N-CSR 1 a2113466zn-csr.txt N-CSR ------------------------------------- OMB APPROVAL OMB Number: 3235-0570 Expires: November 30, 2005 Estimated average burden hours per response. . . . . . . 5.0 ------------------------------------- UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM N-CSR CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES Investment Company Act file number 811-07843 --------------------------------------------- J.P. Morgan Mutual Fund Select Group ------------------------------------------------------------------------------- (Exact name of registrant as specified in charter) 522 Fifth Avenue, New York, NY 10036 ------------------------------------------------------------------------------- (Address of principal executive offices) (Zip code) BISYS Fund Services, 3435 Stelzer Road, Columbus, OH 43219 ------------------------------------------------------------------------------- (Name and address of agent for service) Registrant's telephone number, including area code: 1-800-348-4782 ---------------------------- Date of fiscal year end: October, 31 2003 ------------------------------------------------------- Date of reporting period: November 1, 2002 through April 30, 2003 ------------------------------------------------------ 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). [GRAPHIC] SEMI ANNUAL REPORT APRIL 30, 2003 (UNAUDITED) JPMORGAN FUNDS TAX AWARE FUNDS FLEMING TAX AWARE INTERNATIONAL OPPORTUNITIES FUND TAX AWARE DISCIPLINED EQUITY FUND TAX AWARE ENHANCED INCOME FUND TAX AWARE LARGE CAP GROWTH FUND TAX AWARE LARGE CAP VALUE FUND TAX AWARE SHORT-INTERMEDIATE INCOME FUND TAX AWARE U.S. EQUITY FUND [JPMORGAN FLEMING ASSET MANAGEMENT LOGO] CONTENTS President's Letter 1 Fund Commentaries: Fleming Tax Aware International Opportunites Fund 3 Tax Aware Disciplined Equity Fund 7 Tax Aware Enhanced Income Fund 10 Tax Aware Large Cap Growth Fund 13 Tax Aware Large Cap Value Fund 16 Tax Aware Short-Intermediate Income Fund 19 Tax Aware U.S. Equity Fund 21 Portfolio of Investments 25 Financial Statements 69 Notes to Financial Statements 78 Financial Highlights 96
HIGHLIGHTS - "Baghdad bounce" revives international markets - International equity returns aided by weak dollar - Portfolios not constrained by tax concerns - Earnings expansion key to equity price rises Investments in a Fund are not bank deposits or obligations of, or guaranteed or endorsed by, any bank and are not insured or guaranteed by the FDIC, the Federal Reserve Board or any other government agency. You could lose money if you sell when the Fund's share price is lower than when you invested. Past performance is no guarantee for future performance. The general market views expressed in this report are opinions based on current market conditions and are subject to change without notice. These views are not intended to predict the future performance of a Fund or the securities markets. References to specific securities and their issuers are for illustrative purposes only and are not intended to be, and should not be interpreted as, recommendations to purchase or sell such securities. Such views are not meant as investment advice and may not be relied on as an indication of trading intent on behalf of any Fund. Prospective investors should refer to the Fund's prospectus for a discussion of the Fund's investment objective, strategies and risks. Call JPMorgan Funds Service Center at (800) 348-4782 for a prospectus containing more complete information about a Fund including management fees and other expenses. Please read it carefully before investing. JPMorgan Funds are distributed by J.P. Morgan Fund Distributors, Inc. JPMORGAN TAX AWARE FUNDS PRESIDENT'S LETTER JUNE 2, 2003 DEAR SHAREHOLDER: We are pleased to present this semi-annual report for the JPMorgan Tax Aware Funds. Inside, you'll find information detailing the performance of the Funds for the six months ended April 30, 2003, along with a report from the Portfolio Managers. SWIFT WAR DRIVES POSITIVE RETURNS The past few months served as a reminder of the old investment maxim "buy when the shooting starts." After months of uncertainty, equity markets around the world started to rally in early March, once it became clear that the war in Iraq was inevitable. In the weeks that followed oil prices fell, removing much of the threat that war in Iraq would have serious economic ramifications. Equities retraced much of their earlier losses to the relief of investors everywhere. Even so, the performance of U.S. and international markets was highly variable. Broadly speaking, the United States outperformed Europe, which in turn outperformed Asia. In Asia, geopolitical worries, the emergence of SARS and a weak Japanese economy all held back markets. The S&P 500 Index rose 4.5%, which compares with an appreciation of 1.8% for the broad-based MSCI EAFE Index of international markets in U.S. dollar terms. It should be noted that the MSCI EAFE return benefited from the sustained fall of the U.S. dollar during the period. Economically, U.S. data continued to lack direction, with a fall in business investment and weak consumer demand becoming evident toward the end of the period. Growth was poor almost everywhere, with fears of deflation stalking Japan in particular, and Germany to a lesser extent. Perhaps the most positive sign was that corporate earnings did not disappoint, although there are no expectations of large rebounds in earnings. TAX STATUS From a tax perspective, our Funds are in good shape. The losses incurred during the last few years' bear market mean that our Portfolio Managers have considerable freedom of action. Because capital losses have been carried over from previous years, there are not too many constraints on what the Managers can buy and sell. This should benefit performance in the period ahead. 1 OUTLOOK Following the end of the war, the world's financial markets are more relaxed. We believe there are some issues that still need to be resolved before equities can resume an upward course. These include: lack of economic growth, deflation concerns, U.S. equity market valuations, excess capacity and a debt-ridden U.S. consumer. The key to a strong and prolonged rise in prices is resumption in corporate earnings growth -- both in the United States and international markets. The portfolio management team and all of us here at JPMorgan Fleming Asset Management thank you for your continued business and anticipate serving your investment needs for many years to come. Should you have any questions, please feel free to contact your financial advisor or the JPMorgan Funds Service Center at 1-800-348-4782. Sincerely yours, /s/ George C. W. Gatch George C. W. Gatch President JPMorgan Funds 2 JPMORGAN FLEMING TAX AWARE INTERNATIONAL OPPORTUNITIES FUND As of April 30, 2003 Q: HOW DID THE FUND PERFORM? A: JPMorgan Fleming International Opportunities Fund, which seeks to provide high after-tax return by investing in equity securities of foreign companies in developed and, to a lesser extent, emerging markets, declined by 1.40% (Institutional Shares) in the six months ended April 30, 2003. This compares with a rise of 1.81% for the Fund's benchmark, the MSCI EAFE Index. The Fund's benchmark was changed to the MSCI EAFE Index on February 28, 2003, from the MSCI All Country World Free (ex-U.S.) Index. Q: WHY DID THE FUND PERFORM IN THIS WAY? A: The Fund trailed its MSCI EAFE Index (in U.S. dollar terms) benchmark in a six months when the benchmark achieved a small rise chiefly as a result of dollar weakness. Stock price movements were mixed. The portfolio had a combination of difficulties in just a few holdings, and its Asian country allocation. These negatives were partially offset by strong performances from some European stocks. The greatest problems occurred in holdings in the U.K. and The Netherlands. U.K. electrical retailer Dixons fell back sharply following poor Christmas trading and the announcement of a monopolies inquiry into its sale of extended warranties, from which it makes significant profits. At Corus, the Anglo-Dutch steel group, the Dutch Supervisory Board stopped the sale of the aluminum business, preventing it from paying down debt and focusing on its carbon steel business. Dutch insurer Aegon was caught up in the confusion surrounding accounting fraud at Ahold, the Dutch food retailer where it holds a 5% stake. There was also a disappointment in Japan, where miniature ball bearings manufacturer Minebea fell in price following poor demand for the consumer electronics goods in which these components are used. Stock-picking caused the Fund to be vulnerable to rising tensions in East Asia. An overweight position in South Korea hurt performance as North Korea publicized its nuclear ambitions. There was, however, strong performance from a number of European holdings. In particular, the retail banks Barclays, BNP and Unicredito performed well. Additionally, Spanish utility Iberdrola showed signs of benefiting from the actions of new management. Q: HOW WAS THE FUND MANAGED? A: Current positions reflect a fairly neutral view regarding the economic cycle, with holdings fairly well- balanced between defensive and cyclical stocks. The biggest sector overweights are in the Banking and Telecommunications sectors, while the greatest underweight is in Energy. (UNAUDITED) 3 [CHART] PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS United Kingdom 28.60% Japan 14.90% France 12.00% Switzerland 9.20% The Netherlands 5.10% Australia 4.20% Germany 3.40% Spain 3.30% Italy 3.10% Hong Kong 2.50% Finland 2.40% India 2.30% Sweden 2.20% Russia 2.00% South Korea 1.60% Mexico 1.20% Belgium 1.00% Singapore 1.00%
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO 1. VODAFONE GROUP PLC (UNITED KINGDOM) (3.8%) 2. BNP PARIBAS (FRANCE) (2.8%) 3. UNILEVER PLC (UNITED KINGDOM) (2.6%) 4. NOKIA OYJ (FINLAND) (2.4%) 5. UNICREDITO ITALIANO SPA (ITALY) (2.4%) 6. TOTAL FINA ELF SA (FRANCE) (2.3%) 7. NOVARTIS AG (SWITZERLAND) (2.3%) 8. IBERDROLA SA (SPAIN) (2.2%) 9. ASTRAZENECA PLC (UNITED KINGDOM) (2.1%) 10. LUKOIL (RUSSIA), ADR (2.0%) TOP 10 EQUITY HOLDINGS COMPRISED 24.9% OF THE PORTFOLIO'S MARKET VALUE OF INVESTMENTS ($29,706 IN THOUSANDS). AS OF APRIL 30, 2003 THE FUND HELD 102 EQUITY HOLDINGS. PORTFOLIO HOLDINGS ARE SUBJECT TO CHANGE AT ANY TIME. (UNAUDITED) 4 AVERAGE ANNUAL TOTAL RETURNS
SINCE INCEPTION 1 YEAR (4/30/01) ---------------------------------------------------------------- Class A Shares Without Sales Charge (19.38%) (15.44%) With Sales Charge* (24.01%) (17.92%) ---------------------------------------------------------------- Class B Shares Without CDSC (19.80%) (15.86%) With CDSC** (23.78%) (17.55%) ---------------------------------------------------------------- Class C Shares Without CDSC (19.88%) (15.91%) With CDSC*** (20.67%) (15.91%) ---------------------------------------------------------------- Institutional Shares (18.73%) (14.76%) ----------------------------------------------------------------
* Sales Charge for Class A Shares is 5.75%. ** Assumes 5% CDSC (contingent deferred sales charge) for the one year period and 5% CDSC for the period since inception. *** Assumes a 1% CDSC for the one year period and 0% CDSC thereafter. (UNAUDITED) 5 [CHART] LIFE OF FUND PERFORMANCE (4/30/01 TO 4/30/03)
JPMORGAN FLEMING TAX AWARE INTERNATIONAL MSCI ALL COUNTRY WORLD LIPPER INTERNATIONAL OPPORTUNITIES FUND (INSTITUTONAL SHARES) MSCI EAFE USD NET INDEX FREE (EX-U.S.) FUNDS INDEX ---------------------------------------- ----------------- ---------------------- -------------------- E 4/30/01 $ 3,000,000 $ 3,000,000 $ 3,000,000 $ 3,000,000 E 5/31/01 $ 2,937,900 $ 2,894,100 $ 2,917,200 $ 2,927,400 E 6/30/01 $ 2,851,820 $ 2,775,731 $ 2,805,180 $ 2,844,847 E 7/31/01 $ 2,719,780 $ 2,725,213 $ 2,742,905 $ 2,770,881 E 8/31/01 $ 2,699,654 $ 2,656,265 $ 2,674,881 $ 2,715,187 E 9/30/01 $ 2,401,612 $ 2,387,185 $ 2,391,076 $ 2,419,231 E10/31/01 $ 2,485,669 $ 2,448,297 $ 2,458,026 $ 2,484,792 E11/30/01 $ 2,603,738 $ 2,538,640 $ 2,570,358 $ 2,577,475 E12/31/01 $ 2,641,492 $ 2,553,618 $ 2,603,515 $ 2,623,354 E 1/31/02 $ 2,511,002 $ 2,418,020 $ 2,492,085 $ 2,517,371 E 2/28/02 $ 2,508,993 $ 2,434,947 $ 2,510,028 $ 2,552,614 E 3/31/02 $ 2,647,490 $ 2,566,677 $ 2,646,322 $ 2,687,647 E 4/30/02 $ 2,681,643 $ 2,583,617 $ 2,663,523 $ 2,706,461 E 5/31/02 $ 2,727,767 $ 2,616,429 $ 2,692,556 $ 2,745,163 E 6/30/02 $ 2,585,377 $ 2,512,295 $ 2,576,237 $ 2,636,729 E 7/31/02 $ 2,324,513 $ 2,264,332 $ 2,325,054 $ 2,373,584 E 8/31/02 $ 2,348,688 $ 2,259,124 $ 2,325,287 $ 2,375,482 E 9/30/02 $ 2,077,884 $ 2,016,494 $ 2,078,806 $ 2,119,643 E10/31/02 $ 2,210,245 $ 2,124,780 $ 2,190,230 $ 2,229,652 E11/30/02 $ 2,330,483 $ 2,221,245 $ 2,295,580 $ 2,335,115 E12/31/02 $ 2,215,823 $ 2,146,611 $ 2,221,433 $ 2,260,391 E 1/31/03 $ 2,102,373 $ 2,057,097 $ 2,143,461 $ 2,177,661 E 2/28/03 $ 2,047,711 $ 2,009,990 $ 2,099,949 $ 2,113,202 E 3/31/03 $ 1,980,751 $ 1,970,594 $ 2,059,210 $ 2,061,429 E 4/30/03 $ 2,179,582 $ 2,163,712 $ 2,257,717 $ 2,265,510
Source: Lipper Analytical Services, Inc. Past performance is no guarantee of future results. Investment returns and principal value will fluctuate so that an investor's shares, when redeemed, may be worth more or less than the original cost. The Fund commenced operations on 4/30/01. All Shares Classes were introduced on 4/30/01. The graph illustrates comparative performance for $3,000,000 invested in Institutional Shares of the JPMorgan Fleming Tax Aware International Opportunities Fund, MSCI All Country World Index Free (ex U.S.), MSCI EAFE USD Net and Lipper International Funds Index from April 30, 2001 to April 30, 2003. The performance of the Fund assumes reinvestment of all dividends and capital gains and does not include a sales charge. The performance of the indices does not include a sales charge and has been adjusted to reflect reinvestment of all dividends and capital gains of the securities included in the benchmark. The MSCI EAFE (Europe, Australasia, Far East) Index is a replica (or model) of the performance of the world's equity markets, excluding the U.S. and Canada. The MSCI All Country World Index Free (ex U.S.) is an unmanaged index that measures developed and emerging foreign stock market performance. The Lipper International Funds Index represents the total returns of the funds in the category, as defined by Lipper, Inc. Investors cannot invest directly in an index. Institutional Shares have a $3,000,000 minimum initial deposit and carry no sales charge. Certain fees and expenses of the Fund are currently being waived and reimbursed as described in the prospectus. Had the expenses not been subsidized or waived, returns would have been lower. Also all performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares. International investing involves a greater degree of risk and increased volatility. Changes in currency exchange rates and differences in accounting and taxation policies outside the U.S. can raise or lower returns. Also, some overseas markets may not be as politically and economically stable as the United States and other nations. (UNAUDITED) 6 JPMORGAN TAX AWARE DISCIPLINED EQUITY FUND As of April 30, 2003 Q: HOW DID THE FUND PERFORM? A: JPMorgan Tax Aware Disciplined Equity Fund, which seeks to provide high after tax return from a portfolio of selected equity securities, rose 4.41% (Institutional Shares) during the six months ended April 30, 2003. This compares with a rise of 4.48% for the Fund's benchmark, the S&P 500 Index. Q: WHY DID THE FUND PERFORM IN THIS WAY? A: The Fund slightly underperformed its benchmark during the reporting period. On an individual-security level, stock selection was weak in the Software, Energy and Consumer Staples sectors. One of the highest profile detractors from performance was Altria (formerly Philip Morris), which faced a multi-billion dollar lawsuit from Illinois smokers who claim they were misled over the dangers of smoking "light" cigarettes. On the flip side, within the Financial sector, the single greatest contributor to performance was Countrywide Financial, which benefited from the wave of mortgage refinancing sparked by lower interest rates. Additionally, the Pharmaceutical sector was also an area of outperformance due to the Fund's high weighting in the biotechnology sub-sector. Biotechnology stock prices rose both in reaction to good news regarding their products, and as investors' risk appetites improved. Q: HOW WAS THE FUND MANAGED? A: The Fund continued to focus on selecting stocks whose prices we believe will outperform the sector average return. In each sector it takes modest overweight positions in those stocks which the manager considers to be undervalued or fairly valued, while taking modestly underweight positions in those considered overvalued. (UNAUDITED) 7 [CHART] PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS Consumer Goods & Services 21.60% Finance & Insurance 19.50% Technology 16.40% Industrial Products & Services 13.80% Pharmaceuticals 11.40% Energy 6.00% Health Services & Systems 4.30% Telecommunications 3.80% Utilities 2.60% REITs 0.40% Short-Term Investments 0.20%
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO 1. MICROSOFT CORP. (4.2%) 2. GENERAL ELECTRIC CO. (4.0%) 3. CITIGROUP, INC. (3.4%) 4. PFIZER, INC. (2.8%) 5. WAL-MART STORES, INC. (2.6%) 6. THE COCA-COLA CO. (2.2%) 7. EXXON MOBIL CORP. (2.1%) 8. PROCTER & GAMBLE CO. (2.0%) 9. INTERNATIONAL BUSINESS MACHINES CORP. (1.9%) 10. JOHNSON & JOHNSON (1.7%) TOP 10 EQUITY HOLDINGS COMPRISED 26.9% OF THE PORTFOLIO'S MARKET VALUE OF INVESTMENTS ($47,557 IN THOUSANDS). AS OF APRIL 30, 2003 THE FUND HELD 198 EQUITY HOLDINGS. PORTFOLIO HOLDINGS ARE SUBJECT TO CHANGE AT ANY TIME. AVERAGE ANNUAL TOTAL RETURNS
SINCE INCEPTION 1 YEAR 3 YEARS 5 YEARS (1/30/97) ------------------------------------------------------------------------- Institutional Shares (14.26%) (12.98%) (2.90%) 4.09%
(UNAUDITED) 8 [CHART] LIFE OF FUND PERFORMANCE (1/30/97 TO 4/30/03)
JPMORGAN TAX AWARE DISCIPLINED LIPPER LARGE-CAP EQUITY FUND (INSTITUTIONAL SHARES) S&P 500 INDEX CORE FUNDS INDEX ---------------------------------- ------------- ---------------- 1/30/1997 $ 3,000,000 $ 3,000,000 $ 3,000,000 1/31/1997 $ 3,009,000 $ 3,000,000 $ 3,000,000 2/28/1997 $ 3,036,081 $ 3,023,400 $ 2,996,400 3/31/1997 $ 2,900,975 $ 2,899,138 $ 2,868,154 4/30/1997 $ 3,075,034 $ 3,072,217 $ 3,027,050 5/31/1997 $ 3,302,894 $ 3,259,315 $ 3,210,792 6/30/1997 $ 3,458,791 $ 3,405,332 $ 3,350,140 7/31/1997 $ 3,758,668 $ 3,676,397 $ 3,614,801 8/31/1997 $ 3,569,607 $ 3,470,518 $ 3,430,808 9/30/1997 $ 3,752,728 $ 3,660,703 $ 3,607,494 10/31/1997 $ 3,623,634 $ 3,538,435 $ 3,496,384 11/30/1997 $ 3,779,450 $ 3,702,265 $ 3,610,715 12/31/1997 $ 3,844,456 $ 3,765,944 $ 3,676,430 1/31/1998 $ 3,895,972 $ 3,807,746 $ 3,712,827 2/28/1998 $ 4,179,989 $ 4,082,284 $ 3,976,066 3/31/1998 $ 4,394,422 $ 4,291,297 $ 4,172,882 4/30/1998 $ 4,463,854 $ 4,334,639 $ 4,215,028 5/31/1998 $ 4,421,447 $ 4,260,083 $ 4,142,951 6/30/1998 $ 4,581,946 $ 4,433,043 $ 4,339,741 7/31/1998 $ 4,539,334 $ 4,386,053 $ 4,304,589 8/31/1998 $ 3,857,526 $ 3,751,829 $ 3,660,192 9/30/1998 $ 4,120,995 $ 3,992,322 $ 3,842,104 10/31/1998 $ 4,466,334 $ 4,316,897 $ 4,130,261 11/30/1998 $ 4,794,163 $ 4,578,501 $ 4,376,012 12/31/1998 $ 5,067,430 $ 4,842,223 $ 4,666,579 1/31/1999 $ 5,235,162 $ 5,044,628 $ 4,829,909 2/28/1999 $ 5,077,060 $ 4,887,740 $ 4,680,665 3/31/1999 $ 5,281,158 $ 5,083,250 $ 4,868,828 4/30/1999 $ 5,552,082 $ 5,279,971 $ 4,999,313 5/31/1999 $ 5,445,482 $ 5,155,364 $ 4,866,831 6/30/1999 $ 5,753,696 $ 5,441,487 $ 5,138,400 7/31/1999 $ 5,561,522 $ 5,271,712 $ 4,987,845 8/31/1999 $ 5,494,228 $ 5,245,354 $ 4,936,969 9/30/1999 $ 5,307,974 $ 5,101,631 $ 4,803,177 10/31/1999 $ 5,570,718 $ 5,424,564 $ 5,097,612 11/30/1999 $ 5,677,676 $ 5,534,683 $ 5,222,503 12/31/1999 $ 5,949,069 $ 5,860,676 $ 5,569,800 1/31/2000 $ 5,651,021 $ 5,566,470 $ 5,344,780 2/29/2000 $ 5,528,394 $ 5,461,264 $ 5,343,176 3/31/2000 $ 6,077,916 $ 5,995,375 $ 5,807,498 4/30/2000 $ 5,844,524 $ 5,814,915 $ 5,617,593 5/31/2000 $ 5,734,062 $ 5,695,709 $ 5,474,345 6/30/2000 $ 5,872,253 $ 5,835,823 $ 5,674,706 7/31/2000 $ 5,780,059 $ 5,744,784 $ 5,586,180 8/31/2000 $ 6,152,873 $ 6,101,535 $ 5,971,627 9/30/2000 $ 5,838,461 $ 5,779,374 $ 5,653,936 10/31/2000 $ 5,823,281 $ 5,755,101 $ 5,588,350 11/30/2000 $ 5,372,559 $ 5,301,599 $ 5,096,576 12/31/2000 $ 5,409,630 $ 5,327,577 $ 5,158,754 1/31/2001 $ 5,647,653 $ 5,516,706 $ 5,304,746 2/28/2001 $ 5,124,681 $ 5,013,582 $ 4,810,875 3/31/2001 $ 4,799,776 $ 4,695,721 $ 4,515,487 4/30/2001 $ 5,205,357 $ 5,060,579 $ 4,858,664 5/31/2001 $ 5,261,054 $ 5,094,485 $ 4,885,872 6/30/2001 $ 5,140,050 $ 4,970,689 $ 4,755,908 7/31/2001 $ 5,103,042 $ 4,921,976 $ 4,686,948 8/31/2001 $ 4,792,777 $ 4,613,860 $ 4,410,886 9/30/2001 $ 4,368,137 $ 4,241,522 $ 4,076,100 10/31/2001 $ 4,452,005 $ 4,322,535 $ 4,172,296 11/30/2001 $ 4,805,494 $ 4,654,073 $ 4,445,581 12/31/2001 $ 4,842,496 $ 4,695,029 $ 4,495,816 1/31/2002 $ 4,733,540 $ 4,626,482 $ 4,424,783 2/28/2002 $ 4,636,976 $ 4,537,190 $ 4,350,446 3/31/2002 $ 4,801,589 $ 4,707,789 $ 4,498,361 4/30/2002 $ 4,492,366 $ 4,422,497 $ 4,263,097 5/31/2002 $ 4,451,935 $ 4,389,770 $ 4,231,976 6/30/2002 $ 4,124,273 $ 4,077,219 $ 3,939,547 7/31/2002 $ 3,801,755 $ 3,759,196 $ 3,646,839 8/31/2002 $ 3,836,351 $ 3,784,006 $ 3,676,743 9/30/2002 $ 3,409,748 $ 3,372,685 $ 3,319,731 10/31/2002 $ 3,689,348 $ 3,669,481 $ 3,577,674 11/30/2002 $ 3,906,281 $ 3,885,614 $ 3,737,596 12/31/2002 $ 3,671,514 $ 3,657,528 $ 3,540,625 1/31/2003 $ 3,573,852 $ 3,561,701 $ 3,447,860 2/28/2003 $ 3,520,244 $ 3,508,275 $ 3,402,004 3/31/2003 $ 3,557,558 $ 3,542,306 $ 3,430,581 4/30/2003 $ 3,852,491 $ 3,834,192 $ 3,683,414
Source: Lipper Analytical Services, Inc. Past performance is no guarantee of future results. Investment returns and principal value will fluctuate so that an investor's shares, when redeemed, may be worth more or less than the original cost. The Fund commenced operations on 1/30/97. The graph illustrates comparative performance for $3,000,000 invested in Institutional Shares of the JPMorgan Tax Aware Disciplined Equity Fund, S&P 500 Index, and Lipper Large-Cap Core Funds Index from January 30, 1997 to April 30, 2003. The performance of the Fund assumes reinvestment of all dividends and capital gains and does not include a sales charge. The performance of the indices reflects an initial investment at the end of the month following the Fund's inception. The performance of the indices does not include a sales charge and has been adjusted to reflect reinvestment of all dividends and capital gains of the securities included in the benchmark. The S&P 500 Index is a broad-based index that replicates the U.S. stock market. The Lipper Large-Cap Core Funds Index represents the total returns of the funds in the indicated category, as defined by Lipper, Inc. Investors cannot invest directly in an index. Institutional Shares have a $3,000,000 minimum initial deposit and carry no sales charge. Certain fees and expenses of the Fund are currently being waived and reimbursed as described in the prospectus. Had the expenses not been subsidized or waived, returns would have been lower. Also all performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares. (UNAUDITED) 9 JPMORGAN TAX AWARE ENHANCED INCOME FUND As of April 30, 2003 Q: HOW DID THE FUND PERFORM? A: JPMorgan Tax Aware Enhanced Income Fund, which seeks to provide high after-tax current income consistent with principal preservation, returned 1.34% (Institutional Shares) for the six-month period ended April 30, 2003. This compares to the 0.68% return from the Fund's benchmark index, the Merrill Lynch 3-Month U.S. Treasury Bill Index. Q: WHY DID THE FUND OUTPERFORM ITS BENCHMARK? A: The chief contributor to the Fund's outperformance was our tactical allocation to mortgage-backed securities. Slightly positive was our duration position and our small allocation to investment-grade corporate bonds, which benefited from a general narrowing in credit spreads. We took advantage of a rare drop in municipal prices in high-tax states (such as New York and California), purchasing issues at levels below their in-state advantage. Q: HOW WAS THE FUND MANAGED? A: Contradictory economic data and geopolitical anxiety buffeted the financial markets during most of the reporting period. The Federal Reserve Board maintained an accommodative monetary policy, lowering the Federal Funds Rate by 1/2 percent in November. Surprisingly, the fixed income markets paid little attention to disappointing economic data in the first months of 2003, and the decline in bond yields was less dramatic than the data would have justified. In 2002, municipal issuance reached a record $320 billion, as municipalities took advantage of low interest rates to refinance outstanding debt and raise new money. This torrid pace continued into 2003 with $113 billion in new issuance by the end of April, 21% more than during the same period last year. The heavy supply was met with strong demand from retail and institutional investors. The ratio (the difference in prices) between municipal and taxable securities was volatile during the period. We took advantage of the situation by increasing our allocation to mortgages when municipals were expensive and reducing our position when municipals came under pressure. We shortened our duration position toward the end of 2002, which detracted from performance as Treasuries closed the year with a strong rally. We maintained our short position into January, recouping our losses as Treasury prices fell. We selectively added high-quality California city and local municipality issues to the portfolios because of improved investor sentiment about the state's budget shortfalls. (UNAUDITED) 10 AVERAGE ANNUAL TOTAL RETURNS
SINCE INCEPTION 1 YEAR 3 YEARS (4/16/99) ----------------------------------------------------------------------- Class A Shares Without Sales Charge 1.38% 3.60% 3.41% With Sales Charge* (0.10%) 3.08% 3.03% ----------------------------------------------------------------------- Institutional Shares 1.90% 3.95% 3.73% ----------------------------------------------------------------------- Select Shares 1.64% 3.73% 3.50% -----------------------------------------------------------------------
[CHART] LIFE OF FUND PERFORMANCE (4/16/99 TO 4/30/03)
JPMORGAN TAX AWARE ENHANCED MERRILL LYNCH 3-MONTH LIPPER SHORT-INTERMEDIATE INCOME FUND (INSTITUTIONAL SHARES) U.S. TREASURY BILL INDEX INVESTMENT GRADE FUNDS INDEX ---------------------------------- ------------------------ ---------------------------- 4/16/1999 $ 3,000,000 $ 3,000,000 $ 3,000,000 4/30/1999 $ 3,003,000 $ 3,011,400 $ 3,009,000 5/31/1999 $ 3,011,408 $ 3,023,144 $ 2,991,247 6/30/1999 $ 3,005,386 $ 3,035,842 $ 2,992,443 7/31/1999 $ 3,015,604 $ 3,048,289 $ 2,989,152 8/31/1999 $ 3,025,857 $ 3,060,482 $ 2,992,739 9/30/1999 $ 3,036,145 $ 3,074,254 $ 3,019,673 10/31/1999 $ 3,046,771 $ 3,086,244 $ 3,026,015 11/30/1999 $ 3,056,826 $ 3,098,589 $ 3,032,369 12/31/1999 $ 3,068,136 $ 3,112,532 $ 3,027,821 1/31/2000 $ 3,063,841 $ 3,125,916 $ 3,019,646 2/29/2000 $ 3,074,564 $ 3,139,670 $ 3,041,387 3/31/2000 $ 3,101,928 $ 3,155,996 $ 3,067,239 4/30/2000 $ 3,096,344 $ 3,170,830 $ 3,063,558 5/31/2000 $ 3,107,801 $ 3,190,172 $ 3,069,685 6/30/2000 $ 3,134,528 $ 3,203,889 $ 3,116,651 7/31/2000 $ 3,146,752 $ 3,218,307 $ 3,137,221 8/31/2000 $ 3,159,339 $ 3,235,042 $ 3,170,162 9/30/2000 $ 3,171,977 $ 3,252,188 $ 3,199,011 10/31/2000 $ 3,185,299 $ 3,269,099 $ 3,207,328 11/30/2000 $ 3,197,722 $ 3,287,079 $ 3,244,533 12/31/2000 $ 3,226,821 $ 3,305,158 $ 3,293,526 1/31/2001 $ 3,239,406 $ 3,326,972 $ 3,341,611 2/28/2001 $ 3,250,420 $ 3,339,615 $ 3,371,351 3/31/2001 $ 3,278,373 $ 3,354,977 $ 3,394,614 4/30/2001 $ 3,273,128 $ 3,369,739 $ 3,390,540 5/31/2001 $ 3,300,622 $ 3,382,881 $ 3,408,849 6/30/2001 $ 3,311,184 $ 3,392,691 $ 3,421,462 7/31/2001 $ 3,321,449 $ 3,403,887 $ 3,483,732 8/31/2001 $ 3,341,045 $ 3,414,779 $ 3,512,299 9/30/2001 $ 3,353,073 $ 3,429,463 $ 3,554,798 10/31/2001 $ 3,364,809 $ 3,438,380 $ 3,600,655 11/30/2001 $ 3,365,145 $ 3,445,944 $ 3,566,088 12/31/2001 $ 3,370,866 $ 3,451,458 $ 3,551,111 1/31/2002 $ 3,387,720 $ 3,456,635 $ 3,567,801 2/28/2002 $ 3,396,867 $ 3,461,128 $ 3,593,846 3/31/2002 $ 3,396,527 $ 3,466,320 $ 3,549,282 4/30/2002 $ 3,412,831 $ 3,471,866 $ 3,593,293 5/31/2002 $ 3,418,974 $ 3,477,421 $ 3,621,680 6/30/2002 $ 3,421,367 $ 3,482,290 $ 3,632,908 7/31/2002 $ 3,424,446 $ 3,487,513 $ 3,657,248 8/31/2002 $ 3,426,844 $ 3,492,395 $ 3,699,307 9/30/2002 $ 3,432,327 $ 3,497,983 $ 3,748,877 10/31/2002 $ 3,431,640 $ 3,503,230 $ 3,739,505 11/30/2002 $ 3,441,249 $ 3,508,835 $ 3,739,505 12/31/2002 $ 3,447,099 $ 3,513,046 $ 3,804,572 1/31/2003 $ 3,459,853 $ 3,516,559 $ 3,806,855 2/28/2003 $ 3,465,043 $ 3,519,724 $ 3,851,776 3/31/2003 $ 3,471,280 $ 3,523,948 $ 3,856,398 4/30/2003 $ 3,478,406 $ 3,527,119 $ 3,881,465
Source: Lipper Analytical Services, Inc. Past performance is no guarantee of the future results. Investment returns and principal value will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. * Sales Charge for Class A Shares is 1.50%. The Fund commenced operations on 4/16/99. Returns for the Select Shares prior to 5/6/99 (offering date of the Select Shares) are calculated using the historical expenses of the Institutional Shares, which are lower than the expenses of the Select Shares. Returns for the Class A Shares prior to 11/30/01 (offering date of the Class A Shares) are calculated using the historical expenses of the Select Shares, which are lower than the expenses of the Class A Shares. The graph illustrates comparative performance for $3,000,000 invested in Institutional Shares of the JPMorgan Tax Aware Enhanced Income Fund, Merrill Lynch 3-Month U.S. Treasury Bill Index, and Lipper Short-Intermediate Investment Grade Funds Index from April 16, 1999 to April 30, 2003. The performance of the Fund assumes reinvestment of all dividends and capital gains and does not include a sales charge. The performance of the indices reflects an initial investment at the end of the month following the Fund's inception. The performance of the indices does not include a sales charge and has been adjusted to reflect reinvestment of all dividends and capital gains of the securities included in the benchmark. The Merrill Lynch 3-Month U.S. Treasury Bill Index is an unmanaged index that tracks the performance of the 3-Month U.S. Treasury Market. The Lipper Short-Intermediate Investment Grade Funds Index represents the total returns of the funds in the indicated category, as defined by Lipper, Inc. Investors cannot invest directly in an index. Institutional Shares have a $3,000,000 minimum initial deposit and carry no sales charge. (UNAUDITED) 11 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. (UNAUDITED) 12 JPMORGAN TAX AWARE LARGE CAP GROWTH FUND As of April 30, 2003 Q: HOW DID THE FUND PERFORM? A: JPMorgan Tax Aware Large Cap Growth Fund, which seeks to provide long term capital growth while minimizing capital gain distributions from a portfolio of large cap equity securities, had a total return of 3.65% (Select Shares) during the six months ended April 30, 2003. This compares to the 4.28% return from the Fund's benchmark, the Russell 1000 Growth Index. Q: WHY DID THE FUND PERFORM THIS WAY? A: Undermining performance was an overweight position in the Software & Services sector, and underweight positions in the Retail and Insurance sectors. The Fund's 2% overweight in Software & Services detracted 0.62% from performance, while an underweight position in Retail and Insurance detracted 0.30% and 0.24%, respectively. On a stock-specific level, investments in Automatic Data Processing, Home Depot and AIG negatively affected performance. The top performing sectors included Pharmaceuticals, Consumer Staples and Capital Markets. These sectors added a total of 1.19% to performance. Excellent stock selection, including Amgen, Mylan Labs, YUM (a quick service restaurant group), Colgate Palmolive, Proctor & Gamble Co., Goldman Sachs and American Express, enhanced returns. The Fund also benefited from not owning Altria Group (formerly Phillip Morris). Q: HOW WAS THE FUND MANAGED? A: We continued to barbell the Fund with an overweight position in the technology sector, balanced to some extent by overweights in the Consumer Staples and Pharmaceuticals sectors. Given relatively high unemployment levels and weak consumer confidence numbers, among other factors, we questioned the willingness and/or ability of the consumer to continue to spend. We thus chose to underweight the Consumer Cyclical sector, which underperformed the Russell 1000 Growth Index. We remained fairly well diversified in technology, as news flow remained mixed to negative. (UNAUDITED) 13 [CHART] PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS Technology 27.60% Pharmaceuticals 24.70% Consumer Goods & Services 23.80% Finance & Insurance 11.60% Industrial Products & Services 5.50% Health Services & Systems 3.10% Energy 2.20% Short-Term Investments 0.90% Telecommunications 0.60%
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO 1. MICROSOFT CORP. (7.1%) 2. GENERAL ELECTRIC CO. (5.5%) 3. PFIZER, INC. (5.4%) 4. WAL-MART STORES, INC. (5.2%) 5. JOHNSON & JOHNSON (3.9%) 6. INTEL CORP. (3.8%) 7. AMGEN, INC. (3.0%) 8. INTERNATIONAL BUSINESS MACHINES CORP. (3.0%) 9. THE COCA-COLA CO. (2.9%) 10. CISCO SYSTEMS, INC. (2.6%) TOP 10 EQUITY HOLDINGS COMPRISED 42.4% OF THE PORTFOLIO'S MARKET VALUE OF INVESTMENTS ($111,194 IN THOUSANDS). AS OF APRIL 30, 2003 THE FUND HELD 53 EQUITY HOLDINGS. PORTFOLIO HOLDINGS ARE SUBJECT TO CHANGE AT ANY TIME. AVERAGE ANNUAL TOTAL RETURNS
1 YEAR 3 YEARS 5 YEARS 10 YEARS ---------------------------------------------------------------- Select Shares (12.56%) (21.69%) (4.57%) 7.61%
(UNAUDITED) 14 [CHART] TEN-YEAR PERFORMANCE (4/30/93 TO 4/30/03)
JPMORGAN TAX AWARE LARGE CAP GROWTH RUSSELL 1000 S&P 500/BARRA LIPPER LARGE CAP FUND (SELECT SHARES) GROWTH INDEX GROWTH INDEX GROWTH FUNDS INDEX -------------------- ------------ ------------- ------------------ 4/30/1993 $ 1,000,000 $ 1,000,000 $ 1,000,000 $ 1,000,000 5/31/1993 $ 1,021,100 $ 1,035,000 $ 1,035,600 $ 1,037,800 6/30/1993 $ 1,005,477 $ 1,025,478 $ 1,026,797 $ 1,046,102 7/31/1993 $ 1,003,969 $ 1,007,122 $ 1,005,645 $ 1,038,989 8/31/1993 $ 1,037,200 $ 1,048,414 $ 1,042,351 $ 1,082,107 9/30/1993 $ 1,037,097 $ 1,040,551 $ 1,026,403 $ 1,098,339 10/31/1993 $ 1,052,860 $ 1,069,478 $ 1,064,586 $ 1,110,860 11/30/1993 $ 1,046,859 $ 1,062,420 $ 1,063,840 $ 1,088,420 12/31/1993 $ 1,072,403 $ 1,080,799 $ 1,071,287 $ 1,122,270 1/31/1994 $ 1,104,789 $ 1,105,766 $ 1,094,213 $ 1,163,121 2/28/1994 $ 1,084,019 $ 1,085,641 $ 1,074,626 $ 1,144,278 3/31/1994 $ 1,033,612 $ 1,033,205 $ 1,024,979 $ 1,088,323 4/30/1994 $ 1,035,163 $ 1,038,061 $ 1,029,591 $ 1,093,656 5/31/1994 $ 1,058,040 $ 1,053,735 $ 1,046,373 $ 1,100,218 6/30/1994 $ 1,034,128 $ 1,022,650 $ 1,024,086 $ 1,059,180 7/31/1994 $ 1,060,705 $ 1,057,625 $ 1,056,754 $ 1,089,578 8/31/1994 $ 1,097,405 $ 1,116,534 $ 1,113,185 $ 1,145,473 9/30/1994 $ 1,069,531 $ 1,101,238 $ 1,097,266 $ 1,118,211 10/31/1994 $ 1,096,591 $ 1,127,227 $ 1,122,832 $ 1,146,837 11/30/1994 $ 1,072,575 $ 1,091,156 $ 1,086,004 $ 1,104,519 12/31/1994 $ 1,098,853 $ 1,109,487 $ 1,104,791 $ 1,113,134 1/31/1995 $ 1,124,457 $ 1,133,119 $ 1,132,190 $ 1,121,817 2/28/1995 $ 1,175,507 $ 1,180,597 $ 1,176,346 $ 1,160,407 3/31/1995 $ 1,206,540 $ 1,215,071 $ 1,213,283 $ 1,193,363 4/30/1995 $ 1,224,276 $ 1,241,681 $ 1,244,828 $ 1,225,942 5/31/1995 $ 1,257,087 $ 1,285,015 $ 1,289,393 $ 1,266,520 6/30/1995 $ 1,296,434 $ 1,334,617 $ 1,338,777 $ 1,331,239 7/31/1995 $ 1,333,253 $ 1,390,137 $ 1,381,484 $ 1,403,659 8/31/1995 $ 1,349,785 $ 1,391,666 $ 1,376,925 $ 1,411,519 9/30/1995 $ 1,396,622 $ 1,455,822 $ 1,444,945 $ 1,463,887 10/31/1995 $ 1,383,634 $ 1,456,841 $ 1,456,505 $ 1,455,543 11/30/1995 $ 1,460,149 $ 1,513,512 $ 1,508,939 $ 1,501,392 12/31/1995 $ 1,463,653 $ 1,522,139 $ 1,525,990 $ 1,501,993 1/31/1996 $ 1,489,267 $ 1,573,131 $ 1,584,283 $ 1,546,151 2/29/1996 $ 1,511,457 $ 1,601,919 $ 1,598,700 $ 1,580,940 3/31/1996 $ 1,520,526 $ 1,604,001 $ 1,591,985 $ 1,581,730 4/30/1996 $ 1,536,948 $ 1,646,187 $ 1,623,029 $ 1,619,375 5/31/1996 $ 1,555,391 $ 1,703,639 $ 1,682,756 $ 1,667,147 6/30/1996 $ 1,559,902 $ 1,706,024 $ 1,703,791 $ 1,652,143 7/31/1996 $ 1,461,472 $ 1,606,051 $ 1,625,246 $ 1,563,753 8/31/1996 $ 1,494,940 $ 1,647,487 $ 1,649,300 $ 1,610,666 9/30/1996 $ 1,578,357 $ 1,767,424 $ 1,763,761 $ 1,722,768 10/31/1996 $ 1,592,562 $ 1,778,028 $ 1,802,035 $ 1,744,302 11/30/1996 $ 1,723,471 $ 1,911,558 $ 1,936,647 $ 1,857,159 12/31/1996 $ 1,675,214 $ 1,874,092 $ 1,891,910 $ 1,811,101 1/31/1997 $ 1,715,586 $ 2,005,466 $ 2,040,047 $ 1,925,925 2/28/1997 $ 1,696,715 $ 1,991,828 $ 2,057,183 $ 1,898,192 3/31/1997 $ 1,635,973 $ 1,884,071 $ 1,959,467 $ 1,801,004 4/30/1997 $ 1,747,873 $ 2,009,173 $ 2,117,596 $ 1,899,880 5/31/1997 $ 1,879,838 $ 2,154,235 $ 2,243,169 $ 2,028,881 6/30/1997 $ 1,972,138 $ 2,240,404 $ 2,356,898 $ 2,113,891 7/31/1997 $ 2,168,760 $ 2,438,456 $ 2,543,564 $ 2,315,980 8/31/1997 $ 2,054,032 $ 2,295,807 $ 2,374,417 $ 2,189,759 9/30/1997 $ 2,155,501 $ 2,408,760 $ 2,495,512 $ 2,310,633 10/31/1997 $ 2,099,243 $ 2,319,636 $ 2,420,397 $ 2,230,454 11/30/1997 $ 2,175,655 $ 2,418,221 $ 2,551,825 $ 2,279,970 12/31/1997 $ 2,225,695 $ 2,445,305 $ 2,583,213 $ 2,310,978 1/31/1998 $ 2,257,968 $ 2,518,419 $ 2,670,008 $ 2,351,882 2/28/1998 $ 2,448,540 $ 2,707,804 $ 2,855,574 $ 2,531,566 3/31/1998 $ 2,552,848 $ 2,815,846 $ 3,003,207 $ 2,649,284 4/30/1998 $ 2,629,944 $ 2,854,705 $ 3,028,434 $ 2,693,792 5/31/1998 $ 2,554,728 $ 2,773,631 $ 2,967,563 $ 2,633,451 6/30/1998 $ 2,708,778 $ 2,943,654 $ 3,179,150 $ 2,784,084 7/31/1998 $ 2,680,065 $ 2,924,226 $ 3,177,242 $ 2,782,692 8/31/1998 $ 2,299,764 $ 2,485,300 $ 2,763,883 $ 2,328,279 9/30/1998 $ 2,488,804 $ 2,676,171 $ 2,948,787 $ 2,497,545 10/31/1998 $ 2,710,557 $ 2,891,335 $ 3,196,190 $ 2,658,636 11/30/1998 $ 2,876,443 $ 3,111,366 $ 3,412,572 $ 2,841,284 12/31/1998 $ 3,135,035 $ 3,392,011 $ 3,672,269 $ 3,153,826 1/31/1999 $ 3,359,190 $ 3,591,122 $ 3,896,645 $ 3,358,509 2/28/1999 $ 3,243,298 $ 3,427,008 $ 3,743,896 $ 3,220,474 3/31/1999 $ 3,449,896 $ 3,607,611 $ 3,925,101 $ 3,403,397 4/30/1999 $ 3,499,920 $ 3,612,301 $ 3,917,643 $ 3,414,969 5/31/1999 $ 3,389,322 $ 3,501,403 $ 3,803,640 $ 3,301,933 6/30/1999 $ 3,642,166 $ 3,746,502 $ 4,075,980 $ 3,531,418 7/31/1999 $ 3,573,329 $ 3,627,363 $ 3,947,179 $ 3,420,531 8/31/1999 $ 3,628,358 $ 3,686,489 $ 4,002,045 $ 3,421,215 9/30/1999 $ 3,602,959 $ 3,609,073 $ 3,934,010 $ 3,386,661 10/31/1999 $ 3,789,232 $ 3,881,558 $ 4,206,244 $ 3,646,418 11/30/1999 $ 3,937,770 $ 4,090,773 $ 4,386,271 $ 3,826,551 12/31/1999 $ 4,305,558 $ 4,516,214 $ 4,710,855 $ 4,251,681 E 1/31/00 $ 4,088,558 $ 4,304,403 $ 4,397,112 $ 4,081,188 E 2/29/00 $ 4,327,330 $ 4,514,889 $ 4,489,451 $ 4,295,859 E 3/31/00 $ 4,570,526 $ 4,838,155 $ 4,904,726 $ 4,597,428 E 4/30/00 $ 4,335,144 $ 4,607,859 $ 4,661,942 $ 4,241,587 E 5/31/00 $ 3,969,691 $ 4,375,623 $ 4,471,735 $ 3,997,272 E 6/30/00 $ 4,338,078 $ 4,707,295 $ 4,832,604 $ 4,261,492 E 7/31/00 $ 4,210,539 $ 4,511,001 $ 4,617,553 $ 4,174,983 E 8/31/00 $ 4,516,645 $ 4,919,246 $ 4,884,909 $ 4,536,119 E 9/30/00 $ 3,952,516 $ 4,453,885 $ 4,408,142 $ 4,190,013 E 10/31/00 $ 3,754,890 $ 4,243,217 $ 4,293,530 $ 3,968,362 E 11/30/00 $ 3,310,687 $ 3,617,767 $ 3,837,128 $ 3,435,808 E 12/31/00 $ 3,241,493 $ 3,503,445 $ 3,670,980 $ 3,414,506 E 1/31/01 $ 3,403,892 $ 3,745,533 $ 3,775,603 $ 3,513,868 E 2/28/01 $ 2,937,899 $ 3,109,542 $ 3,331,970 $ 2,969,921 E 3/31/01 $ 2,662,912 $ 2,771,224 $ 3,031,759 $ 2,661,346 E 4/30/01 $ 2,978,733 $ 3,121,783 $ 3,302,799 $ 2,947,175 E 5/31/01 $ 2,940,010 $ 3,075,893 $ 3,310,725 $ 2,924,776 E 6/30/01 $ 2,898,556 $ 3,004,532 $ 3,265,700 $ 2,840,543 E 7/31/01 $ 2,852,469 $ 2,929,419 $ 3,257,209 $ 2,738,851 E 8/31/01 $ 2,643,668 $ 2,689,793 $ 3,038,324 $ 2,530,699 E 9/30/01 $ 2,375,600 $ 2,421,351 $ 2,834,453 $ 2,276,110 E 10/31/01 $ 2,504,595 $ 2,548,472 $ 2,938,761 $ 2,370,569 E 11/30/01 $ 2,666,392 $ 2,793,380 $ 3,199,135 $ 2,587,713 E 12/31/01 $ 2,672,525 $ 2,788,073 $ 3,203,933 $ 2,599,616 E 1/31/02 $ 2,648,205 $ 2,738,724 $ 3,198,807 $ 2,540,865 E 2/28/02 $ 2,572,466 $ 2,625,067 $ 3,104,442 $ 2,435,673 E 3/31/02 $ 2,619,285 $ 2,715,894 $ 3,178,328 $ 2,533,587 E 4/30/02 $ 2,380,930 $ 2,494,277 $ 2,950,760 $ 2,364,850 E 5/31/02 $ 2,341,645 $ 2,433,916 $ 2,893,515 $ 2,321,810 E 6/30/02 $ 2,123,872 $ 2,208,779 $ 2,661,455 $ 2,132,815 E 7/31/02 $ 2,024,687 $ 2,087,296 $ 2,533,705 $ 1,972,214 E 8/31/02 $ 2,043,921 $ 2,093,558 $ 2,549,668 $ 1,983,061 E 9/30/02 $ 1,819,908 $ 1,876,456 $ 2,285,777 $ 1,790,902 E 10/31/02 $ 2,008,632 $ 2,048,527 $ 2,497,211 $ 1,928,802 E 11/30/02 $ 2,111,876 $ 2,159,762 $ 2,618,326 $ 2,008,654 E 12/31/02 $ 1,950,106 $ 2,010,522 $ 2,448,135 $ 1,868,651 E 1/31/03 $ 1,897,648 $ 1,961,667 $ 2,386,687 $ 1,825,485 E 2/28/03 $ 1,893,094 $ 1,952,643 $ 2,379,527 $ 1,805,953 E 3/31/03 $ 1,941,557 $ 1,988,962 $ 2,427,831 $ 1,839,904 E 4/30/03 $ 2,081,548 $ 2,135,946 $ 2,590,496 $ 1,974,585
Source: Lipper Analytical Services, Inc. Past performance is no guarantee of future results. Investment returns and principal value will fluctuate so that an investor's shares, when redeemed, may be worth more or less than the original cost. The Fund commenced operations on 1/1/97. Returns for the Fund prior to 1/1/97 (offering date of the Shares) are calculated using the historical expenses at the level indicated (absent reimbursements) in the Expense Summary for the Fund as disclosed in the Prospectus. The account was not registered with the SEC and was not subject to investment restrictions of registered mutual funds. If the account had been registered, performance may have been adversely affected. The graph illustrates comparative performance for $1,000,000 invested in Select Shares of the JPMorgan Tax Aware Large Cap Growth Fund, Russell 1000 Growth Index, S&P 500/BARRA Growth Index, and Lipper Large-Cap Growth Funds Index from April 30, 1993 to April 30, 2003. The performance of the Fund assumes reinvestment of all dividends and capital gains and does not include a sales charge. The performance of the indices does not include a sales charge and has been adjusted to reflect reinvestment of all dividends and capital gains of the securities included in the benchmark. The Russell 1000 Growth Index measures the performance of those Russell 1000 companies with higher price-to-book ratios and higher forecasted growth values. The S&P 500/BARRA Growth Index contains large U.S. companies with high price-to-book ratios relative to the S&P 500 Index. The Lipper Large-Cap Growth Funds Index represents the total returns of the funds in the indicated category, as defined by Lipper, Inc. Investors cannot invest directly in an index. Select Shares have a $1,000,000 minimum initial deposit and carry no sales charge. Certain fees and expenses of the Fund are currently being waived and reimbursed as described in the prospectus. Had the expenses not been subsidized or waived, returns would have been lower. Also, all performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares. (UNAUDITED) 15 JPMORGAN TAX AWARE LARGE CAP VALUE FUND As of April 30, 2003 Q: HOW DID THE FUND PERFORM? A: JPMorgan Tax Aware Large Cap Value Fund, which seeks to provide income and capital appreciation while minimizing taxable capital gain distributions through a portfolio of large cap equity securities, returned 2.00% (Select Shares) during the six months ended April 30, 2003. This compares to a return of 5.25% from the Fund's benchmark, the Russell 1000 Value Index. Q: WHY DID THE FUND PERFORM THIS WAY? A: Aiding performance were positions in the Media, Industrial Cyclical and Finance sectors, while sector positions in Retail, Capital Markets and Energy detracted from six-month results. This was particularly true of the energy sector, where the Fund's position in Baker Hughes declined on disappointing first-quarter 2003 earnings and a position in GlobalSantafe (GSF) declined on concerns about the company's North Sea exposure. Other stocks that detracted from performance included Altria (formerly Philip Morris), which fell 23% year-to-date through April on concerns about pending litigation and increasing competition from discount cigarettes. Altria was once one of our best performers, but in recent months, we have been aggressively reducing our position in it, primarily due to competitive concerns. Other detractors included Jones Apparel and DTE (Detroit Edison). Jones declined on concerns that a licensing dispute could lead to higher royalty costs and/or the loss of one of the company's most profitable product lines. DTE, a top performer in 2002, suffered from a downgrade by an influential analyst, who cited regulatory issues that might limit the magnitude of the company's cost recovery efforts. Helping performance were investments in American Electric Power, Liberty Media, Fannie Mae, Caterpillar and CIT. Q: HOW WAS THE FUND MANAGED? A: We continued to pursue a strategy that focuses on higher quality companies, avoiding "low quality" stocks hit hard in recent years by liquidity issues, agency downgrades, etc. Examples of the latter include companies in the Wireless Communications, Networking, Telecommunications Equipment and Merchant Energy sectors. We currently favor high quality and defensive names that tend to outperform in a weak economy, such as those in the Consumer Staples, Utilities, and Discount Retail sectors. Unfortunately, in early March both "deep value" and economically sensitive stocks staged major rallies, outperforming their higher quality counterparts, as investors bet on an impending strong economic recovery. During this period, our high-quality, defensive positioning hurt our relative returns. (UNAUDITED) 16 [CHART] PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS Finance & Insurance 32.00% Consumer Goods & Services 17.60% Industrial Products & Services 12.50% Energy 12.20% Utilities 6.50% Telecommunications 5.50% Technology 4.80% Pharmaceuticals 3.10% REITs 2.40% Autos & Transportation 1.70% Health Services & Systems 1.10% Short-Term Investments 0.60%
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO 1. EXXON MOBIL CORP. (5.5%) 2. CITIGROUP, INC. (5.4%) 3. VERIZON COMMUNICATIONS, INC. (3.6%) 4. THE ALLSTATE CORP. (3.5%) 5. AMBAC FINANCIAL GROUP, INC. (3.2%) 6. FANNIE MAE (2.9%) 7. PROCTER & GAMBLE CO. (2.9%) 8. PRAXAIR INC. (2.8%) 9. DTE ENERGY CO. (2.7%) 10. WACHOVIA CORP. (2.7%) TOP 10 EQUITY HOLDINGS COMPRISED 35.2% OF THE PORTFOLIO'S MARKET VALUE OF INVESTMENTS ($113,074 IN THOUSANDS). AS OF APRIL 30, 2003 THE FUND HELD 50 EQUITY HOLDINGS. PORTFOLIO HOLDINGS ARE SUBJECT TO CHANGE AT ANY TIME. AVERAGE ANNUAL TOTAL RETURNS
1 YEAR 3 YEARS 5 YEARS 10 YEARS ------------------------------------------------------------------------ Select Shares (14.06%) (11.20%) (5.15%) 6.16%
(UNAUDITED) 17 [CHART] TEN-YEAR PERFORMANCE (4/30/93 TO 4/30/03)
JPMORGAN TAX AWARE LARGE CAP VALUE RUSSELL 1000 LIPPER EQUITY FUND (SELECT SHARES) VALUE INDEX S&P 500 INDEX INCOME FUNDS INDEX -------------------- ----------- ------------- ------------------ 4/30/1993 $ 1,000,000 $ 1,000,000 $ 1,000,000 $ 1,000,000 5/31/1993 $ 1,039,500 $ 1,020,100 $ 1,026,800 $ 1,015,300 6/30/1993 $ 1,046,153 $ 1,042,644 $ 1,029,778 $ 1,026,265 7/31/1993 $ 1,034,645 $ 1,054,322 $ 1,025,659 $ 1,034,578 8/31/1993 $ 1,072,720 $ 1,092,383 $ 1,064,531 $ 1,069,547 9/30/1993 $ 1,086,451 $ 1,094,131 $ 1,056,334 $ 1,070,402 10/31/1993 $ 1,087,863 $ 1,093,365 $ 1,078,200 $ 1,083,568 11/30/1993 $ 1,056,098 $ 1,070,841 $ 1,067,957 $ 1,064,498 12/31/1993 $ 1,074,263 $ 1,091,187 $ 1,080,880 $ 1,083,658 1/31/1994 $ 1,105,309 $ 1,132,434 $ 1,117,630 $ 1,117,469 2/28/1994 $ 1,082,650 $ 1,093,705 $ 1,087,342 $ 1,089,755 3/31/1994 $ 1,031,441 $ 1,053,019 $ 1,039,934 $ 1,046,165 4/30/1994 $ 1,040,311 $ 1,073,237 $ 1,053,245 $ 1,059,870 5/31/1994 $ 1,051,338 $ 1,085,579 $ 1,070,518 $ 1,071,952 6/30/1994 $ 1,028,419 $ 1,059,526 $ 1,044,290 $ 1,056,195 7/31/1994 $ 1,054,849 $ 1,092,477 $ 1,078,543 $ 1,085,979 8/30/1994 $ 1,091,558 $ 1,123,831 $ 1,122,763 $ 1,122,143 9/30/1994 $ 1,065,252 $ 1,056,207 $ 1,052,119 $ 1,065,454 10/31/1994 $ 1,074,413 $ 1,139,452 $ 1,148,026 $ 1,128,202 11/30/1994 $ 1,027,783 $ 1,093,418 $ 1,106,237 $ 1,086,007 12/31/1994 $ 1,035,800 $ 1,105,993 $ 1,122,610 $ 1,094,370 1/31/1995 $ 1,039,322 $ 1,140,057 $ 1,151,685 $ 1,113,959 2/28/1995 $ 1,091,184 $ 1,185,089 $ 1,196,601 $ 1,149,828 3/31/1995 $ 1,125,556 $ 1,211,043 $ 1,231,901 $ 1,176,964 4/30/1995 $ 1,154,708 $ 1,249,312 $ 1,268,242 $ 1,205,211 5/31/1995 $ 1,199,973 $ 1,301,908 $ 1,318,972 $ 1,242,211 6/30/1995 $ 1,236,212 $ 1,319,484 $ 1,349,572 $ 1,258,733 7/31/1995 $ 1,293,078 $ 1,365,402 $ 1,394,377 $ 1,293,222 8/31/1995 $ 1,302,517 $ 1,384,654 $ 1,397,863 $ 1,309,129 9/30/1995 $ 1,323,227 $ 1,434,778 $ 1,456,853 $ 1,349,843 10/31/1995 $ 1,298,350 $ 1,420,574 $ 1,451,609 $ 1,330,675 11/30/1995 $ 1,356,387 $ 1,492,597 $ 1,515,334 $ 1,386,696 12/31/1995 $ 1,373,341 $ 1,530,061 $ 1,544,580 $ 1,420,948 1/31/1996 $ 1,420,172 $ 1,577,799 $ 1,597,096 $ 1,453,487 2/28/1996 $ 1,440,055 $ 1,589,790 $ 1,611,949 $ 1,464,098 3/31/1996 $ 1,467,848 $ 1,616,817 $ 1,627,424 $ 1,482,545 4/30/1996 $ 1,473,572 $ 1,622,961 $ 1,651,347 $ 1,496,185 5/31/1996 $ 1,492,729 $ 1,643,248 $ 1,693,951 $ 1,518,328 6/30/1996 $ 1,500,939 $ 1,644,562 $ 1,700,388 $ 1,520,606 7/31/1996 $ 1,453,509 $ 1,582,398 $ 1,625,231 $ 1,470,882 8/31/1996 $ 1,490,283 $ 1,627,654 $ 1,659,524 $ 1,504,124 9/30/1996 $ 1,548,255 $ 1,692,435 $ 1,752,955 $ 1,559,476 10/31/1996 $ 1,592,690 $ 1,757,932 $ 1,801,336 $ 1,596,279 11/30/1996 $ 1,692,552 $ 1,885,382 $ 1,937,517 $ 1,687,427 12/31/1996 $ 1,682,227 $ 1,861,250 $ 1,899,155 $ 1,676,627 1/31/1997 $ 1,773,236 $ 1,951,520 $ 2,017,852 $ 1,737,992 2/28/1997 $ 1,794,160 $ 1,980,207 $ 2,033,591 $ 1,761,976 3/31/1997 $ 1,734,414 $ 1,908,920 $ 1,950,010 $ 1,704,888 4/30/1997 $ 1,791,823 $ 1,989,095 $ 2,066,426 $ 1,755,694 5/31/1997 $ 1,889,657 $ 2,100,285 $ 2,192,271 $ 1,856,822 6/30/1997 $ 1,972,991 $ 2,190,387 $ 2,290,485 $ 1,927,010 7/31/1997 $ 2,077,362 $ 2,355,104 $ 2,472,808 $ 2,043,016 8/31/1997 $ 2,005,485 $ 2,271,263 $ 2,334,331 $ 1,977,639 9/30/1997 $ 2,127,419 $ 2,408,447 $ 2,462,252 $ 2,077,906 10/31/1997 $ 2,082,105 $ 2,341,251 $ 2,380,013 $ 2,017,023 11/30/1997 $ 2,152,063 $ 2,444,735 $ 2,490,207 $ 2,083,988 12/31/1997 $ 2,208,232 $ 2,516,121 $ 2,533,039 $ 2,132,128 1/31/1998 $ 2,200,062 $ 2,480,392 $ 2,561,155 $ 2,131,275 2/28/1998 $ 2,272,224 $ 2,647,322 $ 2,745,815 $ 2,246,364 3/31/1998 $ 2,391,970 $ 2,809,338 $ 2,886,401 $ 2,348,125 4/30/1998 $ 2,367,094 $ 2,828,161 $ 2,915,553 $ 2,346,950 5/31/1998 $ 2,344,369 $ 2,786,304 $ 2,865,406 $ 2,318,083 6/30/1998 $ 2,352,106 $ 2,821,969 $ 2,981,741 $ 2,336,859 7/31/1998 $ 2,276,839 $ 2,772,302 $ 2,950,135 $ 2,276,568 8/31/1998 $ 1,976,751 $ 2,359,784 $ 2,523,545 $ 2,002,014 9/30/1998 $ 2,114,135 $ 2,495,235 $ 2,685,304 $ 2,104,918 10/31/1998 $ 2,240,561 $ 2,688,616 $ 2,903,620 $ 2,229,319 11/30/1998 $ 2,324,582 $ 2,813,906 $ 3,079,579 $ 2,323,619 12/31/1998 $ 2,470,333 $ 2,909,578 $ 3,256,963 $ 2,383,103 1/31/1999 $ 2,488,613 $ 2,932,855 $ 3,393,104 $ 2,380,005 2/28/1999 $ 2,415,697 $ 2,891,502 $ 3,287,578 $ 2,335,975 3/31/1999 $ 2,435,747 $ 2,951,356 $ 3,419,081 $ 2,385,264 4/30/1999 $ 2,580,918 $ 3,227,012 $ 3,551,400 $ 2,554,618 5/31/1999 $ 2,528,267 $ 3,191,515 $ 3,467,587 $ 2,518,853 6/30/1999 $ 2,611,194 $ 3,284,069 $ 3,660,038 $ 2,598,197 7/31/1999 $ 2,533,642 $ 3,187,846 $ 3,545,845 $ 2,532,463 8/31/1999 $ 2,443,951 $ 3,069,577 $ 3,528,116 $ 2,473,456 9/30/1999 $ 2,383,341 $ 2,962,142 $ 3,431,445 $ 2,385,896 10/31/1999 $ 2,423,619 $ 3,132,761 $ 3,648,656 $ 2,466,301 11/30/1999 $ 2,452,703 $ 3,108,326 $ 3,722,723 $ 2,452,490 12/31/1999 $ 2,533,397 $ 3,123,245 $ 3,941,992 $ 2,482,900 E 1/31/00 $ 2,468,288 $ 3,021,428 $ 3,744,104 $ 2,388,798 E 2/28/00 $ 2,404,853 $ 2,796,936 $ 3,673,340 $ 2,254,309 E 3/31/00 $ 2,627,062 $ 3,138,162 $ 4,032,593 $ 2,462,833 E 4/30/00 $ 2,595,012 $ 3,101,759 $ 3,911,212 $ 2,444,115 E 5/31/00 $ 2,549,859 $ 3,134,328 $ 3,831,032 $ 2,481,021 E 6/30/00 $ 2,600,091 $ 2,991,089 $ 3,925,275 $ 2,427,679 E 7/31/00 $ 2,560,309 $ 3,028,477 $ 3,864,041 $ 2,441,760 E 8/31/00 $ 2,698,822 $ 3,196,861 $ 4,103,998 $ 2,584,847 E 9/30/00 $ 2,567,929 $ 3,226,272 $ 3,887,307 $ 2,579,160 E 10/31/00 $ 2,577,174 $ 3,305,638 $ 3,870,980 $ 2,633,323 E 11/30/00 $ 2,441,614 $ 3,182,999 $ 3,565,947 $ 2,540,630 E 12/31/00 $ 2,474,820 $ 3,342,467 $ 3,583,420 $ 2,667,915 E 1/31/01 $ 2,472,098 $ 3,355,503 $ 3,710,632 $ 2,690,059 E 2/28/01 $ 2,300,782 $ 3,262,220 $ 3,372,222 $ 2,600,211 E 3/31/01 $ 2,174,699 $ 3,147,063 $ 3,158,423 $ 2,505,043 E 4/30/01 $ 2,333,669 $ 3,301,270 $ 3,403,833 $ 2,635,055 E 5/31/01 $ 2,339,737 $ 3,375,548 $ 3,426,638 $ 2,680,905 E 6/30/01 $ 2,255,506 $ 3,300,611 $ 3,343,371 $ 2,614,419 E 7/31/01 $ 2,262,950 $ 3,293,680 $ 3,310,606 $ 2,611,543 E 8/31/01 $ 2,126,267 $ 3,161,603 $ 3,103,362 $ 2,525,362 E 9/30/01 $ 1,996,565 $ 2,939,026 $ 2,852,921 $ 2,351,364 E 10/31/01 $ 2,024,717 $ 2,913,751 $ 2,907,411 $ 2,363,356 E 11/30/01 $ 2,153,286 $ 3,083,040 $ 3,130,410 $ 2,485,306 E 12/31/01 $ 2,170,512 $ 3,155,799 $ 3,157,958 $ 2,529,047 E 1/31/02 $ 2,142,947 $ 3,131,500 $ 3,111,851 $ 2,504,262 E 2/28/02 $ 2,141,447 $ 3,136,510 $ 3,051,793 $ 2,508,019 E 3/31/02 $ 2,227,961 $ 3,284,867 $ 3,166,540 $ 2,603,073 E 4/30/02 $ 2,114,335 $ 3,172,196 $ 2,974,648 $ 2,514,308 E 5/31/02 $ 2,132,096 $ 3,188,057 $ 2,952,635 $ 2,516,571 E 6/30/02 $ 1,993,936 $ 3,005,063 $ 2,742,408 $ 2,358,782 E 7/31/02 $ 1,843,394 $ 2,725,592 $ 2,528,500 $ 2,169,372 E 8/31/02 $ 1,871,413 $ 2,746,306 $ 2,545,188 $ 2,185,425 E 9/30/02 $ 1,663,312 $ 2,440,917 $ 2,268,526 $ 1,957,922 E 10/31/02 $ 1,781,574 $ 2,621,789 $ 2,468,156 $ 2,076,572 E 11/30/02 $ 1,866,555 $ 2,786,962 $ 2,613,531 $ 2,195,767 E 12/31/02 $ 1,801,972 $ 2,666,007 $ 2,460,116 $ 2,113,646 E 1/31/03 $ 1,734,038 $ 2,601,490 $ 2,395,661 $ 2,054,886 E 2/28/03 $ 1,684,964 $ 2,532,030 $ 2,359,726 $ 2,004,131 E 3/31/03 $ 1,684,122 $ 2,536,335 $ 2,382,616 $ 2,006,936 E 4/30/03 $ 1,817,588 $ 2,759,532 $ 2,578,943 $ 2,160,668
Source: Lipper Analytical Services, Inc. Past performance is no guarantee of future results. Investment returns and principal value will fluctuate so that an investor's shares, when redeemed, may be worth more or less than the original cost. The Fund commenced operations on 1/1/97. Returns for the Fund prior to 1/1/97 (offering date of the Shares) are calculated using the historical expenses at the level indicated (absent reimbursements) in the Expense Summary for the Fund as disclosed in the Prospectus. The account was not registered with the SEC and was not subject to investment restrictions of registered mutual funds. If the account had been registered, performance may have been adversely affected. The graph illustrates comparative performance for $1,000,000 invested in Select Shares of the JPMorgan Tax Aware Large Cap Value Fund, Russell 1000 Value Index, S&P 500 Index, and Lipper Equity Income Funds Index from April 30, 1993, to April 30, 2003. The performance of the Fund assumes reinvestment of all dividends and capital gains and does not include a sales charge. The performance of the indices does not include a sales charge and has been adjusted to reflect reinvestment of all dividends and capital gains of the securities included in the benchmark. The Russell 1000 Value Index measures the performance of the Russell 1000 companies with lower price-to-book ratios and lower forecasted growth values. The S&P 500 Index is an unmanaged broad-based index that replicates the U.S. stock markets. The Lipper Equity Income Funds Index represents the total returns of the funds in the indicated category, as defined by Lipper, Inc. Investors cannot invest directly in an index. Select Shares have a $1,000,000 minimum initial deposit and carry no sales charge. Certain fees and expenses of the Fund are currently being waived and reimbursed as described in the prospectus. Had the expenses not been subsidized or waived, returns would have been lower. Also, all performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares. (UNAUDITED) 18 JPMORGAN TAX AWARE SHORT-INTERMEDIATE INCOME FUND As of April 30, 2003 Q: HOW DID THE FUND PERFORM? A: JPMorgan Tax Aware Short-Intermediate Income Fund, which seeks to maximize after-tax income from a portfolio of tax-exempt and taxable securities, returned 1.52% (Institutional Shares) from its inception on December 20, 2002 through April 30, 2003. This compares to the 1.03% return from the Fund's benchmark index, the Lehman 1-5 Year Municipal Bond Index. Q: WHY DID THE FUND PERFORM THIS WAY? A: The chief contributor to the Fund's outperformance was our tactical allocation to mortgage-backed securities. Slightly positive was our duration position and our small allocation to investment-grade corporate bonds, which benefited from a general narrowing in credit spreads. A flattening in the five- to 10-year part of yield curve enhanced performance. We also took advantage of a rare drop in municipal prices in high-tax states (such as New York and California), purchasing issues at levels below their in-state advantage. Q: HOW WAS THE FUND MANAGED? A: Contradictory economic data and geopolitical anxiety buffeted the financial markets during most of the reporting period. The Federal Reserve Board maintained an accommodative monetary policy, lowering the Federal Funds Rate by 1/2 percent in November. Surprisingly, the fixed income markets paid little attention to disappointing economic data in the first months of 2003, and the decline in bond yields was less dramatic than the data would have justified. In 2002, municipal issuance reached a record $320 billion, as municipalities took advantage of low interest rates to refinance outstanding debt and raise new money. This torrid pace continued into 2003 with $113 billion in new issuance by the end of April, 21% more than during the same period last year. The heavy supply was met with strong demand from retail and institutional investors. The ratio (the difference in prices) between municipal and taxable securities was volatile during the period. We took advantage of the situation by increasing our allocation to mortgages when municipals were expensive and reducing our position when municipals came under pressure. Our shorter-duration position detracted from performance as Treasuries closed 2002 with a strong rally. However, we recouped our losses when Treasury prices fell. We selectively added high-quality California city and local municipality issues to the portfolios because of improved investor sentiment about the state's budget shortfalls. (UNAUDITED) 19 AVERAGE ANNUAL TOTAL RETURNS
SINCE INCEPTION (12/20/02) --------------------------------------------------------- Institutional Shares 1.52% --------------------------------------------------------- Select Shares 1.47% ---------------------------------------------------------
(UNAUDITED) 20 JPMORGAN TAX AWARE U.S. EQUITY FUND As of April 30, 2003 Q: HOW DID THE FUND PERFORM? A: JPMorgan Tax Aware U.S. Equity Fund, which seeks to provide high after tax total return from a portfolio of selected equity securities, rose 3.57% (Select Shares) in the six months ended April 30, 2003. This compares with a rise of 4.48% for the S&P 500 Index. Q. WHY DID THE FUND PERFORM THIS WAY? A: U.S. equities rose during the six months ended April 30, 2003, spurred on chiefly by relief that the war in Iraq was over quickly. While the Fund appreciated in value, its rise did not match that of the S&P 500 Index due to the weak performance of some holdings, and the above-average appreciation of certain stocks that the Fund did not own. There was strong performance from stocks in the Pharmaceutical sector. In particular, biotechnology holdings performed well as investors' risk appetites grew. Biotechnology stocks Amgen and MedImmune both rose more than 30% in price. Additionally, pharmaceutical company Wyeth performed well, with strong first-quarter results helping it to recover in investors' perceptions from the contentious withdrawal of its hormone replacement therapy treatment in the summer of 2002. One of the strongest individual names held was Danaher, the industrial group, which reported record first-quarter results. Another outstanding holding was Capital One Finance, the credit card issuer, which rose by over 30% as sentiment improved from the lows of last year, assisted by strong fourth-quarter earnings. From a negative perspective, several individual names stood out. One of the biggest detractors from performance was Jones Apparel, which may lose a contract for the manufacture of Ralph Lauren garments. AMBAC Financial performed poorly in reaction to worries about municipal government credit quality. Meanwhile, Coca-Cola slid with worries about overseas anti-American sentiment damaging sales. The Fund also suffered from not owning expensively valued stocks such as Ebay, EMC and Yahoo, which performed exceptionally well during the period. Q. HOW WAS THE FUND MANAGED? A: Although the Fund has an objective of minimizing capital gains distributions, this did not constrain portfolio trading because it has considerable losses following the bear market of the last few years. Additionally, the Fund merged with the JPMorgan Select Large Cap Equity Fund during the period, but this did not lead to significant trades because both funds had similar portfolios. (UNAUDITED) 21 [CHART] PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS Consumer Goods & Services 23.60% Finance & Insurance 20.10% Technology 14.50% Industrial Products & Services 13.10% Pharmaceuticals 11.80% Energy 7.50% Telecommunications 3.10% Utilities 2.40% Short-Term Investments 2.00% Health Services & Systems 1.90%
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO 1. EXXON MOBIL CORP. (3.8%) 2. GENERAL ELECTRIC CO. (3.8%) 3. MICROSOFT CORP. (3.8%) 4. CITIGROUP, INC. (3.7%) 5. PFIZER, INC. (3.3%) 6. WAL-MART STORES, INC. (3.1%) 7. PROCTER & GAMBLE CO. (2.6%) 8. INTERNATIONAL BUSINESS MACHINES CORP. (2.5%) 9. FANNIE MAE (2.3%) 10. JOHNSON & JOHNSON (2.0%) TOP 10 EQUITY HOLDINGS COMPRISED 30.9% OF THE PORTFOLIO'S MARKET VALUE OF INVESTMENTS ($175,854 IN THOUSANDS). AS OF APRIL 30, 2003 THE FUND HELD 79 EQUITY HOLDINGS. PORTFOLIO HOLDINGS ARE SUBJECT TO CHANGE AT ANY TIME. (UNAUDITED) 22 AVERAGE ANNUAL TOTAL RETURNS
SINCE INCEPTION 1 YEAR 3 YEAR 5 YEAR (12/18/96) ---------------------------------------------------------------------- Class A Shares Without Sales Charge (13.17%) (12.61%) (2.13%) 5.10% With Sales Charge* (18.18%) (14.32%) (3.28%) 4.12% ---------------------------------------------------------------------- Class B Shares Without CDSC (13.58%) (13.06%) (2.43%) 4.84% With CDSC** (17.90%) (13.93%) (2.81%) 4.84% ---------------------------------------------------------------------- Class C Shares Without CDSC (13.59%) (13.08%) (2.44%) 4.83% With CDSC*** (14.45%) (13.08%) (2.44%) 4.83% ---------------------------------------------------------------------- Institutional Shares (12.83%) (12.58%) (2.10%) 5.12% ---------------------------------------------------------------------- Select Shares (12.89%) (12.55%) (2.08%) 5.13% ----------------------------------------------------------------------
* Sales Charge for Class A Shares is 5.75%. ** Assumes 5% CDSC (contingent deferred sales charge) for the one year period, 3% CDSC for the three year period, 2% CDSC for the five year period and 1% CDSC for the period since inception. *** Assumes a 1% CDSC for the one year period and 0% CDSC thereafter. (UNAUDITED) 23 [CHART] LIFE OF FUND PERFORMANCE (12/18/96 TO 4/30/03)
JPMORGAN TAX AWARE U.S. EQUITY FUND (SELECT SHARES) S&P 500 INDEX LIPPER LARGE-CAP CORE INDEX --------------------------- ------------- --------------------------- 12/18/1996 $ 1,000,000 $ 1,000,000 $ 1,000,000 12/31/1996 $ 1,011,100 $ 980,200 $ 981,600 1/31/1997 $ 1,082,180 $ 1,041,463 $ 1,035,294 2/28/1997 $ 1,085,210 $ 1,049,586 $ 1,034,051 3/31/1997 $ 1,042,128 $ 1,006,448 $ 989,794 4/30/1997 $ 1,090,170 $ 1,066,533 $ 1,044,628 5/31/1997 $ 1,157,215 $ 1,131,485 $ 1,108,037 6/30/1997 $ 1,202,231 $ 1,182,175 $ 1,156,126 7/31/1997 $ 1,321,372 $ 1,276,276 $ 1,247,460 8/31/1997 $ 1,257,285 $ 1,204,805 $ 1,183,964 9/30/1997 $ 1,311,349 $ 1,270,828 $ 1,244,939 10/31/1997 $ 1,258,239 $ 1,228,383 $ 1,206,594 11/30/1997 $ 1,304,290 $ 1,285,257 $ 1,246,050 12/31/1997 $ 1,317,464 $ 1,307,363 $ 1,268,728 1/31/1998 $ 1,338,543 $ 1,321,875 $ 1,281,289 2/28/1998 $ 1,427,021 $ 1,417,182 $ 1,372,132 3/31/1998 $ 1,495,375 $ 1,489,742 $ 1,440,052 4/30/1998 $ 1,527,526 $ 1,504,788 $ 1,454,597 5/31/1998 $ 1,505,377 $ 1,478,906 $ 1,429,723 6/30/1998 $ 1,558,667 $ 1,538,949 $ 1,497,635 7/31/1998 $ 1,544,483 $ 1,522,636 $ 1,485,504 8/31/1998 $ 1,326,865 $ 1,302,463 $ 1,263,124 9/30/1998 $ 1,420,542 $ 1,385,951 $ 1,325,902 10/31/1998 $ 1,532,339 $ 1,498,629 $ 1,425,344 11/30/1998 $ 1,641,288 $ 1,589,446 $ 1,510,152 12/31/1998 $ 1,727,784 $ 1,680,998 $ 1,610,426 1/31/1999 $ 1,783,419 $ 1,751,264 $ 1,666,791 2/28/1999 $ 1,720,821 $ 1,696,799 $ 1,615,287 3/31/1999 $ 1,801,699 $ 1,764,671 $ 1,680,222 4/30/1999 $ 1,889,622 $ 1,832,964 $ 1,725,252 5/31/1999 $ 1,842,004 $ 1,789,706 $ 1,679,533 6/30/1999 $ 1,949,208 $ 1,889,035 $ 1,773,251 7/31/1999 $ 1,884,495 $ 1,830,097 $ 1,721,294 8/31/1999 $ 1,858,112 $ 1,820,946 $ 1,703,737 9/30/1999 $ 1,801,439 $ 1,771,053 $ 1,657,566 10/31/1999 $ 1,900,699 $ 1,883,160 $ 1,759,175 11/30/1999 $ 1,952,398 $ 1,921,388 $ 1,802,275 12/31/1999 $ 2,044,160 $ 2,034,558 $ 1,922,126 1/31/2000 $ 2,007,570 $ 1,932,423 $ 1,844,472 2/29/2000 $ 1,997,331 $ 1,895,900 $ 1,843,919 3/31/2000 $ 2,180,287 $ 2,081,320 $ 2,004,155 4/30/2000 $ 2,055,356 $ 2,018,672 $ 1,938,619 5/31/2000 $ 1,992,257 $ 1,977,289 $ 1,889,184 6/30/2000 $ 2,045,052 $ 2,025,930 $ 1,958,329 7/31/2000 $ 2,055,277 $ 1,994,326 $ 1,927,779 8/31/2000 $ 2,174,483 $ 2,118,173 $ 2,060,795 9/30/2000 $ 2,086,851 $ 2,006,334 $ 1,951,161 10/31/2000 $ 2,089,982 $ 1,997,907 $ 1,928,528 11/30/2000 $ 1,935,114 $ 1,840,472 $ 1,758,817 12/31/2000 $ 1,938,791 $ 1,849,491 $ 1,780,275 1/31/2001 $ 2,005,097 $ 1,915,147 $ 1,830,657 2/28/2001 $ 1,813,210 $ 1,740,486 $ 1,660,222 3/31/2001 $ 1,686,647 $ 1,630,139 $ 1,558,285 4/30/2001 $ 1,818,375 $ 1,756,801 $ 1,676,714 5/31/2001 $ 1,833,649 $ 1,768,572 $ 1,686,104 6/30/2001 $ 1,788,725 $ 1,725,595 $ 1,641,254 7/31/2001 $ 1,777,456 $ 1,708,684 $ 1,617,455 8/31/2001 $ 1,676,318 $ 1,601,721 $ 1,522,187 9/30/2001 $ 1,559,814 $ 1,472,462 $ 1,406,653 10/31/2001 $ 1,593,506 $ 1,500,586 $ 1,439,850 11/30/2001 $ 1,717,162 $ 1,615,681 $ 1,534,161 12/31/2001 $ 1,731,930 $ 1,629,899 $ 1,551,497 1/31/2002 $ 1,674,430 $ 1,606,102 $ 1,526,983 2/28/2002 $ 1,634,411 $ 1,575,105 $ 1,501,330 3/31/2002 $ 1,701,258 $ 1,634,329 $ 1,552,375 4/30/2002 $ 1,578,087 $ 1,535,288 $ 1,469,788 5/31/2002 $ 1,576,036 $ 1,523,927 $ 1,459,059 6/30/2002 $ 1,466,186 $ 1,415,423 $ 1,358,238 7/31/2002 $ 1,358,275 $ 1,305,020 $ 1,257,321 8/31/2002 $ 1,374,710 $ 1,313,634 $ 1,267,631 9/30/2002 $ 1,222,255 $ 1,170,842 $ 1,144,544 10/31/2002 $ 1,327,368 $ 1,273,876 $ 1,233,475 11/30/2002 $ 1,399,445 $ 1,348,907 $ 1,288,611 12/31/2002 $ 1,322,335 $ 1,269,726 $ 1,220,702 1/31/2003 $ 1,282,004 $ 1,236,459 $ 1,188,719 2/28/2003 $ 1,264,441 $ 1,217,912 $ 1,172,909 3/31/2003 $ 1,272,154 $ 1,229,726 $ 1,182,762 4/30/2003 $ 1,375,289 $ 1,331,056 $ 1,269,931
Source: Lipper Analytical Services, Inc. Past performance is no guarantee of future results. Investment returns and principal value will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. The Fund commenced operations on 12/18/96. Returns for the Institutional Shares prior to 9/15/00 (offering date of the Institutional Shares) are calculated using the historical expenses of the Select Shares, which are higher than the expenses of the Institutional Shares. Returns for the Class A, B, and C Shares prior to 4/16/01 (offering date of the Class A, B, and C Shares) are calculated using the historical expenses of the Select Shares, which are lower than the expenses of the Class A, B, and C Shares. The graph illustrates comparative performance for $1,000,000 invested in Select Shares of the JPMorgan Tax Aware U.S. Equity Fund, S&P 500 Index, and Lipper Large-Cap Core Funds Index from December 18, 1996 to April 30, 2003. The performance of the indices reflects an initial investment at the end of the month following the Fund's inception. The performance of the Fund assumes reinvestment of all dividends and capital gains and does not include a sales charge. The performance of the indices does not include a sales charge and has been adjusted to reflect reinvestment of all dividends and capital gains of the securities included in the benchmark. The S&P 500 Index is a broad-based index that replicates the U.S. stock market. The Lipper Large-Cap Core Funds Index represents the total returns of the funds in the indicated category, as defined by Lipper, Inc. Investors cannot invest directly in an index. Select Shares have a $1,000,000 minimum initial deposit and carry no sales charge. Certain fees and expenses of the Fund are currently being waived and reimbursed as described in the prospectus. Had the expenses not been subsidized or waived, returns would have been lower. Also, all performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares. (UNAUDITED) 24 JPMORGAN FLEMING TAX AWARE INTERNATIONAL OPPORTUNITIES FUND Portfolio of Investments As of April 30, 2003 (unaudited) (Amounts in thousands)
SHARES ISSUER VALUE --------------------------------------------------------------------------------- Long-Term Investments -- 100% --------------------------------------------------------------------------------- COMMON STOCKS -- 99.0% Australia -- 3.2% 79 Alumina LTD $ 216 89 Commonwealth Bank of Australia 1,512 308 Foster's Group LTD 863 338 Southern Pacific Petroleum NL * 46 488 WMC Resources LTD * 1,221 ------------ 3,858 Belgium -- 1.0% 54 Interbrew SA 1,208 Finland -- 2.4% 170 Nokia OYJ 2,882 France -- 12.0% 71 BNP Paribas 3,352 44 France Telecom 1,005 10 Lafarge SA 684 26 Pechiney SA, A Shares 743 27 Sanofi-Synthelabo SA 1,601 12 Technip-Coflexip SA 1,022 19 Thales SA 498 21 Total Fina Elf SA 2,791 19 Valeo SA 538 94 Veolia Environnement 2,022 ------------ 14,256 Germany -- 3.4% 5 Adidas-Salomon AG 390 22 Bayerische Motoren Werke AG 736 10 DaimlerChrysler AG 332 27 Deutsche Telekom AG 356 20 E.ON AG 971 27 Schering AG 1,219 ------------ 4,004 Hong Kong -- 2.5% 149 CLP Holdings LTD 609 489 CNOOC LTD 643 43 Sun Hung Kai Properties LTD 202 889 Wharf Holdings LTD 1,556 ------------ 3,010 India -- 2.3% 38 Ranbaxy Laboratories LTD, GDR 591 190 Reliance Industries LTD, GDR, # 2,211 ------------ 2,802 Italy -- 3.1% 59 ENI-Ente Nazionale Idrocarburi SPA 837 652 UniCredito Italiano SPA 2,854 ------------ 3,691 Japan -- 14.9% 28 Aeon Co., LTD 643
See notes to financial statements. 25
SHARES ISSUER VALUE --------------------------------------------------------------------------------- Long-Term Investments -- Continued --------------------------------------------------------------------------------- Japan -- Continued 20 Aiful Corp. $ 761 94 Chugai Pharmaceutical Co., LTD 983 125 Daiwa Securities Group, Inc. 492 60 Fast Retailing Co., LTD 1,743 430 Fujitsu LTD 1,201 56 Honda Motor Co., LTD 1,858 124 JFE Holdings, Inc. 1,488 22 Kyocera Corp. 1,092 95 Matsushita Electric Industrial Co., LTD 757 317 Minebea Co., LTD 941 353 Mitsubishi Chemical Corp. 586 103 Mitsubishi Pharma Corp. 622 140 NEC Corp. 438 7 Nintendo Co., LTD 531 0^^ Nippon Telegraph & Telephone Corp. 918 121 Ricoh Co., LTD 1,856 9 Rohm Co., LTD 907 ------------ 17,817 Mexico -- 1.2% 79 Grupo Financiero BBVA Bancomer SA de CV, ADR * 1,374 Russia -- 2.0% 35 LUKOIL, ADR 2,411 Singapore -- 1.0% 155 DBS Group Holdings LTD 759 551 Singapore Telecommunications LTD 450 ------------ 1,209 South Korea -- 1.6% 32 KT Corp., ADR 638 5 Samsung Electronics Co., LTD, GDR, # 653 42 SK Telecom Co., LTD, ADR 641 ------------ 1,932 Spain -- 3.3% 30 Acerinox SA 1,103 161 Iberdrola SA 2,595 18 Repsol YPF SA 265 ------------ 3,963 Sweden -- 2.2% 154 Assa Abloy AB, Class B 1,464 95 Securitas AB, B Shares 1,112 ------------ 2,576 Switzerland -- 9.2% 99 Credit Suisse Group 2,371 16 Lonza Group AG 970 68 Novartis AG 2,688 13 Roche Holding AG 848 1 Serono SA 365 11 Swiss Reinsurance Co. 723
See notes to financial statements. 26
SHARES ISSUER VALUE --------------------------------------------------------------------------------- Long-Term Investments -- Continued --------------------------------------------------------------------------------- Switzerland -- Continued 46 UBS AG $ 2,195 8 Zurich Financial Services AG 851 ------------ 11,011 The Netherlands -- 5.1% 64 Aegon NV 647 22 Akzo Nobel NV 486 48 Heineken Holding NV, Class A 1,400 37 ING Groep NV 605 162 Koninklijke KPN NV * 1,076 36 Koninklijke Philips Electronics NV 675 41 TPG NV 644 38 Wolters Kluwer NV 491 ------------ 6,024 United Kingdom -- 28.6% 96 Amersham PLC 692 162 Amvescap PLC 880 63 AstraZeneca PLC 2,485 343 Barclays PLC 2,372 145 BBA Group PLC 451 46 British American Tobacco PLC 441 80 British Sky Broadcasting PLC * 824 713 BT Group PLC 2,044 53 Carnival PLC 1,319 239 Centrica PLC 635 290 Dixons Group PLC 515 72 GlaxoSmithKline PLC 1,433 342 Hays PLC 457 195 HSBC Holdings PLC 2,131 42 Imperial Tobacco Group PLC 698 980 Legal & General Group PLC 1,214 47 Man Group PLC 785 241 Prudential PLC 1,476 115 Reckitt Benckiser PLC 2,021 30 Royal Bank of Scotland Group PLC 788 167 Scottish Power PLC 1,035 527 Tesco PLC 1,668 312 Unilever PLC 3,071 2,319 Vodafone Group PLC 4,577 ------------ 34,012 -------------------------------------------------------------------- Total Common Stocks 118,040 (Cost $123,116) -------------------------------------------------------------------- PREFERRED STOCK -- 1.0% Australia -- 1.0% 209 News Corp., LTD 1,234 (Cost $1,693) --------------------------------------------------------------------------------- Total Investments -- 100.0% $ 119,274 (Cost $124,809) ---------------------------------------------------------------------------------
See notes to financial statements. 27 SUMMARY OF INVESTMENTS BY INDUSTRY, APRIL 30, 2003
INDUSTRY % OF INVESTMENT SECURITIES --------------------------------------------------------------------------- Banking 15.4% Pharmaceuticals 10.8 Telecommunications 10.5 Food/Beverage Products 6.9 Oil & Gas 5.9 Utilities 4.9 Insurance 4.6 Electronics/Electrical Equipment 4.0 Financial Services 3.6 Chemicals 3.6 Automotive 2.9 Retailing 2.4 Steel 2.2 Consumer Products 2.1 Metals/Mining 1.8 Telecommunications Equipment 1.7 Environmental Services 1.7 Manufacturing 1.6 Office/Business Equipment 1.6 Multi-Media 1.4 Diversified 1.3 Entertainment/Leisure 1.1 Computers/Computer Hardware 1.0 Other (less than 1%) 7.0 --------------------------------------------------------------------------- Total 100.0% ---------------------------------------------------------------------------
See notes to financial statements. 28 FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS
NET UNREALIZED SETTLEMENT VALUE APPRECIATION SETTLEMENT VALUE AT 4/30/03 (DEPRECIATION) CONTRACTS TO BUY DATE (USD) (USD) (USD) ---------------------------------------------------------------------------------------- 1,541 AUD for 600 GBP 5/20/03 $ 958 $ 962 $ 4 11,113 CAD 5/20/03 7,362 7,738 376 24 CAD for 15 EUR 5/20/03 16 16 --^^ 714 CHF 5/20/03 526 527 1 888 CHF for 610 EUR 5/20/03 680 655 (25) 2,380 CHF for 2,641 CAD 5/20/03 1,839 1,756 (83) 5,525 EUR 5/20/03 5,966 6,162 196 5,273 EUR for 8,496 CAD 5/20/03 5,915 5,880 (35) 4,030 EUR for 526,516 JPY 5/20/03 4,418 4,494 76 4,402 GBP 5/20/03 6,965 7,027 62 2,050 GBP for 379,004 JPY 5/20/03 3,180 3,273 93 2,760 HKD for 42,085 JPY 5/20/03 353 354 1 2,340,336 JPY 5/20/03 19,732 19,637 (95) 166,303 JPY for 880 GBP 5/20/03 1,405 1,396 (9) -------- --------- ----- $ 59,315 $ 59,877 $ 562 ======== ========= =====
NET UNREALIZED SETTLEMENT VALUE APPRECIATION SETTLEMENT VALUE AT 4/30/2003 (DEPRECIATION) CONTRACTS TO SELL DATE (USD) (USD) (USD) ---------------------------------------------------------------------------------------- 6,443 CHF 5/20/03 $ 4,741 $ 4,753 $ (12) 768 SGD 5/20/03 441 433 8 24,769 HKD 5/20/03 3,175 3,175 --^^ 13,737 EUR 5/20/03 14,831 15,320 (489) 5,608 GBP 5/20/03 8,893 8,953 (60) 1,024,775 JPY 5/20/03 8,697 8,599 98 -------- --------- ------ $ 40,778 $ 41,233 $ (455) ======== ========= ======
See notes to financial statements. 29 JPMORGAN TAX AWARE DISCIPLINED EQUITY FUND Portfolio of Investments As of April 30, 2003 (unaudited) (Amounts in thousands)
SHARES ISSUER VALUE --------------------------------------------------------------------------------- Long-Term Investments -- 99.8% --------------------------------------------------------------------------------- COMMON STOCKS -- 99.8% Aerospace -- 1.9% 6 General Dynamics Corp. $ 341 6 Northrop Grumman Corp. 484 13 Raytheon Co. 392 25 The Boeing Co. 674 23 United Technologies Corp. 1,415 ------------ 3,306 Agricultural Production/Services -- 1.4% 65 Altria Group, Inc. 1,993 23 Monsanto Co. 403 ------------ 2,396 Apparel -- 1.2% 41 Jones Apparel Group, Inc. * 1,163 17 Nike, Inc., Class B 905 ------------ 2,068 Automotive -- 1.3% 7 Delphi Corp. 57 32 Ford Motor Co. 334 16 Harley-Davidson, Inc. 692 11 Johnson Controls, Inc. 921 8 Lear Corp. * 326 ------------ 2,330 Banking -- 6.1% 7 Bank of America Corp. 504 30 Bank One Corp. 1,074 11 Compass Bancshares, Inc. 368 13 FleetBoston Financial Corp. 334 28 GreenPoint Financial Corp. 1,342 18 Hibernia Corp., Class A 324 7 Marshall & Ilsley Corp. 215 17 Mellon Financial Corp. 460 7 National Commerce Financial Corp. 146 4 North Fork Bancorporation, Inc. 129 2 PNC Financial Services Group, Inc. 79 16 SouthTrust Corp. 438 16 SunTrust Banks, Inc. 916 119 U.S. Bancorp 2,636 40 Wachovia Corp. 1,532 6 Wells Fargo & Co. 290 ------------ 10,787 Biotechnology -- 1.5% 34 Amgen, Inc. * 2,072 6 Gilead Sciences, Inc. * 268 11 MedImmune, Inc. * 374 ------------ 2,714 Business Services -- 1.1% 28 Cendant Corp. * 403 2 Cintas Corp. 75 6 Computer Sciences Corp. * 198
See notes to financial statements. 30
SHARES ISSUER VALUE --------------------------------------------------------------------------------- Long-Term Investments -- Continued --------------------------------------------------------------------------------- Business Services -- Continued 33 First Data Corp. $ 1,294 ------------ 1,970 Chemicals -- 0.5% 9 Air Products & Chemicals, Inc. 388 10 Eastman Chemical Co. 290 3 Praxair, Inc. 186 ------------ 864 Computer Networks -- 1.6% 186 Cisco Systems, Inc. * 2,802 8 Juniper Networks, Inc. * 79 ------------ 2,881 Computer Software -- 5.0% 2 Adobe Systems, Inc. 76 6 Electronic Arts, Inc. * 326 294 Microsoft Corp. 7,518 74 Oracle Corp. * 881 8 Siebel Systems, Inc. * 72 ------------ 8,873 Computers/Computer Hardware -- 3.9% 52 Dell Computer Corp. * 1,495 24 EMC Corp. * 222 77 Hewlett-Packard Co. 1,259 39 International Business Machines Corp. 3,328 4 Lexmark International, Inc. * 268 14 NCR Corp. * 311 29 Sun Microsystems, Inc. * 95 ------------ 6,978 Construction Materials -- 0.4% 34 Masco Corp. 712 Consumer Products -- 3.0% 3 Black & Decker Corp. 136 3 Fortune Brands, Inc. 155 9 Kimberly-Clark Corp. 433 40 Procter & Gamble Co. 3,585 34 The Gillette Co. 1,029 ------------ 5,338 Diversified -- 4.7% 240 General Electric Co. 7,071 83 Tyco International LTD (Bermuda) 1,292 ------------ 8,363 Electronics/Electrical Equipment -- 0.2% 6 Emerson Electric Co. 309 Environmental Services -- 0.3% 22 Waste Management, Inc. 480 Financial Services -- 9.4% 32 Capital One Financial Corp. 1,336 36 CIT Group, Inc. 735 152 Citigroup, Inc. 5,984
See notes to financial statements. 31
SHARES ISSUER VALUE --------------------------------------------------------------------------------- Long-Term Investments -- Continued --------------------------------------------------------------------------------- Financial Services -- Continued 31 Countrywide Financial Corp. $ 2,089 74 E*TRADE Group, Inc. * 409 17 Fannie Mae 1,247 22 Freddie Mac 1,285 10 Goldman Sachs Group, Inc. 789 11 MBNA Corp. 208 13 Merrill Lynch & Co., Inc. 521 45 Morgan Stanley 2,014 ------------ 16,617 Food/Beverage Products -- 3.9% 7 Archer Daniels Midland Co. 81 11 H.J. Heinz Co. 314 30 Kraft Foods, Inc., Class A 918 27 PepsiCo, Inc. 1,152 15 Sysco Corp. 431 97 The Coca-Cola Co. 3,934 ------------ 6,830 Health Care/Health Care Services -- 4.3% 20 Aetna, Inc. 971 6 Anthem, Inc. * 378 9 Baxter International, Inc. 207 6 Biomet, Inc. 186 27 CIGNA Corp. 1,434 18 Guidant Corp. * 686 20 HCA, Inc. 632 25 Medtronic, Inc. 1,208 3 St. Jude Medical, Inc. * 157 4 Stryker Corp. 288 13 Tenet Healthcare Corp. * 199 11 UnitedHealth Group, Inc. 995 4 WellPoint Health Networks, Inc. * 311 ------------ 7,652 Industrial Components -- 0.0%^ 2 SPX Corp. * 74 Insurance -- 4.1% 7 AFLAC, Inc. 226 33 AMBAC Financial Group, Inc. 1,949 23 American International Group, Inc. 1,308 18 AON Corp. 394 10 MBIA, Inc. 467 32 Metlife, Inc. 922 4 Protective Life Corp. 109 18 The Allstate Corp. 688 8 Torchmark Corp. 302 43 Travelers Property Casualty Corp., Class A 691 11 Travelers Property Casualty Corp., Class B 176 ------------ 7,232 Internet Services/Software -- 0.7% 13 eBay, Inc. * 1,197
See notes to financial statements. 32
SHARES ISSUER VALUE --------------------------------------------------------------------------------- Long-Term Investments -- Continued --------------------------------------------------------------------------------- Machinery & Engineering Equipment -- 0.3% 11 Ingersoll-Rand Co., LTD (Bermuda), Class A $ 498 Manufacturing -- 0.8% 6 3M Co. 782 26 Honeywell International, Inc. 618 ------------ 1,400 Metals/Mining -- 1.1% 16 Alcan, Inc. (Canada) 475 66 Alcoa, Inc. 1,512 ------------ 1,987 Multi-Media -- 4.5% 91 AOL Time Warner, Inc. * 1,242 32 Comcast Corp., Class A * 1,010 31 Comcast Corp., Special Class A * 944 1 E.W. Scripps Co., Class A 79 3 Fox Entertainment Group, Inc., Class A * 74 6 Gannett Co., Inc. 424 37 The Walt Disney Co. 694 17 Tribune Co. 852 60 Viacom, Inc., Class B * 2,592 ------------ 7,911 Office/Business Equipment -- 0.1% 5 Pitney Bowes, Inc. 183 Oil & Gas -- 5.9% 15 Anadarko Petroleum Corp. 675 6 Baker Hughes, Inc. 165 36 ChevronTexaco Corp. 2,245 40 ConocoPhillips 2,006 10 Cooper Cameron Corp. * 474 5 Devon Energy Corp. 213 108 Exxon Mobil Corp. 3,805 21 Rowan Companies, Inc. 431 24 Transocean, Inc. 461 ------------ 10,475 Paper/Forest Products -- 0.7% 8 Bowater, Inc. 319 8 Georgia-Pacific Corp. 117 16 Temple-Inland, Inc. 739 ------------ 1,175 Pharmaceuticals -- 9.7% 33 Abbott Laboratories 1,337 62 Bristol-Myers Squibb Co. 1,595 20 Eli Lilly & Co. 1,280 14 Forest Laboratories, Inc. * 745 52 Johnson & Johnson 2,936 47 Merck & Co., Inc. 2,758 159 Pfizer, Inc. 4,875 24 Schering-Plough Corp. 431 33 Wyeth 1,441 ------------ 17,398
See notes to financial statements. 33
SHARES ISSUER VALUE --------------------------------------------------------------------------------- Long-Term Investments -- Continued --------------------------------------------------------------------------------- Photographic Equipment -- 0.1% 7 Eastman Kodak Co. $ 218 Pipelines -- 0.1% 15 El Paso Corp. 114 Printing & Publishing -- 0.1% 4 The McGraw-Hill Companies, Inc. 210 Real Estate Investment Trust -- 0.4% 10 CarrAmerica Realty Corp. 259 7 ProLogis 167 7 The Rouse Co. 250 ------------ 676 Restaurants/Food Services -- 0.4% 7 Wendy's International, Inc. 209 19 Yum! Brands, Inc. * 457 ------------ 666 Retailing -- 7.0% 16 Abercrombie & Fitch Co., Class A * 513 7 Bed Bath & Beyond, Inc. * 281 44 CVS Corp. 1,073 2 Family Dollar Stores 75 56 Home Depot, Inc. 1,580 21 Kohl's Corp. * 1,216 29 Lowe's Companies, Inc. 1,251 33 Target Corp. 1,090 24 The Gap, Inc. 398 80 Wal-Mart Stores, Inc. 4,521 14 Walgreen Co. 438 ------------ 12,436 Semi-Conductors -- 2.9% 58 Altera Corp. * 919 9 Analog Devices, Inc. * 285 38 Applied Materials, Inc. * 555 149 Intel Corp. 2,743 2 Micron Technology, Inc. * 19 5 Novellus Systems, Inc. * 146 5 QLogic Corp. * 207 10 Xilinx, Inc. * 279 ------------ 5,153 Shipping/Transportation -- 1.5% 9 Burlington Northern Santa Fe Corp. 251 5 CSX Corp. 144 5 FedEx Corp. 317 9 Norfolk Southern Corp. 180 6 Union Pacific Corp. 345 23 United Parcel Service, Inc., Class B 1,454 ------------ 2,691 Steel -- 0.2% 25 United States Steel Corp. 359
See notes to financial statements. 34
SHARES ISSUER VALUE --------------------------------------------------------------------------------- Long-Term Investments -- Continued --------------------------------------------------------------------------------- Telecommunications -- 3.8% 11 AT&T Corp. $ 190 80 AT&T Wireless Services, Inc. * 520 42 BellSouth Corp. 1,063 14 Nextel Communications, Inc., Class A * 203 37 Qwest Communications International, Inc. * 138 68 SBC Communications, Inc. 1,579 20 Sprint Corp. - FON Group 224 19 Sprint Corp. - PCS Group * 66 72 Verizon Communications, Inc. 2,693 ------------ 6,676 Telecommunications Equipment -- 0.9% 91 Lucent Technologies, Inc. * 163 73 Motorola, Inc. 573 29 QUALCOMM, Inc. 929 ------------ 1,665 Toys & Games -- 0.2% 17 Mattel, Inc. 361 Utilities -- 2.6% 9 Dominion Resources, Inc. 539 21 DTE Energy Co. 827 15 Edison International * 212 7 FirstEnergy Corp. 229 10 Pepco Holdings, Inc. 172 72 PG&E Corp. * 1,079 40 Pinnacle West Capital Corp. 1,324 15 XCEL Energy, Inc. 204 ------------ 4,586 -------------------------------------------------------------------- Total Common Stocks 176,809 (Cost $181,566) --------------------------------------------------------------------------------- Short-Term Investment -- 0.2% --------------------------------------------------------------------------------- MONEY MARKET FUND -- 0.2% 400 JPMorgan Prime Money Market Fund (a) 400 (Cost $400) --------------------------------------------------------------------------------- Total Investments -- 100.0% $ 177,209 (Cost $181,966) ---------------------------------------------------------------------------------
See notes to financial statements. 35 JPMORGAN TAX AWARE ENHANCED INCOME FUND Portfolio of Investments As of April 30, 2003 (unaudited) (Amounts in thousands)
PRINCIPAL AMOUNT (USD) ISSUER VALUE -------------------------------------------------------------------------------------------- Long-Term Investments -- 49.6% -------------------------------------------------------------------------------------------- U.S. TREASURY SECURITIES -- 0.1% $ 3,115 U.S. Treasury Notes & Bonds, 4.63%, 5/15/06 $ 3,355 (Cost $3,334) U.S. GOVERNMENT AGENCY SECURITIES -- 0.9% 21,100 Federal Home Loan Mortgage Corp., 0.00%, 5/19/06, MTN, FRN 21,095 (Cost $21,100) STATE AND MUNICIPAL OBLIGATIONS -- 30.3% Alaska -- 0.1% 2,250 Valdez, Alaska, Marine Terminal, Arco Transportation Project, Ser. B, Rev., Adj., 2.00%, 5/1/31 2,253 Arizona -- 0.9% 4,000 Northern Arizona Capital Facilities Finance Corp., Northern Arizona University Project, Student Housing, Ser. A, Rev., Adj., 4.00%, 8/1/33 4,064 5,000 Phoenix, Arizona, Civic Improvement Corp., Wastewater Systems Lease, Rev., (p), 6.13%, 7/1/03 5,139 11,250 Salt River Project Agricultural Improvement & Power District, Salt River Project, Ser. A, Rev., 5.25%, 1/1/06 12,289 ------------ 21,492 California -- 1.8% 14,000 Bay Area Governments Association, Bay Area Rapid Transit, FTA Capital Grant, Ser. A, Rev., AMBAC, 5.00%, 6/15/08 14,061 10,000 California Statewide Communities Development Authority, Kaiser Permanente, Ser. C, Adj., Rev., 3.70%, 11/1/29 10,306 5,000 Los Angeles Department of Water & Power, Waterworks, Ser. B, Rev., MBIA, 3.50%, 7/1/04 5,138 9,000 Santa Clara County Financing Authority, Measure B Transportation Improvement Program, Rev., 4.00%, 8/1/05 9,469 3,577 University of California, COP, 5.43%, 4/15/04 3,594 ------------ 42,568 Colorado -- 0.1% 1,500 Colorado Housing & Finance Authority, Multi-Family Housing, Class 1-B1, Rev., Adj., 2.20%, 10/1/32 1,500 Connecticut -- 1.0% 10,500 Connecticut State, Recovery Note, Ser. A, GO, 4.00%, 12/1/05 11,179 10,425 Fairfield, Connecticut, GO, BAN, 3.00%, 8/1/03 10,476 2,565 New Haven, Connecticut, Ser. C, GO, MBIA, 5.00%, 11/1/06 2,841 ------------ 24,496
See notes to financial statements. 36
PRINCIPAL AMOUNT (USD) ISSUER VALUE -------------------------------------------------------------------------------------------- Long-Term Investments -- Continued -------------------------------------------------------------------------------------------- District of Columbia -- 0.4% $ 10,000 District of Columbia, Ser. A-2, GO, Adj., MBIA, 1.20%, 6/1/19 $ 10,000 Florida -- 0.4% 1,265 Bay County, Hospital Systems, Bay Medical Center Project, Rev., (p), 8.00%, 10/1/04 1,384 3,820 Boca Place Associates LTD, Senior Certificates, Beneficial Ownership, Rev., 4.65%, 2/1/04 3,905 3,000 Duval County School District, GO, AMBAC, 6.00%, 8/1/03 3,035 1,000 Turtle Run Community Development District, Rev., (p), 6.40%, 5/1/03 1,000 ------------ 9,324 Georgia -- 1.7% 8,000 Burke County Development Authority, PCR, Ser. 1994, Rev., Adj., 2.50%, 10/1/32 8,000 12,310 Henry County School District, GO, FGIC, 5.00%, 4/1/07 13,617 19,525 Milledgeviille & Baldwin County Development Authority, Georgia College & State University Foundation, Student Housing, Rev., Adj., 5.00%, 9/1/32 20,277 ------------ 41,894 Illinois -- 0.9% 7,000 Chicago Board of Education, FLOATS, Ser. SG-103, Adj., 1.42%, 12/1/20 7,000 1,700 Illinois Health Facilities Authority, Lifelink Corp. Obligation Group, Ser. B, Rev., (p), 8.00%, 2/15/05 1,893 10,765 Illinois State, 1st Ser., GO, 5.00%, 8/1/07 11,896 ------------ 20,789 Indiana -- 0.5% 12,525 Indiana Municipal Power Agency, Power Supply Systems, FLOATS, Ser. PT-1412, Rev., Adj., AMBAC, 1.42%, 1/1/19 12,525 Kansas -- 0.3% 6,000 Burlington, Kansas, Environmental Improvement, Kansas City Power & Light, Rev., Adj., 4.75%, 9/1/15 6,229 Kentucky -- 0.4% 10,275 Kentucky Asset Liability Commission, Ser. A, Rev., 3.50%, 11/1/03 10,313 Maine -- 0.1% 1,500 Maine Veterans Homes, Rev., (p), 7.75%, 10/1/05 1,752
See notes to financial statements. 37
PRINCIPAL AMOUNT (USD) ISSUER VALUE -------------------------------------------------------------------------------------------- Long-Term Investments -- Continued -------------------------------------------------------------------------------------------- Maryland -- 1.4% $ 2,700 Maryland State Health & Higher Educational Facilities Authority, Johns Hopkins Hospital, Ser. B, Rev., Adj., 2.10%, 7/1/27 $ 2,700 10,000 Maryland State, State & Local Facilities Loan, 1st Ser. B, GO, 5.00%, 7/15/06 11,038 10,535 Washington Suburban Sanitation District, Water Supply, GO, 4.00%, 6/1/05 11,115 8,000 Washington Suburban Sanitation District, Water Supply, GO, 5.25%, 6/1/07 8,998 ------------ 33,851 Massachusetts -- 0.9% 8,000 Chelsea, Massuchusetts, Ser. B, GO, BAN, 4.00%, 4/15/05 8,394 6,375 Massachusetts State Water Resources Authority, Ser. D, Rev., Adj., AMBAC, 1.10%, 4/1/29 6,375 8,000 Massachusetts State, Ser. A, GO, BAN, 4.00%, 9/1/03 8,074 ------------ 22,843 Michigan -- 1.0% 9,000 Central Michigan University, Ser. B, Rev., Adj., FGIC, 1.75%, 10/1/15 9,000 1,225 Michigan State Hospital Finance Authority, Sparrow Obligation Group, Rev., 5.00%, 11/15/03 1,246 2,555 Michigan State Hospital Finance Authority, Trinity Health, Ser. A, Rev., 5.50%, 12/1/04 2,709 10,000 Michigan Strategic Fund, Dow Chemical Project, Rev., Adj., 3.80%, 6/1/14 10,165 ------------ 23,120 Minnesota -- 1.3% 10,000 Southern Minnesota Municipal Power Agency, Power Supply Systems, Ser. A, Rev., 5.00%, 1/1/04 10,239 20,860 Washington County Housing & Redevelopment Authority, Multi-Family Housing, FLOATS, Ser. PT-702, Rev., 1.44%, 12/31/03 20,860 ------------ 31,099 Missouri -- 0.1% 2,520 Missouri State Board of Public Buildings, Ser. A, Rev., 5.25%, 10/15/08 2,865 Multiple States -- 3.7% 2,260 MBIA Capital Corp., FLOATS, 1.51%, 1/14/16 2,260 2,555 Puttable Floating Option Tax-Exempt Receipts, FLOATS, 1.56%, 3/14/06 2,555 4,080 Puttable Floating Option Tax-Exempt Receipts, FLOATS, Ser. POL-1, 1.61%, 12/1/15 4,080 45,285 Puttable Floating Option Tax-Exempt Receipts, FLOATS, Ser. PPT-12, 1.56%, 7/1/24 45,285
See notes to financial statements. 38
PRINCIPAL AMOUNT (USD) ISSUER VALUE -------------------------------------------------------------------------------------------- Long-Term Investments -- Continued -------------------------------------------------------------------------------------------- Multiple States -- Continued $ 8,750 Puttable Floating Option Tax-Exempt Receipts, FLOATS, Ser. PPT-38, Mode A, Adj., 1.25%, 12/1/18 $ 8,750 29,281 Puttable Floating Option Tax-Exempt Reciepts, FLOATS, Ser. PPT-34, Adj., #, 1.25%, 12/1/29 29,281 ------------ 92,211 Nebraska -- 0.6% 14,000 Nebraska Public Power District, Construction Notes, Rev., 3.50%, 12/1/03 14,194 New York -- 2.7% 5,000 Long Island Power Authority, Electric Systems, Ser. A, Rev., 4.50%, 6/1/05 5,231 12,750 Long Island Power Authority, Electric Systems, Ser. B, Rev., 5.00%, 6/1/05 13,493 4,925 New York City Municipal Water Finance Authority, Water & Sewer System, FLOATS, Ser. PA-446, Rev., Adj., FGIC, 1.36%, 6/15/30 4,925 1,060 New York City, New York, Ser. 2002-B, GO, 7.50%, 2/1/06 1,076 11,685 New York City, New York, Ser. C, GO, 5.00%, 8/1/05 12,396 15,450 New York City, New York, Ser. G, GO, 5.00%, 8/1/06 16,619 5,070 New York State Dormitory Authority, Fifth Generation, City University System, Ser. A, Rev., CONS, FGIC, 5.25%, 1/1/08 5,673 4,950 New York State Urban Development Corp., Correctional & Youth Facilities Services, Ser. A, Rev., 5.00%, 1/1/07 5,407 ------------ 64,820 North Carolina -- 0.2% 4,435 North Carolina Housing Finance Agency, Appalachian Student Housing, Ser. A, Rev., Adj., 5.50%, 7/1/31 4,455 Oklahoma -- 0.3% 7,000 Tulsa County Industrial Authority, Healthcare, St. Francis Hospital, Inc., Ser. B, Rev., Adj., 5.15%, 12/15/18 7,156 Oregon -- 0.9% 20,000 Oregon State Department of Administrative Services, Rev., FSA, 5.00%, 9/1/08 22,441 Pennsylvania -- 0.4% 10,000 Pennsylvania State University, Rev., 4.75%, 8/15/03 10,101
See notes to financial statements. 39
PRINCIPAL AMOUNT (USD) ISSUER VALUE -------------------------------------------------------------------------------------------- Long-Term Investments -- Continued -------------------------------------------------------------------------------------------- Puerto Rico -- 1.7% $ 14,250 Puerto Rico Commonwealth, Ser. C, Adj., GO, MBIA, 5.00%, 7/1/28 $ 15,785 7,000 Puerto Rico Highway & Transportation Authority, Ser. AA, Rev., 5.00%, 7/1/07 7,652 16,605 Puerto Rico Municipal Finance Agency, Ser. A, Rev., 4.00%, 8/1/04 17,146 ------------ 40,583 Rhode Island -- 0.1% 2,500 Rhode Island Housing & Mortgage Finance Corp., Hometown Opportunity Notes, Ser. 41-C, Rev., 3.38%, 11/1/05 2,566 South Carolina -- 0.3% 7,500 South Carolina State Public Service Authority, Ser. D, Rev., FSA, 4.00%, 1/1/08 7,985 Texas -- 4.1% 1,800 Brazos River Authority, PCR, Utilities Electric Co., Ser. B, Rev., Adj., 5.05%, 6/1/30 1,798 3,490 Houston, Texas, Airport Systems, Sub Lien, Ser. A, Rev., FGIC, 6.00%, 7/1/10 3,883 19,465 Houston, Texas, Public Improvement, GO, MBIA, 5.00%, 3/1/08 21,554 2,000 Lewisville, Texas, Combination Contract, Special Assessment, Castle Hills No. 3 Project, Rev., 4.13%, 5/1/31 2,123 6,070 San Antonio, Texas, Electric & Gas, FLOATS, Ser. SG-101, (p), 1.42%, 2/1/19 6,070 3,700 San Antonio, Texas, General Improvement, GO, 3.00%, 8/1/04 3,780 22,500 San Antonio, Texas, Water, FLOATS, Ser. SG-159, Rev., Adj., FSA, 1.42%, 5/15/28 22,500 40,000 Texas State, Rev., TRAN, 2.75%, 8/29/03 40,218 ------------ 101,926 Virgin Islands -- 0.2% 3,570 University of the Virgin Islands, Ser. A, Rev., (p), 7.70%, 10/1/19 3,964 Virginia -- 0.7% 2,265 Loudoun County, Ser. B, GO, 3.00%, 10/1/04 2,313 4,000 Louisa IDA, Solid Waste & Sewer Disposal, Electric & Power Co. Project, Ser. A, Rev., Adj., 3.40%, 3/1/31 4,049 9,045 Prince William County, Public Improvement, Ser. A, GO, 5.00%, 8/1/06 10,003 ------------ 16,365 Washington -- 0.2% 4,000 Washington Health Care Facilities Authority, Multicare Health Systems, Rev., MBIA, 4.38%, 8/15/04 4,155
See notes to financial statements. 40
PRINCIPAL AMOUNT (USD) ISSUER VALUE -------------------------------------------------------------------------------------------- Long-Term Investments -- Continued -------------------------------------------------------------------------------------------- West Virginia -- 0.1% $ 1,545 Morgantown, West Virginia, Sewer Systems, Rev., 7.25%, 6/1/05 $ 1,676 Wisconsin -- 0.8% 6,250 Wisconsin Health & Educational Facilities Authority, Ser. 1999A, Rev., Adj., 4.45%, 5/1/29 (i) 6,570 5,000 Wisconsin State Health & Educational Facilities, 1.60%, 12/31/50 (i) 5,000 3,975 Wisconsin State Health & Educational Facilities Authority, Hospital Charity Obligation Group, Ser. D, Rev., Adj., (p), 4.90%, 11/1/15 4,226 3,075 Wisconsin State Health & Educational Facilities Authority, Ministry Health Care, Inc., Rev., 3.40%, 5/15/07 3,081 ------------ 18,877 -------------------------------------------------------------------------------- Total State and Municipal Obligations 732,388 (Cost $727,638) -------------------------------------------------------------------------------- CORPORATE NOTES & BONDS -- 7.6% Asset Backed Securities -- 1.7% Restructured Asset Securities with Enhanced Returns (RACERS), 14,300 1.16%, 4/15/04, Ser. 2002-35, Class C, FRN, # 14,217 14,900 1.18%, 4/15/04, Ser. 2002-40, Class C, FRN, # 14,815 12,200 Special Purpose Accounts Receivable Cooperative Corp. (SPARCS), 2.19%, 5/23/04, Ser. 2002-6, FRN, # 12,218 ------------ 41,250 Automotive -- 0.5% General Motors Acceptance Corp., 9,000 1.44%, 8/18/03, FRN 8,984 1,900 6.75%, 1/15/06 2,004 ------------ 10,988 Computers/Computer Hardware -- 0.6% 15,100 International Business Machines Corp., 1.44%, 9/10/04, FRN 15,112 Financial Services -- 3.5% CIT Group, Inc., 1,800 7.50%, 11/14/03 1,852 800 2.84%, 3/1/04, MTN, FRN 805 22,185 2.80%, 1/31/05, MTN, FRN 22,223 9,925 Countrywide Home Loans, Inc., 3.50%, 12/19/05, Ser. K, MTN 10,164 Counts Trusts, 8,250 2.12%, 8/15/07, Ser. 2002-10, FRN, # 8,250 8,250 2.17%, 8/15/07, Ser. 2002-11, FRN, # 8,250 9,600 Credit Suisse First Boston USA, Inc., 5.75%, 4/15/07 10,484
See notes to financial statements. 41
PRINCIPAL AMOUNT (USD) ISSUER VALUE -------------------------------------------------------------------------------------------- Long-Term Investments -- Continued -------------------------------------------------------------------------------------------- Financial Services (Continued) Household Finance Corp., $ 1,750 1.69%, 5/28/04, MTN, FRN $ 1,755 14,400 7.88%, 3/1/07 16,697 5,615 International Lease Finance Corp., 4.00%, 1/17/06, Ser. O, MTN 5,699 ------------ 86,179 Multi-Media -- 0.8% 10,225 Walt Disney Co., Structured Note, MTN, 2.50%, 8/7/03 18,974 Paper/Forest Products -- 0.3% 7,100 Weyerhaeuser Co., 2.38%, 9/15/03, FRN 7,101 Telecommunications -- 0.2% 3,875 Sprint Capital Corp., 6.00%, 1/15/07 3,953 -------------------------------------------------------------------------------- Total Corporate Notes & Bonds 183,557 (Cost $180,764) -------------------------------------------------------------------------------- RESIDENTIAL MORTGAGE BACKED SECURITIES -- 7.5% Collateralized Mortgage Obligations -- 1.0% Federal National Mortgage Association, 10,832 1.82%, 6/25/32, Ser. 2002-36, Class FS, FRN 10,929 8,256 4.50%, 5/25/42, Ser. 2002-W4, Class A1 8,273 3,092 Government National Mortgage Association, 1.72%, 12/20/30, Ser. 2000-38, Class F, FRN 3,100 Residential Funding Mortgage Securities I, 1,047 6.75%, 4/25/29, Ser. 1999-S9, Class A1 1,047 1,706 6.50%, 5/25/32, Ser. 2002-S7, Class A1 1,712 ------------ 25,061 Mortgage Backed Pass-Through Securities -- 6.5% 152,550 Federal Home Loan Mortgage Corp., 5.50%, 5/15/33, Gold Pool, TBA 156,697 -------------------------------------------------------------------------------- Total Residential Mortgage Backed Securities 181,758 (Cost $178,860) -------------------------------------------------------------------------------- ASSET BACKED SECURITIES -- 3.2% 11,200 Citibank Credit Card Issuance Trust, 2.29%, 3/20/08, Ser. 2003-C2, Class C2, FRN 11,200 18,976 Countrywide Asset-Backed Certificates, 1.72%, 3/25/33, Ser. 2003-BC1, Class A1, FRN 19,011 8,763 EQCC Trust, 1.62%, 11/25/31, Ser. 2002-1, Class 2A, FRN 8,771 9,030 HFC Home Equity Loan Asset Backed Certificates, 1.63%, 4/20/32, Ser. 2002-2, Class A, FRN 9,036 627 Peco Energy Transition Trust, 1.46%, 3/1/06, Ser. 1999-A, Class A3, FRN 627 12,292 Residential Asset Mortgage Products, Inc., 1.69%, 8/25/32, Ser. 2002-RS5, FRN 12,274
See notes to financial statements. 42
PRINCIPAL AMOUNT (USD) ISSUER VALUE -------------------------------------------------------------------------------------------- Long-Term Investments -- Continued -------------------------------------------------------------------------------------------- Asset Backed Securities -- Continued $ 7,599 SLM Student Loan Trust, 1.35%, 10/25/10, Ser. 2002-1, Class A1, FRN $ 7,599 8,550 Wachovia Asset Securitization, Inc., 1.75%, 12/25/32, Ser. 2002-HE2, Class A, FRN 8,571 -------------------------------------------------------------------------------- Total Asset Backed Securities 77,089 (Cost $77,036) -------------------------------------------------------------------------------------------- Total Long-Term Investments (Cost $1,188,732) 1,199,242 -------------------------------------------------------------------------------------------- Short-Term Investments -- 50.4% -------------------------------------------------------------------------------------------- STATE AND MUNICIPAL OBLIGATIONS -- 43.7% Arizona -- 1.7% 12,000 Arizona Educational Loan Marketing Corp., ACES, Ser. A, Rev., FRDO, 1.15%, 5/7/03 12,000 15,800 Arizona Educational Loan Marketing Corp., RAMS, Sub Ser. B, Rev., FRDO, 1.20%, 5/8/03 15,800 10,000 Arizona Health Facilities Authority, Banner Health Systems, Ser. A, Rev., FRDO, AMBAC, 1.07%, 5/2/03 10,000 3,000 Arizona Student Loan Acquisition Authority, RAMS, Senior Ser. A-1, Rev., FRDO, 1.12%, 5/15/03 3,000 ------------ 40,800 Arkansas -- 0.1% 2,500 Arkansas Student Loan Authority, Ser. A-2, Rev., FRDO, 1.13%, 5/8/03 2,500 California -- 3.8% 4,500 Access to Loans for Learning Student Loan Corp., Student Loan Project, Ser. IV-A4, Rev., RAMS, FRDO, 1.05%, 5/6/03 4,500 6,000 California State Department of Water Resources, Power Supply, Ser. C-8, Rev., FRDO, 1.35%, 5/1/03 6,000 40,000 California State, Rev., RAN, 2.50%, 6/27/03 40,055 13,250 California State, Rev., RAN, FRDO, 1.32%, 5/1/03 13,230 20,000 California State, Ser. 819-D, GO, FRDO, AMBAC, 0.00%, 5/1/03 20,000 1,000 Chela Financial USA, Inc., California Student Loan, ACES, Senior Ser. C-4, Rev., FRDO, 1.30%, 5/13/03 1,000 5,500 Student Education Loan Marketing Corp., Sub Ser. IV-C-1, Rev., FRDO, 1.20%, 5/15/03 5,500 ------------ 90,285 Colorado -- 0.8% 10,000 Denver City & County, Airport Sub Systems, Sub Ser. A-2, Rev., FRDO, FGIC, 1.40%, 5/6/03 10,000 8,825 Denver City & County, Airport Sub Systems, Sub Ser. C-3, Rev., FRDO, FGIC, 1.03%, 5/27/03 8,825 ------------ 18,825
See notes to financial statements. 43
PRINCIPAL AMOUNT (USD) ISSUER VALUE -------------------------------------------------------------------------------------------- Short-Term Investments -- Continued -------------------------------------------------------------------------------------------- Connecticut -- 0.2% $ 5,700 Connecticut State Health & Educational Facilities Authority, Wesleyan University, Ser. D, Rev., FRDO, 1.20%, 5/7/03 $ 5,700 District of Columbia -- 2.7% 2,150 District of Columbia, Georgetown University, Ser. A, Rev., FRDO, MBIA, 1.20%, 6/4/03 2,150 16,900 District of Columbia, Georgetown University, Ser. C, Rev., FRDO, MBIA, 1.07%, 5/15/03 16,900 7,350 District of Columbia, Georgetown University, Ser. D, Rev., FRDO, MBIA, 1.12%, 5/19/03 7,350 15,000 District of Columbia, Ser. A-1, GO, FRDO, MBIA, 1.15%, 5/8/03 15,000 22,500 District of Columbia, Ser. B, GO, FRDO, FSA, 1.35%, 5/7/03 22,500 2,000 District of Columbia, Ser. B-2, GO, FRDO, MBIA, 1.15%, 5/6/03 2,000 ------------ 65,900 Florida -- 0.5% 5,150 Miami-Dade County School Board, COP, Ser. B, FRDO, AMBAC, 1.05%, 5/9/03 5,150 6,875 Orlando & Orange County Expressway Authority, Ser. C-2, Rev., FRDO, FSA, 1.35%, 5/1/03 6,875 ------------ 12,025 Georgia -- 0.9% 4,000 Fulton County Development Authority, Lovett School Project, Rev., FRDO, 1.35%, 5/7/03 4,000 5,000 Fulton County Development Authority, Piedmont Medical Center Project, Ser. B, Rev., FRDO, MBIA, 1.09%, 5/21/03 5,000 4,000 Gwinnett County Hospital Authority, Gwinnett Hospital Systems, Inc. Project, Rev., RAN, FRDO, 1.35%, 5/7/03 4,000 9,385 Municipal Electric Authority of Georgia, Project One, Ser. C, Rev., FRDO, FSA, 1.30%, 5/7/03 9,385 ------------ 22,385 Illinois -- 1.7% 7,000 Chicago Metropolitan Water Reclamation District, Ser. A, GO, FRDO, 1.30%, 5/7/03 7,000 16,100 Chicago, Illinois Water Authority, Rev., FRDO, 1.35%, 5/7/03 16,100 4,300 Galesburg, Illinois, Knox College Project, Rev., FRDO, 1.46%, 5/8/03 4,300 9,500 Illinois Development Finance Authority, Provena Health, Ser. B, Rev., FRDO, MBIA, 1.10%, 5/21/03 9,500 3,700 Springfield, Illinois, Electric, Sub Lien, Rev., FRDO, MBIA, 1.20%, 5/29/03 3,700 ------------ 40,600
See notes to financial statements. 44
PRINCIPAL AMOUNT (USD) ISSUER VALUE -------------------------------------------------------------------------------------------- Short-Term Investments -- Continued -------------------------------------------------------------------------------------------- Indiana -- 1.4% $ 22,075 Indiana Health Facility Financing Authority, Acension Health, Ser. E, Rev., FRDO, 1.20%, 5/29/03 $ 22,075 9,215 Indiana University, Student Residence Systems, Rev., FRDO, 1.30%, 5/7/03 9,215 2,000 Indianapolis Local Public Improvement Bond Bank, Ser. F-2, Rev., FRDO, MBIA, 1.30%, 5/7/03 2,000 ------------ 33,290 Iowa -- 0.3% 6,500 Iowa Student Loan Liquidity Corp., Ser. R, Rev., FRDO, AMBAC, 1.20%, 5/28/03 6,500 Kentucky -- 0.1% 2,950 Ohio County, PCR, Big Rivers Electric Project, Ser. A, Rev., FRDO, AMBAC, 1.15%, 5/7/03 2,950 Louisiana -- 0.8% 2,400 Louisiana Public Facilities Authority, Student Loan, Ser. A-3, Rev., FRDO, MBIA, 1.07%, 5/7/03 2,400 13,150 Louisiana Public Facilities Authority, Wills-Knighton Medical Center, Ser. 1993, Rev., FRDO, AMBAC, 1.12%, 6/3/01 13,150 3,565 Louisiana State, Gas & Fuels Tax, Ser. A, Rev., AMBAC, 3.00%, 6/1/03 3,571 ------------ 19,121 Massachusetts -- 1.9% 21,450 Massachusetts Health & Educational Facilities Authority, Boston College Issue, Rev., FRDO, 1.20%, 5/8/03 21,450 4,500 Massachusetts Health & Educational Facilities Authority, Tufts University, Ser. G, Rev., FRDO, 1.17%, 5/8/03 4,500 4,000 Massachusetts Housing Finance Agency, Ser. F, Rev., FRDO, FSA, 1.35%, 5/7/03 4,000 15,000 Route 3 North Transit Improvement Association, Ser. B, Rev., FRDO, AMBAC, 1.30%, 5/7/03 15,000 ------------ 44,950 Michigan -- 3.7% 20,500 Michigan Higher Education Student Loan Authority, Ser. XII-R-2, Rev., FRDO, AMBAC, 1.20%, 5/29/03 20,500 20,000 Michigan State Building Authority, Multi-Modal Facilties Program, Rev., FRDO, 1.35%, 5/7/03 20,000 2,500 Michigan State Hospital Finance Authority, Ascension Health Group, Ser. B-6, Rev., FRDO, MBIA, 1.15%, 5/27/03 2,500 8,170 Saline Area Schools, GO, FRDO, 1.35%, 5/1/03 8,170 13,340 University of Michigan, Rev., FRDO, 1.30%, 5/1/03 13,340 3,000 Wayne State University, General Purpose, Rev., FRDO, AMBAC, 1.11%, 5/8/03 3,000
See notes to financial statements. 45
PRINCIPAL AMOUNT (USD) ISSUER VALUE -------------------------------------------------------------------------------------------- Short-Term Investments -- Continued -------------------------------------------------------------------------------------------- Michigan -- Continued $ 10,000 Wayne State University, Rev., FRDO, AMBAC, 1.15%, 5/22/03 $ 10,000 10,800 Western Michigan University, Ser. A, Rev., FRDO, AMBAC, 1.15%, 5/1/03 10,800 ------------ 88,310 Minnesota -- 0.4% 5,000 Northern Municipal Power Agency, Minnesota Electric Systems, Ser. A-1, Rev., FRDO, MBIA, 1.20%, 5/3/03 5,000 5,000 Rochester, Minnesota, Health Care Facilities, Mayo Foundation, Ser. A, Rev., FRDO, 1.20%, 5/22/03 5,000 ------------ 10,000 Mississippi -- 0.4% 1,700 Mississippi Higher Education Assistance Corp., Student Loan, Ser. A, Rev., FRDO, 1.20%, 6/4/03 1,700 7,400 Mississippi Higher Education Assistance Corp., Student Loan, Ser. B, Rev., FRDO, 1.10%, 5/13/03 7,400 ------------ 9,100 Missouri -- 1.6% 10,000 Missouri State Health & Educational Facilities Authority, Mercy Health Systems, Ser. C, Rev., FRDO, AMBAC, 1.08%, 5/21/03 10,000 18,500 Missouri State Health & Educational Facilities Authority, Ascension Health, Ser. C-1, Rev., FRDO, 1.12%, 5/7/03 18,500 10,000 Missouri State Health & Educational Facilities Authority, Mercy Health Systems, Ser. B, Rev., FRDO, AMBAC, 1.15%, 5/28/03 10,000 ------------ 38,500 Montana -- 0.6% 11,600 Montana Higher Education Student Assistance Corp., Student Loan, Senior Ser. A, Rev., FRDO, 1.10%, 5/9/03 11,600 4,000 Montana Higher Education Student Assistance Corp., Student Loan, Senior Ser. A, Rev., FRDO, 1.20%, 6/4/03 4,000 ------------ 15,600 Nevada -- 0.3% 7,225 Las Vegas Valley Water District, Municipal Trust Certificates, Ser. ZTC-51, Class A, GO, FRDO, MBIA, 1.56%, 5/1/03 7,225 New Hampshire -- 0.1% 3,000 New Hampshire Health & Education Facilities Authority, Higher Education Loans, Ser. A, Rev., FRDO, 1.20%, 5/28/03 3,000
See notes to financial statements. 46
PRINCIPAL AMOUNT (USD) ISSUER VALUE -------------------------------------------------------------------------------------------- Short-Term Investments -- Continued -------------------------------------------------------------------------------------------- New Jersey -- 0.6% $ 8,500 New Jersey Sports & Exposition Authority, State Contract, Ser. C, Rev., FRDO, MBIA, 1.35%, 5/1/03 $ 8,500 5,200 North Hudson Sewerage Authority Sewer Revenue, Ser. B, Rev., FRDO, MBIA, 1.35%, 5/1/03 5,200 ------------ 13,700 New Mexico -- 0.4% 5,000 New Mexico Educational Assistance Foundation, Student Loan Project, Senior Ser. A-1, Rev., FRDO, 1.12%, 5/7/03 5,000 4,000 New Mexico Educational Assistance Foundation, Student Loan Project, Senior Ser. A-1, Rev., FRDO, 1.13%, 6/3/03 4,000 ------------ 9,000 New York -- 2.9% 23,950 Metropolitan Transportation Authority, Dedicated Tax Fund, Ser. B, Rev., FRDO, FSA, 1.35%, 5/1/03 23,950 20,200 New York State Environmental Facilities Corp., Clean Water & Drinking, FLOATS, Ser. 731, Rev., FRDO, 1.39%, 5/1/03 20,200 9,375 New York State Urban Development Corp., Correctional Facilities, Sub Ser. B-7, Rev., FRDO, AMBAC, 1.10%, 5/6/03 9,375 15,500 New York State Energy Research & Development Authority, Consolidated Edison Co., Subser. A-2, Rev., FRDO, AMBAC, 1.15%, 5/7/03 15,500 ------------ 69,025 North Carolina -- 0.6% 6,625 Charlotte-Mecklenburg Hospital Authority, North Carolina Health Care Facilities, Ser. B, Rev., FRDO, AMBAC, 1.15%, 5/27/03 6,625 5,000 Guilford County, Ser. C, GO, FRDO, 1.35%, 5/7/03 5,000 1,800 North Carolina Municipal Power Agency No. 1, Catawba, Taxable, Ser. B, Rev., 2.95%, 1/1/04 1,806 2,000 Wake County Industrial Facilities & Pollution Control Financing Authority, Ser. E, Rev., FRDO, AMBAC, 1.00%, 5/6/03 2,000 ------------ 15,431 Ohio -- 1.4% 7,500 Franklin County, Hospital, OhioHealth Corp., Ser. A, Rev., FRDO, MBIA, 1.07%, 5/16/03 7,500 12,000 Ohio State, Infrastructure Improvement, Ser. B, GO, FRDO, 1.30%, 5/7/03 12,000 13,900 Student Loan Funding Corp., Cincinnati, Student Loans, Rev., FRDO, 1.13%, 5/23/03 13,900 ------------ 33,400 Oklahoma -- 0.3% 8,300 Oklahoma Student Loan Authority, ACES, Ser. A-1, Rev., FRDO, 1.15%, 5/29/03 8,300
See notes to financial statements. 47
PRINCIPAL AMOUNT (USD) ISSUER VALUE -------------------------------------------------------------------------------------------- Short-Term Investments -- Continued -------------------------------------------------------------------------------------------- Pennsylvania -- 1.6% $ 2,000 ABN AMRO Munitops Certificate Trust, Ser. 1999-16, Class V, FRDO, MBIA, 1.43%, 5/7/03 $ 2,000 1,605 Beaver County IDA, PCR, Ser. D, Rev., FRDO, AMBAC, 1.15%, 5/28/03 1,605 18,000 Pennsylvania Economic Development Financing Authority, Reliant Energy Seward LLC Project, Ser. B, Rev., FRDO, 1.50%, 5/7/03 18,000 10,000 Pennsylvania Higher Education Assistance Agency, Guaranteed Student Loans, Sub Ser. N-2, Rev., FRDO, 1.10%, 5/13/03 10,000 7,000 Philadelphia School District, GO, TRAN, 2.75%, 6/30/03 7,018 ------------ 38,623 Puerto Rico -- 0.6% 15,500 Puerto Rico Commonwealth, Rev., TRAN, 2.50%, 7/30/03 15,553 Rhode Island -- 1.4% 8,000 Rhode Island State & Providence Plantations, FLOATS, Ser. 720, GO, FRDO, FGIC, 1.42%, 5/1/03 8,000 10,500 Rhode Island Student Loan Authority, ACES, Ser. 1, Rev., FRDO, AMBAC, 1.10%, 5/7/03 10,500 200 Rhode Island Student Loan Authority, ACES, Ser. A, Rev., FRDO, 1.13%, 5/23/03 200 9,700 Rhode Island Student Loan Authority, Ser. 1, Rev., FRDO, AMBAC, 1.08%, 5/1/03 9,700 6,150 Rhode Island Student Loan Authority, Ser. B, Rev., FRDO, 1.13%, 5/2/03 6,150 ------------ 34,550 South Carolina -- 0.4% 6,000 Greenville Hospital Systems, Ser. C, Rev., AMBAC, 0.00%, 5/1/03 6,000 2,500 South Carolina State Education Assistance Authority, Student Loan, Senior Lien, Ser. A, Rev, FRDO, 1.19%, 6/4/03 2,500 ------------ 8,500 South Dakota -- 0.9% 10,800 Education Loans, Inc., South Dakota Student Loan, ACES, Ser. 1-A, Rev., FRDO, 1.15%, 5/29/03 10,800 10,000 Education Loans, Inc., South Dakota Student Loan, ACES, Ser. 1-C, Rev., FRDO, 1.10%, 5/8/03 10,000 ------------ 20,800 Texas -- 2.3% 10,000 Brazos Higher Education Authority, ACES, Student Loan, Senior Lien, Ser. A-1, Rev., FRDO, 1.10%, 5/15/03 10,000 2,200 Brazos Higher Education Authority, ACES, Student Loan, Senior Lien, Ser. A-1, Rev., FRDO, 1.20%, 5/29/03 2,200
See notes to financial statements. 48
PRINCIPAL AMOUNT (USD) ISSUER VALUE -------------------------------------------------------------------------------------------- Short-Term Investments -- Continued -------------------------------------------------------------------------------------------- Texas -- Continued $ 2,000 Brazos Higher Education Authority, Student Loan, Ser. A-7, Rev., FRDO, 1.10%, 5/2/03 $ 2,000 10,000 Harris County Health Facilities Development Authority, Hospital, Memorial Hermann, Ser. B, Rev., FRDO, FSA, 1.15%, 5/22/03 10,000 9,800 Harris County Health Facilities Development Authority, Stars Memorial Hospital, Ser. B, Rev., FRDO, MBIA, 1.14%, 5/21/03 9,800 8,000 Houston, Texas, Hotel Occupancy, Convention & Entertainment, Ser. C-1, Rev., FRDO, AMBAC, 1.11%, 5/8/03 8,000 10,000 South Texas Higher Education Authority, Ser. A-1, Rev., FRDO, MBIA, 1.10%, 5/15/03 10,000 3,584 Texas State, Veterans Housing Assistance Fund I, GO, FRDO, 1.30%, 5/7/03 3,584 ------------ 55,584 Utah -- 1.6% 19,450 Utah State Board of Regents, Student Loan, ACES, Ser. A, Class II, Rev., FRDO, 1.12%, 6/3/03 19,450 20,000 Utah Transit Authority, Sales Tax & Transportation, Light Rail Transit, Ser. R, Rev., FRDO, 1.30%, 5/1/03 20,000 ------------ 39,450 Vermont -- 0.6% 5,200 Vermont Student Assistance Corp., Student Loans, Ser. G, Rev., FRDO, FSA, 1.15%, 5/28/03 5,200 10,000 Vermont Student Assistance Corp., Student Loans, Ser. N, Rev., FRDO, AMBAC, 1.16%, 5/8/03 10,000 ------------ 15,200 Virginia -- 0.2% 6,000 Virginia Commonwealth Transportation Board, FLOATS, Ser. 727, Rev., FRDO, 1.42%, 5/1/03 6,000 Washington -- 1.0% 23,850 Washington State Public Power Supply System, Project No. 3, Electric, Ser. 3A, Rev., FRDO, MBIA, 1.35%, 5/7/03 23,850 West Virginia -- 1.3% 31,500 West Virginia State Parkways Economic Development & Tourism Authority, Rev., FRDO, FGIC, 1.30%, 5/7/03 31,500 Wisconsin -- 0.7% 6,055 Milwaukee Metropolitan Sewerage District, Municipal Trust Certificates, Ser. ZTC-53, Class A, GO, FRDO, 1.56%, 5/1/03 6,055 10,375 Wisconsin Public Power, Inc., Power Supply Systems, Ser. B, Rev., FRDO, MBIA, 1.15%, 6/6/03 10,375 ------------ 16,430
See notes to financial statements. 49
PRINCIPAL AMOUNT (USD) ISSUER VALUE -------------------------------------------------------------------------------------------- Short-Term Investments -- Continued -------------------------------------------------------------------------------------------- Wyoming-- 0.9% $ 4,000 Wyoming Student Loan Corp., ACES, Ser. A, Rev., FRDO, 1.15%, 5/14/03 $ 4,000 8,000 Wyoming Student Loan Corp., ACES, Ser. A, Rev., FRDO, 1.23%, 6/4/03 8,000 5,800 Wyoming Student Loan Corp., ACES, Ser. B, Rev., FRDO, 1.15%, 5/7/03 5,800 5,000 Wyoming Student Loan Corp., ACES, Ser. B, Rev., FRDO, 1.15%, 5/14/03 5,000 ------------ 22,800 -------------------------------------------------------------------------------- Total State and Municipal Obligations 1,055,262 (Cost $1,055,250) -------------------------------------------------------------------------------------------- U.S. TREASURY SECURITY -- 0.1% 2,370 U.S. Treasury Bill, 1.16%, 5/15/03 @ 2,369 (Cost $2,369) Shares MONEY MARKET FUND -- 6.6% 158,882 JPMorgan Tax Free Money Market Fund (a) 158,882 (Cost $158,882) -------------------------------------------------------------------------------------------- Total Short-Term Investments (Cost $1,216,501) 1,216,513 -------------------------------------------------------------------------------------------- Total Investments -- 100.0% $ 2,415,755 (Cost $2,405,233) --------------------------------------------------------------------------------------------
See notes to financial statements. 50 Futures Contracts (Amounts in thousands, except number of contracts)
NOTIONAL UNREALIZED NUMBER VALUE AT APPRECIATION OF EXPIRATION 4/30/03 (DEPRECIATION) CONTRACTS DESCRIPTION DATE (USD) (USD) ------------------------------------------------------------------------------------- LONG FUTURES OUTSTANDING 984 30 Day Federal Funds June, 2003 $ 405,297 $ 141 330 30 Day Federal Funds December, 2003 136,033 225 SHORT FUTURES OUTSTANDING (72) 2 Year Treasury Notes June, 2003 (15,545) (78) (405) 5 Year Treasury Notes June, 2003 (46,069) (530)
Swap Contracts
UNDERLYING UNREALIZED EXPIRATION NOTIONAL APPRECIATION DESCRIPTIONS DATE VALUE (DEPRECIATION) ------------------------------------------------------------------------------------ Interest Rate Swap with Lehman Brothers Special Financing, swap rate lock on 5 Year Forward Contract rate less 3.47, JPMorgan receives positive, pays negative 5/12/03 $ 119,200 $ (1,742)
See notes to financial statements. 51 JPMORGAN TAX AWARE LARGE CAP GROWTH FUND Portfolio of Investments As of April 30, 2003 (unaudited) (Amounts in thousands)
SHARES ISSUER VALUE -------------------------------------------------------------------------------------------- Long-Term Investments -- 99.1% -------------------------------------------------------------------------------------------- COMMON STOCKS -- 99.1% Banking -- 1.2% 65 Fifth Third Bancorp $ 3,189 Biotechnology -- 5.5% 130 Amgen, Inc. * 7,945 162 Applied Biosystems Group (Applera Corp.) 2,843 37 Gilead Sciences, Inc. * 1,726 50 MedImmune, Inc. * 1,778 ------------ 14,292 Broadcasting/Cable -- 0.6% 49 USA Networks, Inc. * 1,468 Business Services -- 2.4% 159 First Data Corp. 6,238 Computer Networks -- 2.6% 456 Cisco Systems, Inc. * 6,856 Computer Software -- 9.2% 46 Affiliated Computer Services, Inc., Class A * 2,185 728 Microsoft Corp. 18,614 277 Oracle Corp. * 3,290 ------------ 24,089 Computers/Computer Hardware -- 5.3% 206 Dell Computer Corp. * 5,947 92 International Business Machines Corp. 7,794 ------------ 13,741 Consumer Products -- 4.4% 98 Colgate-Palmolive Co. 5,603 67 Procter & Gamble Co. 6,008 ------------ 11,611 Diversified -- 5.5% 485 General Electric Co. 14,283 Electronics/Electrical Equipment -- 1.0% 49 Emerson Electric Co. 2,494 Financial Services -- 7.9% 146 American Express Co. 5,543 80 Citigroup, Inc. 3,156 92 Fannie Mae 6,666 53 Goldman Sachs Group, Inc. 4,045 25 Legg Mason, Inc. 1,358 ------------ 20,768 Food/Beverage Products -- 5.8% 67 PepsiCo, Inc. 2,885 190 The Coca-Cola Co. 7,676 73 Unilever NV, N.Y. Registered Shares (The Netherlands) 4,578 ------------ 15,139
See notes to financial statements. 52
SHARES ISSUER VALUE -------------------------------------------------------------------------------------------- Long-Term Investments -- Continued -------------------------------------------------------------------------------------------- Health Care/Health Care Services -- 3.1% 33 Cardinal Health, Inc. $ 1,850 131 Medtronic, Inc. 6,269 ------------ 8,119 Insurance -- 2.4% 66 AMBAC Financial Group, Inc. 3,840 44 American International Group, Inc. 2,561 ------------ 6,401 Multi-Media -- 2.9% 65 Comcast Corp., Special Class A * 1,956 84 The Walt Disney Co. 1,569 92 Viacom, Inc., Class B * 3,994 ------------ 7,519 Oil & Gas -- 2.2% 57 Anadarko Petroleum Corp. 2,531 93 Exxon Mobil Corp. 3,273 ------------ 5,804 Pharmaceuticals -- 19.2% 167 Abbott Laboratories 6,773 96 Eli Lilly & Co. 6,095 37 Forest Laboratories, Inc. * 1,903 181 Johnson & Johnson 10,210 75 Merck & Co., Inc. 4,375 462 Pfizer, Inc. 14,221 54 Teva Pharmaceutical Industries LTD (Israel), ADR 2,536 98 Wyeth 4,275 ------------ 50,388 Restaurants/Food Services -- 1.5% 160 Yum! Brands, Inc. * 3,952 Retailing -- 8.6% 36 Bed Bath & Beyond, Inc. * 1,403 140 Home Depot, Inc. 3,949 62 Kohl's Corp. * 3,520 243 Wal-Mart Stores, Inc. 13,680 ------------ 22,552 Semi-Conductors -- 6.1% 42 Altera Corp. * 659 197 Applied Materials, Inc. * 2,882 539 Intel Corp. 9,915 75 Linear Technology Corp. 2,578 ------------ 16,034 Telecommunications -- 0.6% 40 Verizon Communications, Inc. 1,495
See notes to financial statements. 53
SHARES ISSUER VALUE -------------------------------------------------------------------------------------------- Long-Term Investments -- Continued -------------------------------------------------------------------------------------------- Telecommunications Equipment -- 1.1% 172 Nokia OYJ (Finland), ADR $ 2,857 -------------------------------------------------------------------------------- Total Common Stocks 259,289 (Cost $280,922) -------------------------------------------------------------------------------------------- Short-Term Investment -- 0.9% -------------------------------------------------------------------------------------------- MONEY MARKET FUND -- 0.9% 2,366 JPMorgan Prime Money Market Fund (a) 2,366 (Cost $2,366) -------------------------------------------------------------------------------------------- Total Investments -- 100.0% $ 261,655 (Cost $283,288) --------------------------------------------------------------------------------------------
See notes to financial statements. 54 JPMORGAN TAX AWARE LARGE CAP VALUE FUND Portfolio of Investments As of April 30, 2003 (unaudited) (Amounts in thousands)
SHARES ISSUER VALUE --------------------------------------------------------------------------------- Long-Term Investments -- 99.4% --------------------------------------------------------------------------------- COMMON STOCKS -- 99.4% Agricultural Production/Services -- 1.4% 148 Altria Group, Inc. $ 4,544 Apparel -- 1.6% 185 Jones Apparel Group, Inc. * 5,282 Automotive -- 1.7% 68 Johnson Controls, Inc. 5,584 Banking -- 8.9% 196 Bank One Corp. 7,080 261 U.S. Bancorp 5,781 227 Wachovia Corp. 8,655 140 Wells Fargo & Co. 6,756 ------------ 28,272 Business Services -- 1.8% 366 Accenture LTD (Bermuda), Class A * 5,863 Chemicals -- 4.7% 97 Potash Corp. of Saskatchewan (Canada) 5,977 157 Praxair, Inc. 9,130 ------------ 15,107 Computers/Computer Hardware -- 3.0% 205 Hewlett-Packard Co. 3,348 73 International Business Machines Corp. 6,196 ------------ 9,544 Consumer Products -- 2.9% 103 Procter & Gamble Co. 9,267 Diversified -- 1.5% 312 Tyco International LTD (Bermuda) 4,860 Financial Services -- 16.5% 262 CIT Group, Inc. 5,337 439 Citigroup, Inc. 17,228 128 Fannie Mae 9,295 110 Goldman Sachs Group, Inc. 8,334 256 Janus Capital Group, Inc. 3,561 121 Merrill Lynch & Co., Inc. 4,967 99 Washington Mutual, Inc. 3,926 ------------ 52,648 Food/Beverage Products -- 1.2% 96 The Coca-Cola Co. 3,878 Health Care/Health Care Services -- 1.1% 58 C.R. Bard, Inc. 3,644
See notes to financial statements. 55
SHARES ISSUER VALUE --------------------------------------------------------------------------------- Long-Term Investments -- Continued --------------------------------------------------------------------------------- Insurance -- 6.7% 177 AMBAC Financial Group, Inc. $ 10,316 297 The Allstate Corp. 11,224 ------------ 21,540 Machinery & Engineering Equipment -- 1.5% 89 Caterpillar, Inc. 4,669 Manufacturing -- 1.5% 141 Honeywell International, Inc. 3,328 86 Timken Co. 1,522 ------------ 4,850 Metals/Mining -- 1.9% 272 Alcoa, Inc. 6,239 Multi-Media -- 4.2% 252 Comcast Corp., Special Class A * 7,566 531 Liberty Media Corp., Class A * 5,840 ------------ 13,406 Oil & Gas -- 12.2% 170 Baker Hughes, Inc. 4,760 82 ChevronTexaco Corp. 5,162 137 ConocoPhillips 6,891 501 Exxon Mobil Corp. 17,629 208 GlobalSantaFe Corp. 4,395 ------------ 38,837 Packaging -- 2.0% 453 Smurfit-Stone Container Corp. * 6,377 Pharmaceuticals -- 3.1% 66 Eli Lilly & Co. 4,184 157 Schering-Plough Corp. 2,842 69 Wyeth 3,011 ------------ 10,037 Real Estate Investment Trust -- 2.4% 341 Archstone-Smith Trust 7,768 Restaurants/Food Services -- 1.5% 290 McDonald's Corp. 4,959 Retailing -- 4.1% 236 CVS Corp. 5,704 392 The TJX Companies, Inc. 7,546 ------------ 13,250 Telecommunications -- 5.5% 264 SBC Communications, Inc. 6,162 312 Verizon Communications, Inc. 11,645 ------------ 17,807
See notes to financial statements. 56
SHARES ISSUER VALUE --------------------------------------------------------------------------------- Long-Term Investments -- Continued --------------------------------------------------------------------------------- Utilities -- 6.5% 212 American Electric Power Co., Inc. $ 5,593 215 DTE Energy Co. 8,685 159 Progress Energy, Inc. 6,643 ------------ 20,921 -------------------------------------------------------------------- Total Common Stocks 319,153 (Cost $359,205) --------------------------------------------------------------------------------- Short-Term Investments -- 0.6% --------------------------------------------------------------------------------- MONEY MARKET FUND -- 0.6% 1,831 JPMorgan Prime Money Market Fund (a) 1,831 (Cost $1,831) --------------------------------------------------------------------------------- Total Investments -- 100.0% $ 320,984 (Cost $361,036) ---------------------------------------------------------------------------------
See notes to financial statements. 57 JPMORGAN TAX AWARE SHORT-INTERMEDIATE INCOME FUND Portfolio of Investments As of April 30, 2003 (unaudited) (Amounts in thousands)
PRINCIPAL AMOUNT (USD) ISSUER VALUE --------------------------------------------------------------------------------- Long-Term Investments -- 82.0% --------------------------------------------------------------------------------- STATE AND MUNICIPAL OBLIGATIONS -- 75.3% Alabama -- 0.4% $ 1,000 Alabama State Docks Department, Dock Facilities, Rev., MBIA, 6.00%, 10/1/06 $ 1,141 Alaska -- 0.4% 1,000 Valdez, Alaska, Marine Terminal, Arco Transportation Project, Ser. B, Rev., Adj., 2.00%, 5/1/31 1,001 Arizona -- 4.8% 3,480 Arizona School Facilities Board, COP, Ser. A, MBIA, 4.00%, 9/1/04 3,605 4,735 Arizona State Transportation Board, Ser. A, Rev., 5.00%, 7/1/09 5,323 1,000 Maricopa County School District No. 6-Washington Elementary, Ser. B, GO, 7.10%, 7/1/06 1,159 2,000 Northern Arizona University, Rev., FGIC, 4.00%, 6/1/06 2,141 1,090 Salt River Project Agricultural Improvement & Power District, Electric Systems, Ser. A, Rev., 5.75%, 1/1/07 1,228 ------------ 13,456 California -- 3.6% 1,000 California State, GO, 7.00%, 8/1/07 1,169 4,335 Los Angeles Department of Water & Power, Waterworks, Ser. B, Rev., MBIA, 4.00%, 7/1/05 4,586 3,000 Los Angeles Unified School District, Election of 1997, Ser. F, GO, FSA, 4.50%, 7/1/13 3,224 1,000 Santa Clara County Financing Authority, Measure B Transportation Improvement Program, Rev., 4.00%, 8/1/05 1,052 ------------ 10,031 Colorado -- 2.4% 1,540 Colorado Department of Transportation, Ser. A, TRAN, Rev., 5.00%, 6/15/06 1,696 2,000 E-470 Public Highway Authority, Ser. C, Rev., MBIA, 6.00%, 9/1/06 2,277 2,390 Metro Wastewater Reclamation District, Ser. 2002-A, Rev., 5.25%, 4/1/07 2,666 ------------ 6,639 District of Columbia -- 0.4% 1,000 District of Columbia, Ser. A-3, GO, AMBAC, (p), 5.40%, 6/1/05 1,082 Florida -- 0.4% 1,000 Escambia County Health Facilities Authority, Ascension Health Credit, Ser. A, Rev., 5.00%, 11/15/06 1,100
See notes to financial statements. 58
PRINCIPAL AMOUNT (USD) ISSUER VALUE --------------------------------------------------------------------------------- Long-Term Investments -- Continued --------------------------------------------------------------------------------- Georgia -- 1.9% $ 1,680 Fulco Hospital Authority, Health Systems, Catholic Health East, Ser. A, Rev., RAC, MBIA, 5.50%, 11/15/08 $ 1,933 3,000 Georgia State, Ser. B, GO, 5.13%, 5/1/14 3,332 ------------ 5,265 Hawaii -- 0.8% 1,850 Honolulu City & County, Ser. A, GO, FGIC, 7.35%, 7/1/06 2,162 Illinois -- 6.6% 2,500 Chicago Metropolitan Water Reclamation District-Greater Chicago, GO, 5.85%, 12/1/05 2,771 4,000 Illinois Development Finance Authority, Gas Supply, Peoples Gas Light & Coke, Ser. B, Rev., Adj., AMBAC, 3.05%, 2/1/33 4,096 2,500 Illinois Development Finance Authority, PCR, Illinois Power Company Project, Ser. A, Rev., (p), 7.38%, 7/1/21 2,970 1,350 Illinois Health Facilities Authority, University of Chicago Hospital System, Rev., MBIA, 5.00%, 8/15/07 1,498 1,315 Illinois State, 1st Ser., GO, 5.00%, 10/1/05 1,422 5,000 Illinois State, 1st Ser., GO, 5.00%, 8/1/07 5,525 ------------ 18,282 Indiana -- 1.4% 3,500 Indiana Transportation Finance Authority, Aiport Facilities Lease, Ser. A, Rev., AMBAC, 6.00%, 11/1/06 3,963 Maryland -- 1.2% 2,000 Maryland State Health & Higher Educational Facilities Authority, Johns Hopkins Hospital, Ser. A, Rev., 4.50%, 8/1/05 2,136 1,000 Maryland State, State & Local Facilities Loan, 1st Ser. B, GO, 5.00%, 7/15/06 1,104 ------------ 3,240 Massachusetts -- 1.4% 3,515 Massachusetts State, CONS, Ser. C, GO, 5.25%, 12/1/07 3,963 Michigan -- 1.8% 3,000 Michigan State Hospital Finance Authority, Ascension Health Credit, Ser. B, Rev., Adj., 5.38%, 11/15/33 3,360 645 Michigan State University, Ser. A-2, Rev., Adj., 1.35%, 8/15/22 645 1,000 Michigan Strategic Fund, Dow Chemical Project, Rev., Adj., 4.60%, 6/1/14 1,018 ------------ 5,023
See notes to financial statements. 59
PRINCIPAL AMOUNT (USD) ISSUER VALUE --------------------------------------------------------------------------------- Long-Term Investments -- Continued --------------------------------------------------------------------------------- Mississippi -- 2.5% $ 6,230 Mississippi State, Capital Improvements, Ser. A, GO, 6.00%, 7/1/06 $ 7,032 Nevada -- 1.5% 3,795 University Of Nevada, Community College, Ser. A, Rev., FSA, 5.00%, 7/1/07 4,218 New Jersey -- 2.2% 1,280 Essex County, Ser. A-1, GO, FGIC, 6.00%, 11/15/05 1,423 1,595 New Jersey Building Authority, Rev., 5.50%, 6/15/06 @ 1,772 2,575 New Jersey State, Ser. J, GO, 5.00%, 7/15/08 2,890 ------------ 6,085 New Mexico -- 0.8% 1,000 New Mexico State Highway Commission, Sub Lien, Ser. A, Rev., 5.50%, 6/15/06 1,116 1,000 New Mexico State Highway Commission, Sub Lien, Ser. B, Rev., 5.00%, 6/15/06 1,098 ------------ 2,214 New York -- 10.8% 3,500 Long Island Power Authority, Electric Systems, Ser. B, Rev., 5.00%, 6/1/06 3,764 2,800 Municipal Assistance Corp. for the City of New York, Ser. O, Rev., 5.25%, 7/1/08 3,164 2,500 Municipal Assistance Corp. for the City Of New York., Ser. G, Rev., 6.00%, 7/1/06 2,827 2,000 New York City Health & Hospital Corp., Health Systems, Ser. A, Rev., AMBAC, 5.00%, 2/15/09 2,220 2,000 New York City Transitional Finance Authority, Future Tax Secured, Ser. B, Rev., Adj., 5.25%, 2/1/29 2,173 800 New York City, New York, Ser. B, GO, 5.10%, 8/1/08 864 5,000 New York City, New York, Ser. D, GO, MBIA, 6.20%, 2/1/07 5,672 1,400 New York City, New York, Ser. F, GO, 5.70%, 8/1/06 1,536 3,000 New York City, New York, Ser. G, GO, 5.00%, 8/1/07 3,236 3,505 New York State Dormitory Authority, Fourth Generation, City University System, Ser. A, Rev., CONS, 5.00%, 7/1/06 3,818 1,000 New York State, Ser. D, GO, 5.25%, 7/15/08 1,123 ------------ 30,397 North Carolina -- 0.2% 500 North Carolina Municipal Power Agency No. 1, Catawba, Taxable, Ser. B, Rev., 3.26%, 1/1/05 504
See notes to financial statements. 60
PRINCIPAL AMOUNT (USD) ISSUER VALUE --------------------------------------------------------------------------------- Long-Term Investments -- Continued --------------------------------------------------------------------------------- Ohio -- 4.4% $ 2,500 Ohio State Air Quality Development Authority, Ohio Edison Project, Ser. A, Rev., Adj., AMBAC, 3.25%, 2/1/15 $ 2,563 2,600 Ohio State, Common School Capital Facilities, Ser. A, GO, 5.75%, 6/15/06 2,918 1,000 Ohio State, Highway Capital Improvement, Ser. C, GO, 5.00%, 5/1/06 1,096 2,000 Ohio State, Infrastructure Improvement, Ser. A, GO, 4.50%, 8/1/04 2,080 3,300 Ohio State, Major New State Infrastructure, Rev., 5.00%, 6/15/05 3,540 ------------ 12,197 Oklahoma -- 0.7% 1,845 Oklahoma State Capital Improvement Authority, Highway Capital Improvement, Rev., MBIA, 5.00%, 6/1/08 2,067 Oregon -- 5.2% 1,200 Crook County School District, GO, FSA, 5.00%, 2/1/09 1,334 2,095 Oregon State Department of Administrative Services, Rev., FSA, 2.50%, 9/1/04 2,131 7,960 Oregon State Department of Administrative Services, Rev., FSA, 5.00%, 9/1/08 8,933 2,000 Tri-County Metropolitan Transportation District, Light Rail Extension, Ser. A, GO, 5.00%, 7/1/05 2,148 ------------ 14,546 Pennsylvania -- 1.6% 1,000 Pennsylvania IDA, Economic Development, Rev., AMBAC, 7.00%, 7/1/06 1,158 2,000 Philadelphia, Pennsyvania, Water & Wastewater Systems, Ser. 1999, Rev., AMBAC, 5.00%, 12/15/05 2,177 1,000 Pittsburgh, Pennsylvania, Ser. 2002-2004,2006, 2008 & 2009, GO, AMBAC, 5.00%, 9/1/06 1,104 ------------ 4,439 Puerto Rico -- 3.6% 1,000 Puerto Rico Commonwealth, GO, 5.30%, 7/1/04 1,044 5,000 Puerto Rico Commonwealth, Ser. C, Adj., GO, MBIA, 5.00%, 7/1/28 5,539 3,000 Puerto Rico Highway & Transportation Authority, Ser. AA, Rev., 5.00%, 7/1/07 3,279 ------------ 9,862 South Carolina -- 1.4% 1,855 Charleston, South Carolina, Public Facilities Corp., COP, 5.00%, 9/1/12 2,069 1,715 Piedmont Municipal Power Agency, Electric, Ser. A, Rev, FGIC, 6.25%, 1/1/05 1,850 ------------ 3,919
See notes to financial statements. 61
PRINCIPAL AMOUNT (USD) ISSUER VALUE --------------------------------------------------------------------------------- Long-Term Investments -- Continued --------------------------------------------------------------------------------- Texas -- 10.6% $ 1,000 Austin, Texas, Electric Utilities Systems, Rev., FSA, 5.50%, 11/15/13 $ 1,153 1,065 Bexar County Health Facilities Development Corp., Baptist Memorial Hospital System Project, Rev., MBIA, (p), 6.63%, 2/15/13 1,160 1,155 College Station, Texas, Ultililty Systems, Rev., FSA, 4.50%, 2/1/07 1,251 3,500 Dallas, Texas, Waterworks & Sewage Systems, Ser. A, Rev., 4.00%, 10/1/04 3,628 2,990 Houston, Texas, Hotel Occupancy Tax, Convention & Entertainment, Ser. A, Rev., AMBAC, 5.00%, 9/1/06 3,300 2,790 Lower Colorado River Authority, Transmission Contract, Rev., FSA, 5.00%, 5/15/07 3,086 1,065 San Antonio, Texas, Water, Rev., FGIC, 6.00%, 5/15/06 1,199 3,000 Texas State Turnpike Authority, Highway Improvements, Rev., BAN, 5.00%, 6/1/08 3,332 1,000 Texas State, Public Finance Authority, GO, 5.25%, 10/1/09 1,112 3,000 Travis County Health Facilities Development Corp., Ascension Health Credit, Ser. A, Rev., MBIA, 5.75%, 11/15/07 3,397 3,025 University of Houston, CONS, Ser. B, Rev., FSA, 5.00%, 2/15/06 3,293 3,075 University of Texas, Financing Systems, Ser. A, Rev., 5.38%, 8/15/16 3,458 ------------ 29,369 Washington -- 1.2% 2,000 Snohomish County Public Utility District No 1, Electric, Rev., 5.00%, 12/1/05 2,156 1,000 Washington Public Power Supply System, Nuclear Project No. 2., Ser. A, Rev., 4.80%, 7/1/04 1,039 ------------ 3,195 Wisconsin -- 1.1% 1,895 Milwaukee, Wisconsin, Ser. T, GO, 4.50%, 9/1/04 1,975 1,035 Wisconsin State, Ser. C, GO, MBIA, 5.00%, 5/1/07 1,144 ------------ 3,119 -------------------------------------------------------------------- Total State and Municipal Obligations 209,511 (Cost $208,074) -------------------------------------------------------------------- CORPORATE NOTES & BONDS -- 0.8% Automotive -- 0.1% 360 General Motors Acceptance Corp., 6.75%, 1/15/06 Financial Services -- 0.6% 380 400 Credit Suisse First Boston USA, Inc., 5.75%, 4/15/07 437 550 Household Finance Corp., 2.09%, 1/15/04, FRN, MTN 552
See notes to financial statements. 62
PRINCIPAL AMOUNT (USD) ISSUER VALUE --------------------------------------------------------------------------------- Long-Term Investments -- Continued --------------------------------------------------------------------------------- Automotive -- Continued $ 400 International Lease Finance Corp., 4.00%, 1/17/06, Ser. O, MTN $ 406 Telecommunications -- 0.1% 355 Sprint Capital Corp., 6.00%, 1/15/07 362 -------------------------------------------------------------------- Total Corporate Notes & Bonds 2,137 (Cost $2,106) -------------------------------------------------------------------- RESIDENTIAL MORTGAGE BACKED SECURITIES -- 5.9% Mortgage Backed Pass-Through Securities -- 5.9% 15,850 Federal Home Loan Mortgage Corp., 5.50%, 5/15/33, Gold Pool, TBA 16,281 (Cost $15,986) --------------------------------------------------------------------------------- Total Long-Term Investments 227,929 (Cost $226,166) --------------------------------------------------------------------------------- Short-Term Investments -- 18.0% --------------------------------------------------------------------------------- STATE AND MUNICIPAL OBLIGATION -- 0.4% North Carolina -- 0.4% 1,000 North Carolina Municipal Power Agency No. 1, Catawba, Taxable, Ser. B, Rev., 2.95%, 1/1/04 1,003 (Cost $1,000) SHARES MONEY MARKET FUND -- 17.6% 48,859 JPMorgan Tax Free Money Market Fund (a) 48,859 (Cost $48,859) --------------------------------------------------------------------------------- Total Short-Term Investments 49,862 (Cost $49,859) --------------------------------------------------------------------------------- Total Investments -- 100.0% $ 277,791 (Cost $276,025) ---------------------------------------------------------------------------------
See notes to financial statements. 63 Futures Contracts (Amounts in thousands, except number of contracts) --------------------------------------------------------------------------------
NOTIONAL UNREALIZED NUMBER VALUE AT APPRECIATION OF EXPIRATION 4/30/03 (DEPRECIATION) CONTRACTS DESCRIPTION DATE (USD) (USD) --------------------------------------------------------------------------------------- LONG FUTURES OUTSTANDING 35 30 Day Federal Funds December, 2003 $ 14,428 $ 24 106 30 Day Federal Funds June, 2003 43,660 15 SHORT FUTURES OUTSTANDING (7) 2 Year Treasury Notes June, 2003 (1,511) (7) (32) 5 Year Treasury Notes June, 2003 (3,640) (34)
Swap Contracts --------------------------------------------------------------------------------
UNDERLYING UNREALIZED EXPIRATION NOTIONAL APPRECIATION DESCRIPTIONS DATE VALUE (DEPRECIATION) --------------------------------------------------------------------------------------- Interest Rate Swap with Morgan Stanley Capital Services, semi-annual payment of 3.415% and semi-annual receipt of weekly average BMA 7/1/13 $ 3,150 $ 1 Interest Rate Swap with Morgan Stanley Capital Services, semi-annual payment of 3.750% and semi-annual receipt of weekly average BMA 5/1/13 9,500 (297) Interest Rate Swap with Lehman Brothers Special Financing, swap rate lock on 5 Year Forward Contract rate less 3.47, JPMorgan receives positive, pays negative 5/12/03 9,000 (132)
See notes to financial statements. 64 JPMORGAN TAX AWARE U.S. EQUITY FUND Portfolio of Investments As of April 30, 2003 (unaudited) (Amounts in thousands)
SHARES ISSUER VALUE --------------------------------------------------------------------------------- Long-Term Investments -- 98.0% --------------------------------------------------------------------------------- COMMON STOCKS -- 98.0% Aerospace -- 1.0% 88 United Technologies Corp. $ 5,439 Agricultural Production/Services -- 0.8% 142 Altria Group, Inc. 4,357 Apparel -- 1.1% 118 Jones Apparel Group, Inc. * 3,365 50 Nike, Inc., Class B 2,677 ------------ 6,042 Automotive -- 1.5% 106 Johnson Controls, Inc. 8,742 Banking -- 5.2% 241 Bank One Corp. 8,688 143 Mellon Financial Corp. 3,782 516 U.S. Bancorp 11,421 149 Wachovia Corp. 5,682 ------------ 29,573 Biotechnology -- 1.9% 114 Amgen, Inc. * 6,977 110 MedImmune, Inc. * 3,880 ------------ 10,857 Business Services -- 1.1% 216 Accenture LTD (Bermuda), Class A * 3,461 75 First Data Corp. 2,942 ------------ 6,403 Chemicals -- 0.8% 100 Air Products & Chemicals, Inc. 4,307 Computer Networks -- 1.7% 644 Cisco Systems, Inc. * 9,682 Computer Software -- 4.5% 838 Microsoft Corp. 21,416 350 Oracle Corp. * 4,158 ------------ 25,574 Computers/Computer Hardware -- 3.8% 171 Dell Computer Corp. * 4,945 130 Hewlett-Packard Co. 2,119 169 International Business Machines Corp. 14,312 ------------ 21,376 Consumer Products -- 4.7% 70 Colgate-Palmolive Co. 3,996 166 Procter & Gamble Co. 14,949 252 The Gillette Co. 7,679 ------------ 26,624
See notes to financial statements. 65
SHARES ISSUER VALUE --------------------------------------------------------------------------------- Long-Term Investments -- Continued --------------------------------------------------------------------------------- Diversified -- 4.7% 730 General Electric Co. $ 21,504 329 Tyco International LTD (Bermuda) 5,137 ------------ 26,641 Financial Services -- 9.5% 98 Capital One Financial Corp. 4,082 62 CIT Group, Inc. 1,263 535 Citigroup, Inc. 20,982 178 Fannie Mae 12,893 122 Goldman Sachs Group, Inc. 9,283 128 The Charles Schwab Corp. 1,107 128 Washington Mutual, Inc. 5,052 ------------ 54,662 Food/Beverage Products -- 3.3% 68 Kraft Foods, Inc., Class A 2,090 124 PepsiCo, Inc. 5,345 284 The Coca-Cola Co. 11,459 ------------ 18,894 Health Care/Health Care Services -- 1.9% 123 Becton, Dickinson & Co. 4,354 167 Guidant Corp. * 6,512 ------------ 10,866 Insurance -- 5.3% 193 AMBAC Financial Group, Inc. 11,248 166 American International Group, Inc. 9,615 172 The Allstate Corp. 6,489 183 Travelers Property Casualty Corp., Class A 2,975 ------------ 30,327 Machinery & Engineering Equipment -- 1.0% 131 Deere & Co. 5,786 Manufacturing -- 1.4% 116 Danaher Corp. 8,015 Metals/Mining -- 0.8% 192 Alcoa, Inc. 4,411 Multi-Media -- 5.4% 316 Comcast Corp., Special Class A * 9,488 143 News Corp., LTD, ADR (Australia) 4,030 173 Tribune Co. 8,464 197 Viacom, Inc., Class B * 8,537 ------------ 30,519 Oil & Gas -- 7.4% 60 Anadarko Petroleum Corp. 2,664 239 Baker Hughes, Inc. 6,686 183 ChevronTexaco Corp. 11,483 617 Exxon Mobil Corp. 21,736 ------------ 42,569 Paper/Forest Products -- 1.3% 162 Temple-Inland, Inc. 7,348
See notes to financial statements. 66
SHARES ISSUER VALUE --------------------------------------------------------------------------------- Long-Term Investments -- Continued --------------------------------------------------------------------------------- Pharmaceuticals -- 9.8% 161 Bristol-Myers Squibb Co. $ 4,111 152 Eli Lilly & Co. 9,696 50 Forest Laboratories, Inc. * 2,586 206 Johnson & Johnson 11,583 606 Pfizer, Inc. 18,650 150 Schering-Plough Corp. 2,711 164 Wyeth 7,129 ------------ 56,466 Restaurants/Food Services -- 0.5% 110 Yum! Brands, Inc. * 2,717 Retailing -- 7.1% 60 CVS Corp. 1,453 243 Home Depot, Inc. 6,826 218 Target Corp. 7,297 383 The TJX Companies, Inc. 7,365 317 Wal-Mart Stores, Inc. 17,829 ------------ 40,770 Semi-Conductors -- 2.7% 154 Altera Corp. * 2,428 119 Applied Materials, Inc. * 1,745 485 Intel Corp. 8,917 63 Linear Technology Corp. 2,172 ------------ 15,262 Shipping/Transportation -- 1.5% 142 Union Pacific Corp. 8,422 Telecommunications -- 3.1% 255 SBC Communications, Inc. 5,965 307 Verizon Communications, Inc. 11,487 ------------ 17,452 Telecommunications Equipment -- 0.8% 198 Motorola, Inc. 1,564 91 QUALCOMM, Inc. 2,899 ------------ 4,463 Utilities -- 2.4% 50 Consolidated Edison, Inc. 1,944 143 DTE Energy Co. 5,757 171 Pinnacle West Capital Corp. 5,681 ------------ 13,382 -------------------------------------------------------------------- Total Common Stocks 557,948 (Cost $631,000) --------------------------------------------------------------------------------- Short-Term Investments -- 2.0% --------------------------------------------------------------------------------- MONEY MARKET FUND -- 2.0% 11,470 JPMorgan Prime Money Market Fund (a) 11,470 (Cost $11,470) --------------------------------------------------------------------------------- Total Investments -- 100.0% $ 569,418 (Cost $642,470) ---------------------------------------------------------------------------------
See notes to financial statements. 67 Abbreviations: * -- Non-income producing security. ^ -- Amount rounds to less than 0.1%. ^^ -- Amount rounds to less than one thousand. + -- All or a portion of this security is segregated for TBA, when issued, delayed delivery, swaps or unsettled trades. # -- All or a portion of this security is a 144A or private placement security and can only be sold to qualified institutional buyers. @ -- Securities fully or partially segregated with the custodian as collateral for futures or with brokers as initial margin for futures contracts. (a) -- Affiliated. Money market fund registered under the Investment Company Act of 1940, as ammended and advised by JPMorgan Investment Management, Inc. Adj. -- Adjustable. The interest rate shown is the rate in effect at April 30, 2003. (i) -- Security is considered illiquid and may be difficult to sell. (p) -- Security is prerefunded or escrowed to maturity. The maturity date shown is the date of the prerefunded call. ACES -- Auction Rate Securities. ADR -- American Depositary Receipt AMBAC -- American Municipal Bond Assurance Corp. BAN -- Bond Anticipation Note. CONS -- Consolidated Bonds. COP -- Certificates of Participation. FGIC -- Financial Guaranty Insurance Co. FLOATS -- Floating Auction Tax Exempts. FRDO -- Floating Rate Demand Obligation. The maturity date shown is the next interest reset date. The interest rate shown is the rate in effect at April 30, 2003. FRN -- Floating Rate Note. The interset rate shown is the rate in effect at April 30, 2003. FSA -- Financial Securities Assistance. GDR -- Global Depositary Receipt GO -- General Obligation Bond. IDA -- Industrial Development Authority. MBIA -- Municipal Bond Insurance Association. MTN -- Medium Term Note. PCR -- Pollution Control Revenue. RAC -- Revenue Anticipation Certificate. RAMS -- Reverse Annuity Mortgage Security. RAN -- Revenue Anticipation Note. Rev. -- Revenue Bond. Ser. -- Series. TBA -- To Be Announced. TRAN -- Tax & Revenue Anticipation Note. AUD -- Australian Dollar. CAD -- Canadian Dollar. CHF -- Swiss Franc. EUR -- Euro. GBP -- Great Britain Pound. HKD -- Hong Kong Dollar. JPY -- Japanese Yen. SGD -- Singapore Dollar. USD -- United States Dollar. See notes to financial statements. 68 JPMORGAN FUNDS Statement of Assets and Liabilities As of April 30, 2003 (unaudited) (Amounts in thousands, except per share amounts)
FLEMING TAX AWARE TAX AWARE INTERNATIONAL DISCIPLINED OPPORTUNITIES EQUITY FUND FUND ------------------------------------------------------------------------------------------------- ASSETS: Investment securities, at value $ 119,274 $ 177,209 Cash 506 7 Foreign currency, at value 14 -- Receivables: Investment securities sold 941 6,255 Fund shares sold 20 264 Interest and dividends 505 192 Foreign tax reclaim 315 -- Unrealized appreciation on forward foreign currency contracts 915 -- Expense reimbursements 1 -- ------------------------------------------------------------------------------------------------- Total Assets 122,491 183,927 ------------------------------------------------------------------------------------------------- LIABILITIES: Payables: Investment securities purchased 1,236 6,015 Fund shares redeemed 8 77 Unrealized depreciation on forward foreign currency contracts 808 -- Accrued liabilities: Investment advisory fees 67 49 Administration fees -- 11 Distribution fees 1 -- Custodian fees 38 8 Trustee's fees - deferred compensation plan --^ --^ Other 25 37 ------------------------------------------------------------------------------------------------- Total Liabiliites 2,183 6,197 ------------------------------------------------------------------------------------------------- NET ASSETS: Paid in capital 186,161 309,814 Accumulated undistributed (overdistributed) net investment income 866 120 Accumulated net realized gain (loss) on investments, futures and foreign exchange transactions (61,349) (127,447) Net unrealized appreciation (depreciation) on investments and foreign exchange translations (5,370) (4,757) ------------------------------------------------------------------------------------------------- Total Net Assets $ 120,308 $ 177,730 ------------------------------------------------------------------------------------------------- Shares of beneficial interest outstanding ($0.001 par value; unlimited number of shares authorized): Class A 540 -- Class B 6 -- Class C 1 -- Institutional 10,652 14,604 Net Asset Value: Class A (and redemption price) $ 10.61 $ -- Class B* $ 10.52 $ -- Class C* $ 10.51 $ -- Institutional (and redemption price) $ 10.75 $ 12.17 Class A Maximum Public Offering Price Per Share (net asset value per share/94.25%) $ 11.26 $ -- ------------------------------------------------------------------------------------------------- Cost of investments $ 124,809 $ 181,966 ------------------------------------------------------------------------------------------------- Cost of foreign currency $ 14 $ -- =================================================================================================
^Amount rounds to less than one thousand. *Redemption price may be reduced by contingent deferred sales charge. See notes to financial statements. 69
TAX AWARE TAX AWARE ENHANCED INCOME LARGE CAP FUND GROWTH FUND ------------------------------------------------------------------------------------------------- ASSETS: Investment securities, at value $ 2,415,755 $ 261,655 Cash 190 -- Receivables: Investment securities sold 324,216 -- Fund shares sold 47,370 15 Interest and dividends 11,109 168 Variation margin 22 -- ------------------------------------------------------------------------------------------------- Total Assets 2,798,662 261,838 ------------------------------------------------------------------------------------------------- LIABILITIES: Payables: Dividends 699 -- Investment securities purchased 537,820 -- Fund shares redeemed 1,552 72 Unrealized depreciation on open swap contracts 1,742 Accrued liabilities: Investment advisory fees 394 83 Administration fees -- 31 Shareholder servicing fees 71 46 Distribution fees 4 -- Custodian fees 32 9 Trustee's fees - deferred compensation plan 1 113 Other 73 30 ------------------------------------------------------------------------------------------------- Total Liabilities 542,388 384 ------------------------------------------------------------------------------------------------- NET ASSETS: Paid in capital 2,249,709 401,262 Accumulated undistributed (overdistributed) net investment income 354 (145) Accumulated net realized gain (loss) on investments, futures, options and swaps (2,327) (118,030) Net unrealized appreciation (depreciation) on investments, futures and swaps 8,538 (21,633) ------------------------------------------------------------------------------------------------- Total Net Assets $ 2,256,274 $ 261,454 ------------------------------------------------------------------------------------------------- Shares of beneficial interest outstanding ($0.001 par value; unlimited number of shares authorized): Class A 2,141 -- Institutional 187,461 -- Select 33,677 19,394 Net Asset Value: Class A (and redemption price) $ 10.11 $ -- Institutional (and redemption price) $ 10.10 $ -- Select (and redemption price) $ 10.11 $ 13.48 Class A Maximum Public Offering Price Per Share (net asset value per share/98.50%) $ 10.26 $ -- ------------------------------------------------------------------------------------------------- Cost of investments $ 2,405,233 $ 283,288 -------------------------------------------------------------------------------------------------
See notes to financial statements. 70
TAX AWARE TAX AWARE TAX AWARE LARGE CAP SHORT - INTERMEDIATE U.S. EQUITY VALUE FUND INCOME FUND FUND -------------------------------------------------------------------------------------------------------------------- ASSETS: Investment securities, at value $ 320,984 $ 277,791 $ 569,418 Cash -- 6 3 Receivables: Investment securities sold -- 33,022 -- Fund shares sold 942 1,905 770 Interest and dividends 643 2,649 716 Variation margin -- 5 -- Unrealized appreciation on swap contracts -- 1 -- Expense reimbursements -- -- 3 -------------------------------------------------------------------------------------------------------------------- Total Assets 322,569 315,379 570,910 -------------------------------------------------------------------------------------------------------------------- LIABILITIES: Payables: Dividends 346 268 -- Investment securities purchased -- 66,171 -- Fund shares redeemed 19 200 117 Unrealized depreciation on open swap contracts -- 429 -- Accrued liabilities: Investment advisory fees 102 43 201 Administration fees 38 -- 31 Shareholder servicing fees 63 13 104 Distribution fees -- -- 3 Custodian fees 14 17 24 Trustee's fees - deferred compensation plan 145 --^ 34 Other 36 59 66 -------------------------------------------------------------------------------------------------------------------- Total Liabilities 763 67,200 580 -------------------------------------------------------------------------------------------------------------------- NET ASSETS: Paid in capital 403,517 246,838 691,705 Accumulated undistributed (overdistributed) net investment income (95) 71 388 Accumulated net realized gain (loss) on investments, futures, options and swaps (41,564) (66) (48,711) Net unrealized appreciation (depreciation) of investments, futures and swaps (40,052) 1,336 (73,052) -------------------------------------------------------------------------------------------------------------------- Total Net Assets $ 321,806 $ 248,179 $ 570,330 -------------------------------------------------------------------------------------------------------------------- Shares of beneficial interest outstanding ($0.001 par value; unlimited number of shares authorized): Class A -- -- 317 Class B -- -- 227 Class C -- -- 24 Institutional -- 17,012 5,741 Select 19,859 7,601 38,313 Net Asset Value: Class A (and redemption price) $ -- $ -- $ 13.25 Class B* $ -- $ -- $ 13.14 Class C* $ -- $ -- $ 13.12 Institutional (and redemption price) $ -- $ 10.08 $ 9.43 Select (and redemption price) $ 16.20 $ 10.08 $ 13.28 Class A Maximum Public Offering Price Per Share (net asset value per share/94.25%) $ -- $ -- $ 14.06 -------------------------------------------------------------------------------------------------------------------- Cost of investments $ 361,036 $ 276,025 $ 642,470 ====================================================================================================================
* Redemption price may be reduced by contingent deferred sales charge. ^ Amount rounds to less than one thousand. See notes to financial statements. 71 JPMORGAN FUNDS Statement of Operations For the six months ended April 30, 2003 (unaudited) (Amounts in thousands)
FLEMING TAX AWARE TAX AWARE INTERNATIONAL DISCIPLINED OPPORTUNITIES EQUITY FUND FUND ------------------------------------------------------------------------------------------------- INVESTMENT INCOME: Interest $ 1 $ -- Dividend 1,771 1,607 Dividend income from affiliated investments* -- 2 Foreign taxes withheld (198) -- ------------------------------------------------------------------------------------------------- Total investment income 1,574 1,609 ------------------------------------------------------------------------------------------------- EXPENSES: Investment advisory fees 579 314 Administration fees 102 135 Shareholder servicing fees 73 90 Distribution fees 8 -- Custodian fees 107 30 Printing and postage 5 2 Professional fees 33 23 Registration fees 22 11 Transfer agent fees 43 27 Trustees' fees 1 1 Other 4 7 ------------------------------------------------------------------------------------------------- Total expenses 977 640 ------------------------------------------------------------------------------------------------- Less amounts waived 267 146 Less earnings credits -- --^ Less expense reimbursements 4 -- ------------------------------------------------------------------------------------------------- Net expenses 706 494 ------------------------------------------------------------------------------------------------- Net investment income 868 1,115 ------------------------------------------------------------------------------------------------- REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS: Net realized gain (loss) on transactions from: Investments (19,768) (15,177) Futures (174) -- Foreign exchange contracts (54) -- Change in net unrealized appreciation/depreciation of: Investments 16,250 21,849 Futures (63) -- Foreign currency translations 106 -- ------------------------------------------------------------------------------------------------- Net realized and unrealized gain (loss) on investments, futures and foreign exchange transactions (3,703) 6,672 ------------------------------------------------------------------------------------------------- Net increase (decrease) in net assets from operations $ (2,835) $ 7,787 ------------------------------------------------------------------------------------------------- * Includes reimbursements of investment advisory, administration and shareholder servicing fees: $ -- $ --^ =================================================================================================
^ Amount rounds to less than one thousand. See notes to financial statements. 72
TAX AWARE TAX AWARE ENHANCED LARGE CAP INCOME GROWTH FUND FUND ------------------------------------------------------------------------------------------------- INVESTMENT INCOME: Interest $ 22,751 $ -- Dividend -- 1,505 Dividend income from affiliated investments* 542 31 Foreign tax dividend income -- 4 ------------------------------------------------------------------------------------------------- Total investment income 23,293 1,540 ------------------------------------------------------------------------------------------------- EXPENSES: Investment advisory fees 2,492 498 Administration fees 1,495 187 Shareholder servicing fees 1,229 311 Distribution fees 26 -- Custodian fees 120 27 Printing and postage 37 2 Professional fees 47 29 Registration fees 32 9 Transfer agent fees 49 11 Trustees' fees 10 1 Other 31 7 ------------------------------------------------------------------------------------------------- Total expenses 5,568 1,082 ------------------------------------------------------------------------------------------------- Less amounts waived 2,657 23 Less earnings credits 6 --^ ------------------------------------------------------------------------------------------------- Net expenses 2,905 1,059 ------------------------------------------------------------------------------------------------- Net investment income 20,388 481 ------------------------------------------------------------------------------------------------- REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS: Net realized gain (loss) on transactions from: Investments (659) (19,060) Futures 97 -- Options 126 -- Swaps (1,780) -- Change in net unrealized appreciation/depreciation of: Investments 8,730 27,550 Futures 1,133 -- Swaps (1,742) -- ------------------------------------------------------------------------------------------------- Net realized and unrealized gain (loss) on investments, futures, options and swaps 5,905 8,490 ------------------------------------------------------------------------------------------------- Net increase (decrease) in net assets from operations $ 26,293 $ 8,971 ------------------------------------------------------------------------------------------------- * Includes reimbursements of investment advisory, administration and shareholder servicing fees of : $ 76 $ 4 =================================================================================================
^ Amount rounds to less than one thousand. See notes to financial statements. 73
TAX AWARE TAX AWARE TAX AWARE LARGE CAP SHORT-INTERMEDIATE U.S. EQUITY VALUE FUND INCOME FUND FUND 11/1/02 12/20/02 11/1/02 THROUGH THROUGH THROUGH 4/30/03 4/30/03(a) 4/30/03 -------------------------------------------------------------------------------------------------------------------- INVESTMENT INCOME: Interest $ -- $ 1,283 $ 3 Dividend 3,887 -- 2,598 Dividend income from affiliated investments* 32 100 76 Foreign taxes withheld (7) -- -- -------------------------------------------------------------------------------------------------------------------- Total investment income 3,912 1,383 2,677 -------------------------------------------------------------------------------------------------------------------- EXPENSES: Investment advisory fees 635 133 702 Administration fees 238 80 234 Shareholder servicing fees 397 74 355 Distribution fees -- -- 17 Custodian and accounting fees 32 28 53 Printing and postage 1 3 11 Professional fees 22 33 25 Registration fees 5 13 25 Transfer agent fees 11 19 83 Trustees' fees 2 1 2 Other 7 5 8 -------------------------------------------------------------------------------------------------------------------- Total expenses 1,350 389 1,515 -------------------------------------------------------------------------------------------------------------------- Less amounts waived 1 183 202 Less earnings credits --^ --^ --^ Less expense reimbursements -- -- 19 -------------------------------------------------------------------------------------------------------------------- Net expenses 1,349 206 1,294 -------------------------------------------------------------------------------------------------------------------- Net investment income (loss) 2,563 1,177 1,383 -------------------------------------------------------------------------------------------------------------------- REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS: Net realized gain (loss) on transactions from: Investments (14,080) (56) (8,023) Futures -- (134) -- Options -- 6 -- Swaps -- 118 -- Change in net unrealized appreciation/ depreciation of: Investments 17,456 1,766 23,460 Futures -- (2) -- Swaps -- (428) -- -------------------------------------------------------------------------------------------------------------------- Net realized and unrealized gain (loss) on investments, futures, options and swaps 3,376 1,270 15,437 -------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in net assets from operations $ 5,939 $ 2,447 $ 16,820 -------------------------------------------------------------------------------------------------------------------- * Includes reimbursements of investment advisory, administration and shareholder servicing fees: $ 4 $ 14 $ 10 ====================================================================================================================
(a) Commencement of Operations ^ Amount rounds to less than one thousand. See notes to financial statements. 74 JPMORGAN FUNDS Statement of Changes in Net Assets For the periods indicated (unaudited) (Amounts in thousands)
FLEMING TAX AWARE TAX AWARE INTERNATIONAL OPPORTUNITIES DISCIPLINED EQUITY FUND FUND --------------------------- -------------------------- 11/1/02 YEAR 11/1/02 YEAR THROUGH ENDED THROUGH ENDED 4/30/03 10/31/02 4/30/03 10/31/02 -------------------------------------------------------------------------------------------------------------------- INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: Net investment income $ 868 $ 1,923 $ 1,115 $ 2,489 Net realized gain (loss) on investments, futures and foreign exchange transactions (19,996) (27,651) (15,177) (44,615) Change in net unrealized appreciation/depreciation from investments and foreign exchange translations 16,293 5,537 21,849 1,515 -------------------------------------------------------------------------------------------------------------------- Increase (decrease) in net assets from operations (2,835) (20,191) 7,787 (40,611) -------------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income (1,586) (546) (1,252) (3,600) -------------------------------------------------------------------------------------------------------------------- INCREASE (DECREASE) FROM CAPITAL SHARE TRANSACTIONS (31,473) (2,720) (22,801) (74,547) -------------------------------------------------------------------------------------------------------------------- Total increase (decrease) in net assets (35,894) (23,457) (16,266) (118,758) NET ASSETS: Beginning of period 156,202 179,659 193,996 312,754 -------------------------------------------------------------------------------------------------------------------- End of period $ 120,308 $ 156,202 $ 177,730 $ 193,996 -------------------------------------------------------------------------------------------------------------------- ACCUMULATED UNDISTRIBUTED (OVERDISTRIBUTED) NET INVESTMENT INCOME $ 866 $ 1,584 $ 120 $ 257 --------------------------------------------------------------------------------------------------------------------
See notes to financial statements. 75
TAX AWARE TAX AWARE ENHANCED INCOME LARGE CAP FUND GROWTH FUND -------------------------- ----------------------------------------- 11/1/02 YEAR 11/1/02 1/1/02 11/1/01 THROUGH ENDED THROUGH THROUGH THROUGH 4/30/03 10/31/02 4/30/03 10/31/02(a) 12/31/01(b) ----------------------------------------------------------------------------------------------------------------------------------- INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: Net investment income $ 20,388 $ 33,137 $ 481 $ 940 $ 415 Net realized gain (loss) on investments, futures, options and swaps (2,216) 271 (19,060) (34,608) (3,297) Change in net unrealized appreciation/depreciation of investments, futures and swaps 8,121 (5,319) 27,550 (62,473) 31,331 ----------------------------------------------------------------------------------------------------------------------------------- Increase (decrease) in net assets from operations 26,293 28,089 8,971 (96,141) 28,449 ----------------------------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income (20,321) (33,310) (473) (934) (601) Net realized gain on investment transactions -- (734) -- -- -- ----------------------------------------------------------------------------------------------------------------------------------- Total distributions to shareholders (20,321) (34,044) (473) (934) (601) ----------------------------------------------------------------------------------------------------------------------------------- INCREASE (DECREASE) FROM CAPITAL SHARE TRANSACTIONS 282,565 836,900 (3,570) (79,691) (17,591) ----------------------------------------------------------------------------------------------------------------------------------- Total increase (decrease) in net assets 288,537 830,945 4,928 (176,766) 10,257 NET ASSETS: Beginning of period 1,967,737 1,136,792 256,526 433,292 423,035 ----------------------------------------------------------------------------------------------------------------------------------- End of period $ 2,256,274 $ 1,967,737 $ 261,454 $ 256,526 $ 433,292 ----------------------------------------------------------------------------------------------------------------------------------- ACCUMULATED UNDISTRIBUTED (OVERDISTRIBUTED) NET INVESTMENT INCOME $ 354 $ 287 $ (145) $ (153) $ (159) -----------------------------------------------------------------------------------------------------------------------------------
(a) The fund changed its fiscal year end from December 31 to October 31. (b) The fund changed its fiscal year end from October 31 to December 31. See notes to financial statements. 76
TAX AWARE TAX AWARE SHORT - LARGE CAP INTERMEDIATE VALUE FUND INCOME FUND ----------------------------------- ------------------- 11/1/02 1/1/02 11/1/01 12/20/02* THROUGH THROUGH THROUGH THROUGH 4/30/03 10/31/02(a) 12/31/01(b) 4/30/03 ---------------------------------------------------------------------------------------------------------------------------- INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: Net investment income (loss) $ 2,563 $ 4,441 $ 639 $ 1,177 Net realized gain (loss) on investments, futures, options and swaps (14,080) (26,675) (338) (66) Change in net unrealized appreciation/depreciation of investments, futures, and swaps 17,456 (49,837) 28,437 1,336 ------------------------------------------------------------------------------------------------------------------------ Increase (decrease) in net assets from operations 5,939 (72,071) 28,738 2,447 ------------------------------------------------------------------------------------------------------------------------ DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income (2,557) (4,354) (579) (1,106) ------------------------------------------------------------------------------------------------------------------------ INCREASE (DECREASE) FROM CAPITAL SHARE TRANSACTIONS (8,919) (11,678) (18,389) 246,838 ------------------------------------------------------------------------------------------------------------------------ Total increase (decrease) in net assets (5,537) (88,103) 9,770 248,179 NET ASSETS: Beginning of period 327,343 415,446 405,676 -- ------------------------------------------------------------------------------------------------------------------------ End of period $ 321,806 $ 327,343 $ 415,446 $ 248,179 ------------------------------------------------------------------------------------------------------------------------ ACCUMULATED UNDISTRIBUTED (OVERDISTRIBUTED) NET INVESTMENT INCOME $ (95) $ (101) $ (188) $ 71 ------------------------------------------------------------------------------------------------------------------------ TAX AWARE U.S. EQUITY FUND ----------------------- 11/1/02 YEAR THROUGH ENDED 4/30/03 10/31/02 ------------------------------------------------------------------------------------------- INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: Net investment income (loss) $ 1,383 $ 1,865 Net realized gain (loss) on investments, futures, options and swaps (8,023) (11,267) Change in net unrealized appreciation/depreciation of investments, futures, and swaps 23,460 (37,041) ------------------------------------------------------------------------------------------- Increase (decrease) in net assets from operations 16,820 (46,443) ------------------------------------------------------------------------------------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income (1,283) (2,275) ------------------------------------------------------------------------------------------- INCREASE (DECREASE) FROM CAPITAL SHARE TRANSACTIONS 318,593 59,205 ------------------------------------------------------------------------------------------- Total increase (decrease) in net assets 334,130 10,487 NET ASSETS: Beginning of period 236,200 225,713 ------------------------------------------------------------------------------------------- End of period $ 570,330 $ 236,200 ------------------------------------------------------------------------------------------ ACCUMULATED UNDISTRIBUTED (OVERDISTRIBUTED) NET INVESTMENT INCOME $ 388 $ 288 -------------------------------------------------------------------------------------------
* Commencement of operations. (a) The fund changed its fiscal year end from December 31 to October 31. (b) The fund changed its fiscal year end from October 31 to December 31. See notes to financial statements. 77 JPMORGAN FUNDS Notes to Financial Statements (unaudited) 1. ORGANIZATION J.P. Morgan Series Trust ("JPMST"), Mutual Fund Group ("MFG"), Mutual Fund Select Group ("MFSG") and J.P. Morgan Institutional Funds ("JPMIF") (the "Trusts") were organized on August 15, 1996, May 11, 1987, October 1, 1996 and November 4, 1997, respectively, as Massachusetts business trusts and are registered under the Investment Company Act of 1940 (the "1940 Act"), as amended, as open-end management investment companies. The following are seven separate portfolios of the Trusts (collectively, the "Funds"):
FUND CLASSES OFFERED -------------------------------------------------------------------------------- JPMorgan Fleming Tax Aware International Opportunities Fund ("FTAIO") Class A, Class B, Class C and Institutional JPMorgan Tax Aware Disciplined Equity ("TADE") Institutional JPMorgan Tax Aware Enhanced Income ("TAEI") Class A, Institutional and Select JPMorgan Tax Aware Large Cap Growth ("TALCG") Select JPMorgan Tax Aware Large Cap Value Fund ("TALCV") Select JPMorgan Tax Aware Short-Intermediate Income Fund ("TASI") Institutional and Select JPMorgan Tax Aware U.S. Equity Class A, Class B, Class C, Institutional Fund ("TAUSE") and Select
FTAIO is a separate series of MFG. TADE, TAEI and TAUSE are separate series of JPMST. TALCG and TALCV are separate series of MFSG. TASI is a separate series of JPMIF. TASI commenced operations on December 20, 2002. Class A Shares generally provide for a front-end sales charge while Class B and Class C shares provide for a contingent deferred sales charge. Class B shares automatically convert to Class A shares after eight years. No sales charges are assessed with respect to the Institutional Class and Select Class. All classes of shares have equal rights as to earnings, assets and voting privileges except that each class may bear different transfer agent, distribution and shareholder servicing fees and each class has exclusive voting rights with respect to its distribution plan and shareholder servicing agreements. During the six months ended April 30, 2003, TADE received a contribution of securities ("In-kind contributions") valued at $18,994 in exchange for shares of institutional share class. The effective date of the contribution was December 31, 2002 and the securities were transferred at market value, which resulted in no unrealized gain or loss. 78 2. REORGANIZATION Prior to the open of business on March 24, 2003, the JPMorgan Tax Aware U.S. Equity Fund (now known as TAUSE, the "Acquiring Fund") acquired all of the net assets of JPMorgan Select Large Cap Equity Fund (the "Target Fund"), as shown in the table below, pursuant to a Reorganization Plan approved by the Target Fund's shareholders on February 13, 2003. The transaction was structured for tax purposes to qualify as a tax-free reorganization under the Internal Revenue Code. Under the Reorganization Plan, shareholders of the Target Fund received shares in the Acquiring Fund with a value equal to their holdings in the Target Fund. Holders of the Target Fund received Select Class Shares of the Acquiring Fund. The following is a summary of Shares Outstanding, Net Assets, Net Asset Value Per Share and Net Unrealized Appreciation (Depreciation) immediately before and after the Reorganization: JPMORGAN TAX AWARE U.S. EQUITY FUND REORGANIZATION
NET ASSET NET SHARES VALUE UNREALIZED OUTSTANDING NET ASSETS PER SHARE APPRECIATION -------------------------------------------------------------------------------------------------- Target Fund JPMorgan Select Large Cap Equity Fund $ (42,214,855) Select Class 12,404,349 $ 241,296,996 $ 19.45 Acquiring Fund JPMorgan Tax Aware U.S. Equity Fund $ (43,722,485) Class A 319,589 $ 4,145,071 $ 12.97 Class B 223,652 $ 2,878,848 $ 12.87 Class C 23,291 $ 299,186 $ 12.85 Institutional Class 5,529,424 $ 51,039,313 $ 9.23 Select Class 16,878,721 $ 219,252,705 $ 12.99 Post Reorganization JPMorgan Tax Aware U.S. Equity Fund $ (85,937,340) Class A 319,589 $ 4,145,071 $ 12.97 Class B 223,652 $ 2,878,848 $ 12.87 Class C 23,291 $ 299,186 $ 12.85 Institutional Class 5,529,424 $ 51,039,313 $ 9.23 Select Class 35,451,822 $ 460,549,701 $ 12.99
3. SIGNIFICANT ACCOUNTING POLICIES THE FOLLOWING IS A SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES FOLLOWED BY THE FUNDS: The preparation of financial statements in accordance with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. 79 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 System equity securities quoted by the Nasdaq Stock Market, Inc. shall generally be the Nasdaq Official Closing Price. Securities for which sale prices are not available and other over-the-counter securities are valued at the mean between the bid and asked quotations. Fixed income securities (other than convertible bonds) with a maturity of 61 days or more held by the Funds will be valued each day based on readily available market quotations received from independent or affiliated commercial pricing services. Such pricing services will generally provide bidside quotations. Convertible bonds are valued at the last sale price on the primary exchange on which the bond is principally traded. When valuations are not readily available, securities are valued at fair value as determined in accordance with procedures adopted by the Trustees. It is reasonably possible that the estimated values may differ significantly from the values that would have been used had a ready market for the investments existed, and such differences could have been material. Short-term investments with 60 days or less to maturity at time of purchase are valued at amortized cost, which approximates market value. 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. If events materially affecting the value of foreign securities occur between the time when the exchange on which they are traded closes and the time when the Funds' net assets are calculated, such securities will be valued at fair value in accordance with procedures adopted by the Trustees. 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. 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 Funds to unlimited risk of loss. The Funds may enter into futures contracts only on exchanges or boards of trade. The exchange or board of trade acts as the counterparty to each futures transaction; therefore, the Fund's credit risk is limited to failure of the exchange or board of trade. 80 As of April 30, 2003, the Funds had outstanding futures contracts as listed on the Funds' Portfolio of Investments. C. FOREIGN CURRENCY TRANSLATION -- The books and records of the Funds are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the prevailing exchange rates, or at the mean of the current bid and asked prices, of such currencies against the U.S. dollar as quoted by a major bank, on the following basis: 1. Market value of investment securities and other assets and liabilities: at the rate of exchange at the valuation date. 2. Purchases and sales of investment securities, income and expenses: at the rates of exchange prevailing on the respective dates of such transactions. The Funds do not isolate that portion of the results of operations arising as a result of changes in the foreign exchange rates from the fluctuations arising from changes in the market prices of securities held or sold during the year. Accordingly, such realized foreign currency gains (losses) are included in the reported net realized gains (losses) on investment transactions. Reported realized foreign currency gains or losses arise from disposition of foreign currency, currency gains or losses realized between the trade and settlement dates on securities transactions, and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on the Funds' books on the transaction date and the U.S. dollar equivalent of the amounts actually received or paid. Unrealized foreign exchange gains and losses arise from changes (due to the changes in the exchange rate) in the value of foreign currency and other assets and liabilities other than investments and liabilities denominated in foreign currencies held at period end. D. FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS -- The Funds may enter into forward foreign currency exchange contracts (obligations to purchase or sell foreign currency in the future on a date and price fixed at the time the contracts are entered into) to manage the Funds' exposure to foreign currency exchange fluctuations. Each day the forward contract is open, changes in the value of the contract are recognized as unrealized gains or losses by "marking to market". When the forward contract is closed, or the delivery of the currency is made or taken, the Fund records a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transaction and the Fund's basis in the contract. The Funds are subject to off-balance sheet risk to the extent of the value of the contracts for purchases of foreign currency and in an unlimited amount for sales of foreign currency. As of April 30, 2003, the Funds had outstanding forward foreign currency exchange contracts as listed on the Funds' Portfolio of Investments. 81 E. WRITTEN OPTIONS -- When a Fund writes an option, an amount equal to the premium received by the Fund is included in the Fund's Statement of Assets and Liabilities as an asset and corresponding liability. The amount of liability is adjusted daily to reflect the current market value of the written option and the change is recorded in a corresponding unrealized gain or loss account. When a written option expires on its stipulated expiration date, or when a closing transaction is entered into, the related liability is extinguished and the fund realizes a gain or loss based on the cost of the closing transaction and the premium received when the option was written. Transactions in options written for TAEI and TASI during the six months ended April 30, 2003, were as follows (amounts in thousands):
TAEI TASI ---------------------------------------------------------------------------------------- NUMBER OF PREMIUMS NUMBER OF PREMIUMS UNITS RECEIVED UNITS RECEIVED ---------------------------------------------------------------------------------------- Options outstanding at October 31, 2002 -- -- -- -- Options written 2 1,550 --^ 49 Options terminated in closing purchase transactions (2) (1,550) --^ (49) ---------- ---------- ---------- ---------- Options outstanding at April 30, 2003 -- -- -- -- ========== ========== ========== ==========
^Amount rounds to less than one thousand. F. SWAPS -- The Funds may engage in swap transactions such as interest rate or currency swaps, consistent with its investment objective and policies. Swaps involve the exchange by the Fund with another party of their respective commitments to pay or receive interest, effective return or total return throughout the lives of the agreements. The interest to be paid or received on swaps is included in the value of the exchange. Unrealized gains are reported as an asset and unrealized losses are reported as a liability on the Statement of Assets and Liabilities. The interest to be paid or received on swaps is reported as unrealized gains or losses in the Statement of Operations. A realized gain or loss is recorded upon termination of the swap agreements. Swap agreements are stated at fair value. Notional principal amounts are used to express the extent of involvement in these transactions, but the amounts potentially subject to credit risk are much smaller. As of April 30, 2003, the Funds had outstanding swap agreements as listed on the Funds' Portfolio of Investments. G. DOLLAR ROLLS -- The Funds may enter into dollar rolls (principally using TBA's) in which the Funds sell mortgage securities for delivery in the current month and simultaneously contract to repurchase similar, but not identical, securities at an agreed-upon price on a fixed date. The Funds account for such dollar rolls as purchases and sales and receive compensation as consideration for entering the 82 commitment to repurchase. Each Fund must maintain liquid securities having a value not less than the repurchase price (including accrued interest) for such dollar rolls. The market value of the securities that a Fund is required to purchase may decline below the agreed upon repurchase price of these securities. In a "fee" roll, the compensation is recorded as deferred income and amortized to income over the roll period. The counterparty receives all principal and interest payments, including prepayments, made in respect of a security subject to such a contract while it is the holder. Mortgage dollar rolls may be renewed with a new purchase and repurchase price and a cash settlement made on settlement date without physical delivery of the securities subject to the contract. The Funds engage in dollar rolls for the purpose of enhancing their yields, principally by earning a negotiated fee. The Funds had TBA Dollar Rolls outstanding as of April 30, 2003, which are included in Receivable for Investment securities sold and Payable for Investment securities purchased on the Statement of Assets and Liabilities. The Funds segregate assets with a current value at least equal to the amount of their TBA Dollar Rolls. H. RESTRICTED AND ILLIQUID SECURITIES -- Each Fund is permitted to invest up to 15% of its net assets 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. I. 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 is recorded on the ex-dividend date or when the Fund first learns of the dividend. Purchases of To Be Announced (TBA), when-issued or delayed securities may be settled a month or more after the trade date; interest income is not accrued until settlement date. It is each Fund's policy to segregate assets with a current value at least equal to the amount of its TBA, when-issued or delayed delivery purchase commitments. J. ALLOCATION OF INCOME AND EXPENSES -- Expenses directly attributable to a Fund are charged to that Fund; other expenses of the Trusts are allocated proportionately among each of the Funds within the Trusts in relation to the net assets of each Fund or on another reasonable basis. Expenses directly attributable to a particular share class are charged directly to that class. In calculating the net asset value per share of each class, investment income, realized and unrealized gains and losses and expenses other than class specific 83 expenses are allocated daily to each class of shares based upon the proportion of net assets of each class at the beginning of each day. K. FEDERAL INCOME TAXES -- Each Fund is treated as a separate taxable entity for Federal income tax purposes. The policy of the Funds 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. L. FOREIGN TAXES -- Certain Funds may be subject to foreign taxes on income, gains on investments or currency repatriation, a portion of which may be recoverable. The Funds will accrue such taxes and recoveries as applicable, based upon their current interpretation of tax rules and regulations that exist in the markets in which they invest. M. DISTRIBUTION TO SHAREHOLDERS -- Dividends and distributions paid to shareholders are recorded on the ex-dividend date. The amount of dividends and distributions from net investment income and net realized capital gains is determined in accordance with Federal income tax regulations, which may differ from accounting principles generally accepted in the Unites States of America. To the 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. 4. FEES AND OTHER TRANSACTIONS WITH AFFILIATES A. INVESTMENT ADVISORY FEE -- Pursuant to separate Investment Advisory Agreements, J. P. Morgan Fleming Asset Management (USA), Inc. ("JPMFAM") and J.P. Morgan Investment Management, Inc. ("JPMIM" and, together with JPMFAM, the "Advisors") act as the investment advisors to the Funds. JPMFAM, a direct wholly owned subsidiary of JPMorgan Chase Bank ("JPMCB") and an indirect wholly owned subsidiary of J.P. Morgan Chase & Co. ("JPMorgan"), is the Advisor for TALCG and TALCV. JPMIM, a wholly owned subsidiary of JPMorgan, is the Advisor for FTAIO, TADE, TAEI, TASI and TAUSE. The Advisors supervise the investments of each respective Fund and for such services are paid a fee. The fee is accrued daily and paid monthly based on each Fund's respective average daily net assets. The annual fee for each Fund is as follows:
INVESTMENT FUND ADVISORY FEE (%) ------------------------------------- FTAIO 0.85 TADE 0.35 TAEI 0.25 TALCG 0.40 TALCV 0.40 TASI 0.25 TAUSE 0.45
84 The Advisors waived fees as outlined in Note 4.F. below. The Funds may invest in one or more of the affiliated JPMorgan Money Market Funds. The Advisors have agreed to waive and/or reimburse their advisory fee from the Funds in an amount sufficient to offset any doubling up of investment advisory, administration and shareholder servicing fees related to each Fund's investment in an affiliated money market fund. B. DISTRIBUTION FEES -- Pursuant to the Distribution Agreement, J.P. Morgan Fund Distributors, Inc. ("JPMFD" or "Distributor"), a wholly-owned subsidiary of The BISYS Group, Inc., serves as the Trusts' exclusive underwriter and promotes and arranges for the sale of each Fund's shares. JPMFD receives no compensation in its capacity as the Funds' underwriter. The Trustees have adopted Distribution Plans (the "Distribution Plans") for Class A, B, and C Shares of the Funds in accordance with Rule 12b-1 under the 1940 Act. The Distribution Plans provide that each Fund shall pay distribution fees, including payments to the Distributor, at annual rates of the average daily net assets as shown in the table below (%):
FUND CLASS A CLASS B CLASS C ----------------------------------------------------------- FTAIO 0.25 0.75 0.75 TAEI 0.25 n/a n/a TAUSE 0.25 0.75 0.75
In addition, JPMFD receives any contingent deferred sales charge ("CDSC") from redemptions of Class B and C shares. The Distributor waived fees as outlined in Note 4.F. below. C. SHAREHOLDER SERVICING FEES -- The Trusts entered into Shareholder Servicing Agreements with JPMCB under which JPMCB provides account administration and personal account maintenance service to the Funds' shareholders. JPMCB may obtain the services of one or more Shareholder Servicing Agents. For these services JPMCB or the Shareholder Servicing Agent will receive a fee that is computed daily and paid monthly equal to a percentage of the average daily net assets as shown in the table below (%):
INSTITUTIONAL SELECT FUND CLASS A CLASS B CLASS C CLASS CLASS ----------------------------------------------------------------------- FTAIO 0.25 0.25 0.25 0.10 n/a TADE n/a n/a n/a 0.10 n/a TAEI 0.25 n/a n/a 0.10 0.25 TALCG n/a n/a n/a n/a 0.25 TALCV n/a n/a n/a n/a 0.25 TASI n/a n/a n/a 0.10 0.25 TAUSE 0.25 0.25 0.25 0.10 0.25
85 In addition, JPMCB, Charles Schwab & Co. ("Schwab") and JPMST are parties to separate servicing and operating agreements (the "Schwab Agreements") whereby Schwab makes shares of TADE, TAEI and TAUSE available to customers of investment advisors and other financial intermediaries who are Schwab's clients. TADE, TAEI and TAUSE are not responsible for payments to Schwab under the Schwab Agreements; however, in the event the servicing agreement with Schwab is terminated for reasons other than a breach by Schwab and the relationship between JPMST and JPMCB is terminated, TADE, TAEI and TAUSE would be responsible for the ongoing payments to Schwab with respect to pre-termination shares. The Shareholder Servicing Agent waived fees as outlined in Note 4.F. below. D. CUSTODIAN AND ACCOUNTING FEES -- JPMCB provides portfolio accounting and custody services for the Funds. Compensation for such services is presented in the Statement of Operations as custodian fees. The custodian fees may be reduced by credits earned by each Fund, based on uninvested cash balances held by the custodian. Such earnings credits are presented separately in the Statement of Operations. E. ADMINISTRATION FEE -- Pursuant to the Administration Agreement, JPMCB (the "Administrator") provides certain administration services to the Funds. In consideration of these services, the Administrator receives a fee computed daily and paid monthly at the annual rate equal to 0.15% of the first $25 billion of the average daily net assets of all non-money market funds in the JPMorgan Fund Complex and 0.075% of the average daily net assets in excess of $25 billion. BISYS Fund Services, LP. ("BISYS") serves as the Funds' sub-administrator. For its services as sub-administrator, BISYS receives a portion of the fees payable to JPMCB as Administrator. The Administrator has contractually agreed to reimburse the Funds to the extent that total operating expenses (excluding interest, taxes, extraordinary expenses and expenses related to the deferred compensation plan) exceed the percentages of their respective average daily net assets as shown in the table below (%):
INSTITUTIONAL SELECT FUND CLASS A CLASS B CLASS C CLASS CLASS ----------------------------------------------------------------------- FTAIO 1.80 2.30 2.30 1.00 n/a TADE n/a n/a n/a 0.55 n/a TAEI 0.75 n/a n/a 0.25 0.50 TALCG n/a n/a n/a n/a 0.85 TALCV n/a n/a n/a n/a 0.85 TASI n/a n/a n/a 0.35 0.50 TAUSE 1.10 1.60 1.60 0.70 0.84
86 The contractual expense limitation agreements were in effect for the six months ended April 30, 2003. The expense limitation percentages in the table above are due to expire as follows:
INSTITUTIONAL SELECT FUND CLASS A CLASS B CLASS C CLASS CLASS --------------------------------------------------------------------------- FTAIO 2/28/04 2/28/04 2/28/04 2/28/04 n/a TADE n/a n/a n/a 2/28/05 n/a TAEI 2/28/04 n/a n/a 2/28/05 2/28/05 TALCG n/a n/a n/a n/a 2/28/04 TALCV n/a n/a n/a n/a 2/28/04 TASI n/a n/a n/a 12/31/03 12/31/03 TAUSE 2/28/05 2/28/05 2/28/05 2/28/05 3/31/06
The Administrator waived fees and reimbursed expenses as outlined in Note 4.F. below. F. WAIVERS AND REIMBURSEMENTS -- For the six months ended April 30, 2003, the Funds' vendors waived fees and the Administrator contractually reimbursed expenses for each of the Funds as follows (amounts in thousands):
CONTRACTUAL WAIVERS --------------------------------------------- INVESTMENT SHAREHOLDER CONTRACTUAL FUND ADVISORY ADMINISTRATION SERVICING TOTAL REIMBURSEMENTS --------------------------------------------------------------------------------------- FTAIO $ 102 $ 92 $ 73 $ 267 $ 4 TADE -- 56 90 146 -- TAEI 301 1,495 861 2,657 -- TALCG -- -- 23 23 -- TALCV -- -- 1 1 -- TASI@ 53 80 50 183 -- TAUSE -- 171 31 202 19 ------ -------- -------- -------- ------ Total $ 456 $ 1,894 $ 1,129 $ 3,479 $ 23 ====== ======== ======== ======== ======
@For the period 12/20/02 to 4/30/03. G. OTHER -- Certain officers of the Trust(s) are officers of J.P. Morgan Chase & Co. or of BISYS or their subsidiaries. During the period certain funds may purchase securities from an underwriting syndicate in which the principal underwriter or members of the syndicate are affiliated with the advisor. The Funds may use related-party broker/dealers. For the six months ended April 30, 2003, TALCG, TALCV, and TAUSE incurred approximately (in thousands) $3, $7, and $11, respectively, in brokerage commissions with affiliated broker/dealers. 87 5. CLASS SPECIFIC EXPENSES The Funds' class specific expenses for the six months ended April 30, 2003 are as follows (amounts in thousands):
SHAREHOLDER SERVICING DISTRIBUTION TRANSFER AGENT ----------------------------------------------------------------------- FTAIO ----------------------------------------------------------------------- Class A $ 8 $ 8 $ 22 Class B --^ --^ --^ Class C --^ --^ --^ Institutional 65 -- 21 ----------------------------------------------------------------------- $ 73 $ 8 $ 43 ----------------------------------------------------------------------- TADE ----------------------------------------------------------------------- Institutional $ 90 $ -- $ 27 ----------------------------------------------------------------------- TAEI ----------------------------------------------------------------------- Class A $ 26 $ 26 $ 8 Institutional 842 -- 25 Select 361 -- 16 ----------------------------------------------------------------------- $ 1,229 $ 26 $ 49 ----------------------------------------------------------------------- TALCG ----------------------------------------------------------------------- Select $ 311 $ -- $ 11 ----------------------------------------------------------------------- TALCV ----------------------------------------------------------------------- Select $ 397 $ -- $ 11 ----------------------------------------------------------------------- TASI@ ----------------------------------------------------------------------- Institutional $ 34 $ -- $ 10 Select 40 -- 9 ----------------------------------------------------------------------- $ 74 $ -- $ 19 ----------------------------------------------------------------------- TAUSE ----------------------------------------------------------------------- Class A $ 5 $ 5 $ 17 Class B 4 11 11 Class C --^ 1 1 Institutional 23 -- 10 Select 323 -- 44 ----------------------------------------------------------------------- $ 355 $ 17 $ 83 -----------------------------------------------------------------------
^Amount rounds to less than one thousand. @For the period 12/20/02 to 4/30/03. 88 6. CLASS SPECIFIC DISTRIBUTIONS The Funds' class specific distributions from net investment income and realized gain on investment transactions for the six months ended April 30, 2003 and the period ended October 31, 2002 are as follows (amounts in thousands):
SIX MONTHS ENDED 4/30/03 YEAR ENDED 10/31/02 -------------------------------------------------------------------------------- NET NET FUND INVESTMENT INCOME REALIZED GAIN INVESTMENT INCOME REALIZED GAIN -------------------------------------------------------------------------------------------- FTAIO -------------------------------------------------------------------------------------------- Class A $ 64 -- $ 6 $ -- Class B 1 -- -- -- Class C --^ -- -- -- Institutional 1,521 -- 540 -- -------------------------------------------------------------------------------------------- $ 1,586 $ -- $ 546 $ -- -------------------------------------------------------------------------------------------- TADE -------------------------------------------------------------------------------------------- Institutional $ 1,252 -- $ 3,600 $ -- -------------------------------------------------------------------------------------------- TAEI -------------------------------------------------------------------------------------------- Class A $ 163 $ -- $ 166 $ -- Institutional 17,504 -- 28,885 630 Select 2,654 -- 4,259 104 -------------------------------------------------------------------------------------------- $ 20,321 $ -- $ 33,310 $ 734 -------------------------------------------------------------------------------------------- TALCG -------------------------------------------------------------------------------------------- Select $ 473 $ -- $ 934* $ -- -------------------------------------------------------------------------------------------- TALCV -------------------------------------------------------------------------------------------- Select $ 2,557 $ -- $ 4,354* $ -- -------------------------------------------------------------------------------------------- TASI@ -------------------------------------------------------------------------------------------- Institutional $ 833 $ -- $ -- $ -- Select 273 -- -- -- -------------------------------------------------------------------------------------------- $ 1,106 $ -- $ -- $ -- -------------------------------------------------------------------------------------------- TAUSE -------------------------------------------------------------------------------------------- Class A $ 15 $ -- $ 23 $ -- Class B 6 -- 4 -- Class C 1^ -- --^ -- Institutional 340 -- 560 -- Select 921 -- 1,688 -- -------------------------------------------------------------------------------------------- $ 1,283 $ -- $ 2,275 $ -- --------------------------------------------------------------------------------------------
* For period 1/1/02 to 10/31/02. For period 11/1/01 to 12/31/01, distributions from net investment income were $601 and $579 for TALCG and TALCV, respectively. @ For the period 12/20/02 to 4/30/03. ^ Amount rounds to less than one thousand 89 7. INVESTMENT TRANSACTIONS For the six months ended April 30, 2003, purchases and sales of investments (excluding short-term investments) are as follows (amounts in thousands):
PURCHASES SALES PURCHASES SALES (EXCLUDING U.S. (EXCLUDING U.S. OF U.S. OF U.S. FUND GOVERNMENT) GOVERNMENT) GOVERNMENT GOVERNMENT ----------------------------------------------------------------------------------- FTAIO $ 43,268 $ 73,938 $ -- $ -- TADE 56,066 79,566 -- -- TAEI 1,435,713 1,105,346 1,354,222 1,322,235 TALCG 38,575 42,330 -- -- TALCV 49,130 52,887 -- -- TASI@ 330,140 119,558 136,965 120,852 TAUSE 364,561 6,894 -- --
@For the period 12/20/02 to 4/30/03. 8. FEDERAL INCOME TAX MATTERS For Federal income tax purposes, the cost and unrealized appreciation (depreciation) in value of the investment securities at April 30, 2003, are as follows (amounts in thousands):
GROSS GROSS NET UNREALIZED UNREALIZED UNREALIZED APPRECIATION FUND AGGREGATE COST APPRECIATION DEPRECIATION (DEPRECIATION) ------------------------------------------------------------------------------------------- FTAIO $ 124,809 $ 8,764 $ (14,299) $ (5,535) TADE 181,966 12,539 (17,296) (4,757) TAEI 2,405,233 10,927 (405) 10,522 TALCG 283,288 15,738 (37,371) (21,633) TALCV 361,036 10,751 (50,803) (40,052) TASI@ 276,025 1,826 (60) 1,766 TAUSE 642,470 17,747 (90,799) (73,052)
@For the period 12/20/02 to 4/30/03. 9. BANK BORROWINGS Pursuant to a Line of Credit Agreement dated April 17, 2003, the Funds may borrow money for temporary or emergency purposes. The Funds have entered into the agreement, enabling them to participate with other JPMorgan Funds in a line of credit with JPMCB, as administrative agent, and with a syndicate of banks, which permits borrowings up to $250 million, collectively. Interest is charged to each Fund based on its borrowings at an annual rate equal to the sum of the Federal Funds Rate plus 0.50%. The Funds also pay a commitment fee of 0.09% per annum on the average daily amount of the available commitment, which is allocated on a pro-rata basis to the Funds. The commitment fee is included in Other expenses in the Statement of Operations. This agreement will expire on April 15, 2004. 90 Prior to April 17, 2003, the Funds could borrow money for temporary or emergency purposes. The Funds had entered into an agreement, enabling them to participate with other JPMorgan Funds in an unsecured line of credit with a syndicate of banks, which permitted borrowings up to $400 million, collectively. Interest was charged to each Fund based on its borrowings at an annual rate equal to the sum of the Federal Funds Rate plus 0.50%. The Funds also paid a commitment fee of 0.09% per annum on the average daily amount of the available commitment, which was allocated on a pro-rata basis to the Funds. This agreement expired on April 16, 2003. The Funds had no borrowings outstanding at April 30, 2003, nor at anytime during the period then ended. 10. CONCENTRATIONS AND INDEMNIFICATIONS FTAIO may have elements of risk not typically associated with investments in the United States of America due to concentrated investments in a limited number of countries or regions, which may vary throughout the year. Such concentrations may subject FTAIO to additional risks resulting from political or economic conditions in such countries or regions and the possible imposition of adverse governmental laws or currency exchange restrictions could cause the securities and their markets to be less liquid and their prices more volatile than those of comparable U.S. securities. As of April 30, 2003, substantially all of the net assets of FTAIO consist of securities of issuers which are denominated in foreign currencies. Changes in currency exchange rates will affect the value of investment income from such securities. As of April 30, 2003, FTAIO invested approximately 28.6% of its net assets in issuers in the United Kingdom. The issuers' abilities to meet their obligations may be affected by economic or political developments in the specific region or country. From time to time, the Funds may have a concentration of several shareholders which may be a related party, holding a significant percentage of shares outstanding. Investment activities of these shareholders could have a material impact on the Funds. In the normal course of business the Funds enter into contracts that contain a variety of representations which provide general indemnifications. Each Fund's maximum exposure under these arrangements is unknown as this would involve future claims that may be made against each Fund that have not yet occurred. However, based on experience, the Funds expect the risk of loss to be remote. 11. SUBSEQUENT EVENT The Fund's Board of Trustees has approved a change of name for Mutual Fund Group and Mutual Fund Select Group. The Trusts will be renamed J.P. Morgan Mutual Fund Group and J.P. Morgan Mutual Fund Select Group, respectively, effective May 1, 2003. 91 12. CAPITAL SHARE TRANSACTIONS Capital share transactions were as follows for the periods presented (Amounts in Thousands): FLEMING TAX AWARE INTERNATIONAL OPPORTUNITIES FUND
CLASS A CLASS B ----------------- ----------------- AMOUNT SHARES AMOUNT SHARES ----------------------------------------------------------------------------------------------------------------- SIX MONTHS ENDED APRIL 30, 2003 ----------------------------------------------------------------------------------------------------------------- Shares sold $ 2,227 224 $ 19 2 Shares issued in reinvestment of distributions 22 2 1 --^ Shares redeemed (3,535) (341) (8) (1) ----------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (1,286) (115) $ 12 1 ================================================================================================================= YEAR ENDED OCTOBER 31, 2002 ----------------------------------------------------------------------------------------------------------------- Shares sold $ 8,971 740 $ 219 20 Shares issued in reinvestment of distributions 3 --^ -- -- Shares redeemed (4,248) (380) (192) (17) ----------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ 4,726 360 $ 27 3 ================================================================================================================= CLASS C INSTITUTIONAL ---------------- ---------------- AMOUNT SHARES AMOUNT SHARES ------------------------------------------------------------------------------------------------------ SIX MONTHS ENDED APRIL 30, 2003 ------------------------------------------------------------------------------------------------------ Shares sold $ 719 66 $ 18,405 1,712 Shares issued in reinvestment of distributions --^ --^ 336 30 Shares redeemed (720) (66) (48,939) (4,614) ------------------------------------------------------------------------------------------------------ Net increase (decrease) in Fund shares outstanding $ (1) -- $ (30,198) (2,872) ====================================================================================================== YEAR ENDED OCTOBER 31, 2002 ------------------------------------------------------------------------------------------------------ Shares sold $ 821 73 $ 94,416 7,557 Shares issued in reinvestment of distributions -- -- 127 10 Shares redeemed (825) (73) (102,012) (8,201) ------------------------------------------------------------------------------------------------------ Net increase (decrease) in Fund shares outstanding $ (4) -- $ (7,469) (634) ======================================================================================================
^ Amount rounds to less than one thousand
TAX AWARE DISCIPLINED EQUITY FUND INSTITUTIONAL -------------------------- AMOUNT SHARES -------------------------------------------------------------------------------------- SIX MONTHS ENDED APRIL 30, 2003 -------------------------------------------------------------------------------------- Shares sold $ 20,867 1,775 In-kind contributions 18,994 1,633 Shares issued in reinvestment of distributions 935 81 Shares redeemed (63,597) (5,402) -------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (22,801) (1,913) -------------------------------------------------------------------------------------- YEAR ENDED OCTOBER 31, 2002 -------------------------------------------------------------------------------------- Shares sold $ 161,630 12,045 Shares issued in reinvestment of distributions 2,680 191 Shares redeemed (188,435) (13,972) Redemption in-kind (50,422) (3,533) -------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (74,547) (5,269) ======================================================================================
92 TAX AWARE ENHANCED INCOME FUND
CLASS A INSTITUTIONAL SELECT ----------------- --------------------- ------------------- AMOUNT SHARES AMOUNT SHARES AMOUNT SHARES ------------------------------------------------------------------------------------------------------------------------------- SIX MONTHS ENDED APRIL 30, 2003 ------------------------------------------------------------------------------------------------------------------------------- Shares sold $ 15,032 1,488 $ 777,461 77,015 $ 176,457 17,458 Shares issued in reinvestment of distributions 142 14 15,095 1,496 1,611 159 Shares redeemed (12,329) (1,220) (574,578) (56,936) (116,326) (11,513) ------------------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ 2,845 282 $ 217,978 21,575 $ 61,742 6,104 =============================================================================================================================== YEAR ENDED OCTOBER 31, 2002* ------------------------------------------------------------------------------------------------------------------------------- Shares sold $ 27,851 2,754 $ 1,569,397 155,388 $ 285,072 28,199 Shares issued in reinvestment of distributions 139 14 25,569 2,532 2,869 284 Shares redeemed (9,188) (909) (870,067) (86,164) (194,742) (19,269) ------------------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ 18,802 1,859 $ 724,899 71,756 $ 93,199 9,214 ===============================================================================================================================
* For Class A Shares, from commencement of offering on November 30, 2001. TAX AWARE LARGE CAP GROWTH FUND
SELECT ---------------------------- AMOUNT SHARES ------------------------------------------------------------------------------------- SIX MONTHS ENDED APRIL 30, 2003 ------------------------------------------------------------------------------------- Shares sold $ 22,119 1,704 Shares issued in reinvestment of distributions 10 1 Shares redeemed (25,699) (1,992) ------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (3,570) (287) ===================================================================================== PERIOD ENDED OCTOBER 31, 2002(a) ------------------------------------------------------------------------------------- Shares sold $ 17,363 1,174 Shares issued in reinvestment of distributions 16 1 Shares redeemed (97,070) (6,408) ------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (79,691) (5,233) ===================================================================================== PERIOD ENDED DECEMBER 31, 2001(b) ------------------------------------------------------------------------------------- Shares sold $ 3,476 200 Shares issued in reinvestment of distributions 9 1 Shares redeemed (21,076) (1,213) ------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (17,591) (1,012) =====================================================================================
(a) The Fund changed its fiscal year end from December 31 to October 31. (b) The Fund changed its fiscal year end from October 31 to December 31. 93 TAX AWARE LARGE CAP VALUE FUND
SELECT ----------------------------- AMOUNT SHARES --------------------------------------------------------------------------------------------- SIX MONTHS ENDED APRIL 30, 2003 --------------------------------------------------------------------------------------------- Shares sold $ 34,601 2,165 Shares issued in reinvestment of distributions 62 4 Shares redeemed (43,582) (2,758) --------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (8,919) (589) ============================================================================================= PERIOD ENDED OCTOBER 31, 2002(a) --------------------------------------------------------------------------------------------- Shares sold $ 32,489 1,853 Shares issued in reinvestment of distributions $ 35 2 Shares redeemed $ (44,202) (2,451) --------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (11,678) (596) ============================================================================================= PERIOD ENDED DECEMBER 31, 2001(b) --------------------------------------------------------------------------------------------- Shares sold $ 2,296 117 Shares issued in reinvestment of distributions 2 --^ Shares redeemed (20,687) (1,067) --------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (18,389) $ (950) =============================================================================================
(a) The Fund changed its fiscal year end from December 31 to October 31. (b) The Fund changed its fiscal year end from October 31 to December 31. ^ Amount rounds to less than one thousand. TAX AWARE SHORT - INTERMEDIATE INCOME FUND
INSTITUTIONAL SELECT ------------------ ---------------- AMOUNT SHARES AMOUNT SHARES ------------------------------------------------------------------------------------------------- PERIOD ENDED APRIL 30, 2003* ------------------------------------------------------------------------------------------------- Shares sold $ 188,063 18,755 $ 80,873 8,059 Shares issued in reinvestment of distributions 336 33 85 8 Shares redeemed (17,830) (1,776) (4,689) (466) ------------------------------------------------------------------------------------------------- Net increase (decrease)in Fund shares outstanding $ 170,569 17,012 $ 76,269 7,601 =================================================================================================
* From commencement of offering on December 20, 2002. 94 TAX AWARE U.S. EQUITY FUND
CLASS A CLASS B CLASS C -------------------- -------------------- ---------------------- AMOUNT SHARES AMOUNT SHARES AMOUNT SHARES -------------------------------------------------------------------------------------------------------------------------- SIX MONTHS ENDED APRIL 30, 2003 -------------------------------------------------------------------------------------------------------------------------- Shares sold $ 457 35 $ 490 39 $ 129 10 Shares issued in reinvestment of distributions 13 1 5 --^ --^ --^ Shares redeemed (1,061) (83) (413) (33) (83) (7) -------------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (591) (47) $ 82 6 $ 46 3 ========================================================================================================================== YEAR ENDED OCTOBER 31, 2002 -------------------------------------------------------------------------------------------------------------------------- Shares sold $ 5,976 378 $ 2,946 187 $ 333 21 Shares issued in reinvestment of distributions 19 1 4 --^ --^ --^ Shares redeemed (958) (69) (633) (43) (121) (7) -------------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ 5,037 310 $ 2,317 144 $ 212 14 ========================================================================================================================== ^ Amount rounds to less than one thousand.
INSTITUTIONAL SELECT ------------------- ------------------- AMOUNT SHARES AMOUNT SHARES ------------------------------------------------------------------------------------------------------------ SIX MONTHS ENDED APRIL 30, 2003 ------------------------------------------------------------------------------------------------------------ Shares sold $ 18,410 2,020 $ 96,663 7,565 Shares issued in connection with Fund Reorganization (Note 2) -- -- 241,297 18,573 Shares issued in reinvestment of distributions 199 22 556 43 Shares redeemed (7,250) (794) (30,819) (2,411) ------------------------------------------------------------------------------------------------------------ Net increase (decrease) in Fund shares outstanding $ 11,359 1,248 $ 307,697 23,770 ============================================================================================================ YEAR ENDED OCTOBER 31, 2002 ------------------------------------------------------------------------------------------------------------ Shares sold $ 64,704 5,750 $ 92,692 6,260 Shares issued in reinvestment of distributions 366 35 1,141 76 Shares redeemed (16,770) (1,562) (64,049) (4,345) Redemption in-kind (10,024) (834) (16,421) (1,000) ------------------------------------------------------------------------------------------------------------ Net increase (decrease) in Fund shares outstanding $ 38,276 3,389 $ 13,363 991 ============================================================================================================
95 JPMORGAN FUNDS Financial Highlights (unaudited)
FLEMING TAX AWARE INTERNATIONAL OPPORTUNITIES FUND ------------------------------------------------------------------------------ CLASS A CLASS B ------------------------------------- --------------------------------------- 11/1/02 YEAR 4/30/01* 11/1/02 YEAR 4/30/01* THROUGH ENDED THROUGH THROUGH ENDED THROUGH PER SHARE OPERATING PERFORMANCE: 4/30/03 10/31/02 10/31/01 4/30/03 10/31/02 10/31/01 -------------------------------------------------------------------------------------------------------------------------- Net asset value, beginning of period $ 10.90 $ 12.38 $ 15.00 $ 10.84 $ 12.35 $ 15.00 -------------------------------------------------------------------------------------------------------------------------- Income from investment operations: Net investment income (loss) 0.03^ 0.06 0.08^ 0.01^ (0.03) 0.01^ Net gains or losses on securities (both realized and unrealized) (0.21) (1.53) (2.70) (0.23) (1.48) (2.66) ---------- ---------- ---------- ---------- ---------- ---------- Total from investment operations (0.18) (1.47) (2.62) (0.22) (1.51) (2.65) ---------- ---------- ---------- ---------- ---------- ---------- Less distributions: Dividends from net investment income 0.11 0.01 -- 0.10 -- -- ---------- ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 10.61 $ 10.90 $ 12.38 $ 10.52 $ 10.84 $ 12.35 -------------------------------------------------------------------------------------------------------------------------- TOTAL RETURN (1)(b) (1.71%) (11.85%) (17.47%) (2.05%) (12.23%) (17.67%) ========================================================================================================================== RATIOS/SUPPLEMENTAL DATA: -------------------------------------------------------------------------------------------------------------------------- Net assets, end of period (millions) $ 6 $ 7 $ 4 $ --@ $ --@ $ --@ -------------------------------------------------------------------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS:# -------------------------------------------------------------------------------------------------------------------------- Net expenses 1.80% 1.80% 1.80% 2.30% 2.30% 2.29% -------------------------------------------------------------------------------------------------------------------------- Net investment income (loss) 0.56% 0.40% 0.29% 0.17% (0.27%) (0.20%) -------------------------------------------------------------------------------------------------------------------------- Expenses without waivers, reimbursements and earnings credits 2.46% 2.37% 5.48%+ 2.96% 2.84% 20.63%+ -------------------------------------------------------------------------------------------------------------------------- Net investment income (loss) without waivers, reimbursements and earnings credits (0.10%) (0.17%) (3.39%)+ (0.49%) (0.81%) (18.54%)+ -------------------------------------------------------------------------------------------------------------------------- PORTFOLIO TURNOVER RATE(b) 32% 97% 43% 32% 97% 43% -------------------------------------------------------------------------------------------------------------------------- FLEMING TAX AWARE INTERNATIONAL OPPORTUNITIES FUND ---------------------------------------------------------------------------- CLASS C INSTITUTIONAL ------------------------------------ ------------------------------------ 11/1/02 YEAR 4/30/01 * 11/1/02 YEAR 5/1/01* THROUGH ENDED THROUGH THROUGH ENDED THROUGH PER SHARE OPERATING PERFORMANCE: 4/30/03 10/31/02 10/31/01 4/30/03 10/31/02 10/31/01 ----------------------------------------------------------------------------------------------------------------------- Net asset value, beginning of period $ 10.83 $ 12.35 $ 15.00 $ 11.02 $ 12.43 $ 15.00 ----------------------------------------------------------------------------------------------------------------------- Income from investment operations: Net investment income (loss) (0.14)^ 0.03 (0.02)^ 0.07^ 0.14 0.07^ Net gains or losses on securities (both realized and unrealized) (0.08) (1.55) (2.63) (0.22) (1.51) (2.64) ---------- ---------- ---------- ---------- ---------- ---------- Total from investment operations (0.22) (1.52) (2.65) (0.15) (1.37) (2.57) ---------- ---------- ---------- ---------- ---------- ---------- Less distributions: Dividends from net investment income 0.10 -- -- 0.12 0.04 -- ---------- ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 10.51 $ 10.83 $ 12.35 $ 10.75 $ 11.02 $ 12.43 ----------------------------------------------------------------------------------------------------------------------- TOTAL RETURN (1)(b) (2.05%) (12.31%) (17.67%) (1.40%) (11.08%) (17.13%) ======================================================================================================================= RATIOS/SUPPLEMENTAL DATA: ----------------------------------------------------------------------------------------------------------------------- Net assets, end of period (millions) $ --@ $ --@ $ --@ $ 114 $ 149 $ 176 ----------------------------------------------------------------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS: ----------------------------------------------------------------------------------------------------------------------- Net expenses 2.30% 2.30% 2.28% 1.00% 1.00% 1.00% ----------------------------------------------------------------------------------------------------------------------- Net investment income (loss) (1.58%) 0.18% (0.19%) 1.32% 1.08% 1.09% ----------------------------------------------------------------------------------------------------------------------- Expenses without waivers, reimbursements and earnings credits 2.94% 2.84% 37.67%+ 1.39% 1.32% 1.33% ----------------------------------------------------------------------------------------------------------------------- Net investment income (loss) without waivers, reimbursements and earnings credits (2.22%) (0.36%) (35.58%)+ 0.93% 0.76% 0.76% ----------------------------------------------------------------------------------------------------------------------- PORTFOLIO TURNOVER RATE(b) 32% 97% 43% 32% 97% 43% -----------------------------------------------------------------------------------------------------------------------
* Commencement of offering of Class of shares ^ Calculated based on average shares outstanding. (1) Total return figures do not include the effect of any front-end or deferred sales load. (b) Not annualized for periods less than one year. @ Amount rounds to less than one million. # Short periods have been annualized. + Due to the size of net assets and fixed expenses, ratios may appear disproportionate with other classes. 96
TAX AWARE DISCIPLINED EQUITY FUND --------------------------------------------------------------------------- INSTITUTIONAL --------------------------------------------------------------------------- 11/1/02 YEAR ENDED THROUGH -------------------------------------------------------------- PER SHARE OPERATING PERFORMANCE: 4/30/03 10/31/02 10/31/01 10/31/00 10/31/99 10/31/98 ---------------------------------------------------------------------------------------------------------------------- Net asset value, beginning of period $ 11.74 $ 14.36 $ 18.87 $ 18.19 $ 14.71 $ 12.08 ---------------------------------------------------------------------------------------------------------------------- Income from investment operations: Net investment income (loss) 0.07 0.14 0.14 0.15 0.15 0.11 Net gains or losses on securities (both realized and unrealized) 0.44 (2.57) (4.57) 0.68 3.48 2.68 ---------- ---------- ---------- ---------- ---------- ---------- Total from investment operations 0.51 (2.43) (4.43) 0.83 3.63 2.79 ---------- ---------- ---------- ---------- ---------- ---------- Less distributions: Dividends from net investment income 0.08 0.19 0.08 0.15 0.15 0.16 ---------- ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 12.17 $ 11.74 $ 14.36 $ 18.87 $ 18.19 $ 14.71 ---------------------------------------------------------------------------------------------------------------------- TOTAL RETURN(b) 4.41% (17.13%) (23.55%) 4.54% 24.72% 23.26% ====================================================================================================================== RATIOS/SUPPLEMENTAL DATA: ---------------------------------------------------------------------------------------------------------------------- Net assets, end of period (millions) $ 178 $ 194 $ 313 $ 478 $ 341 $ 90 ---------------------------------------------------------------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS:# ---------------------------------------------------------------------------------------------------------------------- Net expenses 0.55% 0.55% 0.55% 0.55% 0.55% 0.55% ---------------------------------------------------------------------------------------------------------------------- Net investment income (loss) 1.24% 0.93% 0.77% 0.78% 0.94% 0.97% ---------------------------------------------------------------------------------------------------------------------- Expenses without waivers, reimbursements and earnings credits 0.71% 0.70% 0.60% 0.59% 0.65% 1.02% ---------------------------------------------------------------------------------------------------------------------- Net investment income (loss) without waivers, reimbursements and earnings credits 1.08% 0.78% 0.72% 0.74% 0.84% 0.50% ---------------------------------------------------------------------------------------------------------------------- PORTFOLIO TURNOVER RATE(b) 31% 60% 44% 51% 40% 57% ----------------------------------------------------------------------------------------------------------------------
(b) Not annualized for periods less than one year. # Short periods have been annualized. 97
TAX AWARE ENHANCED INCOME FUND ---------------------------------------------------------------------------------------- CLASS A INSTITUTIONAL ----------------------- -------------------------------------------------------------- 11/1/02 11/30/01* 11/1/02 4/16/99* THROUGH THROUGH THROUGH YEAR ENDED THROUGH PER SHARE OPERATING PERFORMANCE: 4/30/03 10/31/02 4/30/03 10/31/02 10/31/01^ 10/31/00^ 10/31/99^ --------------------------------------------------------------------------------------------------------------------------------- Net asset value, beginning of period $ 10.08 $ 10.10 $ 10.07 $ 10.10 $ 9.95 $ 9.95 $ 10.00 --------------------------------------------------------------------------------------------------------------------------------- Income from investment operations: Net investment income (loss) 0.08 0.16 0.11 0.22 0.39 0.45 0.20 Net gains or losses on securities (both realized and unrealized) 0.03 (0.01) 0.02 (0.01) 0.15 -- (0.05) ---------- ---------- ---------- ---------- ---------- ---------- ---------- Total from investment operations 0.11 0.15 0.13 0.21 0.54 0.45 0.15 ---------- ---------- ---------- ---------- ---------- ---------- ---------- Less distributions: Dividends from net investment income 0.08 0.16 0.10 0.23 0.39 0.45 0.20 Distributions from capital gains -- 0.01 -- 0.01 -- -- -- ---------- ---------- ---------- ---------- ---------- ---------- ---------- Total distributions 0.08 0.17 0.10 0.24 0.39 0.45 0.20 ---------- ---------- ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 10.11 $ 10.08 $ 10.10 $ 10.07 $ 10.10 $ 9.95 $ 9.95 --------------------------------------------------------------------------------------------------------------------------------- TOTAL RETURN(1)(b) 1.09% 1.42% 1.34% 2.01% 5.63% 4.55% 1.57% ================================================================================================================================= RATIOS/SUPPLEMENTAL DATA: --------------------------------------------------------------------------------------------------------------------------------- Net assets, end of period (millions) $ 22 $ 19 $ 1,894 $ 1,671 $ 951 $ 299 $ 355 --------------------------------------------------------------------------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS:# --------------------------------------------------------------------------------------------------------------------------------- Net expenses 0.75% 0.75% 0.25% 0.25% 0.25% 0.25% 0.25% --------------------------------------------------------------------------------------------------------------------------------- Net investment income (loss) 1.57% 1.55% 2.09% 2.20% 3.80% 4.43% 4.01% --------------------------------------------------------------------------------------------------------------------------------- Expenses without waivers, reimbursements and earnings credits 1.00% 1.06% 0.53% 0.54% 0.50% 0.50% 0.57% --------------------------------------------------------------------------------------------------------------------------------- Net investment income (loss) without waivers, reimbursements and earnings credits 1.32% 1.23% 1.81% 1.90% 3.55% 4.18% 3.69% --------------------------------------------------------------------------------------------------------------------------------- PORTFOLIO TURNOVER RATE (b) 129% 186% 129% 186% 142% 172% 69% --------------------------------------------------------------------------------------------------------------------------------- TAX AWARE ENHANCED INCOME FUND -------------------------------------------------------------- SELECT -------------------------------------------------------------- 11/1/02 5/6/99* THROUGH YEAR ENDED THROUGH PER SHARE OPERATING PERFORMANCE: 4/30/03 10/31/02 10/31/01^ 10/31/00^ 10/31/99^ ------------------------------------------------------------------------------------------------------- Net asset value, beginning of period $ 10.08 $ 10.11 $ 9.95 $ 9.95 $ 10.00 ------------------------------------------------------------------------------------------------------- Income from investment operations: Net investment income (loss) 0.09 0.20 0.36 0.40 0.20 Net gains or losses on securities (both realized and unrealized) 0.03 (0.02) 0.16 -- (0.05) ---------- ---------- ---------- ---------- ---------- Total from investment operations 0.12 0.18 0.52 0.40 0.15 ---------- ---------- ---------- ---------- ---------- Less distributions: Dividends from net investment income 0.09 0.20 0.36 0.40 0.20 Distributions from capital gains -- 0.01 -- -- -- ---------- ---------- ---------- ---------- ---------- Total distributions 0.09 0.21 0.36 0.40 0.20 ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 10.11 $ 10.08 $ 10.11 $ 9.95 $ 9.95 ------------------------------------------------------------------------------------------------------- TOTAL RETURN(1)(b) 1.21% 1.75% 5.47% 4.29% 1.29% ======================================================================================================= RATIOS/SUPPLEMENTAL DATA: ------------------------------------------------------------------------------------------------------- Net assets, end of period (millions) $ 340 $ 278 $ 186 $ 37 $ 28 ------------------------------------------------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS:# ------------------------------------------------------------------------------------------------------- Net expenses 0.50% 0.50% 0.50% 0.50% 0.50% ------------------------------------------------------------------------------------------------------- Net investment income (loss) 1.84% 1.94% 3.51% 4.23% 3.75% ------------------------------------------------------------------------------------------------------- Expenses without waivers, reimbursements and earnings credits 0.69% 0.70% 0.67% 0.67% 0.72% ------------------------------------------------------------------------------------------------------- Net investment income (loss) without waivers, reimbursements and earnings credits 1.65% 1.74% 3.34% 4.06% 3.53% ------------------------------------------------------------------------------------------------------- PORTFOLIO TURNOVER RATE (b) 129% 186% 142% 172% 69% -------------------------------------------------------------------------------------------------------
* Commencement of offering of class of shares. ^ On August 17, 2001, the class underwent a reverse split of shares. Prior periods have been restated to reflect the split (1 to 5). (1) Total return figures do not include the effect of any front-end sales load. (b) Not annualized for periods less than one year. # Short periods have been annualized. See notes to financial statements. 98
TAX AWARE LARGE CAP GROWTH FUND^ + --------------------------------------------------------------------------------- SELECT --------------------------------------------------------------------------------- 11/01/02 01/01/02 11/01/01 YEAR ENDED THROUGH THROUGH THROUGH --------------------------------------------- PER SHARE OPERATING PERFORMANCE: 04/30/03 10/31/02(a) 12/31/01(b) 10/31/01 10/31/00 10/31/99 10/31/98 ---------------------------------------------------------------------------------------------------------------------------- Net asset value, beginning of period $ 13.03 $ 17.39 $ 16.32 $ 42.93 $ 47.54 $ 37.36 $ 32.30 ---------------------------------------------------------------------------------------------------------------------------- Income from investment operations: Net investment income (loss) 0.02 0.04 0.02 0.04 0.04 0.30 0.34 Net gains or losses on securities (both realized and unrealized) 0.45 (4.36) 1.07 (11.41) (0.07) 13.66 8.23 --------- --------- --------- --------- --------- --------- --------- Total from investment operations 0.47 (4.32) 1.09 (11.37) (0.03) 13.96 8.57 --------- --------- --------- --------- --------- --------- --------- Less distributions: Dividends from net investment income 0.02 0.04 0.02 0.04 0.03 0.30 0.34 Distributions from capital gains -- -- -- 15.20 4.55 3.48 3.17 --------- --------- --------- --------- --------- --------- --------- Total distributions 0.02 0.04 0.02 15.24 4.58 3.78 3.51 --------- --------- --------- --------- --------- --------- --------- Net asset value, end of period $ 13.48 $ 13.03 $ 17.39 $ 16.32 $ 42.93 $ 47.54 $ 37.36 ---------------------------------------------------------------------------------------------------------------------------- TOTAL RETURN(c) 3.65% (24.84%) 6.70% (33.30%) (0.91%) 39.78% 29.12% ============================================================================================================================ RATIOS/SUPPLEMENTAL DATA: ---------------------------------------------------------------------------------------------------------------------------- Net assets, end of period (millions) $ 261 $ 257 $ 433 $ 423 $ 839 $ 901 $ 654 RATIOS TO AVERAGE NET ASSETS: # Net expenses 0.85% 0.68% 0.55% 0.49% 0.47% 0.03% 0.02% ---------------------------------------------------------------------------------------------------------------------------- Net investment income (loss) 0.39% 0.34% 0.56% 0.21% 0.08% 0.69% 0.98% ---------------------------------------------------------------------------------------------------------------------------- Expenses without waivers, reimbursements and earnings credits 0.87% 0.85% 0.85% 0.85% 0.80% 0.59% 0.60% ---------------------------------------------------------------------------------------------------------------------------- Net investment income (loss) without waivers, reimbursements and earnings credits 0.37% 0.17% 0.26% (0.15%) (0.25%) 0.13% 0.40% ---------------------------------------------------------------------------------------------------------------------------- PORTFOLIO TURNOVER RATE(c) 16% 46% 3% 84% 74% 26% 22% ============================================================================================================================
^ Formerly JPMorgan Select Equity Fund. + On November 20, 1998, the Fund underwent a split of shares. Prior period has been restated to reflect the split. (a) The fund changed its fiscal year end from December 31 to October 31. (b) The fund changed its fiscal year end from October 31 to December 31. (c) Not annualized for periods less than one year. # Short periods have been annualized. See notes to financial statements. 99
TAX AWARE LARGE CAP VALUE FUND^+ --------------------------------------------------------------------------------- SELECT --------------------------------------------------------------------------------- 11/1/02 1/1/02 11/1/01 YEAR ENDED THROUGH THROUGH THROUGH --------------------------------------------- PER SHARE OPERATING PERFORMANCE: 4/30/03 10/31/02(a) 12/31/01(b) 10/31/01 10/31/00 10/31/99 10/31/98 ---------------------------------------------------------------------------------------------------------------------------- Net asset value, beginning of period $ 16.01 $ 19.74 $ 18.44 $ 25.57 $ 27.53 $ 28.89 $ 34.22 ---------------------------------------------------------------------------------------------------------------------------- Income from investment operations: Net investment income (loss) 0.13 0.22 0.03 0.20 0.21 0.65 0.85 Net gains or losses on securities (both realized and unrealized) 0.19 (3.74) 1.30 (5.41) 1.40 1.69 1.50 --------- --------- --------- --------- --------- --------- --------- Total from investment operations 0.32 (3.52) 1.33 (5.21) 1.61 2.34 2.35 --------- --------- --------- --------- --------- --------- --------- Less distributions: Dividends from net investment income 0.13 0.21 0.03 0.19 0.17 0.67 0.83 --------- --------- --------- --------- --------- --------- --------- Net asset value, end of period $ 16.20 $ 16.01 $ 19.74 $ 18.44 $ 25.57 $ 27.53 $ 28.89 ---------------------------------------------------------------------------------------------------------------------------- TOTAL RETURN(c) 2.00% (17.94%) 7.20% (21.43%) 6.35% 8.18% 7.62% ============================================================================================================================ RATIOS/SUPPLEMENTAL DATA: ---------------------------------------------------------------------------------------------------------------------------- Net assets, end of period (millions) $ 322 $ 327 $ 415 $ 406 $ 625 $ 787 $ 923 ---------------------------------------------------------------------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS:# ---------------------------------------------------------------------------------------------------------------------------- Net expenses 0.85% 0.79% 0.69% 0.69% 0.68% 0.03% 0.03% ---------------------------------------------------------------------------------------------------------------------------- Net investment income (loss) 1.62% 1.43% 0.91% 0.93% 0.83% 2.25% 2.85% ---------------------------------------------------------------------------------------------------------------------------- Expenses without waivers, reimbursements and earnings credits 0.85% 0.85% 0.85% 0.87% 0.80% 0.58% 0.59% ---------------------------------------------------------------------------------------------------------------------------- Net investment income (loss) without waivers, reimbursements and earnings credits 1.62% 1.37% 0.75% 0.75% 0.71% 1.70% 2.29% ---------------------------------------------------------------------------------------------------------------------------- PORTFOLIO TURNOVER RATE(c) 16% 80% 0% 8% 43% 146% 148% ----------------------------------------------------------------------------------------------------------------------------
^ Formerly JPMorgan Select Equity Income Fund. + On November 20, 1998, the Fund underwent a split of shares. Prior period has been restated to reflect the split. (a) The fund changed its fiscal year end from December 31 to October 31. (b) The fund changed its fiscal year end from October 31 to December 31. (c) Not annualized for periods less than one year. # Short periods have been annualized. See notes to financial statements. 100
TAX AWARE SHORT - INTERMEDIATE INCOME FUND --------------------------- INSTITUTIONAL SELECT --------------------------- 12/20/02* 12/20/02* THROUGH THROUGH PER SHARE OPERATING PERFORMANCE: 4/30/03 4/30/03 -------------------------------------------------------------------------------- Net asset value, beginning of period $ 10.00 $ 10.00 -------------------------------------------------------------------------------- Income from investment operations: Net investment income (loss) 0.07 0.07 Net gains or losses on securities (both realized and unrealized) 0.08 0.08 ------------ ------------ Total from investment operations 0.15 0.15 ------------ ------------ Less distributions: Dividends from net investment income 0.07 0.07 ------------ ------------ Net asset value, end of period $ 10.08 $ 10.08 -------------------------------------------------------------------------------- TOTAL RETURN(b) 1.52% 1.47% ================================================================================ RATIOS/SUPPLEMENTAL DATA: -------------------------------------------------------------------------------- Net assets, end of period (millions) $ 172 $ 76 -------------------------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS:# -------------------------------------------------------------------------------- Net expenses 0.34% 0.49% -------------------------------------------------------------------------------- Net investment income (loss) 2.19% 2.08% -------------------------------------------------------------------------------- Expenses without waivers, reimbursements and earnings credits 0.67% 0.85% -------------------------------------------------------------------------------- Net investment income (loss) without waivers, reimbursements and earnings credits credits 1.87% 1.73% -------------------------------------------------------------------------------- PORTFOLIO TURNOVER RATE(b) 157% 157% --------------------------------------------------------------------------------
* Commencement of operations (b) Not annualized for periods less than one year # Short periods have been annualized See notes to financial statements. 101
TAX AWARE U.S. EQUITY FUND ----------------------------------------------------------------------------- CLASS A CLASS B ------------------------------------ ------------------------------------- 11/1/02 YEAR 4/16/01* 11/1/02 YEAR 4/16/01* THROUGH ENDED THROUGH THROUGH ENDED THROUGH PER SHARE OPERATING PERFORMANCE: 4/30/03 10/31/02 10/31/01 4/30/03 10/31/02 10/31/01 --------------------------------------------------------------------------------------------------------------------------------- Net asset value, beginning of period $ 12.86 $ 15.58 $ 16.88 $ 12.76 $ 15.47 $ 16.88 --------------------------------------------------------------------------------------------------------------------------------- Income from investment operations: Net investment income (loss) 0.04^ 0.10 0.03^ 0.01^ 0.03 (0.03)^ Net gains or losses on securities (both realized and unrealized) 0.39 (2.71) (1.27) 0.39 (2.71) (1.33) ---------- ---------- ---------- ---------- --------- ----------- Total from investment operations 0.43 (2.61) (1.24) 0.40 (2.68) (1.36) ---------- ---------- ---------- ---------- --------- ----------- Less distributions: Dividends from net investment income 0.04 0.11 0.06 0.02 0.03 0.05 ---------- ---------- ---------- ---------- --------- ----------- Net asset value, end of period $ 13.25 $ 12.86 $ 15.58 $ 13.14 $ 12.76 $ 15.47 --------------------------------------------------------------------------------------------------------------------------------- TOTAL RETURN (1) (b) 3.39% (16.89%) (7.38%) 3.18% (17.35%) (8.09%) ================================================================================================================================= RATIOS/SUPPLEMENTAL DATA: --------------------------------------------------------------------------------------------------------------------------------- Net assets, end of period (millions) $ 4 $ 5 $ 1 $ 3 $ 3 $ 1 --------------------------------------------------------------------------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS: # --------------------------------------------------------------------------------------------------------------------------------- Net expenses 1.10% 1.10% 1.04% 1.60% 1.60% 1.60% --------------------------------------------------------------------------------------------------------------------------------- Net investment income (loss) 0.66% 0.52% 0.33% 0.16% 0.00%^^ (0.35%) --------------------------------------------------------------------------------------------------------------------------------- Expenses without waivers, reimbursements and earnings credits 1.97% 1.88% 8.73%+ 2.47% 2.39% 7.71%+ --------------------------------------------------------------------------------------------------------------------------------- Net investment income (loss) without waivers, reimbursements and earnings credits (0.21%) (0.26%) (7.36%)+ (0.71%) (0.79%) (6.46%)+ --------------------------------------------------------------------------------------------------------------------------------- PORTFOLIO TURNOVER RATE (b) 2% 27% 22% 2% 27% 22% --------------------------------------------------------------------------------------------------------------------------------- TAX AWARE U.S. EQUITY FUND ---------------------------------------- CLASS C ---------------------------------------- 11/1/02 YEAR 4/16/01* THROUGH ENDED THROUGH PER SHARE OPERATING PERFORMANCE: 4/30/03 10/31/02 10/31/01 -------------------------------------------------------------------------------------------- Net asset value, beginning of period $ 12.74 $ 15.45 $ 16.88 -------------------------------------------------------------------------------------------- Income from investment operations: Net investment income (loss) 0.01^ 0.04 (0.02)^ Net gains or losses on securities (both realized and unrealized) 0.39 (2.71) (1.35) ---------- ---------- ------------ Total from investment operations 0.40 (2.67) (1.37) ---------- ---------- ------------ Less distributions: Dividends from net investment income 0.02 0.04 0.06 ---------- ---------- ------------ Net asset value, end of period $ 13.12 $ 12.74 $ 15.45 -------------------------------------------------------------------------------------------- TOTAL RETURN (1) (b) 3.18% (17.35%) (8.16%) ============================================================================================ RATIOS/SUPPLEMENTAL DATA: -------------------------------------------------------------------------------------------- Net assets, end of period (millions) $ --@ $ --@ $ --@ -------------------------------------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS: # -------------------------------------------------------------------------------------------- Net expenses 1.60% 1.60% 1.57% -------------------------------------------------------------------------------------------- Net investment income (loss) 0.16% 0.00%^^ (0.17%) -------------------------------------------------------------------------------------------- Expenses without waivers, reimbursements and earnings credits 2.48% 2.38% 23.55%+ -------------------------------------------------------------------------------------------- Net investment income (loss) without waivers, reimbursements and earnings credits (0.72%) (0.78%) (22.15%)+ -------------------------------------------------------------------------------------------- PORTFOLIO TURNOVER RATE (b) 2% 27% 22% --------------------------------------------------------------------------------------------
* Commencement of offering of class of shares. ^ Calculated based on average shares outstanding (1) Total return figures do not include the effect of any front-end or deferred sales load. (b) Not annualized for periods less than one year. @ Amount rounds to less than one million. # Short periods have been annualized. ^^ Amount rounds to less than .005%. + Due to the size of net assets and fixed expenses, ratios may appear disproportionate with other classes. See notes to financial statements. 102
TAX AWARE U.S. EQUITY FUND ------------------------------------------------------ INSTITUTIONAL ------------------------------------------------------ 11/1/02 YEAR YEAR 9/15/00* THROUGH ENDED ENDED THROUGH PER SHARE OPERATING PERFORMANCE: 4/30/03 10/31/02 10/31/01 10/31/00 ----------------------------------------------------------------------------------------------- Net asset value, beginning of period $ 9.17 $ 11.15 $ 14.73 $ 15.00 ----------------------------------------------------------------------------------------------- Income from investment operations: Net investment income (loss) 0.05^ 0.12 0.08^ 0.01^ Net gains or losses on securities (both realized and unrealized) 0.28 (1.94) (3.55) (0.28) ---------- ---------- ---------- ---------- Total from investment operations 0.33 (1.82) (3.47) (0.27) ---------- ---------- ---------- ---------- Less distributions: Dividends from net investment income 0.07 0.16 0.11 -- ---------- ---------- ---------- ---------- Net asset value, end of period $ 9.43 $ 9.17 $ 11.15 $ 14.73 ----------------------------------------------------------------------------------------------- TOTAL RETURN (b) 3.57% (16.50%) (23.67%) (1.80%) =============================================================================================== RATIOS/SUPPLEMENTAL DATA: ----------------------------------------------------------------------------------------------- Net assets, end of period (millions) $ 54 $ 41 $ 12 $ --@ ----------------------------------------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS: # ----------------------------------------------------------------------------------------------- Net expenses 0.70% 0.70% 0.70% 0.70% ----------------------------------------------------------------------------------------------- Net investment income (loss) 1.06% 0.92% 0.69% 0.51% ----------------------------------------------------------------------------------------------- Expenses without waivers, reimbursements and earnings credits 0.83% 0.84% 0.93% 0.85% ----------------------------------------------------------------------------------------------- Net investment income (loss) without waivers, reimbursements and earnings credits credits 0.93% 0.78% 0.46% 0.36% ----------------------------------------------------------------------------------------------- PORTFOLIO TURNOVER RATE (b) 2% 27% 22% 15% ----------------------------------------------------------------------------------------------- TAX AWARE U.S. EQUITY FUND --------------------------------------------------------------------------------- SELECT ---------------------------------------------------------------------------------- 11/1/02 YEAR ENDED THROUGH -------------------------------------------------------------------- PER SHARE OPERATING PERFORMANCE: 4/30/03 10/31/02 10/31/01 10/31/00 10/31/99 10/31/98 --------------------------------------------------------------------------------------------------------------------------- Net asset value, beginning of period $ 12.88 $ 15.59 $ 20.51 $ 18.73 $ 15.19 $ 12.57 --------------------------------------------------------------------------------------------------------------------------- Income from investment operations: Net investment income (loss) 0.05^ 0.10 0.10^ 0.09 0.10 0.08 Net gains or losses on securities (both realized and unrealized) 0.41 (2.69) (4.96) 1.77 3.55 2.65 ---------- ---------- ---------- ---------- ---------- ---------- Total from investment operations 0.46 (2.59) (4.86) 1.86 3.65 2.73 ---------- ---------- ---------- ---------- ---------- ---------- Less distributions: Dividends from net investment income 0.06 0.12 0.06 0.08 0.11 0.11 ---------- ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 13.28 $ 12.88 $ 15.59 $ 20.51 $ 18.73 $ 15.19 --------------------------------------------------------------------------------------------------------------------------- TOTAL RETURN (b) 3.57% (16.70%) (23.76%) 9.96% 24.05% 21.81% =========================================================================================================================== RATIOS/SUPPLEMENTAL DATA: --------------------------------------------------------------------------------------------------------------------------- Net assets, end of period (millions) $ 509 $ 187 $ 212 $ 249 $ 163 $ 77 --------------------------------------------------------------------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS: # --------------------------------------------------------------------------------------------------------------------------- Net expenses 0.84% 0.84% 0.84% 0.85% 0.85% 0.85% --------------------------------------------------------------------------------------------------------------------------- Net investment income (loss) 0.87% 0.73% 0.56% 0.46% 0.58% 0.63% --------------------------------------------------------------------------------------------------------------------------- Expenses without waivers, reimbursements and earnings credits 0.96% 0.97% 0.87% 0.85% 0.90% 1.09% --------------------------------------------------------------------------------------------------------------------------- Net investment income (loss) without waivers, reimbursements and earnings credits credits 0.75% 0.60% 0.53% 0.46% 0.53% 0.39% --------------------------------------------------------------------------------------------------------------------------- PORTFOLIO TURNOVER RATE (b) 2% 27% 22% 15% 29% 44% ---------------------------------------------------------------------------------------------------------------------------
^ Calculated based on average shares outstanding (b) Not annualized for periods less than one year. @ Amount rounds to less than one million. # Short periods have been annualized. See notes to financial statements. 103 JPMORGAN FUNDS Special Meeting of Shareholders (unaudited) A Special Meeting of Shareholders was held on February 13, 2003 at 522 Fifth Avenue, New York, New York 10036 for purposes of approving an Agreement and Plan of Reorganization (the "Reorganization Plan") between the following series of J.P. Morgan Series Trust and Mutual Fund Select Group:
ACQUIRING FUND TARGET FUND ----------------------------------------------------------------------------------- JPMorgan Tax Aware U.S. Equity JPMorgan Select Large Cap Equity ("LCEF")
Under the Reorganization Plan, the Target Fund would transfer all of its assets and liabilities to the Acquiring Fund in a tax-free reorganization. In exchange, shareholders of the Target Fund would receive shares of the Acquiring Fund with a value equal to their respective holdings in the Target Fund. A majority of shareholders of LCEF approved the Reorganization Plan by the following votes:
FOR AGAINST ABSTAIN ---------------------------------------------------------------------------- LCEF 11,956,568 0 0
See notes to financial statements. 104 THIS PAGE IS INTENTIONALLY LEFT BLANK JPMORGAN FUNDS U.S. EQUITY FUNDS Capital Growth Fund Disciplined Equity Fund Disciplined Equity Value Fund Diversified Fund Dynamic Small Cap Fund Equity Growth Fund Equity Income Fund Growth and Income Fund Mid Cap Equity Fund Mid Cap Growth Fund Mid Cap Value Fund Small Cap Equity Fund Small Cap Growth Fund U.S. Equity Fund U.S. Small Company Fund U.S. Small Company Opportunities Fund Value Opportunities Fund INTERNATIONAL EQUITY FUNDS Fleming Emerging Markets Equity Fund Fleming European Fund Fleming International Equity Fund Fleming International Growth Fund Fleming International Opportunities Fund Fleming International Value Fund Fleming Japan Fund Fleming Asia Equity Fund SPECIALTY FUNDS Global 50 Fund Global Healthcare Fund Market Neutral Fund TAX AWARE FUNDS Fleming Tax Aware International Opportunities Fund Tax Aware Disciplined Equity Fund Tax Aware Enhanced Income Fund Tax Aware Large Cap Growth Fund Tax Aware Large Cap Value Fund Tax Aware Short-Intermediate Income Fund Tax Aware U.S. Equity Fund INCOME FUNDS Bond Fund Bond Fund II Enhanced Income Fund Fleming Emerging Markets Debt Fund Global Strategic Income Fund Short Term Bond Fund Short Term Bond Fund II Strategic Income Fund U.S. Treasury Income Fund TAXFREE FUNDS California Bond Fund Intermediate Tax Free Income Fund New Jersey Tax Free Income Fund New York Intermediate Tax Free Income Fund Tax Free Income Fund MONEY MARKET FUNDS 100% U.S. Treasury Securities Money Market Fund California Tax Free Money Market Fund Federal Money Market Fund Liquid Assets Money Market Fund New York Tax Free Money Market Fund Prime Money Market Fund Tax Free Money Market Fund Treasury Plus Money Market Fund U.S. Government Money Market Fund SEMI-ANNUAL REPORT (UNAUDITED) JPMorgan Funds are distributed by J.P. Morgan Fund Distributors, Inc., which is unaffiliated with the JPMorgan Chase Bank. JPMorgan Chase and its respective affiliates receive compensation from JPMorgan Funds for providing services to the Funds. This report is submitted for the general information of the shareholders of the funds. It is not authorized for distribution to prospective investors in the funds unless preceded or accompanied by a prospectus. The financial information in this report has been taken from the books and records of the funds without examination by independent accountants, who express no opinion thereto. To obtain a prospectus for any of the JPMorgan Funds, call 1-800-348-4782. The prospectus contains more complete information, including charges and expenses. Please read it carefully before you invest or send money. JPMorgan Funds Fulfillment Center 393 Manley Street West Bridgewater, MA 02379-1039 (C)J.P. Morgan Chase & Co., 2003 All Rights Reserved. June 2003 SAN-TA-403 ITEM 2. CODE OF ETHICS. (a) Disclose whether, as of the end of the period covered by the report, the registrant has adopted a code of ethics that applies to the registrant's principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party. If the registrant has not adopted such a code of ethics, explain why it has not done so. NOT APPLICABLE - ONLY EFFECTIVE FOR ANNUAL REPORTS WITH PERIODS ENDING ON OR AFTER JULY 15, 2003. ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT. (a) (1) Disclose that the registrant's board of directors has determined that the registrant either: (i) Has at least one audit committee financial expert serving on its audit committee; or (ii) Does not have an audit committee financial expert serving on its audit committee. (2) If the registrant provides the disclosure required by paragraph (a)(1)(i) of this Item, it must disclose the name of the audit committee financial expert and whether that person is "independent." In order to be considered "independent" for purposes of this Item, a member of an audit committee may not, other than in his or her capacity as a member of the audit committee, the board of directors, or any other board committee: (i) Accept directly or indirectly any consulting, advisory, or other compensatory fee from the issuer; or (ii) Be an "interested person" of the investment company as defined in Section 2(a)(19) of the Act (15 U.S.C. 80a- 2(a)(19)). (3) If the registrant provides the disclosure required by paragraph (a)(1)(ii) of this Item, it must explain why it does not have an audit committee financial expert. NOT APPLICABLE - ONLY EFFECTIVE FOR ANNUAL REPORTS WITH PERIODS ENDING ON OR AFTER JULY 15, 2003. 2 ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES. (a) Disclose, under the caption Audit Fees, the aggregate fees billed for each of the last two fiscal years for professional services rendered by the principal accountant for the audit of the registrant's annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for those fiscal years. (b) Disclose, under the caption Audit-Related Fees, the aggregate fees billed in each of the last two fiscal years for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant's financial statements and are not reported under paragraph (a) of this Item. Registrants shall describe the nature of the services comprising the fees disclosed under this category. (c) Disclose, under the caption Tax Fees, the aggregate fees billed in each of the last two fiscal years for professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning. Registrants shall describe the nature of the services comprising the fees disclosed under this category. (d) Disclose, under the caption All Other Fees, the aggregate fees billed in each of the last two fiscal years for products and services provided by the principal accountant, other than the services reported in paragraphs (a) through (c) of this Item. Registrants shall describe the nature of the services comprising the fees disclosed under this category. (e) (1) Disclose the audit committee's pre-approval policies and procedures described in paragraph (c)(7) of Rule 2-01 of Regulation S-X. (2) Disclose the percentage of services described in each of paragraphs (b) through (d) of this Item that were approved by the audit committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X. (f) If greater than 50 percent, disclose the percentage of hours expended on the principal accountant's engagement to audit the registrant's financial statements for the most recent fiscal year that were attributed to work performed by persons other than the principal accountant's full-time, permanent employees. (g) Disclose the aggregate non-audit fees billed by the registrant's accountant for services rendered to the registrant, and rendered to the registrant's investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant for each of the last two fiscal years of the registrant. (h) Disclose whether the registrant's audit committee of the board of directors has considered whether the provision of nonaudit services that were rendered to the registrant's investment adviser (not including any subadviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant's independence. NOT APPLICABLE - ONLY EFFECTIVE FOR ANNUAL REPORTS WITH PERIODS ENDING ON OR AFTER DECEMBER 15, 2003. ITEMS 5-6. [RESERVED] ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. A closed-end management investment company that is filing an annual report on this Form N-CSR must, unless it invests exclusively in non-voting securities, describe the policies and procedures that it uses to determine how to vote proxies relating to portfolio securities, including the procedures that the company uses when a vote presents a conflict between the interests of its shareholders, on the one hand, and those of the company's investment adviser; principal underwriter; or any affiliated person (as defined in Section 2(a)(3) of the Investment Company Act of 1940 (15 U.S.C. 80a-2(a)(3)) and the rules thereunder) of the company, its investment adviser, or its principal underwriter, on the other. Include any policies and procedures of the company's investment adviser, or any other third party, that the company uses, or that are used on the company's behalf, to determine how to vote proxies relating to portfolio securities. NOT APPLICABLE 3 ITEM 8. [RESERVED] ITEM 9. CONTROLS AND PROCEDURES. (a) Disclose the conclusions of the registrant's principal executive officer or officers and principal financial officer or officers, or persons performing similar functions, about the effectiveness of the registrant's disclosure controls and procedures (as defined in Rule 30a-2(c) under the Act (17 CFR 270.30a-2(c))) based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph. REGISTRANT'S PRINCIPAL EXECUTIVE OFFICER AND PRINCIPAL FINANCIAL OFFICER, FOLLOWING AN EVALUATION WITHIN 90 DAYS PRIOR TO THE FILING DATE OF THIS REPORT OF THE DISCLOSURE CONTROLS AND PROCEDURES AS DEFINED IN RULE 30a-2(c) UNDER THE ACT CONCLUDE AS FOLLOWS: 1.THE DISCLOSURE CONTROLS AND PROCEDURES REFLECT A CUMULATIVE PROCESS INVOLVING THE REGISTRANT'S SERVICE PROVIDERS; 2. THE CUMULATIVE PROCESS SEEKS TO ENSURE THAT THE INFORMATION REQUIRED TO BE DISCLOSED BY THE REGISTRANT IN FORM N-CSR IS RECORDED, PROCESSED, SUMMARIZED AND REPORTED WITHIN THE TIME PERIOD SPECIFIED IN THE COMMISSION'S RULES AND FORMS AND THAT THE INFORMATION REQUIRED TO BE DISCLOSED BY THE REGISTRANT IN THESE REPORTS IS ACCUMULATED AND COMMUNICATED TO THE REGISTRANT'S MANAGEMENT INCLUDING ITS PRINCIPAL EXECUTIVE AND FINANCIAL OFFICER, AS APPROPRIATE TO ALLOW TIMELY DECISIONS REGARDING REQUIRED DISCLOSURE; AND THAT 3. THIS PROCESS IS EFFECTIVE WITH REGARDS TO ITS PURPOSE. (b) There were no significant changes in the registrant's internal controls or in other factors that could significantly affect these controls subsequent to the date of their evaluation, including any corrective actions with regard to significant deficiencies and material weaknesses. THERE ARE NO SIGNIFICANT DEFICIENCIES OR MATERIAL WEAKNESSES IN THE REGISTRANT'S INTERNAL CONTROLS AS OF THE DATE OF THEIR MOST RECENT EVALUATION, AND THERE HAVE BEEN NO SIGNIFICANT CHANGES IN THE REGISTRANT'S INTERNAL CONTROLS OR IN OTHER FACTORS THAT COULD SIGNIFICANTLY AFFECT THESE CONTROLS SUBSEQUENT TO THE DATE OF THEIR MOST RECENT EVALUATION. ITEM 10. EXHIBITS. File the exhibits listed below as part of this Form. Letter or number the exhibits in the sequence indicated. (a) 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. (b) A separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2 under the Act (17 CFR 270.30a-2) CERTIFICATIONS PURSUANT TO SECTION 302 OF THE SARBANES-OXLEY ACT OF 2002 ARE ATTACHED HERETO. 4 SIGNATURES [See General Instruction F] Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized. (Registrant) J.P. Morgan Mutual Fund Select Group ------------------------------------------------------------------- By (Signature and Title)* /s/ David Wezdenko ------------------------------------------------------ David Wezdenko, Treasurer Date 7/7/03 --------------------------------------------------------------------------- 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/ David Wezdenko ------------------------------------------------------ David Wezdenko, Treasurer Date 7/7/03 --------------------------------------------------------------------------- By (Signature and Title)* /s/ George C.W. Gatch ------------------------------------------------------ George C.W. Gatch, President Date 7/7/03 --------------------------------------------------------------------------- * Print the name and title of each signing officer under his or her signature. ------------------------------------------------------------------------------- 5