.62) (6.85) -- 3.38 3.38
Year Ended 10/31/00 $ 15.69 (0.35)@ 8.59 8.24 -- -- --
MID CAP VALUE FUND
Year Ended 12/31/04 $ 18.41 (0.06)@ 3.66 3.60 -- 0.31 0.31
Year Ended 12/31/03 $ 14.35 (0.03)@ 4.20 4.17 --^^ 0.11 0.11
Year Ended 12/31/02 $ 14.09 (0.04)@ 0.31 0.27 -- 0.01 0.01
10/1/01 Through 12/31/01^^^ $ 13.41 (0.01)@ 1.48 1.47 0.04 0.75 0.79
4/30/01** Through 9/30/01 $ 14.24 --@ (0.83) (0.83) -- -- --
</Table>
^ The Fund changed its fiscal year end from October 31 to December 31.
^^^ The Fund changed its fiscal year end from September 30 to December 31.
** Commencement of offering of class of shares.
@ Calculated based upon average shares outstanding.
^^ Amount is less than .005.
SEE NOTES TO FINANCIAL STATEMENTS.
132
<Page>
<Table>
<Caption>
PER SHARE OPERATING PERFORMANCE: RATIOS/SUPPLEMENTAL DATA:
-------------------------------- -------------------------
NET ASSETS,
NET ASSET END OF
VALUE, END TOTAL PERIOD
OF PERIOD RETURN (1)(a) (MILLIONS)
DYNAMIC SMALL CAP FUND
Year Ended 12/31/04 $ 17.44 9.14% $ 34
Year Ended 12/31/03 $ 15.98 37.64% $ 23
Year Ended 12/31/02 $ 11.61 (23.26%) $ 10
11/1/01 Through 12/31/01^ $ 15.13 10.44% $ 11
Year Ended 10/31/01 $ 13.70 (31.02%) $ 10
Year Ended 10/31/00 $ 23.93 52.52% $ 14
MID CAP VALUE FUND
Year Ended 12/31/04 $ 21.70 19.56% $ 483
Year Ended 12/31/03 $ 18.41 29.09% $ 103
Year Ended 12/31/02 $ 14.35 1.94% $ 9
10/1/01 Through 12/31/01^^^ $ 14.09 11.05% $ 3
4/30/01** Through 9/30/01 $ 13.41 (5.83%) $ 2
<Caption>
RATIOS/SUPPLEMENTAL DATA:
---------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
-----------------------------------------------------------------------
NET INVESTMENT
NET EXPENSES INCOME (LOSS)
INVESTMENT WITHOUT WAIVERS, WITHOUT WAIVERS, PORTFOLIO
NET INCOME REIMBURSEMENTS REIMBURSEMENTS TURNOVER
EXPENSES (LOSS) AND EARNINGS CREDITS AND EARNINGS CREDITS RATE (a)
DYNAMIC SMALL CAP FUND
Year Ended 12/31/04 2.12% (1.76%) 2.23% (1.87%) 112%
Year Ended 12/31/03 2.12% (1.82%) 2.35% (2.04%) 55%
Year Ended 12/31/02 2.12% (1.82%) 2.32% (2.02%) 52%
11/1/01 Through 12/31/01^ 2.12% (1.83%) 2.12% (1.83%) 8%
Year Ended 10/31/01 2.13% (1.76%) 2.14% (1.77%) 57%
Year Ended 10/31/00 2.20% (1.69%) 2.26% (1.75%) 87%
MID CAP VALUE FUND
Year Ended 12/31/04 1.90% (0.31%) 2.10% (0.51%) 41%
Year Ended 12/31/03 1.95% (0.19%) 2.19% (0.43%) 32%
Year Ended 12/31/02 2.00% (0.28%) 2.51% (0.79%) 51%
10/1/01 Through 12/31/01^^^ 1.99% (0.30%) 4.48%!! (2.79%) 15%
4/30/01** Through 9/30/01 2.04% 0.03% 15.95%!! (13.88%)!! 98%
</Table>
(1) Total return figures do not include the effect of any deferred sales load.
(a) Not annualized for periods less than one year.
# Short periods have been annualized.
!! Due to the size of net assets and fixed expenses, ratios may appear
disproportionate.
SEE NOTES TO FINANCIAL STATEMENTS.
133
<Page>
INSTITUTIONAL
<Table>
<Caption>
PER SHARE OPERATING PERFORMANCE:
-------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS: LESS DISTRIBUTIONS:
--------------------------------------- ------------------------------------------
NET GAINS
OR LOSSES ON
NET ASSET NET SECURITIES DIVIDENDS
VALUE, INVESTMENT (BOTH TOTAL FROM FROM NET DISTRIBUTIONS
BEGINNING INCOME REALIZED AND INVESTMENT INVESTMENT FROM CAPITAL TOTAL
OF PERIOD (LOSS) UNREALIZED) OPERATIONS INCOME GAINS DISTRIBUTIONS
MID CAP VALUE FUND
Year Ended 12/31/04 $ 18.77 0.17@ 3.77 3.94 0.10 0.31 0.41
Year Ended 12/31/03 $ 14.52 0.17@ 4.27 4.44 0.08 0.11 0.19
Year Ended 12/31/02 $ 14.14 0.15@ 0.30 0.45 0.06 0.01 0.07
10/1/01 Through 12/31/01^ $ 13.47 0.03@ 1.48 1.51 0.09 0.75 0.84
Year Ended 9/30/01 $ 13.06 0.15@ 1.28 1.43 0.15 0.87 1.02
Year Ended 9/30/00 $ 13.56 0.11 2.59 2.70 0.09 3.11 3.20
SMALL CAP GROWTH FUND
Year Ended 12/31/04 $ 7.84 (0.04)@ 1.38 1.34 -- -- --
Year Ended 12/31/03 $ 5.59 (0.04)@ 2.29 2.25 -- -- --
Year Ended 12/31/02 $ 9.32 (0.04)@ (3.69) (3.73) -- -- --
10/1/01 Through 12/31/01^ $ 6.83 -- 2.49 2.49 -- -- --
Year Ended 9/30/01 $ 15.12 (0.07)@ (6.07) (6.14) -- 2.15 2.15
Year Ended 9/30/00 $ 13.45 (0.08) 4.34 4.26 0.04 2.55 2.59
US SMALL COMPANY FUND
Year Ended 12/31/04 $ 13.88 --@ 1.89 1.89 -- 2.00 2.00
Year Ended 12/31/03 $ 9.95 0.04@ 3.94 3.98 0.05 -- 0.05
Year Ended 12/31/02 $ 12.57 0.05 (2.61) (2.56) 0.06 -- 0.06
6/1/01 Through 12/31/01^^ $ 13.34 0.05@ (0.78) (0.73) 0.04 -- 0.04
Year Ended 5/31/01 $ 15.11 0.08 0.03 0.11 0.09 1.79 1.88
Year Ended 5/31/00 $ 11.98 0.04 3.10 3.14 0.01 -- 0.01
</Table>
^ The Fund changed its fiscal year end from September 30 to December 31.
^^ The Fund changed its fiscal year end from May 31 to December 31.
@ Calculated based upon average shares outstanding.
(a) Not annualized for periods less than one year.
SEE NOTES TO FINANCIAL STATEMENTS.
134
<Page>
<Table>
<Caption>
PER SHARE OPERATING PERFORMANCE: RATIOS/SUPPLEMENTAL DATA:
-------------------------------- -------------------------
NET ASSETS,
NET ASSET END OF
VALUE, END TOTAL PERIOD
OF PERIOD RETURN (a) (MILLIONS)
MID CAP VALUE FUND
Year Ended 12/31/04 $ 22.30 20.99% $ 1,215
Year Ended 12/31/03 $ 18.77 30.62% $ 334
Year Ended 12/31/02 $ 14.52 3.23% $ 59
10/1/01 Through 12/31/01^ $ 14.14 11.30% $ 4
Year Ended 9/30/01 $ 13.47 11.19% $ 4
Year Ended 9/30/00 $ 13.06 23.76% $ 5
SMALL CAP GROWTH FUND
Year Ended 12/31/04 $ 9.18 17.09%! $ 4
Year Ended 12/31/03 $ 7.84 40.25% $ 3
Year Ended 12/31/02 $ 5.59 (40.02%) $ 1
10/1/01 Through 12/31/01^ $ 9.32 36.46% $ 2
Year Ended 9/30/01 $ 6.83 (45.44%) $ 2
Year Ended 9/30/00 $ 15.12 36.33% $ 4
US SMALL COMPANY FUND
Year Ended 12/31/04 $ 13.77 13.82% $ 92
Year Ended 12/31/03 $ 13.88 40.03% $ 183
Year Ended 12/31/02 $ 9.95 (20.36%) $ 214
6/1/01 Through 12/31/01^^ $ 12.57 (5.50%) $ 269
Year Ended 5/31/01 $ 13.34 0.94% $ 410
Year Ended 5/31/00 $ 15.11 26.23% $ 358
<Caption>
RATIOS/SUPPLEMENTAL DATA:
---------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
-----------------------------------------------------------------------
NET INVESTMENT
NET EXPENSES INCOME (LOSS)
INVESTMENT WITHOUT WAIVERS, WITHOUT WAIVERS, PORTFOLIO
NET INCOME REIMBURSEMENTS REIMBURSEMENTS TURNOVER
EXPENSES (LOSS) AND EARNINGS CREDITS AND EARNINGS CREDITS RATE (a)
MID CAP VALUE FUND
Year Ended 12/31/04 0.75% 0.83% 1.05% 0.53% 41%
Year Ended 12/31/03 0.75% 1.00% 1.07% 0.68% 32%
Year Ended 12/31/02 0.75% 1.01% 1.22% 0.54% 51%
10/1/01 Through 12/31/01^ 0.75% 0.94% 3.30%!! (1.61%) 15%
Year Ended 9/30/01 0.75% 1.07% 3.25%!! (1.43%) 98%
Year Ended 9/30/00 0.97% 0.84% 4.24%!! (2.43%) 99%
SMALL CAP GROWTH FUND
Year Ended 12/31/04 0.85% (0.52%) 4.59% (4.26%) 115%
Year Ended 12/31/03 0.85% (0.58%) 10.08%!! (9.81%)!! 143%
Year Ended 12/31/02 0.85% (0.64%) 8.07%!! (7.86%)!! 76%
10/1/01 Through 12/31/01^ 0.85% (0.62%) 6.66%!! (6.43%)!! 25%
Year Ended 9/30/01 0.85% (0.53%) 5.82%!! (5.50%)!! 71%
Year Ended 9/30/00 1.05% (0.61%) 5.47%!! (5.03%)!! 88%
US SMALL COMPANY FUND
Year Ended 12/31/04 0.83% 0.00% 0.97% (0.14%) 129%
Year Ended 12/31/03 0.83% 0.33% 0.95% 0.21% 78%
Year Ended 12/31/02 0.83% 0.41% 0.93% 0.31% 90%
6/1/01 Through 12/31/01^^ 0.82% 0.57% 0.86% 0.53% 48%~
Year Ended 5/31/01 0.82% 0.54% 0.82% 0.54% 110%~
Year Ended 5/31/00 0.80% 0.26% 0.82% 0.24% 104%~
</Table>
# Short periods have been annualized.
~ Prior to September 10, 2001, USSCF invested all of its investable assets in
The U.S. Small Company Portfolio ("USSCP"). The portfolio turnover rate
disclosed prior to September 10, 2001 is the turnover rate of USSCP.
!! Due to the size of net assets and fixed expenses, ratios may appear
disproportionate.
! SCGF recognized unrealized gain on investments of approximately $11 (in
thousands) related to securities purchases in violation of the Fund's
investment restrictions during the year. The effect of such gain resulted
in an increase in total return of approximately .2%
SEE NOTES TO FINANCIAL STATEMENTS.
135
<Page>
SELECT
<Table>
<Caption>
PER SHARE OPERATING PERFORMANCE:
-------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS: LESS DISTRIBUTIONS:
--------------------------------------- ------------------------------------------
NET GAINS
OR LOSSES ON
NET ASSET NET SECURITIES DIVIDENDS
VALUE, INVESTMENT (BOTH TOTAL FROM FROM NET DISTRIBUTIONS
BEGINNING INCOME REALIZED AND INVESTMENT INVESTMENT FROM CAPITAL TOTAL
OF PERIOD (LOSS) UNREALIZED) OPERATIONS INCOME GAINS DISTRIBUTIONS
DYNAMIC SMALL CAP FUND
Year Ended 12/31/04 $ 17.13 (0.13)@ 1.89 1.76 -- -- --
Year Ended 12/31/03 $ 12.32 (0.11)@ 4.92 4.81 -- -- --
Year Ended 12/31/02 $ 15.89 (0.08) (3.49) (3.57) -- -- --
11/1/01 Through 12/31/01^ $ 14.37 (0.02) 1.54 1.52 -- -- --
Year Ended 10/31/01 $ 24.65 (0.21) (6.69) (6.90) -- 3.38 3.38
Year Ended 10/31/00 $ 15.98 (0.13)@ 8.80 8.67 -- -- --
MID CAP EQUITY FUND
Year Ended 12/31/04 $ 31.18 0.14 5.85 5.99 0.14 3.73 3.87
Year Ended 12/31/03 $ 24.39 0.13 7.71 7.84 0.13 0.92 1.05
Year Ended 12/31/02 $ 29.51 0.13 (4.07) (3.94) 0.13 1.05 1.18
11/1/01 Through 12/31/01^ $ 26.17 0.02 3.43 3.45 0.02 0.09 0.11
Year Ended 10/31/01 $ 37.85 0.12 (5.30) (5.18) 0.12 6.38 6.50
Year Ended 10/31/00 $ 37.55 0.17 9.34 9.51 0.20 9.01 9.21
MID CAP VALUE FUND
Year Ended 12/31/04 $ 18.70 0.12@ 3.74 3.86 0.07 0.31 0.38
Year Ended 12/31/03 $ 14.48 0.12@ 4.27 4.39 0.06 0.11 0.17
Year Ended 12/31/02 $ 14.14 0.14@ 0.27 0.41 0.06 0.01 0.07
10/31/01** Through 12/31/01^^ $ 13.48 0.01@ 1.49 1.50 0.09 0.75 0.84
</Table>
^ The Fund changed its fiscal year end from October 31 to December 31.
^^ The Fund changed its fiscal year end from September 30 to December 31.
** Commencement of offering of class of shares.
@ Calculated based upon average shares outstanding.
SEE NOTES TO FINANCIAL STATEMENTS.
136
<Page>
<Table>
<Caption>
PER SHARE OPERATING PERFORMANCE: RATIOS/SUPPLEMENTAL DATA:
-------------------------------- -------------------------
NET ASSETS,
NET ASSET END OF
VALUE, END TOTAL PERIOD
OF PERIOD RETURN (a) (MILLIONS)
DYNAMIC SMALL CAP FUND
Year Ended 12/31/04 $ 18.89 10.27% $ 10
Year Ended 12/31/03 $ 17.13 39.04% $ 16
Year Ended 12/31/02 $ 12.32 (22.47%) $ 12
11/1/01 Through 12/31/01^ $ 15.89 10.58% $ 8
Year Ended 10/31/01 $ 14.37 (30.20%) $ --+
Year Ended 10/31/00 $ 24.65 54.26% $ --+
MID CAP EQUITY FUND
Year Ended 12/31/04 $ 33.30 19.36% $ 227
Year Ended 12/31/03 $ 31.18 32.29% $ 194
Year Ended 12/31/02 $ 24.39 (13.39%) $ 139
11/1/01 Through 12/31/01^ $ 29.51 13.20% $ 155
Year Ended 10/31/01 $ 26.17 (15.27%) $ 133
Year Ended 10/31/00 $ 37.85 30.94% $ 164
MID CAP VALUE FUND
Year Ended 12/31/04 $ 22.18 20.67% $ 485
Year Ended 12/31/03 $ 18.70 30.34% $ 76
Year Ended 12/31/02 $ 14.48 2.90% $ 14
10/31/01** Through 12/31/01^^ $ 14.14 11.18% $ --+
<Caption>
RATIOS/SUPPLEMENTAL DATA:
---------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
-----------------------------------------------------------------------
NET INVESTMENT
NET EXPENSES INCOME (LOSS)
INVESTMENT WITHOUT WAIVERS, WITHOUT WAIVERS, PORTFOLIO
NET INCOME REIMBURSEMENTS REIMBURSEMENTS TURNOVER
EXPENSES (LOSS) AND EARNINGS CREDITS AND EARNINGS CREDITS RATE (a)
DYNAMIC SMALL CAP FUND
Year Ended 12/31/04 1.10% (0.74%) 1.32% (0.96%) 112%
Year Ended 12/31/03 1.10% (0.79%) 1.28% (0.97%) 55%
Year Ended 12/31/02 1.10% (0.79%) 1.22% (0.91%) 52%
11/1/01 Through 12/31/01^ 1.10% (0.82%) 10.33%!! (10.05%)!! 8%
Year Ended 10/31/01 1.12% (0.76%) 12.21%!! (11.86%)!! 57%
Year Ended 10/31/00 1.10% (0.59%) 15.48%!! (14.97%)!! 87%
MID CAP EQUITY FUND
Year Ended 12/31/04 0.90% 0.32% 1.14% 0.08% 102%
Year Ended 12/31/03 0.90% 0.48% 1.14% 0.24% 62%
Year Ended 12/31/02 0.77% 0.51% 1.14% 0.14% 84%
11/1/01 Through 12/31/01^ 0.60% 0.38% 1.15% (0.17%) 2%
Year Ended 10/31/01 0.55% 0.38% 1.15% (0.22%) 55%
Year Ended 10/31/00 0.41% 0.52% 1.14% (0.21%) 84%
MID CAP VALUE FUND
Year Ended 12/31/04 1.00% 0.60% 1.20% 0.41% 41%
Year Ended 12/31/03 1.00% 0.74% 1.24% 0.50% 32%
Year Ended 12/31/02 1.00% 0.96% 1.71% 0.25% 51%
10/31/01** Through 12/31/01^^ 0.99% 0.58% 3.68%!! (2.11%) 15%
</Table>
(a) Not annualized for periods less than one year.
+ Amounts round to less than one million.
# Short periods have been annualized.
!! Due to the size of net assets and fixed expenses, ratios may appear
disproportionate.
SEE NOTES TO FINANCIAL STATEMENTS.
137
<Page>
SELECT
<Table>
<Caption>
PER SHARE OPERATING PERFORMANCE:
-------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS: LESS DISTRIBUTIONS:
--------------------------------------- ------------------------------------------
NET GAINS
OR LOSSES ON
NET ASSET NET SECURITIES DIVIDENDS
VALUE, INVESTMENT (BOTH TOTAL FROM FROM NET DISTRIBUTIONS
BEGINNING INCOME REALIZED AND INVESTMENT INVESTMENT FROM CAPITAL TOTAL
OF PERIOD (LOSS) UNREALIZED) OPERATIONS INCOME GAINS DISTRIBUTIONS
SMALL CAP EQUITY FUND
Year Ended 12/31/04 $ 25.18 (0.05)@ 6.66 6.61 -- 3.83 3.83
Year Ended 12/31/03 $ 18.37 (0.04)@ 6.85 6.81 -- -- --
Year Ended 12/31/02 $ 22.25 (0.04)@ (3.71) (3.75) -- 0.13 0.13
11/1/01 Through 12/31/01^ $ 20.27 (0.01)@ 1.99 1.98 -- -- --
Year Ended 10/31/01 $ 28.52 (0.10) (4.26) (4.36) -- 3.89 3.89
Year Ended 10/31/00 $ 23.10 (0.05)@ 8.12 8.07 -- 2.65 2.65
SMALL CAP GROWTH FUND
Year Ended 12/31/04 $ 7.79 (0.06)@ 1.36 1.30 -- -- --
Year Ended 12/31/03 $ 5.56 (0.05)@ 2.28 2.23 -- -- --
Year Ended 12/31/02 $ 9.30 (0.06)@ (3.68) (3.74) -- -- --
10/31/01** Through 12/31/01^^ $ 7.77 (0.01) 1.54 1.53 -- -- --
TRUST SMALL CAP EQUITY FUND
Year Ended 12/31/04 $ 44.39 0.09 9.51 9.60 0.07 10.46 10.53
Year Ended 12/31/03 $ 33.35 0.02 11.70 11.72 0.01 0.67 0.68
Year Ended 12/31/02 $ 40.46 0.04 (6.86) (6.82) 0.03 0.26 0.29
11/1/01 Through 12/31/01^ $ 36.65 0.01 3.81 3.82 0.01 -- 0.01
Year Ended 10/31/01 $ 51.12 0.10 (7.61) (7.51) 0.14 6.82 6.96
Year Ended 10/31/00 $ 47.66 0.08 12.44 12.52 0.08 8.98 9.06
</Table>
^ The Fund changed its fiscal year end from October 31 to December 31.
^^ The Fund changed its fiscal year end from September 30 to December 31.
** Commencement of offering of class of shares.
@ Calculated based upon average shares outstanding.
(a) Not annualized for periods less than one year.
SEE NOTES TO FINANCIAL STATEMENTS.
138
<Page>
<Table>
<Caption>
PER SHARE OPERATING PERFORMANCE: RATIOS/SUPPLEMENTAL DATA:
-------------------------------- -------------------------
NET ASSETS,
NET ASSET END OF
VALUE, END TOTAL PERIOD
OF PERIOD RETURN (a) (MILLIONS)
SMALL CAP EQUITY FUND
Year Ended 12/31/04 $ 27.96 26.81% $ 211
Year Ended 12/31/03 $ 25.18 37.07% $ 636
Year Ended 12/31/02 $ 18.37 (16.87%) $ 502
11/1/01 Through 12/31/01^ $ 22.25 9.77% $ 532
Year Ended 10/31/01 $ 20.27 (16.19%) $ 390
Year Ended 10/31/00 $ 28.52 37.94% $ 383
SMALL CAP GROWTH FUND
Year Ended 12/31/04 $ 9.09 16.69%! $ 1
Year Ended 12/31/03 $ 7.79 40.11% $ --+
Year Ended 12/31/02 $ 5.56 (40.22%) $ --+
10/31/01** Through 12/31/01^^ $ 9.30 19.69% $ --+
TRUST SMALL CAP EQUITY FUND
Year Ended 12/31/04 $ 43.46 22.31% $ 904
Year Ended 12/31/03 $ 44.39 35.20% $ 386
Year Ended 12/31/02 $ 33.35 (16.94%) $ 259
11/1/01 Through 12/31/01^ $ 40.46 10.42% $ 317
Year Ended 10/31/01 $ 36.65 (15.47%) $ 299
Year Ended 10/31/00 $ 51.12 30.16% $ 380
<Caption>
RATIOS/SUPPLEMENTAL DATA:
---------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
-----------------------------------------------------------------------
NET INVESTMENT
NET EXPENSES INCOME (LOSS)
INVESTMENT WITHOUT WAIVERS, WITHOUT WAIVERS, PORTFOLIO
NET INCOME REIMBURSEMENTS REIMBURSEMENTS TURNOVER
EXPENSES (LOSS) AND EARNINGS CREDITS AND EARNINGS CREDITS RATE (a)
SMALL CAP EQUITY FUND
Year Ended 12/31/04 0.85% (0.17%) 1.11% (0.43%) 44%
Year Ended 12/31/03 0.85% (0.22%) 1.12% (0.49%) 38%
Year Ended 12/31/02 0.85% (0.22%) 1.09% (0.46%) 51%
11/1/01 Through 12/31/01^ 0.88% (0.31%) 1.10% (0.53%) 6%
Year Ended 10/31/01 0.88% (0.30%) 1.12% (0.54%) 47%
Year Ended 10/31/00 0.88% (0.20%) 1.13% (0.45%) 75%
SMALL CAP GROWTH FUND
Year Ended 12/31/04 1.12%* (0.77%) 7.30% (6.95%) 115%
Year Ended 12/31/03 1.10% (0.81%) 24.96%!! (24.67%)!! 143%
Year Ended 12/31/02 1.10% (0.89%) 24.20%!! (23.99%)!! 76%
10/31/01** Through 12/31/01^^ 1.10% (0.88%) 9.40% (9.18%) 25%
TRUST SMALL CAP EQUITY FUND
Year Ended 12/31/04 0.64% 0.25% 1.12% (0.23%) 170%
Year Ended 12/31/03 0.60% 0.04% 1.10% (0.46%) 48%
Year Ended 12/31/02 0.51% 0.10% 1.11% (0.50%) 52%
11/1/01 Through 12/31/01^ 0.40% 0.09% 1.12% (0.63%) 7%
Year Ended 10/31/01 0.34% 0.28% 1.13% (0.51%) 50%
Year Ended 10/31/00 0.50% 0.19% 1.07% (0.38%) 76%
</Table>
+ Amount rounds to less than one million.
# Short periods have been annualized.
!! Due to the size of net assets and fixed expenses, ratios may appear
disproportionate.
* Includes interest expense for custody overdraft of 0.02%.
! SCGF recognized unrealized gain on investments of approximately $11 (in
thousands) related to securities purchases in violation of the Fund's
investment restrictions during the year. The effect of such gain resulted
in an increase in total return of approximately .2%
SEE NOTES TO FINANCIAL STATEMENTS.
139
<Page>
SELECT
<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
US SMALL COMPANY FUND+
Year Ended 12/31/04 $ 13.90 (0.03)@ 1.91 1.88 -- 2.00 2.00
Year Ended 12/31/03 $ 9.97 0.02@ 3.94 3.96 0.03 -- 0.03
Year Ended 12/31/02 $ 12.57 0.03 (2.60) (2.57) 0.03 -- 0.03
6/1/01 Through 12/31/01^ $ 13.43 0.04@ (0.79) (0.75) 0.05 0.06 0.11
Year Ended 5/31/01 $ 14.45 0.05 0.04 0.09 0.03 1.08 1.11
Year Ended 5/31/00 $ 11.49 -- 2.97 2.97 0.01 -- 0.01
U.S. SMALL COMPANY
OPPORTUNITIES FUND
Year Ended 12/31/04 $ 9.02 (0.09) 1.79 1.70 -- -- --
Year Ended 12/31/03 $ 7.04 (0.13) 2.11 1.98 -- -- --
Year Ended 12/31/02 $ 10.48 (0.09) (3.35) (3.44) -- -- --
6/1/01 Through 12/31/01^ $ 12.19 (0.04) (1.67) (1.71) -- -- --
Year Ended 5/31/01 $ 15.90 (0.07) (2.29) (2.36) -- 1.35 1.35
Year Ended 5/31/00 $ 12.17 -- 3.73 3.73 -- -- --
</Table>
+ On September 10, 2001, the class underwent a split of shares. Prior periods
have been restated to reflect the split
^ The Fund changed its fiscal year end from May 31 to December 31.
@ Calculated based upon average shares outstanding.
(a) Not annualized for periods less than one year.
SEE NOTES TO FINANCIAL STATEMENTS.
140
<Page>
<Table>
<Caption>
PER SHARE OPERATING PERFORMANCE: RATIOS/SUPPLEMENTAL DATA:
-------------------------------- -------------------------
NET ASSETS,
NET ASSET END OF
VALUE, END TOTAL PERIOD
OF PERIOD RETURN (a) (MILLIONS)
US SMALL COMPANY FUND+
Year Ended 12/31/04 $ 13.78 13.73% $ 119
Year Ended 12/31/03 $ 13.90 39.72% $ 156
Year Ended 12/31/02 $ 9.97 (20.48%) $ 199
6/1/01 Through 12/31/01^ $ 12.57 (5.56%) $ 286
Year Ended 5/31/01 $ 13.43 0.75% $ 296
Year Ended 5/31/00 $ 14.45 25.90% $ 285
U.S. SMALL COMPANY
OPPORTUNITIES FUND
Year Ended 12/31/04 $ 10.72 18.85% $ 7
Year Ended 12/31/03 $ 9.02 28.13% $ 10
Year Ended 12/31/02 $ 7.04 (32.82%) $ 55
6/1/01 Through 12/31/01^ $ 10.48 (14.03%) $ 195
Year Ended 5/31/01 $ 12.19 (15.51%) $ 339
Year Ended 5/31/00 $ 15.90 30.65% $ 529
<Caption>
RATIOS/SUPPLEMENTAL DATA:
---------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
-----------------------------------------------------------------------
NET INVESTMENT
NET EXPENSES INCOME (LOSS)
INVESTMENT WITHOUT WAIVERS, WITHOUT WAIVERS, PORTFOLIO
NET INCOME REIMBURSEMENTS REIMBURSEMENTS TURNOVER
EXPENSES (LOSS) AND EARNINGS CREDITS AND EARNINGS CREDITS RATE (a)
US SMALL COMPANY FUND+
Year Ended 12/31/04 1.01% (0.18%) 1.15% (0.32%) 129%
Year Ended 12/31/03 1.01% 0.15% 1.11% 0.05% 78%
Year Ended 12/31/02 1.01% 0.23% 1.10% 0.14% 90%
6/1/01 Through 12/31/01^ 1.01% 0.39% 1.04% 0.36% 48%~
Year Ended 5/31/01 1.01% 0.35% 1.01% 0.35% 110%~
Year Ended 5/31/00 1.00% 0.05% 1.00% 0.05% 104%~
U.S. SMALL COMPANY
OPPORTUNITIES FUND
Year Ended 12/31/04 1.03%* (0.72%) 3.04% (2.73%) 109%
Year Ended 12/31/03 1.02% (0.62%) 1.68% (1.28%) 207%
Year Ended 12/31/02 1.02% (0.66%) 1.17% (0.81%) 100%
6/1/01 Through 12/31/01^ 1.02% (0.50%) 1.07% (0.55%) 55%
Year Ended 5/31/01 0.99% (0.35%) 0.99% (0.35%) 117%
Year Ended 5/31/00 0.99% (0.47%) 0.99% (0.47%) 132%
</Table>
# Short periods have been annualized.
* Includes interest expense for custody overdraft of 0.01%.
~ Prior to September 10, 2001, USSCF invested all of its investable assets in
The U.S. Small Company Portfolio ("USSCP"). The portfolio turnover rate
disclosed prior to September 10, 2001 is the turnover rate of USSCP.
SEE NOTES TO FINANCIAL STATEMENTS.
141
<Page>
JPMORGAN FUNDS
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Trustees and Shareholders of
J.P. Morgan Funds, J.P. Morgan Institutional Funds, J.P. Morgan Mutual Fund
Group,
J.P. Morgan Mutual Fund Select Group, J.P. Morgan Fleming Mutual Fund Group,
Inc., and
J.P. Morgan Mutual Fund Investment Trust:
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 Dynamic Small Cap Fund and
JPMorgan Small Cap Equity Fund (separate portfolios of J.P. Morgan Mutual Fund
Group), JPMorgan Mid Cap Equity Fund and JPMorgan Trust Small Cap Equity Fund
(separate portfolios of J.P. Morgan Mutual Fund Select Group), JPMorgan Mid Cap
Growth Fund (a separate portfolio of J.P. Morgan Mutual Fund Investment Trust),
JPMorgan Mid Cap Value Fund and JPMorgan Small Cap Growth Fund (separate
portfolios of J.P. Morgan Fleming Mutual Fund Group, Inc.), JPMorgan U.S. Small
Company Fund (a separate portfolio of J.P. Morgan Institutional Funds) and
JPMorgan U.S. Small Company Opportunities Fund (a separate portfolio of J.P.
Morgan Funds) (hereafter collectively referred to as the "Funds"), at December
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 December 31, 2004 by
correspondence with the custodian and brokers, provide a reasonable basis for
our opinion. The financial highlights for each of the two years in the period
ended September 30, 2000 for JPMorgan Mid Cap Value Fund and JPMorgan Small Cap
Growth Fund were audited by other independent auditors whose report dated
November 15, 2000 expressed an unqualified opinion on those statements.
PricewaterhouseCoopers LLP
New York, New York
February 22, 2005
142
<Page>
SPECIAL MEETING OF SHAREHOLDERS (UNAUDITED)
A Special Meeting of Shareholders of J.P. Morgan Institutional Funds ("JPMIF")
was held on January 20, 2005, and adjourned and reconvened on February 3, 2005,
at 522 Fifth Avenue, New York, New York 10036 for purposes of asking
shareholders to consider the following proposals:
To elect thirteen (13) Trustees for each JPMorgan Fund. A majority of the
shareholders of JPMIF approved the election of each Trustee by the following
votes:
<Table>
<Caption>
AFFIRMATIVE NEGATIVE
William J. Armstrong 2,570,614,090 22,720,763
Roland E. Eppley, Jr. 2,570,399,817 22,935,037
John F. Finn 2,569,881,278 23,453,575
Dr. Matthew Goldstein 2,570,332,886 23,001,967
Robert J. Higgins 2,569,489,951 23,844,902
Peter C. Marshall 2,569,718,781 23,616,072
Marilyn McCoy 2,569,796,782 23,538,071
William G. Morton, Jr. 2,569,572,614 23,762,240
Robert A. Oden, Jr. 2,569,148,888 24,185,965
Fergus Reid, III 2,570,290,303 23,044,550
Frederick W. Ruebeck 2,569,687,035 23,647,818
James J. Schonbachler 2,570,727,808 22,607,045
Leonard M. Spalding, Jr. 2,570,279,217 23,055,636
</Table>
To approve proposed Agreement and Plan of Reorganization (each, a
"Reorganization Agreement") pursuant to which each of the JPMorgan Funds would
be reorganized as a corresponding series of J.P. Morgan Mutual Fund Series. A
majority of the shareholders of the following Fund approved the Agreement and
Plan of Reorganization by the following votes:
<Table>
<Caption>
BROKER
FOR AGAINST ABSTAIN NON-VOTES
JPMorgan U.S. Small Company Fund 112,991,496 590,772 3,542,279 16,919,629
</Table>
143
<Page>
A Special Meeting of Shareholders of J.P. Morgan Mutual Fund Investment Trust
("JPMMFIT") was held on January 20, 2005, and adjourned and reconvened on
February 3, 2005, at 522 Fifth Avenue, New York, New York 10036 for purposes of
asking shareholders to consider the following proposals:
To elect thirteen (13) Trustees for each JPMorgan Fund. A majority of the
shareholders of the JPMMFIT approved the election of each Trustee by the
following votes:
<Table>
<Caption>
AFFIRMATIVE NEGATIVE
William J. Armstrong 11,248,428 1,372,878
Roland E. Eppley, Jr. 11,235,653 1,385,652
John F. Finn 11,255,712 1,365,593
Dr. Matthew Goldstein 11,245,604 1,375,701
Robert J. Higgins 11,248,938 1,372,367
Peter C. Marshall 11,256,725 1,364,581
Marilyn McCoy 11,254,126 1,367,180
William G. Morton, Jr. 11,232,157 1,389,148
Robert A. Oden, Jr. 11,259,077 1,362,229
Fergus Reid, III 11,246,607 1,374,698
Frederick W. Ruebeck 11,247,097 1,374,209
James J. Schonbachler 11,252,232 1,369,074
Leonard M. Spalding, Jr. 11,241,447 1,379,858
</Table>
To approve proposed Agreement and Plan of Reorganization (each, a
"Reorganization Agreement") pursuant to which each of the JPMorgan Funds would
be reorganized as a corresponding series of J.P. Morgan Mutual Fund Series. The
following Fund did not approve the Agreement and Plan of Reorganization by the
following votes:
<Table>
<Caption>
BROKER
FOR AGAINST ABSTAIN NON-VOTES
JPMorgan Mid Cap Growth Fund 3,968,849 399,934 376,711 5,117,927
</Table>
To approve the amendment of certain of the JPMorgan Fund's fundamental
investment restrictions on borrowing in order to make them simpler, more
flexible and consistent with the borrowing restrictions for the other JPMorgan
Funds. A majority of the shareholders of the following Fund did not approve the
proposal by the following votes:
<Table>
<Caption>
BROKER
FOR AGAINST ABSTAIN NON-VOTES
JPMorgan Mid Cap Growth Fund 3,896,238 474,192 375,064 5,117,927
</Table>
144
<Page>
A Special Meeting of Shareholders of J.P. Morgan Funds ("JPMF") was held on
January 20, 2005, and adjourned and reconvened on February 3, 2005, at 522 Fifth
Avenue, New York, New York 10036 for purposes of asking shareholders to consider
the following proposals:
To elect thirteen (13) Trustees for each JPMorgan Fund. A majority of the
shareholders of the JPMF approved the election of each Trustee by the following
votes:
<Table>
<Caption>
AFFIRMATIVE NEGATIVE
William J. Armstrong 23,945,137 946,540
Roland E. Eppley, Jr. 23,943,509 948,169
John F. Finn 23,946,044 945,633
Dr. Matthew Goldstein 23,983,122 908,556
Robert J. Higgins 23,942,018 949,660
Peter C. Marshall 23,946,044 945,633
Marilyn McCoy 23,983,749 907,928
William G. Morton, Jr. 23,940,389 951,288
Robert A. Oden, Jr. 23,941,453 950,224
Fergus Reid, III 23,940,546 951,131
Frederick W. Ruebeck 23,984,028 907,649
James J. Schonbachler 23,983,122 908,556
Leonard M. Spalding, Jr. 23,943,509 948,169
</Table>
To approve proposed Agreement and Plan of Reorganization (each, a
"Reorganization Agreement") pursuant to which each of the JPMorgan Funds would
be reorganized as a corresponding series of J.P. Morgan Mutual Fund Series. A
majority of the shareholders of the following Fund approved the Agreement and
Plan of Reorganization by the following votes:
<Table>
<Caption>
BROKER
FOR AGAINST ABSTAIN NON-VOTES
JPMorgan U.S. Small Company
Opportunities Fund 2,429,827 79,874 292,492 782,616
</Table>
145
<Page>
To approve or disapprove the Agreement and Plan of Reorganization of JPMorgan
U.S. Small Company Opportunities Fund into One Group Small Cap Growth Fund. A
majority of the following Fund approved the Agreement and Plan of Reorganization
by the following votes:
<Table>
<Caption>
BROKER
FOR AGAINST ABSTAIN NON-VOTES
JPMorgan U.S. Small Company
Opportunities Fund 2,427,555 85,419 289,219 782,616
</Table>
A Special Meeting of Shareholders of J.P. Morgan Mutual Fund Select Group
("JPMMFSG") was held on January 20, 2005, at 522 Fifth Avenue, New York,
New York 10036 for purposes of asking shareholders to consider the following
proposals:
To elect thirteen (13) Trustees for each JPMorgan Fund. A majority of the
shareholders of the JPMMFSG approved the election of each Trustee by the
following votes:
<Table>
<Caption>
AFFIRMATIVE NEGATIVE
William J. Armstrong 98,827,965 614,396
Roland E. Eppley, Jr. 98,825,116 617,245
John F. Finn 98,840,383 601,979
Dr. Matthew Goldstein 98,834,557 607,805
Robert J. Higgins 98,823,121 619,240
Peter C. Marshall 98,838,263 604,099
Marilyn McCoy 98,830,602 611,759
William G. Morton, Jr. 98,829,638 612,723
Robert A. Oden, Jr. 98,834,513 607,849
Fergus Reid, III 98,810,619 631,743
Frederick W. Ruebeck 98,837,758 604,604
James J. Schonbachler 98,833,998 608,364
Leonard M. Spalding, Jr. 98,816,763 625,599
</Table>
146
<Page>
To approve proposed Agreement and Plan of Reorganization (each, a
"Reorganization Agreement") pursuant to which each of the JPMorgan Funds would
be reorganized as a corresponding series of J.P. Morgan Mutual Fund Series. A
majority of the shareholders of the following Funds approved the Agreement and
Plan of Reorganization by the following votes:
<Table>
<Caption>
BROKER
FOR AGAINST ABSTAIN NON-VOTES
JPMorgan Mid Cap Equity Fund 5,000,505 55,582 1,675 23,670
JPMorgan Trust Small Cap Equity Fund 5,137,693 24,253 13,983 1,379
</Table>
To approve the amendment of certain of the JPMorgan Fund's fundamental
investment restrictions on borrowing in order to make them simpler, more
flexible and consistent with the borrowing restrictions for the other JPMorgan
Funds. A majority of the shareholders of the following Funds approved the
proposal by the following votes:
<Table>
<Caption>
BROKER
FOR AGAINST ABSTAIN NON-VOTES
JPMorgan Mid Cap Equity Fund 5,020,401 32,343 5,018 23,670
JPMorgan Trust Small Cap Equity Fund 5,133,044 27,386 15,498 1,379
</Table>
A Special Meeting of Shareholders of J.P. Morgan Mutual Fund Group ("JPMMFG")
was held on January 20, 2005, and adjourned and reconvened on February 3, 2005,
at 522 Fifth Avenue, New York, New York 10036 for purposes of asking
shareholders to consider the following proposals: To elect thirteen (13)
Trustees for each JPMorgan Fund. A majority of the shareholders of the JPMMFG
approved the election of each Trustee by the following votes:
<Table>
<Caption>
AFFIRMATIVE NEGATIVE ABSTAIN
William J. Armstrong 128,297,849 3,531,682 261,556
Roland E. Eppley, Jr. 128,420,274 3,409,257 261,556
John F. Finn 128,500,853 3,328,678 261,556
Dr. Matthew Goldstein 128,448,980 3,380,551 261,556
Robert J. Higgins 128,521,979 3,307,551 261,556
Peter C. Marshall 128,497,115 3,331,416 261,556
Marilyn McCoy 128,478,689 3,350,842 261,556
William G. Morton, Jr. 128,470,511 3,359,020 261,556
Robert A. Oden, Jr. 128,476,705 3,352,826 261,556
Fergus Reid, III 128,378,739 3,450,792 261,556
Frederick W. Ruebeck 128,426,489 3,403,042 261,556
James J. Schonbachler 128,537,477 3,292,054 261,556
Leonard M. Spalding, Jr. 128,197,032 3,632,498 261,556
</Table>
147
<Page>
To approve proposed Agreement and Plan of Reorganization (each, a
"Reorganization Agreement") pursuant to which each of the JPMorgan Funds would
be reorganized as a corresponding series of J.P. Morgan )Mutual Fund Series. A
majority of the shareholders of the following Funds approved the Agreement and
Plan of Reorganization by the following votes:
<Table>
<Caption>
BROKER
FOR AGAINST ABSTAIN NON-VOTES
JPMorgan Dynamic Small Cap Fund 4,411,229 111,082 238,808 1,171,221
JPMorgan Small Cap Equity Fund 22,072,156 647,668 413,572 2,479,779
</Table>
To approve the amendment of certain of the JPMorgan Fund's fundamental
investment restrictions on borrowing in order to make them simpler, more
flexible and consistent with the borrowing restrictions for the other JPMorgan
Funds. A majority of the shareholders of the following Funds approved the
proposal by the following votes:
<Table>
<Caption>
BROKER
FOR AGAINST ABSTAIN NON-VOTES
JPMorgan Dynamic Small Cap Fund 4,366,350 144,850 249,918 1,171,221
JPMorgan Small Cap Equity Fund 21,542,454 1,068,238 522,703 2,479,779
</Table>
A Special Meeting of Shareholders of J.P. Morgan Fleming Mutual Fund Group, Inc.
("JPMFMFG") was held on January 20, 2005, at 522 Fifth Avenue, New York, New
York 10036 for purposes of asking shareholders to consider the following
proposals:
To elect thirteen (13) Trustees for each JPMorgan Fund. A majority of the
shareholders of the JPMFMFG approved the election of each Trustee by the
following votes:
<Table>
<Caption>
AFFIRMATIVE NEGATIVE
William J. Armstrong 91,591,207 2,198,671
Roland E. Eppley, Jr. 91,571,886 2,217,991
John F. Finn 91,577,808 2,212,069
Dr. Matthew Goldstein 91,564,609 2,225,269
Robert J. Higgins 91,534,131 2,255,747
Peter C. Marshall 91,559,528 2,230,349
Marilyn McCoy 91,561,973 2,227,905
William G. Morton, Jr. 91,493,143 2,296,735
Robert A. Oden, Jr. 91,561,943 2,227,935
Fergus Reid, III 91,534,898 2,254,979
Frederick W. Ruebeck 91,539,862 2,250,016
James J. Schonbachler 91,591,793 2,198,085
Leonard M. Spalding, Jr. 91,562,839 2,227,038
</Table>
148
<Page>
To approve proposed Agreement and Plan of Reorganization (each, a
"Reorganization Agreement") pursuant to which each of the JPMorgan Funds would
be reorganized as a corresponding series of J.P. Morgan Mutual Fund Series. A
majority of the shareholders of the following Fund approved the Agreement and
Plan of Reorganization by the following votes:
<Table>
<Caption>
BROKER
FOR AGAINST ABSTAIN NON-VOTES
JPMorgan Small Cap Growth Fund 409,819 1,674 3,441 82,492
</Table>
The following Fund did not approve the Agreement and Plan of Reorganization by
the following votes:
<Table>
<Caption>
BROKER
FOR AGAINST ABSTAIN NON-VOTES
JPMorgan Mid Cap Value Fund 60,653,909 903,479 2,593,611 34,419,905
</Table>
To approve the amendment of certain of the JPMorgan Fund's fundamental
investment restrictions on borrowing in order to make them simpler, more
flexible and consistent with the borrowing restrictions for the other JPMorgan
Funds. A majority of the shareholders of the following Fund approved the
proposal by the following votes:
<Table>
<Caption>
BROKER
FOR AGAINST ABSTAIN NON-VOTES
JPMorgan Small Cap Growth Fund 408,432 3,060 3,441 82,492
</Table>
The following Fund did not approve the proposal by the following votes:
<Table>
<Caption>
BROKER
FOR AGAINST ABSTAIN NON-VOTES
JPMorgan Mid Cap Value Fund 59,026,718 2,547,960 2,576,322 34,419,905
</Table>
To approve or disapprove the Agreement and Plan of Reorganization of JPMorgan
U.S. Small Cap Growth Fund into One Group Small Cap Growth Fund. A majority of
the following Fund approved the Agreement and Plan of Reorganization by the
following votes:
<Table>
<Caption>
BROKER
FOR AGAINST ABSTAIN NON-VOTES
JPMorgan Small Cap Growth Fund 409,819 1,674 3,441 82,492
</Table>
149
<Page>
SCHEDULE OF SHAREHOLDER EXPENSES
Hypothetical $1,000 Investment at Beginning of Period
December 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.
150
<Page>
<Table>
<Caption>
EXPENSES PAID
BEGINNING ENDING DURING PERIOD
ACCOUNT VALUE, ACCOUNT VALUE, JULY 1 TO ANNUALIZED
JULY 1, 2004 DECEMBER 31, 2004 DECEMBER 31, 2004* EXPENSE RATIO
DYNAMIC SMALL CAP FUND
CLASS A
Actual period return $ 1,000 $ 1,050 $ 7.73 1.50%
Hypothetical $ 1,000 $ 1,017 $ 7.61 1.50%
CLASS B
Actual period return $ 1,000 $ 1,046 $ 10.90 2.12%
Hypothetical $ 1,000 $ 1,014 $ 10.73 2.12%
CLASS C
Actual period return $ 1,000 $ 1,046 $ 10.90 2.12%
Hypothetical $ 1,000 $ 1,014 $ 10.73 2.12%
SELECT
Actual period return $ 1,000 $ 1,052 $ 5.67 1.10%
Hypothetical $ 1,000 $ 1,019 $ 5.58 1.10%
MID CAP EQUITY FUND
SELECT
Actual period return $ 1,000 $ 1,101 $ 4.75 0.90%
Hypothetical $ 1,000 $ 1,020 $ 4.57 0.90%
MID CAP GROWTH FUND
CLASS A
Actual period return $ 1,000 $ 1,075 $ 7.04 1.35%
Hypothetical $ 1,000 $ 1,018 $ 6.85 1.35%
CLASS B
Actual period return $ 1,000 $ 1,072 $ 10.67 2.05%
Hypothetical $ 1,000 $ 1,015 $ 10.38 2.05%
</Table>
151
<Page>
<Table>
<Caption>
EXPENSES PAID
BEGINNING ENDING DURING PERIOD
ACCOUNT VALUE, ACCOUNT VALUE, JULY 1 TO ANNUALIZED
JULY 1, 2004 DECEMBER 31, 2004 DECEMBER 31, 2004* EXPENSE RATIO
MID CAP VALUE FUND
CLASS A
Actual period return $ 1,000 $ 1,120 $ 6.66 1.25%
Hypothetical $ 1,000 $ 1,019 $ 6.34 1.25%
CLASS B
Actual period return $ 1,000 $ 1,116 $ 10.11 1.90%
Hypothetical $ 1,000 $ 1,015 $ 9.63 1.90%
CLASS C
Actual period return $ 1,000 $ 1,116 $ 10.11 1.90%
Hypothetical $ 1,000 $ 1,015 $ 9.63 1.90%
INSTITUTIONAL
Actual period return $ 1,000 $ 1,123 $ 4.00 0.75%
Hypothetical $ 1,000 $ 1,021 $ 3.81 0.75%
SELECT
Actual period return $ 1,000 $ 1,122 $ 5.33 1.00%
Hypothetical $ 1,000 $ 1,020 $ 5.08 1.00%
SMALL CAP EQUITY FUND
CLASS A
Actual period return $ 1,000 $ 1,147 $ 7.45 1.38%
Hypothetical $ 1,000 $ 1,018 $ 7.00 1.38%
CLASS B
Actual period return $ 1,000 $ 1,142 $ 11.36 2.11%
Hypothetical $ 1,000 $ 1,014 $ 10.68 2.11%
SELECT
Actual period return $ 1,000 $ 1,149 $ 4.59 0.85%
Hypothetical $ 1,000 $ 1,021 $ 4.32 0.85%
</Table>
152
<Page>
<Table>
<Caption>
EXPENSES PAID
BEGINNING ENDING DURING PERIOD
ACCOUNT VALUE, ACCOUNT VALUE, JULY 1 TO ANNUALIZED
JULY 1, 2004 DECEMBER 31, 2004 DECEMBER 31, 2004* EXPENSE RATIO
SMALL CAP GROWTH FUND
CLASS A
Actual period return $ 1,000 $ 1,085 $ 8.39 1.60%
Hypothetical $ 1,000 $ 1,017 $ 8.11 1.60%
INSTITUTIONAL
Actual period return $ 1,000 $ 1,089 $ 4.46 0.85%
Hypothetical $ 1,000 $ 1,021 $ 4.32 0.85%
SELECT
Actual period return $ 1,000 $ 1,089 $ 5.78 1.10%
Hypothetical $ 1,000 $ 1,019 $ 5.58 1.10%
TRUST SMALL CAP EQUITY FUND
SELECT
Actual period return $ 1,000 $ 1,102 $ 3.38 0.64%
Hypothetical $ 1,000 $ 1,022 $ 3.25 0.64%
US SMALL COMPANY FUND
INSTITUTIONAL
Actual period return $ 1,000 $ 1,121 $ 4.43 0.83%
Hypothetical $ 1,000 $ 1,021 $ 4.22 0.83%
SELECT
Actual period return $ 1,000 $ 1,121 $ 5.39 1.01%
Hypothetical $ 1,000 $ 1,020 $ 5.13 1.01%
US SMALL COMPANY
OPPORTUNITIES FUND
SELECT
Actual period return $ 1,000 $ 1,114 $ 5.42 1.02%
Hypothetical $ 1,000 $ 1,020 $ 5.18 1.02%
</Table>
153
<Page>
TRUSTEE AND OFFICER INFORMATION (UNAUDITED)
The names of the Trustees of the Funds, together with information regarding
their year of birth, the year each Trustee became a Board member of the Trusts
(whichever was earliest), the year each Trustee first became a Board member of
any of the Predecessor Funds (if applicable), principal occupations and other
board memberships are shown below. The contact address for each of the Trustees
is 522 Fifth Avenue, New York, NY 10036.
<Table>
<Caption>
NUMBER OF
NAME (YEAR OF BIRTH); PORTFOLIOS IN FUND
POSITIONS WITH PRINCIPAL OCCUPATIONS COMPLEX OVERSEEN OTHER DIRECTORSHIPS HELD
THE FUNDS (SINCE) DURING PAST 5 YEARS BY TRUSTEE(1) OUTSIDE FUND COMPLEX
- ------------------------------------------------------------------------------------------------------------------------------------
INDEPENDENT TRUSTEES
William J. Armstrong Retired; Vice President & Treasurer of Ingersoll- 110 None.
(1941); Trustee of Trusts Rand Company (manufacturer of industrial equipment)
since 1997; Trustee of (1972-2000).
Predecessor Funds since
1987.
Roland R. Eppley, Jr. Retired; President & Chief Executive Officer, 110 Director, Janel Hydro, Inc.
(1932); Trustee of Trusts Eastern States Bankcard (1971-1988). (automotive)(1993-present).
since 1997; Trustee of
Predecessor Funds since
1989.
John F. Finn President and Chief Executive Officer of Gardner, 110 Director, Cardinal Health,
(1947); Trustee of Trusts Inc. (wholesale distributor to outdoor power Inc (CAH) (1994-present).
since 2005. equipment industry) (1979-present).
Dr. Matthew Goldstein Chancellor of the City University of New York 110 Trustee of Bronx-Lebanon
(1941); Trustee of Trusts (1999-present); President, Adelphi University Hospital Center
since 2003; Trustee of (New York) (1998-1999). (1992-present); Director of
Predecessor Funds since New Plan Excel Realty Trust,
2003. Inc. (real estate investment
trust) (2000-present);
Director of Lincoln Center
Institute for the Artsin
Education (1999-present).
Robert J. Higgins (1945); Retired; Director of Administration of the State 110 Director of Providian
Trustee of Trusts since of Rhode Island (2003-2004); President - Financial Corp. (banking)
2002; Trustee of Consumer Banking and Investment Services, (2002-present).
Predecessor Funds since Fleet Boston Financial (1971-2001).
2002.
Peter C. Marshall Self-employed business consultant (2002-present); 110 None.
(1942); Trustee of Trusts Senior Vice President, W.D. Hoard, Inc.
since 2005. (corporate parent of DCI Marketing, Inc.)
(2000-2002); President, DCI Marketing, Inc.
(1992-2000).
Marilyn McCoy Vice President of Administration and Planning, 110 Director, Mather LifeWays
(1948); Trustee of Trusts Northwestern University (1985-present). (1994-present); Director,
since 2005. Carleton College
(2003-present).
William G. Morton, Jr. Retired; Chairman Emeritus (2001-2002), and 110 Director of Radio Shack
(1937); Trustee of Trusts Chairman and Chief Executive Officer, Boston Corporation (electronics)
since 2003; Trustee of Stock Exchange (1985- 2001). (1987-present); Director of
Predecessor Funds since The National Football
2003. 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).
</Table>
154
<Page>
<Table>
<Caption>
NUMBER OF
NAME (YEAR OF BIRTH); PORTFOLIOS IN FUND
POSITIONS WITH PRINCIPAL OCCUPATIONS COMPLEX OVERSEEN OTHER DIRECTORSHIPS HELD
THE FUNDS (SINCE) DURING PAST 5 YEARS BY TRUSTEE(1) OUTSIDE FUND COMPLEX
- ------------------------------------------------------------------------------------------------------------------------------------
INDEPENDENT TRUSTEES (CONTINUED)
Robert A. Oden, Jr. President, Carleton College (2002-present); 110 Director, American University
(1946); Trustee of Trusts President, Kenyon College (1995-2002). in Cairo.
since 2005.
Fergus Reid, III Chairman of Lumelite Corporation (plastics 110 Trustee of Morgan Stanley
(1932); Trustee of Trusts manufacturing) (2003-present); Chairman and Funds (209 portfolios)
(Chairman) since 1997; CEO of Lumelite Corporation (1985-2002). (1995-present).
Trustee (Chairman) of
Predecessor Funds since
1987.
Frederick W. Ruebeck Advisor, Jerome P. Green & Associates, LLC 110 Director, AMS Group
(1939); Trustee of Trusts (broker-dealer) (2002-present); Endowment (2001-present); Director,
since 2005. Fund Manager, Wabash College (2004-present); Wabash College
self-employed consultant (January 2000 to (1988-present); Trustee,
present); Director of Investments, Eli Lilly and Seabury-Western Theology
Company (1988-1999). Seminary (1993-present);
Director, Indianapolis
Symphony Foundation
(1994-present).
James J. Schonbachler Retired; Managing Director of Bankers Trust 110 None.
(1943); Trustee of Trusts Company (financial services) (1968-1998).
since 2001; Trustee of
Predecessor Funds since
2001.
INTERESTED TRUSTEE
Leonard M. Spalding, Jr.* Retired; Chief Executive Officer of Chase Mutual 110 None.
(1935); Trustee of Trusts Funds (investment company) (1989-1998);
since 1998; Trustee of President & Chief Executive Officer of Vista
Predecessor Funds since Capital Management (investment management)
1998. (1990-1998); Chief Investment Executive of
Chase Manhattan Private Bank (investment
management) (1990-1998).
</Table>
(1) A Fund Complex means two or more registered investment companies that hold
themselves out to investors as related companies for purposes of investment
and investor services or have a common investment adviser or have an
investment adviser that is an affiliated person of the investment adviser
of any of the other registered investment companies. The JPMorgan Funds
Complex for which the Board of Trustees includes seven registered
investment companies (110 portfolios) as of February 19, 2005.
* Mr. Spalding is deemed to be an "interested person" due to his ownership of
JPMorgan Chase stock.
155
<Page>
The Funds' executive officers (listed below) are generally employees of the
Adviser or one of its affiliates. The officers conduct and supervise the
business operations of the Funds. The officers hold office until a successor has
been elected and duly qualified. The Funds have no employees.
The names of the officers of the Funds, together with their year of birth,
information regarding their positions held with the Funds and principal
occupations are shown below. The contact address for each of the officers,
unless otherwise noted, is 522 Fifth Avenue, New York, NY 10036.
<Table>
<Caption>
NAME (YEAR OF BIRTH),
POSITIONS HELD WITH
THE FUNDS (SINCE) PRINCIPAL OCCUPATIONS DURING PAST 5 YEARS
- -----------------------------------------------------------------------------------------------------
George C.W. Gatch Managing Director, JPMIM, CEO and President of the J.P. Morgan and
(1962), President (2001) One Group Funds. An employee since 1986, Mr. Gatch leads the
firm's U.S. mutual fund and financial intermediary 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
Dai-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 Chief Operating Officer, JPMorgan Funds (August 2004 to present)
(1963), Senior Vice and One Group Mutual Funds from November 2001 until present. From
President (2004)** October 1999 to 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, JPMIM; previously, Treasurer, JPMorgan Funds and
(1960), Vice President Head of Funds Administration and Board Liaison. Prior to joining
and Chief Administrative J.P. Morgan Chase & Co. in 2001, Ms. Maleski was the Vice
Officer (2004) President of Finance for the Pierpont Group, Inc., a service
provider to the Board of Directors/Trustees of the JPMorgan Funds.
Stephanie J. Dorsey Director of Mutual Fund Administration, One Group Administrative
(1969), Treasurer Services, since 2004; Ms. Dorsey worked for Bank One Corporation
(2004)** (now known as JP Morgan Chase & Co.) from 2003 to 2004; prior to
joining Bank One Corporation, she was a Senior Manager
specializing in Financial Services audits at
PricewaterhouseCoopers LLP from 1992 through 2002.
Stephen M. Benham Vice President and Assistant General Counsel, JPMIM since 2004;
(1959), Secretary (2005) Vice President (Legal Advisory) of Merrill Lynch Investment
Managers, L.P. from 2000 to 2004; attorney associated with
Kirkpatrick & Lockhart LLP from 1997 to 2000.
Elizabeth A. Davin From 2004 to present, Senior Counsel, JPMorgan Chase & Co.;
(1964), Assistant Assistant General Counsel and Associate General Counsel and Vice
Secretary (2004)** President, Gartmore Global Investments, Inc. from 1999 to 2004.
Jessica K. Ditullio Various attorney positions for Bank One Corporation (now known as
(1962), Assistant JP Morgan Chase & Co.) since 1990.
Secretary (2004)**
Nancy E. Fields From October 1999 to present, Director, Mutual Fund
(1949), Assistant Administration, One Group Administrative Services, Inc. and Senior
Secretary (2004)** Project Manager, Mutual Funds, One Group Dealer Services, Inc.
From July 1999 to October 1999, Project Manager, One Group, Banc
One Investment Advisors Corporation.
Avery P. Maher Vice President and Assistant General Counsel, JPMIM since 2004;
(1945), Assistant Second Vice President and Assistant Secretary of John Hancock
Secretary (2004) Advisers, LLC, from 1992 to 2004.
Alaina V. Metz (1967), Vice President, BISYS Fund Services, Inc. since 1995.
Assistant Secretary
(2001)*
Suzanne E. Cioffi Vice President, JPMIM, responsible for mutual fund financial
(1967), Assistant reporting. During the past five years, Ms. Cioffi has overseen
Treasurer (2005) various fund accounting, custody and administration conversion
projects for JPMIM.
Christopher D. Walsh Vice President, JPMIM; Mr. Walsh manages all aspects of
(1965), Assistant institutional and retail mutual fund administration and vendor
Treasurer (2004) relationships within the mutual funds, 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.
</Table>
156
<Page>
<Table>
<Caption>
NAME (YEAR OF BIRTH),
POSITIONS HELD WITH
THE FUNDS (SINCE) PRINCIPAL OCCUPATIONS DURING PAST 5 YEARS
- -----------------------------------------------------------------------------------------------------
Stephen M. Ungerman Vice President, JPMIM; previously, head of Fund Administration -
(1953), Chief Compliance Pooled Vehicles. Prior to joining J.P. Morgan Chase & Co. in 2000,
Officer (2004) he held a number of positions in Prudential Financial's asset
management business, including Associate General Counsel, Tax
Director and Co-head of Fund Administration Department.
Mr. Ungerman was also the Assistant Treasurer for all mutual funds
managed by Prudential.
</Table>
* The contact address for the officer is 3435 Stelzer Road, Columbus, OH
43219.
** The contact address for the officer is 1111 Polaris Parkway, Columbus, OH
43271.
Additional information concerning the Trustees is contained in the Statement of
Additional Information and is available without charge by calling
1-800-480-4111.
157
<Page>
TAX LETTER (UNAUDITED)
JPMORGAN DYNAMIC SMALL CAP FUND ("DSCF")
JPMORGAN MID CAP EQUITY FUND ("MCEF")
JPMORGAN MID CAP GROWTH FUND ("MCGF")
JPMORGAN MID CAP VALUE FUND ("MCVF")
JPMORGAN SMALL CAP EQUITY FUND ("SCEF")
JPMORGAN SMALL CAP GROWTH FUND ("SCGF")
JPMORGAN TRUST SMALL CAP EQUITY FUND ("TSCEF")
JPMORGAN U.S. SMALL COMPANY FUND ("USSCF")
JPMORGAN U.S. SMALL COMPANY OPPORTUNITIES FUND ("USSCOF")
Certain tax information for the JPMorgan Funds is required to be provided to
shareholders based upon the Funds' income and distributions for the taxable year
ended December 31, 2004. The information and distributions reported in this
letter may differ from the information and taxable distributions reported 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.
The following represents the percentage of ordinary income distributions
eligible for dividends received deduction and the dollar amount of long-term
capital gains distributed by the Funds for the fiscal year ended December 31,
2004:
<Table>
<Caption>
DIVIDENDS LONG-TERM
RECEIVED CAPITAL GAINS
DEDUCTION DISTRIBUTION
FUND
MCEF 30.17% $ 17,731,072
MCVF 50.16% 10,065,836
SCEF 14.48% 106,811,935
TSCEF 17.59% 75,838,588
USSCF 0.00% 28,243,761
</Table>
For the fiscal year ended December 31, 2004, certain dividends paid by the Fund
may be subject to a maximum tax rate of 15% as provided for by the Jobs and
Growth Tax Relief Reconciliation Act of 2004. The Fund intends to designate the
maximum amount allowable as taxed at a maximum rate of 15%. Complete information
will be reported in conjunction with your 2004 Form 1099-DIV.
For the fiscal year ended December 31, 2004, the following represents the
percentage of ordinary income distributions treated as qualified dividends:
<Table>
<Caption>
PERCENTAGE OF
DISTRIBUTIONS
FUND
MCEF 29.21%
MCVF 44.16%
SCEF 65.07%
TSCEF 10.81%
</Table>
158
<Page>
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<Page>
THIS PAGE IS INTENTIONALLY LEFT BLANK
<Page>
JPMorgan Funds are distributed by JPMorgan Distribution Services, Inc.
Affiliates of JPMorgan Chase & Co. receive fees for providing various 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.
CONTACT JPMORGAN FUNDS DISTRIBUTION SERVICES AT 1-800-480-4111 FOR A FUND
PROSPECTUS. YOU CAN ALSO VISIT US AT www.jpmorganfunds.com. INVESTORS SHOULD
CAREFULLY CONSIDER THE INVESTMENT OBJECTIVES AND RISK AS WELL AS CHARGES AND
EXPENSES OF THE MUTUAL FUND BEFORE INVESTING. THE PROSPECTUS CONTAINS THIS AND
OTHER INFORMATION ABOUT THE MUTUAL FUND. READ THE PROSPECTUS CAREFULLY BEFORE
INVESTING.
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 1-800-480-4111 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., 2005 AN-SMC-1204
All rights reserved. February 2005.
<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 1-800-480-4111.
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 $229,928 in 2003 and $232,800 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) and $9,397,000 in 2004.
2
<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 $33,600 in 2003 and $31,600 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 or in 2004.
(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, or in 2004, 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 $28.3 million in 2003 and $25.3 million in
2004.
(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.
3
<Page>
NOT APPLICABLE.
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
NOT APPLICABLE.
ITEM 9. 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 10. 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 11. 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 12. 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.
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(a)(2) A separate certification for each principal executive officer
and principal financial officer of the registrant as required by Rule 30a-2(a)
under the Act (17 CFR 270.30a-2).
CERTIFICATIONS PURSUANT TO RULE 30a-2(a) UNDER THE INVESTMENT COMPANY ACT OF
1940 ARE ATTACHED HERETO.
(a)(3) Any written solicitation to purchase securities under Rule
23c-1 under the Act (17 CFR 270.23c-1) sent or given during the period covered
by the report by or on behalf of the registrant to 10 or more persons.
NOT APPLICABLE.
(b) A separate or combined certification for each principal executive
officer and principal officer of the registrant as required by Rule 30a-2(b)
under the Act of 1940.
CERTIFICATIONS PURSUANT TO RULE 30a-2(b) UNDER THE INVESTMENT COMPANY ACT OF
1940 ARE ATTACHED HERETO.
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SIGNATURES
[See General Instruction F]
Pursuant to the requirements of the Securities Exchange Act of 1934
and the Investment Company Act of 1940, the registrant has duly caused this
report to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) J.P. Morgan Institutional Funds
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By (Signature and Title)* /s/ Stephanie J. Dorsey
------------------------------------------------------
Stephanie J. Dorsey, Treasurer
Date March 9, 2005
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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
------------------------------------------------------
Stephanie J. Dorsey, Treasurer
Date March 9, 2005
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By (Signature and Title)* /s/ George C.W. Gatch
------------------------------------------------------
George C.W. Gatch, President
Date March 9, 2005
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* Print the name and title of each signing officer under his or her signature.
- --------------------------------------------------------------------------------
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