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OMB APPROVAL
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Expires: November 30, 2005
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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-21276
---------------------------------------------
J.P. Morgan Fleming Series Trust
- -------------------------------------------------------------------------------
(Exact name of registrant as specified in charter)
522 Fifth Avenue, New York, NY 10036
- -------------------------------------------------------------------------------
(Address of principal executive offices) (Zip code)
JPMorgan Funds Management, Inc., 522 Fifth Avenue, New York, NY 10036
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(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
MULTI-MANAGER FUNDS
MULTI-MANAGER SMALL CAP GROWTH FUND
MULTI-MANAGER SMALL CAP VALUE FUND
[JPMORGAN ASSET MANAGEMENT LOGO]
<Page>
CONTENTS
<Table>
President's Letter 1
Fund Information:
Multi-Manager Small Cap Growth Fund 3
Multi-Manager SmallCap Value Fund 6
Portfolio of Investments 9
Financial Statements 35
Notes to Financial Statements 38
Financial Highlights 46
</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.
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.
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JPMORGAN MULTI-MANAGER FUNDS
PRESIDENT'S LETTER JANUARY 19, 2005
DEAR SHAREHOLDER:
We are pleased to present this annual report for the JPMorgan Multi-Manager
Small Cap Growth and Small Cap Value Funds. Inside, you'll find information
detailing the performance of the Funds for the year ended December 31, 2004,
along with a report 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.
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
by comparison with 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 another 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
1
<Page>
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 yours,
/s/ George C.W. Gatch
George C.W. Gatch
President
JPMorgan Funds
2
<Page>
JPMORGAN MULTI-MANAGER SMALL CAP GROWTH FUND
AS OF DECEMBER 31, 2004
Q: HOW DID THE FUND PERFORM?
A: JPMorgan Multi-Manager Small Cap Growth Fund, which seeks capital
appreciation over the long-term from U.S. small capitalization growth stocks
diversified across a multiple manager approach, returned 8.5% for the year
ending December 31, 2004. This compares with a rise of 14.3% for its benchmark,
the Russell 2000 Growth Index.
Q. WHY DID THE FUND PERFORM IN THIS WAY?
A: Lifted by a rising market, the Fund achieved a respectable absolute return
for the year. It trailed the Russell 2000 Growth Index, however, due to weak
stock selection by the underlying managers in the consumer discretionary, health
care and producer durables sectors. Additionally, it suffered from being
underweight in the materials sector in a year when cyclical areas such as this
led the market.
Within the consumer discretionary sector, Alliance Gaming, a provider of state
lottery machines, was a major detractor from performance. The stock fell more
than 60% after Alliance warned it would miss earnings estimates due to lower
revenue and a delay in the deployment of new lottery games. Corinthian Colleges
was another poor performer, falling with the majority of post-secondary
education providers after news of a Department of Education investigation into
non-compliance with federal loan regulations regarding enrolment practices. The
stock fell more than 30%.
Among other loss-making sectors, Odyssey Healthcare, a provider of hospice care,
declined on news of a government inquiry into its billing practices. The stock
fell by more than 50%. Two other significant detractors were August Technology
and Asyst Technology, which both declined more than 40%.
From a positive perspective, the Fund was slightly overweight in the energy
sector, which helped in a year when crude oil prices soared. Exploration and
production companies such as Quicksilver Resource and Patina Oil and Gas
contributed strongly to returns. Stock selection was positive in the financial
services sector, with names such as Affiliated Managers and UCBH Holdings adding
to returns.
Among the underlying managers, Seligman outperformed its benchmark and provided
the highest absolute returns. UBS and State Street Research and Management
Company both trailed their benchmarks.
Q: HOW WAS THE FUND MANAGED?
A: The Fund was weighted approximately equally across the three managers -
Seligman, State Street Research and Management Company and UBS - throughout the
year. But following BlackRock's announcement that it would acquire State Street,
we are reducing the combined firm's weighting in the Fund. We are adding
Oberweis Asset Management, a fourth manager, which invests in companies with
market capitalizations of less than $1 billion demonstrating revenue and
earnings growth of at least 30% per annum. The Fund was previously under-exposed
to this area of the small cap market.
(UNAUDITED)
3
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[CHART]
PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS
<Table>
Technology 28.3%
Consumer Goods & Services 18.8%
Health Services & Systems 12.9%
Industrial Products & Services 11.2%
Pharmaceuticals 8.4%
Finance & Insurance 8.4%
Energy 5.1%
Telecommunications 3.2%
Short-Term Investments 2.2%
REITs 1.5%
</Table>
TOP TEN EQUITY HOLDING OF THE PORTFOLIO
1. UCBH HOLDINGS, INC. (1.7%)
2. CACI INTERNATIONAL, INC., CLASS A (1.4%)
3. RARE HOSPITALITY INTERNATIONAL, INC. (1.3%)
4. RUBY TUESDAY, INC. (1.2%)
5. MICROSEMI CORP. (1.2%)
6. PEDIATRIX MEDICAL GROUP, INC. (1.2%)
7. INAMED CORP. (1.1%)
8. LANDSTAR SYSTEM, INC. (1.1%)
9. COVANCE, INC. (1.0%)
10. COGNIZANT TECHNOLOGY SOLUTIONS CORP. (1.0%)
TOP 10 EQUITY HOLDINGS COMPRISED 12.2% OF THE PORTFOLIO'S MARKET VALUE OF
INVESTMENTS ($35,774 IN THOUSANDS). AS OF DECEMBER 31, 2004, THE FUND HELD 309
EQUITY HOLDINGS. PORTFOLIO HOLDINGS ARE SUBJECT TO CHANGE AT ANY TIME.
AVERAGE ANNUAL TOTAL RETURNS AS OF DECEMBER 31, 2004
<Table>
<Caption>
SINCE INCEPTION
1 YEAR (2/28/03)
Multi-Manager Small Cap Growth Fund 8.48% 29.27%
</Table>
4
<Page>
[CHART]
LIFE OF FUND PERFORMANCE (2/28/03 TO 12/31/04)
<Table>
<Caption>
JPMORGAN MULTI-MANAGER
SMALL CAP GROWTH RUSSELL 2000 GROWTH INDEX LIPPER SMALL-CAP GROWTH INDEX
2/28/2003 $ 1,000,000 $ 1,000,000 $ 1,000,000
3/31/2003 $ 1,015,000 $ 1,015,100 $ 1,020,600
4/30/2003 $ 1,104,016 $ 1,111,128 $ 1,104,902
5/31/2003 $ 1,194,986 $ 1,236,353 $ 1,217,602
6/30/2003 $ 1,224,981 $ 1,260,214 $ 1,258,878
7/31/2003 $ 1,282,922 $ 1,355,486 $ 1,332,523
8/31/2003 $ 1,354,894 $ 1,428,276 $ 1,403,146
9/30/2003 $ 1,309,912 $ 1,392,141 $ 1,368,629
0/31/2003 $ 1,436,842 $ 1,512,422 $ 1,492,627
11/30/2003 $ 1,495,896 $ 1,561,727 $ 1,532,331
12/31/2003 $ 1,477,796 $ 1,568,754 $ 1,534,476
1/31/2004 $ 1,537,351 $ 1,651,114 $ 1,606,289
2/28/2004 $ 1,549,957 $ 1,648,637 $ 1,600,185
3/31/2004 $ 1,564,527 $ 1,656,386 $ 1,589,144
4/30/2004 $ 1,492,402 $ 1,573,235 $ 1,511,435
5/31/2004 $ 1,502,849 $ 1,604,543 $ 1,543,024
6/30/2004 $ 1,536,212 $ 1,657,974 $ 1,587,000
7/31/2004 $ 1,402,562 $ 1,509,088 $ 1,447,027
8/31/2004 $ 1,356,137 $ 1,476,643 $ 1,400,143
9/30/2004 $ 1,412,281 $ 1,558,301 $ 1,480,091
10/31/2004 $ 1,460,016 $ 1,596,168 $ 1,521,534
11/30/2004 $ 1,541,631 $ 1,731,044 $ 1,628,041
12/31/2004 $ 1,603,230 $ 1,793,188 $ 1,699,838
</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 2/28/03.
The graph illustrates comparative performance for $1,000,000 invested in shares
of the JPMorgan Multi-Manager Small Cap Growth Fund, Russell 2000 Growth Index,
and Lipper Small-Cap Growth Funds Index from February 28, 2003 to 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 Index measures the performance of those Russell 2000
companies with higher price-to-book ratios and higher forecasted growth rates.
The Lipper Small-Cap Growth Funds Index represents the total returns of the
funds in the indicated category, as defined by Lipper, Inc. Investors cannot
invest directly in an index.
Shares have a $1,000,000 minimum initial deposit and carry no sales charge.
Certain fees and expenses of the Fund are currently being waived and reimbursed
as described in the prospectus. Had the expenses not been subsidized or waived,
returns would have been lower. Also, all performance shown in this section does
not reflect the deduction of taxes that a shareholder would pay on fund
distributions or redemption of fund shares.
5
<Page>
Q: HOW DID THE FUND PERFORM?
A: JPMorgan Multi-Manager Small Cap Value Fund, which seeks capital appreciation
over the long term from U.S. small capitalization value stocks diversified
across a multiple manager approach, returned 20.6% for the year ending December
31, 2004. This compares with a rise of 22.3% for its benchmark, the Russell 2000
Value Index.
Q: WHY DID THE FUND PERFORM IN THIS WAY?
A: Small cap value stocks achieved a substantial rally in 2004, and were the
strongest performing area of the U.S. equity market. The Fund generated
significant gains in sympathy with small cap value stocks. It trailed the
benchmark by what was a small margin considering the magnitude of the market's
appreciation, and the active investment approach of the underlying managers.
Stock selection in the consumer discretionary and consumer staples sectors was
responsible for much of the underperformance. Being underweight in the materials
and processing sector, one of the best performing sectors, also detracted.
Within consumer discretionary, Sports Authority, the sporting goods retailer,
declined following reports that it was facing a slowdown in its core business,
and that sales trends had not rebounded from earlier levels. The stock fell more
than 30% over the year. Additionally, stock in Fred's, Inc., a discount
retailer, declined by more than 25% on news of a slowdown in same store sales.
Within consumer staples, American Italian Pasta, the largest pasta maker in
North America, declined by approximately 35% as the popularity of low
carbohydrate diets hurt sales. Changing diet trends, rising fuel costs and
mounting pension liabilities forced Interstate Bakeries, the largest U.S.
wholesale baker, to file for bankruptcy protection. This caused the stock price
to fall by almost 80%.
From a positive perspective, strong stock selection in the producer durable and
technology sectors added to returns. In the producer durable sector, American
Tower Systems, an operator of wireless and broadcast towers, and Paxar Corp., a
producer of identification and tracking systems for inventory management,
appreciated by approximately 70% and 65% respectively. Within technology, Flir
Systems, a manufacturer of thermal imaging and broadcast camera systems, and
Emulex, a software producer, also contributed positively, as they rose
approximately 60% and 75% respectively for the year.
At a manager level, JPMorgan Fleming Asset Management and Earnest Partners
outperformed their benchmarks, while ICM Asset Management trailed.
Q: HOW WAS THE FUND MANAGED?
A: The Fund was managed with an approximate 33% weighting to each of the three
underlying managers.
6
<Page>
[CHART]
PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS
<Table>
Consumer Goods & Services 20.4%
Finance & Insurance 19.2%
Industrial Products & Services 18.5%
Technology 10.8%
Health Services & Systems 7.1%
Energy 5.2%
REITs 5.2%
Utilities 4.5%
Pharmaceuticals 3.8%
Short-Term Investments 3.6%
Telecommunications 1.7%
</Table>
TOP TEN EQUITY HOLDING OF THE PORTFOLIO
1. RAYMOND JAMES FINANCIAL, INC. (1.4%)
2. FLIR SYSTEMS, INC. (1.3%)
3. COOPER COMPANIES, INC. (1.2%)
4. THE SHAW GROUP, INC. (1.2%)
5. ACCREDO HEALTH, INC. (1.1%)
6. PHILADELPHIA CONSOLIDATED HOLDING CORP. (1.1%)
7. MEN'S WEARHOUSE, INC. (1.1%)
8. PHARMACEUTICAL PRODUCT DEVELOPMENT, INC. (1.1%)
9. HOVANIAN ENTERPRISES, INC., CLASS A (1.0%)
10. HARMAN INTERNATIONAL INDUSTRIES, INC. (1.0%)
TOP 10 EQUITY HOLDINGS COMPRISED 11.5% OF THE PORTFOLIO'S MARKET VALUE OF
INVESTMENTS ($44,748 IN THOUSANDS). AS OF DECEMBER 31, 2004, THE FUND HELD 651
EQUITY HOLDINGS. PORTFOLIO HOLDINGS ARE SUBJECT TO CHANGE AT ANY TIME.
AVERAGE ANNUAL TOTAL RETURNS AS OF DECEMBER 31, 2004
<Table>
<Caption>
SINCE INCEPTION
1 YEAR (2/28/03)
Multi-Manager Small Cap Value Fund 20.61% 42.02%
</Table>
7
<Page>
[CHART]
LIFE OF FUND PERFORMANCE (2/28/03 TO 12/31/04)
<Table>
<Caption>
JPMORGAN MULTI-MANAGER
SMALL CAP VALUE RUSSELL 2000 VALUE INDEX LIPPER SMALL-CAP VALUE FUNDS INDEX
2/28/2003 $ 1,000,000 $ 1,000,000 $ 1,000,000
3/31/2003 $ 1,005,000 $ 1,010,700 $ 1,002,600
4/30/2003 $ 1,084,998 $ 1,106,717 $ 1,092,433
5/31/2003 $ 1,199,031 $ 1,219,712 $ 1,197,744
6/30/2003 $ 1,220,974 $ 1,240,325 $ 1,231,400
7/31/2003 $ 1,278,970 $ 1,302,218 $ 1,294,448
8/31/2003 $ 1,347,011 $ 1,351,702 $ 1,358,135
9/30/2003 $ 1,332,059 $ 1,336,157 $ 1,347,813
10/31/2003 $ 1,459,004 $ 1,445,054 $ 1,450,920
11/30/2003 $ 1,519,991 $ 1,500,544 $ 1,505,040
12/31/2003 $ 1,580,182 $ 1,554,864 $ 1,569,757
1/31/2004 $ 1,625,060 $ 1,608,662 $ 1,616,692
2/28/2004 $ 1,652,686 $ 1,639,870 $ 1,650,158
3/31/2004 $ 1,670,039 $ 1,662,500 $ 1,663,194
4/30/2004 $ 1,608,748 $ 1,576,549 $ 1,602,654
5/31/2004 $ 1,624,032 $ 1,595,625 $ 1,613,552
6/30/2004 $ 1,693,540 $ 1,676,683 $ 1,690,518
7/31/2004 $ 1,622,073 $ 1,599,556 $ 1,618,671
8/31/2004 $ 1,606,825 $ 1,615,231 $ 1,615,110
9/30/2004 $ 1,672,705 $ 1,679,195 $ 1,680,845
10/31/2004 $ 1,707,665 $ 1,705,222 $ 1,699,334
11/30/2004 $ 1,845,473 $ 1,856,475 $ 1,841,739
12/31/2004 $ 1,905,834 $ 1,900,845 $ 1,893,860
</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 2/28/03.
The graph illustrates comparative performance for $1,000,000 invested in shares
of the JPMorgan Multi-Manager Small Cap Value Fund, Russell 2000 Value Index,
and Lipper Small-Cap Value Funds Index from February 28, 2003 to 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 Value Index measures the performance of those Russell 2000
companies with lower price-to-book ratios and lower forecasted growth values.
The Lipper Small-Cap Value Funds Index represents the total returns of the funds
in the indicated category, as defined by Lipper, Inc. Investors cannot invest
directly in an index.
Shares have a $1,000,000 minimum initial deposit and carry no sales charge.
Certain fees and expenses of the Fund are currently being waived and reimbursed
as described in the prospectus. Had the expenses not been subsidized or waived,
returns would have been lower. Also, all performance shown in this section does
not reflect the deduction of taxes that a shareholder would pay on fund
distributions or redemption of fund shares.
8
<Page>
JPMORGAN MULTI-MANAGER SMALL CAP GROWTH FUND
Portfolio of Investments
As of December 31, 2004
(Amounts in thousands)
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------
Long-Term Investments -- 98.9%
COMMON STOCKS -- 98.0%
Advertising -- 0.6%
65 aQuantive, Inc. * $ 583
17 Greenfield Online, Inc. * 374
10 Lamar Advertising Co., Class A * 444
22 Ventiv Health, Inc. * 445
----------
1,846
Aerospace -- 0.7%
28 Engineered Support Systems, Inc. 1,628
9 MTC Technologies, Inc. * 304
----------
1,932
Airlines -- 0.5%
39 JetBlue Airways Corp. * 908
32 Pinnacle Airlines Corp. * 447
----------
1,355
Apparel -- 0.7%
7 Deckers Outdoor * 312
16 DHB Industries, Inc. * 307
19 Phillips-Van Heusen Corp. 510
37 The Warnaco Group, Inc. * 796
----------
1,925
Automotive -- 0.6%
34 American Axle & Manufacturing Holdings, Inc. 1,042
22 Wabash National Corp. * 603
----------
1,645
Banking -- 4.1%
56 East-West Bancorp, Inc. 2,370
11 Harbor Florida Bancshares, Inc. 377
36 Investors Financial Services Corp. 1,774
0^^ New York Community Bancorp, Inc. 0^^
59 Southwest Bancorp of Texas, Inc. 1,365
112 UCBH Holdings, Inc. 5,128
14 Wintrust Financial Corp. 779
----------
11,793
Biotechnology -- 3.6%
14 Affymetrix, Inc. * 508
32 Charles River Laboratories International, Inc. * 1,478
55 Corgentech, Inc. * 457
24 ICOS Corp. * 690
64 Incyte Corp. * 643
33 Integra LifeSciences Holdings Corp. * 1,227
11 Invitrogen Corp. * 765
14 Lifecell Corp. 144
20 Martek Biosciences Corp. * 1,019
50 Maxygen, Inc. * 641
73 Protein Design Labs, Inc. * 1,513
18 SFBC International, Inc. * 699
32 Telik, Inc. * 603
28 Third Wave Technologies, Inc. * 237
----------
10,624
</Table>
See notes to financial statements.
9
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------
Long-Term Investments -- Continued
Broadcasting/Cable -- 0.1%
14 Salem Communications Corp., Class A * $ 352
Business Services -- 6.9%
16 Advance America Cash Advance Centers, Inc. * 376
49 BearingPoint, Inc. * 394
8 Charles River Associates, Inc. * 384
13 Chemed Corp. 884
19 ChoicePoint, Inc. * 871
70 Cognizant Technology Solutions Corp., Class A * 2,941
58 DiamondCluster International, Inc., Class A * 835
58 Digital River, Inc. * 2,406
17 Fair Isaac Corp. 638
26 Hewitt Associates, Inc., Class A * 837
21 Huron Consulting Group, Inc. * 477
50 Korn/Ferry International * 1,040
62 Labor Ready, Inc. * 1,046
57 LECG Corp * 1,071
21 PRA International * 508
50 Resources Connection, Inc. * 2,719
19 Robert Half International, Inc. 554
32 The Corporate Executive Board Co. 2,135
----------
20,116
Chemicals -- 0.3%
104 PolyOne Corp. * 944
Computer Networks -- 1.3%
32 Avocent Corp. * 1,285
108 Brocade Communications Systems, Inc. * 829
17 Factset Research Systems, Inc. 976
53 Foundry Networks, Inc. * 703
----------
3,793
Computer Software -- 6.9%
19 Altiris, Inc. * 677
35 Anteon International Corp. * 1,478
60 CACI International, Inc., Class A * 4,054
5 Catapult Communications Corp. 115
17 Cognos, Inc. (Canada) * 741
32 DSP Group, Inc. * 719
121 Epicor Software Corp. * 1,701
43 FileNet Corp. * 1,111
25 Hyperion Solutions Corp. * 1,146
51 Informatica Corp. * 417
59 Jack Henry & Associates, Inc. 1,184
39 Magma Design Automation, Inc. * 484
17 Merge Technologies, Inc. * 388
51 Red Hat, Inc. * 677
72 RSA Security, Inc. * 1,434
14 SafeNet, Inc. * 500
54 Secure Computing Corp. * 535
27 SERENA Software, Inc. * 576
2 The9 LTD (China), ADR * 54
32 THQ, Inc. * 729
</Table>
See notes to financial statements.
10
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------
Long-Term Investments -- Continued
Computer Software -- Continued
20 Ulticom, Inc. * $ 314
20 Verint Systems, Inc. * 730
35 Verisity LTD * 284
----------
20,048
Computers/Computer Hardware -- 0.7%
67 Dot Hill Systems Corp. * 528
33 Mobility Electronics, Inc. * 282
34 RadiSys Corp. * 659
12 Radvision LTD (Israel) * 162
14 Synaptics, Inc. * 440
----------
2,071
Construction -- 1.7%
14 Desarrolladora Homex S.A. de C.V. (Mexico), ADR * 319
51 Dycom Industries, Inc. * 1,567
11 EMCOR Group, Inc. * 501
24 Hovnanian Enterprises, Inc., Class A * 1,198
2 NVR, Inc. * 1,308
----------
4,893
Construction Materials -- 0.6%
18 Beacon Roofing Supply, Inc. * 363
13 Genlyte Group, Inc. * 1,131
6 Trex Co., Inc. * 299
----------
1,793
Consumer Products -- 0.5%
22 TurboChef Technologies, Inc. * 498
39 Wolverine World Wide, Inc. 1,222
----------
1,720
Consumer Services -- 1.3%
67 Corinthian Colleges, Inc. * 1,260
20 Corrections Corp of America * 796
10 iPayment Holdings, Inc. * 515
26 Laureate Education, Inc. * 1,138
----------
3,709
Distribution -- 0.5%
26 Central European Distribution Corp. (Poland) * 764
24 Hughes Supply, Inc. 778
----------
1,542
Electronics/Electrical Equipment -- 2.4%
31 Ametek, Inc. 1,100
53 Benchmark Electronics, Inc. * 1,804
82 GrafTech International LTD * 779
33 Photon Dynamics, Inc. * 801
88 Symbol Technologies, Inc. 1,517
75 TTM Technologies, Inc. * 880
----------
6,881
Engineering Services -- 0.7%
29 Chicago Bridge & Iron Co., N.Y. Registered Shares
(The Netherlands) 1,149
20 Jacobs Engineering Group, Inc. * 962
----------
2,111
</Table>
See notes to financial statements.
11
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------
Long-Term Investments -- Continued
Entertainment/Leisure -- 2.0%
23 Boyd Gaming Corp. $ 977
14 DreamWorks Animation SKG, Inc., Class A * 532
32 GTECH Holdings Corp. 825
46 Lions Gate Entertainment Corp. (Canada) * 485
42 Pinnacle Entertainment, Inc. * 837
42 Station Casinos, Inc. 2,275
----------
5,931
Environmental Services -- 0.5%
28 Metal Management, Inc. 747
22 Waste Connections, Inc. * 758
----------
1,505
Financial Services -- 3.3%
27 Affiliated Managers Group, Inc. * 1,833
28 BankUnited Financial Corp., Class A * 895
23 Calamos Asset Management, Inc., Class A * 619
105 CapitalSource, Inc. * 2,698
83 Collegiate Funding Services LLC * 1,165
12 Eaton Vance Corp. 609
22 Euronet Worldwide, Inc. * 562
11 Portfolio Recovery Associates, Inc. * 453
15 The First Marblehead Corp. * 821
----------
9,655
Food/Beverage Products -- 1.2%
27 Constellation Brands, Inc., Class A * 1,242
40 Cott Corp. (Canada) * 977
14 Hansen Natural Corp. * 508
16 The J.M. Smucker Co. 774
----------
3,501
Health Care/Health Care Services -- 13.0%
40 Advanced Medical Optics, Inc. * 1,641
28 Advanced Neuromodulation Systems, Inc. * 1,095
11 American Healthways, Inc. * 357
59 Animas Corp. * 919
26 Arrow International, Inc. 799
62 Arthrocare Corp. * 1,985
7 Beckman Coulter, Inc. 438
10 Centene Corp. * 285
32 Community Health Systems, Inc. * 898
14 Cooper Companies, Inc. 988
77 Covance, Inc. * 2,963
44 Cutera, Inc. * 545
14 Dade Behring Holdings, Inc. * 773
39 DaVita, Inc. * 1,545
9 HealthExtras, Inc. * 142
52 Inamed Corp. * 3,307
9 Kensey Nash Corp. * 316
20 Kindred Healthcare, Inc. * 608
13 Kyphon, Inc. * 327
27 LabOne, Inc. * 851
9 Laserscope * 338
58 LCA-Vision, Inc. 1,351
</Table>
See notes to financial statements.
12
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------
Long-Term Investments -- Continued
Health Care/Health Care Services -- Continued
20 LifePoint Hospitals, Inc. * $ 689
57 Odyssey Healthcare, Inc. * 780
17 PacifiCare Health Systems * 934
32 Patterson Companies, Inc. * 1,406
53 Pediatrix Medical Group, Inc. * 3,389
9 ResMed, Inc. * 460
9 Respironics, Inc. * 465
43 Select Medical Corp. 764
37 Symbion, Inc. * 806
62 United Surgical Partners International, Inc. * 2,594
102 VCA Antech, Inc. * 1,999
23 WellChoice, Inc. * 1,252
----------
38,009
Internet Services/Software -- 2.4%
105 Agile Software Corp. * 858
20 Arbinet-thexchange, Inc. * 496
29 Ask Jeeves, Inc. * 773
13 Audible, Inc. 326
22 China Finance Online Co., LTD (China), ADR * 244
9 CTRIP.COM International (China), ADR * 428
15 eLong, Inc. (China), ADR * 283
13 eResearch Technology, Inc. * 201
106 Harris Interactive, Inc. * 840
29 Monster Worldwide, Inc. * 990
25 Rightnow Technologies, Inc. * 396
100 Sapient Corp. * 793
7 Sohu.com, Inc. (China) * 131
27 Valueclick, Inc. * 363
----------
7,122
Investment Company -- 0.2%
46 Apollo Investment Corp. * 691
Machinery & Engineering Equipment -- 1.9%
21 Bucyrus International, Inc., Class A 841
71 Cognex Corp. 1,987
31 Graco, Inc. 1,150
16 The Middleby Corp. 817
25 UNOVA, Inc. * 624
----------
5,419
Manufacturing -- 2.1%
7 A.S.V., Inc. * 342
21 Briggs & Stratton Corp. 858
33 Ceradyne, Inc. * 1,873
16 Clarcor, Inc. 865
20 ESCO Technologies, Inc. * 1,564
15 Lincoln Electric Holdings, Inc. 516
----------
6,018
Multi-Media -- 0.5%
90 Cumulus Media, Inc., Class A * 1,352
</Table>
See notes to financial statements.
13
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------
Long-Term Investments -- Continued
Oil & Gas -- 5.2%
21 Bill Barrett Corp. * $ 675
14 Cabot Oil & Gas Corp. 633
41 Carrizo Oil & Gas * 462
33 Grant Prideco, Inc. * 658
26 National-Oilwell, Inc. * 924
187 Newpark Resources, Inc. * 965
55 Patina Oil & Gas Corp. 2,078
90 Patterson-UTI Energy, Inc. 1,745
5 Petroleum Development Corp. * 174
38 Pride International, Inc. * 776
66 Quicksilver Resources, Inc. * 2,438
52 Tetra Technologies, Inc. * 1,469
44 Tidewater, Inc. 1,553
11 Veritas DGC, Inc. * 239
11 Whiting Petroleum Corp. * 325
----------
15,114
Pharmaceuticals -- 4.9%
6 Able Laboratories, Inc. * 131
39 Alkermes, Inc. * 555
19 Amylin Pharmaceuticals, Inc. * 437
22 Anika Therapeutics * 197
15 Bone Care International, Inc. * 409
17 Connetics Corp. * 403
35 Eon Labs, Inc. * 948
15 Eyetech Pharmaceuticals, Inc. * 660
62 First Horizon Pharmaceutical Corp. * 1,420
33 Inkine Pharmaceutical Company, Inc. * 177
52 Isis Pharmaceuticals, Inc. * 304
48 IVAX Corp. * 756
8 Kos Pharmaceuticals, Inc. * 305
45 Medicines Co. * 1,287
11 Medicis Pharmaceutical Corp., Class A 391
43 MGI Pharma, Inc. * 1,210
27 Nabi Biopharmaceuticals * 393
15 Neurocrine Biosciences, Inc. * 749
25 NPS Pharmaceuticals, Inc. * 464
36 Penwest Pharmaceuticals Co. * 425
7 Salix Pharmaceuticals, Inc. * 127
18 Taro Pharmaceutical Industries LTD (Israel) * 626
8 United Therapeutics Corp. * 348
8 Usna Health Sciences, Inc. * 280
33 Vicuron Pharmaceuticals, Inc. * 581
25 Zymogenetics, Inc. * 577
----------
14,160
Real Estate -- 0.0% ^
5 Housevalues, Inc. * 69
Real Estate Investment Trust -- 1.5%
13 American Financial Realty Trust 215
38 BioMed Realty Trust, Inc. 844
9 Government Properties Trust, Inc. 92
18 Highland Hospitality Corp. 197
</Table>
See notes to financial statements.
14
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------
Long-Term Investments -- Continued
Real Estate Investment Trust -- Continued
24 The Mills Corp. $ 1,517
54 Ventas, Inc. 1,472
----------
4,337
Restaurants/Food Services -- 4.5%
28 Applebee's International, Inc. 728
22 Brinker International, Inc. * 777
100 CKE Restaurants, Inc. * 1,450
17 P.F. Chang's China Bistro, Inc. * 964
24 Panera Bread Co., Class A * 972
119 Rare Hospitality International, Inc. * 3,792
137 Ruby Tuesday, Inc. 3,583
29 Texas Roadhouse, Inc., Class A * 851
----------
13,117
Retailing -- 5.6%
48 Aaron Rents, Inc. 1,208
16 Advanced Auto Parts, Inc. * 692
92 Aeropostale, Inc. * 2,696
24 AnnTaylor Stores Corp. * 517
16 Build-A-Bear Workshop, Inc. * 557
59 Chico's FAS, Inc. * 2,673
22 Dollar Tree Stores, Inc. * 641
37 Electronics Boutique Holdings Corp. * 1,602
30 Guitar Center, Inc. * 1,565
30 Michaels Stores, Inc. 902
44 Pacific Sunwear of California, Inc. * 968
43 PETCO Animal Supplies, Inc. * 1,706
16 Ross Stores, Inc. 468
----------
16,195
Retailing - Food & Staples -- 0.5%
22 BJ's Wholesale Club, Inc. * 644
26 Performance Food Group Co. * 686
----------
1,330
Semi-Conductors -- 6.5%
31 Actel Corp. * 544
22 ATMI, Inc. * 493
34 August Technology Corp. * 360
19 Cree, Inc. * 741
53 Cymer, Inc. * 1,575
46 Exar Corp. * 656
66 Helix Technology Corp. 1,144
31 International Rectifier Corp. * 1,399
17 Lam Research Corp. * 505
17 M-Systems Flash Disk Pioneers LTD (Israel) * 335
203 Microsemi Corp. * 3,533
30 NVIDIA Corp. * 702
43 O2Micro International LTD (Cayman Islands) * 495
4 Portalplayer, Inc. * 101
62 Power Integrations, Inc. * 1,232
25 Powersdsine LTD (Israel) * 346
37 Rudolph Technologies, Inc. * 630
9 SigmaTel, Inc. * 334
</Table>
See notes to financial statements.
15
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------
Long-Term Investments -- Continued
Semi-Conductors -- Continued
145 Silicon Image, Inc. * $ 2,382
19 Standard Microsystems Corp. * 333
26 Tessera Technologies, Inc. * 960
12 Veeco Instruments, Inc. * 259
----------
19,059
Shipping/Transportation -- 0.6%
27 UTI Worldwide, Inc. (Virgin Islands) 1,818
Steel -- 0.4%
28 Steel Dynamics, Inc. 1,045
Telecommunications -- 3.3%
111 Aeroflex, Inc. * 1,349
22 Alvarion LTD (Israel) * 289
90 American Tower Corp., Class A * 1,653
10 Applied Signal Technology, Inc. 351
27 Callwave, Inc. * 415
22 Ixia * 361
59 Nextel Partners, Inc., Class A * 1,144
17 Sierra Wireless, Inc. (Canada) * 302
90 SpectraLink Corp. 1,282
20 Spectrasite, Inc. * 1,146
42 Tekelec * 863
13 Viasat, Inc. * 314
----------
9,469
Telecommunications Equipment -- 1.4%
21 AudioCodes LTD (Israel) * 341
32 C-COR.net Corp. * 299
50 Comverse Technology, Inc. * 1,223
33 Ditech Communications Corp. * 492
76 Polycom, Inc. * 1,765
----------
4,120
Transportation -- 1.8%
47 EGL, Inc. * 1,393
19 JB Hunt Transport Services, Inc. 851
42 Landstar System, Inc. * 3,084
----------
5,328
--------------------------------------------------------------------
Total Common Stocks 285,457
(Cost $232,998)
--------------------------------------------------------------------
INVESTMENT COMPANY -- 0.9%
20 iShares Russell 2000 Index Fund 2,616
(Cost $2,600)
- --------------------------------------------------------------------------------
Total Long-Term Investments -- 98.9% 288,073
(Cost $235,598)
- --------------------------------------------------------------------------------
</Table>
See notes to financial statements.
16
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------
Short-Term Investment -- 2.2%
MONEY MARKET FUND -- 2.2%
6,321 JPMorgan Prime Money Market Fund (a) $ 6,321
(Cost $6,321)
- --------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 101.1% $ 294,394
(COST $241,919)
LIABILITIES IN EXCESS OF OTHER ASSETS -- (1.1)% (3,250)
- --------------------------------------------------------------------------------
NET ASSETS -- 100.0% $ 291,144
- --------------------------------------------------------------------------------
</Table>
Percentages indicated are based on net assets of $291,144.
See notes to financial statements.
17
<Page>
JPMORGAN MULTI-MANAGER SMALL 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 -- 94.8%
Advertising -- 0.1%
7 aQuantive, Inc. * $ 63
4 R.H. Donnelley Corp. * 243
----------
306
Aerospace -- 1.4%
7 AAR Corp. *@ 94
18 Aviall, Inc. * 407
7 Curtiss-Wright Corp. 419
0^^ Ducommun, Inc. * 6
11 Esterline Technologies Corp. * 346
36 Goodrich Corp. 1,162
5 HEICO Corp. 120
13 Kaman Corp., Class A 168
54 Moog, Inc., Class A * 2,442
9 Orbital Sciences Corp. * 101
4 Triumph Group, Inc. * 162
----------
5,427
Agricultural Production/Services -- 0.0%^
9 DIMON, Inc. 63
Airlines -- 0.3%
8 Alaska Air Group, Inc. * 271
9 Continental Airlines, Inc., Class B * 126
28 ExpressJet Holdings, Inc. * 358
9 Northwest Airlines Corp. * 96
22 SkyWest, Inc. 446
----------
1,297
Apparel -- 1.9%
10 Kellwood Co. 352
5 Kenneth Cole Productions, Inc., Class A 154
109 Phillips-Van Heusen Corp. 2,946
7 Quiksilver, Inc. * 209
181 Russell Corp. 3,524
9 Tommy Hilfiger Corp. (Hong Kong) * 100
----------
7,285
Appliances & Household Durables -- 0.1%
7 Applica, Inc. * 43
0^^ Furniture Brands International, Inc. 10
23 Jacuzzi Brands, Inc. * 200
----------
253
Automotive -- 1.2%
10 Aftermarket Technology Corp. * 164
4 American Axle & Manufacturing Holdings, Inc. 126
15 Hayes Lemmerz International, Inc. * 128
4 Keystone Automotive Industries, Inc. * 84
10 Lithia Motors, Inc., Class A 276
12 Oshkosh Truck Corp. 807
3 Sonic Automotive, Inc. 62
4 Superior Industries International, Inc. 119
29 Tenneco Automotive, Inc. * 491
</Table>
See notes to financial statements.
18
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------
Long-Term Investments -- Continued
Automotive -- Continued
24 Tower Automotive, Inc. * $ 57
46 Visteon Corp. 449
45 Winnebago Industries, Inc. 1,758
----------
4,521
Banking -- 5.6%
4 ABC Bancorp 74
5 Amcore Financial, Inc. 148
3 AmericanWest Bancorp * 57
24 Astoria Financial Corp. 947
1 Bancfirst Corp. 39
1 Bank of the Ozarks, Inc. 20
20 BankAtlantic Bancorp, Inc., Class A 390
2 Banner Corp. 62
170 Brookline Bancorp, Inc. 2,770
1 Capital Corp of the West 38
4 Capitol Bancorp LTD 144
4 Cathay General Bancorp 165
6 Central Pacific Financial Corp. 224
10 Chemical Financial Corp. 446
2 City Holding Co. 58
4 Columbia Banking Systems, Inc. 106
1 Commercial Capital Bancorp, Inc. 20
64 Commercial Federal Corp. 1,887
14 Community Bank System, Inc. 407
4 Community Trust Bancorp, Inc. 135
16 Corus Bankshares, Inc. 773
11 Cullen/Frost Bankers, Inc. 520
10 Dime Community Bancshares 175
8 EuroBancshares, Inc. (Puerto Rico) * 176
0^^ Financial Institutions, Inc. 2
0^^ First Citizens BancShares, Inc., Class A 15
3 First Financial Holdings, Inc. 85
7 First Niagara Financial Group, Inc. 95
1 First Oak Brook Bancshares, Inc. 29
7 First Republic Bank 366
5 FirstFed Financial Corp. * 254
10 Flagstar Bancorp, Inc. 231
27 Gold Banc Corp., Inc. 387
1 Great Southern Bancorp, Inc. 21
13 Greater Bay Bancorp 351
22 Hanmi Financial Corp. 783
5 Hibernia Corp., Class A 145
21 Hudson River Bancorp 420
12 IBERIABANK Corp. 776
12 Independent Bank Corp. - Massachusetts 412
13 Independent Bank Corp. - Michigan 385
15 Irwin Financial Corp. 417
0^^ Lakeland Financial Corp. 4
9 MAF Bancorp, Inc. 399
0^^ MainSource Financial Group, Inc. 12
3 MB Financial, Inc. 105
3 MBT Financial Corp. 72
</Table>
See notes to financial statements.
19
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------
Long-Term Investments -- Continued
Banking -- Continued
4 Mercantile Bank Corp. $ 173
10 Mid-State Bancshares 292
0^^ Nara Bancorp, Inc. 9
0^^ Old Second Bancorp, Inc. 6
9 Oriental Financial Group, Inc. (Puerto Rico) 255
7 Partners Trust Financial Group, Inc. 78
0^^ Peoples Bancorp, Inc. 12
6 Prosperity Bancshares, Inc. 164
8 Provident Bankshares Corp. 280
14 R&G Financial Corp. (Puerto Rico), Class B 535
36 Republic Bancorp, Inc. 544
1 Republic Bancorp, Inc., Class A 32
0^^ Royal Bancshares of Pennsylvania, Class A 8
0^^ SCBT Financial Corp. 14
4 Silicon Valley Bancshares * 184
4 Simmons First National Corp., Class A 122
4 Southside Bancshares, Inc. 80
0^^ Southwest Bancorp, Inc. 5
5 State Financial Services Corp., Class A 147
7 Sterling Financial Corp. - Pennsylvania 206
19 Sterling Financial Corp. - Washington * 739
4 Summit Bancshares, Inc. 158
2 Sun Bancorp, Inc. * 54
5 Taylor Capital Group, Inc. 161
17 The Colonial BancGroup, Inc. 363
7 TierOne Corp. 184
3 TriCo Bancshares 77
5 Umpqua Holdings Corp. 129
10 United Bankshares, Inc. 393
17 W Holding Co., Inc. (Puerto Rico) 385
23 West Coast Bancorp 582
1 Western Sierra Bancorp * 54
----------
21,972
Biotechnology -- 2.6%
0^^ Alexion Pharmaceuticals, Inc. * 8
7 Applera Corp. - Celera Genomics Group * 102
4 Bio-Rad Laboratories, Inc., Class A * 212
119 Cambrex Corp. 3,222
3 Cell Genesys, Inc. * 28
10 Cytokinetics, Inc. * 103
50 Genelabs Technologies * 60
12 Human Genome Sciences, Inc. * 145
100 Pharmaceutical Product Development, Inc. * 4,125
83 Serologicals Corp. * 1,838
8 Telik, Inc. * 160
----------
10,003
Broadcasting/Cable -- 0.3%
51 Charter Communications, Inc., Class A * 113
41 Mediacom Communications Corp., Class A * 254
0^^ Pulitzer, Inc. 26
103 Sinclair Broadcast Group, Inc., Class A 951
----------
1,344
</Table>
See notes to financial statements.
20
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------
Long-Term Investments -- Continued
Business Services -- 1.9%
79 Administaff, Inc. * $ 995
1 Banta Corp. 58
13 Century Business Services, Inc. * 57
0^^ Charles River Associates, Inc. * 19
4 Clark, Inc. * 56
0^^ Consolidated Graphics, Inc. * 18
224 Convergys Corp. * 3,350
12 Dollar Thrifty Automotive Group, Inc. * 353
14 Gartner, Inc., Class A * 176
2 infoUSA, Inc. * 22
42 Kelly Services, Inc., Class A 1,280
1 MAXIMUS, Inc. * 40
9 Metris Companies, Inc. * 110
2 NCO Group, Inc. * 62
5 Parexel International Corp. * 102
4 PDI, Inc. * 96
24 Spherion Corp. * 202
18 TeleTech Holdings, Inc. * 170
9 Tyler Technologies, Inc. * 74
0^^ Vertrue, Inc. * 15
0^^ Volt Information Sciences, Inc. * 12
----------
7,267
Chemicals -- 2.6%
13 Crompton Corp. 149
12 Cytec Industries, Inc. 627
27 Engelhard Corp. 827
11 FMC Corp. * 536
16 Georgia Gulf Corp. 817
12 HB Fuller Co. 354
31 Hercules, Inc. * 453
0^^ Kronos Worldwide, Inc. 7
4 Lyondell Chemical Co. 104
5 Minerals Technologies, Inc. 320
9 NewMarket Corp. * 183
8 Octel Corp. (United Kingdom) 162
3 OM Group, Inc. * 84
68 PolyOne Corp. * 616
156 RPM International, Inc. 3,074
7 Valhi, Inc. 116
25 Valspar Corp. 1,265
31 W.R. Grace & Co. * 421
16 Wellman, Inc. 167
----------
10,282
Computer Networks -- 0.2%
31 Adaptec, Inc. * 231
6 Anixter International, Inc. 220
4 Black Box Corp. 197
25 McDATA Corp., Class A * 150
----------
798
Computer Software -- 2.2%
3 CACI International, Inc., Class A * 177
176 Cadence Design Systems, Inc. * 2,424
</Table>
See notes to financial statements.
21
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------
Long-Term Investments -- Continued
Computer Software -- Continued
16 Ciber, Inc. * $ 157
6 Computer Programs & Systems, Inc. 130
6 DSP Group, Inc. * 130
5 E.piphany, Inc. * 24
49 Global Payments, Inc. 2,873
0^^ Hyperion Solutions Corp. * 5
2 Intergraph Corp. * 65
0^^ Magma Design Automation, Inc. * 5
4 ManTech International Corp., Class A * 104
6 Manugistics Group, Inc. * 18
5 NetIQ Corp. * 65
39 Parametric Technology Corp. * 228
13 Per-Se Technologies, Inc. * 199
19 Perot Systems Corp., Class A * 308
7 Progress Software Corp. * 154
5 SafeNet, Inc. * 185
64 Sybase, Inc. * 1,281
1 SYNNEX Corp. * 31
----------
8,563
Computers/Computer Hardware -- 1.5%
16 Agilysys, Inc. 274
153 Dot Hill Systems Corp. * 1,201
6 Electronics for Imaging, Inc. * 106
167 Emulex Corp. * 2,814
29 Gateway, Inc. * 174
10 Hutchinson Technology, Inc. * 346
10 Imagistics International, Inc. * 343
4 Komag, Inc. * 66
9 PalmOne, Inc. * 293
29 Quantum Corp. * 76
5 RadiSys Corp. * 90
57 Silicon Graphics, Inc. * 99
9 Sykes Enterprises, Inc. * 59
----------
5,941
Construction -- 3.0%
11 Apogee Enterprises, Inc. 143
3 Beazer Homes USA, Inc. 366
1 Dycom Industries, Inc. * 37
1 EMCOR Group, Inc. * 63
81 Hovnanian Enterprises, Inc., Class A * 3,992
7 Levitt Corp., Class A 201
32 Meritage Corp. * 3,584
41 Standard-Pacific Corp. 2,655
16 WCI Communities, Inc. * 482
----------
11,523
Construction Materials -- 0.5%
4 Ameron International Corp. 133
0^^ Eagle Materials, Inc. 26
1 Genlyte Group, Inc. * 120
4 NCI Building Systems, Inc. * 161
7 Texas Industries, Inc. 437
</Table>
See notes to financial statements.
22
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------
Long-Term Investments -- Continued
Construction Materials -- Continued
14 Universal Forest Products, Inc. $ 611
15 USG Corp. * 600
----------
2,088
Consumer Products -- 2.9%
19 American Greetings Corp., Class A 477
79 Chattem, Inc. * 2,624
0^^ CSS Industries, Inc. 5
4 Department 56, Inc. * 62
30 Harman International Industries, Inc. 3,860
10 Kimball International, Class B 153
12 Playtex Products, Inc. * 92
18 Revlon, Inc., Class A * 42
30 The Scotts Co., Class A * 2,213
6 Toro Co. 472
13 Tupperware Corp. 267
21 Universal Corp. 1,005
3 Water Pik Technologies, Inc. * 53
----------
11,325
Consumer Services -- 1.6%
8 Alderwoods Group, Inc. (Canada) * 88
4 Arbitron, Inc. * 161
37 Regis Corp. 1,691
16 Rent-Way, Inc. * 126
84 Stewart Enterprises, Inc., Class A * 588
9 The GEO Group, Inc. * 245
182 United Rentals, Inc. * 3,447
----------
6,346
Distribution -- 0.7%
5 Building Material Holding Corp. 199
67 Watsco, Inc. 2,356
----------
2,555
Electronics/Electrical Equipment -- 3.9%
5 Analogic Corp. 228
5 Bel Fuse, Inc., Class B 152
9 Benchmark Electronics, Inc. * 319
126 Checkpoint Systems, Inc. * 2,269
14 CTS Corp. 190
4 Electro Scientific Industries, Inc. * 85
9 Encore Wire Corp. * 120
81 Flir Systems, Inc. * 5,149
10 Integrated Electrical Services, Inc. * 50
4 MTS Systems Corp. 142
72 Paxar Corp. * 1,585
11 Rayovac Corp. * 342
51 Sanmina-SCI Corp. * 432
10 Stoneridge, Inc. * 153
120 Symbol Technologies, Inc. 2,068
6 Sypris Solutions, Inc. 84
1 Trimble Navigation LTD * 30
4 TTM Technologies, Inc. * 47
</Table>
See notes to financial statements.
23
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------
Long-Term Investments -- Continued
Electronics/Electrical Equipment -- Continued
99 Vishay Intertechnology, Inc. * $ 1,481
7 Watts Water Technologies, Inc., Class A 226
----------
15,152
Engineering Services -- 0.1%
6 URS Corp. * 177
7 Washington Group International, Inc. * 297
----------
474
Entertainment/Leisure -- 1.8%
6 Ameristar Casinos, Inc. 237
5 Argosy Gaming Co. * 215
17 Aztar Corp. * 580
5 Boyd Gaming Corp. 200
24 Callaway Golf Co. 327
4 Isle of Capri Casinos, Inc. * 113
172 K2, Inc. * 2,736
7 Navigant International, Inc. * 86
13 Six Flags, Inc. * 69
70 WMS Industries, Inc. * 2,358
----------
6,921
Environmental Services -- 0.2%
6 Mine Safety Appliances Co. 279
12 Republic Services, Inc. 406
1 Tetra Tech, Inc. * 20
----------
705
Financial Services -- 6.3%
57 Accredited Home Lenders Holding Co. * 2,837
10 Advanta Corp., Class B 238
87 AmeriCredit Corp. * 2,134
120 BankUnited Financial Corp., Class A * 3,837
10 CompuCredit Corp. * 279
42 Eaton Vance Corp. 2,201
1 eSpeed, Inc., Class A * 7
1 Greenhill & Co., Inc. 14
7 Investment Technology Group, Inc. * 144
0^^ ITLA Capital Corp. * 18
76 Jefferies Group, Inc. 3,041
17 Knight Trading Group, Inc., Class A * 183
7 LaBranche & Co., Inc. * 61
11 Ocwen Financial Corp. * 103
3 Piper Jaffray Companies * 125
171 Raymond James Financial, Inc. 5,282
12 Safeguard Scientifics, Inc. * 25
4 Student Loan Corp. 810
174 The BISYS Group, Inc. * 2,854
18 World Acceptance Corp. * 495
4 WSFS Financial Corp. 247
----------
24,935
Food/Beverage Products -- 0.3%
16 Chiquita Brands International, Inc. 341
5 Corn Products International, Inc. 246
1 Flowers Foods, Inc. 43
</Table>
See notes to financial statements.
24
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------
Long-Term Investments -- Continued
Food/Beverage Products -- Continued
0^^ J & J Snack Foods Corp. $ 15
4 Ralcorp Holdings, Inc. 172
4 Sanderson Farms, Inc. 160
0^^ Sensient Technologies Corp. 10
----------
987
Health Care/Health Care Services -- 7.1%
153 Accredo Health, Inc. * 4,250
61 American Healthways, Inc. * 2,022
263 Beverly Enterprises, Inc. * 2,407
10 CONMED Corp. * 270
69 Cooper Companies, Inc. 4,898
90 Covance, Inc. * 3,484
5 CTI Molecular Imaging, Inc. * 68
11 First Health Group Corp. * 210
11 Gentiva Health Services * 181
111 Health Management Associates, Inc., Class A 2,513
0^^ Invacare Corp. 5
18 Kindred Healthcare, Inc. * 542
6 Kyphon, Inc. * 142
3 Magellan Health Services, Inc. * 106
75 Manor Care, Inc. 2,643
11 NeuroMetrix, Inc. * 123
74 Omnicare, Inc. 2,574
12 Palatin Technologies, Inc. * 32
8 Pediatrix Medical Group, Inc. * 512
4 Province Healthcare Co. * 96
13 PSS World Medical, Inc. * 163
3 Res-Care, Inc. * 50
0^^ Sierra Health Services, Inc. * 22
16 Sola International, Inc. * 435
5 Steris Corp. * 119
0^^ SurModics, Inc. * 7
----------
27,874
Hotels/Other Lodging -- 0.3%
45 Hilton Hotels Corp. 1,031
6 La Quinta Corp. * 58
----------
1,089
Industrial Components -- 0.1%
20 Lennox International, Inc. 413
Insurance -- 4.9%
78 American Financial Group, Inc. 2,448
12 AmerUs Group Co. 544
12 Argonaut Group, Inc. * 256
0^^ Baldwin & Lyons, Inc., Class B 9
49 Commerce Group, Inc. 2,973
43 Delphi Financial Group, Inc., Class A 1,994
5 Direct General Corp. 161
6 Infinity Property & Casualty Corp. 222
10 LandAmerica Financial Group, Inc. 561
0^^ Nationwide Financial Services, Class A 11
3 NYMAGIC, Inc. 66
</Table>
See notes to financial statements.
25
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------
Long-Term Investments -- Continued
Industrial Components -- Continued
63 Philadelphia Consolidated Holding Corp. * $ 4,172
48 PMA Capital Corp., Class A * 493
1 ProAssurance Corp. * 23
21 Protective Life Corp. 888
4 RLI Corp. 166
23 SAFECO Corp. 1,212
9 Safety Insurance Group, Inc. 268
9 Selective Insurance Group 380
4 State Auto Financial Corp. 109
17 Stewart Information Services Corp. 696
4 The Midland Co. 138
0^^ The Navigators Group, Inc. * 9
5 The Phoenix Companies, Inc. 65
9 UICI 298
1 United Fire & Casualty Co. 20
7 Universal American Financial Corp. * 108
13 Zenith National Insurance Corp. 663
----------
18,953
Internet Services/Software -- 0.4%
3 AsiaInfo Holdings, Inc. (China) * 20
29 EarthLink, Inc. * 329
4 Harris Interactive, Inc. * 30
34 Homestore, Inc. * 103
0^^ Internet Security Systems, Inc. * 7
102 iPass, Inc. * 752
0^^ ProQuest Co. * 12
6 Redback Networks, Inc. * 34
8 United Online, Inc. * 88
----------
1,375
Investment Company -- 0.1%
20 Technology Investment Capital Corp. * 300
Leasing -- 0.2%
3 Amerco, Inc. * 133
12 GATX Corp. 346
10 Interpool, Inc. 226
----------
705
Machinery & Engineering Equipment -- 2.0%
148 AGCO Corp. * 3,239
41 Applied Industrial Technologies, Inc. 1,134
3 Astec Industries, Inc. * 43
5 Cascade Corp. 196
5 Flowserve Corp. * 135
0^^ Kadant, Inc. * 8
4 Kennametal, Inc. 194
1 NACCO Industries, Inc., Class A 116
5 Regal-Beloit Corp. 146
9 Sauer-Danfoss, Inc. 203
96 Stewart & Stevenson Services, Inc. 1,933
4 Tecumseh Products Co., Class A 196
5 UNOVA, Inc. * 114
6 York International Corp. 211
----------
7,868
</Table>
See notes to financial statements.
26
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------
Long-Term Investments -- Continued
Manufacturing -- 2.7%
5 Actuant Corp., Class A * $ 250
10 Acuity Brands, Inc. 318
5 AO Smith Corp. 150
14 Barnes Group, Inc. 363
5 CIRCOR International, Inc. 120
3 ESCO Technologies, Inc. * 230
0^^ Gardner Denver, Inc. * 4
8 General Cable Corp. * 104
8 Griffon Corp. * 221
45 Harsco Corp. 2,508
32 JLG Industries, Inc. 630
13 Joy Global, Inc. 556
12 NN, Inc. 157
3 Penn Engineering & Manufacturing Corp. 60
10 Quanex Corp. 686
28 Terex Corp. * 1,322
92 Timken Co. 2,406
12 Walter Industries, Inc. 405
----------
10,490
Metals/Mining -- 2.1%
7 Commercial Metals Co. 354
75 Mueller Industries, Inc. 2,418
6 NS Group, Inc. * 161
272 The Shaw Group, Inc. * 4,852
14 Valmont Industries, Inc. 354
----------
8,139
Multi-Media -- 0.6%
1 4Kids Entertainment, Inc. * 15
12 Insight Communications Co., Inc., Class A * 109
5 Journal Register Co. * 95
18 Lodgenet Entertainment Corp. * 310
43 Scholastic Corp. * 1,600
12 World Wrestling Entertainment, Inc. 142
----------
2,271
Office/Business Equipment -- 0.1%
0^^ Global Imaging Systems, Inc. * 4
8 United Stationers, Inc. * 379
----------
383
Oil & Gas -- 5.3%
5 Black Hills Corp. 147
81 Cabot Oil & Gas Corp. 3,563
2 CAL Dive International, Inc. * 73
190 Chesapeake Energy Corp. 3,137
5 Cimarex Energy Co. * 193
11 Comstock Resources, Inc. * 234
17 Denbury Resources, Inc. * 453
12 Energen Corp. 713
6 Energy Partners LTD * 118
5 Hanover Compressor Co. * 75
6 Houston Exploration Co. * 343
4 Lone Star Technologies, Inc. * 144
</Table>
See notes to financial statements.
27
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------
Long-Term Investments -- Continued
Oil & Gas -- Continued
31 Magnum Hunter Resources, Inc. * $ 399
4 Oceaneering International, Inc. * 153
15 Oil States International, Inc. * 295
74 ONEOK, Inc. 2,100
10 RPC, Inc. 244
28 Southern Union Co. * 677
23 Southwest Gas Corp. 594
24 Southwestern Energy Co. * 1,227
10 Stone Energy Corp. * 451
88 Superior Energy Services, Inc. * 1,356
67 Swift Energy Co. * 1,927
23 Tesoro Petroleum Corp. * 720
13 Todco, Class A * 236
5 Universal Compression Holding, Inc. * 168
11 Veritas DGC, Inc. * 235
19 Vintage Petroleum, Inc. 427
0^^ World Fuel Services Corp. 20
----------
20,422
Packaging -- 0.8%
6 Chesapeake Corp. 155
37 Crown Holdings, Inc. * 508
6 Greif, Inc., Class A 347
45 Pactiv Corp. * 1,135
5 Rock-Tenn Co., Class A 79
12 Silgan Holdings, Inc. 738
----------
2,962
Paper/Forest Products -- 0.2%
12 Schweitzer-Mauduit International, Inc. 397
16 Wausau-Mosinee Paper Corp. 284
----------
681
Pharmaceuticals -- 1.3%
9 Adolor Corp. * 91
4 Alpharma, Inc., Class A 69
11 AtheroGenics, Inc. * 249
8 Auxilium Pharmaceuticals, Inc. * 67
86 AVANIR Pharmaceuticals, Class A * 294
8 Barr Laboratories, Inc. * 371
18 Cubist Pharmaceuticals, Inc. * 211
20 Cypress Bioscience, Inc. * 274
5 KV Pharmaceutical Co., Class A * 117
54 KV Pharmaceutical Co., Class B * 1,239
101 Nabi Biopharmaceuticals * 1,474
1 Rigel Pharmaceuticals, Inc. * 32
4 United Therapeutics Corp. * 199
7 Valeant Pharmaceuticals International 187
----------
4,874
Printing & Publishing -- 0.2%
16 Bowne & Co., Inc. 252
10 John H. Harland Co. 361
----------
613
</Table>
See notes to financial statements.
28
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------
Long-Term Investments -- Continued
Real Estate -- 0.1%
6 Jones Lang LaSalle, Inc. * $ 224
Real Estate Investment Trust -- 5.2%
16 Affordable Residential Communities, Inc. 228
4 Alexandria Real Estate Equities, Inc. 313
49 American Financial Realty Trust 786
21 American Home Mortgage Investment Corp. 716
50 Anthracite Capital, Inc. 614
11 Bedford Property Investors, Inc. 304
17 Capital Automotive Real Estate Investment Trust 593
4 Capital Trust, Inc., Class A 129
46 CarrAmerica Realty Corp. 1,518
6 Crescent Real Estate Equities Co. 113
30 Entertainment Properties Trust 1,341
35 Equity Inns, Inc. 413
11 FelCor Lodging Trust, Inc. * 163
21 Gables Residential Trust 748
15 Government Properties Trust, Inc. 143
14 Highwoods Properties, Inc. 391
19 IMPAC Mortgage Holdings, Inc. 426
40 InnKeepers USA Trust 568
10 LaSalle Hotel Properties 318
39 Lexington Corporate Properties Trust 890
17 LTC Properties, Inc. 331
63 Meristar Hospitality Corp. * 524
15 MFA Mortgage Investments, Inc. 129
26 Mid-America Apartment Communities, Inc. 1,076
24 National Health Investors, Inc. 686
4 New Century Financial Corp. 278
5 NovaStar Financial, Inc. 238
6 Parkway Properties, Inc. 294
16 Pennsylvania Real Estate Investment Trust 702
17 Prentiss Properties Trust 649
23 RAIT Investment Trust 629
12 Saul Centers, Inc. 444
25 Senior Housing Properties Trust 468
32 SL Green Realty Corp. 1,931
11 Sun Communities, Inc. 427
5 Taubman Centers, Inc. 159
1 Urstadt Biddle Properties, Inc., Class A 20
16 Ventas, Inc. 430
----------
20,130
Restaurants/Food Services -- 1.4%
13 Brinker International, Inc. * 438
52 CEC Entertainment, Inc. * 2,088
11 Jack in the Box, Inc. * 409
21 Landry's Restaurants, Inc. 602
4 Papa John's International, Inc. * 121
1 Ryan's Restaurant Group, Inc. * 8
60 Sonic Corp. * 1,841
----------
5,507
Retailing -- 5.4%
15 Aaron Rents, Inc. 368
9 Aeropostale, Inc. * 258
</Table>
See notes to financial statements.
29
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------
Long-Term Investments -- Continued
Retailing -- Continued
19 Asbury Automotive Group, Inc. * $ 260
0^^ Bob Evans Farms 3
6 Brown Shoe Co., Inc. 173
25 Cash America International, Inc. 737
54 Charming Shoppes, Inc. * 509
119 CSK Auto Corp. * 1,999
8 Dress Barn, Inc. * 141
4 GameStop Corp., Class A * 87
5 Genesco, Inc. * 162
4 Goody's Family Clothing, Inc. 34
14 Hollywood Entertainment Corp. * 188
160 Insight Enterprises, Inc. * 3,274
7 Jo-Ann Stores, Inc. * 190
0^^ Linens 'N Things, Inc. * 2
130 Men's Wearhouse, Inc. * 4,168
5 Movado Group, Inc. 90
1 Movie Gallery, Inc. 15
14 Payless ShoeSource, Inc. * 169
2 PC Connection, Inc. * 16
12 Pep Boys-Manny, Moe & Jack 200
70 RadioShack Corp. 2,288
30 School Specialty, Inc. * 1,138
21 ShopKo Stores, Inc. * 389
5 Stage Stores, Inc. * 216
34 Stein Mart, Inc. * 578
12 Systemax, Inc. * 88
5 The J. Jill Group, Inc. * 67
125 The Sports Authority, Inc. * 3,221
10 Too, Inc. * 232
3 United Auto Group, Inc. 101
5 Zale Corp. * 155
----------
21,516
Retailing - Food & Staples -- 0.1%
5 Casey's General Stores, Inc. 93
7 Great Atlantic & Pacific Tea Co., Inc. * 70
2 Nash-Finch Co. 64
10 Pathmark Stores, Inc. * 58
7 Smart & Final, Inc. * 99
28 Winn-Dixie Stores, Inc. 128
----------
512
Semi-Conductors -- 0.6%
0^^ Actel Corp. * 7
19 Axcelis Technologies, Inc. * 157
4 Cohu, Inc. 82
2 Credence Systems Corp. * 14
1 Dupont Photomasks, Inc. * 13
2 ESS Technology, Inc. * 12
4 Exar Corp. * 58
7 Integrated Silicon Solutions, Inc. * 60
16 Lattice Semiconductor Corp. * 88
73 MKS Instruments, Inc. * 1,349
16 ON Semiconductor Corp. * 71
</Table>
See notes to financial statements.
30
<Page>
<Table>
<Caption>
Shares Issuer Value
- --------------------------------------------------------------------------------
Long-Term Investments -- Continued
Semi-Conductors -- Continued
8 Photronics, Inc. * $ 129
8 Silicon Storage Technology, Inc. * 47
13 Skyworks Solutions, Inc. * 123
4 Standard Microsystems Corp. * 71
13 Vitesse Semiconductor Corp. * 44
----------
2,325
Shipping/Transportation -- 1.7%
63 CSX Corp. 2,541
176 Swift Transportation Co., Inc. * 3,789
4 USF Corp. 156
----------
6,486
Steel -- 0.5%
27 AK Steel Holding Corp. * 386
14 Reliance Steel & Aluminum Co. 557
13 Ryerson Tull, Inc. 197
1 Schnitzer Steel Industries, Inc., Class A 31
20 Steel Dynamics, Inc. 761
----------
1,932
Telecommunications -- 1.7%
102 Aeroflex, Inc. * 1,232
187 American Tower Corp., Class A * 3,442
8 Arris Group, Inc. * 53
10 Broadwing Corp. * 87
75 Cincinnati Bell, Inc. * 312
0^^ Commonwealth Telephone Enterprises, Inc. * 20
19 CT Communications, Inc. 237
10 General Communication, Inc., Class A * 113
4 Hypercom Corp. * 25
24 ITC DeltaCom, Inc. * 41
17 MasTec, Inc. * 174
20 MRV Communications, Inc. * 74
4 North Pittsburgh Systems, Inc. 101
18 Primus Telecommunications Group, Inc. * 57
56 PTEK Holdings, Inc. * 600
10 Talk America Holdings, Inc. * 68
16 Time Warner Telecom, Inc., Class A * 70
----------
6,706
Telecommunications Equipment -- 0.2%
5 Brightpoint, Inc. * 90
6 C-COR.net Corp. * 52
6 Ditech Communications Corp. * 94
11 Inter-Tel, Inc. 290
5 Remec, Inc. * 35
14 Sycamore Networks, Inc. * 57
----------
618
Textiles -- 0.2%
18 Angelica Corp. 473
6 UniFirst Corp. 173
----------
646
</Table>
See notes to financial statements.
31
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------
Long-Term Investments -- Continued
Tire & Rubber -- 0.2%
4 Cooper Tire & Rubber Co. $ 78
41 Goodyear Tire & Rubber Co. * 593
----------
671
Tools/Equipment -- 0.4%
40 Snap-On, Inc. 1,368
Toys & Games -- 0.1%
4 JAKKS Pacific, Inc. * 80
7 RC2 Corp. * 225
6 Steinway Musical Instruments, Inc. * 159
----------
464
Transportation -- 0.7%
3 Arkansas Best Corp. 130
6 Covenant Transport, Inc., Class A * 127
16 Genesee & Wyoming, Inc., Class A * 442
6 Offshore Logistics, Inc. * 188
8 Overnite Corp. 287
8 Overseas Shipholding Group, Inc. 425
19 RailAmerica, Inc. * 243
13 SCS Transportation, Inc. * 294
4 The Greenbrier Companies, Inc. 125
7 US Xpress Enterprises, Inc., Class A * 205
16 Werner Enterprises, Inc. 362
----------
2,828
Utilities -- 4.5%
0^^ American States Water Co. 10
5 Atmos Energy Corp. 134
12 Avista Corp. 216
0^^ California Water Service Group 15
6 CH Energy Group, Inc. 293
10 Cleco Corp. 192
58 CMS Energy Corp. * 602
22 El Paso Electric Co. * 419
116 Idacorp, Inc. 3,534
19 New Jersey Resources Corp. 832
2 Northwest Natural Gas Co. 74
108 PNM Resources, Inc. 2,728
151 Puget Energy, Inc. 3,735
71 Sierra Pacific Resources * 742
11 South Jersey Industries, Inc. 583
4 UIL Holdings Corp. 210
27 UniSource Energy Corp. 653
62 Vectren Corp. 1,658
17 WPS Resources Corp. 867
----------
17,497
Waste Management -- 0.2%
102 Allied Waste Industries, Inc. * 947
--------------------------------------------------------------------
Total Common Stocks 368,122
(Cost $273,397)
--------------------------------------------------------------------
</Table>
See notes to financial statements.
32
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------
Long-Term Investments -- Continued
Right -- 0.0% ^
Investment Company -- 0.0% ^
20 Technology Investment Capital Corp. $ 10
(Cost $0^^)
--------------------------------------------------------------------
INVESTMENT COMPANY -- 2.0%
40 iShares Russell 2000 Value Index Fund 7,685
(Cost $6,182)
- --------------------------------------------------------------------------------
Total Long-Term Investments 375,817
(Cost $279,579)
- --------------------------------------------------------------------------------
Short-Term Investments -- 3.6%
U.S. TREASURY SECURITY -- 0.1%
325 U.S. Treasury Note, 1.88%, 11/30/05, @ 322
(Cost $324)
MONEY MARKET FUND -- 3.5%
13,574 JPMorgan Prime Money Market Fund (a) 13,574
(Cost $13,574)
- --------------------------------------------------------------------------------
Total Short-Term Investments 13,896
(Cost $13,898)
- --------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100.4% $ 389,713
(COST $293,477)
LIABILITIES IN EXCESS OF OTHER ASSETS -- (0.4)% (1,411)
- --------------------------------------------------------------------------------
NET ASSETS -- 100.0% $ 388,302
- --------------------------------------------------------------------------------
Percentages indicated are based on net assets
of $388,302.
</Table>
Futures Contracts
<Table>
<Caption>
NOTIONAL UNREALIZED
NUMBER VALUE APPRECIATION
OF EXPIRATION AT 12/31/04 (DEPRECIATION)
CONTRACTS DESCRIPTION DATE (USD) (USD)
- ----------------------------------------------------------------------------------------------
LONG FUTURES OUTSTANDING
10 Russell 2000 Index March, 2005 $ 3,270 $ 101
</Table>
See notes to financial statements.
33
<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 the custodian as
collateral for futures or with brokers as initial margin for futures
contracts.
(a) -- Affiliated. Money market fund registered under the Investment Company
Act of 1940, as amended and advised by J.P. Morgan Investment
Management, Inc.
ADR -- American Depository Receipt.
USD -- United States Dollar.
See notes to financial statements.
34
<Page>
JPMORGAN FUNDS
Statements of Assets and Liabilities
As of December 31, 2004
(Amounts in thousands, except per share amounts)
<Table>
<Caption>
MULTI-MANAGER MULTI-MANAGER
SMALL CAP SMALL CAP
GROWTH FUND VALUE FUND
- --------------------------------------------------------------------------------------
ASSETS:
Investments in non-affiliates, at value $ 288,073 $ 376,139
Investments in affiliates, at value 6,321 13,574
- --------------------------------------------------------------------------------------
Total investment securities, at value 294,394 389,713
- --------------------------------------------------------------------------------------
Cash 597 66
Receivables:
Investment securities sold 3,964 90
Fund shares sold 20 114
Interest and dividends 61 322
Variation margin -- 2
- --------------------------------------------------------------------------------------
Total Assets 299,036 390,307
- --------------------------------------------------------------------------------------
LIABILITIES:
Payables:
Investment securities purchased 6,659 707
Fund shares redeemed 842 778
Accrued liabilities:
Investment advisory fees 203 267
Administration fees 36 49
Shareholder servicing fees 60 82
Custodian fees 8 12
Trustees' fees 1 3
Other 83 107
- --------------------------------------------------------------------------------------
Total Liabilities 7,892 2,005
- --------------------------------------------------------------------------------------
NET ASSETS:
Paid in capital 236,294 287,929
Accumulated net investment income (loss) 11 35
Accumulated net realized gain (loss) on
investments and futures 2,364 4,001
Net unrealized appreciation (depreciation)
of investments and futures 52,475 96,337
- --------------------------------------------------------------------------------------
Total Net Assets $ 291,144 $ 388,302
- --------------------------------------------------------------------------------------
Shares of beneficial interest outstanding
($0.001 par value; unlimited number of
shares authorized): 19,256 21,768
Net asset value, redemption and offering price
per share $ 15.12 $ 17.84
- --------------------------------------------------------------------------------------
Cost of investments $ 241,919 $ 293,477
======================================================================================
</Table>
See notes to financial statements.
35
<Page>
Statements of Operations
For the year ended December 31, 2004
(Amounts in thousands)
<Table>
<Caption>
MULTI-MANAGER MULTI-MANAGER
SMALL CAP SMALL CAP
GROWTH FUND VALUE FUND
- --------------------------------------------------------------------------------------
INVESTMENT INCOME:
Interest $ -- $ 4
Dividend 648 2,977
Dividend income from affiliated investments* 99 192
Foreign taxes withheld -- (1)
- --------------------------------------------------------------------------------------
Total investment income 747 3,172
- --------------------------------------------------------------------------------------
EXPENSES:
Investment advisory fees 2,108 2,503
Administration fees 372 444
Shareholder servicing fees 620 739
Custodian fees 87 107
Registration fees 39 45
Printing and postage 18 22
Professional fees 91 92
Transfer agent fees 79 78
Trustees' fees 30 35
Other 71 87
- --------------------------------------------------------------------------------------
Total expenses 3,515 4,152
- --------------------------------------------------------------------------------------
Less amounts waived 42 21
Less earnings credits 1 1
- --------------------------------------------------------------------------------------
Net expenses 3,472 4,130
- --------------------------------------------------------------------------------------
Net investment income(loss) (2,725) (958)
- --------------------------------------------------------------------------------------
REALIZED AND UNREALIZED GAIN
(LOSS) ON INVESTMENTS:
Net realized gain (loss) on transactions
from:
Investments 6,117 18,977
Futures -- 474
Change in net unrealized appreciation
(depreciation) of:
Investments 17,856 44,122
Futures -- 22
- --------------------------------------------------------------------------------------
Net realized and unrealized gain (loss)
on investments and futures 23,973 63,595
- --------------------------------------------------------------------------------------
Net increase (decrease) in net assets from
operations $ 21,248 $ 62,637
- --------------------------------------------------------------------------------------
* Includes reimbursements of investment
advisory, administration and shareholder
servicing fees: $ 13 $ 24
- --------------------------------------------------------------------------------------
</Table>
See notes to financial statements.
36
<Page>
Statements of Changes in Net Assets For the periods indicated
(Amounts in thousands)
<Table>
<Caption>
MULTI-MANAGER SMALL CAP MULTI-MANAGER SMALL CAP
GROWTH FUND GROWTH FUND
----------------------------------------------------
1/1/04 2/28/03* 1/1/04 2/28/03*
THROUGH THROUGH THROUGH THROUGH
12/31/04 12/31/03 12/31/04 12/31/03
- ---------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment income (loss) $ (2,725) $ (1,122) $ (958) $ (225)
Net realized gain (loss) on investments and
futures 6,117 12,023 19,451 6,618
Change in net unrealized appreciation/
depreciation of investments and futures 17,856 34,619 44,144 52,193
- ---------------------------------------------------------------------------------------------------------
Increase (decrease) in net assets from
operations 21,248 45,520 62,637 58,586
- ---------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net realized gain on investment transactions (3,750) (8,168) (16,590) (4,251)
- ---------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) FROM CAPITAL SHARE TRANSACTIONS
Proceeds from shares issued 147,378 184,870 194,785 181,483
Dividends reinvested 1,627 3,507 7,104 1,857
Cost of shares redeemed (76,009) (25,079) (75,053) (22,328)
- ---------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) FROM CAPITAL SHARE
TRANSACTIONS 72,996 163,298 126,836 161,012
- ---------------------------------------------------------------------------------------------------------
Voluntary contribution from advisor -- -- -- 72
- ---------------------------------------------------------------------------------------------------------
Total increase (decrease) in net assets 90,494 200,650 172,883 215,419
NET ASSETS:
Beginning of period 200,650 -- 215,419 --
- ---------------------------------------------------------------------------------------------------------
End of period $ 291,144 $ 200,650 $ 388,302 $ 215,419
- ---------------------------------------------------------------------------------------------------------
Accumulated net investment income (loss) $ 11 $ 11 $ 35 $ 42
- ---------------------------------------------------------------------------------------------------------
SHARE TRANSACTIONS:
Issued 10,323 15,810 12,032 15,432
Reinvested 126 258 413 124
Redeemed (5,376) (1,885) (4,598) (1,635)
- ---------------------------------------------------------------------------------------------------------
Change in shares 5,073 14,183 7,847 13,921
- ---------------------------------------------------------------------------------------------------------
</Table>
* Commencement of operations.
See notes to financial statements.
37
<Page>
JP MORGAN FUNDS
Notes to Financial Statements
1. ORGANIZATION
J.P. Morgan Fleming Series Trust (the "Trust") was organized on December 24,
2002 as a Massachusetts business trust, and is registered under the Investment
Company Act of 1940, as amended, (the "1940 Act"), as an open-end management
investment company.
The following are two separate portfolios of the Trust (collectively, the
"Funds"):
FUND
JPMorgan Multi-Manager Small Cap Growth Fund ("MMSCGF")
JPMorgan Multi-Manager Small Cap Value Fund ("MMSCVF")
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
38
<Page>
portfolio by utilizing the quotations of an independent pricing service, unless
the Fund's advisor, J.P. Morgan Investment Management Inc. ("JPMIM" or the
"Advisor"), determines that use of another valuation methodology is appropriate.
The pricing service uses statistical analyses and quantitative models to adjust
local market prices using factors such as subsequent movements and changes in
the prices of indices, securities, and exchange rates in other markets, in
determining fair value as of the time a Fund calculates its net asset value.
B. FUTURES CONTRACTS -- When a Fund enters into a futures contract, it makes an
initial margin deposit in a segregated account, either in cash or liquid
securities. Thereafter, the futures contract is marked to market and the Fund
makes (or receives) additional cash payments daily to (or from) the broker.
Changes in the value of the contract are recorded as unrealized appreciation
(depreciation) until the contract is closed or settled, at which time a realized
gain or loss is recognized.
Index futures contracts are used to control the asset mix of the portfolios in
the most efficient manner. Short index futures contracts are used for hedging
purposes, i.e. to reduce the exposure to equities. Long index futures contracts
are used to gain exposure to equities, when it is anticipated that this will be
more efficient than buying stocks directly.
Use of long futures contracts subjects the Fund to risk of loss in excess of
amounts shown on the Statement of Assets and Liabilities up to the notional
value of the futures contract. Use of short futures contracts subject the Fund
to unlimited risk of loss. The Funds may enter into futures contracts only on
exchanges or boards of trade. The exchange or board of trade acts as the
counterparty to each futures transaction; therefore, the Fund's credit risk is
limited to failure of the exchange or board of trade.
As of December 31, 2004, MMSCVF had outstanding futures contracts as listed on
the Fund's Portfolio of Investments.
C. RESTRICTED AND ILLIQUID SECURITIES -- The Funds may invest in securities that
are subject to legal or contractual restrictions on resale or are illiquid.
Restricted securities generally may be resold in transactions exempt from
registration. A security may be considered illiquid if it lacks a readily
available market or if its valuation has not changed for a certain period of
time. Disposal of these securities may involve time-consuming negotiations and
expense, and prompt sale at the current valuation may be difficult.
D. SECURITY TRANSACTIONS AND INVESTMENT INCOME -- Investment transactions are
accounted for on the trade date (the date the order to buy or sell is executed).
Securities gains and losses are calculated on the identified cost basis.
Interest income is determined on the basis of coupon interest accrued using the
interest method adjusted for amortization of premiums and accretion of
discounts. Dividend income less foreign taxes withheld (if any) is recorded on
the ex-dividend date or when the Funds first learn of the dividend.
39
<Page>
E. ALLOCATION OF INCOME AND EXPENSES -- Expenses directly attributable to a Fund
are charged to that Fund; other expenses are allocated proportionately among
each of the Funds within the Trust in relation to the net assets of each Fund or
on another reasonable basis.
F. FEDERAL INCOME TAXES -- Each Fund is treated as a separate taxable entity for
Federal income tax purposes. The 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.
G. DISTRIBUTIONS TO SHAREHOLDERS -- Dividends and distributions paid to
shareholders are recorded on the ex-dividend date. The amount of dividends and
distributions from net investment income and net realized capital gains is
determined in accordance with Federal income tax regulations, which may differ
from accounting principles generally accepted in the United States of America.
To the extent these "book/tax" differences are permanent in nature, (i.e., that
they result from other than timing of recognition -- "temporary differences"),
such amounts are reclassified within the capital accounts based on their Federal
tax-basis treatment.
The following amounts was 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
---------------------------------------------------------------------------
MMSCGF $ -- $ 2,725 $ (2,725)
MMSCVF 9 951 (960)
</Table>
* The reclassification for the MMSCGF relates primarily to the character for
tax purposes of current year net operating losses. The reclassification for
the MMSCVF relates primarily to the character for tax purposes of current
year net operating losses and distributions received from investments in
REITs.
H. OTHER EXPENSES -- Other expenses in the Statement of Operations include fees
related to line of credit, insurance, pricing and reporting services.
3. FEES AND OTHER TRANSACTIONS WITH AFFILIATES
A. INVESTMENT ADVISORY FEE -- Pursuant to the Investment Advisory Agreement,
J.P. Morgan Investment Management, Inc. ("JPMIM" or the "Advisor"), acts as the
investment advisor to the Funds. The Advisor allocates portions of the Funds'
assets to the subadvisors and is responsible for monitoring and coordinating the
overall management of the Funds and for such services is paid a fee. The fee is
accrued daily and paid monthly at an annual rate of 0.85% of each Fund's average
daily net assets.
40
<Page>
During the year ended, December 31, 2004, JPMIM contracted with Oberweis Asset
Management to manage a portion of MMSCGF's assets.
State Street Research and Management Company, J. & W. Seligman & Co. Inc., UBS
Global Asset Management (New York) Inc. and Oberweis Asset Management have been
engaged by the Advisor to serve as the subadvisors to the MMSCGF. The allocation
of the assets of MMSCGF at December 31, 2004 was 23%, 32%, 36%, and 9%
respectively. EARNEST Partners, LLC and ICM Asset Management have been engaged
by the Advisor to serve as the subadvisors to the MMSCVF. The allocation of the
assets of MMSCVF at December 31, 2004 was 34%, 33% and the remaining 33% was
allocated to the Advisor. Each subadvisor is paid monthly by the Advisor at an
annual rate of 0.55% of the average daily net assets of each of the Funds
allocated to the subadvisor. These fees are paid by the Advisor and are not
expenses of the Funds.
The Board of Trustees approved on December 8, 2004, an interim sub-advisory
agreement with BlackRock Advisers, Inc. ("Blackrock") which will become
effective upon the closing of a proposed acquisition by Blackrock of State
Street Research & Management Company ("State Street Research") as part of the
sale of the asset management business by State Street Research's parent company,
Metlife, Inc. The acquisition is expected to take place during the first quarter
of 2005. The interim sub-advisory agreement with Blackrock is substantially
identical to the existing sub-advisory agreement with State Street Research and
will remain in effect for up to 150 days.
The Funds may invest in one or more of the affiliated JPMorgan Money Market
Funds. The Advisor has agreed to reimburse its advisory fee from the Funds in an
amount sufficient to offset any doubling up of investment advisory,
administration and shareholder servicing fees related to each Fund's investment
in an affiliated money market fund.
B. DISTRIBUTION FEE -- Pursuant to a Distribution Agreement, J.P. Morgan Fund
Distributors, Inc. ("JPMFD" or "Distributor"), a wholly-owned subsidiary of The
BISYS Group, Inc., serves as the Trust's exclusive underwriter and promotes and
arranges for the sale of each Fund's shares. JPMFD receives no compensation in
it's capacity as the Funds' underwriter.
C. SHAREHOLDER SERVICING FEE -- The Trust has entered into Shareholder Servicing
Agreements on behalf of the Funds with JPMorgan Chase Bank ("JPMCB") under which
JPMCB provides account administration and personal account maintenance services
to the shareholders. For these services JPMCB will receive a fee from each Fund
that is computed daily and paid monthly at an annual rate of 0.25% of the
average daily net assets of each Fund.
JPMCB waived fees as outlined in Note 3.F.
D. CUSTODIAN AND ACCOUNTING FEES -- JPMCB provides portfolio custody and
accounting services for the Funds. Compensation for such services is presented
41
<Page>
in the Statement of Operations as custodian fees. The custodian fees may be
reduced by credits earned by each Fund, based on the uninvested cash balances
held by the custodian. Such earning credits are presented separately in the
Statement of Operations.
E. ADMINISTRATION FEES -- Pursuant to the Administration Agreement, JPMCB (the
"Administrator") provides certain administration services to the Funds. In
consideration of these services, the Administrator receives a fee computed daily
and paid monthly at an annual rate equal to 0.15% of the average daily net
assets of each Fund.
BISYS Funds Services, L.P. ("BISYS") serves as the Funds' sub-administrator. For
its services as sub-administrator, BISYS receives a portion of the fees payable
to JPMCB as Administrator. The Administrator has contractually agreed to
reimburse the Funds to the extent that total operating expenses (excluding
interest, taxes and extraordinary items) do exceed 1.40% of the average daily
net assets of MMSCGF and MMSCVF. The contractual expense limitation agreements
were in effect for the year ended December 31, 2004. The expense limitation
percentages on the Funds is due to expire on April 30, 2006.
The Administrator waived fees as outlined in Note 3.F.
F. WAIVERS AND REIMBURSEMENTS -- For the year ended December 31, 2004, the
Funds' vendors waived fees for each of the Funds as follows (amounts in
thousands). Neither the Funds' service providers nor the Administrator expect
the Funds to repay any such expenses in future years.
<Table>
<Caption>
CONTRACTUAL WAIVERS
--------------------------------------------------------
SHAREHOLDER CONTRACTUAL
FUND ADMINISTRATION SERVICING TOTAL REIMBURSEMENTS
--------------------------------------------------------------------------------------
MMSCGF $ 15 $ 27 $ 42 $ --
MMSCVF 3 18 21 --
--------------------------------------------------------------------------------------
Total $ 18 $ 45 $ 63 $ --
--------------------------------------------------------------------------------------
</Table>
G. OTHER -- Certain officers of the Trust are officers of JPMorgan Chase & Co.
or of BISYS or their subsidiaries.
During the period, the Funds may have purchased securities from an underwriting
syndicate in which the principal underwriter or members of the syndicate were
affiliated with the Advisors.
The funds may use related party broker/dealers. For the year ended December 31,
2004, MMSCGF and MMSCVF incurred (amounts in thousands) $15 and $2,
respectively, as brokerage commissions with broker/dealers affiliated with
JPMCB.
The SEC has granted an exemptive order permitting each Fund to engage in
principal transactions with J.P. Morgan Securities Inc., an affiliated broker,
involving taxable money market instruments subject to certain conditions.
42
<Page>
H. SUBSEQUENT CHANGES -- After considering management's recommendations, the
Board of Trustees of the Trust 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 Shareholder
Servicing agreement is subject to the same fee structure as those paid to the
prior service provider.
The Administrative fees charged to the Funds will be computed daily and paid
monthly at an annual rate equal to 0.15% of the first $25 billion of all
non-money market funds in the JPMorgan Fund Complex and 0.075% of the average
daily net assets in excess of $25 billion for all funds.
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. 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
(EXCLUDING U.S. (EXCLUDING U.S.
FUND GOVERNMENT) GOVERNMENT)
--------------------------------------------
MMSCGF $ 466,295 $ 406,388
MMSCVF 221,422 125,916
</Table>
5. 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, are
as follows (amounts in thousands):
<Table>
<Caption>
GROSS GROSS NET UNREALIZED
UNREALIZED UNREALIZED APPRECIATION/
FUND AGGREGATE COST APPRECIATION DEPRECIATION (DEPRECIATION)
------------------------------------------------------------------------
MMSCGF $ 243,433 $ 55,871 $ (4,910) $ 50,961
MMSCVF 293,844 98,464 (2,595) 95,869
</Table>
43
<Page>
The tax characters of distributions paid during the years ended December 31,
2004 and December 31, 2003 were as follows (amounts in thousands):
<Table>
<Caption>
YEAR ENDED DECEMBER 31, 2004
----------------------------
ORDINARY LONG-TERM TOTAL
INCOME CAPITAL GAIN DISTRIBUTIONS
------------------------------------------------------------
MMSCGF $ 3,533 $ 217 $ 3,750
MMSCVF 7,650 8,940 16,590
<Caption>
YEAR ENDED DECEMBER 31, 2003
----------------------------
ORDINARY LONG-TERM TOTAL
INCOME CAPITAL GAIN DISTRIBUTIONS
------------------------------------------------------------
MMSCGF $ 8,168 $ -- $ 8,168
MMSCVF 4,098 153 4,251
</Table>
AT DECEMBER 31, 2004, THE TAX COMPONENTS OF CAPITAL WERE AS FOLLOWS:
<Table>
<Caption>
MMSCGF MMSCVF
------------------------------------------------------------------
Current distributable ordinary income $ 1,921 $ 1,887
Current distributable long-term capital
gain or (tax basis capital loss carryover) $ 1,968 $ 2,617
Unrealized appreciation (depreciation) $ 50,961 $ 95,869
========== ==========
</Table>
* For MMSCGF, the differences between book and tax basis unrealized
appreciation/depreciation are primarily attributable to wash sales and REIT
basis adjustments. For MMSCVF, the differences between book and tax basis
unrealized appreciation/depreciation are primarily attributable to wash
sales, REIT basis adjustment and mark to market of futures.
6. BANK BORROWINGS
Effective April 15, 2004, pursuant to a Line of Credit Agreement, the Funds may
borrow money for temporary or emergency purposes. The Funds have entered into
the agreement, enabling it to participate with other JPMorgan Funds in a line of
credit with JPMCB, as administrative agent, and with a syndicate of banks, which
permits borrowings up to $250 million, collectively. Interest is charged to the
Funds based on its borrowings at an annual rate equal to the sum of Federal
Funds Rate plus 0.50%. The Funds also pay a commitment fee of 0.09% per annum on
the average daily amount of the available commitment, which is allocated on a
pro-rata basis to the Funds. The commitment fee is included in Other expenses on
the Statement of Operations. This agreement was terminated on February 18, 2005.
The Funds had no borrowings outstanding at December 31, 2004, nor at anytime
during the period then ended.
44
<Page>
7. CONCENTRATIONS AND INDEMNIFICATIONS
From time to time, the Funds may have a concentration of several shareholders
which may be a related party, holding a significant percentage of shares
outstanding. Investment activities of these shareholders could have a material
impact on the Funds.
In the normal course of business the Funds enter into contracts that contain a
variety of representations which provide general indemnifications. Each Fund's
maximum exposure under these arrangements is unknown as this would involve
future claims that may be made against each Fund that have not yet occurred.
However, based on experience, the Funds expect the risk of loss to be remote.
Because each Subadvisor makes investment decisions independently, it is possible
that the stock selection process of the investment managers may not complement
one another. As a result, the Fund's exposure to a given stock, industry or
market capitalization could unintentionally be smaller or larger than intended.
8. CORPORATE EVENT
On May 25, 2004, J.P. Morgan Chase & Co. and Bank One Corp. announced that, at
separate meetings, their respective shareholders had approved the merger of the
two companies. The companies completed the merger of their holding companies on
July 1, 2004. Effective July 20, 2004, the name of the holding company will be
JPMorgan Chase & Co. Effective November 15, 2004, the bank name is JPMorgan
Chase Bank, National Association.
45
<Page>
JPMORGAN FUNDS
Financial Highlights
<Table>
<Caption>
MULTI-MANAGER MULTI-MANAGER
SMALL CAP SMALL CAP
GROWTH FUND VALUE FUND
---------------------------- -------------------------
1/1/04 2/28/03* 1/1/04 2/28/03*
Through Through Through Through
PER SHARE OPERATING PERFORMANCE: 12/31/04 12/31/03 12/31/04 12/31/03
- ----------------------------------------------------------------------------------------------------------------------------------
Net asset value, beginning of period $ 14.15 $ 10.00 $ 15.47 $ 10.00
- ----------------------------------------------------------------------------------------------------------------------------------
Income from investment operations:
Net investment income (loss) (0.16)@ (0.11)@ (0.05)@ (0.02)@
Net gains or losses on securities (both realized and unrealized) 1.33 4.86 3.20 5.81
------------- ------------- ------------- ----------
Total from investment operations 1.17 4.75 3.15 5.79
------------- ------------- ------------- ----------
Less distributions:
Distributions from capital gains 0.20 0.60 0.78 0.32
------------- ------------- ------------- ----------
Total distributions 0.20 0.60 0.78 0.32
------------- ------------- ------------- ----------
Net asset value, end of period $ 15.12 $ 14.15 $ 17.84 $ 5.47
- ----------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN (b) 8.48% 47.78% 20.61% 58.01%
==================================================================================================================================
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (millions) $ 291 $ 201 $ 388 $ 215
- ----------------------------------------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
Net expenses 1.40% 1.40% 1.40% 1.40%
- ----------------------------------------------------------------------------------------------------------------------------------
Net investment income (loss) (1.10%) (1.02%) (0.32%) (0.21%)
- ----------------------------------------------------------------------------------------------------------------------------------
Expenses without waivers and earnings credits 1.41% 1.56% 1.41% 1.58%
- ----------------------------------------------------------------------------------------------------------------------------------
Net investment income (loss) without waivers and earnings credits (1.11%) (1.18%) (0.33%) (0.39%)
- ----------------------------------------------------------------------------------------------------------------------------------
PORTFOLIO TURNOVER RATE (b) 170% 138% 46% 34%
- ----------------------------------------------------------------------------------------------------------------------------------
</Table>
* Commencement of operations.
@ Calculated based upon average shares outstanding.
(b) Not annualized for periods less than one year.
# Short periods have been annualized.
See notes to financial statements.
46
<Page>
JPMORGAN FUNDS
Report of Independent Registered Public Accounting Firm
To the Trustees of J.P. Morgan Fleming Series Trust and Shareholders of J.PMorgn
Multi-Manager Small Cap Growth Fund and JPMorgan Multi-Manager Small Cap Value
Fund:
In our opinion, the accompanying statements of assets and liabilities, including
the portfolios of investments, and the related statements of operations and of
changes in net assets and the financial highlights present fairly, in all
material respects, the financial position of JPMorgan Multi-Manager Small Cap
Growth Fund and JPMorgan Multi-Manager Small Cap Value Fund (two portfolios of
the J.P. Morgan Fleming Series Trust and hereafter referred to as the "Funds")
at December 31, 2004, the results of each of their operations for the year then
ended, and the changes in each of their net assets and the financial highlights
for each of the periods presented, in conformity with accounting principles
generally accepted in the United States of America. These financial statements
and financial highlights (hereafter referred to as "financial statements") are
the responsibility of the Funds' management; our responsibility is to express an
opinion on these financial statements based on our audits. We conducted our
audits of these financial statements in accordance with the standards of the
Public Company Accounting Oversight Board (United States). 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
See notes to financial statements.
47
<Page>
JPMORGAN FUNDS
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, 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 Fund 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
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 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 in the table below provides information about hypothetical
account values and hypothetical expenses based on the Fund's actual expense
ratio and an assumed rate of return of 5% per year before expenses, which is not
the Fund's 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 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 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.
48
<Page>
<Table>
<Caption>
EXPENSES PAID
BEGINNING ENDING DURING PERIOD
ACCOUNT VALUE, ACCOUNT VALUE, JULY 1 TO
JULY 1, DECEMBER 31, DECEMBER 31, ANNUALIZED
2004 2004 2004* EXPENSE RATIO
- ----------------------------------------------------------------------------------------------------------------
MULTI-MANAGER
SMALL CAP GROWTH FUND
ACTUAL PERIOD RETURN $ 1,000 $ 1,044 $ 7.19 1.40%
HYPOTHETICAL $ 1,000 $ 1,018 $ 7.10 1.40%
MULTI-MANAGER SMALL CAP VALUE FUND
ACTUAL PERIOD RETURN $ 1,000 $ 1,125 $ 7.48 1.40%
HYPOTHETICAL $ 1,000 $ 1,018 $ 7.10 1.40%
</Table>
* Expenses are equal to the Fund's 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).
49
<Page>
JPMORGAN FUNDS
Trustee and Officer Information (unaudited)
The following tables contain basic information regarding the Trustees and
Officers, respectively that oversee operations of the Trust.
<Table>
<Caption>
NUMBER OF
JPMORGAN
NAME (YEAR OF BIRTH); PRINCIPAL PORTFOLIOS/FUNDS
POSITIONS WITH THE OCCUPATION(S) OVERSEEN BY OTHER DIRECTORSHIPS HELD OUTSIDE
PORTFOLIOS (SINCE) DURING PAST 5 YEARS TRUSTEE JPMORGAN FUNDS COMPLEX
- -------------------------------------------------------------------------------------------------------------------------------
NON-INTERESTED TRUSTEES
Cheryl Ballenger (1956); Mathematics Teacher, 11 None
Chairperson (since 2004) Vernon Hills High
and Trustee (since 2002) School (August
2004-Present);
Mathematics Teacher,
Round Lake High School
(2003-2004) and
formerly Executive Vice
President and Chief
Financial Officer,
Galileo International
Inc. (travel
technology)
Jerry B. Lewis* (1939); Retired; formerly 11 None
Trustee (since 2004) President, Lewis
Investments Inc.
(registered investment
adviser); previously,
various managerial and
executive positions at
Ford Motor Company
(Treasurer's Office,
Controller's Office,
Auditing and Corporate
Strategy)
John R. Rettberg (1937); Retired; formerly 11 None
Trustee (since 1996) Corporate Vice
President and
Treasurer, Northrop
Grumman Corporation
(defense contractor)
Kenneth Whipple, Jr. Chairman (1999 - 11 Director of AB Volvo and Korn Ferry
(1934); Trustee (since 1996) Present) and CEO (1999 International (executive recruitment)
- 2004), CMS Energy
INTERESTED TRUSTEES
John F. Ruffle** (1937); Retired; formerly Vice 11 Trustee of John Hopkins University, Director of
Trustee (since 1996) Chairman, J.P. Morgan Reckson Associates Realty Corp. and American
Chase & Co. Inc. and Shared Hospital Services
Morgan Guaranty Trust
Co. of NY
</Table>
* Effective 12/31/2004, Jerry B. Lewis became a Trustee.
** The Board has designated Mr. Ruffle an "interested person" at his request
because, until his retirement in 1993, he was an executive officer of the
parent company of the Trust's investment adviser.
50
<Page>
JPMORGAN FUNDS
Trustee and Officer Information (unaudited)
The names of the officers of the Portfolios, together with their year of birth,
information regarding their positions held with the Portfolios 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 PORTFOLIOS (SINCE) PRINCIPAL OCCUPATIONS DURING PAST 5 YEARS
- ---------------------------------------------------------------------------------------------------------------
George C.W. Gatch (1962), Managing Director, JPMIM, CEO and President of the J.P. Morgan and
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 (1963), Chief Operating Officer, JPMorgan Funds (August 2004 to present)
Senior Vice President and One Group Mutual Funds from November 2001 until present. From
(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 (1960), Vice President, JPMIM; Previously, Treasurer, JPMorgan Funds and
Vice President and Chief Head of Funds Administration and Board Liaison. Prior to joining
Administrative Officer J.P. Morgan Chase & Co. in 2001, Ms. Maleski was the Vice President
(2004) of Finance for the Pierpont Group, Inc., a service provider to the
Board of Directors/Trustees of the JPMorgan Funds.
Stephen M. Benham (1959), Vice President and Assistant General Counsel, JPMIM since 2004;
Secretary (2004) 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.
Stephanie J. Dorsey (1969), Director of Mutual Fund Administration, One Group Administrative
Treasurer (2004)** Services, since January 2004; Ms. Dorsey worked for Bank One
Corporation (now known as JPMorgan Chase & Co.) from January 2003
to January 2004; Prior to joining Bank One Corporation, she was a
Senior Manager at PricewaterhouseCoopers LLP from September 1992
through December 2002.
Elizabeth A. Davin (1964), From September 2004 to present, Senior Counsel, JPMorgan Chase &
Assistant Secretary Co.; Prior to that Ms. Davin was Assistant General Counsel and then
(2004)** Associate General Counsel and Vice President, Gartmore Global
Investments, Inc. from July 1999 to August 2004.
Jessica K. Ditullio (1962), From August 1990 to present, various attorney positions for Bank
Assistant Secretary One Corporation (now known as JPMorgan Chase & Co.)
(2004)**
Nancy E. Fields (1949), From October 1999 to present, Director, Mutual Fund Administration,
Assistant Secretary One Group Administrative Services, Inc. and Senior Project Manager,
(2004)** 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 (1945), Vice President and Assistant General Counsel, JPMIM since 2004;
Assistant Secretary (2004) Second Vice President and Assistant Secretary of John Hancock
Advisers, LLC from July 1992 through September 2004.
Alaina Metz (1967), From June 1995 to present, Vice President, BISYS Fund Service Inc.
Assistant Secretary (2001)*
Martin R. Dean (1963), Vice President of Regulatory Services of BISYS Fund Services, Inc.
Assistant Treasurer (2001)*
Arthur A. Jensen (1966), Vice President of Financial Services of BISYS Fund Services, Inc.,
Assistant Treasurer (2001)* since June 2001; formerly Section Manager at Northern Trust Company
and Accounting Supervisor at Allstate Insurance Company.
Christopher D. Walsh (1965), Vice President, JPMIM; Mr. Walsh manages all aspects of
Assistant Treasurer (2004) institutional and retail mutual fund administration and vendor
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.
Paul M. DeRusso (1954), Vice President, JPMIM; Manager of the Budgeting and Expense Group
Assistant Treasurer (2001) of the Funds Administration Group.
Mary D. Squires (1955), Vice President, JPMIM; Ms. Squires has held numerous financial and
Assistant Treasurer (2001) operations positions supporting the J.P. Morgan Chase organization
complex.
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 senior positions in Prudential Financial's
asset and management business, including Associate General Counsel,
Tax Director and Co-head of Fund Administration Department.
Mr. Ungerman was also the Assistant Treasurer of all mutual funds
managed by Prudential.
</Table>
Additional information concerning the Trustees is contained in the Statement of
Additional Information and is available without charge by calling
1-800-348-4782.
* 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.
51
<Page>
JPMORGAN FUNDS
Tax Letter (unaudited)
JPMORGAN MULTI MANAGER SMALL CAP GROWTH FUND ("MMSCGF")
JPMORGAN MULTI MANAGER SMALL CAP VALUE FUND ("MMSCVF")
Certain tax information for the JPMorgan Multi Manager 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 dividends received deduction and long-term capital
gains distributed by the Funds for the fiscal year ended December 31, 2004.
<Table>
<Caption>
LONG-TERM
DIVIDENDS RECEIVED CAPITAL GAINS
FUND DEDUCTION DISTRIBUTION
- ------------------------------------------------------------------
MMSCGF 2.81% $ 216,462
MMSCVF 35.27% 8,939,947
</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 by the Jobs and Growth
Relief Reconciliation Act of 2003. The Funds intend to designate the maximum
amount allowable as taxed at the maximum rate of 15%. Complete information will
be reported in conjunction with your 2004 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>
QUALIFIED
FUND DIVIDENDS
- -------------------------------------------------
MMSCGF 3.34%
MMSCVF 28.22%
</Table>
52
<Page>
JPMORGAN FUNDS
Special Meeting of Shareholders (unaudited)
A Special Meeting of Shareholders of J.P. Morgan Fleming Series Trust (the
"Trust") was held on December 15, 2005, at 522 Fifth Avenue, New York, New York
10036 for purposes of asking shareholders to consider the following proposals:
To elect five (5) Trustees. A majority of the shareholders of the Trust approved
the election of each Trustee by the following votes:
<Table>
<Caption>
AFFIRMATIVE NEGATIVE
- --------------------------------------------------------------------
Cheryl Ballenger 28,536,688 1,628
Jerry B. Lewis 28,536,688 1,628
John R. Rettberg 28,536,688 1,628
John F. Ruffle 28,536,688 1,628
Kenneth Whipple, Jr. 28,536,688 1,628
</Table>
To ratify and approve the selection of PricewaterhouseCoopers LLP as independent
auditors of the Trust for the Trust's fiscal year ending December 31, 2004. A
majority of the shareholders of the Trust ratified and approved the selection of
PricewaterhouseCoopers LLP by the following votes:
<Table>
<Caption>
AFFIRMATIVE NEGATIVE
- --------------------------------------------------------------------
28,535,600 2,716
</Table>
For shareholders of the JPMorgan Multi-Manager Small Cap Growth Fund (the
"Growth Fund"), to approve a new subadvisory agreement between J.P. Morgan
Investment Management Inc., the Growth Fund's investment adviser, and Oberweis
Asset Management, Inc. A majority of the shareholders of the Growth Fund
approved the subadvisory agreement by the following votes:
<Table>
<Caption>
FOR AGAINST ABSTAIN
- --------------------------------------------------------------------
13,858,962 7,205 5,211,548
</Table>
See notes to financial statements.
53
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<Page>
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<Page>
ANNUAL REPORT
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.
JPMorgan Funds Fulfillment Center
6112 W. 73rd Street
Bedford Park, IL 60638
(C) J.P. Morgan Chase & Co., 2005 All Rights Reserved. February 2005
AN-MULTI-1204
<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 EXPERTS ARE CHERYL BALLENGER, JOHN R. RETTBERG,
KENNETH WHIPPLE, JR. AND JERRY B. LEWIS. EACH TRUSTEE 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 $131,065 in 2003 and $129,600 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, $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 $8,945,000 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 $16,200 in 2003 and $24,900 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
3
<Page>
relating to portfolio securities.
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.
4
<Page>
(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.
5
<Page>
SIGNATURES
[See General Instruction F]
Pursuant to the requirements of the Securities Exchange Act of 1934
and the Investment Company Act of 1940, the registrant has duly caused this
report to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) J.P. Morgan Fleming Series Trust
--------------------------------------------------------------------
By (Signature and Title)* /s/ Stephanie J. Dorsey
------------------------------------------------------
Stephanie J. Dorsey, Treasurer
Date March 9, 2005
--------------------------------------------------------------------------
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
--------------------------------------------------------------------------
By (Signature and Title)* /s/ George C.W. Gatch
------------------------------------------------------
George C.W. Gatch, President
Date March 9, 2005
--------------------------------------------------------------------------
* Print the name and title of each signing officer under his or her signature.
- --------------------------------------------------------------------------------
6