-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, EzpvMr5saeEGp/QaUBLweTdphaGL/MdYM+dUiJmnb7m52CCFRZf8wdulpWFQYP9a iUw4Dr6/3j8qY+7E+lYqSQ== 0001047469-03-029345.txt : 20030829 0001047469-03-029345.hdr.sgml : 20030829 20030829152626 ACCESSION NUMBER: 0001047469-03-029345 CONFORMED SUBMISSION TYPE: N-CSRS PUBLIC DOCUMENT COUNT: 3 CONFORMED PERIOD OF REPORT: 20030630 FILED AS OF DATE: 20030829 EFFECTIVENESS DATE: 20030829 FILER: COMPANY DATA: COMPANY CONFORMED NAME: JP MORGAN MUTUAL FUND SELECT GROUP CENTRAL INDEX KEY: 0001023771 IRS NUMBER: 131481191 FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: N-CSRS SEC ACT: 1940 Act SEC FILE NUMBER: 811-07843 FILM NUMBER: 03874148 BUSINESS ADDRESS: STREET 1: 522 FIFTH AVENUE STREET 2: 16TH FLOOR CITY: NEW YORK STATE: NY ZIP: 10036 BUSINESS PHONE: 800-348-4782 MAIL ADDRESS: STREET 1: J.P. MORGAN FLEMING ASSET MANAGEMENT STREET 2: 522 FIFTH AVENUE CITY: NEW YORK STATE: NY ZIP: 10036 FORMER COMPANY: FORMER CONFORMED NAME: MUTUAL FUND SELECT GROUP DATE OF NAME CHANGE: 19960926 N-CSRS 1 a2117898zn-csrs.txt N-CSRS ------------------------------ 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: DECEMBER 31, 2003 ------------------------------------------------------ Date of reporting period: JANUARY 1, 2003 THROUGH JUNE 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] JPMORGAN FUNDS SEMI-ANNUAL REPORT JUNE 30, 2003 (UNAUDITED) U.S. EQUITY MID/SMALL CAP FUNDS DYNAMIC SMALL CAP FUND MID CAP EQUITY FUND MID CAP GROWTH FUND MID CAP VALUE FUND SMALL CAP EQUITY FUND SMALL CAP GROWTH FUND TRUST SMALL CAP EQUITY FUND U.S. SMALL COMPANY FUND U.S. SMALL COMPANY OPPORTUNITIES FUND [JPMORGAN FLEMING ASSET MANAGEMENT LOGO] [JPMORGAN FLEMING ASSET MANAGEMENT LOGO] JPMorgan Fleming Asset Management is a premier global wealth manager that has been working with affluent investors for over a hundred years. We have a keen understanding of the unique needs of the affluent investor's financial needs. The legacy of our experience coupled with our GLOBAL INTELLECTUAL CAPITAL is the foundation from which our investment products have been built. Our investment professionals are based in 44 countries across the globe. This local insight provides us with a global view of every investment decision we make which we believe is crucial in light of the ever-increasing rise of globalization in our market place. JPMorgan Fleming Asset Management is dedicated to working as an EXPERIENCED PARTNER with your financial advisor to help provide you with the WEALTH SOLUTIONS your portfolio needs. CONTENTS President's Letter 1 Fund Commentaries: 3 Dynamic Small Cap Fund 3 Mid Cap Equity Fund 6 Mid Cap Growth Fund 9 Mid Cap Value Fund 12 Small Cap Equity Fund 15 Small Cap Growth Fund 18 Trust Small Cap Equity 21 U.S. Small Company Fund 24 U.S. Small Company Opportunities Fund 27 Portfolios of Investments 30 Financial Statements 62 Notes to Financial Statements 79 Financial Highlights 100
HIGHLIGHTS - - Quicker than expected war sparks relief rally - - Liquidity and positive Q1 earnings support investor sentiment - - Economic data remains mixed - - Small stocks attractive versus large 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 U.S. MID AND SMALL CAP EQUITY FUNDS PRESIDENT'S LETTER AUGUST 4, 2003 DEAR SHAREHOLDER: We are pleased to present this semi-annual report for the JPMorgan U.S. Mid- and Small-Cap Equity Funds for the six months ended June 30, 2003. THE "BAGHDAD BOUNCE" TRIGGERS A LIQUIDITY DRIVEN RALLY Despite the uncertainty of the first few months of 2003, equity markets found direction once it became clear that allied troops would cross the border into Iraq in mid-March. Prior to that, wrangling in the United Nations regarding the legitimacy of war dogged market sentiment. However, the combination of action, followed by a quicker than expected war, led to a relief-rally -- the "Baghdad Bounce". This then acquired momentum thanks to utterances by the Fed confirming its determination to avoid deflation and to nurture growth, a weaker dollar, and Congress's approval of a $350 billion package of tax cuts by the Bush administration, in an attempt to boost consumer demand. The combination of liquidity and the lack of any major negative earnings surprises supported investor sentiment. By June 30th, the S&P 500 Index of blue chip U.S. Small Cap had risen 11.77% year to date, while the S&P 600 Index of small company stocks was up 12.92%. While stock market sentiment improved, economic data was mixed with the labor market sluggish, but deteriorating less rapidly, and core CPI -- the benchmark measure of inflation -- falling to its lowest level in 40 years, +1.5%. However, there was some positive leading indicator data towards the end of the period, prompting the Fed to comment in its Beige Book that: "the unwinding of war-related concerns appears to have provided some lift to business and consumer confidence, but most reports suggested that the effect had not been dramatic". OUTLOOK From an economic perspective, we expect the accomodative fiscal and monetary policies, combined with a weak dollar, to start delivering growth later this year and in 2004. This should provide further support to equities through improved earnings, while undermining bonds. The extent to which improving earnings will be reflected in stock prices is open to question, however, as price/earning valuation multiples are still not cheap relative to history. In the meantime, equities may be stuck in a trading range due to profit taking and concern about the recovery. In terms of capitalization, we believe that the prospects for small stocks are more attractive than those for large. [SIDENOTE] [PHOTO OF GEORGE C.W. GATCH] From an economic perspective, we expect the accomodative fiscal and monetary policies, combined with a weak dollar, to start delivering growth later this year and in 2004. FUND FAMILY NEWS Effective July 31, 2003, JPMorgan U.S. Small Company Opportunities Fund's portfolio management team is led by Eytan Shapiro and Timothy Parton. Your Fund's investment objective will remain the same. In managing the Fund, J.P. Morgan Investment Management Inc. (JPMIM), the adviser, employs a philosophy that emphasizes long-term investments in growth companies with leading competitive positions, run by highly motivated and talented management that can sustain growth over a period of many years. The adviser uses a "bottom up" approach to construct the Fund's portfolio, basing its stock selection on a combination of proprietary company research complemented by research derived from third-party sources. The research process is designed to identify companies with predictable and durable business models deemed capable of achieving sustainable growth. Potential investments are subjected to rigorous financial analysis and a disciplined approach to valuation. We would like to thank you for your investment. Should you have any questions, please feel free to contact the JPMorgan Funds Service Center at 1-800-348-4782. Sincerely yours, /s/ George C.W. Gatch George C.W. Gatch President JPMorgan Funds JPMORGAN FUNDS 2 JPMORGAN DYNAMIC SMALL CAP FUND AS OF JUNE 30, 2003 (Unaudited) FUND FACTS Fund Inception 5/19/1997 Fiscal Year End DECEMBER 31 Net Assets as of 6/30/2003 (In Millions) $150.3 Primary Benchmark S&P SMALL CAP 600 BARRA GROWTH INDEX
Q: HOW DID THE FUND PERFORM? A: JPMorgan Dynamic Small Cap Fund, which seeks capital growth over the long term, rose 12.60% (A shares, net of fees) in the six months ended June 30, 2003. This compares with a rise of 12.73% for the S&P SmallCap 600 Barra Growth Index. Q: WHY DID THE FUND PERFORM THIS WAY? A: The Fund participated in the rise in small capitalization U.S. growth stocks, although it trailed the S&P SmallCap 600 Barra Growth Index by a small margin. Stock selection in the consumer cyclical, Pharmaceutical and Energy sectors had the largest positive impact on relative performance. In consumer cyclical, two post-secondary education companies, Career Education Corp, and Education Management Corp, benefited from strong enrollment and tuition growth. Additionally, Coach Inc , which is among America's leading luxury accessory brands, reported strong third quarter sales and operating margins. Within pharmaceuticals, biotechnology companies, Scios and Celgene, were leading performers. Scios was acquired by Johnson & Johnson in February at a premium to the market price. Celgene, which makes drugs to treat cancer and immunological diseases, reported 45% 2002 revenue growth and forecast 40-50% 2003 revenue growth for its cancer treatment, Thalomid. In energy, Pride International, an oil & gas drilling contractor, benefited as drilling activity picked up in the Gulf of Mexico. Semiconductors and retail were the weakest sectors compared with the benchmark. In semiconductors, the Fund suffered from being less exposed to the lower quality, non-earning stocks that outperformed. Semiconductor capital equipment holding, Rudolph Technologies, underperformed due to concerns regarding increased competition in the market for semiconductor copper connection measurement and testing. Within retail, Too Inc and California Pizza Kitchen performed poorly. Too Inc, the girls' fashion retailer, reported a drop in first quarter profits after it misjudged spring fashion trends. California Pizza Kitchen experienced decelerating average weekly restaurant sales. Q: HOW WAS THE FUND MANAGED? A: In the absence of any clear, sustainable industry leadership coming out of the recession, the Fund has maintained broad diversification across the small-cap growth universe. The largest overweights were in the energy and pharmaceutical sectors. The largest underweights have been in finance and basic materials. We continue to look for ideas in the healthcare technology, pharmaceutical, software, and industrial cyclical areas that should deliver upside during the recovery. 3 [CHART] PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS Consumer Goods & Services 26.8% Technology 21.1% Industrial Products & Services 13.6% Health Services & Systems 12.8% Energy 9.0% Finance & Insurance 7.7% Pharmaceuticals 6.9% Utilities 0.7% Short-Term Investments 0.7% REITs 0.5% Telecommunications 0.2%
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO 1. Career Education Corp. 2.1% 2. Odyssey Healthcare, Inc. 2.0% 3. Mid Atlantic Medical Servives 1.9% 4. Fair Isaac Corp. 1.6% 5. Ansys, Inc. 1.6% 6. P.F. Chang's China Bistro, Inc. 1.6% 7. Advanced Neuromodulation Systems 1.5% 8. Heartland Express, Inc. 1.5% 9. Education Management Corp. 1.4% 10. Cabot Microelectronics Corp. 1.4%
Top 10 equity holdings comprised 16.6% of the Portfolio's market value of investments ($25,354 in thousands). As of June 30, 2003 the Fund held 106 equity holdings. Portfolio holdings are subject to change at any time. 4 SEMI-ANNUAL REPORT JUNE 30 2003 (Unaudited) AVERAGE ANNUAL TOTAL RETURNS
SINCE INCEPTION 1 YEAR 3 YEARS 5 YEARS (5/19/97) ---------------------------------------------- CLASS A SHARES Without Sales Charge (5.53%) (12.78%) 1.47% 8.41% With Sales Charge* (10.94%) (14.48%) 0.28% 7.36% ---------------------------------------------- CLASS B SHARES Without CDSC (6.11%) (13.32%) 0.80% 7.69% With CDSC** (10.81%) (14.05%) 0.46% 7.69% ---------------------------------------------- CLASS C SHARES Without CDSC (6.12%) (13.32%) 0.80% 7.68% With CDSC*** (7.06%) (13.32%) 0.80% 7.68% ---------------------------------------------- SELECT SHARES (5.18%) (12.40%) 1.79% 8.69%
* Sales Charge for Class A Shares is 5.75%. ** Assumes 5% CDSC (contingent deferred sales charge) for the one year period, 3% CDSC for the three year period, 2% CDSC for the five year period and 0% for the period since inception. *** Assumes a 1% CDSC for the one year period and 0% CDSC thereafter. [CHART] LIFE OF FUND PERFORMANCE (05/19/97 TO 06/30/03)
JPMORGAN DYNAMIC SMALL CAP FUND S&P SMALLCAP 600/BARRA LIPPER SMALL-CAP (CLASS A SHARES) GROWTH INDEX GROWTH FUNDS INDEX May-1997 $ 9,425 $ 10,000 $ 10,000 May-1997 $ 9,925 $ 10,000 $ 10,000 Jun-1997 $ 10,962 $ 10,357 $ 10,535 Jul-1997 $ 12,083 $ 10,977 $ 11,169 Aug-1997 $ 12,497 $ 11,317 $ 11,347 Sep-1997 $ 13,384 $ 12,036 $ 12,302 Oct-1997 $ 13,054 $ 11,372 $ 11,674 Nov-1997 $ 12,545 $ 11,157 $ 11,410 Dec-1997 $ 12,602 $ 11,289 $ 11,258 Jan-1998 $ 12,442 $ 11,083 $ 11,091 Feb-1998 $ 13,676 $ 12,177 $ 11,988 Mar-1998 $ 14,778 $ 12,500 $ 12,529 Apr-1998 $ 14,938 $ 12,565 $ 12,621 May-1998 $ 13,892 $ 11,779 $ 11,727 Jun-1998 $ 14,353 $ 11,856 $ 12,071 Jul-1998 $ 13,468 $ 11,132 $ 11,163 Aug-1998 $ 10,490 $ 8,847 $ 8,725 Sep-1998 $ 11,630 $ 9,463 $ 9,192 Oct-1998 $ 12,055 $ 9,929 $ 9,554 Nov-1998 $ 12,950 $ 10,621 $ 10,331 Dec-1998 $ 14,299 $ 11,546 $ 11,366 Jan-1999 $ 14,148 $ 11,389 $ 11,641 Feb-1999 $ 12,905 $ 10,269 $ 10,521 Mar-1999 $ 13,216 $ 10,565 $ 10,997 Apr-1999 $ 13,706 $ 11,049 $ 11,426 May-1999 $ 13,640 $ 11,146 $ 11,488 Jun-1999 $ 15,082 $ 11,739 $ 12,564 Jul-1999 $ 15,102 $ 11,711 $ 12,520 Aug-1999 $ 14,828 $ 11,174 $ 12,345 Sep-1999 $ 15,008 $ 11,438 $ 12,793 Oct-1999 $ 15,065 $ 11,611 $ 13,538 Nov-1999 $ 16,366 $ 12,281 $ 15,247 Dec-1999 $ 18,610 $ 13,806 $ 18,321 Jan-2000 $ 18,327 $ 13,616 $ 18,130 Feb-2000 $ 22,673 $ 16,456 $ 23,442 Mar-2000 $ 22,144 $ 14,955 $ 21,602 Apr-2000 $ 22,249 $ 14,385 $ 18,932 May-2000 $ 20,411 $ 13,770 $ 17,383 Jun-2000 $ 23,276 $ 15,021 $ 20,445 Jul-2000 $ 21,919 $ 13,994 $ 19,114 Aug-2000 $ 25,021 $ 15,680 $ 21,169 Sep-2000 $ 23,757 $ 14,846 $ 20,121 Oct-2000 $ 23,135 $ 14,962 $ 18,612 Nov-2000 $ 19,637 $ 12,718 $ 15,442 Dec-2000 $ 20,735 $ 13,886 $ 16,807 Jan-2001 $ 20,679 $ 13,897 $ 17,320 Feb-2001 $ 18,148 $ 12,718 $ 15,103 Mar-2001 $ 16,418 $ 12,061 $ 13,636 Apr-2001 $ 17,751 $ 13,231 $ 15,109 May-2001 $ 18,350 $ 13,382 $ 15,519 Jun-2001 $ 18,689 $ 13,812 $ 15,910 Jul-2001 $ 18,136 $ 13,477 $ 15,023 Aug-2001 $ 17,311 $ 13,076 $ 14,134 Sep-2001 $ 15,242 $ 11,416 $ 11,928 Oct-2001 $ 16,056 $ 12,111 $ 12,802 Nov-2001 $ 16,778 $ 12,910 $ 13,794 Dec-2001 $ 17,762 $ 13,722 $ 14,630 Jan-2002 $ 17,479 $ 13,703 $ 14,188 Feb-2002 $ 17,186 $ 13,279 $ 13,330 Mar-2002 $ 18,169 $ 14,214 $ 14,420 Apr-2002 $ 18,338 $ 14,419 $ 14,040 May-2002 $ 17,604 $ 13,761 $ 13,477 Jun-2002 $ 16,351 $ 12,943 $ 12,475 Jul-2002 $ 14,328 $ 11,395 $ 10,706 Aug-2002 $ 14,294 $ 11,622 $ 10,690 Sep-2002 $ 13,423 $ 11,048 $ 10,042 Oct-2002 $ 13,955 $ 11,528 $ 10,471 Nov-2002 $ 14,452 $ 12,107 $ 11,349 Dec-2002 $ 13,717 $ 11,615 $ 10,591 Jan-2003 $ 13,266 $ 11,297 $ 10,311 Feb-2003 $ 12,984 $ 10,991 $ 9,989 Mar-2003 $ 13,198 $ 11,201 $ 10,195 Apr-2003 $ 14,147 $ 12,001 $ 11,037 May-2003 $ 15,085 $ 12,813 $ 12,163 Jun-2003 $ 15,443 $ 13,093 $ 12,575
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 5/19/97. Class A and Class B Shares were introduced on 5/19/97. Returns for the Select Shares prior to 4/5/99 (offering date of the Select Shares) are calculated using the historical expenses of the Class A Shares, which are higher than the expenses of the Select Shares. Returns for the Class C Shares prior to 1/7/98 (offering date of the Class C Shares) are calculated using the historical expenses of the Class A Shares, which are lower than the expenses of the Class C Shares. The graph illustrates comparative performance for $10,000 invested in Class A Shares of the JPMorgan Dynamic Small Cap Fund, S&P SmallCap 600/BARRA Growth Index, and Lipper Small-Cap Growth Funds Index from May 19, 1997 to June 30, 2003. The performance of the Fund assumes reinvestment of all dividends and capital gains and includes a sales charge. The performance of the indices reflects an initial investment at the end of the month following the Fund's inception. The performance of the indices does not include a sales charge and has been adjusted to reflect reinvestment of all dividends and capital gains of the securities included in the benchmark. The S&P SmallCap 600/BARRA Growth Index is a capitalization-weighted index of all the stocks in the S&P SmallCap 600 Index with higher price-to-book ratios. The Lipper Small-Cap Growth Funds Index represents the total returns of the funds in the indicated category, as defined by Lipper, Inc. Investors cannot invest directly in an index. Class A Shares have a $2,500 minimum initial deposit and carry a 5.75% sales charge. Certain fees and expenses of the fund are currently being waived and reimbursed as described in the prospectus. Had the expenses not been subsidized or waived, returns would have been lower. Also all performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares. 5 JPMORGAN MID CAP EQUITY FUND AS OF JUNE 30, 2003 (Unaudited) FUND FACTS Fund Inception 1/1/1997 Fiscal Year End DECEMBER 31 Net Assets as of 6/30/2003 (In Millions) $158.7 Primary Benchmark RUSSELL MID CAP INDEX
Q: HOW DID THE FUND PERFORM? A: JPMorgan Mid Cap Equity Fund (formerly JPMorgan Select Mid Cap Equity Fund), which seeks to provide long term capital growth from a portfolio of mid cap stocks, rose 13.65% (Select Shares) during the six-months ended June 30, 2003. This compares with a gain of 15.47% for the Russell Mid Cap Index. Q: WHY DID THE FUND PERFORM THIS WAY? A: Though the Fund participated in the market's climb, results trailed the benchmark. In a period where all sectors of the Fund and benchmark registered gains, it was the more aggressive, high beta stocks that led the benchmark higher. Stock selection, combined with a relative underweight in the technology sector, hindered performance relative to the index. Additionally, the Fund's healthcare holdings, which rose sharply during the period, under-performed their benchmark peer group. The portfolio's top detractors were Jones Apparel, a leading manufacturer of brand name clothing and accessories, and Brinker International, operator of Chili's Grill & Bar and other restaurant chains. Shares of Jones Apparel declined after management announced in January that they were in discussions regarding a possible restructuring of its license agreements with Polo Ralph Lauren. We sold our position in the company due to the uncertainty over how the issue will be resolved, and the potential financial impact of the resolution. Shares of Brinker International declined as investor sentiment turned negative due to rising industry costs and adverse weather conditions earlier in the year. The portfolio's top contributor was T. Rowe Price Group, a leading provider of no-load mutual funds. Investors overlooked disappointing 1Q 03 operating results as equity mutual fund inflows turned strongly positive, reversing a trend in which investors had pulled money out of equity funds for the last three-quarters. Increased fund inflows, plus the appreciation of existing fund assets, will have a direct, positive impact on T. Rowe's revenues, which are tied to the overall level of assets under management. Q: HOW WAS THE FUND MANAGED? A: Despite the Fund's solid gains for the period, performance relative to the market was somewhat muted by lack of exposure to the highly cyclical and/or highly leveraged segments of the market that have been the driving force behind the recent rally. However, our focus on quality companies works to smooth out portfolio performance at sharp inflection points in the market such as the one just experienced. 6 SEMI-ANNUAL REPORT JUNE 30 2003 (Unaudited) [CHART] PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS Consumer Goods & Services 23.2% Technology 17.1% Finance & Insurance 16.0% Health Services & Systems 9.2% Industrial Products & Services 8.7% Energy 6.6% Utilities 5.0% REITs 4.9% Pharmaceuticals 3.7% Telecommunications 3.1% Short-Term Investments 2.5%
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO 1. Deluxe Corp. 1.7% 2. T. Rowe Price Group, Inc. 1.6% 3. Outback Steakhouse, Inc. 1.6% 4. The E.W Scripps Co. 1.5% 5. Devon Energy Corp. 1.5% 6. Republic Services, Inc. 1.2% 7. Gannett Co., Inc. 1.2% 8. Florida Rock Industries, Inc. 1.2% 9. Kinder Morgan, Inc. 1.1% 10. Golden West Financial Corp. 1.1%
Top 10 equity holdings comprised 13.7% of the Portfolio's market value of investments ($21,851 in thousands). As of June 30, 2003 the Fund held 187 equity holdings. Portfolio holdings are subject to change at any time. 7 AVERAGE ANNUAL TOTAL RETURNS
1 YEAR 3 YEARS 5 YEARS 10 YEARS - ------------------------------------------------------------ SELECT SHARES 4.54% 0.55% 5.99% 9.98%
[CHART] TEN-YEAR FUND PERFORMANCE (06/30/93 TO 06/30/03)
JPMORGAN MID CAP EQUITY FUND RUSSELL MID-CAP INDEX LIPPER MID-CAP CORE FUNDS INDEX Jun-1993 $ 5,000,000 $ 5,000,000 $ 5,000,000 Jul-1993 $ 5,028,000 $ 5,024,000 $ 5,034,500 Aug-1993 $ 5,306,048 $ 5,247,568 $ 5,270,618 Sep-1993 $ 5,392,537 $ 5,267,509 $ 5,460,887 Oct-1993 $ 5,422,196 $ 5,271,723 $ 5,566,829 Nov-1993 $ 5,222,117 $ 5,149,419 $ 5,372,546 Dec-1993 $ 5,434,135 $ 5,335,828 $ 5,616,997 Jan-1994 $ 5,625,960 $ 5,483,097 $ 5,772,026 Feb-1994 $ 5,635,524 $ 5,408,526 $ 5,731,045 Mar-1994 $ 5,364,455 $ 5,178,123 $ 5,431,884 Apr-1994 $ 5,345,680 $ 5,213,852 $ 5,459,044 May-1994 $ 5,271,375 $ 5,221,152 $ 5,388,076 Jun-1994 $ 5,126,412 $ 5,066,606 $ 5,171,476 Jul-1994 $ 5,232,529 $ 5,240,390 $ 5,290,419 Aug-1994 $ 5,467,469 $ 5,488,785 $ 5,594,619 Sep-1994 $ 5,496,994 $ 5,354,858 $ 5,601,332 Oct-1994 $ 5,477,754 $ 5,395,555 $ 5,664,067 Nov-1994 $ 5,280,007 $ 5,157,611 $ 5,455,063 Dec-1994 $ 5,330,167 $ 5,224,660 $ 5,578,893 Jan-1995 $ 5,261,408 $ 5,331,766 $ 5,505,809 Feb-1995 $ 5,475,021 $ 5,607,951 $ 5,718,884 Mar-1995 $ 5,723,040 $ 5,768,339 $ 5,837,265 Apr-1995 $ 5,746,504 $ 5,855,441 $ 5,833,763 May-1995 $ 5,915,451 $ 6,048,085 $ 5,917,186 Jun-1995 $ 6,085,816 $ 6,251,300 $ 6,281,684 Jul-1995 $ 6,497,826 $ 6,554,488 $ 6,681,827 Aug-1995 $ 6,560,205 $ 6,654,772 $ 6,771,364 Sep-1995 $ 6,705,842 $ 6,805,170 $ 6,934,554 Oct-1995 $ 6,385,973 $ 6,652,734 $ 6,711,261 Nov-1995 $ 6,605,651 $ 6,983,375 $ 6,915,284 Dec-1995 $ 6,643,963 $ 7,023,878 $ 6,994,118 Jan-1996 $ 6,653,929 $ 7,172,082 $ 7,070,354 Feb-1996 $ 6,778,358 $ 7,340,626 $ 7,348,926 Mar-1996 $ 6,833,940 $ 7,447,065 $ 7,433,438 Apr-1996 $ 7,046,476 $ 7,657,817 $ 7,843,021 May-1996 $ 7,188,815 $ 7,773,450 $ 8,043,802 Jun-1996 $ 6,983,215 $ 7,656,848 $ 7,764,682 Jul-1996 $ 6,342,155 $ 7,182,890 $ 7,180,778 Aug-1996 $ 6,852,699 $ 7,524,795 $ 7,568,540 Sep-1996 $ 7,445,457 $ 7,896,520 $ 7,965,131 Oct-1996 $ 7,121,580 $ 7,959,692 $ 7,881,498 Nov-1996 $ 7,189,235 $ 8,444,437 $ 8,226,707 Dec-1996 $ 7,135,316 $ 8,358,304 $ 8,246,451 Jan-1997 $ 7,327,256 $ 8,670,905 $ 8,507,864 Feb-1997 $ 7,018,046 $ 8,657,898 $ 8,274,748 Mar-1997 $ 6,473,445 $ 8,289,938 $ 7,883,353 Apr-1997 $ 6,507,755 $ 8,496,357 $ 7,934,595 May-1997 $ 7,258,749 $ 9,116,591 $ 8,753,445 Jun-1997 $ 7,621,687 $ 9,414,704 $ 9,070,319 Jul-1997 $ 8,088,134 $ 10,199,890 $ 9,707,056 Aug-1997 $ 7,924,754 $ 10,088,711 $ 9,732,294 Sep-1997 $ 8,479,487 $ 10,664,777 $ 10,392,144 Oct-1997 $ 8,127,588 $ 10,249,917 $ 9,974,380 Nov-1997 $ 8,055,252 $ 10,493,865 $ 9,961,413 Dec-1997 $ 8,205,886 $ 10,782,446 $ 10,078,957 Jan-1998 $ 8,235,427 $ 10,579,736 $ 9,901,568 Feb-1998 $ 9,091,911 $ 11,407,071 $ 10,745,181 Mar-1998 $ 9,616,514 $ 11,947,767 $ 11,268,472 Apr-1998 $ 9,855,966 $ 11,977,636 $ 11,398,059 May-1998 $ 9,213,357 $ 11,607,527 $ 10,811,059 Jun-1998 $ 9,668,496 $ 11,767,711 $ 10,934,305 Jul-1998 $ 9,078,718 $ 11,206,391 $ 10,312,143 Aug-1998 $ 7,075,045 $ 9,414,489 $ 8,210,528 Sep-1998 $ 7,786,087 $ 10,023,607 $ 8,926,487 Oct-1998 $ 8,071,058 $ 10,707,217 $ 9,434,404 Nov-1998 $ 8,590,027 $ 11,214,739 $ 9,908,011 Dec-1998 $ 9,538,366 $ 11,873,044 $ 10,861,161 Jan-1999 $ 9,693,841 $ 11,852,860 $ 10,810,114 Feb-1999 $ 8,912,518 $ 11,458,159 $ 10,048,001 Mar-1999 $ 9,277,040 $ 11,816,800 $ 10,340,398 Apr-1999 $ 9,669,458 $ 12,690,061 $ 10,933,936 May-1999 $ 9,566,962 $ 12,653,260 $ 11,064,050 Jun-1999 $ 10,370,587 $ 13,099,920 $ 11,667,041 Jul-1999 $ 10,119,619 $ 12,740,982 $ 11,439,534 Aug-1999 $ 9,952,645 $ 12,410,991 $ 11,123,803 Sep-1999 $ 10,088,001 $ 11,974,124 $ 10,915,788 Oct-1999 $ 10,464,283 $ 12,541,698 $ 11,457,211 Nov-1999 $ 11,015,751 $ 12,902,899 $ 12,317,647 Dec-1999 $ 11,928,957 $ 14,038,354 $ 13,925,100 Jan-2000 $ 11,401,697 $ 13,573,684 $ 13,777,494 Feb-2000 $ 12,195,255 $ 14,617,500 $ 16,067,313 Mar-2000 $ 13,068,435 $ 15,455,083 $ 15,943,595 Apr-2000 $ 12,931,217 $ 14,724,058 $ 14,859,431 May-2000 $ 12,389,399 $ 14,333,870 $ 14,248,708 Jun-2000 $ 12,725,152 $ 14,758,153 $ 15,408,553 Jul-2000 $ 12,685,704 $ 14,592,861 $ 14,966,327 Aug-2000 $ 14,098,891 $ 15,990,858 $ 16,427,041 Sep-2000 $ 13,814,093 $ 15,762,188 $ 15,990,082 Oct-2000 $ 13,702,199 $ 15,519,451 $ 15,422,434 Nov-2000 $ 12,601,913 $ 14,122,700 $ 13,716,713 Dec-2000 $ 13,684,417 $ 15,197,438 $ 14,794,846 Jan-2001 $ 13,785,682 $ 15,442,116 $ 15,231,294 Feb-2001 $ 13,096,398 $ 14,501,691 $ 14,035,638 Mar-2001 $ 12,135,122 $ 13,602,587 $ 13,099,461 Apr-2001 $ 13,136,270 $ 14,765,608 $ 14,366,178 May-2001 $ 13,384,545 $ 15,040,248 $ 14,706,657 Jun-2001 $ 13,277,469 $ 14,898,870 $ 14,744,894 Jul-2001 $ 13,059,718 $ 14,472,762 $ 14,280,430 Aug-2001 $ 12,647,031 $ 13,915,561 $ 13,664,943 Sep-2001 $ 11,233,093 $ 12,237,344 $ 11,918,564 Oct-2001 $ 11,610,525 $ 12,721,943 $ 12,514,492 Nov-2001 $ 12,360,565 $ 13,788,042 $ 13,460,587 Dec-2001 $ 13,144,225 $ 14,342,321 $ 14,067,660 Jan-2002 $ 12,890,541 $ 14,256,267 $ 13,907,289 Feb-2002 $ 12,649,488 $ 14,105,151 $ 13,666,693 Mar-2002 $ 13,361,654 $ 14,951,460 $ 14,589,194 Apr-2002 $ 13,344,284 $ 14,661,401 $ 14,348,473 May-2002 $ 13,237,530 $ 14,495,727 $ 14,057,199 Jun-2002 $ 12,375,767 $ 13,524,514 $ 13,040,863 Jul-2002 $ 11,381,993 $ 12,204,521 $ 11,718,520 Aug-2002 $ 11,485,569 $ 12,271,646 $ 11,852,111 Sep-2002 $ 10,709,144 $ 11,138,973 $ 10,906,312 Oct-2002 $ 11,256,381 $ 11,701,491 $ 11,418,909 Nov-2002 $ 11,731,401 $ 12,513,575 $ 12,195,395 Dec-2002 $ 11,384,151 $ 12,020,540 $ 11,624,650 Jan-2003 $ 11,225,912 $ 11,777,725 $ 11,394,482 Feb-2003 $ 11,020,477 $ 11,622,259 $ 11,154,059 Mar-2003 $ 11,223,254 $ 11,737,319 $ 11,181,944 Apr-2003 $ 11,910,117 $ 12,589,449 $ 12,026,181 May-2003 $ 12,816,477 $ 13,741,383 $ 13,036,380 Jun-2003 $ 12,942,231 $ 13,880,171 $ 13,265,820
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 $5,000,000 invested in the JPMorgan Mid Cap Equity Fund, Russell MidCap Index, and Lipper Mid-Cap Core Funds Index from June 30, 1993 to June 30, 2003. The performance of the Fund assumes reinvestment of all dividends and capital gains. The performance of the indices does not include a sales charge and has been adjusted to reflect reinvestment of all dividends and capital gains of the securities included in the benchmark. The Russell MidCap Index measures the performance of the smallest 800 companies of the Russell 1000 Index, which represents approximately 25% of the total market capitalization of the Russell 1000 Index. The Lipper Mid-Cap Core Funds Index represents the total returns of the funds in the indicated category, as defined by Lipper, Inc. Investors cannot invest directly in an Index. Select Shares have a $1,000,000 minimum initial deposit and carry no sales charge. Certain fees and expenses of the Fund are currently being waived and reimbursed as described in the prospectus. Had the expenses not been subsidized or waived, returns would have been lower. Also all performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares. 8 JPMORGAN MID CAP GROWTH FUND AS OF JUNE 30, 2003 (Unaudited) FUND FACTS Fund Inception 10/29/1999 Fiscal Year End DECEMBER 31 Net Assets as of 6/30/2003 (In Millions) $58.8 Primary Benchmark RUSSELL MID CAP GROWTH INDEX
Q: HOW DID THE FUND PERFORM? A: JPMorgan Mid Cap Growth Fund, which seeks to provide long-term growth through a portfolio of mid-capitalization stocks, rose 16.25% (A shares, without sales charge) during the six months ended June 30, 2003. This compares with a gain of 18.74% for the Russell Mid Cap Growth Index. Q: WHY DID THE FUND PERFORM THIS WAY? A: The Fund posted a solid gain for the period, but modestly trailed its market benchmark. All sectors posted positive returns in the period, with particularly strong stock selection in the producer durable and auto & transportation sectors. Weaker stock selection in the consumer discretionary and technology sectors, however, offset the stronger results in other sectors and led to the Fund's underperformance. The portfolio's top detractors were Pepsi Cola Bottling, a manufacturer and distributor of Pepsi-Cola beverages, and Brinker International, operator of Chili's Grill & Bar and other restaurant chains. Shares of Pepsi Cola Bottling declined after management cut its 2003 earnings forecast, as severe weather earlier in the year negatively impacted sales. Following this announcement we eliminated our position in the company. Shares of Brinker International declined as investor sentiment turned negative due to rising industry costs and adverse weather conditions earlier in the year. The portfolio's top contributor for the period was Expedia, the provider of online travel services. USA Interactive announced in March that it would buy the remaining stake in Expedia. The deal comes five months after USA Interactive dropped an earlier effort to take full control of the company. Q: HOW WAS THE FUND MANAGED? A: Given the range of events the market has encountered so far in 2003, the portfolio manager has sought to maintain significant sector diversification in the portfolio and to avoid any large bets contingent on macroeconomic or sector trends. The portfolio manager's focus remains on stock selection, believing that quality growth companies -- regardless of their economic sector -- will perform well even in a challenging economic environment. During the period we did increase the Fund's weighting in the technology sector, where we added names such as Lucent Technologies, Corning and Juniper Networks. To fund these new names we reduced the portfolio's exposure in the consumer discretionary sector, by eliminating retail stocks that had disappointed such as TJX, Circuit City, Office Depot and Costco Wholesale. 9 [CHART] PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS Technology 33.8% Consumer Goods & Services 23.9% Health Services & Systems 18.2% Pharmaceuticals 9.8% Finance & Insurance 5.3% Energy 3.8% Industrial Products & Services 3.3% Short-Term Investments 1.0% Telecommunications 0.9%
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO 1. Omnicare, Inc. 2.6% 2. CBRL Group, Inc. 1.8% 3. Anthem, Inc. 1.8% 4. T.Rowe Price Group, Inc. 1.8% 5. Staples, Inc. 1.7% 6. Caremark Rx, Inc. 1.7% 7. MedImmune, Inc. 1.6% 8. CDW Corp. 1.6% 9. Electronic Arts, Inc. 1.5% 10. KLA - Tencor Corp. 1.4%
Top 10 equity holdings comprised 17.5% of the Portfolio's market value of investments ($10,318 in thousands). As of June 30, 2003 the Fund held 105 equity holdings. Portfolio holdings are subject to change at any time. 10 SEMI-ANNUAL REPORT JUNE 30 2003 (Unaudited) AVERAGE ANNUAL TOTAL RETURNS
SINCE INCEPTION 1 YEAR 3 YEARS (10/29/99) ----------------------------------------- CLASS A SHARES Without Sales Charge 0.97% (31.77%) (20.81%) With Sales Charge* (4.82%) (33.12%) (22.08%) ----------------------------------------- CLASS B SHARES Without CDSC 0.25% (32.23%) (21.34%) With CDSC** (4.75%) (32.90%) (21.98%)
* 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, 3% CDSC for the period since inception. [CHART] LIFE OF FUND PERFORMANCE (10/29/99 TO 06/30/03)
JPMORGAN MID CAP GROWTH FUND RUSSELL MIDCAP LIPPER MID-CAP (CLASS A SHARES) GROWTH INDEX GROWTH FUNDS INDEX Oct-1999 $ 9,425 $ 10,000 $ 10,000 Oct-1999 $ 9,434 $ 10,000 $ 10,000 Nov-1999 $ 11,669 $ 11,036 $ 11,254 Dec-1999 $ 13,367 $ 12,947 $ 13,602 Jan-2000 $ 13,631 $ 12,945 $ 13,368 Feb-2000 $ 18,344 $ 15,666 $ 16,718 Mar-2000 $ 15,206 $ 15,682 $ 15,541 Apr-2000 $ 11,284 $ 14,159 $ 13,491 May-2000 $ 9,502 $ 13,127 $ 12,278 Jun-2000 $ 12,594 $ 14,519 $ 14,186 Jul-2000 $ 11,746 $ 13,600 $ 13,597 Aug-2000 $ 12,952 $ 15,651 $ 15,376 Sep-2000 $ 11,793 $ 14,886 $ 14,636 Oct-2000 $ 9,493 $ 13,868 $ 13,452 Nov-2000 $ 6,430 $ 10,854 $ 10,639 Dec-2000 $ 6,802 $ 11,426 $ 11,406 Jan-2001 $ 7,103 $ 12,079 $ 11,562 Feb-2001 $ 5,609 $ 9,989 $ 9,827 Mar-2001 $ 5,098 $ 8,560 $ 8,785 Apr-2001 $ 5,667 $ 9,987 $ 9,942 May-2001 $ 5,782 $ 9,940 $ 10,024 Jun-2001 $ 5,522 $ 9,945 $ 9,985 Jul-2001 $ 5,117 $ 9,274 $ 9,460 Aug-2001 $ 4,771 $ 8,602 $ 8,826 Sep-2001 $ 4,115 $ 7,180 $ 7,553 Oct-2001 $ 4,385 $ 7,935 $ 7,974 Nov-2001 $ 4,693 $ 8,789 $ 8,629 Dec-2001 $ 4,876 $ 9,123 $ 9,003 Jan-2002 $ 4,732 $ 8,827 $ 8,659 Feb-2002 $ 4,395 $ 8,326 $ 8,229 Mar-2002 $ 4,703 $ 8,962 $ 8,747 Apr-2002 $ 4,530 $ 8,487 $ 8,457 May-2002 $ 4,366 $ 8,235 $ 8,174 Jun-2002 $ 3,961 $ 7,325 $ 7,440 Jul-2002 $ 3,575 $ 6,613 $ 6,638 Aug-2002 $ 3,498 $ 6,590 $ 6,559 Sep-2002 $ 3,267 $ 6,066 $ 6,152 Oct-2002 $ 3,469 $ 6,536 $ 6,462 Nov-2002 $ 3,633 $ 7,048 $ 6,846 Dec-2002 $ 3,440 $ 6,623 $ 6,441 Jan-2003 $ 3,392 $ 6,558 $ 6,346 Feb-2003 $ 3,315 $ 6,501 $ 6,248 Mar-2003 $ 3,411 $ 6,622 $ 6,337 Apr-2003 $ 3,604 $ 7,072 $ 6,782 May-2003 $ 3,922 $ 7,753 $ 7,343 Jun-2003 $ 4,000 $ 7,864 $ 7,458
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 JPMorgan MidCap Growth Fund (formerly J.P. Morgan H&Q IPO & Emerging Company Fund) commenced operations on 10/29/99. All Share Classes were introduced on 10/29/99. The graph illustrates comparative performance for $10,000 invested in Class A Shares of the JPMorgan Mid Cap Growth Fund, Russell MidCap Growth Index, and Lipper Mid-Cap Growth Funds Index from October 29, 1999 to June 30, 2003. The performance of the Fund assumes reinvestment of all dividends and capital gains and assumes a sales charge. The performance of the indices reflects an initial investment at the end of the month following the Fund's inception. The performance of the indices does not include a sales charge and has been adjusted to reflect reinvestment of all dividends and capital gains of the securities included in the benchmark. The Russell MidCap Growth Index measures the performance of those Russell MidCap companies with higher price-to-book ratios and higher forecasted growth values. The Lipper Mid-Cap Growth Funds Index represents the total returns of the funds in the indicated category, as defined by Lipper, Inc. Investors cannot invest directly in an index. Class A Shares have a $2,500 minimum initial deposit and carry a 5.75% sales charge. Certain fees and expenses of the Fund are currently being waived and reimbursed as described in the prospectus. Had the expenses not been subsidized or waived, returns would have been lower. Also all performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares. 11 JPMORGAN MID CAP VALUE FUND AS OF JUNE 30, 2003 (Unaudited) FUND FACTS Fund Inception 11/13/1997 Fiscal Year End DECEMBER 31 Net Assets as of 6/30/2003 (In Millions) $313.2 Primary Benchmark RUSSELL MID CAP VALUE INDEX
Q: HOW DID THE FUND PERFORM? A: JPMorgan Mid Cap Value Fund, which seeks growth from capital appreciation, rose 12.12% (A shares, without sales charge) during the six months ended June 30, 2003. This compares with a gain of 13.10% for the Russell Mid Cap Value Index. Q: WHY DID THE FUND PERFORM IN THIS WAY? A: Though the Fund participated in the market's climb, results trailed the benchmark. In a period where all sectors of the Fund and benchmark registered gains, it was the more aggressive, high beta stocks that led the benchmark higher. The Fund's underweight position in the technology sector was a drag on performance. Additionally, the Fund's utility holdings, which rose sharply during the period, under-performed their benchmark peer group. The top detractor in the Fund was VF Corp, which sagged after the world's largest apparel supplier, with a stable of brands including Lee, Wrangler, and North Face, warned it would miss previously disclosed earnings expectations due to difficult retail conditions. The company saw a drop in year-over-year EPS after previously forecasting a flat to down 5% performance in the June quarter. The company also said it was still pursuing options for its Playwear children's clothing division and that a decision could come shortly. VF left its outlook for the second half of 2003 intact. In early July, VF announced its acquisition of designer Nautica, in order to expand its apparel brands. Natural gas pipeline operator Kinder Morgan, was the top contributor during the period. The company announced it was nearly doubling its dividend to take advantage of the recently enacted tax cut that reduced the double taxation of corporate dividends. Q: HOW WAS THE FUND MANAGED? A: Despite the Fund's solid gains for the period, performance relative to the market was somewhat muted by lack of exposure to the highly cyclical and/or highly leveraged segments of the market that have been the driving force behind the recent rally. As is often the case, our overriding focus on quality and value -- which generally avoids investments in highly cyclical and leveraged companies -- works to smooth out portfolio performance at sharp inflection points in the market such as the one just experienced. During the period we increased our financial and consumer staple exposure while we reduced our consumer discretionary and utilities weights. Going forward, we will remain steadfast to the disciplined investment process and philosophy that has guided the portfolio since its inception. 12 SEMI-ANNUAL REPORT JUNE 30 2003 (Unaudited) [CHART] PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS Consumer Goods & Services 25.0% Finance & Insurance 23.5% Industrial Products & Services 9.9% Short-Term Investments 9.8% Energy 8.1% Technology 6.3% Telecommunications 5.3% REITs 4.6% Health Services & Systems 3.9% Utilities 3.6%
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO 1. Outback Steakhouse, Inc. 2.6% 2. North Fork Bancorporation, Inc. 2.5% 3. Devon Energy Corp. 2.4% 4. VF Corp. 2.3% 5. Kinder Morgan 2.3% 6. AutoZone, Inc. 2.2% 7. Deluxe Corp. 2.1% 8. Gannett Co., Inc. 2.0% 9. TCF Financial Corp. 2.0% 10. MGIC Investment Corp. 1.8%
Top 10 equity holdings comprised 22.2% of the Portfolio's market value of investments ($70,099 in thousands). As of June 30, 2003 the Fund held 88 equity holdings. Portfolio holdings are subject to change at any time. 13 AVERAGE ANNUAL TOTAL RETURNS
SINCE INCEPTION 1 YEAR 3 YEARS 5 YEARS (11/13/97) ----------------------------------------- CLASS A SHARES Without Sales Charge 10.28% 15.92% 15.30% 17.17% With Sales Charge* 3.93% 13.64% 13.94% 15.95% ----------------------------------------- CLASS B SHARES Without CDSC 9.47% 15.31% 14.93% 16.84% With CDSC** 4.47% 14.55% 14.70% 16.75% ----------------------------------------- CLASS C SHARES Without CDSC 9.52% 15.39% 14.98% 16.89% With CDSC*** 8.52% 15.39% 14.98% 16.89% ----------------------------------------- INSTITUTIONAL SHARES 10.85% 16.37% 15.56% 17.41% ----------------------------------------- SELECT SHARES 10.62% 16.20% 15.46% 17.32%
* 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. [CHART] LIFE OF FUND PERFORMANCE (11/13/97 TO 06/30/03)
JPMORGAN MID CAP VALUE FUND RUSSELL MID CAP S&P MIDCAP 400/BARRA LIPPER MID-CAP (INSTITUTIONAL SHARES) VALUE INDEX VALUE INDEX VALUE FUNDS INDEX Nov-1997 $ 3,000,000 $ 3,000,000 $ 3,000,000 $ 3,000,000 Nov-1997 $ 3,060,000 $ 3,000,000 $ 3,000,000 $ 3,000,000 Dec-1997 $ 3,146,904 $ 3,114,900 $ 3,180,000 $ 3,031,200 Jan-1998 $ 3,170,820 $ 3,054,471 $ 3,107,178 $ 2,992,098 Feb-1998 $ 3,321,117 $ 3,258,510 $ 3,337,109 $ 3,200,048 Mar-1998 $ 3,579,832 $ 3,426,323 $ 3,493,286 $ 3,333,810 Apr-1998 $ 3,597,732 $ 3,407,135 $ 3,515,643 $ 3,372,149 May-1998 $ 3,555,638 $ 3,327,408 $ 3,373,611 $ 3,240,973 Jun-1998 $ 3,591,906 $ 3,338,056 $ 3,348,646 $ 3,228,009 Jul-1998 $ 3,408,359 $ 3,168,817 $ 3,202,980 $ 3,045,949 Aug-1998 $ 3,050,482 $ 2,723,281 $ 2,678,332 $ 2,536,057 Sep-1998 $ 3,194,769 $ 2,882,048 $ 2,886,706 $ 2,608,588 Oct-1998 $ 3,423,515 $ 3,068,805 $ 3,114,467 $ 2,764,843 Nov-1998 $ 3,637,142 $ 3,176,520 $ 3,187,034 $ 2,866,865 Dec-1998 $ 3,768,807 $ 3,273,086 $ 3,329,176 $ 2,978,673 Jan-1999 $ 3,699,084 $ 3,196,823 $ 3,155,060 $ 2,958,716 Feb-1999 $ 3,683,917 $ 3,126,493 $ 3,004,564 $ 2,804,567 Mar-1999 $ 3,701,969 $ 3,171,202 $ 3,061,050 $ 2,860,378 Apr-1999 $ 4,002,198 $ 3,471,515 $ 3,357,359 $ 3,081,199 May-1999 $ 4,226,722 $ 3,486,095 $ 3,412,084 $ 3,107,389 Jun-1999 $ 4,366,203 $ 3,525,837 $ 3,518,200 $ 3,227,334 Jul-1999 $ 4,461,387 $ 3,437,691 $ 3,471,408 $ 3,167,952 Aug-1999 $ 4,243,225 $ 3,318,747 $ 3,339,842 $ 3,060,241 Sep-1999 $ 4,166,423 $ 3,150,818 $ 3,175,521 $ 2,990,162 Oct-1999 $ 4,316,830 $ 3,243,767 $ 3,239,032 $ 3,018,867 Nov-1999 $ 4,299,131 $ 3,184,406 $ 3,304,136 $ 3,127,245 Dec-1999 $ 4,291,393 $ 3,269,749 $ 3,406,565 $ 3,333,330 Jan-2000 $ 4,204,707 $ 3,074,218 $ 3,259,401 $ 3,158,997 Feb-2000 $ 3,944,015 $ 2,945,715 $ 3,139,781 $ 3,247,133 Mar-2000 $ 4,540,350 $ 3,302,736 $ 3,620,167 $ 3,470,536 Apr-2000 $ 4,500,849 $ 3,315,947 $ 3,587,224 $ 3,415,701 May-2000 $ 4,737,594 $ 3,372,981 $ 3,690,536 $ 3,390,766 Jun-2000 $ 4,698,272 $ 3,247,169 $ 3,523,724 $ 3,398,904 Jul-2000 $ 4,844,388 $ 3,323,153 $ 3,663,263 $ 3,422,697 Aug-2000 $ 5,010,066 $ 3,526,862 $ 3,925,187 $ 3,642,434 Sep-2000 $ 5,156,360 $ 3,560,720 $ 3,983,279 $ 3,610,745 Oct-2000 $ 5,377,568 $ 3,628,374 $ 3,945,438 $ 3,584,386 Nov-2000 $ 5,389,398 $ 3,581,205 $ 3,950,567 $ 3,391,188 Dec-2000 $ 5,805,999 $ 3,897,067 $ 4,354,315 $ 3,686,560 Jan-2001 $ 5,878,574 $ 3,883,038 $ 4,548,518 $ 3,815,590 Feb-2001 $ 5,925,602 $ 3,866,729 $ 4,397,962 $ 3,683,570 Mar-2001 $ 5,755,538 $ 3,759,620 $ 4,204,451 $ 3,544,331 Apr-2001 $ 6,049,070 $ 3,966,400 $ 4,584,954 $ 3,776,840 May-2001 $ 6,214,815 $ 4,079,045 $ 4,675,736 $ 3,882,213 Jun-2001 $ 6,299,958 $ 4,024,794 $ 4,683,218 $ 3,914,048 Jul-2001 $ 6,385,007 $ 4,008,695 $ 4,683,686 $ 3,900,348 Aug-2001 $ 6,231,767 $ 3,935,336 $ 4,588,607 $ 3,809,860 Sep-2001 $ 5,733,849 $ 3,559,905 $ 4,073,765 $ 3,433,065 Oct-2001 $ 5,737,862 $ 3,578,772 $ 4,137,723 $ 3,499,323 Nov-2001 $ 6,061,478 $ 3,829,286 $ 4,389,297 $ 3,762,122 Dec-2001 $ 6,381,524 $ 3,988,202 $ 4,665,823 $ 3,934,804 Jan-2002 $ 6,385,991 $ 4,028,482 $ 4,664,890 $ 3,918,671 Feb-2002 $ 6,566,714 $ 4,093,744 $ 4,775,447 $ 3,933,170 Mar-2002 $ 6,841,860 $ 4,302,934 $ 5,128,831 $ 4,180,173 Apr-2002 $ 6,963,645 $ 4,299,922 $ 5,205,763 $ 4,168,887 May-2002 $ 7,045,119 $ 4,293,472 $ 5,115,183 $ 4,107,604 Jun-2002 $ 6,679,478 $ 4,101,983 $ 4,827,709 $ 3,817,197 Jul-2002 $ 6,278,709 $ 3,700,399 $ 4,327,076 $ 3,443,111 Aug-2002 $ 6,455,141 $ 3,743,324 $ 4,365,154 $ 3,452,752 Sep-2002 $ 6,089,134 $ 3,365,248 $ 3,935,623 $ 3,150,982 Oct-2002 $ 6,459,354 $ 3,472,263 $ 4,093,048 $ 3,257,800 Nov-2002 $ 6,703,517 $ 3,691,016 $ 4,355,822 $ 3,520,378 Dec-2002 $ 6,587,546 $ 3,603,169 $ 4,194,221 $ 3,358,441 Jan-2003 $ 6,492,027 $ 3,503,362 $ 4,049,101 $ 3,276,831 Feb-2003 $ 6,414,772 $ 3,445,206 $ 3,963,665 $ 3,203,758 Mar-2003 $ 6,510,352 $ 3,456,920 $ 3,950,981 $ 3,216,573 Apr-2003 $ 6,923,108 $ 3,719,645 $ 4,271,801 $ 3,463,284 May-2003 $ 7,367,572 $ 4,046,974 $ 4,689,156 $ 3,774,633 Jun-2003 $ 7,404,217 $ 4,075,303 $ 4,708,850 $ 3,833,140
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 11/13/97. Returns for the Select Shares prior to 10/31/01 (offering date of the Select Shares) are calculated using the historical expenses of the Institutional Shares, which are lower than the expenses of the Select Shares. Returns for the Class A, Class B, and Class C Shares prior to 4/30/01 (offering date of the Class A, Class B, and Class C Shares) are calculated using the historical expenses of the Institutional Shares, which are lower than the expenses of the Class A Shares, Class B and C Shares. The graph illustrates comparative performance for $3,000,000 invested in Institutional Shares of the JPMorgan Mid Cap Value Fund, Russell MidCap Value Index, S&P MidCap 400/BARRA Value Index, and Lipper Mid-Cap Value Funds Index from November 13, 1997 to June 30, 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 Russell MidCap Value Index is an unmanaged, capitalization weighted, price only index that measures the performance of those companies included in the Russell MidCap Index that have lower price-to-book ratios and lower forecasted growth rates. The S&P MidCap 400/BARRA Value Index is an unmanaged, capitalization weighted, price only index of 400 stocks that measure performance of the mid-sized company segment of the U.S. market. The S&P MidCap 400/BARRA Value Index is a subset of the MidCap 400 Index, which contains companies with lower price-to-book ratios. The Lipper Mid-Cap Value Funds Index represents the total returns of the funds in the indicated category, as defined by Lipper, Inc. Investors cannot invest directly in an index. Institutional Shares have a $3,000,000 minimum initial deposit and carry no sales charge. Certain fees and expenses of the Fund are currently being waived and reimbursed as described in the prospectus. Had the expenses not been subsidized or waived, returns would have been lower. Also all performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares. 14 JPMORGAN SMALL CAP EQUITY FUND AS OF JUNE 30, 2003 (Unaudited) FUND FACTS Fund Inception 12/20/1994 Fiscal Year End DECEMBER 31 Net Assets as of 6/30/2003 (In Millions) $624.1 Primary Benchmark S&P SMALL CAP 600 INDEX
Q: HOW DID THE FUND PERFORM? A: JPMorgan Small Cap Equity Fund, which seeks capital growth over the long term, rose 10.80% (A shares, without sales charge) in the six months ended June 30, 2003. This compares with a rise of 12.92% for the S&P Small Cap 600 Index, the Fund's benchmark. Q: WHY DID THE FUND PERFORM THIS WAY? A: The Fund captured the majority of the rise in small capitalization U.S. equities, although it trailed its benchmark, the S&P Small Cap 600 Index. While delivering strong absolute returns for the period, the portfolio's bias toward owning high quality, profitable, and relatively larger small cap companies with longer track records hurt relative performance. The Fund was less exposed to the non-earning, low quality, low market cap, and low absolute stock price companies that rallied during April and May. Stock selection in the Finance and Retail sectors had the largest negative impact on relative performance. In Finance, mid-Atlantic based regional bank holding company, Commerce Bancorp, declined on concerns regarding slow balance sheet growth and deteriorating balance sheet quality. Some of the Fund's regional bank stocks underperformed the index. Additionally, it suffered from being underweight the Finance sector. Within Retail, the greatest detractor from performance was AFC Enterprises, the franchiser and operator of quick-service restaurant brands such as Popeye's Chicken & Biscuits, where financial control issues forced management to restate earnings. In addition, casual-dining chain, Cheesecake Factory, negatively impacted Fund performance during the period, due to weak bakery sales and falling same store sales. We have sold both stocks. The Fund's best performing sectors relative to the benchmark were Health Services & Systems and Pharmaceuticals. In Health Services & Systems, managed care provider, Coventry Health Care, has delivered better than expected EPS results, driven by double-digit membership and pricing growth, continued acquisitions, and margin expansion. In addition, contact lens maker, Cooper Companies, is benefiting from better than expected contact lens sales and a new contact lens product launch in Japan. In Pharmaceuticals, biotechnology company, Scios, significantly added to performance after Johnson & Johnson agreed in February to acquire Scios for $45 per share, a 29% premium to the market price. Q: HOW WAS THE FUND MANAGED? A: In the absence of any clear, sustainable industry leadership coming out of the recession, the Fund has maintained broad diversification across the small-cap universe, with the exception of two sector underweights, Finance and Basic Materials. We continue to look for ideas in the healthcare technology, pharmaceutical, software, and industrial cyclical areas that should deliver upside during the recovery. 15 [CHART] PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS Consumer Goods & Services 29.7% Industrial Products & Services 18.1% Technology 15.1% Finance & Insurance 11.6% Health Services & Systems 11.3% Energy 6.7% Utilities 3.3% REITs 1.6% Pharmaceuticals 1.3% Telecommunications 1.3%
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO 1. Cooper Companies, Inc. 1.8% 2. Integrated Circuit Systems, Inc. 1.7% 3. Alliant Techsystems, Inc. 1.5% 4. Pride International, Inc. 1.5% 5. UCBH Holdings Inc. 1.5% 6. East-West Bancorp., Inc. 1.5% 7. Markel Corp. 1.5% 8. CACI International, Inc., Class A 1.5% 9. Harman International Industries, Inc. 1.4% 10. Coventry Health Care, Inc. 1.3%
Top 10 equity holdings comprised 15.2% of the Portfolio's market value of investments ($95,408 in thousands). As of June 30, 2003 the Fund held 110 equity holdings. Portfolio holdings are subject to change at any time. 16 SEMI-ANNUAL REPORT JUNE 30 2003 (Unaudited) AVERAGE ANNUAL TOTAL RETURNS
SINCE INCEPTION 1 YEAR 3 YEARS 5 YEARS (12/20/94) -------------------------------------------- CLASS A SHARES Without Sales Charge (6.01%) (4.65%) 1.00% 12.83% With Sales Charge* (11.41%) (6.51%) (0.19%) 12.05% -------------------------------------------- CLASS B SHARES Without CDSC (6.67%) (5.38%) 0.25% 12.05% With CDSC** (11.30%) (6.18%) (0.05%) 12.05% -------------------------------------------- SELECT SHARES (5.52%) (4.14%) 1.54% 13.28%
* Sales Charge for Class A Shares is 5.75%. ** Assumes 5% CDSC (contingent deferred sales charge) for the one year period, 3% CDSC for the three year period, 2% CDSC for the five year period and 0% CDSC for the period since inception. [CHART] LIFE OF FUND PERFORMANCE (12/20/94 TO 06/30/03)
JPMORGAN SMALL CAP EQUITY FUND S&P SMALCAP LIPPER SMALL-CAP CORE (CLASS A SHARES) 600 INDEX FUNDS INDEX Dec-1994 $ 9,425 $ 10,000 $ 10,000 Dec-1994 $ 9,791 $ 10,000 $ 10,000 Jan-1995 $ 9,489 $ 9,858 $ 10,103 Feb-1995 $ 10,045 $ 10,264 $ 10,505 Mar-1995 $ 10,838 $ 10,471 $ 10,728 Apr-1995 $ 11,225 $ 10,705 $ 10,908 May-1995 $ 11,583 $ 10,872 $ 11,040 Jun-1995 $ 12,449 $ 11,469 $ 11,479 Jul-1995 $ 13,424 $ 12,346 $ 12,114 Aug-1995 $ 13,906 $ 12,614 $ 12,518 Sep-1995 $ 14,322 $ 12,936 $ 12,732 Oct-1995 $ 14,256 $ 12,297 $ 12,281 Nov-1995 $ 14,653 $ 12,739 $ 12,648 Dec-1995 $ 15,081 $ 12,950 $ 13,073 Jan-1996 $ 15,149 $ 12,978 $ 13,169 Feb-1996 $ 15,714 $ 13,403 $ 13,635 Mar-1996 $ 16,165 $ 13,689 $ 13,976 Apr-1996 $ 17,699 $ 14,475 $ 14,940 May-1996 $ 18,466 $ 14,989 $ 15,614 Jun-1996 $ 18,283 $ 14,401 $ 14,905 Jul-1996 $ 16,692 $ 13,411 $ 13,695 Aug-1996 $ 17,909 $ 14,239 $ 14,393 Sep-1996 $ 18,733 $ 14,864 $ 14,998 Oct-1996 $ 18,398 $ 14,762 $ 14,717 Nov-1996 $ 18,867 $ 15,528 $ 15,248 Dec-1996 $ 19,423 $ 15,710 $ 15,518 Jan-1997 $ 20,035 $ 15,971 $ 15,864 Feb-1997 $ 19,228 $ 15,627 $ 15,449 Mar-1997 $ 18,061 $ 14,794 $ 14,670 Apr-1997 $ 17,526 $ 14,975 $ 14,674 May-1997 $ 19,647 $ 16,734 $ 16,239 Jun-1997 $ 20,873 $ 17,474 $ 17,156 Jul-1997 $ 22,087 $ 18,573 $ 18,189 Aug-1997 $ 22,456 $ 19,041 $ 18,635 Sep-1997 $ 23,887 $ 20,300 $ 20,032 Oct-1997 $ 22,924 $ 19,423 $ 19,235 Nov-1997 $ 22,729 $ 19,281 $ 18,989 Dec-1997 $ 22,870 $ 19,670 $ 18,968 Jan-1998 $ 22,690 $ 19,287 $ 18,691 Feb-1998 $ 24,691 $ 21,044 $ 20,087 Mar-1998 $ 26,352 $ 21,848 $ 21,033 Apr-1998 $ 26,052 $ 21,977 $ 21,235 May-1998 $ 24,580 $ 20,814 $ 20,133 Jun-1998 $ 25,101 $ 20,874 $ 20,061 Jul-1998 $ 23,540 $ 19,278 $ 18,614 Aug-1998 $ 18,396 $ 15,557 $ 15,016 Sep-1998 $ 19,798 $ 16,511 $ 15,648 Oct-1998 $ 20,418 $ 17,277 $ 16,290 Nov-1998 $ 21,708 $ 18,249 $ 17,199 Dec-1998 $ 23,634 $ 19,416 $ 18,279 Jan-1999 $ 22,979 $ 19,171 $ 18,142 Feb-1999 $ 20,831 $ 17,444 $ 16,660 Mar-1999 $ 21,143 $ 17,669 $ 16,735 Apr-1999 $ 22,232 $ 18,837 $ 17,864 May-1999 $ 22,132 $ 19,294 $ 18,234 Jun-1999 $ 23,717 $ 20,392 $ 19,288 Jul-1999 $ 23,747 $ 20,213 $ 19,182 Aug-1999 $ 23,232 $ 19,323 $ 18,478 Sep-1999 $ 23,232 $ 19,404 $ 18,463 Oct-1999 $ 22,970 $ 19,356 $ 18,624 Nov-1999 $ 24,210 $ 20,165 $ 19,825 Dec-1999 $ 26,885 $ 21,823 $ 21,964 Jan-2000 $ 26,162 $ 21,146 $ 21,542 Feb-2000 $ 29,673 $ 23,978 $ 24,580 Mar-2000 $ 29,661 $ 23,090 $ 24,231 Apr-2000 $ 29,955 $ 22,696 $ 22,884 May-2000 $ 28,181 $ 22,024 $ 21,911 Jun-2000 $ 30,427 $ 23,325 $ 23,844 Jul-2000 $ 29,445 $ 22,752 $ 23,102 Aug-2000 $ 32,436 $ 24,767 $ 25,160 Sep-2000 $ 31,622 $ 24,094 $ 24,514 Oct-2000 $ 31,486 $ 24,245 $ 23,776 Nov-2000 $ 28,098 $ 21,721 $ 21,408 Dec-2000 $ 30,692 $ 24,398 $ 23,487 Jan-2001 $ 29,568 $ 25,444 $ 24,323 Feb-2001 $ 27,469 $ 23,892 $ 22,778 Mar-2001 $ 26,214 $ 22,795 $ 21,701 Apr-2001 $ 28,326 $ 24,533 $ 23,430 May-2001 $ 28,740 $ 25,001 $ 24,283 Jun-2001 $ 29,062 $ 25,916 $ 25,034 Jul-2001 $ 29,262 $ 25,483 $ 24,453 Aug-2001 $ 28,393 $ 24,902 $ 23,768 Sep-2001 $ 25,333 $ 21,536 $ 20,654 Oct-2001 $ 26,255 $ 22,683 $ 21,881 Nov-2001 $ 27,391 $ 24,342 $ 23,507 Dec-2001 $ 28,783 $ 25,989 $ 25,157 Jan-2002 $ 28,970 $ 26,216 $ 24,860 Feb-2002 $ 28,689 $ 25,765 $ 24,197 Mar-2002 $ 29,986 $ 27,800 $ 26,055 Apr-2002 $ 30,493 $ 28,587 $ 26,183 May-2002 $ 29,825 $ 27,403 $ 25,206 Jun-2002 $ 28,068 $ 25,987 $ 23,795 Jul-2002 $ 24,719 $ 22,317 $ 20,561 Aug-2002 $ 24,916 $ 22,529 $ 20,670 Sep-2002 $ 23,617 $ 21,150 $ 19,206 Oct-2002 $ 23,963 $ 21,827 $ 19,888 Nov-2002 $ 24,700 $ 22,962 $ 21,356 Dec-2002 $ 23,850 $ 22,188 $ 20,318 Jan-2003 $ 23,068 $ 21,425 $ 19,725 Feb-2003 $ 22,770 $ 20,740 $ 19,109 Mar-2003 $ 22,757 $ 20,903 $ 19,270 Apr-2003 $ 24,388 $ 22,599 $ 20,875 May-2003 $ 25,966 $ 24,420 $ 22,708 Jun-2003 $ 26,381 $ 25,055 $ 23,203
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 12/20/94. Returns for the Select Shares prior to 5/7/96 (offering date of the Select Shares) are calculated using the historical expenses of the Class A Shares, which are higher than the expenses of the Select Shares. Returns for the Class B Shares prior to 3/28/95 (offering date of the Class B Shares) are calculated using the historical expenses of the Class A Shares, which are lower than the expenses of the Class B Shares. The graph illustrates comparative performance for $10,000 invested in Class A Shares of the JPMorgan Small Cap Equity Fund, S&P SmallCap 600 Index and Lipper Small-Cap Core Funds Index from December 20, 1994 to June 30, 2003. The performance of the Fund assumes reinvestment of all dividends and capital gains and includes a sales charge. The performance of the indices reflects an initial investment at the end of the month following the Fund's inception. The performance of the indices does not include a sales charge and has been adjusted to reflect reinvestment of all dividends and capital gains of the securities included in the benchmark. The S&P SmallCap 600 Index includes 600 stocks of small U.S. Companies chosen for market size, liquidity and industry group representation. The Lipper Small-Cap Core Funds Index represents the total returns of the funds in the indicated category, as defined by Lipper, Inc. Investors cannot invest directly in an index. Class A Shares have a $2,500 minimum initial deposit and carry a 5.75% sales charge. Certain fees and expenses of the Fund are currently being waived and reimbursed as described in the prospectus. Had the expenses not been subsidized or waived, returns would have been lower. Also all performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares. 17 JPMORGAN SMALL CAP GROWTH FUND AS OF JUNE 30, 2003 (Unaudited) FUND FACTS Fund Inception 11/14/1997 Fiscal Year End DECEMBER 31 Net Assets as of 6/30/2003 (In Millions) $2.2 Primary Benchmark RUSSELL 2000 GROWTH INDEX
Q: HOW DID THE FUND PERFORM? A: JPMorgan Small Cap Growth Fund, which seeks growth from capital appreciation, rose 15.92% (Institutional shares) during the six months ended June 30, 2003. This compares with a gain of 19.32% for the Russell 2000 Growth Index. Q: WHY DID THE FUND PERFORM THIS WAY? A: The Fund participated in the market's rapid ascent, although results trailed the benchmark index. All sectors posted positive returns in the period, with particularly strong stock selection in the technology sector. Weaker stock selection in the healthcare sector, however, offset the stronger results in the sector and led to the Fund's underperformance. Medcath was the portfolio's top detractor in the period, disappointing investors with lacklustre results for its first fiscal year quarter. The company, which develops hospitals focused on providing cardiovascular care, reported earnings that met expectations but reflected moderate deterioration in several important operating trends. The lower-quality earnings raised the possibility that it may become increasingly difficult for the company to achieve ongoing operational efficiencies. Additionally Daisytek International, the leading wholesale distributor of consumable computer and non-paper office supplies, also detracted from the portfolio's performance. The company reported lower than expected profits for its fiscal third quarter, citing a heavy cost burden associated with the company's growth initiatives and a looming shortfall in working capital. As a result of these announcements, both positions were sold from the portfolio. Staar Surgical, which develops products for minimally invasive ophthalmic surgery, was the portfolio's top contributor for the period. Shares rose strongly after a recent study found that its implantable contact lenses are safer and more effective for vision correction than Lasik surgery. Another top contributor was Packeteer, the provider of bandwidth management software. The sluggish economy has been a key driver of growth for the bandwidth management industry as customers seek low-cost solutions to improve network capacity in a time when expensive network upgrades are not possible. As a result, the company reported its sixth consecutive quarter of sequential revenue growth and seventh consecutive quarter in which it generated positive operating cash flow. Q: HOW WAS THE FUND MANAGED? A: We focused on maintaining our longstanding philosophy of making long-term investments in small cap growth companies with leading competitive positions and strong management. Although recent market volatility presents challenges to investors, such as us, with a longer-term view, we fully believe our investment approach to be prudent over time. 18 SEMI-ANNUAL REPORT JUNE 30 2003 (Unaudited) [CHART] PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS Technology 29.3% Consumer Goods & Services 27.3% Health Services & Systems 12.5% Finance & Insurance 8.8% Industrial Products & Services 6.9% Telecommunications 4.2% Energy 4.1% Pharmaceuticals 3.5% REITs 2.0% Short-Term Investments 1.4%
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO 1. Global Imaging Systems, Inc. 2.4% 2. National Instruments Corp. 2.2% 3. Gray Television, Inc. 2.1% 4. Ruby Tuesday, Inc. 2.0% 5. Hilb, Rogal & Hamilton Co. 2.0% 6. Interactive Data Corp. 1.9% 7. Tech Data Corp. 1.9% 8. Serena Software, Inc. 1.9% 9. Pegasus Solutions, Inc. 1.9% 10. Wright Medical Group, Inc. 1.7%
Top 10 equity holdings comprised 20.0% of the Portfolio's market value of investments ($428 in thousands). As of June 30, 2003 the Fund held 80 equity holdings. Portfolio holdings are subject to change at any time. 19 AVERAGE ANNUAL TOTAL RETURNS
SINCE INCEPTION 1 YEAR 3 YEARS 5 YEARS (11/14/97) ---------------------------------------------- CLASS A SHARES Without Sales Charge (3.05%) (20.53%) (3.70%) (0.69%) With Sales Charge* (8.63%) (22.08%) (4.83%) (1.73%) ---------------------------------------------- CLASS B SHARES Without CDSC (3.53%) (20.78%) (3.88%) (0.86%) With CDSC** (8.35%) (21.44%) (4.13%) (0.98%) ---------------------------------------------- CLASS C SHARES Without CDSC (3.69%) (20.86%) (3.94%) (0.92%) With CDSC*** (4.65%) (20.86%) (3.94%) (0.92%) ---------------------------------------------- INSTITUTIONAL SHARES (2.11%) (19.99%) (3.30%) (0.34%) ---------------------------------------------- SELECT SHARES (2.42%) (20.16%) (3.42%) (0.45%)
* 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. [CHART] LIFE OF FUND PERFORMANCE (11/14/97 TO 6/30/03)
JPMORGAN SMALL CAP GROWTH FUND RUSSELL 2000 RUSSELL 2000 LIPPER SMALL-CAP (INSTITUTIONAL SHARES) INDEX GROWTH INDEX GROWTH FUNDS INDEX Nov-1997 $ 3,000,000 $ 3,000,000 $ 3,000,000 $ 3,000,000 Nov-1997 $ 2,991,000 $ 3,000,000 $ 3,000,000 $ 3,000,000 Dec-1997 $ 3,061,887 $ 3,052,500 $ 3,001,800 $ 2,960,100 Jan-1998 $ 3,116,082 $ 3,004,271 $ 2,961,876 $ 2,916,291 Feb-1998 $ 3,278,430 $ 3,226,286 $ 3,223,410 $ 3,151,927 Mar-1998 $ 3,485,627 $ 3,359,209 $ 3,358,471 $ 3,294,394 Apr-1998 $ 3,524,666 $ 3,377,685 $ 3,378,957 $ 3,318,443 May-1998 $ 3,389,319 $ 3,195,628 $ 3,133,645 $ 3,083,497 Jun-1998 $ 3,482,525 $ 3,202,338 $ 3,165,608 $ 3,173,844 Jul-1998 $ 3,233,176 $ 2,942,949 $ 2,901,280 $ 2,935,171 Aug-1998 $ 2,599,150 $ 2,371,428 $ 2,231,664 $ 2,294,129 Sep-1998 $ 2,845,550 $ 2,557,111 $ 2,457,955 $ 2,416,865 Oct-1998 $ 3,019,697 $ 2,661,441 $ 2,586,261 $ 2,512,090 Nov-1998 $ 3,193,934 $ 2,800,901 $ 2,786,954 $ 2,716,323 Dec-1998 $ 3,516,521 $ 2,974,276 $ 3,039,174 $ 2,988,498 Jan-1999 $ 3,590,016 $ 3,013,834 $ 3,175,937 $ 3,060,820 Feb-1999 $ 3,427,748 $ 2,769,714 $ 2,885,338 $ 2,766,369 Mar-1999 $ 3,461,340 $ 2,812,921 $ 2,988,056 $ 2,891,409 Apr-1999 $ 3,819,588 $ 3,064,959 $ 3,251,902 $ 3,004,174 May-1999 $ 3,969,698 $ 3,109,707 $ 3,257,105 $ 3,020,697 Jun-1999 $ 4,118,562 $ 3,250,266 $ 3,428,754 $ 3,303,434 Jul-1999 $ 4,338,905 $ 3,161,209 $ 3,322,806 $ 3,291,872 Aug-1999 $ 4,090,720 $ 3,044,244 $ 3,198,533 $ 3,245,786 Sep-1999 $ 4,171,307 $ 3,044,853 $ 3,260,264 $ 3,363,608 Oct-1999 $ 4,286,018 $ 3,057,032 $ 3,343,727 $ 3,559,706 Nov-1999 $ 4,599,754 $ 3,239,537 $ 3,697,159 $ 4,008,941 Dec-1999 $ 5,152,645 $ 3,606,253 $ 4,348,968 $ 4,817,144 Jan-2000 $ 4,814,116 $ 3,548,192 $ 4,308,523 $ 4,767,045 Feb-2000 $ 5,118,849 $ 4,133,999 $ 5,311,116 $ 6,163,790 Mar-2000 $ 5,393,220 $ 3,861,568 $ 4,752,918 $ 5,679,932 Apr-2000 $ 5,272,951 $ 3,629,102 $ 4,272,873 $ 4,977,892 May-2000 $ 5,020,904 $ 3,417,525 $ 3,898,570 $ 4,570,701 Jun-2000 $ 5,746,927 $ 3,715,533 $ 4,402,265 $ 5,375,601 Jul-2000 $ 5,468,775 $ 3,595,893 $ 4,024,991 $ 5,025,650 Aug-2000 $ 5,991,590 $ 3,870,260 $ 4,448,420 $ 5,565,907 Sep-2000 $ 5,687,217 $ 3,756,474 $ 4,227,333 $ 5,290,395 Oct-2000 $ 5,367,596 $ 3,588,936 $ 3,884,074 $ 4,893,615 Nov-2000 $ 4,524,883 $ 3,220,711 $ 3,178,726 $ 4,060,232 Dec-2000 $ 4,751,580 $ 3,497,370 $ 3,373,264 $ 4,419,157 Jan-2001 $ 5,014,817 $ 3,679,583 $ 3,646,161 $ 4,553,941 Feb-2001 $ 4,283,657 $ 3,438,202 $ 3,146,272 $ 3,971,037 Mar-2001 $ 3,683,945 $ 3,270,074 $ 2,860,276 $ 3,585,449 Apr-2001 $ 4,265,272 $ 3,525,794 $ 3,210,374 $ 3,972,678 May-2001 $ 4,460,621 $ 3,612,528 $ 3,284,855 $ 4,080,337 Jun-2001 $ 4,705,955 $ 3,737,161 $ 3,374,531 $ 4,183,162 Jul-2001 $ 4,228,771 $ 3,534,980 $ 3,086,684 $ 3,950,159 Aug-2001 $ 3,915,419 $ 3,420,800 $ 2,893,766 $ 3,716,310 Sep-2001 $ 3,102,187 $ 2,960,361 $ 2,426,712 $ 3,136,194 Oct-2001 $ 3,529,048 $ 3,133,542 $ 2,660,162 $ 3,366,077 Nov-2001 $ 3,951,475 $ 3,376,078 $ 2,882,285 $ 3,626,948 Dec-2001 $ 4,233,215 $ 3,584,382 $ 3,061,852 $ 3,846,741 Jan-2002 $ 4,165,060 $ 3,547,104 $ 2,952,850 $ 3,730,570 Feb-2002 $ 3,688,161 $ 3,449,914 $ 2,761,800 $ 3,504,870 Mar-2002 $ 3,947,070 $ 3,727,287 $ 3,001,801 $ 3,791,568 Apr-2002 $ 3,674,722 $ 3,761,205 $ 2,936,962 $ 3,691,471 May-2002 $ 3,356,858 $ 3,594,207 $ 2,765,150 $ 3,543,443 Jun-2002 $ 3,007,074 $ 3,415,935 $ 2,530,665 $ 3,280,165 Jul-2002 $ 2,534,662 $ 2,900,129 $ 2,141,702 $ 2,815,038 Aug-2002 $ 2,548,350 $ 2,892,588 $ 2,140,631 $ 2,810,815 Sep-2002 $ 2,298,611 $ 2,684,900 $ 1,986,077 $ 2,640,480 Oct-2002 $ 2,471,237 $ 2,771,086 $ 2,086,573 $ 2,753,228 Nov-2002 $ 2,721,079 $ 3,018,267 $ 2,293,352 $ 2,983,949 Dec-2002 $ 2,539,311 $ 2,850,149 $ 2,135,111 $ 2,784,621 Jan-2003 $ 2,475,828 $ 2,771,200 $ 2,077,036 $ 2,711,107 Feb-2003 $ 2,380,509 $ 2,687,510 $ 2,021,579 $ 2,626,521 Mar-2003 $ 2,421,454 $ 2,722,179 $ 2,052,105 $ 2,680,627 Apr-2003 $ 2,621,466 $ 2,980,241 $ 2,246,234 $ 2,902,047 May-2003 $ 2,884,923 $ 3,300,021 $ 2,499,385 $ 3,198,055 Jun-2003 $ 2,943,838 $ 3,359,751 $ 2,547,623 $ 3,306,469
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 11/14/97. Returns for the Select Shares prior to 10/31/01 (offering date of the Select Shares) are calculated using the historical expenses of the Institutional Shares, which are lower than the expenses of the Select Shares. Returns for the Class A, Class B, and Class C Shares prior to 4/30/01 (offering date of the Class A, Class B, and Class C Shares) are calculated using the historical expenses of the Institutional Shares, which are lower than the expenses of the Class A, Class B, and Class C Shares. The graph illustrates comparative performance for $3,000,000 invested in Institutional Shares of the JPMorgan Small Cap Growth Fund, Russell 2000 Index, Russell 2000 Growth Index and Lipper Small-Cap Growth Funds Index from November 14, 1997 to June 30, 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 Russell 2000 Index is an unmanaged, capitalization weighted price only index, which is comprised of 2000 of the smallest stocks (on the basis of capitalization) in the Russell 3000 Index. The Russell 2000 Growth Index measures the performance of those Russell 2000 companies with higher price-to-book ratios and higher forecasted growth rates. The Lipper Small-Cap Growth Funds Index represents the total returns of the funds in the indicated category, as defined by Lipper, Inc. Investors cannot invest directly in an index. Institutional Shares have a $3,000,000 minimum initial deposit and carry no sales charge. Certain fees and expenses of the Fund are currently being waived and reimbursed as described in the prospectus. Had the expenses not been subsidized or waived, returns would have been lower. Also all performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares. 20 JPMORGAN TRUST SMALL CAP EQUITY FUND AS OF JUNE 30, 2003 (Unaudited) FUND FACTS Fund Inception 1/1/1997 Fiscal Year End DECEMBER 31 Net Assets as of 6/30/2003 (In Millions) $299.2 Primary Benchmark S&P SMALL CAP 600 INDEX
Q: HOW DID THE FUND PERFORM? A: JPMorgan Trust Small Cap Equity Fund (formerly JPMorgan Select Small Cap Equity Fund), which seeks capital growth over the long term, rose 10.59% (Select Class) in the six months ended June 30, 2003. This compares with a rise of 12.92% for the S&P Small Cap 600 Index, the Fund's index. Q: WHY DID THE FUND PERFORM THIS WAY? A: The Fund captured the majority of the rise in small capitalization U.S. equities, although it trailed its benchmark, the S&P Small Cap 600 Index. While delivering strong absolute returns for the period, the portfolio's bias toward owning high quality, profitable, and relatively larger small cap companies with longer track records hurt relative performance. The Fund was less exposed to the non-earning, low quality, low market cap, and low absolute stock price companies that rallied during April and May. Stock selection in the Finance and Retail sectors had the largest negative impact on relative performance. In Finance, mid-Atlantic based regional bank holding company, Commerce Bancorp, declined on concerns regarding slow balance sheet growth and deteriorating balance sheet quality. Some of the Fund's regional bank stocks underperformed the index. Additionally, it suffered from being underweight in the Finance sector. Within Retail, the greatest detractor from performance was AFC Enterprises, the franchiser and operator of quick-service restaurant brands such as Popeye's Chicken & Biscuits, where financial control issues forced management to restate earnings. In addition, casual-dining chain, Cheesecake Factory, negatively impacted Fund performance during the period, due to weak bakery sales and falling same store sales. We have sold both stocks. The Fund's best performing sectors relative to the benchmark were Health Services & Systems and Pharmaceuticals. In Health Services & Systems, managed care provider, Coventry Health Care, has delivered better than expected EPS results, driven by double-digit membership and pricing growth, continued acquisitions, and margin expansion. In addition, contact lens maker, Cooper Companies, is benefiting from better than expected contact lens sales and a new contact lens product launch in Japan. In Pharmaceuticals, biotechnology company, Scios, significantly added to performance after Johnson & Johnson agreed in February to acquire Scios for $45 per share, a 29% premium to the market price. Q: HOW WAS THE FUND MANAGED? A: In the absence of any clear, sustainable industry leadership coming out of the recession, the Fund has maintained broad diversification across the small-cap universe, with the exception of two sector underweights, Finance and Basic Materials. We continue to look for ideas in the healthcare technology, pharmaceutical, software, and industrial cyclical areas that should deliver upside during the recovery. 21 [CHART] PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS Consumer Goods & Services 29.2% Industrial Products & Services 17.3% Technology 15.7% Finance & Insurance 11.4% Health Services & Systems 11.0% Energy 6.5% Utilities 3.3% Short-Term Investments 2.2% REITs 1.6% Pharmaceuticals 1.3% Telecommunications 0.5%
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO 1. Cooper Companies, Inc. 1.9% 2. Integrated Circuit Systems, Inc. 1.6% 3. Henry Schein, Inc. 1.5% 4. Pride International, Inc. 1.5% 5. UCBH Holdings, Inc. 1.4% 6. East-West Bancorp, Inc. 1.4% 7. Alliant Techsystems, Inc. 1.4% 8. Markel Corp. 1.4% 9. Chico's FAS, Inc. 1.3% 10. Church & Dwight Co., Inc. 1.3%
Top 10 equity holdings comprised 14.7% of the Portfolio's market value of investments ($44,031 in thousands). As of June 30, 2003 the Fund held 110 equity holdings. Portfolio holdings are subject to change at any time. 22 SEMI-ANNUAL REPORT JUNE 30 2003 (Unaudited) AVERAGE ANNUAL TOTAL RETURNS
1 YEAR 3 YEARS 5 YEARS 10 YEARS ----------------------------------------- SELECT SHARES (6.63%) (3.94%) (1.49%) 6.22%
[CHART] TEN-YEAR FUND PERFORMANCE (06/30/93 TO 06/30/03)
JPMORGAN TRUST SMALL CAP EQUITY S&P SMALLCAP 600 INDEX LIPPER SMALL-CAP CORE FUNDS INDEX Jun-1993 $ 5,000,000 $ 5,000,000 $ 5,000,000 Jul-1993 $ 5,103,000 $ 5,051,500 $ 5,046,500 Aug-1993 $ 5,349,475 $ 5,318,219 $ 5,197,895 Sep-1993 $ 5,502,470 $ 5,511,271 $ 5,282,101 Oct-1993 $ 5,630,127 $ 5,617,087 $ 5,394,081 Nov-1993 $ 5,514,147 $ 5,415,995 $ 5,260,848 Dec-1993 $ 5,816,322 $ 5,612,054 $ 5,413,412 Jan-1994 $ 5,857,618 $ 5,744,499 $ 5,556,326 Feb-1994 $ 5,858,789 $ 5,727,840 $ 5,545,769 Mar-1994 $ 5,567,022 $ 5,317,154 $ 5,330,039 Apr-1994 $ 5,418,939 $ 5,396,911 $ 5,320,978 May-1994 $ 5,509,977 $ 5,290,052 $ 5,334,280 Jun-1994 $ 5,552,955 $ 5,093,791 $ 5,160,916 Jul-1994 $ 5,564,061 $ 5,156,954 $ 5,235,233 Aug-1994 $ 5,797,195 $ 5,508,143 $ 5,476,578 Sep-1994 $ 5,807,050 $ 5,479,500 $ 5,486,435 Oct-1994 $ 5,890,091 $ 5,424,705 $ 5,514,965 Nov-1994 $ 5,652,720 $ 5,217,482 $ 5,375,436 Dec-1994 $ 5,714,900 $ 5,344,266 $ 5,422,203 Jan-1995 $ 5,792,623 $ 5,268,378 $ 5,478,051 Feb-1995 $ 5,940,914 $ 5,485,435 $ 5,696,078 Mar-1995 $ 5,989,629 $ 5,596,241 $ 5,816,835 Apr-1995 $ 6,032,755 $ 5,721,037 $ 5,914,557 May-1995 $ 6,131,692 $ 5,810,285 $ 5,986,123 Jun-1995 $ 6,411,297 $ 6,129,270 $ 6,224,371 Jul-1995 $ 6,669,031 $ 6,598,159 $ 6,568,579 Aug-1995 $ 6,796,410 $ 6,741,339 $ 6,787,313 Sep-1995 $ 6,952,727 $ 6,913,243 $ 6,903,376 Oct-1995 $ 6,703,124 $ 6,571,729 $ 6,658,996 Nov-1995 $ 6,913,602 $ 6,808,311 $ 6,858,100 Dec-1995 $ 6,849,306 $ 6,920,648 $ 7,088,532 Jan-1996 $ 6,847,936 $ 6,935,874 $ 7,140,279 Feb-1996 $ 6,993,112 $ 7,162,677 $ 7,393,044 Mar-1996 $ 7,252,557 $ 7,315,958 $ 7,577,871 Apr-1996 $ 7,583,273 $ 7,735,894 $ 8,100,744 May-1996 $ 7,652,281 $ 8,010,518 $ 8,466,087 Jun-1996 $ 7,558,923 $ 7,696,506 $ 8,081,727 Jul-1996 $ 7,230,110 $ 7,166,986 $ 7,425,491 Aug-1996 $ 7,554,019 $ 7,609,906 $ 7,804,191 Sep-1996 $ 7,805,568 $ 7,943,981 $ 8,131,967 Oct-1996 $ 7,640,870 $ 7,889,168 $ 7,979,899 Nov-1996 $ 7,955,674 $ 8,298,615 $ 8,267,973 Dec-1996 $ 7,935,785 $ 8,395,709 $ 8,414,316 Jan-1997 $ 7,804,051 $ 8,535,078 $ 8,601,956 Feb-1997 $ 7,791,564 $ 8,351,574 $ 8,376,584 Mar-1997 $ 7,493,927 $ 7,906,435 $ 7,954,404 Apr-1997 $ 7,543,387 $ 8,002,893 $ 7,956,791 May-1997 $ 8,296,971 $ 8,943,233 $ 8,804,985 Jun-1997 $ 8,784,003 $ 9,338,524 $ 9,302,466 Jul-1997 $ 9,244,285 $ 9,925,917 $ 9,862,475 Aug-1997 $ 9,230,418 $ 10,176,051 $ 10,104,105 Sep-1997 $ 9,638,403 $ 10,848,687 $ 10,861,913 Oct-1997 $ 9,349,251 $ 10,380,024 $ 10,429,609 Nov-1997 $ 9,145,437 $ 10,304,250 $ 10,296,110 Dec-1997 $ 9,338,406 $ 10,512,396 $ 10,284,784 Jan-1998 $ 9,146,035 $ 10,307,404 $ 10,134,627 Feb-1998 $ 9,844,792 $ 11,246,409 $ 10,891,683 Mar-1998 $ 10,341,954 $ 11,676,021 $ 11,404,682 Apr-1998 $ 10,325,407 $ 11,744,910 $ 11,514,166 May-1998 $ 9,932,009 $ 11,123,604 $ 10,916,581 Jun-1998 $ 9,855,532 $ 11,155,863 $ 10,877,282 Jul-1998 $ 9,456,383 $ 10,302,439 $ 10,093,030 Aug-1998 $ 8,049,273 $ 8,314,068 $ 8,142,047 Sep-1998 $ 8,286,727 $ 8,823,721 $ 8,484,827 Oct-1998 $ 8,552,731 $ 9,233,141 $ 8,832,705 Nov-1998 $ 9,104,382 $ 9,752,967 $ 9,325,570 Dec-1998 $ 9,657,928 $ 10,376,182 $ 9,911,216 Jan-1999 $ 9,591,289 $ 10,245,442 $ 9,836,882 Feb-1999 $ 8,862,351 $ 9,322,328 $ 9,033,208 Mar-1999 $ 8,722,326 $ 9,442,586 $ 9,073,858 Apr-1999 $ 9,407,900 $ 10,066,741 $ 9,686,343 May-1999 $ 9,759,756 $ 10,311,362 $ 9,886,851 Jun-1999 $ 10,043,765 $ 10,898,079 $ 10,458,311 Jul-1999 $ 9,861,973 $ 10,802,176 $ 10,400,790 Aug-1999 $ 9,186,427 $ 10,326,880 $ 10,019,081 Sep-1999 $ 8,640,754 $ 10,370,253 $ 10,011,066 Oct-1999 $ 8,194,027 $ 10,344,327 $ 10,098,162 Nov-1999 $ 8,690,585 $ 10,776,720 $ 10,749,493 Dec-1999 $ 9,314,569 $ 11,662,567 $ 11,909,364 Jan-2000 $ 8,861,881 $ 11,301,027 $ 11,680,704 Feb-2000 $ 9,670,970 $ 12,814,235 $ 13,327,683 Mar-2000 $ 9,825,706 $ 12,340,108 $ 13,138,430 Apr-2000 $ 9,969,161 $ 12,129,092 $ 12,407,933 May-2000 $ 9,531,515 $ 11,770,071 $ 11,880,596 Jun-2000 $ 10,314,052 $ 12,465,682 $ 12,928,465 Jul-2000 $ 9,979,877 $ 12,159,026 $ 12,526,389 Aug-2000 $ 11,020,778 $ 13,236,316 $ 13,642,491 Sep-2000 $ 10,686,849 $ 12,876,288 $ 13,291,879 Oct-2000 $ 10,664,406 $ 12,957,409 $ 12,891,793 Nov-2000 $ 9,508,385 $ 11,608,543 $ 11,607,771 Dec-2000 $ 10,407,878 $ 13,038,715 $ 12,734,885 Jan-2001 $ 10,078,989 $ 13,598,076 $ 13,188,247 Feb-2001 $ 9,384,547 $ 12,768,593 $ 12,350,793 Mar-2001 $ 8,987,580 $ 12,182,515 $ 11,766,601 Apr-2001 $ 9,670,636 $ 13,110,823 $ 12,704,399 May-2001 $ 9,806,025 $ 13,361,239 $ 13,166,839 Jun-2001 $ 9,917,814 $ 13,850,261 $ 13,573,694 Jul-2001 $ 9,976,329 $ 13,618,961 $ 13,258,785 Aug-2001 $ 9,691,006 $ 13,308,449 $ 12,887,539 Sep-2001 $ 8,677,327 $ 11,509,147 $ 11,199,271 Oct-2001 $ 9,014,007 $ 12,122,584 $ 11,864,508 Nov-2001 $ 9,456,595 $ 13,008,745 $ 12,746,041 Dec-2001 $ 9,953,066 $ 13,889,437 $ 13,640,813 Jan-2002 $ 10,056,578 $ 14,010,275 $ 13,479,851 Feb-2002 $ 9,963,052 $ 13,769,299 $ 13,119,939 Mar-2002 $ 10,434,304 $ 14,857,073 $ 14,127,550 Apr-2002 $ 10,624,209 $ 15,277,528 $ 14,196,775 May-2002 $ 10,397,913 $ 14,645,039 $ 13,667,236 Jun-2002 $ 9,791,715 $ 13,887,890 $ 12,901,871 Jul-2002 $ 8,630,417 $ 11,926,920 $ 11,148,506 Aug-2002 $ 8,702,050 $ 12,040,226 $ 11,207,593 Sep-2002 $ 8,217,346 $ 11,303,364 $ 10,414,096 Oct-2002 $ 8,319,241 $ 11,665,072 $ 10,783,796 Nov-2002 $ 8,562,162 $ 12,271,655 $ 11,579,640 Dec-2002 $ 8,266,768 $ 11,858,101 $ 11,016,870 Jan-2003 $ 7,989,004 $ 11,450,182 $ 10,695,177 Feb-2003 $ 7,894,734 $ 11,083,776 $ 10,361,488 Mar-2003 $ 7,886,050 $ 11,171,338 $ 10,448,524 Apr-2003 $ 8,443,594 $ 12,077,333 $ 11,318,886 May-2003 $ 8,981,451 $ 13,050,767 $ 12,312,684 Jun-2003 $ 9,142,655 $ 13,390,086 $ 12,595,876
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 $5,000,000 invested in the JPMorgan Trust Small Cap Equity Fund, S&P SmallCap 600 Index, and Lipper Small-Cap Core Funds Index from June 30, 1993 to June 30, 2003. The performance of the Fund assumes reinvestment of all dividends and capital gains. The performance of the indices does not include a sales charge and has been adjusted to reflect reinvestment of all dividends and capital gains of the securities included in the benchmark. The S&P SmallCap 600 Index includes 600 stocks of small U.S. Companies chosen for market size, liquidity and industry group representation. The Lipper Small-Cap Core Funds Index represents the total returns of the funds in the indicated category, as defined by Lipper, Inc. Investor's cannot invest directly in an index. Select Shares have a $1,000,000 minimum initial deposit and carry no sales charge. Certain fees and expenses of the Fund are currently being waived and reimbursed as described in the prospectus. Had the expenses not been subsidized or waived, returns would have been lower. Also all performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares. 23 JPMORGAN U.S. SMALL COMPANY FUND AS OF JUNE 30, 2003 (Unaudited) FUND FACTS Fund Inception 11/4/1993 Fiscal Year End DECEMBER 31 Net Assets as of 6/30/2003 (In Millions) $347.2 Primary Benchmark RUSSELL 2000 INDEX
Q: HOW DID THE FUND PERFORM? A: JPMorgan U.S. Small Company Fund, which seeks to provide a high total return from a portfolio of small company stocks, returned 12.66% (Institutional shares) during the six months ended June 30, 2003. This compares with a gain of 17.88% for the Russell 2000 Index, the Fund's benchmark. Q: WHY DID THE FUND PERFORM THIS WAY? A: Although we made up significant absolute performance and delivered numbers that were more competitive in the second quarter, our year-to-date relative performance was still negatively affected by our disappointing first quarter results. With war worries behind us and with the perception that the economy is improving, investors shrugged off mixed earnings results and added risk across their portfolios. Although we would have certainly benefited from owning lesser-quality and less-liquid stocks that drove much of the absolute performance of the Russell 2000 index, we have since the beginning of the year consciously focused on overlooked and mis-priced companies with real earnings potential. Many of the names that we were in a bit early have finally begun to pay-off. One way to explain the outperformance of the index is to look at the Fund's biotech and pharmaceutical holdings. Looking at the biotech area, this performance was significantly less than that of the more risky, stage-one testing biotech companies held in the benchmark. The portfolio underperformed mainly due to stock selection, which detracted from performance in the first half of this year. Stock picks within the software, pharmaceutical and media sectors were the primary drivers that negatively affected performance. The main detractors on a stock specific level were pharmaceutical companies First Horizon Pharmaceuticals and Adolor Corp. First Horizon fell because it failed to gain market share in a competitive calcium channel market. Also pressuring the stock were inventory-related issues and management's failure to properly recognize the challenges to the company's business. Adolor was hit by the Street's avoidance of risk, in advance of data from the company's Phase III trial results, which are expected shortly. Stock selection within the finance, industrial cyclicals and energy sectors added to performance. Top contributors included financial companies Doral Financial Corp. and Lendingtree Inc., which benefited from continuing strength in mortgage refinancing. In the industrial cyclical sector, the fund benefited from owning truck trailer producer, Wabash National Corp., and special situation stock, Unova Inc. Q: HOW WAS THE FUND MANAGED? A: The Fund utilizes active stock selection, within a systematic valuation process. This strategy invests in a diversified portfolio of 200-250 U.S. small capitalization stocks, with the aim of limiting the style or theme volatility that characterizes many small-cap competitors. As such, it is managed to maintain risk characteristics similar to those of the Russell 2000 index. The portfolio focuses on the bottom-up selection of attractively valued small-cap companies with strong fundamentals. Investment decisions are made based on market conditions, analysts' input and the portfolio manager's own quantitative and qualitative analysis. The portfolio managers work closely with research analysts to understand the relevant risk/reward trade-off between securities within the same industry. 24 SEMI-ANNUAL REPORT JUNE 30 2003 (Unaudited) [CHART] PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS Technology 19.5% Consumer Goods & Services 19.1% Industrial Products & Services 17.7% Finance & Insurance 14.5% Health Services & Systems 5.6% Pharmaceuticals 5.6% REITs 5.4% Energy 5.0% Short-Term Investments 3.6% Utilities 2.9% Telecommunications 1.1%
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO 1. Crown Holdings, Inc. 1.5% 2. Maxtor Corp. 1.3% 3. Prentiss Properties Trust 1.2% 4. NetBank, Inc. 1.2% 5. Sierra Pacific Resources 1.2% 6. UNOVA, Inc. 1.1% 7. Precision Castparts Corp. 1.1% 8. Silgan Holdings, Inc. 1.1% 9. Atmos Energy Corp. 1.0% 10. EMCOR Group, Inc. 1.0%
Top 10 equity holdings comprised 11.7% of the Portfolio's market value of investments ($41,192 in thousands). As of June 30, 2003 the Fund held 230 equity holdings. Portfolio holdings are subject to change at any time. 25 AVERAGE ANNUAL TOTAL RETURNS
1 YEAR 3 YEARS 5 YEARS 10 YEARS ------------------------------------------- INSTITUTIONAL SHARES (3.84%) (9.74%) (0.60%) 7.18% ------------------------------------------- SELECT SHARES (4.02%) (9.90%) (0.78%) 7.05%
[CHART] TEN-YEAR FUND PERFORMANCE (06/30/93 TO 06/30/03)
JPMORGAN U.S. SMALL COMPANY FUND LIPPER SMALL-CAP CORE (INSTITUTIONAL SHARES) RUSSELL 2000 INDEX FUNDS INDEX Jun-1993 $ 3,000,000 $ 3,000,000 $ 3,000,000 Jul-1993 $ 2,997,600 $ 3,041,400 $ 3,027,900 Aug-1993 $ 3,099,518 $ 3,172,788 $ 3,118,737 Sep-1993 $ 3,163,059 $ 3,262,261 $ 3,169,261 Oct-1993 $ 3,201,648 $ 3,346,427 $ 3,236,449 Nov-1993 $ 3,126,089 $ 3,237,334 $ 3,156,509 Dec-1993 $ 3,222,998 $ 3,348,051 $ 3,248,047 Jan-1994 $ 3,310,341 $ 3,452,845 $ 3,333,796 Feb-1994 $ 3,264,989 $ 3,440,414 $ 3,327,462 Mar-1994 $ 3,123,289 $ 3,259,105 $ 3,198,023 Apr-1994 $ 3,099,239 $ 3,278,333 $ 3,192,587 May-1994 $ 3,023,928 $ 3,241,616 $ 3,200,568 Jun-1994 $ 2,912,345 $ 3,132,374 $ 3,096,550 Jul-1994 $ 2,972,048 $ 3,183,744 $ 3,141,140 Aug-1994 $ 3,114,112 $ 3,361,079 $ 3,285,947 Sep-1994 $ 3,087,019 $ 3,349,651 $ 3,291,861 Oct-1994 $ 3,108,320 $ 3,336,253 $ 3,308,979 Nov-1994 $ 2,972,175 $ 3,201,468 $ 3,225,262 Dec-1994 $ 3,035,780 $ 3,287,268 $ 3,253,322 Jan-1995 $ 3,029,708 $ 3,245,848 $ 3,286,831 Feb-1995 $ 3,172,710 $ 3,380,875 $ 3,417,647 Mar-1995 $ 3,272,968 $ 3,438,688 $ 3,490,101 Apr-1995 $ 3,352,174 $ 3,515,027 $ 3,548,734 May-1995 $ 3,394,746 $ 3,575,486 $ 3,591,674 Jun-1995 $ 3,571,273 $ 3,761,053 $ 3,734,623 Jul-1995 $ 3,753,765 $ 3,977,690 $ 3,941,147 Aug-1995 $ 3,829,967 $ 4,060,028 $ 4,072,388 Sep-1995 $ 3,895,459 $ 4,132,703 $ 4,142,025 Oct-1995 $ 3,767,299 $ 3,947,971 $ 3,995,398 Nov-1995 $ 3,923,642 $ 4,113,786 $ 4,114,860 Dec-1995 $ 4,003,684 $ 4,222,389 $ 4,253,119 Jan-1996 $ 4,030,108 $ 4,217,745 $ 4,284,167 Feb-1996 $ 4,175,192 $ 4,349,339 $ 4,435,827 Mar-1996 $ 4,234,480 $ 4,438,065 $ 4,546,722 Apr-1996 $ 4,452,132 $ 4,675,501 $ 4,860,446 May-1996 $ 4,603,504 $ 4,859,716 $ 5,079,652 Jun-1996 $ 4,415,682 $ 4,659,982 $ 4,849,036 Jul-1996 $ 4,109,233 $ 4,253,165 $ 4,455,294 Aug-1996 $ 4,325,790 $ 4,500,274 $ 4,682,514 Sep-1996 $ 4,500,119 $ 4,676,235 $ 4,879,180 Oct-1996 $ 4,524,420 $ 4,604,221 $ 4,787,939 Nov-1996 $ 4,691,823 $ 4,793,915 $ 4,960,784 Dec-1996 $ 4,837,739 $ 4,919,516 $ 5,048,590 Jan-1997 $ 4,941,267 $ 5,017,906 $ 5,161,173 Feb-1997 $ 4,834,041 $ 4,895,971 $ 5,025,951 Mar-1997 $ 4,598,140 $ 4,664,881 $ 4,772,643 Apr-1997 $ 4,569,631 $ 4,677,943 $ 4,774,074 May-1997 $ 5,038,019 $ 5,198,598 $ 5,282,991 Jun-1997 $ 5,273,798 $ 5,421,617 $ 5,581,480 Jul-1997 $ 5,613,431 $ 5,673,723 $ 5,917,485 Aug-1997 $ 5,725,699 $ 5,803,651 $ 6,062,463 Sep-1997 $ 6,082,983 $ 6,228,478 $ 6,517,148 Oct-1997 $ 5,827,498 $ 5,955,048 $ 6,257,766 Nov-1997 $ 5,853,721 $ 5,916,340 $ 6,177,666 Dec-1997 $ 5,935,673 $ 6,019,876 $ 6,170,871 Jan-1998 $ 5,760,571 $ 5,924,762 $ 6,080,776 Feb-1998 $ 6,301,489 $ 6,362,602 $ 6,535,010 Mar-1998 $ 6,631,056 $ 6,624,741 $ 6,842,809 Apr-1998 $ 6,578,008 $ 6,661,177 $ 6,908,500 May-1998 $ 6,224,111 $ 6,302,140 $ 6,549,949 Jun-1998 $ 6,183,654 $ 6,315,374 $ 6,526,369 Jul-1998 $ 5,646,913 $ 5,803,829 $ 6,055,818 Aug-1998 $ 4,537,859 $ 4,676,725 $ 4,885,228 Sep-1998 $ 4,847,795 $ 5,042,913 $ 5,090,896 Oct-1998 $ 4,994,683 $ 5,248,664 $ 5,299,623 Nov-1998 $ 5,239,423 $ 5,523,694 $ 5,595,342 Dec-1998 $ 5,622,425 $ 5,865,611 $ 5,946,729 Jan-1999 $ 5,631,421 $ 5,943,623 $ 5,902,129 Feb-1999 $ 5,144,866 $ 5,462,190 $ 5,419,925 Mar-1999 $ 5,348,603 $ 5,547,400 $ 5,444,315 Apr-1999 $ 5,635,823 $ 6,044,447 $ 5,811,806 May-1999 $ 5,552,412 $ 6,132,696 $ 5,932,110 Jun-1999 $ 5,969,399 $ 6,409,894 $ 6,274,986 Jul-1999 $ 5,941,342 $ 6,234,263 $ 6,240,474 Aug-1999 $ 5,853,411 $ 6,003,595 $ 6,011,448 Sep-1999 $ 6,020,233 $ 6,004,796 $ 6,006,639 Oct-1999 $ 6,294,153 $ 6,028,815 $ 6,058,897 Nov-1999 $ 7,092,252 $ 6,388,735 $ 6,449,696 Dec-1999 $ 8,112,827 $ 7,111,940 $ 7,145,618 Jan-2000 $ 8,071,452 $ 6,997,438 $ 7,008,422 Feb-2000 $ 9,658,299 $ 8,152,714 $ 7,996,610 Mar-2000 $ 8,786,155 $ 7,615,451 $ 7,883,058 Apr-2000 $ 7,533,249 $ 7,157,000 $ 7,444,760 May-2000 $ 7,008,935 $ 6,739,747 $ 7,128,358 Jun-2000 $ 8,159,101 $ 7,327,453 $ 7,757,079 Jul-2000 $ 7,746,251 $ 7,091,509 $ 7,515,834 Aug-2000 $ 8,633,196 $ 7,632,591 $ 8,185,494 Sep-2000 $ 8,396,647 $ 7,408,193 $ 7,975,127 Oct-2000 $ 7,792,928 $ 7,077,788 $ 7,735,076 Nov-2000 $ 6,599,051 $ 6,351,607 $ 6,964,662 Dec-2000 $ 7,335,505 $ 6,897,210 $ 7,640,931 Jan-2001 $ 7,436,002 $ 7,256,554 $ 7,912,948 Feb-2001 $ 6,661,914 $ 6,780,525 $ 7,410,476 Mar-2001 $ 6,178,925 $ 6,448,957 $ 7,059,960 Apr-2001 $ 6,809,793 $ 6,953,265 $ 7,622,639 May-2001 $ 7,074,694 $ 7,124,316 $ 7,900,103 Jun-2001 $ 7,207,699 $ 7,370,104 $ 8,144,217 Jul-2001 $ 6,814,879 $ 6,971,382 $ 7,955,271 Aug-2001 $ 6,506,847 $ 6,746,206 $ 7,732,523 Sep-2001 $ 5,578,320 $ 5,838,167 $ 6,719,563 Oct-2001 $ 5,880,664 $ 6,179,700 $ 7,118,705 Nov-2001 $ 6,289,371 $ 6,658,008 $ 7,647,624 Dec-2001 $ 6,685,601 $ 7,068,807 $ 8,184,488 Jan-2002 $ 6,547,209 $ 6,995,292 $ 8,087,911 Feb-2002 $ 6,424,776 $ 6,803,621 $ 7,871,963 Mar-2002 $ 6,919,484 $ 7,350,632 $ 8,476,530 Apr-2002 $ 6,860,668 $ 7,417,523 $ 8,518,065 May-2002 $ 6,573,206 $ 7,088,185 $ 8,200,341 Jun-2002 $ 6,237,973 $ 6,736,611 $ 7,741,122 Jul-2002 $ 5,370,271 $ 5,719,383 $ 6,689,104 Aug-2002 $ 5,423,437 $ 5,704,512 $ 6,724,556 Sep-2002 $ 5,093,149 $ 5,294,928 $ 6,248,457 Oct-2002 $ 5,173,112 $ 5,464,895 $ 6,470,278 Nov-2002 $ 5,514,020 $ 5,952,364 $ 6,947,784 Dec-2002 $ 5,323,786 $ 5,620,817 $ 6,610,122 Jan-2003 $ 5,088,475 $ 5,465,121 $ 6,417,106 Feb-2003 $ 4,852,878 $ 5,300,074 $ 6,216,893 Mar-2003 $ 4,874,231 $ 5,368,445 $ 6,269,115 Apr-2003 $ 5,296,827 $ 5,877,374 $ 6,791,332 May-2003 $ 5,853,523 $ 6,508,016 $ 7,387,611 Jun-2003 $ 5,999,230 $ 6,625,811 $ 7,557,526
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 11/4/93. Returns for the Institutional Shares prior to 9/10/01 (offering date of the Institutional Shares) are calculated using the historical expenses of the J.P. Morgan Institutional U.S. Small Company Fund, which are similar to the expenses of the Institutional Shares. The returns presented prior to 11/4/93 are based on historical expenses of the J.P. Morgan U.S. Small Company Fund, which are higher than the expenses of the Institutional Shares. Returns for the Select Shares prior to 9/10/01 (offering date of the Select Shares) are calculated using the historical expenses of the J.P. Morgan U.S. Small Company Fund, which are similar to the expenses of the Select Shares. The graph illustrates comparative performance for $3,000,000 invested in Institutional Shares of the JPMorgan U.S. Small Company Fund, Russell 2000 Index, and Lipper Small-Cap Core Funds Index from June 30, 1993 to June 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 2000 Index is an unmanaged, capitalization weighted price only index, which is comprised of 2000 of the smallest stocks (on the basis of capitalization) in the Russell 3000 Index. The Lipper Small-Cap Core Funds Index represents the total returns of the funds in the indicated category, as defined by Lipper, Inc. Investors cannot invest directly in an index. Institutional Shares have a $3,000,000 minimum initial deposit and carry no sales charge. Certain fees and expenses of the Fund are currently being waived and reimbursed as described in the prospectus. Had the expenses not been subsidized or waived, returns would have been lower. Also all performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares. 26 JPMORGAN U.S. SMALL COMPANY OPPORTUNITIES FUND AS OF JUNE 30, 2003 (Unaudited) FUND FACTS Fund Inception 6/16/1997 Fiscal Year End DECEMBER 31 Net Assets as of 6/30/2003 (In Millions) $18.7 Primary Benchmark RUSSELL 2000 GROWTH INDEX
Q: HOW DID THE FUND PERFORM? A: JPMorgan U.S. Small Company Opportunities Fund, which seeks long-term growth from small-cap stocks, rose 8.24% (Select Shares) during the six months ended June 30, 2003. This compares with a gain of 19.32% for the Russell 2000 Growth Index. Q: WHY DID THE FUND PERFORM THIS WAY? A: Although we made up significant absolute performance during the second quarter, we still trailed the benchmark during this period. However, a disappointing first quarter was the primary reason for our underperformance year-to-date, relative to the Russell 2000 Growth Index. Focusing on the second quarter bull market in equities, investors shrugged off mixed earnings results and added risk across their portfolios. This was due, in large part, to their relief that the war with Iraq was officially over and the aligned perception that the economy was improving, or soon would be. Both growth and value stocks did well, with the Russell 2000 Growth index returning 19.32% and the Russell 2000 Value index returning 16.49%, during the first half of this year. Although the growth side of the Russell 2000 has outperformed over the last three, six and twelve months, the spread is not that significant when compared to the 1998-2001 period, when the performance of each style varied considerably. Although we certainly would have benefited from owning the lesser quality and less liquid stocks (micro cap & non-earners) that drove much of the absolute performance of the Russell 2000 Index during this period, we instead consciously focused on overlooked and mis-priced companies with real earnings potential, as we had since the beginning of the year. Stock selection was the primary reason the portfolio underperformed the index over the first half. Stock decisions within the basic materials, energy and insurance sectors added to performance. However, stock picks within the software, pharmaceutical and consumer cyclical sectors had a significant negative impact on the portfolio. On a stock specific level, the main contributors to performance were Atherogenics Inc., Netbank Inc. and WR Berkley Corp. Atherogenics outperformed as its lead drug for treating heart inflammation, which has significant commercialization potential, entered phase III trials on a promising note. Netbank continued to execute well, as mortgage origination volume remained strong in the face of low interest rates. WR Berkley, a property casualty insurer, outperformed on the strength of its insurance premiums. The main detractors to performance included First Horizon Pharmaceuticals, Alloy Online Inc. and Monolithic Systems Technologies. First Horizon significantly underperformed, as the company was unable to grow its lead product, Sular, a hypertension product. Alloy Online, a catalog retailer and advertising company, missed earnings due to higher expenses in its retail business. The shares of the semiconductor company Monolithic Systems' declined when its major customer, Nintendo, slashed the sales forecast for its Gamecube. Q: HOW WAS THE FUND MANAGED? A: We have been managing the portfolio for an upturn in the economy all year. Although we have been a bit early, we are starting to see positive signs of a recovery. We still hold names in cyclical stocks as valuations remain cheap. We aggressively trimmed companies and sectors where we have seen outsized returns and mixed earnings picture such as pharmaceuticals (biotech) and software. Also, we've been gradually reducing our holdings in companies with mortgage exposure and redeploying money slowly into asset sensitive banks. 27 [CHART] PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS Technology 24.4% Consumer Goods & Services 17.8% Finance & Insurance 11.4% Short-Term Investments 9.9% Industrial Products & Services 9.9% Health Services & Systems 9.7% Pharmaceuticals 8.7% Energy 6.3% Utilities 0.8% Telecommunications 0.6% REITs 0.5%
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO 1. eSpeed, Inc., Class A 2.0% 2. W.R. Berkley Corp. 1.9% 3. Crown Holdings, Inc. 1.8% 4. NetBank, Inc. 1.6% 5. AtheroGenics, Inc. 1.5% 6. Global Imaging Systems, Inc. 1.5% 7. Omnicare, Inc. 1.5% 8. Serena Software, Inc. 1.5% 9. EMCOR Group, Inc. 1.5% 10. Maxtor Corp. 1.4%
Top 10 equity holdings comprised 16.2% of the Portfolio's market value of investments ($3,037 in thousands). As of June 30, 2003 the Fund held 148 equity holdings. Portfolio holdings are subject to change at any time. 28 SEMI-ANNUAL REPORT JUNE 30 2003 (Unaudited) AVERAGE ANNUAL TOTAL RETURNS
SINCE INCEPTION 1 YEAR 3 YEARS 5 YEARS (6/16/97) ------------------------------------------- SELECT SHARES (7.52%) (24.95%) (7.40%) (2.41%)
[CHART] LIFE OF FUND FUND PERFORMANCE (06/16/97 TO 06/30/03)
JPMORGAN U.S. SMALL COMPANY LIPPER SMALL-CAP OPPORTUNITIES FUND (SELECT SHARES) RUSSELL 2000 GROWTH INDEX GROWTH FUNDS INDEX Jun-1997 $ 1,000,000 $ 1,000,000 $ 1,000,000 Jun-1997 $ 1,028,000 $ 1,000,000 $ 1,000,000 Jul-1997 $ 1,092,970 $ 1,051,200 $ 1,060,200 Aug-1997 $ 1,114,938 $ 1,082,736 $ 1,077,057 Sep-1997 $ 1,222,976 $ 1,169,138 $ 1,167,745 Oct-1997 $ 1,151,921 $ 1,098,873 $ 1,108,074 Nov-1997 $ 1,136,946 $ 1,072,720 $ 1,083,031 Dec-1997 $ 1,183,902 $ 1,073,364 $ 1,068,627 Jan-1998 $ 1,182,955 $ 1,059,088 $ 1,052,811 Feb-1998 $ 1,288,947 $ 1,152,605 $ 1,137,878 Mar-1998 $ 1,363,964 $ 1,200,899 $ 1,189,310 Apr-1998 $ 1,360,963 $ 1,208,225 $ 1,197,992 May-1998 $ 1,256,986 $ 1,120,508 $ 1,113,175 Jun-1998 $ 1,268,047 $ 1,131,937 $ 1,145,791 Jul-1998 $ 1,186,005 $ 1,037,420 $ 1,059,627 Aug-1998 $ 905,040 $ 797,984 $ 828,205 Sep-1998 $ 1,012,016 $ 878,899 $ 872,513 Oct-1998 $ 1,045,008 $ 924,778 $ 906,890 Nov-1998 $ 1,131,012 $ 996,540 $ 980,621 Dec-1998 $ 1,245,696 $ 1,086,727 $ 1,078,879 Jan-1999 $ 1,303,248 $ 1,135,630 $ 1,104,988 Feb-1999 $ 1,189,213 $ 1,031,720 $ 998,688 Mar-1999 $ 1,229,290 $ 1,068,449 $ 1,043,829 Apr-1999 $ 1,274,528 $ 1,162,793 $ 1,084,538 May-1999 $ 1,250,949 $ 1,164,654 $ 1,090,503 Jun-1999 $ 1,389,679 $ 1,226,031 $ 1,192,574 Jul-1999 $ 1,384,537 $ 1,188,147 $ 1,188,400 Aug-1999 $ 1,361,969 $ 1,143,710 $ 1,171,762 Sep-1999 $ 1,412,362 $ 1,165,784 $ 1,214,297 Oct-1999 $ 1,485,381 $ 1,195,628 $ 1,285,091 Nov-1999 $ 1,688,879 $ 1,322,005 $ 1,447,269 Dec-1999 $ 2,013,650 $ 1,555,075 $ 1,739,039 Jan-2000 $ 2,083,524 $ 1,540,613 $ 1,720,953 Feb-2000 $ 2,616,906 $ 1,899,113 $ 2,225,192 Mar-2000 $ 2,220,183 $ 1,699,517 $ 2,050,514 Apr-2000 $ 1,849,190 $ 1,527,865 $ 1,797,071 May-2000 $ 1,634,314 $ 1,394,024 $ 1,650,070 Jun-2000 $ 2,042,403 $ 1,574,132 $ 1,940,648 Jul-2000 $ 1,863,488 $ 1,439,229 $ 1,814,312 Aug-2000 $ 2,193,512 $ 1,590,636 $ 2,009,350 Sep-2000 $ 2,084,494 $ 1,511,582 $ 1,909,887 Oct-2000 $ 1,851,239 $ 1,388,841 $ 1,766,646 Nov-2000 $ 1,401,018 $ 1,136,628 $ 1,465,786 Dec-2000 $ 1,577,967 $ 1,206,189 $ 1,595,362 Jan-2001 $ 1,607,475 $ 1,303,770 $ 1,644,020 Feb-2001 $ 1,341,277 $ 1,125,023 $ 1,433,585 Mar-2001 $ 1,155,510 $ 1,022,758 $ 1,294,384 Apr-2001 $ 1,349,173 $ 1,147,944 $ 1,434,178 May-2001 $ 1,380,879 $ 1,174,576 $ 1,473,044 Jun-2001 $ 1,385,436 $ 1,206,642 $ 1,510,165 Jul-2001 $ 1,261,994 $ 1,103,716 $ 1,426,049 Aug-2001 $ 1,179,333 $ 1,034,733 $ 1,341,627 Sep-2001 $ 940,282 $ 867,727 $ 1,132,199 Oct-2001 $ 1,021,805 $ 951,203 $ 1,215,189 Nov-2001 $ 1,123,781 $ 1,030,628 $ 1,309,366 Dec-2001 $ 1,187,274 $ 1,094,836 $ 1,388,713 Jan-2002 $ 1,119,244 $ 1,055,860 $ 1,346,774 Feb-2002 $ 1,040,001 $ 987,546 $ 1,265,294 Mar-2002 $ 1,138,593 $ 1,073,364 $ 1,368,796 Apr-2002 $ 1,085,307 $ 1,050,179 $ 1,332,659 May-2002 $ 1,011,723 $ 988,744 $ 1,279,220 Jun-2002 $ 933,517 $ 904,898 $ 1,184,174 Jul-2002 $ 796,477 $ 765,815 $ 1,016,258 Aug-2002 $ 808,902 $ 765,433 $ 1,014,733 Sep-2002 $ 761,338 $ 710,168 $ 953,241 Oct-2002 $ 780,600 $ 746,103 $ 993,944 Nov-2002 $ 836,101 $ 820,042 $ 1,077,237 Dec-2002 $ 797,557 $ 763,459 $ 1,005,277 Jan-2003 $ 752,255 $ 742,693 $ 978,738 Feb-2003 $ 703,509 $ 722,863 $ 948,201 Mar-2003 $ 722,785 $ 733,778 $ 967,734 Apr-2003 $ 768,104 $ 803,193 $ 1,047,669 May-2003 $ 850,829 $ 893,713 $ 1,154,531 Jun-2003 $ 863,104 $ 910,962 $ 1,193,670
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 6/16/97. Returns for the Select Shares prior to 9/10/01 (offering date of the Select Shares) are calculated using the historical expenses of the J.P. Morgan U.S. Small Company Opportunities Fund, which are similar to the expenses of the Select Shares. The graph illustrates comparative performance for $1,000,000 invested in Select Shares of the JPMorgan U.S. Small Company Opportunities Fund, Russell 2000 Growth Index, and Lipper Small-Cap Growth Funds Index from June 16, 1997 to June 30, 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 2000 Growth measures the performance of those Russell 2000 companies with higher price-to-book ratios and higher forecasted growth rates. The Lipper Small-Cap Growth Funds Index represents the total returns of the funds in the indicated category, as defined by Lipper, Inc. Investors cannot invest directly in an index. Select Shares have a $1,000,000 minimum initial deposit and carry no sales charge. Certain fees and expenses of the Fund are currently being waived and reimbursed as described in the prospectus. Had the expenses not been subsidized or waived, returns would have been lower. Also all performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares. 29 JPMORGAN DYNAMIC SMALL CAP FUND PORTFOLIO OF INVESTMENTS (Unaudited) (Amounts in thousands) AS OF JUNE 30, 2003
SHARES ISSUER VALUE - -------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- 99.3% COMMON STOCKS -- 99.3% AEROSPACE -- 2.6% 40 Alliant Techsystems, Inc.* $ 2,074 46 Engineered Support Systems, Inc. 1,919 --------------------------------------------------------------------- 3,993 --------------------------------------------------------------------- AIRLINES -- 0.6% 71 Atlantic Coast Airlines Holdings, Inc.* 958 APPAREL -- 1.1% 34 Coach, Inc.* 1,691 AUTOMOTIVE -- 3.2% 44 Gentex Corp.* 1,358 30 Lithia Motors, Inc., Class A* 479 59 O'Reilly Automotive, Inc.* 1,976 28 Winnebago Industries, Inc. (l) 1,065 --------------------------------------------------------------------- 4,878 --------------------------------------------------------------------- BANKING -- 6.7% 46 CVB Financial Corp. 894 55 East-West Bancorp, Inc. 1,977 50 FNB Corp. 1,521 49 Pacific Northwest Bancorp. 1,696 40 Texas Regional Bancshares, Class A 1,387 53 UCBH Holdings, Inc. 1,526 62 Umpqua Holdings Corp. 1,179 --------------------------------------------------------------------- 10,180 --------------------------------------------------------------------- BIOTECHNOLOGY -- 1.4% 31 InterMune, Inc.* 501 38 Martek Biosciences Corp.* 1,640 --------------------------------------------------------------------- 2,141 --------------------------------------------------------------------- BROADCASTING/CABLE -- 0.9% 115 Entravision Communications Corp., Class A* 1,310 BUSINESS SERVICES -- 2.7% 49 Fair Isaac Corp. 2,511 44 Iron Mountain, Inc.* 1,645 --------------------------------------------------------------------- 4,156 --------------------------------------------------------------------- CHEMICALS -- 1.4% 43 Cabot Microelectronics Corp.* (l) $ 2,163 COMPUTER NETWORKS -- 2.0% 70 Avocent Corp.* 2,081 40 Cerner Corp.* (l) 916 --------------------------------------------------------------------- 2,997 --------------------------------------------------------------------- COMPUTER SOFTWARE -- 8.5% 80 Ansys, Inc.* (l) 2,484 24 BARRA, Inc.* 864 17 Kronos, Inc.* 874 52 Manhattan Associates, Inc.* (l) 1,344 37 National Instruments Corp.* 1,398 99 Pinnacle Systems, Inc.* 1,060 41 Progress Software Corp.* 844 156 RSA Security, Inc.,* 1,681 71 Serena Software, Inc.* 1,482 50 THQ, Inc.* (l) 905 --------------------------------------------------------------------- 12,936 --------------------------------------------------------------------- COMPUTERS/COMPUTER HARDWARE -- 1.1% 22 Zebra Technologies Corp., Class A* 1,669 CONSTRUCTION -- 1.3% 3 NVR, Inc.* 1,027 34 Toll Brothers, Inc.* 963 --------------------------------------------------------------------- 1,990 --------------------------------------------------------------------- CONSUMER PRODUCTS -- 2.4% 21 Ethan Allen Interiors, Inc. (l) 731 49 Fossil, Inc.* 1,150 22 Harman International Industries, Inc. 1,757 --------------------------------------------------------------------- 3,638 --------------------------------------------------------------------- CONSUMER SERVICES -- 4.8% 46 Career Education Corp.* 3,133 41 Education Management Corp.* 2,202 70 Regis Corp. 2,019 --------------------------------------------------------------------- 7,354 ---------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 30 SEMI-ANNUAL REPORT JUNE 30, 2003
SHARES ISSUER VALUE - -------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED ELECTRONICS/ELECTRICAL EQUIPMENT -- 2.5% 16 Amphenol Corp., Class A* (l) $ 763 73 Itron, Inc.* 1,564 41 Varian, Inc.* 1,435 --------------------------------------------------------------------- 3,762 --------------------------------------------------------------------- ENTERTAINMENT/LEISURE -- 1.0% 77 Penn National Gaming, Inc.* 1,580 ENVIRONMENTAL SERVICES -- 1.5% 34 Stericycle, Inc.* 1,308 30 Waste Connections, Inc.* 1,036 --------------------------------------------------------------------- 2,344 --------------------------------------------------------------------- FOOD/BEVERAGE PRODUCTS -- 1.6% 41 Performance Food Group Co.* 1,532 34 United Natural Foods, Inc.* 957 --------------------------------------------------------------------- 2,489 --------------------------------------------------------------------- HEALTH CARE/HEALTH CARE SERVICES -- 12.7% 44 Advanced Neuromodulation Systems, Inc.* 2,298 39 ICU Medical, Inc.* (l) 1,199 49 Idexx Laboratories, Inc.* 1,644 55 Mid Atlantic Medical Services* 2,860 83 Odyssey Healthcare, Inc.* 3,063 50 Pediatrix Medical Group, Inc.* (l) 1,791 30 Respironics, Inc.* 1,111 19 SurModics, Inc.* (l) 586 25 TECHNE Corp.* 763 28 Varian Medical Systems, Inc.* 1,618 93 VCA Antech, Inc.* (l) 1,824 40 Wright Medical Group, Inc.* 766 --------------------------------------------------------------------- 19,523 --------------------------------------------------------------------- HOTELS/OTHER LODGING -- 0.6% 64 Extended Stay America, Inc.* 858 INSURANCE -- 1.0% 56 ProAssurance Corp.* 1,506 MACHINERY & ENGINEERING EQUIPMENT -- 1.9% 53 Graco, Inc. 1,702 51 Lindsay Manufacturing Co. 1,173 --------------------------------------------------------------------- 2,875 --------------------------------------------------------------------- MANUFACTURING -- 1.0% 40 Clarcor, Inc. $ 1,538 MULTI-MEDIA -- 2.1% 65 Lin TV Corp., Class A* 1,540 90 Radio One, Inc.* (l) 1,603 --------------------------------------------------------------------- 3,143 --------------------------------------------------------------------- OIL & GAS -- 9.0% 33 Evergreen Resources, Inc.* 1,766 62 Hydril Co.* 1,679 144 Key Energy Services, Inc.* 1,538 33 Pogo Producing Co. 1,389 92 Pride International, Inc.* 1,739 62 Spinnaker Exploration Co.* 1,627 44 Varco International, Inc.* 870 82 W-H Energy Services, Inc.* 1,597 68 Westport Resources Corp.* 1,549 --------------------------------------------------------------------- 13,754 --------------------------------------------------------------------- PHARMACEUTICALS -- 5.4% 61 Celgene Corp.* 1,844 40 Medicines Co.* 780 24 Medicis Pharmaceutical Corp., Class A 1,344 80 NBTY, Inc.* 1,683 17 Neurocrine Biosciences, Inc.* 824 38 Pharmaceutical Resources, Inc. 1,848 --------------------------------------------------------------------- 8,323 --------------------------------------------------------------------- REAL ESTATE INVESTMENT TRUST -- 0.5% 19 Pan Pacific Retail Properties, Inc. 756 RESTAURANTS/FOOD SERVICES -- 3.8% 49 P.F. Chang's China Bistro, Inc.* (l) 2,401 49 Panera Bread Co., Class A* (l) 1,952 58 Sonic Corp.* 1,467 --------------------------------------------------------------------- 5,820 --------------------------------------------------------------------- RETAILING -- 4.4% 47 Aeropostale, Inc.* 1,016 59 Hot Topic, Inc.* 1,593 83 Pier 1 Imports, Inc. 1,689 61 The J. Jill Group, Inc.* 1,021
SEE NOTES TO FINANCIAL STATEMENTS. 31
SHARES ISSUER VALUE - -------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED - -------------------------------------------------------------------------------- RETAILING -- CONTINUED 68 Too, Inc.* $ 1,377 --------------------------------------------------------------------- 6,696 --------------------------------------------------------------------- SEMI-CONDUCTORS -- 4.4% 34 Cymer, Inc.* (l) 1,088 66 Power Integrations, Inc.* 1,599 74 Rudolph Technologies, Inc.* (l) 1,180 86 Semtech Corp.* 1,222 24 Silicon Laboratories, Inc.* 631 33 Varian Semiconductor Equipment Associates, Inc.* 967 --------------------------------------------------------------------- 6,687 --------------------------------------------------------------------- SHIPPING/TRANSPORTATION -- 1.0% 44 C.H. Robinson Worldwide, Inc. 1,550 TELECOMMUNICATIONS EQUIPMENT -- 0.2% 77 C-COR.net Corp.* 377 TOYS & GAMES -- 0.4% 36 RC2 Corp.* 604 TRANSPORTATION -- 2.9% 101 Heartland Express, Inc.* 2,237 39 Knight Transportation, Inc.* 959 64 Pacer International, Inc.* 1,213 --------------------------------------------------------------------- 4,409 --------------------------------------------------------------------- UTILITIES -- 0.7% 38 American States Water Co. 1,050 Total Common Stocks 151,698 (Cost $126,977) --------------------------------------------------------------------- SHORT-TERM INVESTMENT -- 0.7% MONEY MARKET FUND -- 0.7% 1,038 JPMorgan Prime Money Market Fund (a) $ 1,038 (Cost $1,038) --------------------------------------------------------------------- Total Investments -- 100.0% $ 152,736 (Cost $128,015) ---------------------------------------------------------------------
SHARES COLLATERAL INVESTMENTS VALUE - -------------------------------------------------------------------------------- MONEY MARKET FUNDS (c) 6,516 Merrill Lynch Premier Institution Money Market Fund $ 6,516 6,516 Reserve Primary Money Market Fund 6,516 Cash 965 --------------------------------------------------------------------- $ 13,997 ---------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 32 JPMORGAN MID CAP EQUITY FUND PORTFOLIO OF INVESTMENTS (Unaudited) (Amounts in thousands) AS OF JUNE 30, 2003
SHARES ISSUER VALUE - -------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- 97.5% COMMON STOCKS -- 97.5% AGRICULTURAL PRODUCTION/SERVICES -- 0.4% 20 UST, Inc. $ 701 AIRLINES -- 0.4% 33 SkyWest, Inc. 620 APPAREL -- 1.9% 28 Columbia Sportswear Co.* 1,414 48 VF Corp. 1,620 --------------------------------------------------------------------- 3,034 --------------------------------------------------------------------- AUTOMOTIVE -- 1.0% 30 Genuine Parts Co. 961 11 Polaris Industries, Inc. (l) 675 --------------------------------------------------------------------- 1,636 --------------------------------------------------------------------- BANKING -- 7.8% 38 Banknorth Group, Inc. 970 26 BB&T Corp. 902 5 BOK Financial Corp.* 185 30 Compass Bancshares, Inc. 1,048 30 Cullen/Frost Bankers, Inc. 969 18 M&T Bank Corp. 1,482 20 New York Community Bancorp, Inc. 582 50 North Fork Bancorporation, Inc. 1,704 37 TCF Financial Corp. 1,468 39 Washington Federal, Inc. 900 19 Webster Financial Corp. 699 52 Wilmington Trust Corp. 1,529 --------------------------------------------------------------------- 12,438 --------------------------------------------------------------------- BIOTECHNOLOGY -- 2.4% 12 Biogen, Inc.* 448 15 Gilead Sciences, Inc.* (l) 848 15 ICOS Corp.* (l) 566 28 MedImmune, Inc.* 1,018 17 Myriad Genetics, Inc.* 234 23 Pharmaceutical Product Development, Inc.* 648 --------------------------------------------------------------------- 3,762 --------------------------------------------------------------------- BROADCASTING/CABLE -- 1.0% 8 EchoStar Communications Corp., Class A* 287 57 Mediacom Communications Corp.* 567 24 Univision Communications, Inc., Class A* (l) 744 --------------------------------------------------------------------- 1,598 --------------------------------------------------------------------- BUSINESS SERVICES -- 5.6% 12 ChoicePoint, Inc.* (l) $ 419 10 Cintas Corp. 347 14 CSG Systems International, Inc.* 198 62 Deluxe Corp. 2,769 48 Equifax, Inc. 1,257 14 Fair Isaac Corp. 715 18 Hewitt Associates, Inc., Class A* 426 59 IMS Health, Inc. 1,052 14 Iron Mountain, Inc.* 512 18 Moody's Corp. 936 12 SunGard Data Systems, Inc.* 321 --------------------------------------------------------------------- 8,952 --------------------------------------------------------------------- CHEMICALS -- 0.6% 9 Sigma-Aldrich Corp. 471 12 Valspar Corp. 499 --------------------------------------------------------------------- 970 --------------------------------------------------------------------- COMPUTER NETWORKS -- 0.8% 39 Juniper Networks, Inc.* 487 50 Network Appliance, Inc.* 809 --------------------------------------------------------------------- 1,296 --------------------------------------------------------------------- COMPUTER SOFTWARE -- 3.8% 17 Adobe Systems, Inc. 542 16 Affiliated Computer Services, Inc., Class A* 732 32 BEA Systems, Inc.* 349 21 BMC Software, Inc.* 344 37 Computer Associates International, Inc. 820 13 Electronic Arts, Inc.* 962 8 Intuit, Inc.* 356 27 Macromedia, Inc.* 563 12 Mercury Interactive Corp.* 448 16 National Instruments Corp.* 587 14 VERITAS Software Corp.* 388 --------------------------------------------------------------------- 6,091 --------------------------------------------------------------------- COMPUTERS/COMPUTER HARDWARE -- 1.7% 28 Apple Computer, Inc.* 542 14 Emulex Corp.* 314 9 Lexmark International, Inc.* 616 17 Tech Data Corp.* 450
SEE NOTES TO FINANCIAL STATEMENTS. 33
SHARES ISSUER VALUE - -------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED COMPUTERS/COMPUTER HARDWARE -- CONTINUED 10 Zebra Technologies Corp., Class A* $ 745 --------------------------------------------------------------------- 2,667 --------------------------------------------------------------------- CONSTRUCTION -- 1.5% 111 Clayton Homes, Inc. 1,390 1 Lennar Corp., B Shares 85 12 Lennar Corp., Class A 883 --------------------------------------------------------------------- 2,358 --------------------------------------------------------------------- CONSTRUCTION MATERIALS -- 1.6% 45 Florida Rock Industries, Inc. 1,870 19 Vulcan Materials Co. 701 --------------------------------------------------------------------- 2,571 --------------------------------------------------------------------- CONSUMER PRODUCTS -- 0.4% 12 Fortune Brands, Inc. 637 CONSUMER SERVICES -- 0.7% 41 Interactive Data Corp.* 698 10 Weight Watchers International, Inc.* 462 --------------------------------------------------------------------- 1,160 --------------------------------------------------------------------- ELECTRONICS/ELECTRICAL EQUIPMENT -- 1.2% 15 Amphenol Corp., Class A* (l) 698 22 Jabil Circuit, Inc.* 495 60 Vishay Intertechnology, Inc.* 793 --------------------------------------------------------------------- 1,986 --------------------------------------------------------------------- ENTERTAINMENT/LEISURE -- 0.4% 6 International Game Technology* 655 ENVIRONMENTAL SERVICES -- 1.2% 85 Republic Services, Inc.* 1,927 FINANCIAL SERVICES -- 4.2% 13 A.G. Edwards, Inc. 450 25 Charter One Financial, Inc. 780 22 Golden West Financial Corp. 1,728 11 H & R Block, Inc. 484 10 Legg Mason, Inc. 650 67 T. Rowe Price Group, Inc. 2,525 --------------------------------------------------------------------- 6,617 --------------------------------------------------------------------- FOOD/BEVERAGE PRODUCTS -- 2.4% 6 Brown-Forman Corp., Class B $ 455 29 Dean Foods Co.* 926 48 Del Monte Foods Co.* 426 45 Hormel Foods Corp. 1,066 19 McCormick & Co., Inc. 517 12 The J.M. Smucker Co. 472 --------------------------------------------------------------------- 3,862 --------------------------------------------------------------------- HEALTH CARE/HEALTH CARE SERVICES -- 9.3% 12 Aetna, Inc. 728 15 Anthem, Inc.* 1,130 41 Caremark Rx, Inc.* 1,058 36 Dentsply International, Inc. 1,487 33 Health Management Associates, Inc., Class A 609 28 Laboratory Corp. of America Holdings* 841 34 Lincare Holdings, Inc.* 1,078 13 Manor Care, Inc.* (l) 327 49 Omnicare, Inc. 1,661 13 Renal Care Group, Inc.* 458 18 Steris Corp.* 420 14 Stryker Corp. 964 25 Triad Hospitals, Inc.* 613 12 Varian Medical Systems, Inc.* 668 19 WellPoint Health Networks, Inc.* 1,635 20 Zimmer Holdings, Inc.* 915 --------------------------------------------------------------------- 14,592 --------------------------------------------------------------------- INSURANCE -- 4.0% 12 Cincinnati Financial Corp. 452 19 HCC Insurance Holdings, Inc. 571 45 IPC Holdings LTD (Bermuda) 1,508 11 John Hancock Financial Services, Inc. 350 32 MGIC Investment Corp. 1,492 13 Principal Financial Group, Inc. 410 44 SAFECO Corp. 1,549 --------------------------------------------------------------------- 6,332 --------------------------------------------------------------------- INTERNET SERVICES/SOFTWARE -- 0.9% 12 CheckFree Corp.* 329 9 Expedia, Inc.* (l) 649 11 Symantec Corp.* 469 --------------------------------------------------------------------- 1,447 ---------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 34 SEMI-ANNUAL REPORT JUNE 30 2003
SHARES ISSUER VALUE - -------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED MACHINERY & ENGINEERING EQUIPMENT -- 0.4% 18 IDEX Corp. $ 660 MANUFACTURING -- 1.7% 7 Carlisle Companies, Inc. 295 25 Cooper Industries LTD, Class A 1,032 43 Crane Co. 973 13 Harsco Corp. 469 --------------------------------------------------------------------- 2,769 --------------------------------------------------------------------- MULTI-MEDIA -- 3.6% 25 Cox Radio, Inc., Class A* 567 25 Gannett Co., Inc. 1,920 11 Knight Ridder, Inc. 751 27 The E.W. Scripps Co., Class A 2,405 --------------------------------------------------------------------- 5,643 --------------------------------------------------------------------- OIL & GAS -- 5.5% 28 Burlington Resources, Inc. 1,525 45 Devon Energy Corp. 2,402 18 Equitable Resources, Inc. 750 24 FMC Technologies, Inc.* 500 20 Murphy Oil Corp. 1,052 12 Nabors Industries LTD (Barbados)* 469 12 Patterson-UTI Energy, Inc.* 395 17 Pioneer Natural Resources Co.* 453 25 Premcor, Inc.* 528 14 Talisman Energy, Inc. (Canada) 644 --------------------------------------------------------------------- 8,718 --------------------------------------------------------------------- PAPER/FOREST PRODUCTS -- 0.8% 18 Plum Creek Timber Co., Inc. 477 22 Rayonier, Inc. 733 --------------------------------------------------------------------- 1,210 --------------------------------------------------------------------- PHARMACEUTICALS -- 1.3% 8 AmerisourceBergen Corp. (l) 565 25 Andrx Corp.* 499 12 Medicis Pharmaceutical Corp., Class A 698 25 Vertex Pharmaceuticals, Inc.* 362 --------------------------------------------------------------------- 2,124 --------------------------------------------------------------------- PIPELINES -- 1.1% 33 Kinder Morgan, Inc. $ 1,793 PRINTING & PUBLISHING -- 0.5% 1 Washington Post Co., Class B 733 REAL ESTATE -- 1.1% 35 Brookfield Properties Corp. (Canada) 748 25 LNR Property Corp. 924 --------------------------------------------------------------------- 1,672 --------------------------------------------------------------------- REAL ESTATE INVESTMENT TRUST -- 3.8% 25 AMB Property Corp. 704 28 Equity Residential 727 29 Kimco Realty Corp. 1,080 20 Manufactured Home Communities, Inc. 702 37 PS Business Parks, Inc. 1,296 21 Public Storage, Inc. 694 20 Vornado Realty Trust 872 --------------------------------------------------------------------- 6,075 --------------------------------------------------------------------- RESTAURANTS/FOOD SERVICES -- 3.9% 35 Applebee's International, Inc. 1,100 29 CBRL Group, Inc. (l) 1,119 29 Darden Restaurants, Inc. 552 64 Outback Steakhouse, Inc. 2,512 16 Ruby Tuesday, Inc. 396 18 Yum! Brands, Inc.* 517 --------------------------------------------------------------------- 6,196 --------------------------------------------------------------------- RETAILING -- 6.2% 23 Abercrombie & Fitch Co., Class A* 648 10 Amazon.com, Inc.* 378 17 AutoZone, Inc.* 1,314 21 Bed Bath & Beyond, Inc.* 806 26 CarMax, Inc.* 785 22 CDW Corp.* 1,001 19 Family Dollar Stores 727 20 Fastenal Co. (l) 662 35 Foot Locker, Inc. 469 29 PETsMART, Inc.* 488 9 Ross Stores, Inc. 376 57 Staples, Inc.* 1,045
SEE NOTES TO FINANCIAL STATEMENTS. 35
SHARES ISSUER VALUE - -------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED RETAILING -- CONTINUED 38 The TJX Companies, Inc. $ 716 8 Whole Foods Market, Inc.* 377 --------------------------------------------------------------------- 9,792 --------------------------------------------------------------------- SEMI-CONDUCTORS -- 2.7% 41 Altera Corp.* 674 20 Intersil Corp., Class A* 531 21 KLA-Tencor Corp.* 993 28 MEMC Electronics Materials* 275 34 Microchip Technology, Inc. 841 25 Novellus Systems, Inc.* 912 --------------------------------------------------------------------- 4,226 --------------------------------------------------------------------- SHIPPING/TRANSPORTATION -- 0.4% 19 C.H. Robinson Worldwide, Inc. 688 TELECOMMUNICATIONS -- 3.1% 35 Alltel Corp. 1,696 40 CenturyTel, Inc. 1,394 30 Nextel Communications, Inc., Class A* (l) 541 25 Telephone & Data Systems, Inc. 1,243 --------------------------------------------------------------------- 4,874 --------------------------------------------------------------------- TELECOMMUNICATIONS EQUIPMENT -- 0.4% 51 Corning, Inc.* (l) 376 119 Lucent Technologies, Inc.* (l) 242 --------------------------------------------------------------------- 618 --------------------------------------------------------------------- TEXTILES -- 0.8% 23 Mohawk Industries, Inc.* 1,277 UTILITIES -- 5.0% 20 Dominion Resources, Inc. 1,253 41 Energy East Corp. 857 38 FirstEnergy Corp. 1,453 28 Nicor, Inc. 1,039 43 Pepco Holdings, Inc. 820 14 Pinnacle West Capital Corp. 513 44 SCANA Corp. 1,509 18 Sempra Energy 508 7,952 --------------------------------------------------------------------- Total Common Stocks 154,929 (Cost $133,373) --------------------------------------------------------------------- SHORT-TERM INVESTMENT -- 2.5% MONEY MARKET FUND -- 2.5% 4,012 JPMorgan Prime Money Market Fund (a) $ 4,012 (Cost $4,012) --------------------------------------------------------------------- Total Investments-- 100.0% $ 158,941 (Cost $137,385) --------------------------------------------------------------------- SHARES COLLATERAL INVESTMENTS VALUE - -------------------------------------------------------------------------------- MONEY MARKET FUNDS (c) 3,866 Merrill Lynch Premier Institution Money Market Fund $ 3,866 3,866 Reserve Primary Money Market Fund 3,866 --------------------------------------------------------------------- $ 7,732 ---------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 36 JPMORGAN MID CAP GROWTH FUND PORTFOLIO OF INVESTMENTS (Unaudited) (Amounts in thousands) AS OF JUNE 30, 2003
SHARES ISSUER VALUE - -------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- 99.0% COMMON STOCKS -- 99.0% AIRLINES -- 1.0% 30 SkyWest, Inc. $ 578 AUTOMOTIVE -- 1.1% 10 Polaris Industries, Inc. (l) 626 BANKING -- 2.0% 4 BOK Financial Corp.* 170 7 M&T Bank Corp. 592 10 TCF Financial Corp. 398 --------------------------------------------------------------------- 1,160 --------------------------------------------------------------------- BIOTECHNOLOGY -- 5.9% 11 Biogen, Inc.* 418 14 Gilead Sciences, Inc.* 795 14 ICOS Corp.* (l) 531 26 MedImmune, Inc.* 947 14 Myriad Genetics, Inc.* 184 21 Pharmaceutical Product Development, Inc.* 603 --------------------------------------------------------------------- 3,478 --------------------------------------------------------------------- BROADCASTING/CABLE -- 2.1% 56 Mediacom Communications Corp.* 549 23 Univision Communications, Inc., Class A* (l) 705 --------------------------------------------------------------------- 1,254 --------------------------------------------------------------------- BUSINESS SERVICES -- 7.3% 11 ChoicePoint, Inc.* 394 9 Cintas Corp. 310 24 CSG Systems International, Inc.* 338 22 Equifax, Inc. 576 13 Fair Isaac Corp. 669 17 Hewitt Associates, Inc., Class A* 399 13 Iron Mountain, Inc.* 464 16 Moody's Corp. 840 12 SunGard Data Systems, Inc.* 298 --------------------------------------------------------------------- 4,288 --------------------------------------------------------------------- COMPUTER NETWORKS -- 2.0% 37 Juniper Networks, Inc.* 456 45 Network Appliance, Inc.* 728 --------------------------------------------------------------------- 1,184 --------------------------------------------------------------------- COMPUTER SOFTWARE -- 8.2% 15 Adobe Systems, Inc. $ 486 14 Affiliated Computer Services, Inc., Class A* 661 30 BEA Systems, Inc.* 324 19 BMC Software, Inc.* 310 12 Electronic Arts, Inc.* 910 8 Intuit, Inc.* 334 25 Macromedia, Inc.* 527 11 Mercury Interactive Corp.* 405 14 National Instruments Corp.* 527 12 VERITAS Software Corp.* 351 --------------------------------------------------------------------- 4,835 --------------------------------------------------------------------- COMPUTERS/COMPUTER HARDWARE -- 3.3% 25 Apple Computer, Inc.* 487 13 Emulex Corp.* 287 15 Tech Data Corp.* 412 10 Zebra Technologies Corp., Class A* 733 --------------------------------------------------------------------- 1,919 --------------------------------------------------------------------- CONSTRUCTION -- 1.6% 1 Lennar Corp., B Shares 81 12 Lennar Corp., Class A 847 --------------------------------------------------------------------- 928 --------------------------------------------------------------------- CONSUMER SERVICES -- 0.7% 9 Weight Watchers International, Inc.* 430 ELECTRONICS/ELECTRICAL EQUIPMENT -- 3.1% 13 Amphenol Corp., Class A* 627 21 Jabil Circuit, Inc.* 465 58 Vishay Intertechnology, Inc.* 762 --------------------------------------------------------------------- 1,854 --------------------------------------------------------------------- ENTERTAINMENT/LEISURE -- 1.1% 6 International Game Technology* 650 FINANCIAL SERVICES -- 2.5% 12 A.G. Edwards, Inc. 404 28 T. Rowe Price Group, Inc. 1,043 --------------------------------------------------------------------- 1,447 ---------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 37
SHARES ISSUER VALUE - -------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED FOOD/BEVERAGE PRODUCTS -- 0.7% 43 Del Monte Foods Co.* $ 383 HEALTH CARE/HEALTH CARE SERVICES -- 18.1% 11 Aetna, Inc. 674 14 Anthem, Inc.* 1,045 38 Caremark Rx, Inc.* 976 14 Dentsply International, Inc. 552 31 Health Management Associates, Inc., Class A 569 26 Laboratory Corp. of America Holdings* 784 12 Manor Care, Inc.* 309 46 Omnicare, Inc. 1,549 12 Renal Care Group, Inc.* 430 17 Steris Corp.* 391 13 Stryker Corp. 871 22 Triad Hospitals, Inc.* 552 11 Varian Medical Systems, Inc.* 610 7 WellPoint Health Networks, Inc.* 611 18 Zimmer Holdings, Inc.* 820 --------------------------------------------------------------------- 10,743 --------------------------------------------------------------------- INSURANCE -- 0.9% 18 HCC Insurance Holdings, Inc. 526 INTERNET SERVICES/SOFTWARE -- 2.3% 11 CheckFree Corp.* 306 8 Expedia, Inc.* (l) 608 10 Symantec Corp.* 456 --------------------------------------------------------------------- 1,370 --------------------------------------------------------------------- MANUFACTURING -- 0.7% 12 Harsco Corp. 436 MULTI-MEDIA -- 1.7% 23 Cox Radio, Inc., Class A* 531 5 The E.W. Scripps Co., Class A 452 --------------------------------------------------------------------- 983 --------------------------------------------------------------------- OIL & GAS -- 3.8% 22 FMC Technologies, Inc.* 453 11 Nabors Industries LTD (Barbados)* 425 11 Patterson-UTI Energy, Inc.* 363 16 Pioneer Natural Resources Co.* $ 405 13 Talisman Energy, Inc. (Canada) 600 --------------------------------------------------------------------- 2,246 --------------------------------------------------------------------- PHARMACEUTICALS -- 3.9% 8 AmerisourceBergen Corp. (l) 527 24 Andrx Corp.* 470 11 Medicis Pharmaceutical Corp., Class A 649 22 Millennium Pharmaceuticals, Inc.* (l) 343 23 Vertex Pharmaceuticals, Inc.* 331 --------------------------------------------------------------------- 2,320 --------------------------------------------------------------------- RESTAURANTS/FOOD SERVICES -- 4.2% 27 CBRL Group, Inc. (l) 1,048 27 Darden Restaurants, Inc. 515 14 Outback Steakhouse, Inc. 527 15 Ruby Tuesday, Inc. 368 --------------------------------------------------------------------- 2,458 --------------------------------------------------------------------- RETAILING -- 11.4% 20 Abercrombie & Fitch Co., Class A* 578 10 Amazon.com, Inc.* 352 19 Bed Bath & Beyond, Inc.* 725 24 CarMax, Inc.* 722 20 CDW Corp.* 927 17 Family Dollar Stores 654 19 Fastenal Co. (l) 628 27 PETsMART, Inc.* 454 8 Ross Stores, Inc. 350 53 Staples, Inc.* 982 7 Whole Foods Market, Inc.* 348 --------------------------------------------------------------------- 6,720 --------------------------------------------------------------------- SEMI-CONDUCTORS -- 6.6% 39 Altera Corp.* 633 19 Intersil Corp., Class A* 499 19 KLA-Tencor Corp.* 891 26 MEMC Electronics Materials* 257 31 Microchip Technology, Inc. 768 22 Novellus Systems, Inc.* (l) 822 --------------------------------------------------------------------- 3,870 ---------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 38 SEMI-ANNUAL REPORT JUNE 30 2003
SHARES ISSUER VALUE - -------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED SHIPPING/TRANSPORTATION -- 0.9% 16 C.H. Robinson Worldwide, Inc. $ 555 TELECOMMUNICATIONS -- 0.9% 28 Nextel Communications, Inc., Class A* (l) 506 TELECOMMUNICATIONS EQUIPMENT -- 1.0% 48 Corning, Inc.* (l) 352 112 Lucent Technologies, Inc.* (l) 227 --------------------------------------------------------------------- 579 --------------------------------------------------------------------- Total Common Stocks 58,326 (Cost $54,755) --------------------------------------------------------------------- SHORT-TERM INVESTMENT -- 1.0% MONEY MARKET FUND -- 1.0% 581 JPMorgan Prime Money Market Fund (a) $ 581 (Cost $581) --------------------------------------------------------------------- Total Investments -- 100.0% $ 58,907 (Cost $55,336) --------------------------------------------------------------------- SHARES COLLATERAL INVESTMENTS VALUE - -------------------------------------------------------------------------------- MONEY MARKET FUNDS (c) 2,734 Merrill Lynch Premier Institution Money Market Fund $ 2,734 2,735 Reserve Primary Money Market Fund 2,735 --------------------------------------------------------------------- $ 5,469 ---------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 39 JPMORGAN MID CAP VALUE FUND PORTFOLIO OF INVESTMENTS (Unaudited) (Amounts in thousands) AS OF JUNE 30, 2003
SHARES ISSUER VALUE - -------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- 90.2% COMMON STOCKS -- 90.2% APPAREL -- 3.4% 69 Columbia Sportswear Co.* $ 3,522 215 VF Corp. 7,303 --------------------------------------------------------------------- 10,825 --------------------------------------------------------------------- AUTOMOTIVE -- 1.2% 120 Genuine Parts Co. 3,841 BANKING -- 11.5% 92 Banknorth Group, Inc. 2,355 122 BB&T Corp. 4,178 15 BOK Financial Corp.* 575 56 Cullen/Frost Bankers, Inc. 1,807 27 M&T Bank Corp. 2,274 230 North Fork Bancorporation, Inc. 7,835 160 TCF Financial Corp. 6,374 104 Washington Federal, Inc. 2,401 93 Webster Financial Corp. 3,519 166 Wilmington Trust Corp. 4,872 --------------------------------------------------------------------- 36,190 --------------------------------------------------------------------- BROADCASTING/CABLE -- 0.3% 23 EchoStar Communications Corp., Class A* 789 BUSINESS SERVICES -- 4.0% 148 Deluxe Corp. 6,635 77 Equifax, Inc. 1,992 218 IMS Health, Inc. 3,927 --------------------------------------------------------------------- 12,554 --------------------------------------------------------------------- CHEMICALS -- 1.2% 41 Sigma-Aldrich Corp. 2,243 33 Valspar Corp. 1,393 --------------------------------------------------------------------- 3,636 --------------------------------------------------------------------- COMPUTER SOFTWARE -- 0.7% 104 Computer Associates International, Inc. 2,310 COMPUTERS/COMPUTER HARDWARE -- 0.6% 25 Lexmark International, Inc.* 1,769 CONSTRUCTION -- 1.0% 247 Clayton Homes, Inc. $ 3,095 CONSTRUCTION MATERIALS -- 2.4% 110 Florida Rock Industries, Inc. 4,557 80 Vulcan Materials Co. 2,966 --------------------------------------------------------------------- 7,523 --------------------------------------------------------------------- CONSUMER PRODUCTS -- 0.6% 33 Fortune Brands, Inc. 1,743 CONSUMER SERVICES -- 0.8% 147 Interactive Data Corp.* 2,483 ELECTRONICS/ELECTRICAL EQUIPMENT -- 1.0% 60 Energizer Holdings, Inc.* 1,884 32 Mettler-Toledo International, Inc. (Switzerland)* 1,169 --------------------------------------------------------------------- 3,053 --------------------------------------------------------------------- ENVIRONMENTAL SERVICES -- 1.4% 200 Republic Services, Inc.* 4,534 FINANCIAL SERVICES -- 5.6% 67 Charter One Financial, Inc. 2,098 60 Golden West Financial Corp. 4,801 80 H & R Block, Inc. 3,460 45 Legg Mason, Inc. 2,923 115 T. Rowe Price Group, Inc. 4,341 --------------------------------------------------------------------- 17,623 --------------------------------------------------------------------- FOOD/BEVERAGE PRODUCTS -- 4.4% 21 Brown-Forman Corp., Class B 1,672 120 Dean Foods Co.* 3,789 200 Hormel Foods Corp. 4,740 68 McCormick & Co., Inc. 1,841 47 The J.M. Smucker Co. 1,893 --------------------------------------------------------------------- 13,935 --------------------------------------------------------------------- HEALTH CARE/HEALTH CARE SERVICES -- 3.9% 47 Dentsply International, Inc. 1,920 30 Hillenbrand Industries, Inc. 1,508
SEE NOTES TO FINANCIAL STATEMENTS. 40 SEMI-ANNUAL REPORT JUNE 30 2003
SHARES ISSUER VALUE - -------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED HEALTH CARE/HEALTH CARE SERVICES -- CONTINUED 146 Lincare Holdings, Inc.* $ 4,600 29 Patterson Dental Co.* 1,307 36 Renal Care Group, Inc.* 1,282 21 WellPoint Health Networks, Inc.* 1,796 --------------------------------------------------------------------- 12,413 --------------------------------------------------------------------- INSURANCE -- 6.5% 48 Cincinnati Financial Corp. 1,765 150 IPC Holdings LTD (Bermuda) 5,026 30 John Hancock Financial Services, Inc. 913 123 MGIC Investment Corp. 5,728 62 Principal Financial Group, Inc. 2,012 140 SAFECO Corp. 4,925 --------------------------------------------------------------------- 20,369 --------------------------------------------------------------------- MACHINERY & ENGINEERING EQUIPMENT -- 0.5% 48 IDEX Corp. 1,732 MANUFACTURING -- 2.2% 25 Carlisle Companies, Inc. 1,054 64 Cooper Industries LTD, Class A 2,643 137 Crane Co. 3,107 --------------------------------------------------------------------- 6,804 --------------------------------------------------------------------- MULTI-MEDIA -- 4.5% 84 Gannett Co., Inc. 6,452 52 Knight Ridder, Inc. 3,550 48 The E.W. Scripps Co., Class A 4,267 --------------------------------------------------------------------- 14,269 --------------------------------------------------------------------- OIL & GAS -- 5.8% 70 Burlington Resources, Inc. 3,785 143 Devon Energy Corp. 7,641 38 Equitable Resources, Inc. (l) 1,528 55 Murphy Oil Corp. 2,893 120 Premcor, Inc.* 2,586 --------------------------------------------------------------------- 18,433 --------------------------------------------------------------------- PAPER/FOREST PRODUCTS -- 1.2% 58 Plum Creek Timber Co., Inc. 1,503 70 Rayonier, Inc. 2,316 --------------------------------------------------------------------- 3,819 --------------------------------------------------------------------- PIPELINES -- 2.3% 130 Kinder Morgan, Inc. $ 7,105 PRINTING & PUBLISHING -- 1.2% 5 Washington Post Co., Class B 3,665 REAL ESTATE -- 2.2% 98 Brookfield Properties Corp. (Canada) 2,076 133 LNR Property Corp. 4,978 --------------------------------------------------------------------- 7,054 --------------------------------------------------------------------- REAL ESTATE INVESTMENT TRUST -- 2.4% 70 Kimco Realty Corp. 2,653 78 PS Business Parks, Inc. 2,754 60 Public Storage, Inc. 2,032 --------------------------------------------------------------------- 7,439 --------------------------------------------------------------------- RESTAURANTS/FOOD SERVICES -- 3.4% 40 Applebee's International, Inc. 1,257 210 Outback Steakhouse, Inc. 8,190 44 Yum! Brands, Inc.* 1,298 --------------------------------------------------------------------- 10,745 --------------------------------------------------------------------- RETAILING -- 3.8% 90 AutoZone, Inc.* 6,837 35 CDW Corp.* 1,603 92 Foot Locker, Inc. 1,215 130 The TJX Companies, Inc. 2,440 --------------------------------------------------------------------- 12,095 --------------------------------------------------------------------- TELECOMMUNICATIONS -- 5.2% 115 Alltel Corp. 5,531 154 CenturyTel, Inc. 5,370 114 Telephone & Data Systems, Inc. 5,646 --------------------------------------------------------------------- 16,547 --------------------------------------------------------------------- TEXTILES -- 1.4% 80 Mohawk Industries, Inc.* 4,442 UTILITIES -- 3.6% 31 Dominion Resources, Inc. 1,999 109 Energy East Corp. 2,259
SEE NOTES TO FINANCIAL STATEMENTS. 41
SHARES ISSUER VALUE - -------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED UTILITIES -- CONTINUED 130 Pepco Holdings, Inc. $ 2,491 100 SCANA Corp. 3,428 45 Sempra Energy 1,295 --------------------------------------------------------------------- 11,472 --------------------------------------------------------------------- Total Common Stocks 284,306 (Cost $255,883) --------------------------------------------------------------------- SHORT-TERM INVESTMENT -- 9.8% MONEY MARKET FUND -- 9.8% 31,029 JPMorgan Prime Money Market Fund (a) $ 31,029 (Cost $31,029) --------------------------------------------------------------------- Total Investments -- 100.0% $ 315,335 (Cost $286,912) --------------------------------------------------------------------- SHARES COLLATERAL INVESTMENTS VALUE - -------------------------------------------------------------------------------- MONEY MARKET FUNDS (c) 98 Merrill Lynch Premier Institution Money Market Fund $ 98 97 Reserve Primary Money Market Fund 97 --------------------------------------------------------------------- $ 195 ---------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 42 JPMORGAN SMALL CAP EQUITY FUND PORTFOLIO OF INVESTMENTS (Amount in Thousands) AS OF JUNE 30, 2003 (Unaudited)
SHARES ISSUER VALUE - -------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- 100.0% COMMON STOCKS -- 100.0% AEROSPACE -- 1.5% 187 Alliant Techsystems, Inc.* $ 9,690 APPAREL -- 2.2% 392 Quiksilver, Inc.* 6,471 135 Timberland Co., Class A* 7,141 --------------------------------------------------------------------- 13,612 --------------------------------------------------------------------- APPLIANCES & HOUSEHOLD DURABLES -- 0.5% 127 Furniture Brands International, Inc.* 3,325 AUTOMOTIVE -- 5.3% 104 BorgWarner, Inc. 6,697 166 Lithia Motors, Inc., Class A* 2,687 183 O'Reilly Automotive, Inc.* 6,107 96 Oshkosh Truck Corp. 5,707 107 Polaris Industries, Inc. (l) 6,558 151 Winnebago Industries, Inc. (l) 5,727 --------------------------------------------------------------------- 33,483 --------------------------------------------------------------------- BANKING -- 6.7% 46 Commerce Bancorp, Inc. (l) 1,703 77 CVB Financial Corp. 1,504 71 Downey Financial Corp. 2,912 256 East-West Bancorp, Inc. 9,263 109 Hancock Holding Co. 5,130 323 UCBH Holdings, Inc. 9,274 249 United Bankshares, Inc. 7,145 158 Wintrust Financial Corp. 4,683 --------------------------------------------------------------------- 41,614 --------------------------------------------------------------------- BROADCASTING/CABLE -- 0.8% 415 Sinclair Broadcast Group, Inc.* 4,823 BUSINESS SERVICES -- 2.3% 154 Banta Corp. 4,985 70 Fair Isaac Corp. 3,614 155 Iron Mountain, Inc.* 5,743 --------------------------------------------------------------------- 14,342 --------------------------------------------------------------------- CHEMICALS -- 3.3% 237 Albemarle Corp. $ 6,628 86 Cabot Microelectronics Corp.* (l) 4,351 248 Georgia Gulf Corp. 4,901 225 Spartech Corp. 4,763 --------------------------------------------------------------------- 20,643 --------------------------------------------------------------------- COMPUTER NETWORKS -- 0.8% 172 Avocent Corp.* 5,133 COMPUTER SOFTWARE -- 3.6% 266 CACI International, Inc., Class A* 9,131 141 Hyperion Solutions Corp.* 4,743 229 JDA Software Group, Inc.* 2,560 306 Macromedia, Inc.* 6,432 --------------------------------------------------------------------- 22,866 --------------------------------------------------------------------- COMPUTERS/COMPUTER HARDWARE -- 1.6% 91 Imation Corp. 3,445 91 Zebra Technologies Corp., Class A* 6,805 --------------------------------------------------------------------- 10,250 --------------------------------------------------------------------- CONSTRUCTION -- 2.4% 150 EMCOR Group, Inc.* 7,414 19 NVR, Inc.* 7,706 --------------------------------------------------------------------- 15,120 --------------------------------------------------------------------- CONSUMER PRODUCTS -- 6.1% 259 Church & Dwight Co., Inc. 8,474 215 Fossil, Inc.* 5,060 112 Harman International Industries, Inc. 8,832 213 Helen of Troy LTD* 3,235 119 The Scotts Co., Class A* 5,866 175 Toro Co. 6,940 --------------------------------------------------------------------- 38,407 --------------------------------------------------------------------- CONSUMER SERVICES -- 1.6% 115 Education Management Corp.* 6,089 145 Regis Corp. 4,204 --------------------------------------------------------------------- 10,293 ---------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 43
SHARES ISSUER VALUE - -------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED ELECTRONICS/ELECTRICAL EQUIPMENT -- 2.1% 192 Ametek, Inc. $ 7,037 183 Varian, Inc.* 6,332 --------------------------------------------------------------------- 13,369 --------------------------------------------------------------------- ENGINEERING SERVICES -- 1.2% 179 Jacobs Engineering Group, Inc.* 7,532 ENTERTAINMENT/LEISURE -- 1.2% 424 Boyd Gaming Corp.* 7,323 ENVIRONMENTAL SERVICES -- 1.1% 195 Waste Connections, Inc.* 6,826 FINANCIAL SERVICES -- 2.4% 114 Affiliated Managers Group, Inc.* 6,945 238 Raymond James Financial, Inc. 7,876 --------------------------------------------------------------------- 14,821 --------------------------------------------------------------------- FOOD/BEVERAGE PRODUCTS -- 2.7% 140 American Italian Pasta Co., Class A* (l) 5,818 346 Hain Celestial Group, Inc* 5,534 152 Performance Food Group Co.* (l) 5,628 --------------------------------------------------------------------- 16,980 --------------------------------------------------------------------- HEALTH CARE/HEALTH CARE SERVICES -- 11.4% 93 AMERIGROUP Corp.* 3,463 247 Community Health Systems, Inc.* 4,757 329 Cooper Companies, Inc. 11,423 189 Coventry Health Care, Inc.* 8,724 105 Datascope Corp. 3,101 166 Henry Schein, Inc.* (l) 8,668 85 Idexx Laboratories, Inc.* 2,849 139 Inamed Corp.* 7,463 144 Ocular Sciences, Inc.* 2,850 201 Owens & Minor, Inc. 4,501 79 Respironics, Inc.* 2,979 282 Steris Corp.* 6,511 156 Sybron Dental Specialties, Inc.* 3,672 --------------------------------------------------------------------- 70,961 --------------------------------------------------------------------- HOTELS/OTHER LODGING -- 1.0% 453 Extended Stay America, Inc.* $ 6,108 INSURANCE -- 2.6% 247 HCC Insurance Holdings, Inc. 7,298 36 Markel Corp.* 9,190 --------------------------------------------------------------------- 16,488 --------------------------------------------------------------------- MACHINERY & ENGINEERING EQUIPMENT -- 2.7% 191 IDEX Corp. 6,933 173 Kennametal, Inc. 5,861 228 Regal-Beloit Corp. 4,355 --------------------------------------------------------------------- 17,149 --------------------------------------------------------------------- MANUFACTURING -- 1.8% 110 Actuant Corp., Class A* 5,191 176 AptarGroup, Inc. 6,329 --------------------------------------------------------------------- 11,520 --------------------------------------------------------------------- METALS/MINING -- 0.1% 133 Century Aluminum Co. 933 MULTI-MEDIA -- 1.1% 298 Emmis Communications Corp., Class A* 6,830 OIL & GAS -- 6.8% 187 Newfield Exploration Co.* 7,007 226 Oceaneering International, Inc.* 5,764 219 Patina Oil & Gas Corp. 7,049 500 Pride International, Inc.* (l) 9,402 232 St. Mary Land & Exploration Co. 6,331 292 Swift Energy Co.* 3,207 185 Varco International, Inc.* 3,622 --------------------------------------------------------------------- 42,382 --------------------------------------------------------------------- PHARMACEUTICALS -- 1.3% 248 Medicines Co.* 4,877 67 Neurocrine Biosciences, Inc.* 3,341 --------------------------------------------------------------------- 8,218 ---------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 44 SEMI-ANNUAL REPORT JUNE 30, 2003
SHARES ISSUER VALUE - -------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED REAL ESTATE INVESTMENT TRUST -- 1.6% 111 Alexandria Real Estate Equities, Inc. $ 4,973 124 Chelsea Property Group, Inc. 5,014 --------------------------------------------------------------------- 9,987 --------------------------------------------------------------------- RESTAURANTS/FOOD SERVICES -- 1.7% 191 Applebee's International, Inc. 5,993 196 Sonic Corp.* 4,984 --------------------------------------------------------------------- 10,977 --------------------------------------------------------------------- RETAILING -- 5.4% 256 AnnTaylor Stores Corp.* 7,420 393 Chico's FAS, Inc.* 8,277 170 Genesco, Inc.* (l) 3,013 193 Luby's, Inc.* 433 388 Pier 1 Imports, Inc. 7,907 253 School Specialty, Inc.* (l) 7,202 --------------------------------------------------------------------- 34,252 --------------------------------------------------------------------- SEMI-CONDUCTORS -- 4.1% 91 Cymer, Inc.* (l) 2,926 333 Integrated Circuit Systems, Inc.* 10,478 256 International Rectifier Corp.* 6,866 192 Varian Semiconductor Equipment Associates, Inc.* 5,708 --------------------------------------------------------------------- 25,978 --------------------------------------------------------------------- SHIPPING/TRANSPORTATION -- 0.8% 169 UTI Worldwide, Inc. (Virgin Islands) 5,259 TELECOMMUNICATIONS -- 0.5% 259 Tekelec* $ 2,921 TELECOMMUNICATIONS EQUIPMENT -- 1.3% 492 CommScope, Inc.* 4,669 167 Inter-Tel, Inc. 3,544 --------------------------------------------------------------------- 8,213 --------------------------------------------------------------------- TRANSPORTATION -- 3.1% 206 Arkansas Best Corp. 4,903 108 Landstar System, Inc.* 6,769 357 Werner Enterprises, Inc. 7,573 --------------------------------------------------------------------- 19,245 --------------------------------------------------------------------- UTILITIES -- 3.3% 198 American States Water Co. 5,397 134 New Jersey Resources Corp. 4,750 235 Philadelphia Suburban Corp. 5,732 151 UGI Corp. 4,798 --------------------------------------------------------------------- 20,677 --------------------------------------------------------------------- Total Investments -- 100.0% $ 628,550 (Cost $544,663) --------------------------------------------------------------------- SHARES COLLATERAL INVESTMENTS VALUE - -------------------------------------------------------------------------------- MONEY MARKET FUNDS (c) 22,575 Merrill Lynch Premier Institution Money Market Fund $ 22,575 22,575 Reserve Primary Money Market Fund 22,575 --------------------------------------------------------------------- $ 45,150 ---------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 45 JPMORGAN SMALL CAP GROWTH FUND (Unaudited) PORTFOLIO OF INVESTMENTS (Amounts in thousands) AS OF JUNE 30, 2003
SHARES ISSUER VALUE - -------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- 98.6% COMMON STOCKS -- 98.6% BANKING -- 3.9% 1 CVB Financial Corp. $ 20 1 East-West Bancorp, Inc. 22 1 Southwest Bancorp of Texas, Inc.* 21 1 Texas Regional Bancshares, Class A 20 --------------------------------------------------------------------- 83 --------------------------------------------------------------------- BIOTECHNOLOGY -- 2.2% 2 Abgenix, Inc.* 20 2 Myriad Genetics, Inc.* 26 --------------------------------------------------------------------- 46 --------------------------------------------------------------------- BROADCASTING/CABLE -- 2.9% 3 Mediacom Communications Corp.* 28 2 Salem Communications Corp., Class A* 33 --------------------------------------------------------------------- 61 --------------------------------------------------------------------- BUSINESS SERVICES -- 6.9% 1 Alliance Data Systems Corp.* 32 3 CSG Systems International, Inc.* 36 0^^ Fair Isaac Corp. 19 1 Iron Mountain, Inc.* 28 1 Sylvan Learning Systems, Inc.* 33 --------------------------------------------------------------------- 148 --------------------------------------------------------------------- COMPUTER NETWORKS -- 1.0% 7 Enterasys Networks, Inc.* 21 COMPUTER SOFTWARE -- 8.6% 5 Lawson Software, Inc.* 35 1 National Instruments Corp.* 46 1 Packeteer, Inc.* 15 2 Pinnacle Systems, Inc.* 26 2 Serena Software, Inc.* 41 4 Witness Systems, Inc.* 22 --------------------------------------------------------------------- 185 --------------------------------------------------------------------- COMPUTERS/COMPUTER HARDWARE -- 4.5% 2 Electronics for Imaging, Inc.* 37 3 Maxtor Corp.* 19 2 Tech Data Corp.* 40 --------------------------------------------------------------------- 96 --------------------------------------------------------------------- CONSUMER PRODUCTS -- 0.9% 1 Ethan Allen Interiors, Inc. $ 19 CONSUMER SERVICES -- 3.9% 1 Fidelity National Information Solutions, Inc.* 16 2 Interactive Data Corp.* 41 1 Ritchie Bros. Auctioneers, Inc.* 27 --------------------------------------------------------------------- 84 --------------------------------------------------------------------- ELECTRONICS/ELECTRICAL EQUIPMENT -- 2.2% 1 Mettler-Toledo International, Inc. (Switzerland)* 34 1 Technitrol, Inc. 13 --------------------------------------------------------------------- 47 --------------------------------------------------------------------- ENTERTAINMENT/LEISURE -- 3.7% 2 Alliance Gaming Corp.* 39 2 Pegasus Solutions, Inc.* 40 --------------------------------------------------------------------- 79 --------------------------------------------------------------------- FINANCIAL SERVICES -- 1.1% 0^^ Affiliated Managers Group, Inc.* 24 FOOD/BEVERAGE PRODUCTS -- 1.5% 1 Performance Food Group Co.* 33 HEALTH CARE/HEALTH CARE SERVICES -- 12.4% 1 Cobalt Corp.* 18 1 Cooper Companies, Inc. 19 2 Covance, Inc.* 31 2 NDCHealth Corp. 31 2 STAAR Surgical Co.* 21 2 United Surgical Partners International, Inc.* 38 2 VCA Antech, Inc.* (l) 39 1 Ventana Medical Systems, Inc.* (l) 30 2 Wright Medical Group, Inc.* 40 --------------------------------------------------------------------- 267 ---------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 46 SEMI-ANNUAL REPORT JUNE 30 2003
SHARES ISSUER VALUE - -------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED INSURANCE -- 3.8% 1 Hilb, Rogal & Hamilton Co. $ 42 1 ProAssurance Corp.* 39 --------------------------------------------------------------------- 81 --------------------------------------------------------------------- INTERNET SERVICES/SOFTWARE -- 3.5% 1 CheckFree Corp.* 22 1 DoubleClick, Inc.* 12 14 Hollywood Media Corp.* (l) 18 1 United Online, Inc.* 22 --------------------------------------------------------------------- 74 --------------------------------------------------------------------- MANUFACTURING -- 1.0% 1 Applied Films Corp.* 21 METALS/MINING -- 0.5% 0^^ Arch Coal, Inc. 10 MULTI-MEDIA -- 2.1% 4 Gray Television, Inc. 44 OFFICE/BUSINESS EQUIPMENT -- 2.7% 1 Falcon Products, Inc.* 6 2 Global Imaging Systems, Inc.* 52 --------------------------------------------------------------------- 58 --------------------------------------------------------------------- OIL & GAS -- 4.1% 2 Key Energy Services, Inc.* 19 1 Newfield Exploration Co.* 21 1 Unit Corp.* 21 1 Universal Compression Holding, Inc.* 27 --------------------------------------------------------------------- 88 --------------------------------------------------------------------- PHARMACEUTICALS -- 1.4% 2 Vertex Pharmaceuticals, Inc.* 29 PRINTING & PUBLISHING -- 1.7% 2 Information Holdings, Inc.* 36 REAL ESTATE INVESTMENT TRUST -- 2.0% 2 American Financial Realty Trust$ 26 0^^ Chelsea Property Group, Inc. 17 --------------------------------------------------------------------- 43 --------------------------------------------------------------------- RESTAURANTS/FOOD SERVICES -- 2.0% 2 Ruby Tuesday, Inc. 42 RETAILING -- 8.6% 1 AnnTaylor Stores Corp.* 17 1 CDW Corp.* 35 1 Finish Line, Inc., Class A* 14 1 Guitar Center, Inc.* 25 1 Men's Wearhouse, Inc.* 17 1 PETCO Animal Supplies, Inc.* 32 1 Tuesday Morning Corp.* 28 1 Urban Outfitters, Inc.* 19 --------------------------------------------------------------------- 187 --------------------------------------------------------------------- SEMI-CONDUCTORS -- 2.6% 0^^ Formfactor, Inc.* 4 2 GlobespanVirata, Inc.* 16 0^^ Omnivision Technologies, Inc. (l) 9 1 Photronics, Inc.* 26 --------------------------------------------------------------------- 55 --------------------------------------------------------------------- SHIPPING/TRANSPORTATION -- 1.5% 1 UTI Worldwide, Inc. (Virgin Islands) 33 TELECOMMUNICATIONS -- 4.2% 6 LCC International, Inc.* 16 3 Nextel Partners, Inc., Class A* 24 2 Tekelec* 21 1 West Corp.* 28 --------------------------------------------------------------------- 89 --------------------------------------------------------------------- TRANSPORTATION -- 1.2% 1 Knight Transportation, Inc.* 25 --------------------------------------------------------------------- Total Common Stocks 2,108 (Cost $1,885) ---------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 47
SHARES ISSUER VALUE - -------------------------------------------------------------------------------- SHORT-TERM INVESTMENT -- 1.4% MONEY MARKET FUND -- 1.4% 30 JPMorgan Prime Money Market Fund (a) $ 30 (Cost $30) --------------------------------------------------------------------- Total Investments-- 100.0% $ 2,138 (Cost $1,915) --------------------------------------------------------------------- SHARES COLLATERAL INVESTMENTS VALUE - -------------------------------------------------------------------------------- MONEY MARKET FUNDS (c) 17 Merrill Lynch Premier Institution Money Market Fund $ 17 18 Reserve Primary Money Market Fund 18 --------------------------------------------------------------------- $ 35 ---------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 48 JPMORGAN TRUST SMALL CAP EQUITY FUND (Unaudited) PORTFOLIO OF INVESTMENTS (Amounts in thousands) AS OF JUNE 30, 2003
SHARES ISSUER VALUE - -------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- 97.8% COMMON STOCKS -- 97.8% AEROSPACE -- 1.4% 82 Alliant Techsystems, Inc.* $ 4,281 APPAREL -- 2.1% 182 Quiksilver, Inc.* 3,001 63 Timberland Co., Class A* 3,315 --------------------------------------------------------------------- 6,316 --------------------------------------------------------------------- APPLIANCES & HOUSEHOLD DURABLES -- 0.7% 77 Furniture Brands International, Inc.* 2,007 AUTOMOTIVE -- 5.3% 50 BorgWarner, Inc. 3,205 91 Lithia Motors, Inc., Class A* 1,471 85 O'Reilly Automotive, Inc.* 2,831 44 Oshkosh Truck Corp. 2,634 50 Polaris Industries, Inc. (l) 3,039 67 Winnebago Industries, Inc. (l) 2,543 --------------------------------------------------------------------- 15,723 --------------------------------------------------------------------- BANKING -- 6.4% 26 Commerce Bancorp, Inc. (l) 958 36 CVB Financial Corp. 700 33 Downey Financial Corp. 1,355 119 East-West Bancorp, Inc. 4,308 51 Hancock Holding Co. 2,386 150 UCBH Holdings, Inc. 4,313 116 United Bankshares, Inc. 3,323 74 Wintrust Financial Corp. (l) 2,179 --------------------------------------------------------------------- 19,522 --------------------------------------------------------------------- BROADCASTING/CABLE -- 0.7% 190 Sinclair Broadcast Group, Inc.* 2,201 BUSINESS SERVICES -- 2.3% 60 Banta Corp. 1,942 33 Fair Isaac Corp. 1,681 86 Iron Mountain, Inc.* (l) 3,194 --------------------------------------------------------------------- 6,817 --------------------------------------------------------------------- CHEMICALS -- 3.0% 109 Albemarle Corp. $ 3,048 40 Cabot Microelectronics Corp.* (l) 2,009 114 Georgia Gulf Corp. 2,255 75 Spartech Corp. 1,591 --------------------------------------------------------------------- 8,903 --------------------------------------------------------------------- COMPUTER NETWORKS -- 0.6% 65 Avocent Corp.* (l) 1,936 COMPUTER SOFTWARE -- 3.9% 112 CACI International, Inc., Class A* 3,845 108 Hyperion Solutions Corp.* 3,646 97 JDA Software Group, Inc.* 1,087 142 Macromedia, Inc.* 2,983 --------------------------------------------------------------------- 11,561 --------------------------------------------------------------------- COMPUTERS/COMPUTER HARDWARE -- 1.7% 42 Imation Corp. 1,600 45 Zebra Technologies Corp., Class A* 3,383 --------------------------------------------------------------------- 4,983 --------------------------------------------------------------------- CONSTRUCTION -- 2.3% 70 EMCOR Group, Inc.* 3,448 9 NVR, Inc.* 3,534 --------------------------------------------------------------------- 6,982 --------------------------------------------------------------------- CONSUMER PRODUCTS -- 5.8% 121 Church & Dwight Co., Inc. 3,943 98 Fossil, Inc.* 2,309 45 Harman International Industries, Inc. 3,561 99 Helen of Troy LTD* 1,501 55 The Scotts Co., Class A* 2,723 81 Toro Co. 3,220 --------------------------------------------------------------------- 17,257 --------------------------------------------------------------------- CONSUMER SERVICES -- 1.6% 55 Education Management Corp.* 2,933 67 Regis Corp. 1,949 --------------------------------------------------------------------- 4,882 ---------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 49
SHARES ISSUER VALUE - -------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED ELECTRONICS/ELECTRICAL EQUIPMENT -- 2.0% 86 Ametek, Inc. $ 3,134 85 Varian, Inc.* 2,945 --------------------------------------------------------------------- 6,079 --------------------------------------------------------------------- ENGINEERING SERVICES -- 1.2% 83 Jacobs Engineering Group, Inc.* 3,503 ENTERTAINMENT/LEISURE -- 1.1% 197 Boyd Gaming Corp.* 3,397 ENVIRONMENTAL SERVICES -- 1.1% 90 Waste Connections, Inc.* (l) 3,165 FINANCIAL SERVICES -- 2.3% 53 Affiliated Managers Group, Inc.* (l) 3,230 113 Raymond James Financial, Inc. 3,718 --------------------------------------------------------------------- 6,948 --------------------------------------------------------------------- FOOD/BEVERAGE PRODUCTS -- 2.8% 65 American Italian Pasta Co., Class A* (l) 2,707 161 Hain Celestial Group inc* 2,566 82 Performance Food Group Co.* (l) 3,049 --------------------------------------------------------------------- 8,322 --------------------------------------------------------------------- HEALTH CARE/HEALTH CARE SERVICES -- 10.9% 47 AMERIGROUP Corp.* 1,760 115 Community Health Systems, Inc.* 2,213 153 Cooper Companies, Inc. 5,314 82 Coventry Health Care, Inc.* 3,785 52 Datascope Corp. 1,521 85 Henry Schein, Inc.* (l) 4,454 39 Idexx Laboratories, Inc.* 1,320 65 Inamed Corp.* 3,484 67 Ocular Sciences, Inc.* 1,326 91 Owens & Minor, Inc. 2,027 37 Respironics, Inc.* 1,381 116 Steris Corp.* 2,678 74 Sybron Dental Specialties, Inc.* 1,742 --------------------------------------------------------------------- 33,005 --------------------------------------------------------------------- HOTELS/OTHER LODGING -- 1.0% 211 Extended Stay America, Inc.* $ 2,841 INSURANCE -- 2.6% 115 HCC Insurance Holdings, Inc. 3,395 17 Markel Corp.* (l) 4,275 --------------------------------------------------------------------- 7,670 --------------------------------------------------------------------- MACHINERY & ENGINEERING EQUIPMENT -- 2.7% 89 IDEX Corp. 3,214 81 Kennametal, Inc. 2,724 106 Regal-Beloit Corp. 2,021 --------------------------------------------------------------------- 7,959 --------------------------------------------------------------------- MANUFACTURING -- 1.8% 49 Actuant Corp., Class A* 2,314 85 AptarGroup, Inc. 3,049 --------------------------------------------------------------------- 5,363 --------------------------------------------------------------------- METALS/MINING -- 0.1% 62 Century Aluminum Co. 434 MULTI-MEDIA -- 1.1% 138 Emmis Communications Corp., Class A* 3,167 OIL & GAS -- 6.5% 87 Newfield Exploration Co.* 3,259 100 Oceaneering International, Inc.* 2,545 98 Patina Oil & Gas Corp. 3,143 232 Pride International, Inc.* (l) 4,362 137 St. Mary Land & Exploration Co. (l) 3,748 65 Swift Energy Co.* 715 86 Varco International, Inc.* 1,680 --------------------------------------------------------------------- 19,452 --------------------------------------------------------------------- PHARMACEUTICALS -- 1.3% 115 Medicines Co.* (l) 2,268 31 Neurocrine Biosciences, Inc.* 1,553 --------------------------------------------------------------------- 3,821 ---------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 50 SEMI-ANNUAL REPORT JUNE 30 2003
SHARES ISSUER VALUE - -------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED REAL ESTATE INVESTMENT TRUST -- 1.6% 52 Alexandria Real Estate Equities, Inc. $ 2,322 58 Chelsea Property Group, Inc. 2,326 --------------------------------------------------------------------- 4,648 --------------------------------------------------------------------- RESTAURANTS/FOOD SERVICES -- 1.7% 89 Applebee's International, Inc. 2,782 91 Sonic Corp.* 2,312 --------------------------------------------------------------------- 5,094 --------------------------------------------------------------------- RETAILING -- 5.4% 119 AnnTaylor Stores Corp.* 3,451 188 Chico's FAS, Inc.* 3,960 79 Genesco, Inc.* (l) 1,398 113 Luby's, Inc.* 254 180 Pier 1 Imports, Inc. 3,678 117 School Specialty, Inc.* (l) 3,341 --------------------------------------------------------------------- 16,082 --------------------------------------------------------------------- SEMI-CONDUCTORS -- 4.0% 42 Cymer, Inc.* (l) 1,357 153 Integrated Circuit Systems, Inc.* (l) 4,821 118 International Rectifier Corp.* 3,157 89 Varian Semiconductor Equipment Associates, Inc.* 2,649 --------------------------------------------------------------------- 11,984 --------------------------------------------------------------------- SHIPPING/TRANSPORTATION -- 0.8% 78 UTI Worldwide, Inc. (Virgin Islands) 2,439 TELECOMMUNICATIONS -- 0.5% 120 Tekelec* (l) 1,355 TELECOMMUNICATIONS EQUIPMENT -- 1.2% 228 CommScope, Inc.* 2,166 71 Inter-Tel, Inc. 1,500 --------------------------------------------------------------------- 3,666 --------------------------------------------------------------------- TRANSPORTATION -- 3.0% 96 Arkansas Best Corp. $ 2,274 50 Landstar System, Inc.* 3,143 166 Werner Enterprises, Inc. 3,522 --------------------------------------------------------------------- 8,939 --------------------------------------------------------------------- UTILITIES -- 3.3% 92 American States Water Co. 2,510 64 New Jersey Resources Corp. 2,286 112 Philadelphia Suburban Corp. 2,725 70 UGI Corp. 2,232 --------------------------------------------------------------------- 9,753 --------------------------------------------------------------------- Total Common Stocks 292,457 (Cost $250,768) --------------------------------------------------------------------- SHORT-TERM INVESTMENT -- 2.2% MONEY MARKET FUND -- 2.2% 6,517 JPMorgan Prime Money Market Fund (a) 6,517 (Cost $6,517) --------------------------------------------------------------------- Total Investments -- 100.0% $ 298,974 (Cost $257,285) --------------------------------------------------------------------- SHARES COLLATERAL INVESTMENTS VALUE - -------------------------------------------------------------------------------- MONEY MARKET FUNDS (c) 13,487 Merrill Lynch Premier Institution Money Market Fund $ 13,487 13,487 Reserve Primary Money Market Fund 13,487 --------------------------------------------------------------------- $ 26,974 ---------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 51 JPMORGAN U.S. SMALL COMPANY FUND (Unaudited) PORTFOLIO OF INVESTMENTS (Amounts in thousands) AS OF JUNE 30, 2003
SHARES ISSUER VALUE - -------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- 96.4% COMMON STOCKS -- 95.8% AEROSPACE -- 0.7% 86 Triumph Group, Inc.* $ 2,417 AIRLINES -- 0.2% 67 Northwest Airlines Corp.* (l) 757 APPAREL -- 0.5% 26 Columbia Sportswear Co.* 1,352 21 Quiksilver, Inc.* 345 --------------------------------------------------------------------- 1,697 --------------------------------------------------------------------- AUTOMOTIVE -- 3.0% 41 American Axle & Manufacturing Holdings, Inc.* 984 100 Lithia Motors, Inc., Class A* 1,610 74 Navistar International Corp.* (l) 2,415 29 Oshkosh Truck Corp. 1,739 28 Superior Industries International, Inc. 1,184 187 Wabash National Corp.* 2,621 --------------------------------------------------------------------- 10,553 --------------------------------------------------------------------- BANKING -- 8.4% 49 Allegiant Bancorp, Inc. 990 55 Bank of Hawaii Corp. 1,808 41 Banner Corp. 845 41 City National Corp. 1,808 41 Community Bank System, Inc. 1,577 41 Cullen/Frost Bankers, Inc. 1,305 71 Doral Financial Corp. (Puerto Rico) 3,154 24 First Niagara Financial Group, Inc. 334 24 First State Bancorporation 661 75 Irwin Financial Corp. 1,933 326 NetBank, Inc. 4,295 70 R & G Financial Corp. (Puerto Rico), Class B 2,074 24 Santander BanCorp (Puerto Rico) 387 38 Silicon Valley Bancshares* (l) 915 25 Southwest Bancorp of Texas, Inc.* 810 65 Sterling Bancshares, Inc. 848 25 Taylor Capital Group, Inc. 508 BANKING -- CONTINUED 38 Waypoint Financial Corp. $ 694 93 West Coast Bancorp 1,689 78 Westamerica Bancorporation 3,363 --------------------------------------------------------------------- 29,998 --------------------------------------------------------------------- BIOTECHNOLOGY -- 0.7% 21 Charles River Laboratories International, Inc.* 666 56 Protein Design Labs, Inc.* 779 57 Telik, Inc.* (l) 914 --------------------------------------------------------------------- 2,359 --------------------------------------------------------------------- BUSINESS SERVICES -- 2.1% 119 Alliance Data Systems Corp.* 2,778 55 Cognizant Technology Solutions Corp.* 1,337 51 G&K Services, Inc., Class A 1,496 243 Spherion Corp.* 1,692 --------------------------------------------------------------------- 7,303 --------------------------------------------------------------------- CHEMICALS -- 1.5% 62 Cytec Industries, Inc.* 2,105 137 Millennium Chemicals, Inc. 1,301 122 Solutia, Inc. 267 101 Symyx Technologies, Inc.* 1,648 --------------------------------------------------------------------- 5,321 --------------------------------------------------------------------- COMPUTER NETWORKS -- 1.4% 22 Black Box Corp. 796 85 Foundry Networks, Inc.* 1,224 155 McDATA Corp., Class A* 2,267 58 Secure Computing Corp.* 510 --------------------------------------------------------------------- 4,797 --------------------------------------------------------------------- COMPUTER SOFTWARE -- 5.0% 32 Ascential Software Corp.* 529 195 Borland Software Corp.* 1,906 24 Business Objects S.A. (France), ADR* (l) 527 19 CACI International, Inc., Class A* 661 26 Cognos, Inc. (Canada)* 705 98 CompuCom Systems, Inc.* 441
SEE NOTES TO FINANCIAL STATEMENTS. 52 SEMI-ANNUAL REPORT JUNE 30, 2003
SHARES ISSUER VALUE - -------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED COMPUTER SOFTWARE -- CONTINUED 35 Computer Programs & Systems, Inc.* $ 698 48 Documentum, Inc.* (l) 952 22 Hyperion Solutions Corp.* 753 80 Informatica Corp.* 554 60 JDA Software Group, Inc.* 667 113 Legato Systems, Inc.* 944 26 Manhattan Associates, Inc.* (l) 663 43 ManTech International Corp., Class A* 823 79 NetIQ Corp.* 1,217 24 Progress Software Corp.* 498 30 Serena Software, Inc.* 621 36 Take-Two Interactive Software, Inc.* (l) 1,009 59 THQ, Inc.* 1,066 193 TIBCO Software, Inc.* 980 119 Tier Technologies, Inc., Class B* 918 67 webMethods, Inc.* 546 --------------------------------------------------------------------- 17,678 --------------------------------------------------------------------- COMPUTERS/COMPUTER HARDWARE -- 3.6% 25 Hutchinson Technology, Inc.* (l) 835 37 Imation Corp. 1,413 609 Maxtor Corp.* 4,574 101 Synaptics, Inc.* 1,364 239 Western Digital Corp.* 2,461 27 Zebra Technologies Corp., Class A* 1,996 --------------------------------------------------------------------- 12,643 --------------------------------------------------------------------- CONSTRUCTION -- 1.3% 158 Champion Enterprises, Inc.* 820 73 EMCOR Group, Inc.* 3,627 --------------------------------------------------------------------- 4,447 --------------------------------------------------------------------- CONSTRUCTION MATERIALS -- 1.6% 156 ElkCorp 3,504 99 Universal Forest Products, Inc. 2,081 --------------------------------------------------------------------- 5,585 --------------------------------------------------------------------- CONSUMER PRODUCTS -- 1.2% 56 Alberto-Culver Co., Class B 2,860 44 WD-40 Co. 1,255 --------------------------------------------------------------------- 4,115 --------------------------------------------------------------------- DISTRIBUTION -- 0.3% 84 Advanced Marketing Services, Inc. $ 1,090 ELECTRONICS/ELECTRICAL EQUIPMENT -- 1.2% 72 Coherent, Inc.* 1,715 180 Encore Wire Corp.* 1,714 100 Integrated Electrical Services, Inc.* 726 --------------------------------------------------------------------- 4,155 --------------------------------------------------------------------- ENGINEERING SERVICES -- 0.2% 38 Chicago Bridge & Iron Co., NV - New York Registered Shares (The Netherlands) 866 ENTERTAINMENT/LEISURE -- 0.7% 34 Macrovision Corp.* 676 69 Penn National Gaming, Inc.* 1,423 34 WMS Industries, Inc.* (l) 530 --------------------------------------------------------------------- 2,629 --------------------------------------------------------------------- ENVIRONMENTAL SERVICES -- 0.1% 10 Waste Connections, Inc.* 366 FINANCIAL SERVICES -- 3.0% 62 American Capital Strategies LTD 1,539 105 American Home Mortgage Holdings, Inc. 2,053 167 eSpeed, Inc., Class A* 3,303 50 Farmer Mac, Class C* 1,110 118 Friedman, Billings, Ramsey Group, Inc., Class A 1,579 26 Portfolio Recovery Associates, Inc.* (l) 805 --------------------------------------------------------------------- 10,389 --------------------------------------------------------------------- FOOD/BEVERAGE PRODUCTS -- 1.2% 31 Adolph Coors Co., Class B 1,523 33 Robert Mondavi Corp., Class A* (l) 827 44 The J.M. Smucker Co. 1,771 --------------------------------------------------------------------- 4,121 --------------------------------------------------------------------- HEALTH CARE/HEALTH CARE SERVICES -- 5.5% 54 Accredo Health, Inc.* 1,176 85 Centene Corp.* 3,288 129 Conceptus, Inc.* (l) 1,818
SEE NOTES TO FINANCIAL STATEMENTS. 53 JPMORGAN U.S. SMALL COMPANY FUND
SHARES ISSUER VALUE - -------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED HEALTH CARE/HEALTH CARE SERVICES -- CONTINUED 153 CTI Molecular Imaging, Inc.* (l) $ 2,897 81 Inveresk Research Group, Inc.* 1,464 40 LifePoint Hospitals, Inc.* (l) 833 83 Omnicare, Inc. 2,815 15 Pediatrix Medical Group, Inc.* (l) 524 63 TECHNE Corp.* 1,914 104 Therasense, Inc.* 1,037 76 United Surgical Partners International, Inc.* (l) 1,723 6 Varian Medical Systems, Inc.* 355 --------------------------------------------------------------------- 19,844 --------------------------------------------------------------------- HOTELS/OTHER LODGING -- 0.1% 102 La Quinta Corp.* 438 INSURANCE -- 2.8% 67 HCC Insurance Holdings, Inc. 1,975 93 Protective Life Corp. 2,490 47 StanCorp Financial Group, Inc. 2,478 53 W.R. Berkley Corp. 2,784 --------------------------------------------------------------------- 9,727 --------------------------------------------------------------------- INTERNET SERVICES/SOFTWARE -- 0.9% 128 Ameritrade Holding Corp.* 947 193 Ariba, Inc.* (l) 573 30 Internet Security Systems, Inc.* 434 37 Kana Software, Inc.* 111 23 LendingTree, Inc.* 567 41 Verity, Inc.* 515 --------------------------------------------------------------------- 3,147 --------------------------------------------------------------------- LEASING -- 0.2% 51 GATX Corp. (l) 842 MACHINERY & ENGINEERING EQUIPMENT -- 4.3% 152 Applied Industrial Technologies, Inc. 3,216 44 IDEX Corp. 1,581 92 Kennametal, Inc. 3,126 54 Nordson Corp. 1,280 121 Regal-Beloit Corp. 2,315 338 UNOVA, Inc.* 3,753 --------------------------------------------------------------------- 15,271 --------------------------------------------------------------------- MANUFACTURING -- 1.5% 79 Joy Global, Inc.* $ 1,166 120 Timken Co. 2,093 57 Wilson Greatbatch Technologies, Inc.* 2,046 --------------------------------------------------------------------- 5,305 --------------------------------------------------------------------- METALS/MINING -- 2.9% 85 Arch Coal, Inc. 1,949 98 Mueller Industries, Inc.* 2,669 120 Precision Castparts Corp. 3,746 87 Valmont Industries, Inc. 1,686 --------------------------------------------------------------------- 10,050 --------------------------------------------------------------------- MULTI-MEDIA -- 1.9% 47 Hearst-Argyle Television, Inc.* 1,210 198 Insight Communications Co., Inc.* (l) 2,604 129 Journal Register Co.* 2,335 423 Sirius Satellite Radio, Inc.* (l) 714 --------------------------------------------------------------------- 6,863 --------------------------------------------------------------------- OFFICE/BUSINESS EQUIPMENT -- 1.3% 116 Global Imaging Systems, Inc.* 2,681 101 Herman Miller, Inc. 2,032 --------------------------------------------------------------------- 4,713 --------------------------------------------------------------------- OIL & GAS -- 5.0% 64 Energen Corp. 2,136 171 Global Industries LTD* 826 64 Gulf Island Fabrication, Inc.* 1,084 101 Lone Star Technologies* 2,148 93 Maverick Tube Corp.* 1,776 62 ONEOK, Inc. 1,214 25 Patterson-UTI Energy, Inc.* 805 79 Premcor, Inc.* 1,710 94 Spinnaker Exploration Co.* 2,457 50 Stone Energy Corp.* 2,092 45 W-H Energy Services, Inc.* 868 19 Westport Resources Corp.* 427 --------------------------------------------------------------------- 17,543 ---------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 54 SEMI-ANNUAL REPORT JUNE 30, 2003
SHARES ISSUER VALUE - -------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED PACKAGING -- 2.6% 743 Crown Holdings, Inc.* $ 5,308 119 Silgan Holdings, Inc.* 3,722 --------------------------------------------------------------------- 9,030 --------------------------------------------------------------------- PAPER/FOREST PRODUCTS -- 1.2% 97 Aracruz Celulose SA (Brazil), ADR (l) 2,051 206 Caraustar Industries, Inc.* 1,647 55 Domtar, Inc. (Canada) 605 --------------------------------------------------------------------- 4,303 --------------------------------------------------------------------- PHARMACEUTICALS -- 5.0% 251 Adolor Corp.* (l) 3,077 128 Amylin Pharmaceuticals, Inc.* 2,808 40 Andrx Corp.* 793 207 AtheroGenics, Inc.* 3,088 19 Atrix Laboratories, Inc.* (l) 411 83 Ligand Pharmaceuticals, Inc., Class B* (l) 1,131 32 NBTY, Inc.* 670 23 Neurocrine Biosciences, Inc.* 1,136 142 SangStat Medical Corp.* 1,854 33 Sepracor, Inc.* 602 35 Taro Pharmaceutical Industries LTD (Israel)* 1,900 --------------------------------------------------------------------- 17,470 --------------------------------------------------------------------- REAL ESTATE INVESTMENT TRUST -- 5.4% 55 Annaly Mortgage Management, Inc. 1,104 19 Centerpoint Properties Corp. 1,143 24 Chelsea Property Group, Inc. 948 47 Cousins Properties, Inc. 1,306 25 Developers Diversified Realty Corp. 699 23 General Growth Properties, Inc. 1,412 32 Highwoods Properties, Inc. 724 31 Lexington Corporate Properties Trust 540 86 MFA Mortgage Investments, Inc. 863 49 Post Properties, Inc. 1,287 146 Prentiss Properties Trust 4,365 17 Regency Centers Corp. 590 87 United Dominion Realty Trust, Inc. 1,495 62 Ventas, Inc. 939 36 Weingarten Realty Investors 1,509 --------------------------------------------------------------------- 18,924 --------------------------------------------------------------------- RESTAURANTS/FOOD SERVICES -- 0.7% 42 Landry's Restaurants, Inc. $ 985 10 O'Charleys, Inc.* 213 32 The Cheesecake Factory, Inc.* 1,135 --------------------------------------------------------------------- 2,333 --------------------------------------------------------------------- RETAILING -- 5.3% 54 AnnTaylor Stores Corp.* 1,550 102 Big 5 Sporting Goods Corp.* 1,278 123 BJ's Wholesale Club, Inc.* 1,849 31 Chico's FAS, Inc.* 661 108 CSK Auto Corp.* 1,566 37 Fred's, Inc. 1,379 23 Kirkland's, Inc.* 376 87 Linens `N Things, Inc.* 2,062 46 Michaels Stores, Inc.* (l) 1,765 37 Pacific Sunwear of California, Inc.* 896 126 Pier 1 Imports, Inc. 2,568 54 School Specialty, Inc.* (l) 1,536 68 Shoe Carnival, Inc.* 999 --------------------------------------------------------------------- 18,485 --------------------------------------------------------------------- SEMI-CONDUCTORS -- 4.7% 89 Applied Micro Circuits Corp.* 536 76 ATMI, Inc.* (l) 1,895 238 ChipPAC, Inc., Class A* (l) 1,824 23 Cree, Inc.* (l) 369 44 Integrated Circuit Systems, Inc.* 1,368 57 Intersil Corp., Class A* 1,521 113 Lam Research Corp.* 2,058 290 Lattice Semiconductor Corp.* (l) 2,383 30 Rambus, Inc.* 504 164 Semtech Corp.* 2,330 134 Skyworks Solutions, Inc.* (l) 909 33 Varian Semiconductor Equipment Associates, Inc.* 970 --------------------------------------------------------------------- 16,667 --------------------------------------------------------------------- STEEL -- 0.6% 102 Reliance Steel & Aluminum Co. 2,106
SEE NOTES TO FINANCIAL STATEMENTS. 55
SHARES ISSUER VALUE - -------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED TELECOMMUNICATIONS -- 1.1% 39 Aeroflex, Inc.* $ 303 68 American Tower Corp., Class A* (l) 605 80 Cincinnati Bell, Inc.* 536 147 Citizens Communications Co.* (l) 1,896 19 IDT Corp., Class B* (l) 326 29 Western Wireless Corp., Class A* 338 --------------------------------------------------------------------- 4,004 --------------------------------------------------------------------- TELECOMMUNICATIONS EQUIPMENT -- 0.7% 57 Advanced Fibre Communications, Inc.* 934 208 CIENA Corp.* 1,082 81 Sycamore Networks, Inc.* 311 --------------------------------------------------------------------- 2,327 --------------------------------------------------------------------- TOYS & GAMES -- 0.9% 184 JAKKS Pacific, Inc.* (l) 2,449 37 Marvel Enterprises, Inc.* 714 --------------------------------------------------------------------- 3,163 --------------------------------------------------------------------- TRANSPORTATION -- 0.4% 64 Werner Enterprises, Inc. 1,359 UTILITIES -- 2.9% 148 Atmos Energy Corp. 3,671 49 Great Plains Energy, Inc. 1,404 696 Sierra Pacific Resources* (l) 4,133 56 UniSource Energy Corp. 1,056 --------------------------------------------------------------------- 10,264 --------------------------------------------------------------------- Total Common Stocks 337,464 (Cost $259,395) --------------------------------------------------------------------- PREFERRED STOCKS -- 0.6% ENTERTAINMENT/LEISURE -- 0.6% 100 Six Flags, Inc.* $ 1,975 (Cost $1,313) --------------------------------------------------------------------- Total Long-Term Investments 339,439 (Cost $260,708) --------------------------------------------------------------------- SHORT-TERM INVESTMENTS -- 3.6% U.S. TREASURY SECURITY -- 0.1% 300 U.S. Treasury Note, 2.75%, 10/31/03 @ 302 (Cost $302) MONEY MARKET FUND -- 3.5% 12,295 JPMorgan Prime Money Market Fund (a) + 12,295 (Cost $12,295) --------------------------------------------------------------------- Total Short-Term Investments 12,597 (Cost $12,597) --------------------------------------------------------------------- Total Investments -- 100.0% $ 352,036 (Cost $273,305) --------------------------------------------------------------------- SHARES COLLATERAL INVESTMENTS VALUE - -------------------------------------------------------------------------------- MONEY MARKET FUNDS (c) 17,101 Merrill Lynch Premier Institution Money Market Fund $ 17,101 17,058 Reserve Primary Money Market Fund 17,058 --------------------------------------------------------------------- $ 34,159 ---------------------------------------------------------------------
FUTURES CONTRACTS (Amounts in thousands, except number of contracts)
NOTIONAL UNREALIZED NUMBER OF VALUE AT APPRECIATION CONTRACTS DESCRIPTION EXPIRATION DATE 6/30/03 (USD) (DEPRECIATION) (USD) - -------------------------------------------------------------------------------------------------------- LONG FUTURES OUTSTANDING 21 Russell 2000 September, 2003 $ 4,708 $ (44)
SEE NOTES TO FINANCIAL STATEMENTS. 56 JPMORGAN U.S. SMALL COMPANY OPPORTUNITIES FUND PORTFOLIO OF INVESTMENTS (Unaudited) (Amount in thousands) AS OF JUNE 30, 2003
SHARES ISSUER VALUE - -------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- 90.0% COMMON STOCKS -- 90.0% ADVERTISING -- 0.4% 4 Catalina Marketing Corp.* $ 77 AEROSPACE -- 0.9% 6 Triumph Group, Inc.* 164 AIRLINES -- 0.2% 3 Northwest Airlines Corp.* (l) 35 APPAREL -- 0.3% 1 Columbia Sportswear Co.* 63 AUTOMOTIVE -- 0.8% 2 Oshkosh Truck Corp. 144 BANKING -- 5.2% 3 City National Corp. 137 3 Cullen/Frost Bankers, Inc. 84 5 Doral Financial Corp. (Puerto Rico) 229 23 NetBank, Inc. 298 4 Southwest Bancorp of Texas, Inc.* 133 2 Westamerica Bancorporation 86 --------------------------------------------------------------------- 967 --------------------------------------------------------------------- BIOTECHNOLOGY -- 0.9% 1 Abgenix, Inc.* 5 2 Charles River Laboratories International, Inc.* 61 6 Telik, Inc.* (l) 99 --------------------------------------------------------------------- 165 --------------------------------------------------------------------- BROADCASTING/CABLE -- 0.8% 7 Salem Communications Corp., Class A* 149 BUSINESS SERVICES -- 0.2% 2 Cognizant Technology Solutions Corp.* 37 CHEMICALS -- 0.6% 7 Symyx Technologies, Inc.* 111 COMPUTER NETWORKS -- 1.0% 1 Black Box Corp. $ 40 4 Foundry Networks, Inc.* 63 6 McDATA Corp., Class A* 87 --------------------------------------------------------------------- 190 --------------------------------------------------------------------- COMPUTER SOFTWARE -- 8.2% 2 Ascential Software Corp.* 38 13 Borland Software Corp.* 127 1 Business Objects S.A. (France), ADR* 20 1 CACI International, Inc., Class A* 33 2 Cognos, Inc. (Canada)* 43 18 CompuCom Systems, Inc.* 80 6 Computer Programs & Systems, Inc.* 123 3 Documentum, Inc.* (l) 58 1 Hyperion Solutions Corp.* 48 5 Informatica Corp.* 31 3 JDA Software Group, Inc.* 32 1 Kronos, Inc.* 62 1 Manhattan Associates, Inc.* 30 1 ManTech International Corp., Class A* 28 5 National Instruments Corp.* 184 8 NetIQ Corp.* 121 13 Serena Software, Inc.* 279 24 TIBCO Software, Inc.* 121 4 Tier Technologies, Inc., Class B* 28 4 webMethods, Inc.* 32 --------------------------------------------------------------------- 1,518 --------------------------------------------------------------------- COMPUTERS/COMPUTER HARDWARE -- 6.5% 6 Extreme Networks, Inc.* 30 1 Hutchinson Technology, Inc.* 39 2 Imation Corp. 78 36 Maxtor Corp.* 271 11 Synaptics, Inc.* 142 7 Tech Data Corp.* 196 22 Western Digital Corp.* 228 3 Zebra Technologies Corp., Class A* 233 --------------------------------------------------------------------- 1,217 --------------------------------------------------------------------- CONSTRUCTION -- 1.5% 6 EMCOR Group, Inc.* 273
SEE NOTES TO FINANCIAL STATEMENTS. 57
SHARES ISSUER VALUE - -------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED CONSTRUCTION MATERIALS -- 0.4% 4 ElkCorp $ 81 CONSUMER PRODUCTS -- 1.8% 3 Alberto-Culver Co., Class B 128 7 WD-40 Co. 211 --------------------------------------------------------------------- 339 --------------------------------------------------------------------- CONSUMER SERVICES -- 1.0% 11 Interactive Data Corp.* 189 ELECTRONICS/ELECTRICAL EQUIPMENT -- 0.8% 6 Coherent, Inc.* 154 ENTERTAINMENT/LEISURE -- 0.3% 2 Macrovision Corp.* 30 1 WMS Industries, Inc.* 23 --------------------------------------------------------------------- 53 --------------------------------------------------------------------- ENVIRONMENTAL SERVICES -- 2.7% 6 Stericycle, Inc.* (l) 240 8 Waste Connections, Inc.* 270 --------------------------------------------------------------------- 510 --------------------------------------------------------------------- FINANCIAL SERVICES -- 3.0% 2 Affiliated Managers Group, Inc.* 123 19 eSpeed, Inc., Class A* 375 3 Farmer Mac, Class C* 62 --------------------------------------------------------------------- 560 --------------------------------------------------------------------- FOOD/BEVERAGE PRODUCTS -- 2.1% 2 Adolph Coors Co., Class B 105 9 Del Monte Foods Co.* 77 5 The J.M. Smucker Co. 215 --------------------------------------------------------------------- 397 --------------------------------------------------------------------- HEALTH CARE/HEALTH CARE SERVICES -- 9.8% 1 Accredo Health, Inc.* 22 13 AMN Healthcare Services, Inc.* (l) 164 5 Centene Corp.* (l) 203 10 Conceptus, Inc.* (l) 136 2 Cooper Companies, Inc. $ 86 10 CTI Molecular Imaging, Inc.* (l) 184 6 Inveresk Research Group, Inc.* 114 8 Omnicare, Inc. 283 1 Pediatrix Medical Group, Inc.* (l) 21 0^^ SurModics, Inc.* (l) 9 5 TECHNE Corp.* 154 6 Therasense, Inc.* 57 4 United Surgical Partners International, Inc.* 86 2 Varian Medical Systems, Inc.* 105 9 VCA Antech, Inc.* (l) 182 --------------------------------------------------------------------- 1,806 --------------------------------------------------------------------- INSURANCE -- 3.2% 9 Protective Life Corp. 251 7 W.R. Berkley Corp. 349 --------------------------------------------------------------------- 600 --------------------------------------------------------------------- INTERNET SERVICES/SOFTWARE -- 0.4% 1 Internet Security Systems, Inc.* 20 2 LendingTree, Inc.* 49 1 Verity, Inc.* 13 --------------------------------------------------------------------- 82 --------------------------------------------------------------------- MANUFACTURING -- 1.4% 3 Roper Industries, Inc. 125 4 Wilson Greatbatch Technologies, Inc.* 130 --------------------------------------------------------------------- 255 --------------------------------------------------------------------- MULTI-MEDIA -- 1.7% 14 Gray Television, Inc. 179 8 Journal Register Co.* 142 --------------------------------------------------------------------- 321 --------------------------------------------------------------------- OFFICE/BUSINESS EQUIPMENT -- 1.5% 12 Global Imaging Systems, Inc.* 288 OIL & GAS -- 6.3% 30 Global Industries LTD* 143 4 Gulf Island Fabrication, Inc.* 67
SEE NOTES TO FINANCIAL STATEMENTS. 58
SHARES ISSUER VALUE - ---------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED OIL & GAS -- CONTINUED 8 Lone Star Technologies* $ 175 5 Maverick Tube Corp.* 103 3 ONEOK, Inc. 67 4 Patterson-UTI Energy, Inc.* 123 5 Spinnaker Exploration Co.* 139 4 Stone Energy Corp.* 168 10 W-H Energy Services, Inc.* 190 0^^ XTO Energy, Inc. 0^^ ------------------------------------------------------------------------- 1,175 ------------------------------------------------------------------------- PACKAGING -- 2.4% 47 Crown Holdings, Inc.* 335 4 Silgan Holdings, Inc.* 111 ------------------------------------------------------------------------- 446 ------------------------------------------------------------------------- PHARMACEUTICALS -- 7.8% 11 Adolor Corp.* 140 9 Amylin Pharmaceuticals, Inc.* 186 19 AtheroGenics, Inc.* 290 4 Atrix Laboratories, Inc.* (l) 79 4 Ligand Pharmaceuticals, Inc., Class B* (l) 60 2 NBTY, Inc.* 41 2 Neurocrine Biosciences, Inc.* 112 6 SangStat Medical Corp.* 76 4 Sepracor, Inc.* 64 3 Taro Pharmaceutical Industries LTD (Israel)* 158 6 Trimeris, Inc.* (l) 259 ------------------------------------------------------------------------- 1,465 ------------------------------------------------------------------------- REAL ESTATE INVESTMENT TRUST -- 0.5% 3 Prentiss Properties Trust 101 RESTAURANTS/FOOD SERVICES -- 0.6% 3 Landry's Restaurants, Inc. 68 1 The Cheesecake Factory, Inc.* 48 ------------------------------------------------------------------------- 116 ------------------------------------------------------------------------- RETAILING -- 4.7% 3 AnnTaylor Stores Corp.* 96 3 Big 5 Sporting Goods Corp.* 44 5 BJ's Wholesale Club, Inc.* $ 70 1 Chico's FAS, Inc.* 29 3 CSK Auto Corp.* 49 4 Fred's, Inc. 153 4 Linens `N Things, Inc.* 99 2 Michaels Stores, Inc.* 58 1 Pacific Sunwear of California, Inc.* 24 7 Pier 1 Imports, Inc. 133 4 School Specialty, Inc.* (l) 107 2 Shoe Carnival, Inc.* 26 ------------------------------------------------------------------------- 888 ------------------------------------------------------------------------- SEMI-CONDUCTORS -- 5.7% 5 Applied Micro Circuits Corp.* 30 6 ATMI, Inc.* (l) 148 13 ChipPAC, Inc., Class A* 97 3 Cree, Inc.* (l) 47 2 Integrated Circuit Systems, Inc.* (l) 58 4 Intersil Corp., Class A* 95 6 Lam Research Corp.* 116 15 Lattice Semiconductor Corp.* (l) 126 4 Rambus, Inc.* 63 10 Semtech Corp.* 141 10 Skyworks Solutions, Inc.* (l) 70 3 Varian Semiconductor Equipment Associates, Inc.* 77 ------------------------------------------------------------------------- 1,068 ------------------------------------------------------------------------- STEEL -- 0.9% 8 Reliance Steel & Aluminum Co. 172 TELECOMMUNICATIONS -- 0.6% 9 Citizens Communications Co.* (l) 113 TELECOMMUNICATIONS EQUIPMENT -- 1.6% 2 Advanced Fibre Communications, Inc.* 40 42 CIENA Corp.* 215 9 Sycamore Networks, Inc.* 36 ------------------------------------------------------------------------- 291 -------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 59
SHARES ISSUER VALUE - ---------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED TOYS & GAMES -- 0.5% 7 JAKKS Pacific, Inc.* $ 92 UTILITIES -- 0.8% 15 Sierra Pacific Resources* (l) 87 4 UniSource Energy Corp. 66 ------------------------------------------------------------------------- 153 ------------------------------------------------------------------------- Total Common Stocks (Cost $13,662) 16,825 ------------------------------------------------------------------------- PREFERRED STOCKS -- 0.1% ------------------------------------------------------------------------- ENTERTAINMENT/LEISURE -- 0.1% 1 Six Flags, Inc.* (Cost $15) 23 ------------------------------------------------------------------------- Total Long-Term Investments (Cost $13,677) 16,848 ------------------------------------------------------------------------- SHARES ISSUER VALUE - ---------------------------------------------------------------------------------- SHORT-TERM INVESTMENT -- 9.9% MONEY MARKET FUND -- 9.9% 1,861 JPMorgan Prime Money Market Fund (a) (Cost $1,861) $ 1,861 ------------------------------------------------------------------------- Total Investments-- 100.0% $ 18,709 (Cost $15,538) ------------------------------------------------------------------------- SHARES COLLATERAL INVESTMENTS VALUE - ---------------------------------------------------------------------------------- MONEY MARKET FUNDS (c) 800 Merrill Lynch Premier Institution Money Market Fund $ 800 800 Reserve Primary Money Market Fund 800 REPURCHASE AGREEMENT (c) 506 Lehman Brothers, 1.35%, due 07/01/03, dated 06/30/03, proceeds $506, secured by U.S. Government Agency Securities 506 ------------------------------------------------------------------------- $ 2,106 -------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 60 ABBREVIATIONS: * -- Non-income producing security. ^^ -- Amount rounds to less than one thousand. @ -- Security is fully or partially segregated with brokers as initial margin for futures contracts + -- All or portion of this security is segregated with the custodian for futures contracts, TBA, when issued, delayed delivery securities or swaps (a) -- Affiliated. Money market fund registered under the Investment Company Act of 1940, as amended and advised by JPMorgan Fleming Asset Management, Inc. (c) -- Investment of cash collateral for portfolio securities on loan. (l) -- Security, or portion of a security, has been delivered to counterparty as part of security lending transaction. ADR -- American Depository Receipt. USD -- United States Dollar SEE NOTES TO FINANCIAL STATEMENTS. 61 JPMORGAN FUNDS STATEMENT OF ASSETS AND LIABILITIES (Unaudited) (Amounts in thousands, except per share amounts) AS OF JUNE 30, 2003
DYNAMIC MID CAP MID CAP SMALL CAP EQUITY GROWTH FUND FUND FUND - ----------------------------------------------------------------------------------------------- ASSETS Investment securities, at value $ 152,736 $ 158,941 $ 58,907 Investments held as collateral for securities lending program 13,997 7,732 5,469 Cash -- 52 2 Receivables: Fund shares sold 180 85 4 Interest and dividends 35 141 16 Securities lending (net) 1 1 --^ - ----------------------------------------------------------------------------------------------- Total Assets 166,949 166,952 64,398 - ----------------------------------------------------------------------------------------------- LIABILITIES Payables: Distributions -- 168 -- Investment securities purchased 205 173 -- Collateral for securities lending program 13,997 7,732 5,469 Fund shares redeemed 2,120 -- 81 Accrued liabilities: Investment advisory fees 78 85 24 Administration fees 7 13 -- Shareholder servicing fees 10 7 3 Distribution fees 56 -- 13 Custodian fees 11 7 8 Trustees' fees - deferred compensation plan 23 21 1 Other 99 35 45 - ----------------------------------------------------------------------------------------------- Total Liabilities 16,606 8,241 5,644 - -----------------------------------------------------------------------------------------------
^ Amount rounds to less than one thousand. SEE NOTES TO FINANCIAL STATEMENTS. 62 SEMI-ANNUAL REPORT JUNE 30 2003
DYNAMIC MID CAP MID CAP SMALL CAP EQUITY GROWTH FUND FUND FUND - ----------------------------------------------------------------------------------------------- NET ASSETS Paid in capital 181,360 136,585 320,978 Accumulated undistributed (overdistributed) net investment income (1,009) (20) (302) Accumulated net realized gain (loss) on investments (54,729) 590 (265,493) Net unrealized appreciation (depreciation) of investments 24,721 21,556 3,571 - ----------------------------------------------------------------------------------------------- Total Net Assets $ 150,343 $ 158,711 $ 58,754 - ----------------------------------------------------------------------------------------------- Shares of beneficial interest outstanding ($0.001 par value; unlimited number of shares authorized): Class A 5,502 -- 13,438 Class B 3,866 -- 732 Class C 1,025 -- -- Select 812 5,741 -- Net Asset Value: Class A (and redemption price) $ 13.67 $ -- $ 4.15 Class B* $ 13.06 $ -- $ 4.05 Class C* $ 13.04 $ -- $ -- Select (and redemption price) $ 13.90 $ 27.65 $ -- Class A Maximum Public Offering Price Per Share (net asset value per share/94.25%) $ 14.50 $ -- $ 4.40 - ----------------------------------------------------------------------------------------------- Cost of investments $ 128,015 $ 137,385 $ 55,336 - -----------------------------------------------------------------------------------------------
* Redemption price may be reduced by contingent deferred sales charge. SEE NOTES TO FINANCIAL STATEMENTS. 63
MID CAP SMALL CAP SMALL CAP VALUE EQUITY GROWTH FUND FUND FUND - ----------------------------------------------------------------------------------------------- ASSETS Investment securities, at value $ 315,335 $ 628,550 $ 2,138 Investments held as collateral for securities lending program 195 45,150 35 Cash 104 -- --^ Receivables: Investment securities sold 871 3,517 9 Fund shares sold 4,236 931 -- Interest and dividends 233 431 1 Securities lending (net) --^ 5 --^ Expense reimbursements -- -- 66 - ----------------------------------------------------------------------------------------------- Total Assets 320,974 678,584 2,249 - ----------------------------------------------------------------------------------------------- LIABILITIES Payables: Due to custodian -- 135 -- Investment securities purchased 7,264 2,486 28 Collateral for securities lending program 195 45,150 35 Fund shares redeemed 56 6,084 -- Accrued liabilities: Investment advisory fees 62 338 -- Administration fees 24 16 -- Shareholder servicing fees 19 46 --^ Distribution fees 53 25 --^ Custodian fees 22 20 13 Trustees' fees - deferred compensation plan --^ 95 --^ Other 43 57 14 - ----------------------------------------------------------------------------------------------- Total Liabilities 7,738 54,452 90 - -----------------------------------------------------------------------------------------------
^ Amount rounds to less than one thousand. SEE NOTES TO FINANCIAL STATEMENTS. 64
MID CAP SMALL CAP SMALL CAP VALUE EQUITY GROWTH FUND FUND FUND - ----------------------------------------------------------------------------------------------- NET ASSETS Paid in capital 284,683 572,974 3,504 Accumulated undistributed (overdistributed) net investment income 564 (1,004) (8) Accumulated net realized gain (loss) on investments (434) (31,725) (1,560) Net unrealized appreciation (depreciation) of investments 28,423 83,887 223 - ----------------------------------------------------------------------------------------------- Total Net Assets $ 313,236 $ 624,132 $ 2,159 - ----------------------------------------------------------------------------------------------- Shares of beneficial interest outstanding ($0.001 par value; unlimited number of shares authorized): Class A 4,703 3,787 76 Class B 2,120 1,032 24 Class C 1,991 -- 9 Institutional 8,585 -- 222 Select 1,919 26,026 5 Net Asset Value: Class A (and redemption price) $ 16.19 $ 19.59 $ 6.35 Class B* $ 15.99 $ 18.23 $ 6.29 Class C* $ 16.03 $ -- $ 6.27 Institutional (and redemption price) $ 16.32 $ -- $ 6.48 Select (and redemption price) $ 16.26 $ 20.41 $ 6.44 Class A Maximum Public Offering Price Per Share (net asset value per share/94.25%) $ 17.18 $ 20.79 $ 6.74 - ----------------------------------------------------------------------------------------------- Cost of investments $ 286,912 $ 544,663 $ 1,915 - -----------------------------------------------------------------------------------------------
* Redemption price may be reduced by contingent deferred sales charge. SEE NOTES TO FINANCIAL STATEMENTS. 65 SEMI-ANNUAL REPORT JUNE 30 2003
U.S. SMALL TRUST SMALL U.S. SMALL COMPANY CAP EQUITY COMPANY OPPORTUNITIES FUND FUND FUND - ----------------------------------------------------------------------------------------------- ASSETS Investment securities, at value $ 298,974 $ 352,036 $ 18,709 Investments held as collateral for securities lending program 26,974 34,159 2,106 Cash 19 52 --^ Receivables: Investment securities sold 875 953 8 Fund shares sold 591 306 1 Interest and dividends 199 295 4 Variation margin -- 17 -- Securities lending (net) 2 9 1 - ----------------------------------------------------------------------------------------------- Total Assets 327,634 387,827 20,829 - ----------------------------------------------------------------------------------------------- LIABILITIES Payables: Dividends 40 -- -- Investment securities purchased 1,139 2,150 -- Collateral for securities lending program 26,974 34,159 2,106 Fund shares redeemed 10 4,035 4 Accrued liabilities: Investment advisory fees 107 173 2 Administration fees 25 35 -- Shareholder servicing fees -- 25 -- Custodian fees 12 21 12 Trustees' fees - deferred compensation plan 67 1 1 Other 44 34 18 - ----------------------------------------------------------------------------------------------- Total Liabilities 28,418 40,633 2,143 - -----------------------------------------------------------------------------------------------
^ Amount rounds to less than one thousand. SEE NOTES TO FINANCIAL STATEMENTS. 66 SEMI - ANNUAL REPORT JUNE 30 2003
U.S. SMALL TRUST SMALL U.S. SMALL COMPANY CAP EQUITY COMPANY OPPORTUNITIES FUND FUND FUND NET ASSETS Paid in capital 267,058 385,452 178,561 Accumulated undistributed (overdistributed) net investment income (69) 823 (81) Accumulated net realized gain (loss) on investments and futures (9,462) (117,768) (162,965) Net unrealized appreciation (depreciation) of investments and futures 41,689 78,687 3,171 - ----------------------------------------------------------------------------------------------------------------- Total Net Assets $ 299,216 $ 347,194 $ 18,686 - ----------------------------------------------------------------------------------------------------------------- Shares of beneficial interest outstanding ($0.001 par value; unlimited number of shares authorized): Institutional -- 14,391 -- Select 8,116 16,563 2,452 Net Asset Value: Institutional (and redemption price) $ -- $ 11.21 $ -- Select (and redemption price) $ 36.87 $ 11.22 $ 7.62 - ----------------------------------------------------------------------------------------------------------------- Cost of investments $ 257,285 $ 273,305 $ 15,538 - -----------------------------------------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 67 JPMORGAN FUNDS STATEMENT OF OPERATIONS FOR THE SIX MONTHS ENDED JUNE 30, 2003 (Unaudited) (Amounts in thousands)
DYNAMIC MID CAP MID CAP SMALL CAP EQUITY GROWTH FUND FUND FUND INVESTMENT INCOME Dividend $ 231 $ 979 $ 66 Dividend income from affiliated investments* 15 28 7 Securities lending (net) 26 5 5 Foreign taxes withheld -- (1) --^ - ----------------------------------------------------------------------------------------------------------------- Total investment income 272 1,011 78 - ----------------------------------------------------------------------------------------------------------------- EXPENSES Investment advisory fees 476 464 178 Administration fees 110 107 41 Shareholder servicing fees 183 179 24 Distribution fees 311 -- 86 Custodian fees 34 24 24 Printing and postage 26 3 14 Professional fees 30 24 28 Registration expenses 29 11 13 Transfer agent fees 265 11 66 Trustees' fees 1 1 --^ Other 28 4 5 - ----------------------------------------------------------------------------------------------------------------- Total expenses 1,493 828 479 - ----------------------------------------------------------------------------------------------------------------- Less amounts waived 239 185 100 Less earnings credits --^ --^ -- - ----------------------------------------------------------------------------------------------------------------- Net expenses 1,254 643 379 - ----------------------------------------------------------------------------------------------------------------- Net investment income (loss) (982) 368 (301) - -----------------------------------------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 68 SEMI - ANNUAL REPORT JUNE 30 2003
DYNAMIC MID CAP MID CAP SMALL CAP EQUITY GROWTH FUND FUND FUND REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS Net realized gain (loss) on transactions from: Investments (6,917) 1,255 (3,882) Change in net unrealized appreciation/depreciation of: Investments 24,895 17,568 12,610 Net realized and unrealized gain (loss) on investments 17,978 18,823 8,728 Net increase (decrease) in net assets from operations $ 16,996 $ 19,191 $ 8,427 - ----------------------------------------------------------------------------------------------------------------- * Includes reimbursements of investment advisory, administration and shareholder servicing fees : $ 2 $ 4 $ 1 - -----------------------------------------------------------------------------------------------------------------
^ Amount rounds to less than one thousand. SEE NOTES TO FINANCIAL STATEMENTS. 69
MID CAP SMALL CAP SMALL CAP VALUE EQUITY GROWTH FUND FUND FUND INVESTMENT INCOME Dividend $ 1,557 $ 1,808 $ 2 Dividend income from affiliated investments* 122 60 1 Securities lending (net) 7 50 --^ Foreign taxes withheld (1) -- -- - ----------------------------------------------------------------------------------------------------------------- Total investment income 1,685 1,918 3 - ----------------------------------------------------------------------------------------------------------------- EXPENSES Investment advisory fees 700 1,907 7 Administration fees 122 440 1 Shareholder servicing fees 81 682 --^ Distribution fees 221 165 1 Custodian fees 51 55 42 Printing and postage 4 27 -- Professional fees 27 36 26 Registration expenses 73 37 45 Transfer agent fees 156 200 32 Trustees' fees 1 3 --^ Other 13 21 13 - ----------------------------------------------------------------------------------------------------------------- Total expenses 1,449 3,573 167 - ----------------------------------------------------------------------------------------------------------------- Less amounts waived 328 761 9 Less earnings credits --^ --^ -- Less expense reimbursements -- -- 147 - ----------------------------------------------------------------------------------------------------------------- Net expenses 1,121 2,812 11 - ----------------------------------------------------------------------------------------------------------------- Net investment income (loss) 564 (894) (8) - -----------------------------------------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 70 SEMI - ANNUAL REPORT JUNE 30 2003
MID CAP SMALL CAP SMALL CAP VALUE EQUITY GROWTH FUND FUND FUND REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS Net realized gain (loss) on transactions from: Investments 991 (9,832) (450) Change in net unrealized appreciation/depreciation of: Investments 25,475 73,011 726 Net realized and unrealized gain (loss) on investments 26,466 63,179 276 Net increase (decrease) in net assets from operations $ 27,030 $ 62,285 $ 268 - ----------------------------------------------------------------------------------------------------------------- * Includes reimbursements of investment advisory, administration and shareholder servicing fees : $ 17 $ 8 $ --^ - -----------------------------------------------------------------------------------------------------------------
^ Amount rounds to less than one thousand. SEE NOTES TO FINANCIAL STATEMENTS. 71
U.S. SMALL TRUST SMALL U.S. SMALL COMPANY CAP EQUITY COMPANY OPPORTUNITIES FUND FUND FUND INVESTMENT INCOME Interest $ -- $ 1 $ -- Dividend 789 2,383 44 Dividend income from affiliated investments* 47 53 11 Securities lending (net) 34 54 7 Foreign taxes withheld -- (6) --^ - ----------------------------------------------------------------------------------------------------------------- Total investment income 870 2,485 62 - ----------------------------------------------------------------------------------------------------------------- EXPENSES Investment advisory fees 854 1,084 84 Administration fees 197 271 21 Shareholder servicing fees 329 315 35 Custodian fees 24 50 18 Printing and postage 7 22 2 Professional fees 25 33 24 Registration expenses 3 7 5 Transfer agent fees 10 61 20 Trustees' fees 1 2 --^ Other 8 11 4 - ----------------------------------------------------------------------------------------------------------------- Total expenses 1,458 1,856 213 - ----------------------------------------------------------------------------------------------------------------- Less amounts waived 670 195 67 - ----------------------------------------------------------------------------------------------------------------- Less earnings credits --^ --^ 4 - ----------------------------------------------------------------------------------------------------------------- Net expenses 788 1,661 142 - ----------------------------------------------------------------------------------------------------------------- Net investment income 82 824 (80) - -----------------------------------------------------------------------------------------------------------------
^ Amount rounds to less than one thousand. SEE NOTES TO FINANCIAL STATEMENTS. 72
U.S. SMALL TRUST SMALL U.S. SMALL COMPANY CAP EQUITY COMPANY OPPORTUNITIES FUND FUND FUND REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS Net realized gain (loss) on transactions from: Investments (2,691) (52,559) (7,719) Futures -- 317 -- Change in net unrealized appreciation/depreciation of: Investments 30,647 87,688 5,328 Futures -- (44) -- Net realized and unrealized gain (loss) on investments and futures 27,956 35,402 (2,391) Net increase (decrease) in net assets from operations $ 28,038 $ 36,226 $ (2,471) - ----------------------------------------------------------------------------------------------------------------- * Includes reimbursements of investment advisory, administration and shareholder servicing fees : $ 7 $ 8 $ 1 - -----------------------------------------------------------------------------------------------------------------
^ Amount rounds to less than one thousand. SEE NOTES TO FINANCIAL STATEMENTS. 73 JPMORGAN FUNDS STATEMENT OF CHANGES IN NET ASSETS (Unaudited) (Amounts in thousands) FOR THE PERIODS INDICATED
DYNAMIC SMALL CAP FUND MID CAP EQUITY FUND ------------------------ ------------------------ 1/1/03 YEAR 1/1/03 YEAR THROUGH ENDED THROUGH ENDED 6/30/03 12/31/02 6/30/03 12/31/02 INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS Net investment income (loss) $ (982) $ (2,560) $ 368 $ 752 Net realized gain (loss) on investments (6,917) (21,721) 1,255 4,503 Change in net unrealized appreciation (depreciation) of investments 24,895 (21,184) 17,568 (27,236) - ------------------------------------------------------------------------------------------------------------------- Increase (decrease) in net assets from operations 16,996 (45,465) 19,191 (21,981) - ------------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS TO SHAREHOLDERS FROM Net investment income -- -- (369) (747) Net realized gain on investment transactions -- -- -- (5,775) - ------------------------------------------------------------------------------------------------------------------- Total distributions to shareholders -- -- (369) (6,522) - ------------------------------------------------------------------------------------------------------------------- CAPITAL SHARE TRANSACTIONS Increase (decrease) from capital share transactions (18,997) (17,744) 1,258 12,071 - ------------------------------------------------------------------------------------------------------------------- Total increase (decrease) in net assets (2,001) (63,209) 20,080 (16,432) - ------------------------------------------------------------------------------------------------------------------- NET ASSETS Beginning of period 152,344 215,553 138,631 155,063 - ------------------------------------------------------------------------------------------------------------------- End of period $ 150,343 $ 152,344 $ 158,711 $ 138,631 - ------------------------------------------------------------------------------------------------------------------- Accumulated undistributed (overdistributed) net investment income $ (1,009) $ (27) $ (20) $ (19) - -------------------------------------------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 74 SEMI - ANNUAL REPORT JUNE 30 2003
MID CAP GROWTH FUND MID CAP VALUE FUND ------------------------ ------------------------ 1/1/03 YEAR 1/1/03 YEAR THROUGH ENDED THROUGH ENDED 6/30/03 12/31/02 6/30/03 12/31/02 INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS Net investment income (loss) $ (301) $ (916) $ 564 $ 323 Net realized gain (loss) on investments (3,882) (15,898) 991 (1,295) Change in net unrealized appreciation (depreciation) of investments 12,610 (11,548) 25,475 1,704 - ------------------------------------------------------------------------------------------------------------------- Increase (decrease) in net assets from operations 8,427 (28,362) 27,030 732 - ------------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS TO SHAREHOLDERS FROM Net investment income -- -- -- (337) Net realized gain on investment transactions -- -- -- (50) - ------------------------------------------------------------------------------------------------------------------- Total distributions to shareholders -- -- -- (387) - ------------------------------------------------------------------------------------------------------------------- CAPITAL SHARE TRANSACTIONS Increase (decrease) from capital share transactions (5,829) (21,856) 164,313 106,270 - ------------------------------------------------------------------------------------------------------------------- Total increase (decrease) in net assets 2,598 (50,218) 191,343 106,615 - ------------------------------------------------------------------------------------------------------------------- NET ASSETS Beginning of period 56,156 106,374 121,893 15,278 - ------------------------------------------------------------------------------------------------------------------- End of period $ 58,754 $ 56,156 $ 313,236 $ 121,893 - ------------------------------------------------------------------------------------------------------------------- Accumulated undistributed (overdistributed) net investment income $ (302) $ (1) $ 564 $ -- - -------------------------------------------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 75
SMALL CAP EQUITY FUND SMALL CAP GROWTH FUND ------------------------ ------------------------ 1/1/03 YEAR 1/1/03 YEAR THROUGH ENDED THROUGH ENDED 6/30/03 12/31/02 6/30/03 12/31/02 INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS Net investment income (loss) $ (894) $ (2,218) $ (8) $ (19) Net realized gain (loss) on investments (9,832) (21,869) (450) (761) Change in net unrealized appreciation (depreciation) of investments 73,011 (97,620) 726 (394) - ------------------------------------------------------------------------------------------------------------------- Increase (decrease) in net assets from operations 62,285 (121,707) 268 (1,174) - ------------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS TO SHAREHOLDERS FROM Net realized gain on investment transactions -- (4,099) -- -- CAPITAL SHARE TRANSACTIONS Increase (decrease) from capital share transactions (40,542) 82,821 91 441 - ------------------------------------------------------------------------------------------------------------------- Total increase (decrease) in net assets 21,743 (42,985) 359 (733) - ------------------------------------------------------------------------------------------------------------------- NET ASSETS Beginning of period 602,389 645,374 1,800 2,533 - ------------------------------------------------------------------------------------------------------------------- End of period $ 624,132 $ 602,389 $ 2,159 $ 1,800 - ------------------------------------------------------------------------------------------------------------------- Accumulated undistributed (overdistributed) net investment income $ (1,004) $ (110) $ (8) $ -- - -------------------------------------------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 76 SEMI - ANNUAL REPORT JUNE 30 2003
TRUST SMALL CAP EQUITY FUND U.S. SMALL COMPANY FUND --------------------------- ------------------------ 1/1/03 YEAR 1/1/03 YEAR THROUGH ENDED THROUGH ENDED 6/30/03 12/31/02 6/30/03 12/31/02 INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS Net investment income (loss) $ 82 $ 286 $ 824 $ 1,655 Net realized gain (loss) on investments and futures (2,691) (6,774) (52,242) (62,722) Change in net unrealized appreciation (depreciation) of investments and futures 30,647 (49,269) 87,644 (57,422) - ------------------------------------------------------------------------------------------------------------------- Increase (decrease) in net assets from operations 28,038 (55,757) 36,226 (118,489) - ------------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS TO SHAREHOLDERS FROM Net investment income (80) (268) -- (1,956) Net realized gain on investment transactions -- (2,129) -- -- - ------------------------------------------------------------------------------------------------------------------- Total distributions to shareholders (80) (2,397) -- (1,956) - ------------------------------------------------------------------------------------------------------------------- CAPITAL SHARE TRANSACTIONS Increase (decrease) from capital share transactions 12,195 (109) (102,507) (21,015) - ------------------------------------------------------------------------------------------------------------------- Total increase (decrease) in net assets 40,153 (58,263) (66,281) (141,460) - ------------------------------------------------------------------------------------------------------------------- NET ASSETS Beginning of period 259,063 317,326 413,475 554,935 - ------------------------------------------------------------------------------------------------------------------- End of period $ 299,216 $ 259,063 $ 347,194 $ 413,475 - ------------------------------------------------------------------------------------------------------------------- Accumulated undistributed (overdistributed) net investment income $ (69) $ (71) $ 823 $ (1) - -------------------------------------------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 77
U.S. SMALL COMPANY OPPORTUNITIES FUND ------------------------------------- 1/1/03 YEAR THROUGH ENDED 6/30/03 12/31/02 INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS Net investment income (loss) $ (80) $ (693) Net realized gain (loss) on investments (7,719) (53,436) Change in net unrealized appreciation (depreciation) of investments 5,328 8,085 - -------------------------------------------------------------------------------------------------------------- Increase (decrease) in net assets from operations (2,471) (46,044) - -------------------------------------------------------------------------------------------------------------- CAPITAL SHARE TRANSACTIONS Increase (decrease) from capital share transactions (33,693) (93,714) - -------------------------------------------------------------------------------------------------------------- Total increase (decrease) in net assets (36,164) (139,758) - -------------------------------------------------------------------------------------------------------------- NET ASSETS Beginning of period 54,850 194,608 - -------------------------------------------------------------------------------------------------------------- End of period $ 18,686 $ 54,850 - -------------------------------------------------------------------------------------------------------------- Accumulated undistributed (overdistributed) net investment income $ (81) $ (1) - --------------------------------------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 78 JPMORGAN FUNDS NOTES TO FINANCIAL STATEMENTS (Unaudited) 1. ORGANIZATION J.P. Morgan Funds ("JPMF"), J.P. Morgan Institutional Funds ("JPMIF"), J.P. Morgan Mutual Fund Group ("JPMMFG"), J.P. Morgan Mutual Fund Select Group ("JPMMFSG") and the J.P. Morgan Mutual Fund Investment Trust ("JPMMFIT") were organized as Massachusetts business trusts and J.P. Morgan Fleming Mutual Fund Group, Inc. ("JPMFMFG") was organized as a Maryland corporation (collectively the "Trusts"). The Trusts are registered under the Investment Company Act of 1940 (the "1940 Act"), as amended, as open-end management investment companies. The Trusts were organized on the following dates: -
TRUST DATE JPMF November 4, 1992 JPMIF November 4, 1992 JPMMFG May 11, 1987 JPMMFSG October 1, 1996 JPMMFIT September 23, 1997 JPMFMFG August 19, 1997
The following are nine separate portfolios of the Trusts (collectively, the "Funds"):
FUND CLASSES OFFERED JPMorgan Dynamic Small Cap Fund ("DSCF") Class A, Class B, Class C and Select JPMorgan Mid Cap Equity Fund ("MCEF") Select JPMorgan Mid Cap Growth Fund ("MCGF") Class A and Class B JPMorgan Mid Cap Value Fund ("MCVF") Class A, Class B, Class C, Institutional and Select JPMorgan Small Cap Equity Fund ("SCEF") Class A, Class B and Select JPMorgan Small Cap Growth Fund ("SCGF") Class A, Class B, Class C, Institutional and Select JPMorgan Trust Small Cap Equity Fund ("TSCEF") Select JPMorgan U.S. Small Company Fund ("USSCF") Institutional and Select JPMorgan U.S. Small Company Opportunities Fund ("USSCOF") Select
JPMMFG, JPMMFSG, JPMMFIT and JPMFMFG were formerly named Mutual Fund Group, Mutual Fund Select Group, Mutual Fund Investment Trust and The Fleming Mutual Fund Group, Inc., respectively. The name change went into effect on May 1, 2003. MCEF and TSCEF were formerly named JPMorgan Select Mid Cap Equity Fund and JPMorgan Select Small Cap Equity Fund, respectively. The name change went into effect on April 30, 2003. USSCOF is a separate series of JPMF. USSCF is a separate series of JPMIF. SCEF and DSCF are separate series of JPMMFG. MCEF and TSCEF are separate series of JPMMFSG. MCGF is a separate series of JPMMFIT. MCVF and SCGF are separate series of JPMFMFG. Beginning July 18, 2003, SCGF Classes B and C will no longer be offered for sale. 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. 79 No sales charges are assessed with respect to the Institutional Class shares and Select Class shares. All classes of shares have equal rights as to earnings, assets and voting privileges except that each class may bear different transfer agent, distribution and shareholder servicing fees and each class has exclusive voting rights with respect to its distribution plan and shareholder servicing agreements. 2. SIGNIFICANT ACCOUNTING POLICIES THE FOLLOWING IS A SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES FOLLOWED BY THE FUNDS: The preparation of financial statements in accordance with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. A. VALUATION OF INVESTMENTS -- Equity securities, purchased options and futures contracts are valued at the last sale price on the exchange on which they are primarily traded. The value of National Markets Systems equity securities quotes by the Nasdaq Stock Market, Inc. shall generally be the Nasdaq Official Closing Price. Securities for which sale prices are not available and other over-the-counter securities are valued at the mean between the bid and asked quotations. Fixed income securities (other than convertible bonds) with a maturity of 61 days or more held by 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 subjects the Fund to unlimited risk. The Funds may enter into futures contracts only on exchanges or boards of trade. The exchange or board of 80 SEMI - ANNUAL REPORT JUNE 30 2003 trade acts as the counterparty to each futures transaction; therefore, the Fund's credit risk is limited to failure of the exchange or board of trade. As of June 30, 2003, the Funds had outstanding futures contracts as listed on the Fund's Portfolio of Investments. C. RESTRICTED AND ILLIQUID SECURITIES -- Each Fund may invest in securities that are subject to legal or contractual restrictions on resale or are illiquid. Restricted securities generally may be resold in transactions exempt from registration. A security may be considered illiquid if it lacks a readily available market or if its valuation has not changed for a certain period of time. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at the current valuation may be difficult. D. SECURITIES ON LOAN -- For all the Funds, the Board of Trustees has approved the lending of securities, through its custodian JPMorgan Chase Bank ("JPMCB", an affiliate of the Funds) acting as lending agent to certain borrowers. By lending investment securities, the Funds attempt to increase their net investment income through the receipt of interest (after rebates and fees) on collateral received in connection with the loan. The net amount of interest earned, after the rebate and fee, is included in the Statement of Operations as Securities lending (net). The loans are secured by collateral at least equal, at all times, to the value of the securities loaned plus accrued interest. Gain or loss on the value of the securities loaned that may occur during the term of the loan will be for the account of the Fund. The Fund also continues to receive interest or dividends on the securities loaned. The Fund has the right under the lending agreement to recover the securities from the borrower on demand. JPMCB invests the cash collateral on behalf of the Funds in accordance with investment guidelines contained in the securities lending agreement. At June 30, 2003, the market value of securities loaned and the amount of collateral received were as follows (amounts in thousands):
MARKET VALUE OF MARKET VALUE OF SECURITIES LOANED COLLATERAL RECEIVED DSCF $ 13,749 $ 13,997 MCEF 7,534 7,732 MCGF 5,315 5,469 MCVF 189 195 SCEF 44,336 45,150 SCGF 35 35 TSCEF 26,369 26,974 USSCF 33,070 34,159 USSCOF 2,048 2,106
JPMCB as lending agent receives a fee equal to 0.06% of the average dollar value of loans of U.S. securities outstanding during a given month and 0.1142% of the average dollar value of loans on non-U.S. securities outstanding during a given month from the Funds as detailed below (amounts in thousands): DSCF $ 8 MCEF 3 MCGF 3 MCVF 3 SCEF 19 SCGF --^ TSCEF 13 USSCF 13 USSCOF 2
^ Amount rounds to less than one thousand. 81 Risks of delay in recovery of securities or even loss of rights in the collateral may occur should the borrower of the securities fail financially. Risks may also arise to the extent that the value of the securities loaned increases above the value of the securities received. JPMCB will indemnify the Fund from any loss resulting from a borrower's failure to return a loaned security when due. E. SECURITY TRANSACTIONS AND INVESTMENT INCOME -- Investment transactions are accounted for on the trade date (the date the order to buy or sell is executed). Securities gains and losses are calculated on the identified cost basis. Interest income is determined on the basis of coupon interest accrued using the interest method adjusted for amortization of premiums and accretion of discounts. Dividend income is recorded on the ex-dividend date or when the fund first learns of the dividend. F. ALLOCATION OF INCOME AND EXPENSES -- Expenses directly attributable to a Fund are charged to that Fund; other expenses of the Trusts are allocated proportionately among each of the Funds within the Trusts in relation to the net assets of each Fund or on another reasonable basis. Expenses directly attributable to a particular class are charged directly to such class. In calculating the net asset value per share of each class, investment income, realized and unrealized gains and losses and expenses other than class specific expenses are allocated daily to each class of shares based upon the proportion of net assets of each class at the beginning of each day. G. FEDERAL INCOME TAXES -- Each Fund is treated as a separate taxable entity for Federal income tax purposes. The Fund's policy is to comply with the provisions of the Internal Revenue Code applicable to regulated investment companies and to distribute to shareholders all of its distributable net investment income and net realized gain on investments. In addition, the Funds intend to make distributions as required to avoid excise taxes. Accordingly, no provision for Federal income or excise tax is necessary. H. DISTRIBUTIONS TO SHAREHOLDERS -- Dividends and distributions paid to shareholders are recorded on the ex-dividend date. The amount of dividends and distributions from net investment income and net realized capital gains is determined in accordance with Federal income tax regulations, which may differ from accounting principles generally accepted in the United States of America. To the extent these "book/tax" differences are permanent in nature (i.e., that they result from other than timing of recognition -- "temporary differences"), such amounts are reclassified within the capital accounts based on their Federal tax-basis treatment. 82 3. 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"), J.P. Morgan Investment Management, Inc. ("JPMIM") and Robert Fleming, Inc. ("Fleming") (collectively, 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 DSCF, MCEF, MCGF, SCEF, and TSCEF. JPMIM, a wholly owned subsidiary of JPMorgan, is the Advisor for USSCF and USSCOF. Fleming, a wholly owned subsidiary of JPMorgan, is the Advisor for MCVF and SCGF. 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 ADVISORY FEE (%) FUND DSCF 0.65% MCEF 0.65% MCGF 0.65% MCVF 0.70% SCEF 0.65% SCGF 0.80% TSCEF 0.65% USSCF 0.60% USSCOF 0.60%
The Advisors waived fees as outlined in Note 3.F. The Funds may invest in one or more of the affiliated JPMorgan Money Market Funds. The Advisor has agreed to reimburse its advisory fee from the Funds in an amount sufficient to offset any doubling up of investment advisory, administration and shareholder servicing fees related to each Fund's investment in an affiliated money market fund. 83 B. DISTRIBUTION FEE -- Pursuant to a Distribution Agreement, J.P. Morgan Fund Distributors, Inc. ("JPMFD" or "Distributor"), a wholly-owned subsidiary of The BISYS Group, Inc., serves as the Trusts' exclusive underwriter and promotes and arranges for the sale of each Fund's shares. JPMFD receives no compensation in its capacity as the Funds' underwriter. The Trustees have adopted Distribution Plans (the "Distribution Plans") for Class A, B, and C Shares of the Funds in accordance with Rule 12b-1 under the 1940 Act. The Distribution Plans provide that each Fund shall pay distribution fees, including payments to the Distributor, at annual rates of the average daily net assets as shown in the table below (%):
CLASS A CLASS B CLASS C FUND DSCF 0.25 0.75 0.75 MCEF n/a n/a n/a MCGF 0.25 0.75 n/a MCVF 0.25 0.75 0.75 SCEF 0.25 0.75 n/a SCGF 0.25 0.75 0.75 TSCEF n/a n/a n/a USSCF n/a n/a n/a USSCOF n/a n/a n/a
Prior to May 1, 2003, MCGF Class B, MCVF Class B & C and SCGF Class B & C paid the Distributor a fee computed daily and paid monthly at an annual rate equal to 1.00% of the respective Fund Class' average daily net assets. MCGF Class A paid 0.30%. In addition, JPMFD receives the contingent deferred sales charge ("CDSC") from redemptions of Class B and C shares. The Distributor waived fees as outlined in 3.F. C. SHAREHOLDER SERVICING FEE -- The Trusts have entered into Shareholder Servicing Agreements on behalf of the Funds with JPMCB under which JPMCB provides account administration and personal account maintenance service to the 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 CLASS A CLASS B CLASS C CLASS CLASS FUND DSCF 0.25 0.25 0.25 n/a 0.25 MCEF n/a n/a n/a n/a 0.25 MCGF 0.25 0.25 n/a n/a n/a MCVF 0.25 0.25 0.25 0.10 0.25 SCEF 0.25 0.25 n/a n/a 0.25 SCGF 0.25 0.25 0.25 0.10 0.25 TSCEF n/a n/a n/a n/a 0.25 USSCF n/a n/a n/a 0.10 0.25 USSCOF n/a n/a n/a n/a 0.25
84 Effective May 1, 2003, a shareholder servicing fee of 0.25% of average daily net assets was implemented for Class A and Class B Shares of the MCGF and Class A, Class B and Class C Shares of the MCVF and SCGF. Also effective May 1, 2003, a shareholder servicing fee of 0.10% of average daily net assets was implemented for the Institutional Class of MCVF and SCGF. In addition, the shareholder servicing fee for Class A shares of the SCEF changed from 0.01% to 0.25%. In addition, JPMCB, Charles Schwab & Co. ("Schwab") and JPMF, and JPMIF are parties to separate servicing and operating agreements (the "Schwab Agreements") whereby Schwab makes shares of the Funds available to customers of investment advisers and other financial intermediaries who are Schwab's clients. The Funds are not responsible for payments to Schwab under the Schwab Agreements; however, in the event the servicing agreement with Schwab is terminated for reasons other than a breach by Schwab and the relationships between Schwab, JPMF and JPMIF are terminated, the Funds would be responsible for the ongoing payments to Schwab with respect to pre-termination shares. JPMCB waived fees as outlined in Note 3.F. D. CUSTODIAN AND ACCOUNTING FEES -- JPMCB provides portfolio custody services for all the Funds. Compensation for such services is presented in the Statement of Operations as custodian fees. The custodian fees may be reduced by credits earned by each Fund, based on the uninvested cash balances held by the custodian. Such earning credits are presented separately in the Statement of Operations. E. ADMINISTRATION FEE -- Pursuant to the Administration Agreement, JPMCB (the "Administrator") provides certain administration services to the Funds. In consideration of these services, the Administrator receives a fee computed daily and paid monthly at the annual rate 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. Effective May 1, 2003, MCVF and SCGF pay Administrator fees as stated above. Prior to May 1, 2003, MCVF and SCGF paid the Administrator a fee computed daily and paid monthly at an annual rate equal to 0.10% of the respective Fund's average daily net assets. 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 CLASS A CLASS B CLASS C CLASS CLASS FUND DSCF 1.50 2.12 2.12 n/a 1.10 MCEF n/a n/a n/a n/a 1.00^ MCGF 1.35 2.05 n/a n/a n/a MCVF 1.25 2.00 2.00 0.75 1.00 SCEF 1.38 2.12 n/a n/a 0.85 SCGF 1.60 2.35 2.35 0.85 1.10 USSCF n/a n/a n/a 0.83 1.01 USSCOF n/a n/a n/a n/a 1.02
^ Effective May 1, 2003, the contractual cap for MCEF was established at 1.00%. 85 The expense limitation percentages in the table on the previous page are due to expire as follows:
INSTITUTIONAL SELECT CLASS A CLASS B CLASS C CLASS CLASS FUND DSCF 4/30/04 4/30/04 4/30/04 n/a 4/30/04 MCEF n/a n/a n/a n/a 4/30/04 MCGF 4/30/04 4/30/04 n/a n/a n/a MCVF 4/30/04 4/30/04 4/30/04 4/30/04 4/30/04 SCEF 4/30/04 4/30/04 n/a n/a 4/30/04 SCGF 4/30/04 4/30/04 4/30/04 4/30/04 4/30/04 USSCF n/a n/a n/a 4/30/05 4/30/05 USSCOF n/a n/a n/a n/a 4/30/05
The Administrator waived fees and reimbursed expenses as outlined in Note 3.F. F. WAIVERS AND REIMBURSEMENTS -- For the six months ended June 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 ADVISORY ADMINISTRATION SERVICING DISTRIBUTION TOTAL REIMBURSEMENTS FUND DSCF $ 37 $ 73 $ 129 $ -- $ 239 $ -- MCEF -- 36 149 -- 185 -- MCGF 41 41 18 -- 100 -- MCVF 259 22 47 -- 328 -- SCEF -- 328 422 11 761 -- SCGF 7 1 1 -- 9 147 TSCEF 278 64 328 -- 670 -- USSCF -- 24 171 -- 195 -- USSCOF 33 13 21 -- 67 -- - ----------------------------------------------------------------------------------------------------------- $ 655 $ 602 $ 1,286 $ 11 $ 2,554 $ 147 - -----------------------------------------------------------------------------------------------------------
G. OTHER-- Certain officers of the Trusts are officers of JPMorgan or of BISYS or their subsidiaries. During the period, certain Funds purchased securities from an underwriting syndicate in which the principal underwriter or members of the syndicate were affiliated with the Advisors. For the six months ended June 30, 2003, MCEF, USSCF and USSCOF incurred approximately (in thousands) $3, $2 and $1, respectively, as brokerage commissions with brokers/dealers affiliated with JPMCB. 86 4. CLASS SPECIFIC EXPENSES The Funds' class specific expenses for the six months ended June 30, 2003 are as follows (amounts in thousands):
SHAREHOLDER FUND SERVICING DISTRIBUTION TRANSFER AGENT DSCF Class A $ 99 $ 99 $ 155 Class B 57 172 89 Class C 14 40 21 Select 13 -- -- - --------------------------------------------------------------------------------------------------------------- $ 183 $ 311 $ 265 MCEF Select $ 179 $ -- $ 11 - ---------------------------------------------------------------------------------------------------------------- MCGF Class A $ 23 $ 74 $ 63 Class B 1 12 3 - ---------------------------------------------------------------------------------------------------------------- $ 24 $ 86 $ 66 MCVF Class A $ 26 $ 54 $ 62 Class B 12 94 31 Class C 11 73 24 Institutional 20 -- 21 Select 12 -- 18 - ---------------------------------------------------------------------------------------------------------------- $ 81 $ 221 $ 156 SCEF Class A $ 42 $ 93 $ 138 Class B 24 72 36 Select 616 -- 26 $ 682 $ 165 $ 200 SCGF Class A $ --^ $ --^ $ 13 Class B --^ 1 7 Class C --^ --^ 2 Institutional --^ -- 6 Select --^ -- 4 - ---------------------------------------------------------------------------------------------------------------- $ --^ $ 1 $ 32 - ----------------------------------------------------------------------------------------------------------------
87
SHAREHOLDER FUND SERVICING DISTRIBUTION TRANSFER AGENT TSCEF Select $ 329 $ -- $ 10 - --------------------------------------------------------------------------------------------------------------- USSCF Institutional $ 91 $ -- $ 19 Select 224 -- 42 $ 315 $ -- $ 61 - --------------------------------------------------------------------------------------------------------------- USSCOF Select $ 35 $ -- $ 20 - ---------------------------------------------------------------------------------------------------------------
^ Amounts round to less than one thousand. 5. CLASS SPECIFIC DISTRIBUTIONS The Funds' class specific distributions from net investment income and realized gain on investment transactions for the six months ended June 30, 2003 and the year ended December 31, 2002 are as follows (amounts in thousands):
SIX MONTHS ENDED 6/30/03 YEAR ENDED 12/31/02 ------------------------------------ --------------------------------- Net Net Investment Income Realized Gain Investment Income Realized Gain MCEF Select $ 369 $ -- $ 747 $ 5,775 - ----------------------------------------------------------------------------------------------------------- MCVF Class A $ -- $ -- $ 39 $ 11 Class B -- -- -- 10 Class C -- -- -- 5 Institutional -- -- 247 21 Select -- -- 51 3 - ----------------------------------------------------------------------------------------------------------- $ -- $ -- $ 337 $ 50 SCEF Class A $ -- $ -- $ -- $ 487 Class B -- -- -- 220 Select -- -- -- 3,392 - ----------------------------------------------------------------------------------------------------------- $ -- $ -- $ -- $ 4,099 TSCEF Select $ 80 $ -- $ 268 $ 2,129 - ----------------------------------------------------------------------------------------------------------- USSCF Institutional $ -- $ -- $ 1,414 $ -- Select -- -- 542 -- - ----------------------------------------------------------------------------------------------------------- $ -- $ -- $ 1,956 -- - -----------------------------------------------------------------------------------------------------------
88 6. INVESTMENT TRANSACTIONS For the six months ended June 30, 2003, purchases and sales of investments (excluding short-term investments) were as follows (amounts in thousands):
PURCHASES SALES PURCHASES SALES (EXCLUDING U.S. (EXCLUDING U.S. OF U.S. OF U.S. GOVERNMENT) GOVERNMENT) GOVERNMENT GOVERNMENT FUND DSCF $ 33,616 $ 50,939 $ -- $ -- MCEF 54,767 54,888 -- -- MCGF 15,337 21,418 -- -- MCVF 190,370 41,174 -- -- SCEF 97,197 116,733 -- -- SCGF 1,373 1,260 -- -- TSCEF 54,323 46,670 -- -- USSCF 117,587 216,932 -- -- USSCOF 21,545 55,523 -- --
7. FEDERAL INCOME TAX MATTERS For Federal income tax purposes, the cost and unrealized appreciation (depreciation) in value of the investment securities at June 30, 2003, are as follows (amounts in thousands):
GROSS GROSS NET UNREALIZED AGGREGATE UNREALIZED UNREALIZED APPRECIATION/ COST APPRECIATION DEPRECIATION (DEPRECIATION) FUND DSCF $ 128,015 $ 34,276 $ (9,555) $ 24,721 MCEF 137,385 24,633 (3,077) 21,556 MCGF 55,336 7,972 (4,401) 3,571 MCVF 286,912 29,175 (752) 28,423 SCEF 544,663 115,075 (31,188) 83,887 SCGF 1,915 359 (136) 223 TSCEF 257,285 53,491 (11,802) 41,689 USSCF 273,305 108,907 (30,176) 78,731 USSCOF 15,538 3,293 (122) 3,171
89 8. BANK BORROWINGS Pursuant to a Line of Credit Agreement, dated April 17, 2003, the Funds may borrow money for temporary or emergency purposes. The Funds had entered into the agreement, enabling them to participate with other JPMorgan Funds in a line of credit with JPMCB, as administrative agent, and with a syndicate of banks, which permits borrowings up to $250 million, collectively. Interest is charged to each Fund based on its borrowings at an annual rate equal to the sum of the Federal Funds Rate plus 0.50%. The Funds also pay a commitment fee of 0.09% per annum on the average daily amount of the available commitment, which is allocated on a pro-rata basis to the Funds. The commitment fee is included in Other expenses on the Statement of Operations. This agreement will expire on April 15, 2004. Prior to April 17, 2003, the Funds could borrow money for temporary or emergency purposes. The Funds had entered into an agreement, enabling it 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 June 30, 2003, nor at anytime during the period then ended. 9. CONCENTRATIONS AND INDEMNIFICATIONS From time to time, the Funds may have a concentration of several shareholders which may be a related party, holding a significant percentage of shares outstanding. Investment activities of these shareholders could have a material impact on the Funds. In the normal course of business, the Funds enter into contracts that contain a variety of representations which provide general indemnifications. Each Fund's maximum exposure under these arrangements is unknown as this would involve future claims that may be made against each Fund that have not yet occurred. However, based on experience, the Funds expect the risk of loss to be remote. 10. SUBSEQUENT EVENTS On or about September 1, 2003, Robert Fleming ("Fleming") and J.P. Morgan Fleming Asset Management (USA), Inc. ("JPMFAM") will merge into J.P. Morgan Investment Management, Inc. ("JPMIM"). JPMIM, as the surviving entity, will assume all the rights and obligations of Fleming and JPMFAM. In addition, on or about October 1, 2003, it is expected that JPMIM will change from being a wholly owned subsidiary of J.P. Morgan Chase & Co. ("Parent") to being an indirectly wholly-owned subsidiary of the Parent, with the intermediary being J.P. Morgan Fleming Asset Management Holdings, Inc. The investment advisory services and personnel providing these services will not change as a result of the mergers. USSCOF will undergo changes to its investment strategy, process and portfolio manager effective July 31, 2003. 90 SEMI - ANNUAL REPORT JUNE 30 2003 11. CAPITAL SHARE TRANSACTIONS
DYNAMIC SMALL CAP FUND ---------------------------------------- SIX MONTHS ENDED YEAR ENDED JUNE 30, 2003 DECEMBER 31, 2002 CLASS A AMOUNT Shares sold $ 10,052 $ 90,038 Shares redeemed (26,629) (108,289) - ---------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (16,577) $ (18,251) - ---------------------------------------------------------------------------------------------------------------------- SHARES Shares sold 817 6,338 Shares redeemed (2,093) (7,485) - ---------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding (1,276) (1,147) CLASS B AMOUNT Shares sold $ 3,712 $ 6,717 Shares redeemed (6,199) (15,379) - ---------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (2,487) $ (8,662) - ---------------------------------------------------------------------------------------------------------------------- SHARES Shares sold 315 498 Shares redeemed (536) (1,173) - ---------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding (221) (675) - ---------------------------------------------------------------------------------------------------------------------- CLASS C AMOUNT Shares sold $ 3,052 $ 5,293 Shares redeemed (1,179) (2,731) - ---------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ 1,873 $ 2,562 - ---------------------------------------------------------------------------------------------------------------------- SHARES Shares sold 253 392 Shares redeemed (102) (207) - ---------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding 151 185 - ---------------------------------------------------------------------------------------------------------------------- SELECT AMOUNT Shares sold $ 6,150 $ 9,610 Shares redeemed (7,956) (3,003) - ---------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (1,806) $ 6,607 - ---------------------------------------------------------------------------------------------------------------------- SHARES Shares sold 494 691 Shares redeemed (690) (210) - ---------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding (196) 481 - ----------------------------------------------------------------------------------------------------------------------
91
MID CAP EQUITY FUND ---------------------------------------- SIX MONTHS ENDED YEAR ENDED JUNE 30, 2003 DECEMBER 31, 2002 SELECT AMOUNT Shares sold $ 12,084 $ 25,152 Shares issued in reinvestment of distributions 10 5,252 Shares redeemed (10,836) (18,333) - ---------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ 1,258 $ 12,071 - ---------------------------------------------------------------------------------------------------------------------- SHARES Shares sold 491 902 Shares issued in reinvestment of distributions 1 210 Shares redeemed (434) (684) - ---------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding 58 428 - ---------------------------------------------------------------------------------------------------------------------- MID CAP GROWTH FUND ---------------------------------------- SIX MONTHS ENDED YEAR ENDED JUNE 30, 2003 DECEMBER 31, 2002 CLASS A AMOUNT Shares sold $ 332 $ 583 Shares redeemed (5,962) (21,296) - ---------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (5,630) $ (20,713) - ---------------------------------------------------------------------------------------------------------------------- SHARES Shares sold 84 131 Shares redeemed (1,610) (5,120) - ---------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding (1,526) (4,989) - ---------------------------------------------------------------------------------------------------------------------- CLASS B AMOUNT Shares sold $ 116 $ 79 Shares redeemed (315) (1,222) - ---------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (199) $ (1,143) - ---------------------------------------------------------------------------------------------------------------------- SHARES Shares sold 32 20 Shares redeemed (88) (300) - ---------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding (56) (280) - ----------------------------------------------------------------------------------------------------------------------
92 2003 SEMI - ANNUAL REPORT JUNE 30
MID CAP VALUE FUND ---------------------------------------- SIX MONTHS ENDED YEAR ENDED JUNE 30, 2003 DECEMBER 31, 2002 CLASS A AMOUNT Shares sold $ 59,971 $ 26,683 Shares issued in reinvestment of distributions -- 39 Shares redeemed (15,582) (5,570) - ---------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ 44,389 $ 21,152 - ---------------------------------------------------------------------------------------------------------------------- SHARES Shares sold 3,936 1,848 Shares issued in reinvestment of distributions -- 3 Shares redeemed (1,050) (389) - ---------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding 2,886 1,462 - ---------------------------------------------------------------------------------------------------------------------- CLASS B AMOUNT Shares sold $ 18,116 $ 14,094 Shares issued in reinvestment of distributions -- 9 Shares redeemed (1,364) (2,597) - ---------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ 16,752 $ 11,506 - ---------------------------------------------------------------------------------------------------------------------- SHARES Shares sold 1,209 967 Shares issued in reinvestment of distributions -- 1 Shares redeemed (93) (188) - ---------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding 1,116 780 - ---------------------------------------------------------------------------------------------------------------------- CLASS C AMOUNT Shares sold $ 21,677 $ 6,343 Shares issued in reinvestment of distributions -- 2 Shares redeemed (1,103) (502) - ---------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ 20,574 $ 5,843 - ---------------------------------------------------------------------------------------------------------------------- SHARES Shares sold 1,445 439 Shares issued in reinvestment of distributions -- --^ Shares redeemed (76) (37) - ---------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding 1,369 402 - ----------------------------------------------------------------------------------------------------------------------
^ Amount rounds to less than one thousand. 93
MID CAP VALUE FUND ---------------------------------------- SIX MONTHS ENDED YEAR ENDED JUNE 30, 2003 DECEMBER 31, 2002 INSTITUTIONAL AMOUNT Shares sold $ 102,643 $ 64,698 Shares issued in reinvestment of distributions -- 234 Shares redeemed (34,748) (11,126) - ---------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ 67,895 $ 53,806 - ---------------------------------------------------------------------------------------------------------------------- SHARES Shares sold 6,844 4,507 Shares issued in reinvestment of distributions -- 16 Shares redeemed (2,297) (769) - ---------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding 4,547 3,754 - ---------------------------------------------------------------------------------------------------------------------- SELECT AMOUNT Shares sold $ 17,127 $ 16,044 Shares issued in reinvestment of distributions -- 48 Shares redeemed (2,424) (2,129) - ---------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ 14,703 $ 13,963 - ---------------------------------------------------------------------------------------------------------------------- SHARES Shares sold 1,138 1,092 Shares issued in reinvestment of distributions -- 3 Shares redeemed (166) (149) - ---------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding 972 946 - ----------------------------------------------------------------------------------------------------------------------
94 2003 SEMI - ANNUAL REPORT JUNE 30
SMALL CAP EQUITY FUND ---------------------------------------- SIX MONTHS ENDED YEAR ENDED JUNE 30, 2003 DECEMBER 31, 2002 CLASS A AMOUNT Shares sold $ 9,048 $ 56,894 Shares issued in reinvestment of distributions -- 424 Shares redeemed (19,589) (36,553) - ---------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (10,541) $ 20,765 - ---------------------------------------------------------------------------------------------------------------------- SHARES Shares sold 513 2,807 Shares issued in reinvestment of distributions -- 23 Shares redeemed (1,067) (1,790) - ---------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding (554) 1,040 - ---------------------------------------------------------------------------------------------------------------------- CLASS B AMOUNT Shares sold $ 1,186 $ 2,257 Shares issued in reinvestment of distributions -- 200 Shares redeemed (6,743) (14,892) - ---------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (5,557) $ (12,435) - ---------------------------------------------------------------------------------------------------------------------- SHARES Shares sold 71 122 Shares issued in reinvestment of distributions -- 12 Shares redeemed (412) (815) - ---------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding (341) (681) - ---------------------------------------------------------------------------------------------------------------------- SELECT AMOUNT Shares sold $ 52,840 $ 179,771 Shares issued in reinvestment of distributions -- 3,005 Shares redeemed (77,284) (108,285) - ---------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (24,444) $ 74,491 - ---------------------------------------------------------------------------------------------------------------------- SHARES Shares sold 2,867 8,666 Shares issued in reinvestment of distributions -- 158 Shares redeemed (4,228) (5,380) - ---------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding (1,361) 3,444 - ----------------------------------------------------------------------------------------------------------------------
95
SMALL CAP GROWTH FUND ---------------------------------------- SIX MONTHS ENDED YEAR ENDED JUNE 30, 2003 DECEMBER 31, 2002 CLASS A AMOUNT Shares sold $ 179 $ 328 Shares redeemed (18) (138) - ---------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ 161 $ 190 - ---------------------------------------------------------------------------------------------------------------------- SHARES Shares sold 29 41 Shares redeemed (3) (22) - ---------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding 26 19 - ---------------------------------------------------------------------------------------------------------------------- CLASS B AMOUNT Shares sold $ 26 $ 137 Shares redeemed (55) (34) - ---------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (29) $ 103 - ---------------------------------------------------------------------------------------------------------------------- SHARES Shares sold 4 22 Shares redeemed (10) (6) - ---------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding (6) 16 - ---------------------------------------------------------------------------------------------------------------------- CLASS C AMOUNT Shares sold $ 41 $ 27 Shares redeemed (21) (5) - ---------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ 20 $ 22 - ---------------------------------------------------------------------------------------------------------------------- SHARES Shares sold 7 4 Shares redeemed (4) (1) - ---------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding 3 3 - ----------------------------------------------------------------------------------------------------------------------
96 2003 SEMI - ANNUAL REPORT JUNE 30
SMALL CAP GROWTH FUND (continued) ---------------------------------------- SIX MONTHS ENDED YEAR ENDED JUNE 30, 2003 DECEMBER 31, 2002 INSTITUTIONAL AMOUNT Shares sold $ -- $ 16 Shares redeemed --^ (21) - ---------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ --^ $ (5) - ---------------------------------------------------------------------------------------------------------------------- SHARES Shares sold -- 2 Shares redeemed -- (3) - ---------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding -- (1) - ---------------------------------------------------------------------------------------------------------------------- SELECT AMOUNT Shares sold $ --^ $ 133 Shares redeemed (61) (2) - ---------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (61) $ 131 - ---------------------------------------------------------------------------------------------------------------------- SHARES Shares sold 1 15 Shares redeemed (12) -- - ---------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding (11) 15 - ----------------------------------------------------------------------------------------------------------------------
^ Amount rounds to less than one thousand.
TRUST SMALL CAP EQUITY FUND ---------------------------------------- SIX MONTHS ENDED YEAR ENDED JUNE 30, 2003 DECEMBER 31, 2002 SELECT AMOUNT Shares sold $ 27,681 $ 62,285 Shares issued in reinvestment of distributions 1 1,864 Shares redeemed (15,487) (64,258) - ---------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ 12,195 $ (109) - ---------------------------------------------------------------------------------------------------------------------- SHARES Shares sold 812 1,634 Shares issued in reinvestment of distributions --^ 47 Shares redeemed (465) (1,754) - ---------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding 347 (73) - ----------------------------------------------------------------------------------------------------------------------
^ Amount rounds to less than one thousand. 97
U.S. SMALL COMPANY FUND ---------------------------------------- SIX MONTHS ENDED YEAR ENDED JUNE 30, 2003 DECEMBER 31, 2002 INSTITUTIONAL AMOUNT Shares sold $ 17,932 $ 175,305 Shares issued in reinvestment of distributions -- 641 Shares redeemed (87,657) (168,386) - ---------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (69,725) $ 7,560 - ---------------------------------------------------------------------------------------------------------------------- SHARES Shares sold 1,820 14,949 Shares issued in reinvestment of distributions -- 64 Shares redeemed (9,000) (14,859) - ---------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding (7,180) 154 - ---------------------------------------------------------------------------------------------------------------------- SELECT AMOUNT Shares sold $ 15,859 $ 95,072 Shares issued in reinvestment of distributions -- 469 Shares redeemed (48,641) (124,116) - ---------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (32,782) $ (28,575) - ---------------------------------------------------------------------------------------------------------------------- SHARES Shares sold 1,591 8,028 Shares issued in reinvestment of distributions -- 47 Shares redeemed (4,981) (10,851) - ---------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding (3,390) (2,776) - ----------------------------------------------------------------------------------------------------------------------
98 2003 SEMI - ANNUAL REPORT JUNE 30
U.S. SMALL COMPANY OPPORTUNITIES FUND ---------------------------------------- SIX MONTHS ENDED YEAR ENDED JUNE 30, 2003 DECEMBER 31, 2002 SELECT AMOUNT Shares sold $ 9,423 $ 97,467 Shares redeemed (43,116) (191,181) - ---------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (33,693) $ (93,714) - ---------------------------------------------------------------------------------------------------------------------- SHARES Shares sold 1,327 10,913 Shares redeemed (6,663) (21,694) - ---------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding (5,336) (10,781) - ----------------------------------------------------------------------------------------------------------------------
99 JPMORGAN FUNDS FINANCIAL HIGHLIGHTS (Unaudited) CLASS A SHARES
PER SHARE OPERATING PERFORMANCE: -------------------------------------------------------------- INCOME FROM INVESTMENT OPERATIONS: ------------------------------------------- NET GAINS OR LOSSES ON NET ASSET NET SECURITIES VALUE, INVESTMENT (BOTH TOTAL FROM BEGINNING INCOME REALIZED AND INVESTMENT OF PERIOD (LOSS) UNREALIZED) OPERATIONS DYNAMIC SMALL CAP FUND 1/1/03 Through 6/30/03 $ 12.14 (0.07)@ 1.60 1.53 Year Ended 12/31/02 $ 15.72 (0.18) (3.40) (3.58) 11/1/01 Through 12/31/01^ $ 14.21 (0.03) 1.54 1.51 Year Ended 10/31/01 $ 24.54 (0.24) (6.71) (6.95) Year Ended 10/31/00 $ 15.98 (0.22)@ 8.78 8.56 Year Ended 10/31/99 $ 12.79 (0.15) 3.34 3.19 Year Ended 10/31/98 $ 13.85 (0.09) (0.97) (1.06) MID CAP GROWTH FUND 1/1/03 Through 6/30/03 $ 3.57 (0.02)@ 0.60 0.58 Year Ended 12/31/02 $ 5.06 (0.05)@ (1.44) (1.49) 10/1/01 Through 12/31/01^^ $ 4.27 (0.01) 0.80 0.79 Year Ended 9/30/01 $ 12.51 (0.02)@ (8.06) (8.08) 10/29/99* Through 9/30/00 $ 10.00 (0.09) 2.60 2.51 MID CAP VALUE FUND 1/1/03 Through 6/30/03 $ 14.44 0.03@ 1.72 1.75 Year Ended 12/31/02 $ 14.10 0.07@ 0.31 0.38 10/1/01 Through 12/31/01^^ $ 13.43 0.02@ 1.48 1.50 4/30/01** Through 9/30/01 $ 14.24 0.04@ (0.85) (0.81) PER SHARE OPERATING PERFORMANCE: ------------------------------------------ LESS DISTRIBUTIONS: ------------------------------------------ DIVIDENDS FROM NET DISTRIBUTIONS INVESTMENT FROM CAPITAL TOTAL INCOME GAINS DISTRIBUTIONS DYNAMIC SMALL CAP FUND 1/1/03 Through 6/30/03 -- -- -- Year Ended 12/31/02 -- -- -- 11/1/01 Through 12/31/01^ -- -- -- Year Ended 10/31/01 -- 3.38 3.38 Year Ended 10/31/00 -- -- -- Year Ended 10/31/99 -- -- -- Year Ended 10/31/98 -- -- -- MID CAP GROWTH FUND 1/1/03 Through 6/30/03 -- -- -- Year Ended 12/31/02 -- -- -- 10/1/01 Through 12/31/01^^ -- -- -- Year Ended 9/30/01 -- 0.16 0.16 10/29/99* Through 9/30/00 -- -- -- MID CAP VALUE FUND 1/1/03 Through 6/30/03 -- -- -- Year Ended 12/31/02 0.03 0.01 0.04 10/1/01 Through 12/31/01^^ 0.08 0.75 0.83 4/30/01** Through 9/30/01 -- -- --
^ The Fund changed its fiscal year end from October 31 to December 31. ^^ The Fund changed its fiscal year end from September 30 to December 31. * Commencement of operations. ** Commencement of offering of class of shares. @ Calculated based upon average shares outstanding. (1) Total return figures do not include the effect of any front-end sales load. (a) Not annualized for periods less than one year. # Short periods have been annualized. !! Due to the size of net assets and fixed expenses, ratios may appear disproportionate. SEE NOTES TO FINANCIAL STATEMENTS. 100
PER SHARE OPERATING PERFORMANCE: -------------------------------- NET ASSET VALUE, END TOTAL OF PERIOD RETURN (1)(a) DYNAMIC SMALL CAP FUND 1/1/03 Through 6/30/03 $ 13.67 12.60% Year Ended 12/31/02 $ 12.14 (22.77%) 11/1/01 Through 12/31/01^ $ 15.72 10.63% Year Ended 10/31/01 $ 14.21 (30.60%) Year Ended 10/31/00 $ 24.54 53.57% Year Ended 10/31/99 $ 15.98 24.94% Year Ended 10/31/98 $ 12.79 (7.65%) MID CAP GROWTH FUND 1/1/03 Through 6/30/03 $ 4.15 16.25% Year Ended 12/31/02 $ 3.57 (29.45%) 10/1/01 Through 12/31/01^^ $ 5.06 18.50% Year Ended 9/30/01 $ 4.27 (65.10%) 10/29/99* Through 9/30/00 $ 12.51 25.12% MID CAP VALUE FUND 1/1/03 Through 6/30/03 $ 16.19 12.12% Year Ended 12/31/02 $ 14.44 2.68% 10/1/01 Through 12/31/01^^ $ 14.10 11.20% 4/30/01** Through 9/30/01 $ 13.43 (5.69%) RATIOS/SUPPLEMENTAL DATA: --------------------------------------------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS: # ------------------------------------------------------------------------------------ NET INVESTMENT NET ASSETS, NET EXPENSES INCOME (LOSS) END OF INVESTMENT WITHOUT WAIVERS, WITHOUT WAIVERS, PORTFOLIO PERIOD NET INCOME REIMBURSEMENTS REIMBURSEMENTS TURNOVER (MILLIONS) EXPENSES (LOSS) AND EARNINGS CREDITS AND EARNINGS CREDITS RATE (a) DYNAMIC SMALL CAP FUND 1/1/03 Through 6/30/03 $ 76 1.50% (1.13%) 1.89% (1.52%) 23% Year Ended 12/31/02 $ 82 1.50% (1.20%) 1.82% (1.52%) 52% 11/1/01 Through 12/31/01^ $ 125 1.50% (1.21%) 1.63% (1.34%) 8% Year Ended 10/31/01 $ 120 1.50% (1.13%) 1.64% (1.27%) 57% Year Ended 10/31/00 $ 154 1.50% (0.99%) 1.76% (1.25%) 87% Year Ended 10/31/99 $ 78 1.49% (0.95%) 1.89% (1.35%) 92% Year Ended 10/31/98 $ 62 1.50% (0.91%) 1.83% (1.24%) 68% MID CAP GROWTH FUND 1/1/03 Through 6/30/03 $ 56 1.35% (1.06%) 1.72% (1.43%) 28% Year Ended 12/31/02 $ 53 1.35% (1.15%) 1.62% (1.42%) 39% 10/1/01 Through 12/31/01^^ $ 101 1.35% (0.84%) 1.35% (0.84%) 135% Year Ended 9/30/01 $ 94 1.30% (0.54%) 1.30% (0.54%) 159% 10/29/99* Through 9/30/00 $ 33 1.16% (0.68%) 1.20% (0.72%) 147% MID CAP VALUE FUND 1/1/03 Through 6/30/03 $ 76 1.25% 0.42% 1.65% 0.02% 22% Year Ended 12/31/02 $ 26 1.25% 0.50% 1.70% 0.05% 51% 10/1/01 Through 12/31/01^^ $ 5 1.25% 0.47% 3.72%!! (2.00%) 15% 4/30/01** Through 9/30/01 $ 2 1.30% 0.71% 15.30%!! (13.29%)!! 98%
SEE NOTES TO FINANCIAL STATEMENTS. 101
PER SHARE OPERATING PERFORMANCE: -------------------------------------------------------------- INCOME FROM INVESTMENT OPERATIONS: ------------------------------------------- NET GAINS OR LOSSES ON NET ASSET NET SECURITIES VALUE, INVESTMENT (BOTH TOTAL FROM BEGINNING INCOME REALIZED AND INVESTMENT OF PERIOD (LOSS) UNREALIZED) OPERATIONS SMALL CAP EQUITY FUND 1/1/03 Through 6/30/03 $ 17.68 (0.06)@ 1.97 1.91 Year Ended 12/31/02 $ 21.53 (0.15)@ (3.57) (3.72) 11/1/01 Through 12/31/01^ $ 19.64 (0.03)@ 1.92 1.89 Year Ended 10/31/01 $ 27.89 (0.10) (4.26) (4.36) Year Ended 10/31/00 $ 22.77 (0.20)@ 7.97 7.77 Year Ended 10/31/99 $ 20.40 (0.13)@ 2.67 2.54 Year Ended 10/31/98 $ 23.57 (0.11) (2.42) (2.53) SMALL CAP GROWTH FUND 1/1/03 Through 6/30/03 $ 5.50 (0.04)@ 0.89 0.85 Year Ended 12/31/02 $ 9.25 (0.09)@ (3.66) (3.75) 10/1/01 Through 12/31/01^^ $ 6.80 (0.01) 2.46 2.45 4/30/01** Through 9/30/01 $ 9.20 (0.05)@ (2.35) (2.40) PER SHARE OPERATING PERFORMANCE: ------------------------------------------ LESS DISTRIBUTIONS: ------------------------------------------ DIVIDENDS FROM NET DISTRIBUTIONS INVESTMENT FROM CAPITAL TOTAL INCOME GAINS DISTRIBUTIONS SMALL CAP EQUITY FUND 1/1/03 Through 6/30/03 -- -- -- Year Ended 12/31/02 -- 0.13 0.13 11/1/01 Through 12/31/01^ -- -- -- Year Ended 10/31/01 -- 3.89 3.89 Year Ended 10/31/00 -- 2.65 2.65 Year Ended 10/31/99 -- 0.17 0.17 Year Ended 10/31/98 -- 0.64 0.64 SMALL CAP GROWTH FUND 1/1/03 Through 6/30/03 -- -- -- Year Ended 12/31/02 -- -- -- 10/1/01 Through 12/31/01^^ -- -- -- 4/30/01** Through 9/30/01 -- -- --
^ The Fund changed its fiscal year end from October 31 to December 31. ^^ The Fund changed its fiscal year end from September 30 to December 31. ** Commencement of offering of class of shares. @ Calculated based upon average shares outstanding. (1) Total return figures do not include the effect of any front-end sales load. (a) Not annualized for periods less than one year. # Short periods have been annualized. !! Due to the size of net assets and fixed expenses, ratios may appear disproportionate. + Amount rounds to less than one million. SEE NOTES TO FINANCIAL STATEMENTS. 102
PER SHARE OPERATING PERFORMANCE: -------------------------------- NET ASSET VALUE, END TOTAL OF PERIOD RETURN (1)(a) SMALL CAP EQUITY FUND 1/1/03 Through 6/30/03 $ 19.59 10.80% Year Ended 12/31/02 $ 17.68 (17.30%) 11/1/01 Through 12/31/01^ $ 21.53 9.62% Year Ended 10/31/01 $ 19.64 (16.62%) Year Ended 10/31/00 $ 27.89 37.10% Year Ended 10/31/99 $ 22.77 12.49% Year Ended 10/31/98 $ 20.40 (10.93%) SMALL CAP GROWTH FUND 1/1/03 Through 6/30/03 $ 6.35 15.45% Year Ended 12/31/02 $ 5.50 (40.54%) 10/1/01 Through 12/31/01^^ $ 9.25 36.03% 4/30/01** Through 9/30/01 $ 6.80 (26.09%) RATIOS/SUPPLEMENTAL DATA: ---------------------------------------------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS: # ----------------------------------------------------------------------------------- NET INVESTMENT NET ASSETS, NET EXPENSES INCOME (LOSS) END OF INVESTMENT WITHOUT WAIVERS, WITHOUT WAIVERS, PORTFOLIO PERIOD NET INCOME REIMBURSEMENTS REIMBURSEMENTS TURNOVER (MILLIONS) EXPENSES (LOSS) AND EARNINGS CREDITS AND EARNINGS CREDITS RATE (a) SMALL CAP EQUITY FUND 1/1/03 Through 6/30/03 $ 74 1.38% (0.73%) 1.59% (0.94%) 17% Year Ended 12/31/02 $ 77 1.38% (0.74%) 1.40% (0.76%) 51% 11/1/01 Through 12/31/01^ $ 71 1.38% (0.81%) 1.38% (0.81%) 6% Year Ended 10/31/01 $ 67 1.39% (0.80%) 1.40% (0.81%) 47% Year Ended 10/31/00 $ 93 1.44% (0.77%) 1.44% (0.77%) 75% Year Ended 10/31/99 $ 98 1.40% (0.59%) 1.40% (0.59%) 92% Year Ended 10/31/98 $ 133 1.38% (0.43%) 1.38% (0.43%) 74% SMALL CAP GROWTH FUND 1/1/03 Through 6/30/03 $ 1 1.60% (1.30%) 23.81%!! (23.51%)!! 71% Year Ended 12/31/02 $ 1 1.60% (1.39%) 21.25%!! (21.04%)!! 76% 10/1/01 Through 12/31/01^^ $ --+ 1.54% (1.27%) 12.17%!! (11.90%)!! 25% 4/30/01** Through 9/30/01 $ --+ 1.60% (1.37%) 11.04%!! (10.81%)!! 71%
SEE NOTES TO FINANCIAL STATEMENTS. 103 CLASS B SHARES
PER SHARE OPERATING PERFORMANCE: -------------------------------------------------------------- INCOME FROM INVESTMENT OPERATIONS: ------------------------------------------- NET GAINS OR LOSSES ON NET ASSET NET SECURITIES VALUE, INVESTMENT (BOTH TOTAL FROM BEGINNING INCOME REALIZED AND INVESTMENT OF PERIOD (LOSS) UNREALIZED) OPERATIONS DYNAMIC SMALL CAP FUND 1/1/03 Through 6/30/03 $ 11.63 (0.10)@ 1.53 1.43 Year Ended 12/31/02 $ 15.16 (0.27) (3.26) (3.53) 11/1/01 Through 12/31/01^ $ 13.72 (0.04) 1.48 1.44 Year Ended 10/31/01 $ 23.96 (0.23) (6.63) (6.86) Year Ended 10/31/00 $ 15.71 (0.40)@ 8.65 8.25 Year Ended 10/31/99 $ 12.67 (0.27) 3.31 3.04 Year Ended 10/31/98 $ 13.81 (0.17) (0.97) (1.14) MID CAP GROWTH FUND 1/1/03 Through 6/30/03 $ 3.49 (0.03)@ 0.59 0.56 Year Ended 12/31/02 $ 4.99 (0.08)@ (1.42) (1.50) 10/1/01 Through 12/31/01^^ $ 4.22 (0.02) 0.79 0.77 Year Ended 9/30/01 $ 12.43 (0.07)@ (7.98) (8.05) 10/29/99* Through 9/30/00 $ 10.00 (0.17) 2.60 2.43 MID CAP VALUE FUND 1/1/03 Through 6/30/03 $ 14.32 (0.02)@ 1.69 1.67 Year Ended 12/31/02 $ 14.06 (0.04)@ 0.31 0.27 10/1/01 Through 12/31/01^^ $ 13.40 (0.01)@ 1.47 1.46 4/30/01** Through 9/30/01 $ 14.24 --@ (0.84) (0.84) PER SHARE OPERATING PERFORMANCE: ------------------------------------------ LESS DISTRIBUTIONS: ------------------------------------------ DIVIDENDS FROM NET DISTRIBUTIONS INVESTMENT FROM CAPITAL TOTAL INCOME GAINS DISTRIBUTIONS DYNAMIC SMALL CAP FUND 1/1/03 Through 6/30/03 -- -- -- Year Ended 12/31/02 -- -- -- 11/1/01 Through 12/31/01^ -- -- -- Year Ended 10/31/01 -- 3.38 3.38 Year Ended 10/31/00 -- -- -- Year Ended 10/31/99 -- -- -- Year Ended 10/31/98 -- -- -- MID CAP GROWTH FUND 1/1/03 Through 6/30/03 -- -- -- Year Ended 12/31/02 -- -- -- 10/1/01 Through 12/31/01^^ -- -- -- Year Ended 9/30/01 -- 0.16 0.16 10/29/99* Through 9/30/00 -- -- -- MID CAP VALUE FUND 1/1/03 Through 6/30/03 -- -- -- Year Ended 12/31/02 -- 0.01 0.01 10/1/01 Through 12/31/01^^ 0.05 0.75 0.80 4/30/01** Through 9/30/01 -- -- --
^ The Fund changed its fiscal year end from October 31 to December 31. ^^ The Fund changed its fiscal year end from September 30 to December 31. * Commencement of operations. ** Commencement of offering of class of shares. @ Calculated based upon average shares outstanding. (1) Total return figures do not include the effect of any deferred sales load. (a) Not annualized for periods less than one year. # Short periods have been annualized. !! Due to the size of net assets and fixed expenses, ratios may appear disproportionate. SEE NOTES TO FINANCIAL STATEMENTS. 104
PER SHARE OPERATING PERFORMANCE: ------------------------------------------- NET ASSET VALUE, END TOTAL OF PERIOD RETURN (1)(a) DYNAMIC SMALL CAP FUND 1/1/03 Through 6/30/03 $ 13.06 12.30% Year Ended 12/31/02 $ 11.63 (23.28%) 11/1/01 Through 12/31/01^ $ 15.16 10.50% Year Ended 10/31/01 $ 13.72 (31.02%) Year Ended 10/31/00 $ 23.96 52.51% Year Ended 10/31/99 $ 15.71 23.99% Year Ended 10/31/98 $ 12.67 (8.25%) MID CAP GROWTH FUND 1/1/03 Through 6/30/03 $ 4.05 16.05% Year Ended 12/31/02 $ 3.49 (30.06%) 10/1/01 Through 12/31/01^^ $ 4.99 18.25% Year Ended 9/30/01 $ 4.22 (65.30%) 10/29/99* Through 9/30/00 $ 12.43 24.31% MID CAP VALUE FUND 1/1/03 Through 6/30/03 $ 15.99 11.66% Year Ended 12/31/02 $ 14.32 1.94% 10/1/01 Through 12/31/01^^ $ 14.06 10.94% 4/30/01** Through 9/30/01 $ 13.40 (5.90%) RATIOS/SUPPLEMENTAL DATA: ------------------------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS: # --------------------------------------------------------- NET ASSETS, NET EXPENSES END OF INVESTMENT WITHOUT WAIVERS, PERIOD NET INCOME REIMBURSEMENTS (MILLIONS) EXPENSES (LOSS) AND EARNINGS CREDITS DYNAMIC SMALL CAP FUND 1/1/03 Through 6/30/03 $ 50 2.12% (1.75%) 2.39% Year Ended 12/31/02 $ 48 2.12% (1.82%) 2.32% 11/1/01 Through 12/31/01^ $ 72 2.12% (1.83%) 2.12% Year Ended 10/31/01 $ 67 2.13% (1.75%) 2.14% Year Ended 10/31/00 $ 110 2.20% (1.69%) 2.26% Year Ended 10/31/99 $ 66 2.23% (1.69%) 2.39% Year Ended 10/31/98 $ 57 2.24% (1.65%) 2.33% MID CAP GROWTH FUND 1/1/03 Through 6/30/03 $ 3 2.05% (1.76%) 2.35% Year Ended 12/31/02 $ 3 2.05% (1.85%) 2.32% 10/1/01 Through 12/31/01^^ $ 5 2.05% (1.53%) 2.05% Year Ended 9/30/01 $ 6 2.00% (1.22%) 2.00% 10/29/99* Through 9/30/00 $ 25 1.86% (1.38%) 1.91% MID CAP VALUE FUND 1/1/03 Through 6/30/03 $ 34 2.00% (0.32%) 2.28% Year Ended 12/31/02 $ 14 2.00% (0.27%) 2.49% 10/1/01 Through 12/31/01^^ $ 3 1.99% (0.27%) 4.47%!! 4/30/01** Through 9/30/01 $ 1 2.03% 0.01% 16.00%!! RATIOS/SUPPLEMENTAL DATA: ------------------------------------------------------ RATIOS TO AVERAGE NET ASSETS: # ------------------------------------------------------ NET INVESTMENT INCOME (LOSS) WITHOUT WAIVERS, PORTFOLIO REIMBURSEMENTS TURNOVER AND EARNINGS CREDITS RATE (a) DYNAMIC SMALL CAP FUND 1/1/03 Through 6/30/03 (2.02%) 23% Year Ended 12/31/02 (2.02%) 52% 11/1/01 Through 12/31/01^ (1.83%) 8% Year Ended 10/31/01 (1.76%) 57% Year Ended 10/31/00 (1.75%) 87% Year Ended 10/31/99 (1.85%) 92% Year Ended 10/31/98 (1.74%) 68% MID CAP GROWTH FUND 1/1/03 Through 6/30/03 (2.06%) 28% Year Ended 12/31/02 (2.12%) 39% 10/1/01 Through 12/31/01^^ (1.53%) 135% Year Ended 9/30/01 (1.22%) 159% 10/29/99* Through 9/30/00 (1.43%) 147% MID CAP VALUE FUND 1/1/03 Through 6/30/03 (0.60%) 22% Year Ended 12/31/02 (0.76%) 51% 10/1/01 Through 12/31/01^^ (2.75%) 15% 4/30/01** Through 9/30/01 (13.96%)!! 98%
SEE NOTES TO FINANCIAL STATEMENTS. 105
PER SHARE OPERATING PERFORMANCE: -------------------------------------------------------------- INCOME FROM INVESTMENT OPERATIONS: ------------------------------------------- NET GAINS OR LOSSES ON NET ASSET NET SECURITIES VALUE, INVESTMENT (BOTH TOTAL FROM BEGINNING INCOME REALIZED AND INVESTMENT OF PERIOD (LOSS) UNREALIZED) OPERATIONS SMALL CAP EQUITY FUND 1/1/03 Through 6/30/03 $ 16.50 (0.12)@ 1.85 1.73 Year Ended 12/31/02 $ 20.26 (0.29)@ (3.34) (3.63) 11/1/01 Through 12/31/01^ $ 18.50 (0.05)@ 1.81 1.76 Year Ended 10/31/01 $ 26.73 (0.09) (4.25) (4.34) Year Ended 10/31/00 $ 22.06 (0.37)@ 7.69 7.32 Year Ended 10/31/99 $ 19.91 (0.28)@ 2.60 2.32 Year Ended 10/31/98 $ 23.19 (0.31) (2.33) (2.64) SMALL CAP GROWTH FUND 1/1/03 Through 6/30/03 $ 5.47 (0.06)@ 0.88 0.82 Year Ended 12/31/02 $ 9.25 (0.14)@ (3.64) (3.78) 10/1/01 Through 12/31/01^^ $ 6.80 (0.02) 2.47 2.45 4/30/01** Through 9/30/01 $ 9.20 (0.08)@ (2.32) (2.40) PER SHARE OPERATING PERFORMANCE: ------------------------------------------ LESS DISTRIBUTIONS: ------------------------------------------ DIVIDENDS FROM NET DISTRIBUTIONS INVESTMENT FROM CAPITAL TOTAL INCOME GAINS DISTRIBUTIONS SMALL CAP EQUITY FUND 1/1/03 Through 6/30/03 -- -- -- Year Ended 12/31/02 -- 0.13 0.13 11/1/01 Through 12/31/01^ -- -- -- Year Ended 10/31/01 -- 3.89 3.89 Year Ended 10/31/00 -- 2.65 2.65 Year Ended 10/31/99 -- 0.17 0.17 Year Ended 10/31/98 -- 0.64 0.64 SMALL CAP GROWTH FUND 1/1/03 Through 6/30/03 -- -- -- Year Ended 12/31/02 -- -- -- 10/1/01 Through 12/31/01^^ -- -- -- 4/30/01** Through 9/30/01 -- -- --
^ The Fund changed its fiscal year end from October 31 to December 31. ^^ The Fund changed its fiscal year end from September 30 to December 31. ** Commencement of offering of class of shares. @ Calculated based upon average shares outstanding. (1) Total return figures do not include the effect of any deferred sales load. (a) Not annualized for periods less than one year. # Short periods have been annualized. !! Due to the size of net assets and fixed expenses, ratios may appear disproportionate. + Amount rounds to less than one million. SEE NOTES TO FINANCIAL STATEMENTS. 106
PER SHARE OPERATING PERFORMANCE: ----------------------------------------------- NET ASSET VALUE, END TOTAL OF PERIOD RETURN (1)(a) SMALL CAP EQUITY FUND 1/1/03 Through 6/30/03 $ 18.23 10.48% Year Ended 12/31/02 $ 16.50 (17.94%) 11/1/01 Through 12/31/01^ $ 20.26 9.51% Year Ended 10/31/01 $ 18.50 (17.37%) Year Ended 10/31/00 $ 26.73 36.17% Year Ended 10/31/99 $ 22.06 11.69% Year Ended 10/31/98 $ 19.91 (11.60%) SMALL CAP GROWTH FUND 1/1/03 Through 6/30/03 $ 6.29 14.99% Year Ended 12/31/02 $ 5.47 (40.86%) 10/1/01 Through 12/31/01^^ $ 9.25 36.03% 4/30/01** Through 9/30/01 $ 6.80 (26.09%) RATIOS/SUPPLEMENTAL DATA: ----------------------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS: # -------------------------------------------------------- NET ASSETS, NET EXPENSES END OF INVESTMENT WITHOUT WAIVERS, PERIOD NET INCOME REIMBURSEMENTS (MILLIONS) EXPENSES (LOSS) AND EARNINGS CREDITS SMALL CAP EQUITY FUND 1/1/03 Through 6/30/03 $ 19 2.12% (1.47%) 2.23% Year Ended 12/31/02 $ 23 2.12% (1.50%) 2.16% 11/1/01 Through 12/31/01^ $ 42 2.12% (1.55%) 2.12% Year Ended 10/31/01 $ 39 2.13% (1.54%) 2.14% Year Ended 10/31/00 $ 57 2.17% (1.50%) 2.17% Year Ended 10/31/99 $ 57 2.12% (1.31%) 2.12% Year Ended 10/31/98 $ 80 2.10% (1.15%) 2.10% SMALL CAP GROWTH FUND 1/1/03 Through 6/30/03 $ --+ 2.35% (2.05%) 24.15%!! Year Ended 12/31/02 $ --+ 2.35% (2.14%) 21.81%!! 10/1/01 Through 12/31/01^^ $ --+ 2.35% (2.09%) 12.97%!! 4/30/01** Through 9/30/01 $ --+ 2.38% (2.11%) 12.16%!! RATIOS/SUPPLEMENTAL DATA: ------------------------------------------------ RATIOS TO AVERAGE NET ASSETS: # ------------------------------------------------ NET INVESTMENT INCOME (LOSS) WITHOUT WAIVERS, PORTFOLIO REIMBURSEMENTS TURNOVER AND EARNINGS CREDITS RATE (a) SMALL CAP EQUITY FUND 1/1/03 Through 6/30/03 (1.58%) 17% Year Ended 12/31/02 (1.54%) 51% 11/1/01 Through 12/31/01^ (1.55%) 6% Year Ended 10/31/01 (1.55%) 47% Year Ended 10/31/00 (1.50%) 75% Year Ended 10/31/99 (1.31%) 92% Year Ended 10/31/98 (1.15%) 74% SMALL CAP GROWTH FUND 1/1/03 Through 6/30/03 (23.85%)!! 71% Year Ended 12/31/02 (21.60%)!! 76% 10/1/01 Through 12/31/01^^ (12.71%)!! 25% 4/30/01** Through 9/30/01 (11.89%)!! 71%
SEE NOTES TO FINANCIAL STATEMENTS. 107 CLASS C SHARES
PER SHARE OPERATING PERFORMANCE: -------------------------------------------------------------- INCOME FROM INVESTMENT OPERATIONS: ------------------------------------------- NET GAINS OR LOSSES ON NET ASSET NET SECURITIES VALUE, INVESTMENT (BOTH TOTAL FROM BEGINNING INCOME REALIZED AND INVESTMENT OF PERIOD (LOSS) UNREALIZED) OPERATIONS DYNAMIC SMALL CAP FUND 1/1/03 Through 6/30/03 $ 11.61 (0.10)@ 1.53 1.43 Year Ended 12/31/02 $ 15.13 (0.21) (3.31) (3.52) 11/1/01 Through 12/31/01 ^ $ 13.70 (0.04) 1.47 1.43 Year Ended 10/31/01 $ 23.93 (0.23) (6.62) (6.85) Year Ended 10/31/00 $ 15.69 (0.35)@ 8.59 8.24 Year Ended 10/31/99 $ 12.66 (0.26) 3.29 3.03 1/7/98** Through 10/31/98 $ 13.17 (0.08) (0.43) (0.51) MID CAP VALUE FUND 1/1/03 Through 6/30/03 $ 14.35 (0.03)@ 1.71 1.68 Year Ended 12/31/02 $ 14.09 (0.04)@ 0.31 0.27 10/1/01 Through 12/31/01^^ $ 13.41 (0.01)@ 1.48 1.47 4/30/01** Through 9/30/01 $ 14.24 --@ (0.83) (0.83) SMALL CAP GROWTH FUND 1/1/03 Through 6/30/03 $ 5.46 (0.06)@ 0.87 0.81 Year Ended 12/31/02 $ 9.23 (0.14)@ (3.63) (3.77) 10/1/01 Through 12/31/01^^ $ 6.79 (0.01) 2.45 2.44 4/30/01** Through 9/30/01 $ 9.20 (0.08)@ (2.33) (2.41) PER SHARE OPERATING PERFORMANCE: ------------------------------------------ LESS DISTRIBUTIONS: ------------------------------------------ DIVIDENDS FROM NET DISTRIBUTIONS INVESTMENT FROM CAPITAL TOTAL INCOME GAINS DISTRIBUTIONS DYNAMIC SMALL CAP FUND 1/1/03 Through 6/30/03 -- -- -- Year Ended 12/31/02 -- -- -- 11/1/01 Through 12/31/01 ^ -- -- -- Year Ended 10/31/01 -- 3.38 3.38 Year Ended 10/31/00 -- -- -- Year Ended 10/31/99 -- -- -- 1/7/98** Through 10/31/98 -- -- -- MID CAP VALUE FUND 1/1/03 Through 6/30/03 -- -- -- Year Ended 12/31/02 -- 0.01 0.01 10/1/01 Through 12/31/01^^ 0.04 0.75 0.79 4/30/01** Through 9/30/01 -- -- -- SMALL CAP GROWTH FUND 1/1/03 Through 6/30/03 -- -- -- Year Ended 12/31/02 -- -- -- 10/1/01 Through 12/31/01^^ -- -- -- 4/30/01** Through 9/30/01 -- -- --
^ The Fund changed its fiscal year end from October 31 to December 31. ^^ The Fund changed its fiscal year end from September 30 to December 31. ** Commencement of offering of class of shares.. @ Calculated based upon average shares outstanding. (1) Total return figures do not include the effect of any deferred sales load. (a) Not annualized for periods less than one year. # Short periods have been annualized. !! Due to the size of net assets and fixed expenses, ratios may appear disproportionate. + Amounts round to less than one million. SEE NOTES TO FINANCIAL STATEMENTS. 108
PER SHARE OPERATING PERFORMANCE: --------------------------------------------- NET ASSET VALUE, END TOTAL OF PERIOD RETURN (1)(a) DYNAMIC SMALL CAP FUND 1/1/03 Through 6/30/03 $ 13.04 12.32% Year Ended 12/31/02 $ 11.61 (23.26%) 11/1/01 Through 12/31/01 ^ $ 15.13 10.44% Year Ended 10/31/01 $ 13.70 (31.02%) Year Ended 10/31/00 $ 23.93 52.52% Year Ended 10/31/99 $ 15.69 23.93% 1/7/98** Through 10/31/98 $ 12.66 (3.87%) MID CAP VALUE FUND 1/1/03 Through 6/30/03 $ 16.03 11.71% Year Ended 12/31/02 $ 14.35 1.94% 10/1/01 Through 12/31/01^^ $ 14.09 11.05% 4/30/01** Through 9/30/01 $ 13.41 (5.83%) SMALL CAP GROWTH FUND 1/1/03 Through 6/30/03 $ 6.27 14.84% Year Ended 12/31/02 $ 5.46 (40.85%) 10/1/01 Through 12/31/01^^ $ 9.23 35.94% 4/30/01** Through 9/30/01 $ 6.79 (26.20%) RATIOS/SUPPLEMENTAL DATA: ------------------------------------------------------------------------------------ RATIOS TO AVERAGE NET ASSETS: # ------------------------------------------------------------ NET ASSETS, NET EXPENSES END OF INVESTMENT WITHOUT WAIVERS, PERIOD NET INCOME REIMBURSEMENTS (MILLIONS) EXPENSES (LOSS) AND EARNINGS CREDITS DYNAMIC SMALL CAP FUND 1/1/03 Through 6/30/03 $ 13 2.12% (1.75%) 2.39% Year Ended 12/31/02 $ 10 2.12% (1.82%) 2.32% 11/1/01 Through 12/31/01 ^ $ 11 2.12% (1.83%) 2.12% Year Ended 10/31/01 $ 10 2.13% (1.76%) 2.14% Year Ended 10/31/00 $ 14 2.20% (1.69%) 2.26% Year Ended 10/31/99 $ 6 2.23% (1.69%) 2.39% 1/7/98** Through 10/31/98 $ 5 2.24% (1.55%) 2.29% MID CAP VALUE FUND 1/1/03 Through 6/30/03 $ 32 2.00% (0.34%) 2.28% Year Ended 12/31/02 $ 9 2.00% (0.28%) 2.51% 10/1/01 Through 12/31/01^^ $ 3 1.99% (0.30%) 4.48%!! 4/30/01** Through 9/30/01 $ 2 2.04% 0.03% 15.95%!! SMALL CAP GROWTH FUND 1/1/03 Through 6/30/03 $ --+ 2.35% (2.05%) 24.45%!! Year Ended 12/31/02 $ --+ 2.35% (2.14%) 20.89%!! 10/1/01 Through 12/31/01^^ $ --+ 2.35% (2.11%) 12.97%!! 4/30/01** Through 9/30/01 $ --+ 2.35% (2.11%) 10.97%!! RATIOS/SUPPLEMENTAL DATA: -------------------------------------------------- RATIOS TO AVERAGE NET ASSETS: # -------------------------------------------------- NET INVESTMENT INCOME (LOSS) WITHOUT WAIVERS, PORTFOLIO REIMBURSEMENTS TURNOVER AND EARNINGS CREDITS RATE (a) DYNAMIC SMALL CAP FUND 1/1/03 Through 6/30/03 (2.02%) 23% Year Ended 12/31/02 (2.02%) 52% 11/1/01 Through 12/31/01 ^ (1.83%) 8% Year Ended 10/31/01 (1.77%) 57% Year Ended 10/31/00 (1.75%) 87% Year Ended 10/31/99 (1.85%) 92% 1/7/98** Through 10/31/98 (1.60%) 68% MID CAP VALUE FUND 1/1/03 Through 6/30/03 (0.62%) 22% Year Ended 12/31/02 (0.79%) 51% 10/1/01 Through 12/31/01^^ (2.79%) 15% 4/30/01** Through 9/30/01 (13.88%)!! 98% SMALL CAP GROWTH FUND 1/1/03 Through 6/30/03 (24.15%)!! 71% Year Ended 12/31/02 (20.68%)!! 76% 10/1/01 Through 12/31/01^^ (12.73%)!! 25% 4/30/01** Through 9/30/01 (10.73%)!! 71%
SEE NOTES TO FINANCIAL STATEMENTS. 109 INSTITUTIONAL SHARES
PER SHARE OPERATING PERFORMANCE: -------------------------------------------------------------- INCOME FROM INVESTMENT OPERATIONS: ------------------------------------------- NET GAINS OR LOSSES ON NET ASSET NET SECURITIES VALUE, INVESTMENT (BOTH TOTAL FROM BEGINNING INCOME REALIZED AND INVESTMENT OF PERIOD (LOSS) UNREALIZED) OPERATIONS MID CAP VALUE FUND 1/1/03 Through 6/30/03 $ 14.52 0.07@ 1.73 1.80 Year Ended 12/31/02 $ 14.14 0.15@ 0.30 0.45 10/1/01 Through 12/31/01^^ $ 13.47 0.03@ 1.48 1.51 Year Ended 9/30/01 $ 13.06 0.15@ 1.28 1.43 Year Ended 9/30/00 $ 13.56 0.11 2.59 2.70 Year Ended 9/30/99 $ 10.62 0.02 3.20 3.22 11/13/97* Through 9/30/98 $ 10.00 0.11 0.54 0.65 SMALL CAP GROWTH FUND 1/1/03 Through 6/30/03 $ 5.59 (0.02)@ 0.91 0.89 Year Ended 12/31/02 $ 9.32 (0.04)@ (3.69) (3.73) 10/1/01 Through 12/31/01^^ $ 6.83 -- 2.49 2.49 Year Ended 9/30/01 $ 15.12 (0.07)@ (6.07) (6.14) Year Ended 9/30/00 $ 13.45 (0.08) 4.34 4.26 Year Ended 9/30/99 $ 9.47 0.08 4.28 4.36 11/14/97* Through 9/30/98 $ 10.00 0.08 (0.59) (0.51) U.S. SMALL COMPANY FUND 1/1/03 Through 6/30/03 $ 9.95 0.03@ 1.23 1.26 Year Ended 12/31/02 $ 12.57 0.05 (2.61) (2.56) 6/1/01 Through 12/31/01^ $ 13.34 0.05@ (0.78) (0.73) Year Ended 5/31/01 $ 15.11 0.08 0.03 0.11 Year Ended 5/31/00 $ 11.98 0.04 3.10 3.14 Year Ended 5/31/99 $ 15.30 0.08 (1.83) (1.75) Year Ended 5/31/98 $ 14.09 0.09 3.04 3.13 PER SHARE OPERATING PERFORMANCE: ------------------------------------------ LESS DISTRIBUTIONS: ------------------------------------------ DIVIDENDS FROM NET DISTRIBUTIONS INVESTMENT FROM CAPITAL TOTAL INCOME GAINS DISTRIBUTIONS MID CAP VALUE FUND 1/1/03 Through 6/30/03 -- -- -- Year Ended 12/31/02 0.06 0.01 0.07 10/1/01 Through 12/31/01^^ 0.09 0.75 0.84 Year Ended 9/30/01 0.15 0.87 1.02 Year Ended 9/30/00 0.09 3.11 3.20 Year Ended 9/30/99 0.10 0.18 0.28 11/13/97* Through 9/30/98 0.03 -- 0.03 SMALL CAP GROWTH FUND 1/1/03 Through 6/30/03 -- -- -- Year Ended 12/31/02 -- -- -- 10/1/01 Through 12/31/01^^ -- -- -- Year Ended 9/30/01 -- 2.15 2.15 Year Ended 9/30/00 0.04 2.55 2.59 Year Ended 9/30/99 0.09 0.29 0.38 11/14/97* Through 9/30/98 0.02 -- 0.02 U.S. SMALL COMPANY FUND 1/1/03 Through 6/30/03 -- -- -- Year Ended 12/31/02 0.06 -- 0.06 6/1/01 Through 12/31/01^ 0.04 -- 0.04 Year Ended 5/31/01 0.09 1.79 1.88 Year Ended 5/31/00 0.01 -- 0.01 Year Ended 5/31/99 0.08 1.49 1.57 Year Ended 5/31/98 0.08 1.84 1.92
^^ The Fund changed its fiscal year end from September 30 to December 31. ^ The fund changed its fiscal year end from May 31 to December 31. * Commencement of operations. @ Calculated based upon average shares outstanding. (a) Not annualized for periods less than one year. # Short periods have been annualized. !! Due to the size of net assets and fixed expenses, ratios may appear disproportionate. ~ Prior to September 10, 2001, USSCF invested all of its investable assets in The U.S. Small Company Portfolio ("USSCP"). The portfolio turnover rate disclosed prior to September 10, 2001 is the turnover rate of USSCP. SEE NOTES TO FINANCIAL STATEMENTS. 110
PER SHARE OPERATING PERFORMANCE: --------------------------------------------- NET ASSET VALUE, END TOTAL OF PERIOD RETURN (a) MID CAP VALUE FUND 1/1/03 Through 6/30/03 $ 16.32 12.40% Year Ended 12/31/02 $ 14.52 3.23% 10/1/01 Through 12/31/01^^ $ 14.14 11.30% Year Ended 9/30/01 $ 13.47 11.19% Year Ended 9/30/00 $ 13.06 23.76% Year Ended 9/30/99 $ 13.56 30.41% 11/13/97* Through 9/30/98 $ 10.62 6.50% SMALL CAP GROWTH FUND 1/1/03 Through 6/30/03 $ 6.48 15.92% Year Ended 12/31/02 $ 5.59 (40.02%) 10/1/01 Through 12/31/01^^ $ 9.32 36.46% Year Ended 9/30/01 $ 6.83 (45.44%) Year Ended 9/30/00 $ 15.12 36.33% Year Ended 9/30/99 $ 13.45 46.61% 11/14/97* Through 9/30/98 $ 9.47 (5.15%) U.S. SMALL COMPANY FUND 1/1/03 Through 6/30/03 $ 11.21 12.66% Year Ended 12/31/02 $ 9.95 (20.36%) 6/1/01 Through 12/31/01^ $ 12.57 (5.50%) Year Ended 5/31/01 $ 13.34 0.94% Year Ended 5/31/00 $ 15.11 26.23% Year Ended 5/31/99 $ 11.98 (10.79%) Year Ended 5/31/98 $ 15.30 23.55% RATIOS/SUPPLEMENTAL DATA: ------------------------------------------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS: # ----------------------------------------------------------------- NET ASSETS, NET EXPENSES END OF INVESTMENT WITHOUT WAIVERS, PERIOD NET INCOME REIMBURSEMENTS (MILLIONS) EXPENSES (LOSS) AND EARNINGS CREDITS MID CAP VALUE FUND 1/1/03 Through 6/30/03 $ 140 0.75% 0.94% 1.07% Year Ended 12/31/02 $ 59 0.75% 1.01% 1.22% 10/1/01 Through 12/31/01^^ $ 4 0.75% 0.94% 3.30%!! Year Ended 9/30/01 $ 4 0.75% 1.07% 3.25%!! Year Ended 9/30/00 $ 5 0.97% 0.84% 4.24%!! Year Ended 9/30/99 $ 4 1.25% 0.06% 5.11%!! 11/13/97* Through 9/30/98 $ 3 1.25% 0.73% 7.72%!! SMALL CAP GROWTH FUND 1/1/03 Through 6/30/03 $ 1 0.85% (0.56%) 15.65%!! Year Ended 12/31/02 $ 1 0.85% (0.64%) 8.07%!! 10/1/01 Through 12/31/01^^ $ 2 0.85% (0.62%) 6.66%!! Year Ended 9/30/01 $ 2 0.85% (0.53%) 5.82%!! Year Ended 9/30/00 $ 4 1.05% (0.61%) 5.47%!! Year Ended 9/30/99 $ 2 1.35% (0.68%) 10.19%!! 11/14/97* Through 9/30/98 $ 1 1.35% (0.30%) 13.84%!! U.S. SMALL COMPANY FUND 1/1/03 Through 6/30/03 $ 186 0.83% 0.54% 0.94% Year Ended 12/31/02 $ 214 0.83% 0.41% 0.93% 6/1/01 Through 12/31/01^ $ 269 0.82% 0.57% 0.86% Year Ended 5/31/01 $ 410 0.82% 0.54% 0.82% Year Ended 5/31/00 $ 358 0.80% 0.26% 0.82% Year Ended 5/31/99 $ 345 0.80% 0.55% 0.85% Year Ended 5/31/98 $ 420 0.80% 0.55% 0.85% RATIOS/SUPPLEMENTAL DATA: -------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS: # -------------------------------------------------------- NET INVESTMENT INCOME (LOSS) WITHOUT WAIVERS, PORTFOLIO REIMBURSEMENTS TURNOVER AND EARNINGS CREDITS RATE ~ (a) MID CAP VALUE FUND 1/1/03 Through 6/30/03 0.62% 22% Year Ended 12/31/02 0.54% 51% 10/1/01 Through 12/31/01^^ (1.61%) 15% Year Ended 9/30/01 (1.43%) 98% Year Ended 9/30/00 (2.43%) 99% Year Ended 9/30/99 (3.80%)!! 109% 11/13/97* Through 9/30/98 (5.74%)!! 73% SMALL CAP GROWTH FUND 1/1/03 Through 6/30/03 (15.36%)!! 71% Year Ended 12/31/02 (7.86%)!! 76% 10/1/01 Through 12/31/01^^ (6.43%)!! 25% Year Ended 9/30/01 (5.50%)!! 71% Year Ended 9/30/00 (5.03%)!! 88% Year Ended 9/30/99 (9.52%)!! 71% 11/14/97* Through 9/30/98 (12.79%)!! 35% U.S. SMALL COMPANY FUND 1/1/03 Through 6/30/03 0.43% 33% Year Ended 12/31/02 0.31% 90% 6/1/01 Through 12/31/01^ 0.53% 48% Year Ended 5/31/01 0.54% 110% Year Ended 5/31/00 0.24% 104% Year Ended 5/31/99 0.50% 104% Year Ended 5/31/98 0.50% 96%
SEE NOTES TO FINANCIAL STATEMENTS. 111 SELECT SHARES
PER SHARE OPERATING PERFORMANCE: ------------------------------------------------------------------------------------------------------ INCOME FROM INVESTMENT OPERATIONS: LESS DISTRIBUTIONS: ------------------------------------------ --------------------------------------------- NET GAINS OR LOSSES ON NET ASSET NET SECURITIES DIVIDENDS VALUE, INVESTMENT (BOTH TOTAL FROM FROM NET DISTRIBUTIONS BEGINNING INCOME REALIZED AND INVESTMENT INVESTMENT FROM CAPITAL TOTAL OF PERIOD (LOSS) UNREALIZED) OPERATIONS INCOME GAINS DISTRIBUTIONS DYNAMIC SMALL CAP FUND 1/1/03 Through 6/30/03 $ 12.32 (0.04)@ 1.62 1.58 -- -- -- Year Ended 12/31/02 $ 15.89 (0.08) (3.49) (3.57) -- -- -- 11/1/01 Through 12/31/01^ $ 14.37 (0.02) 1.54 1.52 -- -- -- Year Ended 10/31/01 $ 24.65 (0.21) (6.69) (6.90) -- 3.38 3.38 Year Ended 10/31/00 $ 15.98 (0.13)@ 8.80 8.67 -- -- -- 4/15/99** Through 10/31/99 $ 14.11 (0.05) 1.92 1.87 -- -- -- MID CAP EQUITY FUND^^ 1/1/03 Through 6/30/03 $ 24.39 0.06 3.26 3.32 0.06 -- 0.06 Year Ended 12/31/02 $ 29.51 0.13 (4.07) (3.94) 0.13 1.05 1.18 11/1/01 Through 12/31/01^ $ 26.17 0.02 3.43 3.45 0.02 0.09 0.11 Year Ended 10/31/01 $ 37.85 0.12 (5.30) (5.18) 0.12 6.38 6.50 Year Ended 10/31/00 $ 37.55 0.17 9.34 9.51 0.20 9.01 9.21 Year Ended 10/31/99 $ 29.63 0.15 8.52 8.67 0.14 0.61 0.75 Year Ended 10/31/98 $ 32.39 0.14 (0.42) (0.28) 0.13 2.35 2.48 MID CAP VALUE FUND 1/1/03 Through 6/30/03 $ 14.48 0.05@ 1.73 1.78 -- -- -- Year Ended 12/31/02 $ 14.14 0.14@ 0.27 0.41 0.06 0.01 0.07 10/31/01** Through 12/31/01^ $ 13.48 0.01@ 1.49 1.50 0.09 0.75 0.84
^ The Fund changed its fiscal year end from October 31 to December 31. ^^ On November 20, 1998, the fund underwent a split of shares. Prior periods have been restated to reflect the split. ** Commencement of offering of class of shares.. @ Calculated based upon average shares outstanding. (a) Not annualized for periods less than one year. # Short periods have been annualized. !! Due to the size of net assets and fixed expenses, ratios may appear disproportionate. + Amounts round to less than one million. SEE NOTES TO FINANCIAL STATEMENTS. 112
PER SHARE OPERATING PERFORMANCE: ------------------------------------ NET ASSET VALUE, END TOTAL OF PERIOD RETURN (a) DYNAMIC SMALL CAP FUND 1/1/03 Through 6/30/03 $ 13.90 12.82% Year Ended 12/31/02 $ 12.32 (22.47%) 11/1/01 Through 12/31/01^ $ 15.89 10.58% Year Ended 10/31/01 $ 14.37 (30.20%) Year Ended 10/31/00 $ 24.65 54.26% 4/15/99** Through 10/31/99 $ 15.98 13.25% MID CAP EQUITY FUND^^ 1/1/03 Through 6/30/03 $ 27.65 13.65% Year Ended 12/31/02 $ 24.39 (13.39%) 11/1/01 Through 12/31/01^ $ 29.51 13.20% Year Ended 10/31/01 $ 26.17 (15.27%) Year Ended 10/31/00 $ 37.85 30.94% Year Ended 10/31/99 $ 37.55 29.65% Year Ended 10/31/98 $ 29.63 (0.70%) MID CAP VALUE FUND 1/1/03 Through 6/30/03 $ 16.26 12.29% Year Ended 12/31/02 $ 14.48 2.90% 10/31/01** Through 12/31/01^ $ 14.14 11.18% RATIOS/SUPPLEMENTAL DATA: ------------------------------------------------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS: # ----------------------------------------------------------------------------------------- NET INVESTMENT NET ASSETS, NET ASSETS, EXPENSES INCOME (LOSS) END OF INVESTMENT WITHOUT WAIVERS, WITHOUT WAIVERS, PORTFOLIO PERIOD NET INCOME REIMBURSEMENTS REIMBURSEMENTS TURNOVER (MILLIONS) EXPENSES (LOSS) AND EARNINGS CREDITS AND EARNINGS CREDITS RATE (a) DYNAMIC SMALL CAP FUND 1/1/03 Through 6/30/03 $ 11 1.10% (0.73%) 1.25% (0.88%) 23% Year Ended 12/31/02 $ 12 1.10% (0.79%) 1.22% (0.91%) 52% 11/1/01 Through 12/31/01^ $ 8 1.10% (0.82%) 10.33%!! (10.05%)!! 8% Year Ended 10/31/01 $ --+ 1.12% (0.76%) 12.21%!! (11.86%)!! 57% Year Ended 10/31/00 $ --+ 1.10% (0.59%) 15.48%!! (14.97%)!! 87% 4/15/99** Through 10/31/99 $ --+ 1.91% (0.96%) 34.70%!! (33.75%)!! 92% MID CAP EQUITY FUND^^ 1/1/03 Through 6/30/03 $ 159 0.90% 0.52% 1.16% 0.26% 39% Year Ended 12/31/02 $ 139 0.77% 0.51% 1.14% 0.14% 84% 11/1/01 Through 12/31/01^ $ 155 0.60% 0.38% 1.15% (0.17%) 2% Year Ended 10/31/01 $ 133 0.55% 0.38% 1.15% (0.22%) 55% Year Ended 10/31/00 $ 164 0.41% 0.52% 1.14% (0.21%) 84% Year Ended 10/31/99 $ 129 0.07% 0.44% 0.93% (0.42%) 101% Year Ended 10/31/98 $ 112 0.08% 0.43% 0.94% (0.43%) 67% MID CAP VALUE FUND 1/1/03 Through 6/30/03 $ 31 1.00% 0.69% 1.28% 0.41% 22% Year Ended 12/31/02 $ 14 1.00% 0.96% 1.71% 0.25% 51% 10/31/01** Through 12/31/01^ $ --+ 0.99% 0.58% 3.68%!! (2.11%) 15%
SEE NOTES TO FINANCIAL STATEMENTS. 113 JPMORGAN FUNDS SELECT SHARES (continued)
PER SHARE OPERATING PERFORMANCE: ------------------------------------------------------------------------------------------------------- INCOME FROM INVESTMENT OPERATIONS: LESS DISTRIBUTIONS: ------------------------------------------ ---------------------------------------------- NET GAINS OR LOSSES ON NET ASSET NET SECURITIES DIVIDENDS VALUE, INVESTMENT (BOTH TOTAL FROM FROM NET DISTRIBUTIONS BEGINNING INCOME REALIZED AND INVESTMENT INVESTMENT FROM CAPITAL TOTAL OF PERIOD (LOSS) UNREALIZED) OPERATIONS INCOME GAINS DISTRIBUTIONS SMALL CAP EQUITY FUND 1/1/03 Through 6/30/03 $ 18.37 (0.02)@ 2.06 2.04 -- -- -- Year Ended 12/31/02 $ 22.25 (0.04)@ (3.71) (3.75) -- 0.13 0.13 11/1/01 Through 12/31/01^ $ 20.27 (0.01)@ 1.99 1.98 -- -- -- Year Ended 10/31/01 $ 28.52 (0.10) (4.26) (4.36) -- 3.89 3.89 Year Ended 10/31/00 $ 23.10 (0.05)@ 8.12 8.07 -- 2.65 2.65 Year Ended 10/31/99 $ 20.59 (0.02)@ 2.70 2.68 -- 0.17 0.17 Year Ended 10/31/98 $ 23.71 (0.02) (2.46) (2.48) -- 0.64 0.64 SMALL CAP GROWTH FUND 1/1/03 Through 6/30/03 $ 5.56 (0.02)@ 0.90 0.88 -- -- -- Year Ended 12/31/02 $ 9.30 (0.06)@ (3.68) (3.74) -- -- -- 10/31/01** Through 12/31/01 $ 7.77 (0.01) 1.54 1.53 -- -- -- TRUST SMALL CAP EQUITY FUND 1/1/03 Through 6/30/03 $ 33.35 0.01 3.52 3.53 0.01 -- 0.01 Year Ended 12/31/02 $ 40.46 0.04 (6.86) (6.82) 0.03 0.26 0.29 11/1/01 Through 12/31/01^ $ 36.65 0.01 3.81 3.82 0.01 -- 0.01 Year Ended 10/31/01 $ 51.12 0.10 (7.61) (7.51) 0.14 6.82 6.96 Year Ended 10/31/00 $ 47.66 0.08 12.44 12.52 0.08 8.98 9.06 Year Ended 10/31/99 $ 52.73 0.64 (2.50) (1.86) 0.64 2.57 3.21 Year Ended 10/31/98 $ 60.54 0.74 (5.72) (4.98) 0.75 2.08 2.83
^ The Fund changed its fiscal year end from October 31 to December 31. ** Commencement of offering of class of shares. @ Calculated based upon average shares outstanding. (a) Not annualized for periods less than one year. # Short periods have been annualized. !! Due to the size of net assets and fixed expenses, ratios may appear disproportionate. + Amount rounds to less than one million. SEE NOTES TO FINANCIAL STATEMENTS. 114
PER SHARE OPERATING PERFORMANCE: ---------------------------------- NET ASSET VALUE, END TOTAL OF PERIOD RETURN (a) SMALL CAP EQUITY FUND 1/1/03 Through 6/30/03 $ 20.41 11.11% Year Ended 12/31/02 $ 18.37 (16.87%) 11/1/01 Through 12/31/01^ $ 22.25 9.77% Year Ended 10/31/01 $ 20.27 (16.19%) Year Ended 10/31/00 $ 28.52 37.94% Year Ended 10/31/99 $ 23.10 13.06% Year Ended 10/31/98 $ 20.59 (10.64%) SMALL CAP GROWTH FUND 1/1/03 Through 6/30/03 $ 6.44 15.83% Year Ended 12/31/02 $ 5.56 (40.22%) 10/31/01** Through 12/31/01 $ 9.30 19.69% TRUST SMALL CAP EQUITY FUND 1/1/03 Through 6/30/03 $ 36.87 10.59% Year Ended 12/31/02 $ 33.35 (16.94%) 11/1/01 Through 12/31/01^ $ 40.46 10.42% Year Ended 10/31/01 $ 36.65 (15.47%) Year Ended 10/31/00 $ 51.12 30.16% Year Ended 10/31/99 $ 47.66 (4.20%) Year Ended 10/31/98 $ 52.73 (8.53%) RATIOS/SUPPLEMENTAL DATA: ------------------------------------------------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS: # ---------------------------------------------------------------------------------------- NET INVESTMENT NET ASSETS, NET ASSETS, EXPENSES INCOME (LOSS) END OF INVESTMENT WITHOUT WAIVERS, WITHOUT WAIVERS, PORTFOLIO PERIOD NET INCOME REIMBURSEMENTS REIMBURSEMENTS TURNOVER (MILLIONS) EXPENSES (LOSS) AND EARNINGS CREDITS AND EARNINGS CREDITS RATE (a) SMALL CAP EQUITY FUND 1/1/03 Through 6/30/03 $ 531 0.85% (0.20%) 1.12% (0.47%) 17% Year Ended 12/31/02 $ 502 0.85% (0.22%) 1.09% (0.46%) 51% 11/1/01 Through 12/31/01^ $ 532 0.88% (0.31%) 1.10% (0.53%) 6% Year Ended 10/31/01 $ 390 0.88% (0.30%) 1.12% (0.54%) 47% Year Ended 10/31/00 $ 383 0.88% (0.20%) 1.13% (0.45%) 75% Year Ended 10/31/99 $ 269 0.88% (0.07%) 1.13% (0.32%) 92% Year Ended 10/31/98 $ 254 1.04% (0.09%) 1.13% (0.18%) 74% SMALL CAP GROWTH FUND 1/1/03 Through 6/30/03 $ --+ 1.10% (0.88%) 33.07%!! (32.85%)!! 71% Year Ended 12/31/02 $ --+ 1.10% (0.89%) 24.20%!! (23.99%)!! 76% 10/31/01** Through 12/31/01 $ --+ 1.10% (0.88%) 9.40%!! (9.18%)!! 25% TRUST SMALL CAP EQUITY FUND 1/1/03 Through 6/30/03 $ 299 0.60% 0.06% 1.11% (0.45%) 18% Year Ended 12/31/02 $ 259 0.51% 0.10% 1.11% (0.50%) 52% 11/1/01 Through 12/31/01^ $ 317 0.40% 0.09% 1.12% (0.63%) 7% Year Ended 10/31/01 $ 299 0.34% 0.28% 1.13% (0.51%) 50% Year Ended 10/31/00 $ 380 0.50% 0.19% 1.07% (0.38%) 76% Year Ended 10/31/99 $ 339 0.04% 1.16% 0.86% 0.34% 55% Year Ended 10/31/98 $ 418 0.02% 1.28% 0.85% 0.45% 6%
SEE NOTES TO FINANCIAL STATEMENTS. 115 SELECT SHARES (continued)
PER SHARE OPERATING PERFORMANCE: ------------------------------------------------------------------------------------------------------ INCOME FROM INVESTMENT OPERATIONS: LESS DISTRIBUTIONS: ------------------------------------------ ---------------------------------------------- NET GAINS OR LOSSES ON NET ASSET NET SECURITIES DIVIDENDS VALUE, INVESTMENT (BOTH TOTAL FROM FROM NET DISTRIBUTIONS BEGINNING INCOME REALIZED AND INVESTMENT INVESTMENT FROM CAPITAL TOTAL OF PERIOD (LOSS) UNREALIZED) OPERATIONS INCOME GAINS DISTRIBUTIONS U.S. SMALL COMPANY FUND+ 1/1/03 Through 6/30/03 $ 9.97 0.02@ 1.23 1.25 -- -- -- Year Ended 12/31/02 $ 12.57 0.03 (2.60) (2.57) 0.03 -- 0.03 6/1/01 Through 12/31/01^ $ 13.43 0.04@ (0.79) (0.75) 0.05 0.06 0.11 Year Ended 5/31/01 $ 14.45 0.05 0.04 0.09 0.03 1.08 1.11 Year Ended 5/31/00 $ 11.49 -- 2.97 2.97 0.01 -- 0.01 Year Ended 5/31/99 $ 14.76 0.04 (1.76) (1.72) 0.04 1.51 1.55 Year Ended 5/31/98 $ 13.89 0.06 2.97 3.03 0.07 2.09 2.16 U.S. SMALL COMPANY OPPORTUNITIES FUND 1/1/03 Through 6/30/03 $ 7.04 (0.03) 0.61 0.58 -- -- -- Year Ended 12/31/02 $ 10.48 (0.09) (3.35) (3.44) -- -- -- 6/1/01 Through 12/31/01^ $ 12.19 (0.04) (1.67) (1.71) -- -- -- Year Ended 5/31/01 $ 15.90 (0.07) (2.29) (2.36) -- 1.35 1.35 Year Ended 5/31/00 $ 12.17 -- 3.73 3.73 -- -- -- Year Ended 5/31/99 $ 12.57 (0.01) (0.08) (0.09) -- 0.31 0.31 6/16/97* Through 5/31/98 $ 10.00 (0.02) 2.59 2.57 -- -- --
+ On September 10, 2001, the class underwent a split of shares. Prior periods have been restated to reflect the split ^ The fund changed its fiscal year end from May 31 to December 31. * Commencement of operations. @ Calculated based upon average shares outstanding. (a) Not annualized for periods less than one year. # Short periods have been annualized. ~ Prior to September 10, 2001, USSCF invested all of its investable assets in The U.S. Small Company Portfolio ("USSCP"). The portfolio turnover rate disclosed prior to September 10, 2001 is the turnover rate of USSCP. SEE NOTES TO FINANCIAL STATEMENTS 116
PER SHARE OPERATING PERFORMANCE: ---------------------------------- NET ASSET VALUE, END TOTAL OF PERIOD RETURN (a) U.S. SMALL COMPANY FUND+ 1/1/03 Through 6/30/03 $ 11.22 12.54% Year Ended 12/31/02 $ 9.97 (20.48%) 6/1/01 Through 12/31/01^ $ 12.57 (5.56%) Year Ended 5/31/01 $ 13.43 0.75% Year Ended 5/31/00 $ 14.45 25.90% Year Ended 5/31/99 $ 11.49 (10.95%) Year Ended 5/31/98 $ 14.76 23.37% U.S. SMALL COMPANY OPPORTUNITIES FUND 1/1/03 Through 6/30/03 $ 7.62 8.24% Year Ended 12/31/02 $ 7.04 (32.82%) 6/1/01 Through 12/31/01^ $ 10.48 (14.03%) Year Ended 5/31/01 $ 12.19 (15.51%) Year Ended 5/31/00 $ 15.90 30.65% Year Ended 5/31/99 $ 12.17 (0.49%) 6/16/97* Through 5/31/98 $ 12.57 25.70% RATIOS/SUPPLEMENTAL DATA: ------------------------------------------------------------------------------------------------------ RATIOS TO AVERAGE NET ASSETS: # ----------------------------------------------------------------------------------------- NET INVESTMENT NET ASSETS, NET EXPENSES INCOME (LOSS) END OF INVESTMENT WITHOUT WAIVERS, WITHOUT WAIVERS, PORTFOLIO PERIOD NET INCOME REIMBURSEMENTS REIMBURSEMENTS TURNOVER (MILLIONS) EXPENSES (LOSS) AND EARNINGS CREDITS AND EARNINGS CREDITS RATE ~ (a) U.S. SMALL COMPANY FUND+ 1/1/03 Through 6/30/03 $ 161 1.01% 0.37% 1.11% 0.27% 33% Year Ended 12/31/02 $ 199 1.01% 0.23% 1.10% 0.14% 90% 6/1/01 Through 12/31/01^ $ 286 1.01% 0.39% 1.04% 0.36% 48% Year Ended 5/31/01 $ 296 1.01% 0.35% 1.01% 0.35% 110% Year Ended 5/31/00 $ 285 1.00% 0.05% 1.00% 0.05% 104% Year Ended 5/31/99 $ 187 1.02% 0.34% 1.02% 0.34% 104% Year Ended 5/31/98 $ 262 0.97% 0.39% 1.03% 0.33% 96% U.S. SMALL COMPANY OPPORTUNITIES FUND 1/1/03 Through 6/30/03 $ 19 1.02% (0.57%) 1.53% (1.08%) 88% Year Ended 12/31/02 $ 55 1.02% (0.66%) 1.17% (0.81%) 100% 6/1/01 Through 12/31/01^ $ 195 1.02% (0.50%) 1.07% (0.55%) 55% Year Ended 5/31/01 $ 339 0.99% (0.35%) 0.99% (0.35%) 117% Year Ended 5/31/00 $ 529 0.99% (0.47%) 0.99% (0.47%) 132% Year Ended 5/31/99 $ 286 1.07% (0.42%) 1.07% (0.42%) 116% 6/16/97* Through 5/31/98 $ 189 1.19% (0.37%) 1.25% (0.43%) 73%
SEE NOTES TO FINANCIAL STATEMENTS. 117 JPMORGAN FAMILY OF 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 TRUST SMALL CAP EQUITY FUND U.S. EQUITY FUND U.S. SMALL COMPANY FUND U.S. SMALL COMPANY OPPORTUNITIES FUND VALUE OPPORTUNITIES FUND INTERNATIONAL EQUITY FUNDS FLEMING ASIA EQUITY FUND FLEMING EMERGING MARKETS EQUITY FUND FLEMING EUROPEAN FUND FLEMING INTERNATIONAL EQUITY FUND FLEMING INTERNATIONAL GROWTH FUND FLEMING INTERNATIONAL OPPORTUNITIES FUND FLEMING INTERNATIONAL VALUE FUND FLEMING JAPAN FUND SPECIALTY FUNDS GLOBAL 50 FUND GLOBAL HEALTHCARE FUND MARKET NEUTRAL FUND TAX AWARE FUNDS FLEMING TAX AWARE INTERNATIONAL OPPORTUNITIES FUND TAX AWARE DISCIPLINED EQUITY FUND TAX AWARE ENHANCED INCOME FUND TAX AWARE LARGE CAP GROWTH FUND TAX AWARE LARGE CAP VALUE FUND TAX AWARE SHORT-INTERMEDIATE INCOME FUND TAX AWARE U.S. EQUITY FUND INCOME FUNDS BOND FUND BOND FUND II ENHANCED INCOME FUND FLEMING EMERGING MARKETS DEBT FUND GLOBAL STRATEGIC INCOME FUND SHORT TERM BOND FUND SHORT TERM BOND FUND II STRATEGIC INCOME FUND U.S. TREASURY INCOME FUND TAX FREE FUNDS CALIFORNIA BOND FUND INTERMEDIATE TAX FREE INCOME FUND NEW JERSEY TAX FREE INCOME FUND NEW YORK INTERMEDIATE TAX FREE INCOME FUND TAX FREE INCOME FUND MONEY MARKET FUNDS 100% U.S. TREASURY SECURITIES MONEY MARKET FUND CALIFORNIA TAX FREE MONEY MARKET FUND FEDERAL MONEY MARKET FUND LIQUID ASSETS MONEY MARKET FUND NEW YORK TAX FREE MONEY MARKET FUND PRIME MONEY MARKET FUND TAX FREE MONEY MARKET FUND TREASURY PLUS MONEY MARKET FUND U.S. GOVERNMENT MONEY MARKET FUND FUNDS MAY BE REGISTERED UNDER SEPARATE REGISTRANTS. THIS PAGE IS INTENTIONALLY LEFT BLANK [JPMORGAN FLEMING LOGO] ASSET MANAGEMENT JPMorgan Fleming Asset Management is a premier global wealth manager that has been working with affluent investors for over a hundred years. We have a keen understanding of the unique needs of the affluent investor's financial needs. The legacy of our experience coupled with our GLOBAL INTELLECTUAL CAPITAL is the foundation from which our investment products have been built. Our investment professionals are based in 44 countries across the globe. This local insight provides us with a global view of every investment decision we make which we believe is crucial in light of the ever-increasing rise of globalization in our market place. JPMorgan Fleming Asset Management is dedicated to working as an EXPERIENCED PARTNER with your financial advisor to help provide you with the WEALTH SOLUTIONS your portfolio needs. 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. THE FINANCIAL INFORMATION IN THIS REPORT HAS BEEN TAKEN FROM THE BOOKS AND RECORDS OF THE FUNDS WITHOUT EXAMINATION BY INDEPENDENT AUDITORS, WHO EXPRESS NO OPINION THERETO. 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. 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 PRSRT STD 393 Manley Street U.S. POSTAGE West Bridgewater, MA 02379-1039 PAID PERMIT 2891 KANSAS CITY, MO (C) J.P. Morgan Chase & Co., 2003 All rights reserved. August 2003. SAN-SMC-603 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) Disclose whether or not there were 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 WAS NO CHANGES IN THE REGISTRANT'S INTERNAL CONTROL OVER FINANCIAL REPORTING THAT OCCURRED DURING THE REGISTRANT'S MOST RECENT FISCAL HALF-YEAR (THE REGISTRANT'S SECOND FISCAL HALF-YEAR IN THE CASE OF AN ANNUAL REPORT) THAT HAS MATERIALLY AFFECTED OR IS REASONABLY LIKELY TO MATERIALLY AFFECT, THE REGISTRANT'S INTERNAL CONTROL OVER FINANCIAL REPORTING. 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 AND 906 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 AUGUST 25, 2003 -------------------------------------------------------------------------- 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 AUGUST 25, 2003 -------------------------------------------------------------------------- By (Signature and Title)* /s/ GEORGE C.W. GATCH ----------------------------------------------------- George C.W. Gatch, President Date AUGUST 25, 2003 -------------------------------------------------------------------------- * Print the name and title of each signing officer under his or her signature. ----------------------------------------------------------------- EX-99.CERT 3 a2117898zex-99_cert.txt EXHIBIT-99.CERT CERTIFICATION PURSUANT TO SECTION 302 OF THE SARBANES OXLEY ACT OF 2002 I, George C.W. Gatch, certify that: 1. I have reviewed this report on Form N-CSR of the JPMorgan Mid-Cap Equity Fund and JPMorgan Trust Small Cap Equity Fund (the "Funds"), each a series of J.P. Morgan Mutual Fund Select Group; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the financial statements and other information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the Funds as of, and for, the periods presented in this report; 4. The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; c) Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and d) Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal half-year (the registrant's second fiscal half-year in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and 5. The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions): a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. /s/ GEORGE C.W. GATCH ----------------------- George C.W. Gatch President AUGUST 25, 2003 - -------------------- Date CERTIFICATION PURSUANT TO SECTION 302 OF THE SARBANES OXLEY ACT OF 2002 I, David Wezdenko, certify that: 1. I have reviewed this report on Form N-CSR of the JPMorgan Mid-Cap Equity Fund and JPMorgan Trust Small Cap Equity Fund (the "Funds"), each a series of J.P. Morgan Mutual Fund Select Group; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the financial statements and other information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the Funds as of, and for, the periods presented in this report; 4. The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; c) Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and d) Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal half-year (the registrant's second fiscal half-year in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and 5. The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions): a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. /s/ DAVID WEZDENKO - --------------------- David Wezdenko Treasurer AUGUST 25, 2003 - -------------------- Date EX-99.906CERT 4 a2117898zex-99_906cert.txt EXHIBIT-99.906CERT CERTIFICATION PURSUANT TO SECTION 906 OF THE SARBANES OXLEY ACT OF 2002 This certification is provided pursuant to Section 906 of the Sarbanes-Oxley Act of 2002, 18 U.S.C. Section 1350, and accompanies the report on Form N-CSR for the period ended June 30, 2003 of the JPMorgan Mid-Cap Equity Fund and JPMorgan Trust Small Cap Equity Fund, each a series of J.P. Morgan Mutual Fund Select Group (the "Registrant"). I, George C.W. Gatch, certify that: 1. The Form N-CSR fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934 (15 U.S.C. 78m(a) or 78o(d)); and 2. The information contained in the Form N-CSR fairly presents, in all material respects, the financial condition and results of operations of JPMorgan Mid-Cap Equity Fund and JPMorgan Trust Small Cap Equity Fund, each a series of the Registrant. /s/ GEORGE C.W. GATCH - ------------------------ George C.W. Gatch President AUGUST 25, 2003 - -------------------- Date A signed original of this written statement required by Section 906 has been provided to the Registrant and will be retained by the Registrant and furnished to the Securities and Exchange Commission or its staff upon request. CERTIFICATION PURSUANT TO SECTION 906 OF THE SARBANES OXLEY ACT OF 2002 This certification is provided pursuant to Section 906 of the Sarbanes-Oxley Act of 2002, 18 U.S.C. Section 1350, and accompanies the report on Form N-CSR for the period ended June 30, 2003 of the JPMorgan Mid-Cap Equity Fund and JPMorgan Trust Small Cap Equity Fund, each a series of J.P. Morgan Mutual Fund Select Group (the "Registrant"). I, David Wezdenko, certify that: 1. The Form N-CSR fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934 (15 U.S.C. 78m(a) or 78o(d)); and 2. The information contained in the Form N-CSR fairly presents, in all material respects, the financial condition and results of operations of JPMorgan Mid-Cap Equity Fund and JPMorgan Trust Small Cap Equity Fund, each a series of the Registrant. /s/ DAVID WEZDENKO - ---------------------- David Wezdenko Treasurer AUGUST 25, 2003 - -------------------- Date A signed original of this written statement required by Section 906 has been provided to the Registrant and will be retained by the Registrant and furnished to the Securities and Exchange Commission or its staff upon request. -----END PRIVACY-ENHANCED MESSAGE-----