N-CSRS 1 a2139212zn-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: October 31, 2004 ----------------------- Date of reporting period: November 1, 2003 through April 30, 2004 ----------------------------------------------- Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles. A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget ("OMB") control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. Section 3507. ITEM 1. REPORTS TO STOCKHOLDERS. Include a copy of the report transmitted to stockholders pursuant to Rule 30e-1 under the Act (17 CFR 270.30e-1). [GRAPHIC] JPMORGAN FUNDS SEMI-ANNUAL REPORT APRIL 30 2004 (UNAUDITED) INTERNATIONAL EQUITY FUNDS FLEMING INTREPID EUROPEAN FUND FLEMING JAPAN FUND FLEMING INTERNATIONAL GROWTH FUND FLEMING INTERNATIONAL VALUE FUND FLEMING INTERNATIONAL OPPORTUNITIES FUND FLEMING EMERGING MARKETS EQUITY FUND FLEMING ASIA EQUITY FUND FLEMING INTERNATIONAL EQUITY FUND [JPMORGAN FLEMING ASSET MANAGEMENT LOGO] [JPMORGAN FLEMING ASSET MANAGEMENT LOGO] JPMORGAN FLEMING ASSET MANAGEMENT is a premier global wealth manager that has been working with affluent investors for over a hundred years. This experience provides us with a keen understanding of the unique needs of the affluent investor's portfolio. The legacy of our experience, coupled with our GLOBAL INTELLECTUAL CAPITAL, is the foundation from which our investment products have been built. We have a worldwide investment presence. This local insight provides us with a global view of every investment decision we make which we believe is crucial in light of the ever-increasing rise of globalization in our marketplace. JPMorgan Fleming Asset Management is an EXPERIENCED PARTNER dedicated to working with your financial professional to help provide you with a broad array of WEALTH SOLUTIONS. CONTENTS President's Letter 1 Fund Commentaries: 3 Fleming Intrepid European Fund 3 Fleming Japan Fund 6 Fleming International Growth Fund 9 Fleming International Value Fund 12 Fleming International Opportunities Fund 15 Fleming Emerging Markets Equity Fund 18 Fleming Asia Equity Fund 21 Fleming International Equity Fund 24 Portfolio of Investments 27 Financial Statements 54 Notes to Financial Statements 66 Financial Highlights 94
HIGHLIGHTS - Global growth accelerates - Markets rally across the six months - Buoyant U.S. employment numbers spook markets in April - Inflation key to long term outlook 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 INTERNATIONAL EQUITY FUNDS PRESIDENT'S LETTER MAY 20, 2004 [PHOTO OF GEORGE C.W. GATCH] "AGAINST THIS BRIGHTENING PICTURE, MARKETS RALLIED." DEAR SHAREHOLDER: We are pleased to present this semi-annual report for the JPMorgan International Equity Funds. Inside, you'll find information detailing the performance of the Funds for the six months ended April 30, 2004, along with reports from the Portfolio Managers. GLOBAL ECONOMIC RECOVERY CONSOLIDATES International equity markets continued to rally in the six months ended April 30 2004 as evidence emerged that global growth was accelerating. In the United States, Gross Domestic Product (GDP) growth for the first-quarter was 4.2% -- solid but a little below expectations. Furthermore, 308,000 jobs were added to the U.S. labor market in March -- the largest monthly rise in four years -- ending fears of a jobless U.S. recovery. In Japan, economic indicators showed a marked acceleration. After a series of false dawns, the country appeared, finally, to be emerging from more than a decade of stagnation. Corporate earnings were exceptionally strong everywhere. Earnings forecasts hit new records in the United States, Europe and Japan. Against this brightening picture, markets rallied. International markets led the way, with the broad-based MSCI EAFE Index of international markets gaining 12.4% (in U.S. dollars). In the United States, the S&P 500 Index trailed with a rise of 6.3%, although it fell slightly when markets corrected at the end of the period. INTEREST RATES, OIL PRICES, GEOPOLITICAL UNCERTAINTY BECOME A CONCERN It was the U.S. employment numbers, the very news investors had been waiting for, that spooked the stock markets, and started April's correction. Investors worried that the Federal Reserve Board would raise rates sooner than expected, possibly choking economic growth in the United States and elsewhere. Nervousness increased as setbacks in Iraq during the month caused the oil price to spike higher, and China's government took action to curb its overheating economy. The S&P 500 Index declined 1.6% in the month, while the MSCI EAFE Index fell 2.3%. More volatile indices fell further - the MSCI Emerging Markets Free Index, for example, slumped 8.2%. OUTLOOK While, by all indications, economic fundamentals are likely to remain solid, equity gains are likely to be tempered by concerns about the timing and magnitude of U.S. rate rises, and the extent to which the yields on long bonds move higher. Uncertainties surrounding Chinese growth, and the situation in Iraq, are also likely to spark volatility. But if the U.S. and Chinese monetary authorities can rein in inflation, the global economy and stock markets are likely to benefit in the long run. IMPORTANT MERGER NEWS As you may know, J.P. Morgan Chase & Co. and Bank One Corp. have agreed to merge in July 2004, as approved by both firms' shareholders. The merger is compelling both strategically and financially. The newly combined organization will have top-tier positions in both wholesale and retail financial services, an extensive client base and greater scale. And we will have an extraordinarily talented team that shares common values and a strong client orientation. FUND FAMILY UPDATE As of February 27, 2004, JPMorgan Fleming European Fund was renamed to JPMorgan Fleming Intrepid European Fund. Please note that the name change has not affected the Fund's investment objective or strategy. Additionally, JPMorgan Fleming Emerging Markets Equity Fund's Portfolio management has been shifted to a new team. In managing the Fund, the adviser, JPMIM (J.P. Morgan Investment Management) seeks to add value primarily through stock selection decisions. Country specialists use their local expertise to identify, research and rank companies according to their expected performance. As always, we would like to thank you for your investment, and look forward to serving your financial needs for many years to come. Should you have any questions, please feel free to contact the JPMorgan Funds Service Center at 1-800-348-4782. Sincerely, /s/ George C.W. Gatch George C.W. Gatch President 2 JPMORGAN FLEMING INTREPID EUROPEAN FUND AS OF APRIL 30, 2004 (Unaudited) FUND FACTS Fund Inception 11/2/95 Fiscal Year End OCTOBER 31 Net Assets as of 4/30/2004 (In Millions) $99.5 Primary Benchmark MSCI EUROPE INDEX Q: HOW DID THE FUND PERFORM? A: JPMorgan Fleming Intrepid European Fund, which seeks to provide long-term capital growth from investments in European companies, returned 7.9% (Class A shares, no sales charge) compared to a total return of 12.9% for the MSCI Europe Index. Q: WHY DID THE FUND PERFORM THIS WAY? A: The Fund's performance over the six month review period was behind the benchmark. Most of the underperformance was experienced at the end of the review period when rising geopolitical concerns and increased market volatility caused a rotation towards stocks in more defensive areas of the market, many of which exhibited neither the attractive value nor the attractive growth characteristics that we seek to identify. Early in the review period, during November and December 2003, Fund performance was broadly in line with the market, with its exposure to cheaper cyclical stocks working well as the market looked ahead to stronger regional economic growth in 2004. Bottom-up news flow resulted in the Fund investing in a number of stocks in sectors that were expected to benefit from increased consumer, corporate and government spending, such as construction, transportation and retail. These positions worked particularly well in the first two months of 2004, as positive earnings reports from a range of Portfolio holdings helped boost relative returns. In particular, the Fund benefited at this time from exposure to Airline stocks (which were seeing improved margins and a pickup in passenger numbers), Telecom Equipment makers (which were boosted by rising handset demand), and Insurance companies and Utility providers (whose cheap valuations and rising profitability attracted investors). However, March and April were much more difficult months for the Fund as renewed global security concerns following the Madrid bombings, rising oil prices and growing concerns over potential U.S. interest rate hikes led to swings in market sentiment. As a result, European stock markets and the Fund fell back sharply. The Fund underperformed as investor nervousness over the potential effect of terrorism, rate increases and higher fuel costs on consumer confidence led to profit taking in some of our favored growth stocks that had performed so strongly earlier in the review period. Q: HOW WAS THE FUND MANAGED? A: The Fund's disciplined investment process seeks to invest in what we believe to be the best European growth and value stocks. The Fund's Portfolio is constructed at an absolute level, focusing only on those stocks that we have identified as the most attractive, so that no company is owned simply to reduce risk against the benchmark. Instead, risk continues to be managed by holding a large number of stocks and by ensuring that the Fund always has positive tilts to both growth and value compared to the broad market. 3 [CHART] PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS United Kingdom 28.0% France 12.5% Germany 11.0% Switzerland 9.0% The Netherlands 8.1% Austria 7.4% Sweden 6.8% Italy 4.4% Norway 4.1% Spain 4.0% Belgium 2.6% Liechtenstein 0.6% Greece 0.5% Ireland 0.5% Luxembourg 0.5% Finland 0.0%^
^ Amount rounds to less than 0.1% TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO 1. Shell Transport & Trading Co., PLC (United Kingdom) 3.2% 2. Total SA (France) 3.2% 3. Koninklijke Wessanen NV (The Netherlands) 2.4% 4. BP PLC (United Kingdom) 2.4% 5. E.ON AG (Germany) 2.2% 6. ENI-Ente Nazionale Idrocarburi SPA (Italy) 2.2% 7. Scottish Power PLC (United Kingdom) 2.1% 8. Bank Austria Creditanstalt AG (Austria) 2.1% 9. United Utilities PLC (United Kingdom) 1.9% 10. Statoil ASA (Norway) 1.7%
Top 10 equity holdings comprised 23.4% of the Portfolio's market value of investments ($22,004,984). As of April 30, 2004, the Fund held 116 equity holdings. Portfolio holdings are subject to change at any time. 4 SEMI-ANNUAL REPORT APRIL 30 2004 (Unaudited) AVERAGE ANNUAL TOTAL RETURNS AS OF APRIL 30, 2004
SINCE INCEPTION 1 YEAR 3 YEARS 5 YEARS (11/2/95) --------------------------------------- CLASS A SHARES Without Sales Charge 32.78% 8.31% 5.17% 12.28% With Sales Charge* 25.14% 6.20% 3.93% 11.50% --------------------------------------- CLASS B SHARES Without CDSC 32.06% 7.56% 4.44% 11.53% With CDSC** 27.06% 6.69% 4.11% 11.53% --------------------------------------- CLASS C SHARES Without CDSC 32.11% 7.55% 4.42% 11.48% With CDSC*** 31.11% 7.55% 4.42% 11.48% --------------------------------------- INSTITUTIONAL SHARES 33.87% 8.98% 5.56% 12.53% --------------------------------------- SELECT SHARES 33.24% 8.52% 5.29% 12.36%
* Sales Charge for Class A Shares is 5.75%. ** Assumes 5% CDSC (contingent deferred sales charge) for the one year period, 3% CDSC for the three year period, 2% CDSC for the five year period and 0% for the period since inception. *** Assumes a 1% CDSC for the one year period and 0% CDSC thereafter. [CHART] LIFE OF FUND PERFORMANCE (11/02/95 TO 04/30/04)
JPMORGAN FLEMING INTREPID EUROPEAN FUND (CLASS A SHARES) MSCI EUROPE INDEX LIPPER EUROPEAN FUNDS INDEX Nov-1995 $ 9,425 $ 10,000 $ 10,000 Nov-1995 $ 9,444 $ 10,000 $ 10,000 Dec-1995 $ 9,598 $ 10,317 $ 10,210 Jan-1996 $ 9,664 $ 10,384 $ 10,287 Feb-1996 $ 10,013 $ 10,573 $ 10,633 Mar-1996 $ 10,333 $ 10,700 $ 10,887 Apr-1996 $ 10,532 $ 10,777 $ 11,097 May-1996 $ 10,701 $ 10,860 $ 11,378 Jun-1996 $ 11,099 $ 10,979 $ 11,483 Jul-1996 $ 10,720 $ 10,842 $ 11,175 Aug-1996 $ 10,966 $ 11,164 $ 11,540 Sep-1996 $ 11,223 $ 11,399 $ 11,686 Oct-1996 $ 11,385 $ 11,663 $ 11,930 Nov-1996 $ 11,936 $ 12,254 $ 12,433 Dec-1996 $ 12,296 $ 12,492 $ 12,711 Jan-1997 $ 12,451 $ 12,526 $ 12,843 Feb-1997 $ 12,730 $ 12,691 $ 13,036 Mar-1997 $ 12,988 $ 13,101 $ 13,341 Apr-1997 $ 12,905 $ 13,036 $ 13,172 May-1997 $ 13,060 $ 13,592 $ 13,693 Jun-1997 $ 13,836 $ 14,272 $ 14,338 Jul-1997 $ 14,363 $ 14,941 $ 14,758 Aug-1997 $ 13,732 $ 14,088 $ 14,035 Sep-1997 $ 14,788 $ 15,455 $ 15,298 Oct-1997 $ 14,592 $ 14,694 $ 14,659 Nov-1997 $ 14,541 $ 14,921 $ 14,769 Dec-1997 $ 14,924 $ 15,465 $ 15,113 Jan-1998 $ 15,760 $ 16,108 $ 15,676 Feb-1998 $ 17,182 $ 17,368 $ 16,968 Mar-1998 $ 18,580 $ 18,605 $ 18,253 Apr-1998 $ 19,142 $ 18,966 $ 18,672 May-1998 $ 19,643 $ 19,351 $ 19,141 Jun-1998 $ 19,824 $ 19,564 $ 19,197 Jul-1998 $ 20,603 $ 19,951 $ 19,563 Aug-1998 $ 17,179 $ 17,441 $ 16,738 Sep-1998 $ 16,461 $ 16,743 $ 15,801 Oct-1998 $ 17,323 $ 18,083 $ 16,906 Nov-1998 $ 18,257 $ 19,045 $ 17,869 Dec-1998 $ 19,128 $ 19,877 $ 18,702 Jan-1999 $ 20,145 $ 19,750 $ 19,035 Feb-1999 $ 18,981 $ 19,248 $ 18,479 Mar-1999 $ 18,945 $ 19,458 $ 18,531 Apr-1999 $ 19,587 $ 20,038 $ 19,061 May-1999 $ 18,569 $ 19,076 $ 18,369 Jun-1999 $ 18,932 $ 19,399 $ 18,835 Jul-1999 $ 19,271 $ 19,579 $ 19,152 Aug-1999 $ 19,478 $ 19,779 $ 19,307 Sep-1999 $ 19,515 $ 19,626 $ 19,096 Oct-1999 $ 20,024 $ 20,349 $ 19,744 Nov-1999 $ 22,727 $ 20,898 $ 21,116 Dec-1999 $ 26,025 $ 23,040 $ 23,844 Jan-2000 $ 25,715 $ 21,400 $ 23,076 Feb-2000 $ 28,207 $ 22,515 $ 26,256 Mar-2000 $ 27,615 $ 23,057 $ 26,275 Apr-2000 $ 25,999 $ 22,040 $ 24,851 May-2000 $ 25,050 $ 21,860 $ 24,349 Jun-2000 $ 25,396 $ 22,330 $ 24,926 Jul-2000 $ 24,865 $ 21,972 $ 24,734 Aug-2000 $ 24,656 $ 21,713 $ 24,828 Sep-2000 $ 23,423 $ 20,697 $ 23,547 Oct-2000 $ 22,053 $ 20,540 $ 22,831 Nov-2000 $ 20,869 $ 19,745 $ 21,609 Dec-2000 $ 22,194 $ 21,105 $ 23,232 Jan-2001 $ 22,125 $ 21,116 $ 23,163 Feb-2001 $ 20,893 $ 19,262 $ 21,210 Mar-2001 $ 18,906 $ 17,825 $ 19,348 Apr-2001 $ 19,838 $ 19,092 $ 20,629 May-2001 $ 19,413 $ 18,160 $ 19,834 Jun-2001 $ 18,454 $ 17,474 $ 19,027 Jul-2001 $ 18,139 $ 17,518 $ 18,835 Aug-2001 $ 18,632 $ 17,062 $ 18,351 Sep-2001 $ 17,181 $ 15,359 $ 16,292 Oct-2001 $ 17,756 $ 15,848 $ 16,862 Nov-2001 $ 19,386 $ 16,483 $ 17,592 Dec-2001 $ 19,454 $ 16,905 $ 17,967 Jan-2002 $ 18,838 $ 16,021 $ 17,180 Feb-2002 $ 19,331 $ 16,018 $ 17,192 Mar-2002 $ 20,249 $ 16,886 $ 18,052 Apr-2002 $ 20,824 $ 16,758 $ 18,003 May-2002 $ 21,399 $ 16,706 $ 18,014 Jun-2002 $ 21,070 $ 16,126 $ 17,531 Jul-2002 $ 19,713 $ 14,331 $ 15,699 Aug-2002 $ 19,315 $ 14,328 $ 15,594 Sep-2002 $ 17,918 $ 12,443 $ 13,662 Oct-2002 $ 18,125 $ 13,646 $ 14,708 Nov-2002 $ 19,481 $ 14,316 $ 15,404 Dec-2002 $ 17,976 $ 13,796 $ 14,835 Jan-2003 $ 17,576 $ 13,144 $ 14,187 Feb-2003 $ 17,121 $ 12,715 $ 13,645 Mar-2003 $ 17,288 $ 12,526 $ 13,479 Apr-2003 $ 18,986 $ 14,216 $ 15,173 May-2003 $ 20,392 $ 15,138 $ 16,290 Jun-2003 $ 20,282 $ 15,284 $ 16,420 Jul-2003 $ 21,110 $ 15,594 $ 16,734 Aug-2003 $ 21,469 $ 15,564 $ 16,861 Sep-2003 $ 22,020 $ 15,880 $ 17,237 Oct-2003 $ 23,372 $ 16,942 $ 18,326 Nov-2003 $ 24,338 $ 17,664 $ 19,133 Dec-2003 $ 26,007 $ 19,114 $ 20,491 Jan-2004 $ 27,001 $ 19,338 $ 21,089 Feb-2004 $ 27,511 $ 19,905 $ 21,745 Mar-2004 $ 26,202 $ 19,284 $ 21,045 Apr-2004 $ 25,204 $ 19,124 $ 20,708
Source: Lipper Analytical Services, Inc. The quoted performance is past performance and not indicative of future returns. Investment returns will fluctuate so that an investor's shares when redeemed may be worth more or less than original cost. Please note, current performance may be higher or lower than the performance data shown. INVESTORS SHOULD CAREFULLY READ THE FUND PROSPECTUS WHICH INCLUDES INFORMATION ON THE FUND'S INVESTMENT OBJECTIVES, RISK, AS WELL AS CHARGES AND EXPENSES ALONG WITH OTHER INFORMATION. INVESTORS SHOULD REVIEW THE INFORMATION IN THE PROSPECTUS CAREFULLY BEFORE INVESTING. FOR UP TO DATE MONTH-END PERFORMANCE INFORMATION, OR TO RECEIVE A FUND PROSPECTUS PLEASE CALL 800 348-4782. PLEASE READ CAREFULLY BEFORE INVESTING OR SENDING MONEY. The Fund commenced operations on 11/2/95. Returns for the Institutional and Select Shares prior to 9/10/01 (offering date of the Institutional and Select Shares) are calculated using the historical expenses of the Class A Shares, which are higher than the expenses of the Institutional and Select Shares. Returns for the Class B Shares prior to 11/3/95 (offering date of the Class B Shares) are calculated using the historical expenses of the Class A Shares, which are lower than the expenses of the Class B Shares. Returns for the Class C Shares prior to 11/1/98 (offering date of the Class C Shares) are calculated using the historical expenses of the Class A Shares, which are lower than the expenses of the Class C Shares. The graph illustrates comparative performance for $10,000 invested in Class A Shares of the JPMorgan Fleming Intrepid European Fund, MSCI Europe Index, and Lipper European Funds Index from November 2, 1995 to April 30, 2004. The performance of the Fund assumes reinvestment of all dividends and capital gains and includes a sales charge. The performance of the indices reflects an initial investment at the end of the month following the Fund's inception. The performance of the indices does not include a sales charge and has been adjusted to reflect reinvestment of all dividends and capital gains of the securities included in the benchmark. The MSCI Europe Index is a replica (or model) of the performance of the European markets. The Lipper European Funds Index represents the total returns of the funds in the indicated category, as defined by Lipper, Inc. Investors cannot invest directly in an index. Class A Shares have a $2,500 minimum initial deposit and carry a 5.75% sales charge. Certain fees and expenses of the Fund are currently being waived and reimbursed as described in the prospectus. Had the expenses not been subsidized or waived, returns would have been lower. Also, all performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares. 5 JPMORGAN FLEMING JAPAN FUND AS OF APRIL 30, 2004 (Unaudited) FUND FACTS Fund Inception 11/2/95 Fiscal Year End OCTOBER 31 Net Assets as of 4/30/2004 (In Millions) $21.2 Primary Benchmark MSCI JAPAN INDEX Q: HOW DID THE FUND PERFORM? A: JPMorgan Fleming Japan Fund, which seeks total return from long-term capital growth through investing in Japanese equities, climbed by 11.2% (A shares, no sales charge) in the six months ended April 30, 2004. This compares with a rise of 12.9% in the MSCI Japan Index (in U.S. dollars). Q: WHY DID THE FUND PERFORM THIS WAY? A: The Portfolio generated a significant positive return in the six months ended April 30, 2004, although it trailed its MSCI Japan Index benchmark. Being underweight the banking sector, which was one of the leaders of the Japanese stock market rally, caused the shortfall against the Index. To an extent, this was offset by successful stock selection among small capitalization stocks. Japan's bank stocks had an astonishing rally during the period in response to what appeared to be an increasingly sustainable domestic economic recovery. A return to economic stability in Japan would reduce banks' bad debt provisions, so improving their financial strength and increasing profitability. The Portfolio had underweight holdings in UFJ Holdings and Mitsubishi Tokyo Financial Group. Another detractor from relative performance was Toyota Motor Company, where the Portfolio was underweight. Toyota's shares rallied as it reported a more than 50% increase in profits for the 2003 financial year, with sales increases across all major markets. Stock selection among the small house building companies added to performance. Many of these companies practice efficient building techniques, helping them to generate strong profit growth. Additionally, there is increasing optimism that deflation in Japanese asset prices may be coming to an end. Both of these factors are pushing stock prices up from low valuations. An overweight allocation to small companies as a whole benefited the Portfolio. One stock that performed well was VT Holdings, a car dealer that also exports used cars to Asia. Broadly speaking, many small capitalization stocks have offered better earnings growth than larger companies, yet have traded on lower valuations. Q: HOW WAS THE FUND MANAGED? A: As the period progressed, the Portfolio increased its weighting in the companies we believe to have the most leverage to Japan's economic recovery. Following meetings with the banks, it has moved from underweight to slightly overweight the sector. The Portfolio is also overweight the real estate stocks, which will benefit if asset prices stop falling. It has a slightly underweight position in the export stocks, which are suffering from the strength of the Yen. 6 SEMI-ANNUAL REPORT APRIL 30 2004 (Unaudited) [CHART] PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS Industrial Products & Services 26.9% Consumer Goods & Services 23.1% Finance & Insurance 22.7% Technology 17.8% REITs 6.7% Telecommunications 1.5% Pharmaceuticals 0.7% Energy 0.6%
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO 1. Toyota Motor Corp. (Japan) 2.8% 2. Matsui Securities Co., LTD (Japan) 2.1% 3. Mizuho Financial Group, Inc. (Japan) 2.1% 4. Sumitomo Mitsui Financial Group, Inc. (Japan) 2.0% 5. Nikko Cordial Corp. (Japan) 1.9% 6. Resona Holdings, Inc. (Japan) 1.8% 7. Mitsubishi Tokyo Financial Group, Inc. (Japan) 1.8% 8. Honda Motor Co., LTD (Japan) 1.7% 9. BB Net Corp. (Japan) 1.4% 10. Nissan Motor Co., LTD (Japan) 1.4%
Top 10 equity holdings comprised 19.0% of the Portfolio's market value of investments ($3,883,366). As of April 30, 2004, the Fund held 157 equity holdings. Portfolio holdings are subject to change at any time. 7 AVERAGE ANNUAL TOTAL RETURNS AS OF APRIL 30, 2004
SINCE INCEPTION 1 YEAR 3 YEARS 5 YEARS (11/2/95) --------------------------------------- CLASS A SHARES Without Sales Charge 79.04% 1.91% (0.92%) (2.56%) With Sales Charge* 68.86% (0.09%) (2.07%) (3.23%) --------------------------------------- CLASS B SHARES Without CDSC 77.83% 1.06% (1.59%) (3.21%) With CDSC** 72.83% 0.07% (1.99%) (3.21%)
* Sales Charge for Class A Shares is 5.75%. ** Assumes 5% CDSC (contingent deferred sales charge) for the one year period, 3% CDSC for the three year period, 2% CDSC for the five year period and 0% CDSC for the period since inception. [CHART] LIFE OF FUND PERFORMANCE (11/02/95 TO 04/30/04)
JPMORGAN FLEMING TOKYO STOCK EXCHANGE LIPPER JAPAN JAPAN FUND (CLASS A SHARES) MSCI JAPAN INDEX (TOPIX) 1ST SECTION INDEX EQUITY FUNDS AVERAGE Nov-1995 $ 9,425 $ 10,000 $ 10,000 $ 10,000 Nov-1995 $ 9,425 $ 10,000 $ 10,000 $ 10,000 Dec-1995 $ 9,679 $ 10,511 $ 10,479 $ 10,444 Jan-1996 $ 9,802 $ 10,373 $ 10,338 $ 10,459 Feb-1996 $ 9,604 $ 10,189 $ 10,168 $ 10,243 Mar-1996 $ 10,038 $ 10,548 $ 10,544 $ 10,618 Apr-1996 $ 10,518 $ 11,149 $ 11,246 $ 11,294 May-1996 $ 10,057 $ 10,574 $ 10,697 $ 10,888 Jun-1996 $ 10,179 $ 10,630 $ 10,744 $ 11,064 Jul-1996 $ 9,699 $ 10,154 $ 10,216 $ 10,513 Aug-1996 $ 9,190 $ 9,700 $ 9,782 $ 10,118 Sep-1996 $ 9,473 $ 10,036 $ 10,086 $ 10,365 Oct-1996 $ 8,879 $ 9,363 $ 9,409 $ 9,758 Nov-1996 $ 8,973 $ 9,541 $ 9,479 $ 9,809 Dec-1996 $ 8,605 $ 8,882 $ 8,749 $ 9,288 Jan-1997 $ 8,470 $ 7,916 $ 7,806 $ 8,741 Feb-1997 $ 8,768 $ 8,101 $ 7,957 $ 8,897 Mar-1997 $ 8,633 $ 7,834 $ 7,696 $ 8,710 Apr-1997 $ 8,951 $ 8,119 $ 7,880 $ 9,034 May-1997 $ 9,779 $ 9,015 $ 8,853 $ 10,155 Jun-1997 $ 10,260 $ 9,688 $ 9,423 $ 10,628 Jul-1997 $ 10,789 $ 9,393 $ 9,050 $ 10,756 Aug-1997 $ 9,573 $ 8,579 $ 8,239 $ 9,604 Sep-1997 $ 9,718 $ 8,449 $ 8,006 $ 9,487 Oct-1997 $ 9,187 $ 7,662 $ 7,392 $ 8,801 Nov-1997 $ 9,033 $ 7,191 $ 6,831 $ 8,371 Dec-1997 $ 8,745 $ 6,780 $ 6,293 $ 7,903 Jan-1998 $ 8,643 $ 7,385 $ 6,961 $ 8,537 Feb-1998 $ 8,368 $ 7,423 $ 7,016 $ 8,483 Mar-1998 $ 8,205 $ 6,918 $ 6,572 $ 8,108 Apr-1998 $ 8,094 $ 6,891 $ 6,481 $ 8,150 May-1998 $ 8,185 $ 6,512 $ 6,172 $ 7,987 Jun-1998 $ 8,114 $ 6,603 $ 6,209 $ 7,989 Jul-1998 $ 8,022 $ 6,516 $ 6,122 $ 8,130 Aug-1998 $ 7,279 $ 5,773 $ 5,489 $ 7,444 Sep-1998 $ 7,086 $ 5,615 $ 5,390 $ 7,188 Oct-1998 $ 6,526 $ 6,557 $ 6,248 $ 7,630 Nov-1998 $ 6,821 $ 6,857 $ 6,541 $ 8,208 Dec-1998 $ 7,025 $ 7,122 $ 6,777 $ 8,441 Jan-1999 $ 6,913 $ 7,174 $ 6,807 $ 8,515 Feb-1999 $ 6,689 $ 7,017 $ 6,641 $ 8,466 Mar-1999 $ 7,616 $ 7,990 $ 7,562 $ 9,628 Apr-1999 $ 7,921 $ 8,323 $ 7,917 $ 10,139 May-1999 $ 7,575 $ 7,854 $ 7,527 $ 9,822 Jun-1999 $ 8,206 $ 8,598 $ 8,270 $ 11,312 Jul-1999 $ 8,929 $ 9,456 $ 9,108 $ 12,515 Aug-1999 $ 9,132 $ 9,389 $ 9,393 $ 13,135 Sep-1999 $ 9,631 $ 9,959 $ 10,030 $ 13,904 Oct-1999 $ 10,018 $ 10,387 $ 10,621 $ 14,428 Nov-1999 $ 10,537 $ 10,832 $ 11,386 $ 15,707 Dec-1999 $ 11,260 $ 11,505 $ 11,928 $ 16,927 Jan-2000 $ 10,476 $ 11,007 $ 11,311 $ 16,159 Feb-2000 $ 10,394 $ 10,722 $ 11,094 $ 16,440 Mar-2000 $ 10,934 $ 11,606 $ 11,830 $ 17,476 Apr-2000 $ 10,089 $ 10,733 $ 10,852 $ 15,870 May-2000 $ 9,193 $ 10,187 $ 10,060 $ 14,743 Jun-2000 $ 9,682 $ 10,887 $ 10,704 $ 15,759 Jul-2000 $ 8,460 $ 9,633 $ 9,436 $ 13,853 Aug-2000 $ 9,152 $ 10,256 $ 10,086 $ 14,955 Sep-2000 $ 8,979 $ 9,746 $ 9,711 $ 14,143 Oct-2000 $ 8,266 $ 9,181 $ 9,017 $ 13,007 Nov-2000 $ 8,083 $ 8,800 $ 8,777 $ 12,472 Dec-2000 $ 7,442 $ 8,265 $ 8,022 $ 11,421 Jan-2001 $ 7,422 $ 8,167 $ 7,980 $ 11,327 Feb-2001 $ 6,800 $ 7,799 $ 7,556 $ 10,527 Mar-2001 $ 6,739 $ 7,567 $ 7,306 $ 10,401 Apr-2001 $ 7,146 $ 8,081 $ 7,929 $ 11,259 May-2001 $ 7,238 $ 8,062 $ 7,908 $ 11,088 Jun-2001 $ 6,759 $ 7,581 $ 7,481 $ 10,532 Jul-2001 $ 6,240 $ 7,017 $ 6,835 $ 9,619 Aug-2001 $ 5,976 $ 6,841 $ 6,652 $ 9,159 Sep-2001 $ 5,375 $ 6,202 $ 6,184 $ 8,296 Oct-2001 $ 5,385 $ 6,189 $ 6,229 $ 8,508 Nov-2001 $ 5,599 $ 6,257 $ 6,140 $ 8,545 Dec-2001 $ 5,253 $ 5,834 $ 5,668 $ 8,078 Jan-2002 $ 4,937 $ 5,377 $ 5,229 $ 7,482 Feb-2002 $ 5,212 $ 5,601 $ 5,454 $ 7,782 Mar-2002 $ 5,569 $ 5,922 $ 5,787 $ 8,344 Apr-2002 $ 5,752 $ 6,266 $ 6,096 $ 8,630 May-2002 $ 6,017 $ 6,657 $ 6,529 $ 9,118 Jun-2002 $ 5,701 $ 6,310 $ 6,186 $ 8,603 Jul-2002 $ 5,212 $ 5,871 $ 5,831 $ 8,018 Aug-2002 $ 5,080 $ 5,809 $ 5,749 $ 7,882 Sep-2002 $ 4,764 $ 5,549 $ 5,496 $ 7,478 Oct-2002 $ 4,510 $ 5,163 $ 5,113 $ 6,966 Nov-2002 $ 4,754 $ 5,372 $ 5,294 $ 7,221 Dec-2002 $ 4,622 $ 5,234 $ 5,165 $ 6,995 Jan-2003 $ 4,531 $ 5,022 $ 4,976 $ 6,730 Feb-2003 $ 4,541 $ 5,051 $ 5,035 $ 6,785 Mar-2003 $ 4,195 $ 4,822 $ 4,863 $ 6,457 Apr-2003 $ 4,225 $ 4,784 $ 4,888 $ 6,469 May-2003 $ 4,541 $ 5,016 $ 5,126 $ 6,802 Jun-2003 $ 5,091 $ 5,386 $ 5,509 $ 7,320 Jul-2003 $ 5,264 $ 5,605 $ 5,706 $ 7,654 Aug-2003 $ 5,865 $ 6,196 $ 6,289 $ 8,455 Sep-2003 $ 6,028 $ 6,563 $ 6,702 $ 8,916 Oct-2003 $ 6,802 $ 6,864 $ 6,974 $ 9,466 Nov-2003 $ 6,209 $ 6,651 $ 6,709 $ 9,070 Dec-2003 $ 6,689 $ 7,112 $ 7,160 $ 9,687 Jan-2004 $ 6,863 $ 7,241 $ 7,276 $ 9,785 Feb-2004 $ 6,679 $ 7,220 $ 7,286 $ 9,730 Mar-2004 $ 7,708 $ 8,190 $ 8,378 $ 11,042 Apr-2004 $ 7,564 $ 7,746 $ 7,946 $ 10,644
Source: Lipper Analytical Services, Inc. The quoted performance is past performance and not indicative of future returns. Investment returns will fluctuate so that an investor's shares when redeemed may be worth more or less than original cost. Please note, current performance may be higher or lower than the performance data shown. INVESTORS SHOULD CAREFULLY READ THE FUND PROSPECTUS WHICH INCLUDES INFORMATION ON THE FUND'S INVESTMENT OBJECTIVES, RISK, AS WELL AS CHARGES AND EXPENSES ALONG WITH OTHER INFORMATION. INVESTORS SHOULD REVIEW THE INFORMATION IN THE PROSPECTUS CAREFULLY BEFORE INVESTING. FOR UP TO DATE MONTH-END PERFORMANCE INFORMATION, OR TO RECEIVE A FUND PROSPECTUS PLEASE CALL 800 348-4782. PLEASE READ CAREFULLY BEFORE INVESTING OR SENDING MONEY. The Fund commenced operations on 11/2/95. Returns for the Class B Shares prior to 11/3/95 (offering date of the Class B Shares) are calculated using the historical expenses of the Class A Shares, which are lower than the expenses of the Class B Shares. The graph illustrates comparative performance for $10,000 invested in Class A Shares of the JPMorgan Fleming Japan Fund, MSCI Japan Index, Tokyo Stock Exchange (TOPIX) 1st Section Index and Lipper Japan Equity Funds Average from November 2, 1995 to April 30, 2004. The performance of the Fund assumes reinvestment of all dividends and capital gains and includes a sales charge. The performance of the indices reflects an initial investment at the end of the month following the Fund's inception. The performance of the indices does not include a sales charge and has been adjusted to reflect reinvestment of all dividends and capital gains of the securities included in the benchmark. The MSCI Japan Index is a replica (or model) of the performance of the Japan Equity Markets. The Tokyo Stock Exchange (TOPIX) 1st Section Index, also known as the Tokyo Price Index, is an unmanaged capitalization-weighted index of all companies listed on the First Section of the Tokyo Stock Exchange. The Lipper Japan Equity Funds Average describes the average total returns for all of the funds in the indicated category, as defined by Lipper, Inc. Investors cannot invest directly in an index. Class A Shares have a $2,500 minimum initial deposit and carry a 5.75% sales charge. Certain fees and expenses of the Fund are currently being waived and reimbursed as described in the prospectus. Had the expenses not been subsidized or waived, returns would have been lower. Also, all performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares. 8 JPMORGAN FLEMING INTERNATIONAL GROWTH FUND AS OF APRIL 30, 2004 (Unaudited) FUND FACTS Fund Inception 12/29/00 Fiscal Year End OCTOBER 31 Net Assets as of 4/30/2004 (In Millions) $4.3 Primary Benchmark MSCI EAFE GROWTH INDEX Q: HOW DID THE FUND PERFORM? A: JPMorgan Fleming International Growth Fund, which seeks total return from long-term capital appreciation through investing in equity securities of companies located in major developed regions of the world outside the U.S., rose by 9.5% (A shares, no sales charge) in the six months ended April 30, 2004. This compares with a rally of 10.9% in the MSCI EAFE Growth Index (in U.S. dollars). Q: WHY DID THE FUND PERFORM THIS WAY? A: The Portfolio generated a significant absolute return from international growth stocks in the six months ended April 30, 2004, although it trailed the MSCI EAFE Growth Index benchmark. Relative to the index, the greatest area of underperformance was the Financial sector, where stock selection detracted. This was partially offset by positive performance in the Energy and Healthcare sectors. In the Financial sector, the Portfolio's underperformance was as much due to what it did not own as what it did. The Portfolio was underweight Mitsubishi Tokyo Financial Group, Japan's largest bank, which rallied in response to what appeared to be an increasingly sustainable economic recovery. If the recovery continues, it will reduce the bank's bad debt provisions and increase profitability. The Portfolio was also underweight UBS, the Swiss banking group, which reported its second best ever annual profits for 2003, supported by competitive market share gains and tight cost control. Additionally, two of the Portfolio's overweight holdings, Deutsche Boerse and Standard Chartered, trailed the sector. The Portfolio's Energy holdings contributed to performance, as supply and demand fundamentals appeared likely to support the high oil price for some time. The Portfolio was overweight the sector, which was the second best performing in the benchmark. The high oil price boosted holdings such as BG, ENI and Total. Corporate activity boosted performance in the Healthcare sector. The Portfolio owned French pharmaceutical stock Aventis, which received a takeover approach from fellow French drug maker Sanofi-Synthelabo at a premium to the stock market price. After the end of the reporting period, Sanofi-Synthelabo improved the terms of its takeover offer, which Aventis then recommended to its shareholders. Q: HOW WAS THE FUND MANAGED? A: Stock selection has tended to lead to the Portfolio holding stocks that stand to gain from economic recovery. Selection has focused on companies we believe to have pricing power, strong free cash flow, and reasonable valuations. The approach to valuation differentiates this Portfolio, in so far as it is unwilling to buy stocks that trade at exceptionally high valuations relative to prospective earnings growth. 9 [CHART] PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS United Kingdom 27.0% Japan 21.8% Switzerland 12.7% Germany 9.8% France 6.6% The Netherlands 5.9% South Korea 3.9% Spain 1.7% Finland 1.4% Ireland 1.3% Australia 1.3% Italy 1.0% Hong Kong 1.0% Mexico 0.9% Belgium 0.9% Brazil 0.8% Russia 0.8% Taiwan 0.7% China 0.5%
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO 1. Vodafone Group PLC (United Kingdom) 4.4% 2. GlaxoSmithKline PLC (United Kingdom) 3.8% 3. Roche Holding AG (Switzerland) 3.8% 4. Total SA (France) 3.1% 5. UBS AG (Switzerland) 2.7% 6. Royal Bank of Scotland Group PLC (United Kingdom) 2.5% 7. Schering AG (Germany) 2.4% 8. Canon, Inc. (Japan) 2.4% 9. Samsung Electronics Co., LTD (South Korea), GDR 2.3% 10. Compass Group PLC (United Kingdom) 2.2%
Top 10 equity holdings comprised 29.6% of the Portfolio's market value of investments ($1,272,475). As of April 30, 2004, the Fund held 68 equity holdings. Portfolio holdings are subject to change at any time. 10 SEMI-ANNUAL REPORT APRIL 30 2004 (Unaudited) AVERAGE ANNUAL TOTAL RETURNS AS OF APRIL 30, 2004
SINCE INCEPTION 1 YEAR 3 YEARS (12/29/00) ------------------------------ CLASS A SHARES Without Sales Charge 32.65% (2.24%) (4.57%) With Sales Charge* 25.07% (4.16%) (6.25%) ------------------------------ CLASS B SHARES Without CDSC 31.97% (2.70%) (5.03%) With CDSC** 26.97% (3.68%) (5.89%)
* Sales Charge for Class A Shares is 5.75%. ** Assumes 5% CDSC (contingent deferred sales charge) for the one year period, 3% CDSC for the three year period, and 3% CDSC for the period since inception. [CHART] LIFE OF FUND PERFORMANCE (12/29/00 TO 04/30/04)
JPMORGAN FLEMING INTERNATIONAL GROWTH FUND (CLASS A SHARES) MSCI EAFE GROWTH INDEX LIPPER INTERNATIONAL FUNDS INDEX Dec-2000 $ 9,425 $ 10,000 $ 10,000 Dec-2000 $ 9,425 $ 10,000 $ 10,000 Jan-2001 $ 9,595 $ 9,972 $ 10,059 Feb-2001 $ 8,624 $ 8,960 $ 9,353 Mar-2001 $ 7,907 $ 8,340 $ 8,695 Apr-2001 $ 8,633 $ 8,911 $ 9,224 May-2001 $ 8,275 $ 8,552 $ 9,001 Jun-2001 $ 7,845 $ 8,136 $ 8,747 Jul-2001 $ 7,543 $ 7,939 $ 8,520 Aug-2001 $ 7,307 $ 7,577 $ 8,348 Sep-2001 $ 6,429 $ 6,860 $ 7,438 Oct-2001 $ 6,816 $ 7,133 $ 7,640 Nov-2001 $ 7,316 $ 7,500 $ 7,925 Dec-2001 $ 7,533 $ 7,543 $ 8,066 Jan-2002 $ 7,137 $ 7,136 $ 7,740 Feb-2002 $ 7,156 $ 7,233 $ 7,848 Mar-2002 $ 7,543 $ 7,508 $ 8,264 Apr-2002 $ 7,524 $ 7,548 $ 8,321 May-2002 $ 7,439 $ 7,563 $ 8,440 Jun-2002 $ 7,203 $ 7,368 $ 8,107 Jul-2002 $ 6,438 $ 6,583 $ 7,298 Aug-2002 $ 6,428 $ 6,532 $ 7,304 Sep-2002 $ 5,494 $ 5,964 $ 6,517 Oct-2002 $ 5,900 $ 6,301 $ 6,855 Nov-2002 $ 6,325 $ 6,486 $ 7,180 Dec-2002 $ 6,013 $ 6,335 $ 6,950 Jan-2003 $ 5,654 $ 6,022 $ 6,696 Feb-2003 $ 5,531 $ 5,892 $ 6,497 Mar-2003 $ 5,418 $ 5,830 $ 6,338 Apr-2003 $ 6,079 $ 6,335 $ 6,966 May-2003 $ 6,522 $ 6,662 $ 7,413 Jun-2003 $ 6,636 $ 6,778 $ 7,588 Jul-2003 $ 6,692 $ 6,867 $ 7,800 Aug-2003 $ 6,834 $ 6,993 $ 8,026 Sep-2003 $ 7,013 $ 7,229 $ 8,187 Oct-2003 $ 7,362 $ 7,645 $ 8,675 Nov-2003 $ 7,551 $ 7,824 $ 8,849 Dec-2003 $ 8,044 $ 8,362 $ 9,452 Jan-2004 $ 8,224 $ 8,525 $ 9,655 Feb-2004 $ 8,394 $ 8,687 $ 9,876 Mar-2004 $ 8,328 $ 8,694 $ 9,925 Apr-2004 $ 8,065 $ 8,478 $ 9,629
Source: Lipper Analytical Services, Inc. The quoted performance is past performance and not indicative of future returns. Investment returns will fluctuate so that an investor's shares when redeemed may be worth more or less than original cost. Please note, current performance may be higher or lower than the performance data shown. INVESTORS SHOULD CAREFULLY READ THE FUND PROSPECTUS WHICH INCLUDES INFORMATION ON THE FUND'S INVESTMENT OBJECTIVES, RISK, AS WELL AS CHARGES AND EXPENSES ALONG WITH OTHER INFORMATION. INVESTORS SHOULD REVIEW THE INFORMATION IN THE PROSPECTUS CAREFULLY BEFORE INVESTING. FOR UP TO DATE MONTH-END PERFORMANCE INFORMATION, OR TO RECEIVE A FUND PROSPECTUS PLEASE CALL 800 348-4782. PLEASE READ CAREFULLY BEFORE INVESTING OR SENDING MONEY. The Fund commenced operations on 12/29/00. The graph illustrates comparative performance for $10,000 invested in Class A Shares of the JPMorgan Fleming International Growth Fund, MSCI EAFE Growth Index and Lipper International Funds Index from December 29, 2000 to April 30, 2004. The performance of the Fund assumes reinvestment of all dividends and capital gains and includes a sales charge. The performance of the indices reflects an initial investment at the end of the month following the Fund's inception. The performance of the indices does not include a sales charge and has been adjusted to reflect reinvestment of all dividends and capital gains of the securities included in the benchmark. The MSCI EAFE Growth Index is a market capitalization-weighted index representing all 20 developed markets that make up that index. The Lipper International Funds Index represents the total returns of the funds in the indicated category, as defined by Lipper, Inc. Investors cannot invest directly in an index. Class A Shares have a $2,500 minimum initial deposit and carry a 5.75% sales charge. Certain fees and expenses of the Fund are currently being waived and reimbursed as described in the prospectus. Had the expenses not been subsidized or waived, returns would have been lower. Also, all performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares. 11 JPMORGAN FLEMING INTERNATIONAL VALUE FUND AS OF APRIL 30, 2004 (Unaudited) FUND FACTS Fund Inception 11/4/93 Fiscal Year End OCTOBER 31 Net Assets as of 4/30/2004 (In Millions) $44.2 Primary Benchmark MSCI EAFE VALUE INDEX Q: HOW DID THE FUND PERFORM? A: JPMorgan Fleming International Value Fund, which seeks to provide high total return from a portfolio of foreign company equity securities, rose by 15.2% (Institutional Shares) in the six months ended April 30, 2004. This compares with a rally of 13.9% in the MSCI EAFE Value Index (in U.S. dollars). Q: WHY DID THE FUND OUTPERFORM ITS BENCHMARK? A: The Fund outperformed the MSCI EAFE Value Index in a strong six months for international value stocks. In particular, it benefited from owning Japanese bank stocks, many of which rallied significantly. Fund holdings in the Telecommunications and Insurance sectors also made notable contributions. Some of this outperformance was offset by stock selection in the Basic Industries and Healthcare sectors. Japan's bank stocks had an astonishing rally during the period in response to what appeared to be an increasingly sustainable domestic economic recovery. If the recovery continues, it will likely reduce the banks' bad debt provisions and increase profitability. The Fund had overweight holdings in UFJ Holdings and Mizuho Financial Group. In the Telecommunications sector, Thai cellular phone stock, Advanced Information Services, performed well as investors became increasingly optimistic about the prospects of the cellular phone industry. Singapore Telecommunications also performed well, with buoyant results from its Australian subsidiary. In the Insurance sector, the Fund was overweight Zurich Financial Services, the Switzerland-based insurance company, which performed well as the company's profits recovered. Stock selection in the Basic Industries sector detracted from relative performance. The Fund acquired a holding in Mitsui Chemicals, the Japanese chemicals company, and Arcelor, the French steel maker, shortly before the worldwide stock market correction in April. An overweight position in GlaxoSmithKline, the UK-headquartered pharmaceutical company, was the chief cause of weak performance in the Healthcare sector. GlaxoSmithKline's stock price has been languishing because patents are expiring on a number of its blockbuster drugs. Q: HOW WAS THE FUND MANAGED? A: The Fund uses a model to evaluate value stocks. This leads it to take a longer term view of a stock's investment prospects than many other stock market participants. During March, the Fund's benchmark was switched to MSCI EAFE Value Index from the Citigroup PMI Value EPAC Index, which rose 13.5% during the six months. 12 SEMI-ANNUAL REPORT APRIL 30 2004 (Unaudited) [CHART] PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS United Kingdom 25.8% Japan 19.0% France 13.4% Switzerland 8.7% The Netherlands 5.1% Italy 4.4% United States 3.1% Singapore 2.8% Spain 2.5% Brazil 2.0% Germany 2.0% Ireland 1.8% Hong Kong 1.7% Luxembourg 1.6% India 1.4% Sweden 1.4% South Korea 1.3% Indonesia 1.0% Russia 1.0%
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO 1. HSBC Holdings PLC (United Kingdom) 4.5% 2. BP PLC (United Kingdom) 4.1% 3. ENI-Ente Nazionale Idrocarburi SPA (Italy) 3.5% 4. Royal Bank of Scotland Group PLC (United Kingdom) 3.5% 5. BNP Paribas (France) 3.3% 6. Total SA (France) 2.8% 7. Mizuho Financial Group, Inc. (Japan) 2.8% 8. Credit Suisse Group (Switzerland) 2.7% 9. Zurich Financial Services AG (Switzerland) 2.7% 10. Veolia Environnement (France) 2.6%
Top 10 equity holdings comprised 32.5% of the Portfolio's market value of investments ($13,998,748). As of April 30, 2004, the Fund held 54 equity holdings. Portfolio holdings are subject to change at any time. 13 AVERAGE ANNUAL TOTAL RETURNS AS OF APRIL 30, 2004
1 YEAR 3 YEARS 5 YEARS 10 YEARS --------------------------------------- CLASS A SHARES Without Sales Charge 44.80% 0.38% (1.43%) 2.60% With Sales Charge* 36.53% (1.59%) (2.59%) 2.00% --------------------------------------- CLASS B SHARES Without CDSC 44.23% 0.02% (1.65%) 2.49% With CDSC** 39.23% (0.99%) (2.01%) 2.49% --------------------------------------- INSTITUTIONAL SHARES 45.47% 1.02% (0.92%) 2.98% --------------------------------------- SELECT SHARES 44.98% 0.56% (1.33%) 2.66%
* Sales Charge for Class A Shares is 5.75%. ** Assumes 5% CDSC (contingent deferred sales charge) for the one year period, 3% CDSC for the three year period, 2% CDSC for the five year period and 0% CDSC for the ten year period. [CHART] TEN-YEAR PERFORMANCE (04/30/94 TO 04/30/04)
JPMORGAN FLEMING INTERNATIONAL CITIGROUP PMI VALUE LIPPER INTERNATIONAL VALUE FUND (INSTITUTIONAL SHARES) EPAC INDEX FUNDS INDEX MSCI EAFE VALUE INDEX Apr-1994 $ 3,000,000 $ 3,000,000 $ 3,000,000 $ 3,000,000 May-1994 $ 3,019,800 $ 2,996,700 $ 2,995,500 $ 3,001,541 Jun-1994 $ 3,019,800 $ 3,053,338 $ 2,948,171 $ 3,058,922 Jul-1994 $ 3,053,622 $ 3,087,840 $ 3,038,975 $ 3,090,578 Aug-1994 $ 3,090,265 $ 3,153,303 $ 3,144,123 $ 3,166,031 Sep-1994 $ 2,980,252 $ 3,063,118 $ 3,063,005 $ 3,072,831 Oct-1994 $ 3,050,586 $ 3,181,048 $ 3,117,833 $ 3,191,098 Nov-1994 $ 2,906,903 $ 3,016,270 $ 2,972,230 $ 3,028,473 Dec-1994 $ 2,947,018 $ 3,033,463 $ 2,932,699 $ 3,026,972 Jan-1995 $ 2,832,969 $ 2,922,438 $ 2,787,237 $ 2,910,800 Feb-1995 $ 2,801,523 $ 2,897,013 $ 2,786,401 $ 2,894,957 Mar-1995 $ 2,932,634 $ 3,090,533 $ 2,859,684 $ 3,074,716 Apr-1995 $ 3,018,267 $ 3,205,501 $ 2,964,920 $ 3,169,782 May-1995 $ 2,958,505 $ 3,179,216 $ 2,993,976 $ 3,130,440 Jun-1995 $ 2,890,164 $ 3,118,811 $ 3,005,353 $ 3,086,682 Jul-1995 $ 3,075,423 $ 3,327,147 $ 3,170,648 $ 3,273,844 Aug-1995 $ 3,018,528 $ 3,187,407 $ 3,117,064 $ 3,162,177 Sep-1995 $ 3,044,186 $ 3,262,630 $ 3,169,119 $ 3,216,496 Oct-1995 $ 2,975,691 $ 3,168,014 $ 3,103,201 $ 3,130,580 Nov-1995 $ 3,044,132 $ 3,275,093 $ 3,135,474 $ 3,219,263 Dec-1995 $ 3,181,727 $ 3,412,319 $ 3,226,403 $ 3,367,956 Jan-1996 $ 3,219,908 $ 3,405,153 $ 3,302,546 $ 3,393,055 Feb-1996 $ 3,208,316 $ 3,415,028 $ 3,316,747 $ 3,404,499 Mar-1996 $ 3,281,466 $ 3,497,330 $ 3,368,488 $ 3,468,148 Apr-1996 $ 3,386,801 $ 3,606,447 $ 3,478,301 $ 3,584,899 May-1996 $ 3,345,820 $ 3,559,202 $ 3,474,475 $ 3,527,179 Jun-1996 $ 3,383,963 $ 3,585,540 $ 3,506,093 $ 3,563,485 Jul-1996 $ 3,269,585 $ 3,490,882 $ 3,387,937 $ 3,470,303 Aug-1996 $ 3,281,355 $ 3,522,998 $ 3,431,981 $ 3,482,048 Sep-1996 $ 3,369,296 $ 3,616,710 $ 3,508,857 $ 3,569,786 Oct-1996 $ 3,348,743 $ 3,600,797 $ 3,494,821 $ 3,525,054 Nov-1996 $ 3,468,963 $ 3,747,349 $ 3,659,078 $ 3,694,492 Dec-1996 $ 3,451,618 $ 3,706,503 $ 3,691,644 $ 3,665,562 Jan-1997 $ 3,372,231 $ 3,545,641 $ 3,696,443 $ 3,563,900 Feb-1997 $ 3,408,651 $ 3,606,626 $ 3,763,349 $ 3,625,644 Mar-1997 $ 3,438,988 $ 3,633,315 $ 3,783,294 $ 3,630,503 Apr-1997 $ 3,451,024 $ 3,636,221 $ 3,799,941 $ 3,632,576 May-1997 $ 3,643,246 $ 3,907,847 $ 4,014,258 $ 3,892,166 Jun-1997 $ 3,801,728 $ 4,129,031 $ 4,206,942 $ 4,094,668 Jul-1997 $ 3,841,266 $ 4,178,992 $ 4,341,985 $ 4,127,637 Aug-1997 $ 3,563,926 $ 3,926,999 $ 4,028,928 $ 3,830,236 Sep-1997 $ 3,743,905 $ 4,142,199 $ 4,287,585 $ 4,003,835 Oct-1997 $ 3,472,471 $ 3,860,529 $ 3,962,157 $ 3,772,977 Nov-1997 $ 3,448,164 $ 3,794,514 $ 3,928,875 $ 3,703,326 Dec-1997 $ 3,501,611 $ 3,815,005 $ 3,959,520 $ 3,719,770 Jan-1998 $ 3,628,369 $ 3,995,454 $ 4,055,341 $ 3,891,969 Feb-1998 $ 3,826,841 $ 4,237,978 $ 4,312,855 $ 4,132,844 Mar-1998 $ 3,943,942 $ 4,422,330 $ 4,547,043 $ 4,335,975 Apr-1998 $ 4,005,862 $ 4,447,538 $ 4,617,067 $ 4,361,008 May-1998 $ 4,009,067 $ 4,454,654 $ 4,626,301 $ 4,349,525 Jun-1998 $ 4,035,126 $ 4,485,391 $ 4,586,053 $ 4,354,353 Jul-1998 $ 4,044,810 $ 4,524,862 $ 4,656,219 $ 4,424,455 Aug-1998 $ 3,498,761 $ 3,895,454 $ 3,986,189 $ 3,799,617 Sep-1998 $ 3,310,177 $ 3,743,142 $ 3,862,219 $ 3,673,598 Oct-1998 $ 3,645,167 $ 4,163,122 $ 4,146,092 $ 4,066,948 Nov-1998 $ 3,824,145 $ 4,376,690 $ 4,353,811 $ 4,287,012 Dec-1998 $ 3,979,405 $ 4,457,222 $ 4,460,915 $ 4,377,441 Jan-1999 $ 3,976,222 $ 4,409,529 $ 4,488,126 $ 4,326,985 Feb-1999 $ 3,875,623 $ 4,354,851 $ 4,372,781 $ 4,263,639 Mar-1999 $ 4,046,538 $ 4,599,158 $ 4,518,395 $ 4,561,188 Apr-1999 $ 4,214,065 $ 4,883,386 $ 4,728,952 $ 4,877,659 May-1999 $ 4,019,797 $ 4,619,683 $ 4,553,035 $ 4,591,124 Jun-1999 $ 4,210,737 $ 4,769,361 $ 4,768,849 $ 4,771,022 Jul-1999 $ 4,341,691 $ 4,925,319 $ 4,875,194 $ 4,957,012 Aug-1999 $ 4,361,663 $ 4,979,990 $ 4,913,709 $ 4,965,811 Sep-1999 $ 4,378,237 $ 4,999,910 $ 4,929,432 $ 4,988,817 Oct-1999 $ 4,545,924 $ 5,165,407 $ 5,101,470 $ 5,099,936 Nov-1999 $ 4,743,671 $ 5,200,532 $ 5,475,407 $ 5,090,167 Dec-1999 $ 5,181,986 $ 5,497,482 $ 6,148,335 $ 5,433,477 Jan-2000 $ 4,897,495 $ 5,014,803 $ 5,788,657 $ 5,045,359 Feb-2000 $ 5,136,003 $ 4,959,139 $ 6,170,709 $ 5,024,339 Mar-2000 $ 5,223,829 $ 5,318,181 $ 6,186,753 $ 5,330,420 Apr-2000 $ 4,911,444 $ 5,136,831 $ 5,794,512 $ 5,123,124 May-2000 $ 4,742,982 $ 5,135,290 $ 5,635,163 $ 5,186,118 Jun-2000 $ 4,918,472 $ 5,366,378 $ 5,896,071 $ 5,405,217 Jul-2000 $ 4,742,882 $ 5,162,992 $ 5,705,039 $ 5,281,193 Aug-2000 $ 4,742,882 $ 5,270,382 $ 5,801,454 $ 5,318,144 Sep-2000 $ 4,493,407 $ 5,086,446 $ 5,463,229 $ 5,157,517 Oct-2000 $ 4,310,974 $ 5,019,814 $ 5,277,479 $ 5,153,991 Nov-2000 $ 4,107,496 $ 4,882,773 $ 5,054,770 $ 5,003,837 Dec-2000 $ 4,261,938 $ 5,124,958 $ 5,243,313 $ 5,262,746 Jan-2001 $ 4,250,431 $ 5,110,096 $ 5,274,248 $ 5,271,523 Feb-2001 $ 3,915,497 $ 4,862,256 $ 4,903,996 $ 5,006,950 Mar-2001 $ 3,642,195 $ 4,549,613 $ 4,559,245 $ 4,685,648 Apr-2001 $ 3,904,069 $ 4,860,807 $ 4,836,447 $ 5,015,576 May-2001 $ 3,792,413 $ 4,742,689 $ 4,719,405 $ 4,862,114 Jun-2001 $ 3,611,515 $ 4,622,225 $ 4,586,318 $ 4,698,156 Jul-2001 $ 3,507,503 $ 4,506,207 $ 4,467,074 $ 4,638,840 Aug-2001 $ 3,457,346 $ 4,462,046 $ 4,377,285 $ 4,607,503 Sep-2001 $ 3,126,132 $ 4,002,455 $ 3,900,161 $ 4,113,128 Oct-2001 $ 3,187,717 $ 4,073,299 $ 4,005,856 $ 4,165,284 Nov-2001 $ 3,303,112 $ 4,174,317 $ 4,155,274 $ 4,262,107 Dec-2001 $ 3,327,555 $ 4,194,771 $ 4,229,238 $ 4,288,025 Jan-2002 $ 3,178,814 $ 4,004,328 $ 4,058,377 $ 4,063,466 Feb-2002 $ 3,139,714 $ 4,052,781 $ 4,115,194 $ 4,066,736 Mar-2002 $ 3,335,318 $ 4,283,789 $ 4,332,888 $ 4,350,510 Apr-2002 $ 3,398,022 $ 4,352,758 $ 4,363,218 $ 4,384,532 May-2002 $ 3,488,070 $ 4,473,329 $ 4,425,612 $ 4,484,142 Jun-2002 $ 3,331,804 $ 4,297,080 $ 4,250,800 $ 4,245,502 Jul-2002 $ 3,011,285 $ 3,893,584 $ 3,826,570 $ 3,859,392 Aug-2002 $ 2,987,797 $ 3,904,097 $ 3,829,632 $ 3,871,020 Sep-2002 $ 2,635,834 $ 3,472,304 $ 3,417,180 $ 3,379,759 Oct-2002 $ 2,745,222 $ 3,614,321 $ 3,594,532 $ 3,552,103 Nov-2002 $ 2,866,560 $ 3,784,556 $ 3,764,553 $ 3,770,191 Dec-2002 $ 2,750,465 $ 3,646,798 $ 3,644,088 $ 3,605,941 Jan-2003 $ 2,673,452 $ 3,508,584 $ 3,510,714 $ 3,482,774 Feb-2003 $ 2,588,168 $ 3,430,343 $ 3,406,797 $ 3,398,048 Mar-2003 $ 2,503,018 $ 3,344,584 $ 3,323,330 $ 3,301,908 Apr-2003 $ 2,766,586 $ 3,674,695 $ 3,652,340 $ 3,661,793 May-2003 $ 2,920,684 $ 3,899,953 $ 3,886,820 $ 3,914,845 Jun-2003 $ 3,034,299 $ 4,023,192 $ 3,978,549 $ 4,035,783 Jul-2003 $ 3,103,178 $ 4,171,648 $ 4,089,949 $ 4,177,731 Aug-2003 $ 3,216,754 $ 4,274,687 $ 4,208,148 $ 4,302,327 Sep-2003 $ 3,269,509 $ 4,393,951 $ 4,292,732 $ 4,422,553 Oct-2003 $ 3,492,489 $ 4,706,361 $ 4,548,579 $ 4,718,655 Nov-2003 $ 3,561,291 $ 4,784,957 $ 4,640,005 $ 4,818,358 Dec-2003 $ 3,856,166 $ 5,182,587 $ 4,955,990 $ 5,239,420 Jan-2004 $ 3,966,838 $ 5,278,465 $ 5,062,543 $ 5,286,007 Feb-2004 $ 4,081,480 $ 5,412,010 $ 5,178,476 $ 5,429,610 Mar-2004 $ 4,159,436 $ 5,469,919 $ 5,203,850 $ 5,485,980 Apr-2004 $ 4,023,851 $ 5,343,017 $ 5,048,775 $ 5,373,715
Source: Lipper Analytical Services, Inc. The quoted performance is past performance and not indicative of future returns. Investment returns will fluctuate so that an investor's shares when redeemed may be worth more or less than original cost. Please note, current performance may be higher or lower than the performance data shown. INVESTORS SHOULD CAREFULLY READ THE FUND PROSPECTUS WHICH INCLUDES INFORMATION ON THE FUND'S INVESTMENT OBJECTIVES, RISK, AS WELL AS CHARGES AND EXPENSES ALONG WITH OTHER INFORMATION. INVESTORS SHOULD REVIEW THE INFORMATION IN THE PROSPECTUS CAREFULLY BEFORE INVESTING. FOR UP TO DATE MONTH-END PERFORMANCE INFORMATION, OR TO RECEIVE A FUND PROSPECTUS PLEASE CALL 800 348-4782. PLEASE READ CAREFULLY BEFORE INVESTING OR SENDING MONEY. The Fund commenced operations on 11/4/93. Returns for the Institutional Shares prior to 11/4/93 (offering date of the Institutional Shares) are calculated using the historical expenses of the J.P. Morgan International Equity Fund, which are higher than the expenses of the Institutional Shares. Returns for the Select Shares prior to 9/10/01 (offering date of the Select Shares) are calculated using the historical expenses of the J.P. Morgan International Equity Fund, which were lower than the expenses of the Select Share. Returns for the Class A and B Shares prior to 9/28/01 (offering date of the Class A and B Shares) are calculated using the historical expenses of the Select Shares, which are lower than the expenses of the Class A and B Shares. The graph illustrates comparative performance for $3,000,000 invested in Institutional Shares of the JPMorgan Fleming International Value Fund, MSCI EAFE Value Index, Citigroup PMI Value EPAC Index, and Lipper International Funds Index from April 30, 1994 to April 30, 2004. The performance of the Fund assumes reinvestment of all dividends and capital gains and does not include a sales charge. The performance of the indices does not include a sales charge and has been adjusted to reflect reinvestment of all dividends and capital gains of the securities included in the benchmark. The MSCI EAFE Value Index is a market capitalization weighted index composed of companies representative of the market structure of developed market countries in Europe, Australasia and the Far East. The Citigroup PMI Value EPAC Index consists of stocks in the Euro Pacific region of the Primary Market Index (The Primary Market Index are stocks that fall in the top 80% of each country's cumulative available capital) that have a value style. The Lipper International Funds Index represents the total returns of the funds in the indicated category, as defined by Lipper, Inc. Investors cannot invest directly in an index. Institutional Shares have a $3,000,000 minimum initial deposit and carry no sales charge. Certain fees and expenses of the Fund are currently being waived and reimbursed as described in the prospectus. Had the expenses not been subsidized or waived, returns would have been lower. Also, all performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares. 14 JPMORGAN FLEMING INTERNATIONAL OPPORTUNITIES FUND AS OF APRIL 30, 2004 (Unaudited) FUND FACTS Fund Inception 2/26/97 Fiscal Year End OCTOBER 31 Net Assets as of 4/30/2004 (In Millions) $175.4 Primary Benchmark MSCI EAFE INDEX Q: HOW DID THE FUND PERFORM? A: JPMorgan Fleming International Opportunities Fund, which seeks to provide high total return from a portfolio of equity securities of foreign companies in developed and, to a lesser extent, emerging markets, rose by 10.2% (Institutional Shares) in the six months ended April 30, 2004. This compares with a rally of 12.4% in the MSCI EAFE Index (in U.S. dollars). Q: WHY DID THE FUND PERFORM THIS WAY? A: The Fund rallied with the international equity markets in the six months ended April 30, 2004, although it trailed the MSCI EAFE Index benchmark. Stock selection in two sectors - Transportation & Consumer Cyclicals and Basic Industries - caused the majority of the shortfall. But this was partly offset by a strong relative contribution from Capital Market Banks, Information Technology and Telecommunications stocks. In the Transportation & Consumer Cyclical sector, the greatest detractor was Adecco, the Swiss human resources solutions company. Adecco announced at the beginning of 2004 that it would delay publication of 2003 results because it had uncovered accounting irregularities in its North American operations. Towards the end of April it announced a further postponement, leading to fears that it would breach a bank loan covenant. Also in the sector, Cathay Pacific, the Hong Kong-based airline, underperformed with worries regarding higher fuel prices and slower growth in China. In Basic Materials, POSCO, the Korean steel company, and Ciba Specialty Chemicals, the Swiss chemicals company, both rose in price but even so trailed a strong sector performance. In the case of POSCO, the position was added to at what proved to be a short-term peak for the stock price. There was strong relative performance among Capital Markets Bank stocks. Aiful, the Japanese consumer finance company, experienced its stock price rise by more than 50% as the Japanese economy appeared to be in a sustainable recovery. Man Group, the hedge fund manager, performed well due to rapid growth in assets under management. Both the Information Technology and Telecommunications sectors contributed. In Information Technology, Kyocera, the diversified Japanese technology company, performed well as recovery brought rising demand for its products. In Telecommunications, Advanced Information Technology, the Thai cellular phone company, performed well as investors anticipated revenue growth. Q: HOW WAS THE FUND MANAGED? A: In line with a belief that the global economy will continue to recover, stock selection has led the Portfolio to have a bias towards high quality companies with operational leverage to the global economy. As always, use of the Dividend Discount Rate model to evaluate stocks causes the Fund to take a longer term view of a stock's prospects. 15 [CHART] PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS United Kingdom 23.7% Japan 18.8% France 12.0% Switzerland 10.8% The Netherlands 5.0% Germany 4.1% Hong Kong 4.0% South Korea 3.3% Sweden 3.2% India 2.4% Singapore 2.2% Taiwan 1.7% Australia 1.6% Spain 1.5% Brazil 1.2% Russia 1.0% Finland 0.7% Ireland 0.7% Italy 0.7% United States 0.5% Thailand 0.4% Indonesia 0.3% Greece 0.2%
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO 1. Royal Bank of Scotland Group PLC (United Kingdom) 4.0% 2. Vodafone Group PLC (United Kingdom) 3.8% 3. BNP Paribas (France) 2.8% 4. HSBC Holdings PLC (United Kingdom) 2.7% 5. Total SA (France) 2.7% 6. Zurich Financial Services AG (Switzerland) 2.7% 7. Fujitsu LTD (Japan) 2.2% 8. Daiwa Securities Group, Inc. (Japan) 2.0% 9. Diageo PLC (United Kingdom) 2.0% 10. AstraZeneca PLC (United Kingdom) 2.0%
Top 10 equity holdings comprised 26.9% of the Portfolio's market value of investments ($46,850,836). As of April 30, 2004, the Fund held 88 equity holdings. Portfolio holdings are subject to change at any time. 16 SEMI-ANNUAL REPORT APRIL 30 2004 (Unaudited) AVERAGE ANNUAL TOTAL RETURNS AS OF APRIL 30, 2004
SINCE INCEPTION 1 YEAR 3 YEARS 5 YEARS (2/26/97) --------------------------------------- CLASS A SHARES Without Sales Charge 36.39% (1.19%) (1.16%) 1.15% With Sales Charge* 28.48% (3.12%) (2.33%) 0.32% --------------------------------------- CLASS B SHARES Without CDSC 35.75% (1.60%) (1.41%) 0.97% With CDSC** 30.75% (2.58%) (1.78%) 0.97% --------------------------------------- INSTITUTIONAL SHARES 37.85% (0.14%) (0.42%) 1.72% --------------------------------------- SELECT SHARES 37.38% (0.53%) (0.77%) 1.43%
* 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. [CHART] LIFE OF FUND PERFORMANCE (02/26/97 TO 04/30/04)
JPMORGAN FLEMING INTERNATIONAL OPPORTUNITIES FUND (INSTITUTIONAL SHARES) MSCI EAFE INDEX LIPPER INTERNATIONAL FUNDS INDEX Feb-1997 $ 3,000,000 $ 3,000,000 $ 3,000,000 Feb-1997 $ 2,988,000 $ 3,000,000 $ 3,000,000 Mar-1997 $ 3,002,940 $ 3,010,800 $ 3,015,900 Apr-1997 $ 3,023,961 $ 3,026,757 $ 3,029,170 May-1997 $ 3,140,988 $ 3,223,799 $ 3,200,015 Jun-1997 $ 3,284,845 $ 3,401,430 $ 3,353,616 Jul-1997 $ 3,374,850 $ 3,456,534 $ 3,461,267 Aug-1997 $ 3,137,935 $ 3,198,331 $ 3,211,710 Sep-1997 $ 3,314,915 $ 3,377,437 $ 3,417,901 Oct-1997 $ 3,008,948 $ 3,117,712 $ 3,158,483 Nov-1997 $ 2,981,868 $ 3,085,912 $ 3,131,951 Dec-1997 $ 3,052,240 $ 3,112,759 $ 3,156,381 Jan-1998 $ 3,091,614 $ 3,255,012 $ 3,232,765 Feb-1998 $ 3,263,817 $ 3,463,984 $ 3,438,046 Mar-1998 $ 3,408,730 $ 3,570,675 $ 3,624,731 Apr-1998 $ 3,444,863 $ 3,598,883 $ 3,680,552 May-1998 $ 3,351,162 $ 3,581,248 $ 3,687,913 Jun-1998 $ 3,299,890 $ 3,608,466 $ 3,655,829 Jul-1998 $ 3,312,099 $ 3,644,911 $ 3,711,763 Aug-1998 $ 2,722,877 $ 3,193,307 $ 3,177,640 Sep-1998 $ 2,595,718 $ 3,095,272 $ 3,078,816 Oct-1998 $ 2,922,779 $ 3,417,800 $ 3,305,108 Nov-1998 $ 3,062,195 $ 3,592,791 $ 3,470,694 Dec-1998 $ 3,169,066 $ 3,734,347 $ 3,556,073 Jan-1999 $ 3,196,954 $ 3,723,144 $ 3,577,766 Feb-1999 $ 3,100,406 $ 3,634,533 $ 3,485,817 Mar-1999 $ 3,293,251 $ 3,786,093 $ 3,601,895 Apr-1999 $ 3,461,207 $ 3,939,430 $ 3,769,743 May-1999 $ 3,361,524 $ 3,736,549 $ 3,629,508 Jun-1999 $ 3,557,501 $ 3,882,275 $ 3,801,547 Jul-1999 $ 3,674,899 $ 3,997,578 $ 3,886,322 Aug-1999 $ 3,712,382 $ 4,012,369 $ 3,917,024 Sep-1999 $ 3,749,878 $ 4,052,894 $ 3,929,558 Oct-1999 $ 3,849,999 $ 4,204,878 $ 4,066,700 Nov-1999 $ 4,037,494 $ 4,350,787 $ 4,364,789 Dec-1999 $ 4,432,765 $ 4,741,488 $ 4,901,221 Jan-2000 $ 4,157,047 $ 4,440,403 $ 4,614,500 Feb-2000 $ 4,293,398 $ 4,559,850 $ 4,919,057 Mar-2000 $ 4,325,169 $ 4,736,772 $ 4,931,846 Apr-2000 $ 4,134,862 $ 4,487,618 $ 4,619,167 May-2000 $ 4,071,598 $ 4,378,120 $ 4,492,140 Jun-2000 $ 4,267,849 $ 4,549,305 $ 4,700,126 Jul-2000 $ 4,141,094 $ 4,358,689 $ 4,547,842 Aug-2000 $ 4,210,665 $ 4,396,609 $ 4,624,701 Sep-2000 $ 3,985,394 $ 4,182,494 $ 4,355,081 Oct-2000 $ 3,814,022 $ 4,083,788 $ 4,207,008 Nov-2000 $ 3,611,116 $ 3,930,646 $ 4,029,472 Dec-2000 $ 3,713,672 $ 4,070,183 $ 4,179,772 Jan-2001 $ 3,726,670 $ 4,068,148 $ 4,204,432 Feb-2001 $ 3,441,580 $ 3,763,037 $ 3,909,281 Mar-2001 $ 3,169,695 $ 3,512,043 $ 3,634,459 Apr-2001 $ 3,402,667 $ 3,756,130 $ 3,855,434 May-2001 $ 3,383,272 $ 3,623,538 $ 3,762,132 Jun-2001 $ 3,273,316 $ 3,475,336 $ 3,656,040 Jul-2001 $ 3,129,617 $ 3,412,084 $ 3,560,983 Aug-2001 $ 3,113,343 $ 3,325,759 $ 3,489,407 Sep-2001 $ 2,742,855 $ 2,988,859 $ 3,109,062 Oct-2001 $ 2,807,861 $ 3,065,374 $ 3,193,317 Nov-2001 $ 2,957,239 $ 3,178,486 $ 3,312,428 Dec-2001 $ 3,005,738 $ 3,197,240 $ 3,371,389 Jan-2002 $ 2,851,243 $ 3,027,466 $ 3,235,185 Feb-2002 $ 2,851,243 $ 3,048,658 $ 3,280,478 Mar-2002 $ 3,008,917 $ 3,213,591 $ 3,454,015 Apr-2002 $ 3,045,024 $ 3,234,800 $ 3,478,193 May-2002 $ 3,097,703 $ 3,275,882 $ 3,527,931 Jun-2002 $ 2,933,524 $ 3,145,502 $ 3,388,578 Jul-2002 $ 2,641,052 $ 2,835,041 $ 3,050,398 Aug-2002 $ 2,670,632 $ 2,828,521 $ 3,052,838 Sep-2002 $ 2,348,821 $ 2,524,738 $ 2,724,048 Oct-2002 $ 2,480,120 $ 2,660,316 $ 2,865,426 Nov-2002 $ 2,611,566 $ 2,781,094 $ 3,000,960 Dec-2002 $ 2,487,778 $ 2,687,650 $ 2,904,930 Jan-2003 $ 2,364,882 $ 2,575,575 $ 2,798,609 Feb-2003 $ 2,305,050 $ 2,516,594 $ 2,715,770 Mar-2003 $ 2,235,207 $ 2,467,269 $ 2,649,234 Apr-2003 $ 2,457,834 $ 2,709,061 $ 2,911,508 May-2003 $ 2,610,711 $ 2,873,230 $ 3,098,427 Jun-2003 $ 2,670,496 $ 2,942,762 $ 3,171,550 Jul-2003 $ 2,740,196 $ 3,013,977 $ 3,260,353 Aug-2003 $ 2,813,360 $ 3,086,614 $ 3,354,577 Sep-2003 $ 2,889,883 $ 3,181,682 $ 3,422,004 Oct-2003 $ 3,075,991 $ 3,379,900 $ 3,625,956 Nov-2003 $ 3,135,666 $ 3,454,934 $ 3,698,838 Dec-2003 $ 3,357,671 $ 3,724,765 $ 3,950,729 Jan-2004 $ 3,463,437 $ 3,777,284 $ 4,035,669 Feb-2004 $ 3,542,057 $ 3,864,539 $ 4,128,086 Mar-2004 $ 3,559,059 $ 3,886,180 $ 4,148,314 Apr-2004 $ 3,389,627 $ 3,798,353 $ 4,024,694
Source: Lipper Analytical Services, Inc. The quoted performance is past performance and not indicative of future returns. Investment returns will fluctuate so that an investor's shares when redeemed may be worth more or less than original cost. Please note, current performance may be higher or lower than the performance data shown. INVESTORS SHOULD CAREFULLY READ THE FUND PROSPECTUS WHICH INCLUDES INFORMATION ON THE FUND'S INVESTMENT OBJECTIVES, RISK, AS WELL AS CHARGES AND EXPENSES ALONG WITH OTHER INFORMATION. INVESTORS SHOULD REVIEW THE INFORMATION IN THE PROSPECTUS CAREFULLY BEFORE INVESTING. FOR UP TO DATE MONTH-END PERFORMANCE INFORMATION, OR TO RECEIVE A FUND PROSPECTUS PLEASE CALL 800 348-4782. PLEASE READ CAREFULLY BEFORE INVESTING OR SENDING MONEY. The Fund commenced operations on 2/26/97. Returns for the Institutional Shares prior to 9/10/01 (offering date of the Institutional Shares) are calculated using the historical expenses of the J.P. Morgan Institutional International Opportunities Fund, which are higher than the expenses of the Institutional Shares. Returns for the Select Shares prior to 9/10/01 (offering date of the Select Shares) are calculated using the historical expenses of the J.P. Morgan International Opportunities Fund, which are similar to the expenses of the Select Shares. Returns for the Class A and B Shares prior to 9/10/01 (offering date of the Class A and B Shares) are calculated using the historical expenses of the J.P. Morgan International Opportunities Fund, which are lower than the expenses of the Class A and B Shares. The graph illustrates comparative performance for $3,000,000 invested in Institutional Shares of the JPMorgan Fleming International Opportunities Fund, MSCI EAFE Index and Lipper International Funds Index from February 26, 1997 to April 30, 2004. The performance of the Fund assumes reinvestment of all dividends and capital gains and does not include a sales charge. The performance of the indices reflects an initial investment at the end of the month following the Fund's inception. The performance of the indices does not include a sales charge and has been adjusted to reflect reinvestment of all dividends and capital gains of the securities included in the benchmark. The MSCI EAFE (Europe, Australasia, Far East) Index is a replica (or model) of the performance of the worlds equity markets, excluding the U.S. and Canada. The Lipper International Funds Index represents the total returns of the funds in the indicated category, as defined by Lipper, Inc. Investors cannot invest directly in an index. Institutional Shares have a $3,000,000 minimum initial deposit and carry no sales charge. Certain fees and expenses of the Fund are currently being waived and reimbursed as described in the prospectus. Had the expenses not been subsidized or waived, returns would have been lower. Also, all performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares. 17 JPMORGAN FLEMING EMERGING MARKETS EQUITY FUND AS OF APRIL 30, 2004 (Unaudited) FUND FACTS Fund Inception 11/15/93 Fiscal Year End OCTOBER 31 Net Assets as of 4/30/2004 (In Millions) $72.0 Primary Benchmark MSCI EMERGING MARKETS EQUITY FREE INDEX Q: HOW DID THE FUND PERFORM? A: JPMorgan Fleming Emerging Markets Equity Fund, which seeks to provide high total returns from a portfolio of equity securities from emerging markets issuers, rose by 12.6% (Institutional Shares) in the six months ended April 30, 2004. This compares with a rally of 9.4% in the MSCI Emerging Markets Equity Free Index (in U.S. dollars). Q: WHY DID THE FUND OUTPERFORM ITS BENCHMARK? A: The Portfolio outperformed its MSCI Emerging Markets Equity Free Index benchmark in six months that was characterized by two distinct periods. At the end of 2003, when commodity stocks rallied to high levels, the Portfolio trailed its benchmark. But when investors switched to more defensive stocks in 2004, it outperformed by a substantial margin. Russia was one of the best performing markets across the six months as high oil prices stoked the domestic economy. The Portfolio was overweight the country, and benefited from holding some leading stocks. Two cellular phone holdings, Mobil Telesystems and VimpelCom, are experiencing rapid growth. Another strong performer was KT&G, the Korean tobacco company. Holdings in China also made a contribution to returns relative to the benchmark. The Portfolio benefited from being underweight China, which was one of the worst performing emerging markets over the six months. The negative stance on China followed company visits that indicated the economy was overheating. Late in the period, the Chinese government indicated it would take action to slow the economy. From a negative perspective, the greatest detractor from performance was Brazil, where the Portfolio was overweight. Fears of a rising interest rate environment, and of the impact a Chinese slowdown would have on the country's iron and steel exporters, damaged market sentiment. At the stock level, Unibanco, Brazil's third largest bank, was down more than 10% in the period. Elsewhere, two of the holdings that detracted most were Reliance Industries, the Indian conglomerate, and Impala Platinum, the South African metals company. Nervousness regarding India's forthcoming parliamentary elections buffeted Reliance, and the Portfolio was unfortunate in the timing of buy and sell decisions. Impala Platinum corrected in sympathy with lower metal prices. Q: HOW WAS THE FUND MANAGED? A: The Portfolio has become increasingly concentrated during the period in order to increase the impact of stock selection. The number of holdings has been reduced from more than 100 to a range of 40 to 70. As a result, the potential for outperformance has increased, as has the tracking error against the benchmark. 18 SEMI-ANNUAL REPORT APRIL 30 2004 (Unaudited) [CHART] PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS South Korea 21.8% Brazil 14.5% Taiwan 11.3% South Africa 10.8% Indonesia 6.7% Mexico 5.5% Russia 4.5% Egypt 3.4% India 3.3% Turkey 3.2% Philippines 3.0% China 2.6% Argentina 2.5% Hungary 2.3% Malaysia 2.1% Chile 2.0% Poland 0.5%
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO 1. Samsung Electronics Co., LTD (South Korea) 8.2% 2. Orascom Telecom Holding SAE (Egypt) 3.3% 3. Telekomunikasi Indonesia TBK PT (Indonesia), ADR 3.1% 4. Petroleo Brasileiro SA (Brazil), ADR 3.1% 5. SM Prime Holdings, Inc. (Philippines) 3.0% 6. Reliance Industries LTD (India), GDR, # 2.8% 7. SK Telecom Co., LTD (South Korea), ADR 2.7% 8. Steinhoff International Holdings LTD (South Africa) 2.7% 9. Cia de Bebidas das Americas (Brazil), ADR 2.6% 10. PICC Property & Casualty Co., LTD (China), Class H 2.6%
Top 10 equity holdings comprised 34.1% of the Portfolio's market value of investments ($24,135,597). As of April 30, 2004, the Fund held 48 equity holdings. Portfolio holdings are subject to change at any time. 19 AVERAGE ANNUAL TOTAL RETURNS AS OF APRIL 30, 2004
1 YEAR 3 YEARS 5 YEARS 10 YEARS --------------------------------------- CLASS A SHARES Without Sales Charge 56.13% 11.03% 4.32% (0.62%) With Sales Charge* 47.12% 8.85% 3.10% (1.20%) --------------------------------------- CLASS B SHARES Without CDSC 55.37% 10.64% 4.10% (0.72%) With CDSC** 50.37% 9.81% 3.75% (0.72%) --------------------------------------- INSTITUTIONAL SHARES 57.16% 11.69% 4.85% (0.23%) --------------------------------------- SELECT SHARES 56.53% 11.26% 4.45% (0.56%)
* 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] TEN-YEAR PERFORMANCE (04/30/94 TO 04/30/04)
JPMORGAN FLEMING EMERGING MARKETS EQUITY FUND (INSTITUTIONAL SHARES) MSCI EMERGING MARKETS EQUITY FREE INDEX LIPPER EMERGING MARKET EQUITY FUNDS AVERAGE Apr-1994 $ 3,057,900 $ 3,102,600 $ 3,057,900 Jun-1994 $ 2,983,593 $ 3,016,968 $ 2,949,345 Jul-1994 $ 3,129,491 $ 3,204,624 $ 3,118,932 Aug-1994 $ 3,418,343 $ 3,602,317 $ 3,406,185 Sep-1994 $ 3,492,521 $ 3,643,384 $ 3,436,160 Oct-1994 $ 3,432,100 $ 3,577,803 $ 3,365,375 Nov-1994 $ 3,299,964 $ 3,391,757 $ 3,219,654 Dec-1994 $ 3,009,237 $ 3,119,399 $ 2,999,108 Jan-1995 $ 2,642,411 $ 2,787,495 $ 2,723,790 Feb-1995 $ 2,572,388 $ 2,716,135 $ 2,681,571 Mar-1995 $ 2,628,466 $ 2,733,518 $ 2,705,437 Apr-1995 $ 2,718,096 $ 2,856,253 $ 2,820,148 May-1995 $ 2,830,082 $ 3,008,206 $ 2,962,283 Jun-1995 $ 2,843,949 $ 3,017,231 $ 2,970,577 Jul-1995 $ 2,958,845 $ 3,084,817 $ 3,086,430 Aug-1995 $ 2,877,772 $ 3,012,015 $ 3,027,788 Sep-1995 $ 2,849,858 $ 2,997,859 $ 3,033,843 Oct-1995 $ 2,718,195 $ 2,883,041 $ 2,903,388 Nov-1995 $ 2,636,921 $ 2,831,722 $ 2,859,257 Dec-1995 $ 2,717,874 $ 2,957,451 $ 2,953,326 Jan-1996 $ 2,926,607 $ 3,167,726 $ 3,212,333 Feb-1996 $ 2,912,559 $ 3,117,359 $ 3,195,950 Mar-1996 $ 2,949,257 $ 3,141,674 $ 3,217,682 Apr-1996 $ 3,045,108 $ 3,267,341 $ 3,366,661 May-1996 $ 3,067,642 $ 3,252,638 $ 3,415,814 Jun-1996 $ 3,076,231 $ 3,272,805 $ 3,440,750 Jul-1996 $ 2,929,495 $ 3,049,272 $ 3,242,219 Aug-1996 $ 2,994,530 $ 3,127,333 $ 3,339,485 Sep-1996 $ 2,980,456 $ 3,154,541 $ 3,364,197 Oct-1996 $ 2,898,493 $ 3,070,315 $ 3,280,765 Nov-1996 $ 2,932,405 $ 3,121,896 $ 3,364,097 Dec-1996 $ 2,958,211 $ 3,135,945 $ 3,423,305 Jan-1997 $ 3,197,234 $ 3,349,816 $ 3,702,646 Feb-1997 $ 3,285,478 $ 3,493,188 $ 3,834,831 Mar-1997 $ 3,276,935 $ 3,401,317 $ 3,750,465 Apr-1997 $ 3,259,895 $ 3,407,440 $ 3,788,719 May-1997 $ 3,376,600 $ 3,504,893 $ 3,963,379 Jun-1997 $ 3,547,456 $ 3,692,404 $ 4,194,444 Jul-1997 $ 3,664,167 $ 3,747,421 $ 4,342,089 Aug-1997 $ 3,282,727 $ 3,270,374 $ 3,969,103 Sep-1997 $ 3,408,127 $ 3,360,964 $ 4,137,393 Oct-1997 $ 2,807,274 $ 2,809,430 $ 3,503,131 Nov-1997 $ 2,727,548 $ 2,706,885 $ 3,372,114 Dec-1997 $ 2,730,003 $ 2,772,121 $ 3,432,475 Jan-1998 $ 2,528,255 $ 2,554,787 $ 3,191,858 Feb-1998 $ 2,687,283 $ 2,821,507 $ 3,481,360 Mar-1998 $ 2,815,735 $ 2,943,960 $ 3,614,000 Apr-1998 $ 2,840,232 $ 2,911,871 $ 3,641,105 May-1998 $ 2,430,670 $ 2,512,945 $ 3,173,951 Jun-1998 $ 2,152,359 $ 2,249,337 $ 2,880,043 Jul-1998 $ 2,227,261 $ 2,320,641 $ 2,969,900 Aug-1998 $ 1,593,160 $ 1,649,744 $ 2,139,219 Sep-1998 $ 1,651,310 $ 1,754,337 $ 2,196,336 Oct-1998 $ 1,810,661 $ 1,939,069 $ 2,387,857 Nov-1998 $ 1,908,618 $ 2,100,400 $ 2,538,531 Dec-1998 $ 1,901,938 $ 2,069,944 $ 2,504,260 Jan-1999 $ 1,851,536 $ 2,036,618 $ 2,455,427 Feb-1999 $ 1,818,024 $ 2,056,373 $ 2,438,239 Mar-1999 $ 2,026,006 $ 2,327,403 $ 2,704,008 Apr-1999 $ 2,314,509 $ 2,615,303 $ 3,067,967 May-1999 $ 2,284,420 $ 2,600,134 $ 3,036,980 Jun-1999 $ 2,505,780 $ 2,895,249 $ 3,404,151 Jul-1999 $ 2,455,414 $ 2,816,498 $ 3,319,728 Aug-1999 $ 2,465,481 $ 2,842,128 $ 3,279,228 Sep-1999 $ 2,408,529 $ 2,746,064 $ 3,158,224 Oct-1999 $ 2,422,017 $ 2,804,556 $ 3,271,605 Nov-1999 $ 2,633,459 $ 3,056,124 $ 3,627,555 Dec-1999 $ 3,032,164 $ 3,444,863 $ 4,291,035 Jan-2000 $ 2,988,198 $ 3,465,532 $ 4,254,561 Feb-2000 $ 2,967,878 $ 3,511,277 $ 4,442,187 Mar-2000 $ 2,961,052 $ 3,528,483 $ 4,488,830 Apr-2000 $ 2,728,017 $ 3,193,983 $ 4,004,037 May-2000 $ 2,630,081 $ 3,062,071 $ 3,770,201 Jun-2000 $ 2,775,262 $ 3,169,856 $ 3,954,564 Jul-2000 $ 2,643,715 $ 3,006,925 $ 3,771,072 Aug-2000 $ 2,680,727 $ 3,021,659 $ 3,852,527 Sep-2000 $ 2,447,771 $ 2,757,868 $ 3,459,184 Oct-2000 $ 2,255,377 $ 2,557,923 $ 3,208,739 Nov-2000 $ 2,032,545 $ 2,334,360 $ 2,906,476 Dec-2000 $ 2,115,473 $ 2,390,619 $ 3,007,331 Jan-2001 $ 2,399,370 $ 2,719,807 $ 3,368,511 Feb-2001 $ 2,230,454 $ 2,506,846 $ 3,107,788 Mar-2001 $ 2,017,446 $ 2,260,674 $ 2,821,561 Apr-2001 $ 2,105,406 $ 2,372,351 $ 2,984,647 May-2001 $ 2,169,621 $ 2,400,582 $ 3,071,202 Jun-2001 $ 2,122,324 $ 2,351,370 $ 3,015,613 Jul-2001 $ 1,966,969 $ 2,202,763 $ 2,816,281 Aug-2001 $ 1,943,366 $ 2,180,956 $ 2,759,392 Sep-2001 $ 1,652,638 $ 1,843,344 $ 2,371,422 Oct-2001 $ 1,737,088 $ 1,957,816 $ 2,513,944 Nov-2001 $ 1,916,182 $ 2,162,212 $ 2,766,093 Dec-2001 $ 2,028,470 $ 2,333,891 $ 2,940,080 Jan-2002 $ 2,117,114 $ 2,413,010 $ 3,057,977 Feb-2002 $ 2,157,975 $ 2,452,584 $ 3,123,418 Mar-2002 $ 2,253,357 $ 2,600,229 $ 3,303,014 Apr-2002 $ 2,277,243 $ 2,617,131 $ 3,333,732 May-2002 $ 2,246,500 $ 2,575,518 $ 3,304,062 Jun-2002 $ 2,065,881 $ 2,382,354 $ 3,062,535 Jul-2002 $ 1,874,994 $ 2,201,057 $ 2,836,214 Aug-2002 $ 1,898,806 $ 2,234,953 $ 2,856,067 Sep-2002 $ 1,711,394 $ 1,993,802 $ 2,576,744 Oct-2002 $ 1,789,776 $ 2,123,200 $ 2,695,017 Nov-2002 $ 1,909,154 $ 2,269,276 $ 2,862,647 Dec-2002 $ 1,849,207 $ 2,193,936 $ 2,791,080 Jan-2003 $ 1,849,207 $ 2,184,283 $ 2,767,915 Feb-2003 $ 1,790,957 $ 2,125,307 $ 2,712,833 Mar-2003 $ 1,708,573 $ 2,064,948 $ 2,622,767 Apr-2003 $ 1,866,445 $ 2,248,935 $ 2,866,422 May-2003 $ 2,013,894 $ 2,410,409 $ 3,079,111 Jun-2003 $ 2,120,227 $ 2,547,802 $ 3,223,829 Jul-2003 $ 2,267,795 $ 2,707,294 $ 3,386,954 Aug-2003 $ 2,408,399 $ 2,888,954 $ 3,614,896 Sep-2003 $ 2,411,770 $ 2,910,043 $ 3,675,265 Oct-2003 $ 2,603,988 $ 3,157,688 $ 3,967,816 Nov-2003 $ 2,607,374 $ 3,196,527 $ 4,017,414 Dec-2003 $ 2,790,411 $ 3,428,276 $ 4,338,807 Jan-2004 $ 2,946,953 $ 3,549,979 $ 4,472,009 Feb-2004 $ 3,082,513 $ 3,713,633 $ 4,673,249 Mar-2004 $ 3,169,440 $ 3,761,168 $ 4,729,328 Apr-2004 $ 2,932,952 $ 3,453,504 $ 4,360,440
Source: Lipper Analytical Services, Inc. The quoted performance is past performance and is not indicative of future returns. Investment returns will fluctuate so that an investor's shares when redeemed may be worth more or less than original cost. Please note, current performance may be higher or lower than the performance data shown. INVESTORS SHOULD CAREFULLY READ THE FUND PROSPECTUS WHICH INCLUDES INFORMATION ON THE FUND'S INVESTMENT OBJECTIVES, RISK, AS WELL AS CHARGES AND EXPENSES ALONG WITH OTHER INFORMATION. INVESTORS SHOULD REVIEW THE INFORMATION IN THE PROSPECTUS CAREFULLY BEFORE INVESTING. FOR UP TO DATE MONTH-END PERFORMANCE INFORMATION, OR TO RECEIVE A FUND PROSPECTUS PLEASE CALL 800 348-4782. PLEASE READ CAREFULLY BEFORE INVESTING OR SENDING MONEY. The Fund commenced operations on 11/15/93. Returns for the Institutional Shares prior to 9/10/01 (offering date of the Institutional Shares) are calculated using the historical expenses of the J.P. Morgan Institutional Emerging Markets Equity Fund, which are similar to the expenses of the Institutional Shares. Returns for the Select Shares prior to 9/10/01 (offering date of the Select Shares) are calculated using the historical expenses of the J.P. Morgan Emerging Markets Equity Fund, which are similar to the expenses of the Select Shares. Returns for the Class A and B Shares prior to 9/28/01 (offering date of the Class A and B Shares) are calculated using the historical expenses of the Select Shares, which are lower than the expenses of the Class A and B Shares. The graph illustrates comparative performance for $3,000,000 invested in Institutional Shares of the JPMorgan Fleming Emerging Markets Equity Fund, MSCI Emerging Markets Equity Free Index and Lipper Emerging Markets Equity Funds Average from April 30, 1994 to April 30, 2004. The performance of the Fund assumes reinvestment of all dividends and capital gains and does not include a sales charge. The performance of the indices reflects an initial investment at the end of the month following the Fund's inception. The performance of the indices does not include a sales charge and has been adjusted to reflect reinvestment of all dividends and capital gains of the securities included in the benchmark. The MSCI Emerging Markets Equity Free Index is a replica (or model) of the world's emerging market equity markets. The Lipper Emerging Market Equity Funds Average describes the average total returns for all the funds in the indicated category, as defined by Lipper, Inc. Investors cannot invest directly in an index. Institutional Shares have a $3,000,000 minimum initial deposit and carry no sales charge. Certain fees and expenses of the Fund are currently being waived and reimbursed as described in the prospectus. Had the expenses not been subsidized or waived, returns would have been lower. Also, all performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares. 20 JPMORGAN FLEMING ASIA EQUITY FUND AS OF APRIL 30, 2004 (Unaudited) FUND FACTS Fund Inception 11/1/01 Fiscal Year End OCTOBER 31 Net Assets as of 4/30/2004 (In Millions) $48.8 Primary Benchmark MSCI ALL COUNTRY FAR EAST FREE INDEX (EX-JAPAN) Q: HOW DID THE FUND PERFORM? A: JPMorgan Fleming Asia Equity Fund, which seeks total return from long-term capital growth by investing in equity securities of foreign companies located throughout the Asian region with the exception of Japan, declined by 0.2% (A shares, no sales charge) in the six months to April 30, 2004. This compares with a rise of 6.0% in the MSCI All Country Far East Free Index (ex-Japan) (in U.S. dollars). Q: WHY DID THE FUND PERFORM THIS WAY? A: The Portfolio trailed its MSCI All Country Far East Free Index (ex-Japan) benchmark in six months that was characterized by two distinct periods. While the high growth markets of China and Southeast Asia rallied at the end of 2003, come 2004 investors turned more defensive. This was apparent in the superior performance of both the more mature economies such as South Korea, Taiwan and Malaysia, and the more defensive stocks. The Portfolio's shortfall against the Index was the result of a low exposure to both the mature economies and the defensive stocks. Across the six months as a whole, China was one of the worst performing markets as investors worried that government actions to curb an overheating economy would drastically curtail growth. The Portfolio was overweight the country, and owned a number of stocks that were particularly exposed to the switch in market sentiment. These included CITIC International Financial, New World China Land, and Aluminum Corporation of China. South Korea, by contrast, was one of the leading regional markets, as nervous investors sought out the comparative stability of its economy and large companies, combined with its low stock valuations. But the Portfolio's holdings in the country were partly geared to the theme of China-led regional growth, and suffered accordingly. Hyundai Heavy Industries, the shipbuilding to construction equipment company, suffered from fears of a regional deceleration in growth. Another holding, Ssangyong Motor Company, the country's fourth largest automaker, faced uncertainty as talks over its sale to a Chinese company ran into difficulty. Strong performance from small capitalization stocks in the early part of the six months made a positive contribution, making up some ground against the Index. Thai shipping stock, Thorsen Thai Agencies, performed well, as did Taiwanese shipping company, U-Ming Marine Transport Corporation. In Taiwan, the Portfolio also benefited from not owning, or being underweight, some of the traditional technology companies, where stock prices fell significantly. Among others, the Portfolio was underweight Taiwan Semiconductor, did not own Austek Computer, and did not own Realtek Semiconductor. Q: HOW WAS THE FUND MANAGED? A: As investors' appetite for risk diminished over the period, so the Portfolio reduced its exposure to the higher risk markets of China, India and Southeast Asia. 21 [CHART] PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS South Korea 26.1% Hong Kong 20.8% Taiwan 19.3% Malaysia 7.2% Thailand 6.6% Singapore 6.3% Indonesia 5.8% China 4.3% India 3.6%
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO 1. Samsung Electronics Co., LTD (South Korea) 9.7% 2. POSCO (South Korea) 2.7% 3. Hana Bank (South Korea) 2.6% 4. Commerce Asset Holdings BHD (Malaysia) 2.5% 5. Cathay Financial Holding Co., LTD (Taiwan) 2.4% 6. Cheung Kong Holdings LTD (Hong Kong) 2.4% 7. Sun Hung Kai Properties LTD (Hong Kong) 2.3% 8. Taiwan Semiconductor Manufacturing Co., LTD (Taiwan) 2.3% 9. China Mobile Hong Kong LTD (Hong Kong) 2.2% 10. MediaTek, Inc. (Taiwan) 2.0%
Top 10 equity holdings comprised 31.1% of the Portfolio's market value of investments ($14,602,186). As of April 30, 2004, the Fund held 70 equity holdings. Portfolio holdings are subject to change at any time. 22 SEMI-ANNUAL REPORT APRIL 30 2004 (Unaudited) AVERAGE ANNUAL TOTAL RETURNS AS OF APRIL 30, 2004
SINCE INCEPTION 1 YEAR (11/01/01) ---------------------------- CLASS A SHARES Without Sales Charge 43.28% 6.89% With Sales Charge* 35.08% 4.37% ---------------------------- INSTITUTIONAL SHARES 43.84% 7.19% ---------------------------- SELECT SHARES 43.60% 7.09%
* Sales Charge for Class A Shares is 5.75%. [CHART] LIFE OF FUND PERFORMANCE (11/01/01 TO 04/30/04)
JPMORGAN FLEMING ASIA EQUITY FUND MSCI ALL COUNTRY FAR EAST (CLASS A SHARES) FREE INDEX (EX-JAPAN) LIPPER PACIFIC REGION FUNDS INDEX (EX-JAPAN) Nov-2001 $ 9,425 $ 10,000 $ 10,000 Nov-2001 $ 9,689 $ 10,000 $ 10,000 Dec-2001 $ 9,921 $ 10,906 $ 10,661 Jan-2002 $ 9,878 $ 11,354 $ 11,083 Feb-2002 $ 10,003 $ 11,386 $ 11,208 Mar-2002 $ 10,455 $ 12,218 $ 11,954 Apr-2002 $ 10,399 $ 12,393 $ 12,039 May-2002 $ 10,543 $ 12,153 $ 11,980 Jun-2002 $ 9,966 $ 11,500 $ 11,378 Jul-2002 $ 9,382 $ 11,081 $ 10,869 Aug-2002 $ 9,174 $ 10,838 $ 10,607 Sep-2002 $ 8,319 $ 9,605 $ 9,442 Oct-2002 $ 8,602 $ 10,119 $ 9,697 Nov-2002 $ 8,891 $ 10,630 $ 10,329 Dec-2002 $ 8,338 $ 9,900 $ 9,736 Jan-2003 $ 8,451 $ 10,017 $ 9,806 Feb-2003 $ 7,986 $ 9,578 $ 9,404 Mar-2003 $ 7,583 $ 9,141 $ 8,966 Apr-2003 $ 7,765 $ 9,476 $ 9,435 May-2003 $ 8,468 $ 10,297 $ 10,278 Jun-2003 $ 9,009 $ 10,898 $ 10,913 Jul-2003 $ 9,693 $ 11,837 $ 11,697 Aug-2003 $ 10,316 $ 12,706 $ 12,524 Sep-2003 $ 10,277 $ 12,765 $ 12,683 Oct-2003 $ 11,145 $ 13,846 $ 13,707 Nov-2003 $ 10,950 $ 13,638 $ 13,600 Dec-2003 $ 11,581 $ 14,351 $ 14,612 Jan-2004 $ 12,270 $ 15,324 $ 15,204 Feb-2004 $ 12,757 $ 15,896 $ 15,680 Mar-2004 $ 12,112 $ 15,584 $ 15,377 Apr-2004 $ 11,128 $ 14,679 $ 14,673
Source: Lipper Analytical Services, Inc. The quoted performance is past performance and not indicative of future returns. Investment returns will fluctuate so that an investor's shares when redeemed may be worth more or less than original cost. Please note, current performance may be higher or lower than the performance data shown. INVESTORS SHOULD CAREFULLY READ THE FUND PROSPECTUS WHICH INCLUDES INFORMATION ON THE FUND'S INVESTMENT OBJECTIVES, RISK, AS WELL AS CHARGES AND EXPENSES ALONG WITH OTHER INFORMATION. INVESTORS SHOULD REVIEW THE INFORMATION IN THE PROSPECTUS CAREFULLY BEFORE INVESTING. FOR UP TO DATE MONTH-END PERFORMANCE INFORMATION, OR TO RECEIVE A FUND PROSPECTUS PLEASE CALL 800 348-4782. PLEASE READ CAREFULLY BEFORE INVESTING OR SENDING MONEY. The Fund commenced operations on 11/1/01. Class A Shares were introduced on 11/1/01. Returns for the Institutional and Select Shares prior to 6/28/02 (offering date of the Institutional and Select Shares) are calculated using the historical expenses of the Class A Shares, which are higher than the expenses of the Institutional and Select Shares. The graph illustrates comparative performance for $10,000 invested in Class A Shares of the JPMorgan Fleming Asia Equity Fund, MSCI All Country Far East Free Index (ex-Japan) and Lipper Pacific Region Funds Index (ex-Japan) from November 1, 2001 to April 30, 2004. The performance of the Fund assumes reinvestment of all dividends and capital gains and includes a sales charge. The performance of the indices reflects an initial investment at the end of the month following the Fund's inception. The performance of the indices does not include a sales charge and has been adjusted to reflect reinvestment of all dividends and capital gains of the securities included in the benchmark. The MSCI All Country Far East Free Index (ex-Japan) is a free float-adjusted market capitalization index that is designed to measure equity market performance in the Far East, excluding Japan. The Lipper Pacific Region Funds Index (ex-Japan) represents the total returns of the funds in the indicated category, as defined by Lipper, Inc. Investors cannot invest directly in an index. Class A Shares have a $2,500 minimum initial deposit and carry a 5.75% sales charge. Certain fees and expenses of the Fund are currently being waived and reimbursed as described in the prospectus. Had the expenses not been subsidized or waived, returns would have been lower. Also, all performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares. 23 JPMORGAN FLEMING INTERNATIONAL EQUITY FUND AS OF APRIL 30, 2004 (Unaudited) FUND FACTS Fund Inception 1/1/97 Fiscal Year End OCTOBER 31 Net Assets as of 4/30/2004 (In Millions) $1,069.5 Primary Benchmark MSCI EAFE INDEX Q: HOW DID THE FUND PERFORM? A: JPMorgan Fleming International Equity Fund, which seeks total return from long-term capital growth & income through investing in foreign equities, rose by 10.9% (Select Shares) in the six months ended April 30, 2004. This compares with a rally of 12.4% in the MSCI EAFE Index (in U.S. dollars). Q: WHY DID THE FUND PERFORM THIS WAY? A: The Fund rallied with the international equity markets in the six months ended April 30, 2004, although it trailed the MSCI EAFE Index benchmark. The rise in the Yen caused some of the Portfolio's Japanese Consumer Discretionary stocks to underperform the sector's strong appreciation. At the same time, the Portfolio added value in a number of sectors, particularly Energy and Healthcare. In the Consumer Discretionary sector, Fuji Photo Film was the greatest detractor from relative performance. In addition to concerns regarding Yen strength, investors worried about the company's move from generating its profits in analog film and photography to digital. Fuji Photo Film appears to have a solid strategy, but there is fierce competition and investors are concerned that margins may not be as good as they have been in analog. The Yen caused Honda Motor Company's profits for the fourth quarter of its fiscal year to drop -36.5%, as it translated overseas earnings back into Yen. The company predicted that currency issues would lead to a fall in profits during the current fiscal year. In the Financial sector, the Portfolio suffered from not owning Japanese bank stocks. These stocks had an astonishing rally during the period, with many rising more than 40% in response to what appeared to be an increasingly sustainable economic recovery. If the recovery continues, it will likely reduce the bank's bad debt provisions and increase profitability. The greatest area of relative strength was the Energy sector, where not owning Royal Dutch/Shell benefited the Portfolio. The oil giant revealed that it had substantially overstated reserves over several years. Additionally, the Portfolio was overweight the sector, which benefited from high oil prices. Performance in the Healthcare sector was also positive as the Portfolio owned French pharmaceutical stock Aventis, which received a takeover approach from fellow French drug maker Sanofi-Synthelabo. Q: HOW WAS THE FUND MANAGED? A: The Portfolio was broadly positioned to take advantage of economic recovery at the stock level. Within this context, stock selection focused on companies with pricing power, strong free cash flow, and reasonable valuations. This led us to be overweight Industrial and Energy stocks, but underweight the stocks where valuations are discounting a rapid reflation of Japan's economy, such as Japanese banks and real estate companies. 24 SEMI-ANNUAL REPORT APRIL 30 2004 (Unaudited) [CHART] PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS United Kingdom 28.1% Japan 20.5% France 11.5% Switzerland 10.1% Germany 6.6% The Netherlands 5.5% Italy 5.0% Spain 2.4% South Korea 2.0% Australia 1.9% Belgium 1.9% Finland 1.3% Ireland 0.8% Brazil 0.7% Hong Kong 0.7% Mexico 0.5% Russia 0.5%
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO 1. Total SA (France) 4.2% 2. ENI-Ente Nazionale Idrocarburi SPA (Italy) 3.9% 3. Vodafone Group PLC (United Kingdom) 3.5% 4. HSBC Holdings PLC (Hong Kong Registered Shares) (United Kingdom) 3.0% 5. GlaxoSmithKline PLC (United Kingdom) 2.5% 6. Novartis AG (Switzerland) 2.1% 7. Canon, Inc. (Japan) 2.0% 8. Roche Holding AG (Switzerland) 1.9% 9. Tesco PLC (United Kingdom) 1.9% 10. Barclays PLC (United Kingdom) 1.8%
Top 10 equity holdings comprised 26.8% of the Portfolio's market value of investments ($273,559,763). As of April 30, 2004, the Fund held 91 equity holdings. Portfolio holdings are subject to change at any time. 25 AVERAGE ANNUAL TOTAL RETURNS AS OF APRIL 30, 2004
1 YEAR 3 YEARS 5 YEARS 10 YEARS --------------------------------------- CLASS A SHARES Without Sales Charge 32.61% 1.03% 1.06% 4.43% With Sales Charge* 24.96% (0.95%) (0.13%) 3.81% --------------------------------------- CLASS B SHARES Without CDSC 31.96% 0.67% 0.84% 4.32% With CDSC** 26.96% (0.33%) 0.53% 4.32% --------------------------------------- CLASS C SHARES Without CDSC 31.98% 0.66% 0.84% 4.32% With CDSC*** 30.98% 0.66% 0.84% 4.32% --------------------------------------- SELECT SHARES 33.16% 1.34% 1.25% 4.53%
* 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] TEN-YEAR FUND PERFORMANCE (04/30/94 TO 04/30/04)
JPMORGAN FLEMING INTERNATIONAL EQUITY FUND (SELECT SHARES) MSCI EAFE INDEX LIPPER INTERNATIONAL FUNDS INDEX May-1994 $ 993,000 $ 994,300 $ 998,500 Jun-1994 $ 987,340 $ 1,008,320 $ 982,724 Jul-1994 $ 1,006,099 $ 1,018,000 $ 1,012,992 Aug-1994 $ 1,027,227 $ 1,042,126 $ 1,048,041 Sep-1994 $ 981,927 $ 1,009,299 $ 1,021,002 Oct-1994 $ 987,524 $ 1,042,909 $ 1,039,278 Nov-1994 $ 954,145 $ 992,745 $ 990,743 Dec-1994 $ 961,588 $ 998,999 $ 977,566 Jan-1995 $ 937,837 $ 960,638 $ 929,079 Feb-1995 $ 916,829 $ 957,852 $ 928,800 Mar-1995 $ 943,509 $ 1,017,622 $ 953,228 Apr-1995 $ 963,605 $ 1,055,884 $ 988,307 May-1995 $ 943,273 $ 1,043,319 $ 997,992 Jun-1995 $ 924,597 $ 1,025,061 $ 1,001,784 Jul-1995 $ 973,323 $ 1,088,922 $ 1,056,883 Aug-1995 $ 995,904 $ 1,047,435 $ 1,039,021 Sep-1995 $ 1,014,328 $ 1,067,859 $ 1,056,373 Oct-1995 $ 1,002,765 $ 1,039,134 $ 1,034,400 Nov-1995 $ 1,019,511 $ 1,068,022 $ 1,045,158 Dec-1995 $ 1,056,825 $ 1,111,063 $ 1,075,468 Jan-1996 $ 1,092,968 $ 1,115,619 $ 1,100,849 Feb-1996 $ 1,085,536 $ 1,119,412 $ 1,105,582 Mar-1996 $ 1,109,092 $ 1,143,143 $ 1,122,829 Apr-1996 $ 1,154,343 $ 1,176,409 $ 1,159,434 May-1996 $ 1,139,799 $ 1,154,763 $ 1,158,158 Jun-1996 $ 1,155,756 $ 1,161,230 $ 1,168,698 Jul-1996 $ 1,106,174 $ 1,127,322 $ 1,129,312 Aug-1996 $ 1,099,647 $ 1,129,802 $ 1,143,994 Sep-1996 $ 1,140,774 $ 1,159,854 $ 1,169,619 Oct-1996 $ 1,115,905 $ 1,148,024 $ 1,164,941 Nov-1996 $ 1,166,010 $ 1,193,715 $ 1,219,693 Dec-1996 $ 1,167,176 $ 1,178,316 $ 1,230,548 Jan-1997 $ 1,159,355 $ 1,137,075 $ 1,232,148 Feb-1997 $ 1,189,383 $ 1,155,723 $ 1,254,450 Mar-1997 $ 1,189,383 $ 1,159,884 $ 1,261,098 Apr-1997 $ 1,192,475 $ 1,166,031 $ 1,266,647 May-1997 $ 1,240,174 $ 1,241,940 $ 1,338,086 Jun-1997 $ 1,293,750 $ 1,310,371 $ 1,402,314 Jul-1997 $ 1,346,276 $ 1,331,599 $ 1,447,328 Aug-1997 $ 1,228,746 $ 1,232,128 $ 1,342,976 Sep-1997 $ 1,300,505 $ 1,301,128 $ 1,429,195 Oct-1997 $ 1,215,452 $ 1,201,071 $ 1,320,719 Nov-1997 $ 1,204,877 $ 1,188,820 $ 1,309,625 Dec-1997 $ 1,226,686 $ 1,199,163 $ 1,319,840 Jan-1998 $ 1,269,129 $ 1,253,964 $ 1,351,780 Feb-1998 $ 1,350,734 $ 1,334,469 $ 1,437,618 Mar-1998 $ 1,426,375 $ 1,375,571 $ 1,515,681 Apr-1998 $ 1,460,465 $ 1,386,438 $ 1,539,022 May-1998 $ 1,478,575 $ 1,379,644 $ 1,542,100 Jun-1998 $ 1,454,327 $ 1,390,129 $ 1,528,684 Jul-1998 $ 1,499,847 $ 1,404,170 $ 1,552,073 Aug-1998 $ 1,261,371 $ 1,230,193 $ 1,328,730 Sep-1998 $ 1,204,105 $ 1,192,426 $ 1,287,406 Oct-1998 $ 1,273,823 $ 1,316,677 $ 1,382,031 Nov-1998 $ 1,331,145 $ 1,384,091 $ 1,451,270 Dec-1998 $ 1,392,777 $ 1,438,624 $ 1,486,972 Jan-1999 $ 1,434,142 $ 1,434,308 $ 1,496,042 Feb-1999 $ 1,369,032 $ 1,400,172 $ 1,457,594 Mar-1999 $ 1,407,639 $ 1,458,559 $ 1,506,132 Apr-1999 $ 1,464,508 $ 1,517,630 $ 1,576,317 May-1999 $ 1,394,211 $ 1,439,472 $ 1,517,678 Jun-1999 $ 1,441,893 $ 1,495,612 $ 1,589,616 Jul-1999 $ 1,478,806 $ 1,540,031 $ 1,625,065 Aug-1999 $ 1,504,981 $ 1,545,730 $ 1,637,903 Sep-1999 $ 1,524,696 $ 1,561,341 $ 1,643,144 Oct-1999 $ 1,564,643 $ 1,619,892 $ 1,700,490 Nov-1999 $ 1,712,502 $ 1,676,102 $ 1,825,136 Dec-1999 $ 1,938,380 $ 1,826,616 $ 2,049,445 Jan-2000 $ 1,868,793 $ 1,710,626 $ 1,929,552 Feb-2000 $ 2,006,896 $ 1,756,642 $ 2,056,903 Mar-2000 $ 2,017,533 $ 1,824,799 $ 2,062,251 Apr-2000 $ 1,879,735 $ 1,728,815 $ 1,931,504 May-2000 $ 1,796,087 $ 1,686,632 $ 1,878,388 Jun-2000 $ 1,845,659 $ 1,752,579 $ 1,965,357 Jul-2000 $ 1,751,715 $ 1,679,146 $ 1,901,680 Aug-2000 $ 1,767,831 $ 1,693,755 $ 1,933,818 Sep-2000 $ 1,654,867 $ 1,611,269 $ 1,821,076 Oct-2000 $ 1,607,206 $ 1,573,243 $ 1,759,160 Nov-2000 $ 1,565,580 $ 1,514,246 $ 1,684,923 Dec-2000 $ 1,617,087 $ 1,568,002 $ 1,747,771 Jan-2001 $ 1,615,309 $ 1,567,218 $ 1,758,083 Feb-2001 $ 1,488,022 $ 1,449,677 $ 1,634,665 Mar-2001 $ 1,403,800 $ 1,352,983 $ 1,519,748 Apr-2001 $ 1,497,153 $ 1,447,016 $ 1,612,149 May-2001 $ 1,452,238 $ 1,395,936 $ 1,573,135 Jun-2001 $ 1,391,825 $ 1,338,842 $ 1,528,773 Jul-2001 $ 1,359,813 $ 1,314,475 $ 1,489,025 Aug-2001 $ 1,327,178 $ 1,281,219 $ 1,459,095 Sep-2001 $ 1,217,022 $ 1,151,431 $ 1,300,054 Oct-2001 $ 1,259,861 $ 1,180,908 $ 1,335,285 Nov-2001 $ 1,312,145 $ 1,224,484 $ 1,385,091 Dec-2001 $ 1,342,325 $ 1,231,708 $ 1,409,746 Jan-2002 $ 1,282,323 $ 1,166,304 $ 1,352,792 Feb-2002 $ 1,297,198 $ 1,174,469 $ 1,371,731 Mar-2002 $ 1,369,062 $ 1,238,007 $ 1,444,296 Apr-2002 $ 1,395,896 $ 1,246,178 $ 1,454,406 May-2002 $ 1,404,271 $ 1,262,005 $ 1,475,204 Jun-2002 $ 1,367,339 $ 1,211,777 $ 1,416,933 Jul-2002 $ 1,228,964 $ 1,092,174 $ 1,275,523 Aug-2002 $ 1,240,271 $ 1,089,662 $ 1,276,544 Sep-2002 $ 1,097,764 $ 972,633 $ 1,139,060 Oct-2002 $ 1,162,312 $ 1,024,863 $ 1,198,177 Nov-2002 $ 1,216,127 $ 1,071,392 $ 1,254,851 Dec-2002 $ 1,177,454 $ 1,035,393 $ 1,214,696 Jan-2003 $ 1,110,222 $ 992,217 $ 1,170,238 Feb-2003 $ 1,080,246 $ 969,495 $ 1,135,599 Mar-2003 $ 1,055,940 $ 950,493 $ 1,107,777 Apr-2003 $ 1,170,299 $ 1,043,642 $ 1,217,447 May-2003 $ 1,248,475 $ 1,106,886 $ 1,295,607 Jun-2003 $ 1,269,574 $ 1,133,673 $ 1,326,183 Jul-2003 $ 1,282,904 $ 1,161,108 $ 1,363,316 Aug-2003 $ 1,310,102 $ 1,189,091 $ 1,402,716 Sep-2003 $ 1,339,186 $ 1,225,715 $ 1,430,911 Oct-2003 $ 1,405,208 $ 1,302,077 $ 1,516,193 Nov-2003 $ 1,449,472 $ 1,330,983 $ 1,546,668 Dec-2003 $ 1,553,399 $ 1,434,932 $ 1,651,997 Jan-2004 $ 1,582,603 $ 1,455,165 $ 1,687,514 Feb-2004 $ 1,621,535 $ 1,488,779 $ 1,726,159 Mar-2004 $ 1,616,833 $ 1,497,116 $ 1,734,617 Apr-2004 $ 1,557,616 $ 1,463,282 $ 1,682,925
Source: Lipper Analytical Services, Inc. The quoted performance is past performance and not indicative of future returns. Investment returns will fluctuate so that an investor's shares when redeemed may be worth more or less than original cost. Please note, current performance may be higher or lower than the performance data shown. INVESTORS SHOULD CAREFULLY READ THE FUND PROSPECTUS WHICH INCLUDES INFORMATION ON THE FUND'S INVESTMENT OBJECTIVES, RISK, AS WELL AS CHARGES AND EXPENSES ALONG WITH OTHER INFORMATION. INVESTORS SHOULD REVIEW THE INFORMATION IN THE PROSPECTUS CAREFULLY BEFORE INVESTING. FOR UP TO DATE MONTH-END PERFORMANCE INFORMATION, OR TO RECEIVE A FUND PROSPECTUS PLEASE CALL 800 348-4782. PLEASE READ CAREFULLY BEFORE INVESTING OR SENDING MONEY. The Fund commenced operations on 1/1/97. Returns for the Select Shares prior to 1/1/97 (offering date of the Select Shares) are calculated using performance of a predecessor account and the historical expenses at the level indicated (absent reimbursements) in the Expense Summary for the Fund as disclosed in the Prospectus. The account was not registered with the SEC and was not subject to investment restrictions of registered mutual funds. If the account had been registered, performance may have been adversely affected. Returns for the Class A and B Shares prior to 2/28/02 (offering date of the Class A and B Shares) are calculated using the historical expenses of the Select Shares, which are lower than the expenses of the Class A and B Shares. Returns for Class C Shares prior to 1/31/03 (offering date of the Class C Shares) are calculated using the historical expenses of the Class B Shares, which are similar to the expenses of the Class C Shares. The graph illustrates comparative performance for $1,000,000 invested in Select Shares of the JPMorgan Fleming International Equity Fund, MSCI EAFE Index, and Lipper International Funds Index from April 30, 1994 to April 30, 2004. The performance of the Fund assumes reinvestment of all dividends and capital gains and does not include a sales charge. The performance of the indices does not include a sales charge and has been adjusted to reflect reinvestment of all dividends and capital gains of the securities included in the benchmark. The MSCI EAFE (Europe, Australasia, Far East) Index is a replica (or model) of the world's equity markets, excluding the U.S. and Canada. The Lipper International Funds Index represents the total returns of the funds in the indicated category, as defined by Lipper, Inc. Investors cannot invest directly in an index. Select Shares have a $1,000,000 minimum initial deposit and carry no sales charge. Certain fees and expenses of the Fund are currently being waived and reimbursed as described in the prospectus. Had the expenses not been subsidized or waived, returns would have been lower. Also, all performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares. 26 JPMORGAN FLEMING INTREPID EUROPEAN FUND PORTFOLIO OF INVESTMENTS AS OF APRIL 30, 2004 (Unaudited)
SHARES ISSUER VALUE -------------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- 100.0% COMMON STOCKS -- 100.0% AUSTRIA -- 7.4% 35,351 Bank Austria Creditanstalt AG* (f) (l) $ 1,997,063 7,243 Erste Bank Der Oesterreichischen Sparkassen AG (f) (l) 1,079,418 8,299 OMV AG (f) (l) 1,511,545 35,127 Telekom Austria AG (f) 515,718 3,740 Verbund - Oesterreichische Elektrizitaetswirtschafts AG, Class A (f) 610,862 15,765 Voest-Alpine AG (f) 684,746 16,149 Wienerberger AG (f) (l) 525,149 -------------------------------------------------------------------- 6,924,501 -------------------------------------------------------------------- BELGIUM -- 2.6% 43,715 Fortis (f) 944,850 17,753 KBC Bancassurance Holding (f) (l) 994,575 8,098 Mobistar SA* (f) 522,461 886 Umicore 138 -------------------------------------------------------------------- 2,462,024 -------------------------------------------------------------------- FINLAND -- 0.0% ^ 506 YIT-Yhtyma OYJ (f) 9,416 FRANCE -- 12.5% 73,065 Air France (f) (l) 1,263,615 88,450 Alcatel SA* (f) (l) 1,296,952 49,508 AXA (f) 1,027,552 30,352 Credit Agricole SA (f) 744,649 18,286 Eramet 938,409 4,367 Imerys SA (f) 989,822 21,287 Renault SA (f) 1,578,328 7,844 Societe Assurances Generales de France (f) 476,252 24,575 Suez SA (f) 487,266 16,152 Total SA (f) 2,973,106 -------------------------------------------------------------------- 11,775,951 -------------------------------------------------------------------- GERMANY -- 11.0% 25,315 Continental AG (f) 1,086,911 181 Deutsche Bank AG (f) 14,789 51,836 Deutsche Lufthansa AG (f) 823,767 34,897 Deutsche Post AG (f) 764,562 31,292 E.ON AG (f) (l) $ 2,071,455 29,524 HeidelbergCement AG* (f) 1,336,656 17,959 Hochtief AG (f) 506,708 34,831 Hypo Real Estate Holding* 947,808 15,396 Mobilcom AG (f) 291,716 73,526 Pfleiderer AG (f) 492,258 34,157 RWE AG (f) (l) 1,474,336 19,910 Software AG* (f) 558,764 -------------------------------------------------------------------- 10,369,730 -------------------------------------------------------------------- GREECE -- 0.5% 36,060 Piraeus Bank SA (f) 423,682 IRELAND -- 0.5% 3,331 Depfa Bank PLC (f) 496,349 ITALY -- 4.4% 99,527 ENI-Ente Nazionale Idrocarburi SPA (f) 2,021,981 21,957 Fondiaria-SAI SPA (f) 482,898 13,261 Pirelli & Co. Real Estate SPA (f) 465,601 53,857 Saipem SPA (f) 503,674 157,903 Unipol SPA (f) (l) 652,588 -------------------------------------------------------------------- 4,126,742 -------------------------------------------------------------------- LIECHTENSTEIN -- 0.6% 3,413 Verwaltungs & Privat-Bank AG (f) 518,460 LUXEMBOURG -- 0.5% 69,533 Thiel Logistik AG (f) (l) 431,689 NORWAY -- 4.1% 51,866 Aker Kvaerner ASA 861,907 27,011 Golar LNG LTD* (f) 344,032 8,150 Norsk Hydro ASA (f) 476,221 129,767 Statoil ASA (f) (l) 1,622,041 93,643 Tandberg Television ASA* (f) 552,265 -------------------------------------------------------------------- 3,856,466 --------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 27
SHARES ISSUER VALUE -------------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED SPAIN -- 4.0% 25,127 ACS Actividades Cons Y Serv (f) $ 1,217,854 464,481 Iberia Lineas Aer De Espana (f) 1,532,034 27,046 Metrovacesa SA (f) 964,512 -------------------------------------------------------------------- 3,714,400 -------------------------------------------------------------------- SWEDEN -- 6.8% 58,921 JM AB (f) 1,034,573 14,750 Saab AB, Class B (f) 197,471 83,117 Song Networks Holding AB* (f) 529,642 98,716 Ssab Svenskt Stal AB, Ser. A (f) (l) 1,611,793 263,166 Telefonaktiebolaget LM Ericsson, B Shares* (f) 701,160 86,391 Trelleborg AB (f) 1,542,482 22,583 Volvo AB, B Shares (f) 771,471 -------------------------------------------------------------------- 6,388,592 -------------------------------------------------------------------- SWITZERLAND -- 9.0% 80,729 ABB LTD* (f) 455,075 11,421 Baloise Holding LTD (f) 460,185 5,542 Banque Cantonale Vaudoise (f) 715,617 8,269 Converium Holding AG* (f) 430,415 5,823 Komax Holding AG* (f) 430,739 6,762 Micronas Semiconductor Holding AG* (f) 312,928 1,984 Rieter Holding AG (f) 462,740 15,418 Saurer AG (f) 694,793 2,320 SEZ Holding AG (f) (l) 73,096 11,247 Swiss Reinsurance Co. (f) (l) 735,831 10,095 Syngenta AG (f) 804,521 13,314 UBS AG (f) (l) 942,687 22,001 Vontobel Holding AG (f) 474,992 41,256 Xstrata PLC* (f) 462,175 6,199 Zurich Financial Services AG (f) 973,213 -------------------------------------------------------------------- 8,429,007 -------------------------------------------------------------------- THE NETHERLANDS -- 8.1% 9,859 Aalberts Industries NV (f) 293,711 49,557 Buhrmann NV (f) (l) 462,202 25,107 Corio NV (f) 1,007,232 11,303 DSM NV 541,708 14,335 Exact Holding NV* (f) (l) 393,305 24,403 Koninklijke Philips Electronics NV (f) 655,596 164,156 Koninklijke Wessanen NV (f) (l) $ 2,294,347 13,016 Randstad Holding NV (f) (l) 293,929 21,164 Royal Dutch Petroleum Co. 1,029,275 8,748 Royal P&O Nedlloyd NV (f) 279,523 28,880 Unit 4 Agresso NV* (f) 393,060 -------------------------------------------------------------------- 7,643,888 -------------------------------------------------------------------- UNITED KINGDOM -- 28.0% 28,988 Antofagasta PLC (f) 482,612 105,200 Aviva PLC (f) 1,021,858 193,595 BAE Systems PLC (f) 716,306 165,692 BG Group PLC (f) 954,481 9,393 Big Food Group PLC (f) 19,726 256,134 BP PLC (f) 2,216,717 151,516 BPB PLC (f) 969,877 319,700 Brit Insurance Holdings PLC (f) 466,750 27,684 Britannic Group PLC (f) 166,259 158,772 BT Group PLC (f) 500,652 252,660 Centrica PLC (f) 975,750 662,193 Dimension Data Holdings PLC* (f) 429,148 64,981 EMI Group PLC (f) 294,969 132,268 Hanson PLC 1,008,597 120,782 Hilton Group PLC (f) 529,641 29,889 Investec PLC (f) 557,875 206,954 John Wood Group PLC (f) 517,230 25,410 Man Group PLC (f) 757,940 44,053 Marconi Corp., PLC* (f) 467,183 185,685 McBride PLC (f) 435,505 211,930 National Grid Transco PLC (f) 1,605,120 55,815 Punch Taverns PLC (f) 537,350 122,720 Rexam PLC (f) 987,416 120,613 Rolls-Royce Group PLC (f) 492,254 15,609,750 Rolls-Royce Group PLC, B Shares 27,682 294,463 Scottish Power PLC (f) 1,998,795 442,063 Shell Transport & Trading Co., PLC (f) 3,042,861 270,317 Somerfield PLC (f) 753,738 4,800 TI Automotive LTD, Class A* (f) (i) 0 99,792 Trinity Mirror PLC (f) 1,087,405 185,030 United Utilities PLC (f) 1,766,619 51,435 William Hill PLC (f) 486,483 -------------------------------------------------------------------- 26,274,799 -------------------------------------------------------------------- TOTAL INVESTMENTS -- 100.0% $ 93,845,696 (COST $90,604,182) --------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 28 SEMI-ANNUAL REPORT APRIL 30 2004
SHARES COLLATERAL INVESTMENTS VALUE -------------------------------------------------------------------------------------- MONEY MARKET FUNDS (c) 266,469 Merrill Lynch Premier Fund $ 266,469 300,731 AIM Short Term Investment Co. 300,731 $ 567,200 -------------------------------------------------------------------- PRINCIPAL AMOUNT (USD) ISSUER -------------------------------------------------------------------------------------- REPURCHASE AGREEMENTS (c) $ 17,000,000 Barclays Capital, 1.04%, due 05/03/04, dated 04/30/04, proceeds $17,001,473, secured by U.S. Government Agency Securities 17,000,000 -------------------------------------------------------------------- $ 17,567,200 --------------------------------------------------------------------
SUMMARY OF INVESTMENTS BY INDUSTRY, APRIL 30, 2004
INDUSTRY % OF INVESTMENT SECURITIES --------------------------------------------------------------------------------------------------------- Oil & Gas 17.5% Utilities 11.2 Banking 10.0 Insurance 7.3 Telecommunications 5.2 Construction Materials 5.1 Airlines 3.9 Automotive 3.7 Food/Beverage Products 3.3 Construction 3.0 Real Estate 2.6 Manufacturing 2.5 Steel 2.4 Financial Services 2.4 Metals/Mining 2.0 Transportation 1.9 Computer Software 1.9 Engineering Services 1.8 Aerospace 1.5 Chemicals 1.4 Entertainment/Leisure 1.4 Multi-Media 1.2 Packaging 1.1 Machinery & Engineering Equipment 1.0 Other (below 1%) 4.7 --------------------------------------------------------------------------------------------------------- Total 100.0% ---------------------------------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 29 JPMORGAN FLEMING JAPAN FUND PORTFOLIO OF INVESTMENTS AS OF APRIL 30, 2004 (Unaudited)
SHARES ISSUER VALUE -------------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- 100.0% COMMON STOCKS -- 100.0% AEROSPACE -- 0.5% 9,000 Japan Aviation Electronics Industry LTD (f) $ 110,016 AUTOMOTIVE -- 7.4% 12,000 Calsonic Kansei Corp. (f) 93,501 4,600 Denso Corp. (f) 95,715 8,900 Honda Motor Co., LTD (f) 354,684 19,000 NHK Spring Co., LTD (f) 111,557 25,600 Nissan Motor Co., LTD (f) 279,618 15,900 Toyota Motor Corp. (f) 575,299 -------------------------------------------------------------------- 1,510,374 -------------------------------------------------------------------- BANKING -- 10.6% 41 Mitsubishi Tokyo Financial Group, Inc. (f) 360,670 15,000 Mitsui Trust Holdings, Inc. (f) 103,904 91 Mizuho Financial Group, Inc. (f) 420,446 187,000 Resona Holdings, Inc.* (f) 371,419 56 Sumitomo Mitsui Financial Group, Inc. (f) (l) 417,280 15,000 The 77 Bank LTD (f) 89,677 30,000 The Sumitomo Trust & Banking Co., LTD (f) 177,112 35 UFJ Holdings, Inc. (f) 212,229 -------------------------------------------------------------------- 2,152,737 -------------------------------------------------------------------- BUSINESS SERVICES -- 1.5% 4,000 Arrk Corp. (f) 168,123 27 Fullcast Co., LTD (f) 72,863 27 Fullcast Co., LTD (W/I)* 74,133 -------------------------------------------------------------------- 315,119 -------------------------------------------------------------------- CHEMICALS -- 4.4% 17,000 Asahi Kasei Corp. (f) 91,503 25,000 Denki Kagaku Kogyo Kabushiki Kaisha (f) 82,785 18,000 Fujikura Kasei Co., LTD (f) 128,528 20,000 Mitsui Chemicals, Inc. (f) 104,457 2,400 Nitto Denko Corp. (f) 131,155 6,000 Osaka Organic Chemical Industry LTD (f) 120,545 36,000 Showa Denko K. K. (f) (l) 81,050 11,000 Sun A Kaken Co., LTD 158,489 -------------------------------------------------------------------- 898,512 -------------------------------------------------------------------- COMPUTER SOFTWARE -- 3.0% 7 Cyber Firm, Inc.* 110,371 3,600 Hitachi Software Engineering Co., LTD (f) 87,655 4,300 Nippon System Development Co., LTD (f) 91,919 1,600 NS Solutions Corp. (f) (l) 103,655 4,100 Trans Cosmos, Inc. (f) $ 116,908 26 Zentek Technology Japan, Inc.* (f) 103,912 -------------------------------------------------------------------- 614,420 -------------------------------------------------------------------- CONSTRUCTION -- 1.1% 51,000 Haseko Corp.* (f) 145,300 10,000 Mikikogyo Co., LTD 85,089 -------------------------------------------------------------------- 230,389 -------------------------------------------------------------------- CONSTRUCTION MATERIALS -- 0.9% 19,000 Sanwa Shutter Corp. (f) 95,372 22,000 Sun Wave Corp.* (f) 95,186 -------------------------------------------------------------------- 190,558 -------------------------------------------------------------------- CONSUMER PRODUCTS -- 1.3% 58,000 Janome Sewing Machine Co., LTD* (f) 87,393 2,800 Pioneer Corp. (f) (l) 78,975 11,000 Sankyo Seiki Manufacturing Co., LTD (f) 103,486 -------------------------------------------------------------------- 269,854 -------------------------------------------------------------------- CONSUMER SERVICES -- 0.5% 2,700 TIS, Inc. (f) (l) 101,289 DISTRIBUTION -- 3.1% 33,000 Marubeni Corp. (f) (l) 82,016 21,000 Mitsubishi Corp. (f) 197,818 12,000 Mitsui & Co., LTD (f) 98,202 24,600 Nissho Iwai-Nichimen Holdings Corp.* (f) 143,798 14,000 Sumitomo Corp. (f) 106,250 -------------------------------------------------------------------- 628,084 -------------------------------------------------------------------- ELECTRONICS/ELECTRICAL EQUIPMENT -- 8.1% 12,000 CMK Corp. (f) 176,281 2,200 Fanuc LTD (f) 132,417 7,200 Hosiden Corp. (f) 97,979 16,000 Kyoden Co., LTD (f) 157,609 3,400 Meiko Electronics Co. 99,823 15,000 Mitsubishi Electric Corp. (f) 74,411 34,000 NEC Corp. (f) 261,089 1,900 Nidec Corp. (f) (l) 202,659 23,000 Nissin Electric Co., LTD* (f) 77,738 23,000 Oki Electric Industry Co., LTD (f) 92,389 3,900 Omron Corp. (f) (l) 94,238 9,000 Sumitomo Electric Industries LTD (f) 82,063 20,000 Toshiba Corp. (f) 90,123 -------------------------------------------------------------------- 1,638,819 --------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 30 SEMI-ANNUAL REPORT APRIL 30 2004
SHARES ISSUER VALUE -------------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED ENGINEERING SERVICES -- 1.0% 27,000 Kajima Corp. (f) $ 93,590 13,000 Yumeshin Co., LTD 106,611 -------------------------------------------------------------------- 200,201 -------------------------------------------------------------------- ENTERTAINMENT/LEISURE -- 1.1% 6 Fields Corp. (f) 93,389 2,000 Mars Engineering Corp. (f) 122,364 -------------------------------------------------------------------- 215,753 -------------------------------------------------------------------- FINANCIAL SERVICES -- 11.6% 1,430 Acom Co., LTD (f) 100,194 1,300 Aeon Credit Service Co., LTD (f) (l) 81,896 1,250 Aiful Corp. (f) 124,793 21,000 Daiwa Securities Group, Inc. (f) 154,867 21,000 Ichiyoshi Securities Co., LTD (f) 155,206 1,200 Jafco Co., LTD (f) 95,710 36,000 Japan Asia Investment Co., LTD (f) 179,353 27,300 Lopro Corp. (f) 164,871 13,100 Matsui Securities Co., LTD (f) 420,533 9,000 Mitsubishi Securities Co., LTD (f) (l) 113,962 71,000 Nikko Cordial Corp. (f) 395,069 11,900 Nissin Co., LTD (f) 43,212 1,010 Shohkoh Fund & Co., LTD (f) (l) 204,633 38,000 Tokai Tokyo Securities Co., LTD (f) 121,798 -------------------------------------------------------------------- 2,356,097 -------------------------------------------------------------------- FOOD/BEVERAGE PRODUCTS -- 0.4% 25,000 Shinobu Food Products Co., LTD (f) 84,721 HOTELS/OTHER LODGING -- 0.5% 5,000 Kyoritsu Maintenance Co., LTD (f) 107,453 INSURANCE -- 0.5% 2,550 T&D Holdings, Inc. 101,672 INTERNET SERVICES/SOFTWARE -- 4.6% 88 BB Net Corp.* (f) 288,348 27 eAccess LTD* 137,502 39 en-japan, Inc. (f) 134,517 22 G-mode Co., LTD (f) 89,604 20 IXI Co., LTD (W/I)* 79,380 10 IXI Co., LTD* 40,234 1,617 Livedoor Co., LTD 95,208 1,800 Softbank Corp.* (f) (l) 79,601 -------------------------------------------------------------------- 944,394 -------------------------------------------------------------------- MACHINERY & ENGINEERING EQUIPMENT -- 2.7% 15,000 Amada Co., LTD (f) $ 83,210 31,000 Mitsubishi Heavy Industries LTD (f) 84,403 82,000 Mitsui Engineering & Shipbuilding Co., LTD (f) (l) 144,569 15,000 Nabtesco Corp. 89,303 3,000 Takeuchi Manufacturing Co., LTD (f) 147,006 -------------------------------------------------------------------- 548,491 -------------------------------------------------------------------- MANUFACTURING -- 3.6% 18,000 Advanex, Inc. (f) 103,007 1,400 Hoya Corp. (f) 149,709 4,200 Nihon Micro Coating Co., LTD (f) 94,058 7,000 Nippon Filcon Co., LTD (f) 123,364 3,000 Tamron Co., LTD (f) 150,159 21,000 Tokai Konetsu Kogyo Co., LTD 115,890 -------------------------------------------------------------------- 736,187 -------------------------------------------------------------------- METALS/MINING -- 3.5% 61,000 Mitsubishi Materials Corp. (f) (l) 118,831 59,000 Nippon Light Metal Co., LTD (f) 144,653 24,000 Pacific Metals Co., LTD* (f) 100,876 68,000 Sumitomo Light Metal Industries LTD (f) 123,177 22,000 Sumitomo Metal Mining Co., LTD (f) 131,967 8,000 Toho Titanium Co., LTD (f) 102,174 -------------------------------------------------------------------- 721,678 -------------------------------------------------------------------- MULTI-MEDIA -- 0.2% 9 Fuji Television Network, Inc. (f) 23,488 9 Fuji Television Network, Inc. (W/I)* 22,983 -------------------------------------------------------------------- 46,471 -------------------------------------------------------------------- OFFICE/BUSINESS EQUIPMENT -- 1.3% 5,000 Canon, Inc. (f) 259,295 OIL & GAS -- 0.6% 31,500 Nippon Mining Holdings, Inc. (f) 130,645 PHARMACEUTICALS -- 0.7% 2,700 Alfresa Holdings Corp. 146,799 PRINTING & PUBLISHING -- 0.6% 17,000 Mitsumura Printing Co., LTD (f) 112,966
SEE NOTES TO FINANCIAL STATEMENTS. 31
SHARES ISSUER VALUE -------------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED REAL ESTATE -- 6.7% 10 Arealink Co., LTD (f) $ 133,647 9,000 Coyo Corporation Co. 134,566 26,000 Daiwa Kosho Lease Co., LTD (f) (l) 118,845 3,200 Diamond City Co., LTD 121,209 3,400 First Juken Co., LTD 90,580 3,400 First Juken Co., LTD (W/I)* 81,646 12,000 Fuji Corp., LTD (f) 104,999 11,000 Mitsui Fudosan Co., LTD (f) 119,589 4,320 Nihon Eslead Corp. (f) 93,423 26 Tact Home Co., LTD 256,807 200 Yasuragi Co., LTD* 120,520 -------------------------------------------------------------------- 1,375,831 -------------------------------------------------------------------- RETAILING -- 7.6% 12,000 Aoki Super Co., LTD 92,429 6,700 Arc Land Sakamoto Co., LTD 100,055 1,300 Don Quijote Co., LTD (f) 92,330 1,400 Fast Retailing Co., LTD (f) 107,786 20 Geo Co., LTD (f) 72,984 7,700 Kahma Co., LTD 101,941 5,000 Mac House Co., LTD 135,019 18,000 Mutow Co., LTD (f) 98,914 3,300 Nafco Co., LTD 106,755 2,400 Pal Co., LTD 125,921 6,500 RIO Chain Co., LTD 69,503 2,400 Ryohin Keikaku Co., LTD (f) 101,473 22,000 The Daiei, Inc.* (f) 95,892 12,100 VT Holdings Co., LTD 246,704 -------------------------------------------------------------------- 1,547,706 -------------------------------------------------------------------- SEMI-CONDUCTORS -- 0.6% 11,000 Nihon Inter Electronics Corp. (f) 116,022 STEEL -- 3.4% 36,000 Hokuetsu Metal Co., LTD 112,546 4,100 JFE Holdings, Inc. (f) 90,447 70,000 Nippon Steel Corp. (f) 144,729 34,000 Tokyo Kohtetsu Co., LTD* (f) 110,426 8,100 Tokyo Steel Manufacturing Co., LTD (f) (l) 134,264 24,000 Tokyo Tekko Co., LTD* (f) 103,522 -------------------------------------------------------------------- 695,934 -------------------------------------------------------------------- TELECOMMUNICATIONS -- 1.5% 2,300 Hikari Tsushin, Inc. (f) $ 100,654 19 Nippon Telegraph & Telephone Corp. (f) 98,960 29,000 Tamura Taiko Holdings, Inc.* 102,487 -------------------------------------------------------------------- 302,101 -------------------------------------------------------------------- TOYS & GAMES -- 0.4% 9,000 People Co., LTD 89,710 TRANSPORTATION -- 3.0% 800 Hamakyorex Co., LTD (f) 25,174 6,200 Hutech Norin Co., LTD (f) 107,735 21,000 Kawasaki Kisen Kaisha LTD (f) (l) 88,995 26,000 Keihan Electric Railway Co., LTD (f) 79,314 17,000 Meitetsu Transport Co., LTD 50,836 40,000 Mitsui O.S.K. Lines LTD (f) 173,109 31,000 Nankai Electric Railway Co., LTD 80,341 -------------------------------------------------------------------- 605,504 -------------------------------------------------------------------- WHOLESALING -- 1.5% 41,000 Osaka Uoichiba Co., LTD 96,969 51 Quin Land Co., LTD (f) 172,651 3,000 Takihyo Co., LTD 37,923 -------------------------------------------------------------------- 307,543 -------------------------------------------------------------------- Total Common Stocks 20,413,345 (Cost $19,279,110) -------------------------------------------------------------------- WARRANTS -- 0.0% ^ FINANCIAL SERVICES -- 0.0% ^ 180 KBC Financial Products International (TOPIX Index), expires 9/27/04 8,280 (Cost $16,200) TOTAL INVESTMENTS -- 100.0% $ 20,421,625 (COST $19,295,310) -------------------------------------------------------------------- SHARES COLLATERAL INVESTMENTS VALUE -------------------------------------------------------------------------------------- MONEY MARKET FUNDS (c) 564,033 Merrill Lynch Premier Fund $ 564,033 568,231 AIM Short Term Investment Co. 568,231 -------------------------------------------------------------------- $ 1,132,264 --------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 32 JPMORGAN FLEMING INTERNATIONAL GROWTH FUND PORTFOLIO OF INVESTMENTS AS OF APRIL 30, 2004 (Unaudited)
SHARES ISSUER VALUE -------------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- 100.0% COMMON STOCKS -- 98.4% AUSTRALIA -- 1.3% 6,330 News Corp., LTD (f) $ 57,704 BELGIUM -- 0.9% 370 Colruyt SA (f) 39,708 BRAZIL -- 0.8% 800 Companhia Vale Do Rio Doce, ADR 36,400 CHINA -- 0.5% 38,000 China Life Insurance Co., LTD* (f) 20,706 FINLAND -- 1.4% 4,170 Nokia OYJ (f) 58,279 FRANCE -- 6.6% 730 BNP Paribas (f) 43,460 880 Compagnie de Saint-Gobain (f) 44,029 1,620 Dassault Systemes SA (f) 65,319 720 Total SA (f) 132,432 -------------------------------------------------------------------- 285,240 -------------------------------------------------------------------- GERMANY -- 8.2% 1,250 Altana AG (f) 79,107 1,290 Bayerische Motoren Werke AG (f) 55,191 1,000 Deutsche Boerse AG (f) 54,696 380 SAP AG (f) 56,541 2,000 Schering AG (f) 104,664 -------------------------------------------------------------------- 350,199 -------------------------------------------------------------------- HONG KONG -- 1.0% 28,000 Li & Fung LTD (f) 43,171 IRELAND -- 1.3% 4,700 Bank of Ireland (f) 56,714 ITALY -- 1.0% 2,220 ENI-Ente Nazionale Idrocarburi SPA (f) 45,067 JAPAN -- 21.8% 2,000 Canon, Inc. (f) 103,704 2,700 Chugai Pharmaceutical Co., LTD (f) 40,762 2,000 Daikin Industries LTD (f) $ 46,273 7 eAccess LTD* (f) 35,644 1,100 Fanuc LTD (f) 66,200 2,000 Fujisawa Pharmaceutical Co., LTD (f) 46,178 1,000 Honda Motor Co., LTD (f) 39,847 600 Hoya Corp. (f) 64,152 2,000 Kao Corp. (f) 47,456 3 Mitsubishi Tokyo Financial Group, Inc. (f) 26,387 15,000 Nikko Cordial Corp. (f) 83,454 1,500 Secom Co., LTD (f) 63,405 1,000 Seiko Epson Corp. (f) 38,675 4,000 Sharp Corp. (f) 71,271 1,600 Shin-Etsu Chemical Co., LTD (f) 63,621 500 SMC Corp. (f) 56,447 610 Takefuji Corp. (f) 38,479 -------------------------------------------------------------------- 931,955 -------------------------------------------------------------------- MEXICO -- 0.9% 900 Fomento Economico Mexicano SA de CV, ADR 39,348 RUSSIA -- 0.8% 806 YUKOS, ADR 36,109 SOUTH KOREA -- 3.9% 420 Samsung Electronics Co., LTD, GDR 98,805 30 Samsung Electronics Co., LTD, GDR, # 7,121 3,100 SK Telecom Co., LTD, ADR 62,620 -------------------------------------------------------------------- 168,546 -------------------------------------------------------------------- SPAIN -- 1.7% 2,650 Altadis SA (f) 74,563 SWITZERLAND -- 12.7% 980 Adecco SA* (f) 43,124 362 Basilea Pharmaceutica* (f) 23,710 1,370 Credit Suisse Group (f) 47,903 360 Nestle SA (f) 90,721 1,300 Novartis AG (f) 57,975 1,555 Roche Holding AG (f) 162,315 1,650 UBS AG (f) 116,722 -------------------------------------------------------------------- 542,470 --------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 33
SHARES ISSUER VALUE -------------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED TAIWAN -- 0.7% 3,332 Taiwan Semiconductor Manufacturing Co., LTD, ADR* $ 31,754 THE NETHERLANDS -- 5.9% 1,900 ABN AMRO Holding NV (f) 40,850 3,250 Koninklijke Philips Electronics NV (f) 87,247 6,500 Reed Elsevier NV (f) 90,880 2,170 Wolters Kluwer NV (f) 36,293 -------------------------------------------------------------------- 255,270 -------------------------------------------------------------------- UNITED KINGDOM -- 27.0% 4,020 Barclays PLC (f) 36,080 11,490 BG Group PLC (f) 66,185 5,800 British Sky Broadcasting PLC (f) 68,100 15,500 Centrica PLC (f) 59,856 14,810 Compass Group PLC (f) 92,780 7,970 GlaxoSmithKline PLC (f) 164,253 3,600 HSBC Holdings PLC (Hong Kong Registered Shares) (f) 52,130 6,000 Intercontinental Hotels Group PLC 56,033 12,787 Kingfisher PLC (f) 63,938 10,800 Morrison (WM.) Supermarkets (f) 45,770 2,600 Reckitt Benckiser PLC (f) 67,428 3,540 Royal Bank of Scotland Group PLC (f) 105,738 2,500 Standard Chartered PLC (f) 38,102 11,800 Tesco PLC (f) 51,833 79,000 Vodafone Group PLC (f) 191,061 -------------------------------------------------------------------- 1,159,287 -------------------------------------------------------------------- Total Common Stocks 4,232,490 (Cost $3,720,752) -------------------------------------------------------------------- PREFERRED STOCK -- 1.6% GERMANY -- 1.6% 113 Porsche AG (f) $ 69,501 (Cost $48,049) -------------------------------------------------------------------- TOTAL INVESTMENTS -- 100.0% $ 4,301,991 (COST $3,768,801) --------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 34 SEMI-ANNUAL REPORT APRIL 30 2004 SUMMARY OF INVESTMENTS BY INDUSTRY, APRIL 30, 2004
INDUSTRY % OF INVESTMENT SECURITIES --------------------------------------------------------------------------------------------------------- Pharmaceuticals 15.2% Banking 13.1 Electronics/Electrical Equipment 8.9 Food/Beverage Products 7.3 Telecommunications 7.3 Oil & Gas 6.5 Consumer Products 5.4 Financial Services 4.1 Automotive 3.8 Semi-Conductors 3.2 Computer Software 2.8 Retailing 2.6 Office/Business Equipment 2.4 Multi-Media 2.2 Printing & Publishing 2.1 Construction Materials 2.1 Broadcasting/Cable 1.6 Health Care/Health Care Services 1.5 Chemicals 1.5 Utilities 1.4 Hotels/Other Lodging 1.3 Business Services 1.0 Other (below 1%) 2.7 --------------------------------------------------------------------------------------------------------- Total 100.0% ---------------------------------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 35 JPMORGAN FLEMING INTERNATIONAL VALUE FUND PORTFOLIO OF INVESTMENTS AS OF APRIL 30, 2004 (Unaudited)
SHARES ISSUER VALUE -------------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- 96.9% COMMON STOCKS -- 96.9% BRAZIL -- 2.0% 19,832 Cia Energetica de Minas Gerais, ADR + $ 305,611 22,929 Petroleo Brasileiro SA (Preferred), ADR + 572,079 -------------------------------------------------------------------- 877,690 -------------------------------------------------------------------- FRANCE -- 13.4% 50,630 AXA (f) + 1,050,840 23,830 BNP Paribas (f) + 1,419,765 17,786 Peugeot SA (f) + 950,532 6,641 Total SA (f) + 1,222,412 42,140 Veolia Environnement (f) + 1,116,398 -------------------------------------------------------------------- 5,759,947 -------------------------------------------------------------------- GERMANY -- 2.0% 32,762 Bayerische Hypo-und Vereinsbank AG* (f) + 561,827 5,894 Schering AG (f) (l) + 307,622 -------------------------------------------------------------------- 869,449 -------------------------------------------------------------------- HONG KONG -- 1.7% 269,000 Wharf Holdings LTD (f) + 733,408 INDIA -- 1.4% 22,942 Reliance Industries LTD, GDR, # + 590,757 INDONESIA -- 1.0% 922,500 Indonesian Satellite Corp., TBK PT (f) + 416,828 IRELAND -- 1.8% 52,638 Allied Irish Banks PLC (f) + 757,250 ITALY -- 4.4% 28,084 Buzzi Unicem SPA (f) (l) + 371,518 73,920 ENI-Ente Nazionale Idrocarburi SPA (f) + 1,501,752 -------------------------------------------------------------------- 1,873,270 -------------------------------------------------------------------- JAPAN -- 19.0% 4,450 Aiful Corp. (f) + $ 444,262 47,100 Asahi Breweries LTD (f) + 526,049 123,000 Daiwa Securities Group, Inc. (f) + 907,081 14,200 Honda Motor Co., LTD (f) + 565,900 169,000 Kubota Corp. (f) + 724,204 109,000 Mitsubishi Electric Corp. (f) + 540,723 140,000 Mitsui Chemicals, Inc. (f) + 731,198 263 Mizuho Financial Group, Inc. (f) + 1,215,133 195 Nippon Telegraph & Telephone Corp. (f) + 1,015,643 28,300 Sony Corp. (f) + 1,082,392 29,700 Suzuki Motor Corp. (f) + 464,798 -------------------------------------------------------------------- 8,217,383 -------------------------------------------------------------------- LUXEMBOURG -- 1.6% 41,299 Arcelor (f) + 682,227 RUSSIA -- 1.0% 3,950 LUKOIL, ADR + 430,234 SINGAPORE -- 2.8% 72,000 DBS Group Holdings LTD (f) + 601,417 433,000 Singapore Telecommunications LTD (f) + 592,185 -------------------------------------------------------------------- 1,193,602 -------------------------------------------------------------------- SOUTH KOREA -- 1.3% 2,427 Samsung Electronics Co., LTD, GDR, # + 576,060 SPAIN -- 2.5% 54,576 Iberdrola SA (f) (l) + 1,072,289 SWEDEN -- 1.4% 17,618 SKF AB, Ser. B + 604,221 SWITZERLAND -- 8.7% 32,319 Compagnie Financiere Richemont AG, Class A (f) + 825,023 33,493 Credit Suisse Group (f) + 1,172,145 11,223 Holcim LTD (f) (l) + 576,434 7,421 Zurich Financial Services AG (f) + 1,165,062 -------------------------------------------------------------------- 3,738,664 --------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 36 SEMI-ANNUAL REPORT APRIL 30 2004
SHARES ISSUER VALUE -------------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED THE NETHERLANDS -- 5.1% 10,617 Akzo Nobel NV (f) (l) + $ 385,534 43,346 ING Groep NV (f) + 918,880 34,350 Koninklijke Wessanen NV (f) (l) + 480,097 27,300 Vedior NV (f) + 393,103 -------------------------------------------------------------------- 2,177,614 -------------------------------------------------------------------- UNITED KINGDOM -- 25.8% 94,260 Aviva PLC (f) + 915,592 109,486 BAE Systems PLC (f) + 405,101 118,068 Barclays PLC (f) + 1,059,729 204,199 BP PLC (f) + 1,767,244 18,877 GlaxoSmithKline PLC (f) + 389,054 135,393 HSBC Holdings PLC (f) + 1,930,081 28,088 Imperial Tobacco Group PLC (f) + 619,842 46,827 Intercontinental Hotels Group PLC (f) + 437,337 72,400 Rank Group PLC (f) + 408,011 49,839 Royal Bank of Scotland Group PLC (f) + 1,488,759 93,404 Scottish Power PLC (f) + 634,020 252,125 Tesco PLC (f) (l) + 1,107,548 170,600 TI Automotive LTD, Class A* (i) (f) + 0 -------------------------------------------------------------------- 11,162,318 -------------------------------------------------------------------- Total Long-Term Investments 41,733,211 (Cost $34,340,424) -------------------------------------------------------------------- PRINCIPAL AMOUNT (USD) -------------------------------------------------------------------------------------- SHORT-TERM INVESTMENTS -- 3.1% U.S. TREASURY SECURITIES -- 0.4% U.S. Treasury Bills, $ 100,000 0.90%, 7/29/04 + @ 99,765 60,000 0.92%, 7/29/04 59,859 -------------------------------------------------------------------- Total U.S. Treasury Securities 159,624 (Cost $159,633) -------------------------------------------------------------------- SHARES ISSUER VALUE -------------------------------------------------------------------------------------- MONEY MARKET FUND -- 2.7% 1,150,641 JPMorgan Prime Money Market Fund (a) $ 1,150,641 (Cost $1,150,641) Total Short-Term Investments 1,310,265 (Cost $1,310,274) -------------------------------------------------------------------- TOTAL INVESTMENTS -- 100.0% $ 43,043,476 (COST $35,650,698) -------------------------------------------------------------------- SHARES COLLATERAL INVESTMENTS VALUE -------------------------------------------------------------------------------------- MONEY MARKET FUND (c) 69,295 Merrill Lynch Premier Fund $ 69,295 PRINCIPAL AMOUNT (USD) -------------------------------------------------------------------------------------- REPURCHASE AGREEMENT (c) $ 2,904,205 Credit Suisse First Boston, 1.04%, due 05/03/04, dated 04/30/04, proceeds $2,904,457 secured by U.S. Government Agency Securities 2,904,205 -------------------------------------------------------------------- $ 2,973,500 --------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 37 SUMMARY OF INVESTMENTS BY INDUSTRY, APRIL 30, 2004
INDUSTRY % OF INVESTMENT SECURITIES --------------------------------------------------------------------------------------------------------- Banking 20.9% Oil & Gas 12.8 Insurance 9.4 Utilities 7.3 Financial Services 6.0 Food/Beverage Products 4.9 Telecommunications 4.7 Automotive 4.6 Chemicals 4.0 Electronics/Electrical Equipment 3.8 Money Market Fund 2.7 Construction Materials 2.2 Retailing 1.9 Diversified 1.7 Machinery & Engineering Equipment 1.7 Pharmaceuticals 1.6 Steel 1.6 Consumer Products 1.4 Industrial Components 1.4 Semi-Conductors 1.3 Hotels/Other Lodging 1.0 Other (below 1%) 3.1 --------------------------------------------------------------------------------------------------------- Total 100.0% ---------------------------------------------------------------------------------------------------------
FUTURES CONTRACTS
NOTIONAL UNREALIZED NUMBER OF VALUE AT APPRECIATION/ CONTRACTS DESCRIPTION EXPIRATION DATE 4/30/04 (USD) (DEPRECIATION) (USD) ---------------------------------------------------------------------------------------------------------------------- LONG FUTURES OUTSTANDING 31 DJ Euro Stoxx June, 2004 $ 1,021,191 $ 11,795 6 FTSE 100 Index June, 2004 478,219 11,705 3 TOPIX Index June, 2004 321,327 15,648
SEE NOTES TO FINANCIAL STATEMENTS. 38 FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS
NET UNREALIZED SETTLEMENT SETTLEMENT VALUE AT APPRECIATION CONTRACTS TO BUY DATE VALUE (USD) 4/30/04 (USD) (DEPRECIATION) (USD) ------------------------------------------------------------------------------------------------------------------ 3,053,529 AUD 5/25/04 $ 2,302,820 $ 2,199,488 $ (103,332) 249,588 AUD for 1,449,080 HKD 5/25/04 185,873** 179,781** (6,092) 758,527 CHF 5/25/04 599,151 585,297 (13,854) 14,114,276 DKK 5/25/04 2,390,710 2,272,124 (118,586) 1,610,000 EUR 5/25/04 1,940,488 1,928,861 (11,627) 1,210,000 EUR for 160,600,124 JPY 5/25/04 1,456,272** 1,449,641** (6,631) 440,000 EUR for 297,614 GBP 5/25/04 526,711** 527,142** 431 1,997,937 GBP 5/25/04 3,686,615 3,535,909 (150,706) 1,449,080 HKD 5/25/04 186,841 185,873 (968) 523,597,476 JPY 5/25/04 4,840,306 4,747,819 (92,487) 24,046,970 JPY for 190,000 EUR 5/25/04 227,630** 218,050** (9,580) 1,326,085 NOK 5/25/04 189,877 193,211 3,334 5,965,476 SEK 5/25/04 792,883 780,392 (12,491) 419,825 SGD 5/25/04 250,000 246,806 (3,194) ------------------------------------------------------------------------------------------------------------------ $ 19,576,177 $ 19,050,394 $ (525,783) ------------------------------------------------------------------------------------------------------------------ NET UNREALIZED SETTLEMENT SETTLEMENT VALUE AT APPRECIATION CONTRACTS TO SELL DATE VALUE (USD) 4/30/04 (USD) (DEPRECIATION) (USD) ------------------------------------------------------------------------------------------------------------------ 418,640 AUD 5/25/04 $ 308,048 $ 301,552 $ 6,496 2,013,219 CHF 5/25/04 1,609,824 1,553,446 56,378 7,022,650 EUR 5/25/04 8,624,634 8,413,486 211,148 1,847,417 GBP 5/25/04 3,313,865 3,269,521 44,344 197,212,333 JPY 5/25/04 1,792,988 1,788,260 4,728 4,283,041 SEK 5/25/04 588,265 560,299 27,966 1,983,354 SGD 5/25/04 1,176,995 1,165,972 11,023 ------------------------------------------------------------------------------------------------------------------ $ 17,414,619 $ 17,052,536 $ 362,083 ------------------------------------------------------------------------------------------------------------------
** For cross-currency exchange contracts, the settlement value is the market value at 4/30/04 of the currency being sold, and the value at 4/30/04 is the market value at 4/30/04 of the currency being bought. SEE NOTES TO FINANCIAL STATEMENTS. 39 JPMORGAN FLEMING INTERNATIONAL OPPORTUNITIES FUND PORTFOLIO OF INVESTMENTS AS OF APRIL 30, 2004 (Unaudited)
SHARES ISSUER VALUE -------------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- 99.5% COMMON STOCKS -- 99.5% AUSTRALIA -- 1.6% 331,342 News Corp., LTD + $ 2,790,637 719,595 Southern Pacific Petroleum NL* (i) (f) + 0 -------------------------------------------------------------------- 2,790,637 -------------------------------------------------------------------- BRAZIL -- 1.2% 84,705 Petroleo Brasileiro SA (Preferred), ADR + 2,113,390 FINLAND -- 0.7% 88,714 Nokia OYJ (f) + 1,240,778 FRANCE -- 12.0% 19,240 Accor SA (f) + 805,000 80,966 BNP Paribas (f) + 4,823,865 23,251 Cap Gemini SA (f) + 812,999 57,895 Peugeot SA (f) + 3,094,068 29,650 Societe Television Francaise 1 (f) (l) + 909,204 10,293 Technip SA* (f) (l) + 1,413,636 106,793 Thomson SA (f) + 2,041,528 25,414 Total SA (f) + 4,677,966 86,591 Veolia Environnement (f) + 2,294,020 -------------------------------------------------------------------- 20,872,286 -------------------------------------------------------------------- GERMANY -- 4.1% 154,381 Bayerische Hypo-und Vereinsbank AG* (f) + 2,647,441 36,449 Schering AG (f) (l) + 1,902,361 127,038 TUI AG (f) (l) + 2,644,551 -------------------------------------------------------------------- 7,194,353 -------------------------------------------------------------------- GREECE -- 0.2% 14,400 Public Power Corp. (f) + 364,196 HONG KONG -- 4.0% 1,205,000 Cathay Pacific Airways LTD (f) + 2,163,193 420,000 Henderson Land Development Co., LTD (f) + 1,868,204 1,065,000 Wharf Holdings LTD (f) + 2,903,642 -------------------------------------------------------------------- 6,935,039 -------------------------------------------------------------------- INDIA -- 2.4% 16,615 Infosys Technologies LTD, ADR + $ 1,345,317 110,327 Reliance Industries LTD, GDR, # + 2,840,921 -------------------------------------------------------------------- 4,186,238 -------------------------------------------------------------------- INDONESIA -- 0.3% 25,660 Telekomunikasi Indonesia TBK PT, ADR + 464,446 IRELAND -- 0.7% 84,266 Allied Irish Banks PLC (f) + 1,212,250 ITALY -- 0.7% 60,076 ENI-Ente Nazionale Idrocarburi SPA (f) + 1,220,498 JAPAN -- 18.8% 23,200 Aiful Corp. (f) + 2,316,154 162,600 Asahi Breweries LTD (f) + 1,816,041 25,000 Canon, Inc. (f) + 1,296,475 482,000 Daiwa Securities Group, Inc. (f) + 3,554,577 42,400 Fujisawa Pharmaceutical Co., LTD (f) + 979,107 566,000 Fujitsu LTD (f) + 3,858,132 21,000 Ito-Yokado Co., LTD (f) + 859,668 758,000 Kubota Corp. (f) + 3,248,205 30,800 Kyocera Corp. (f) + 2,526,537 162,000 Mitsui Chemicals, Inc. (f) + 846,101 19,100 Nintendo Co., LTD (f) (I) + 1,780,086 551 Nippon Telegraph & Telephone Corp. (f) + 2,869,844 50,000 Ricoh Co., LTD (f) + 982,546 7,800 Rohm Co., LTD (f) + 955,950 73,900 Sony Corp. (f) + 2,826,456 68,200 Suzuki Motor Corp. (f) + 1,067,313 199,000 Toshiba Corp. (f) + 896,721 -------------------------------------------------------------------- 32,679,913 -------------------------------------------------------------------- RUSSIA -- 1.0% 38,150 YUKOS, ADR + 1,709,120
SEE NOTES TO FINANCIAL STATEMENTS. 40 SEMI-ANNUAL REPORT APRIL 30 2004 PORTFOLIO OF INVESTMENTS AS OF APRIL 30, 2004 (Unaudited)
SHARES ISSUER VALUE -------------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED SINGAPORE -- 2.2% 105,000 City Developments LTD (f) + $ 370,884 192,000 DBS Group Holdings LTD (f) + 1,603,780 1,358,000 Singapore Telecommunications LTD (f) + 1,857,245 -------------------------------------------------------------------- 3,831,909 -------------------------------------------------------------------- SOUTH KOREA -- 3.3% 87,672 POSCO, ADR + 2,695,914 4,940 Samsung Electronics Co., LTD (f) + 2,315,063 6,320 Samsung SDI Co., LTD (f) + 797,807 -------------------------------------------------------------------- 5,808,784 -------------------------------------------------------------------- SPAIN -- 1.5% 21,997 Acerinox SA (f) + 1,130,313 78,426 Iberdrola SA (f) + 1,540,885 -------------------------------------------------------------------- 2,671,198 -------------------------------------------------------------------- SWEDEN -- 3.2% 62,206 Atlas Copco AB, Class A (f) (l) + 2,165,928 98,652 SKF AB, Ser. B (l) + 3,383,336 -------------------------------------------------------------------- 5,549,264 -------------------------------------------------------------------- SWITZERLAND -- 10.8% 51,707 Adecco SA,* (f) (l) + 2,277,325 10,873 Ciba Specialty Chemicals AG (f) + 753,580 127,767 Compagnie Financiere Richemont AG, Class A (f) + 3,261,570 20,262 Lonza Group AG, (f) (l) + 976,670 31,815 Roche Holding AG, (f) (l) + 3,323,867 1,554 Synthes-Stratec, Inc., (f) + 1,686,512 26,796 UBS AG, (f) (l) + 1,897,270 29,659 Zurich Financial Services AG, (f) + 4,656,317 -------------------------------------------------------------------- 18,833,111 -------------------------------------------------------------------- TAIWAN -- 1.7% 50,457 Hon Hai Precision Industry Co., GDR + 463,700 473,861 United Microelectronics Corp., ADR* + 2,464,077 -------------------------------------------------------------------- 2,927,777 -------------------------------------------------------------------- THAILAND -- 0.4% 289,100 Advanced Info Service PCL (f) + $ 704,113 THE NETHERLANDS -- 5.0% 212,649 Aegon NV (f) (l) + 2,750,241 23,315 Akzo Nobel NV (f) (l) + 846,635 53,476 ING Groep NV (f) + 1,133,624 429,807 Koninklijke KPN NV (f) (I) + 3,080,343 34,241 Koninklijke Philips Electronics NV (f) + 919,898 -------------------------------------------------------------------- 8,730,741 -------------------------------------------------------------------- UNITED KINGDOM -- 23.7% 73,612 AstraZeneca PLC (f) + 3,456,785 82,359 Barclays PLC (f) + 739,220 135,801 BBA Group PLC (f) + 610,541 45,522 British American Tobacco PLC (f) + 690,877 242,338 Centrica PLC (f) + 935,887 261,617 Diageo PLC (f) + 3,499,252 312,149 Dixons Group PLC (f) + 855,375 117,247 Hays PLC (f) + 244,480 332,121 HSBC Holdings PLC (f) + 4,734,515 47,215 Imperial Tobacco Group PLC (f) + 1,041,933 62,968 Man Group PLC (f) + 1,878,236 290,179 Prudential PLC (f) + 2,266,235 56,389 Reckitt Benckiser PLC (f) + 1,462,476 235,239 Royal Bank of Scotland Group PLC (f) + 7,026,906 138,753 Scottish Power PLC (f) + 941,846 650,324 Tesco PLC (f) (l) + 2,856,780 97,629 Unilever PLC (f) + 918,071 2,713,316 Vodafone Group PLC (f) + 6,562,520 42,230 WPP Group PLC (f) + 414,523 -------------------------------------------------------------------- 41,136,458 -------------------------------------------------------------------- Total Common Stocks 173,176,499 (Cost $141,698,708) -------------------------------------------------------------------- SHORT-TERM INVESTMENT -- 0.5% MONEY MARKET FUND -- 0.5% 800,294 JPMorgan Prime Money Market Fund (a) 800,294 (Cost $800,294) -------------------------------------------------------------------- TOTAL INVESTMENTS -- 100.0% $ 173,976,793 (COST $142,499,002) --------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 41
SHARES COLLATERAL INVESTMENTS VALUE -------------------------------------------------------------------------------------- MONEY MARKET FUNDS (c) 723,643 Merrill Lynch Premier Fund $ 723,643 504,305 Aim Short Term Investment Co. 504,305 -------------------------------------------------------------------- $ 1,227,948 -------------------------------------------------------------------- PRINCIPAL AMOUNT (USD) -------------------------------------------------------------------------------------- REPURCHASE AGREEMENT (c) $ 18,000,000 Credit Suisse First Boston, 1.04%, due 05/03/04, dated 04/30/04, proceeds $18,001,563, secured by U.S. Government Agency Securities $ 18,000,000 -------------------------------------------------------------------- $ 19,227,948 --------------------------------------------------------------------
SUMMARY OF INVESTMENTS BY INDUSTRY, APRIL 30, 2004
INDUSTRY % OF INVESTMENT SECURITIES ------------------------------------------------------------------------------------------------------------------ Banking 14.2% Telecommunications 9.6 Electronics/Electrical Equipment 7.6 Insurance 6.2 Oil & Gas 5.6 Pharmaceuticals 5.6 Food/Beverage Products 5.2 Financial Services 4.5 Chemicals 3.6 Utilities 3.5 Machinery & Engineering Equipment 3.1 Computers/Computer Hardware 3.0 Retailing 2.9 Automotive 2.4 Steel 2.2 Multi-Media 2.1 Industrial Components 1.9 Consumer Products 1.8 Diversified 1.7 Entertainment/Leisure 1.5 Business Services 1.4 Semi-Conductors 1.4 Office/Business Equipment 1.3 Real Estate 1.3 Airlines 1.2 Toys & Games 1.0 Health Care/Health Care Services 1.0 Other (below 1%) 3.2 ------------------------------------------------------------------------------------------------------------------ Total 100.0% ------------------------------------------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 42 FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS
NET UNREALIZED SETTLEMENT SETTLEMENT VALUE AT APPRECIATION CONTRACTS TO BUY DATE VALUE (USD) 4/30/04 (USD) (DEPRECIATION) (USD) --------------------------------------------------------------------------------------------------------------- 9,921,825 AUD 5/6/04 $ 7,449,427 $ 7,163,756 $ (285,671) 7,353,589 AUD 8/12/04 5,243,183 5,246,622 3,440 10,920,081 CHF 5/6/04 8,428,028 8,422,479 (5,549) 1,200,000 EUR for 11,638,080 HKD 5/6/04 1,492,167** 1,438,420** (53,747) 2,960,000 EUR for 389,465,040 JPY 5/6/04 3,529,425** 3,548,103** 18,677 1,540,000 EUR for 1,040,447 GBP 5/6/04 1,844,723** 1,845,972** 1,249 11,516,328 EUR 5/6/04 14,164,644 13,804,431 (360,213) 5,189,328 EUR 8/12/04 6,178,385 6,205,139 26,755 230,000 GBP 5/5/04 409,055 407,831 (1,224) 7,752,026 GBP 5/6/04 14,106,521 13,744,420 (362,101) 2,382,269 GBP 8/12/04 4,201,370 4,186,666 (14,704) 54,702,678 HKD 5/6/04 7,014,121 7,013,662 (459) 120,112,680 JPY for 1,390,000 CHF 5/6/04 1,072,084** 1,088,490** 16,406 153,081,940 JPY for 1,210,000 EUR 5/6/04 1,450,407** 1,387,265** (63,142) 1,220,466,680 JPY 5/6/04 11,340,000 11,060,161 (279,839) 749,748,699 JPY 8/12/04 6,883,222 6,817,843 (65,380) 22,609,005 SEK 5/6/04 2,971,422 2,959,331 (12,091) 6,864,554 SGD 5/6/04 4,028,430 4,034,626 6,196 --------------------------------------------------------------------------------------------------------------- $ 101,806,614 $ 100,375,217 $ (1,431,397) --------------------------------------------------------------------------------------------------------------- NET UNREALIZED SETTLEMENT SETTLEMENT VALUE AT APPRECIATION CONTRACTS TO SELL DATE VALUE (USD) 4/30/04 (USD) (DEPRECIATION) (USD) --------------------------------------------------------------------------------------------------------------- 9,921,825 AUD 5/6/04 $ 7,236,279 $ 7,163,756 $ 72,523 9,530,081 CHF 5/6/04 7,594,036 7,350,395 243,641 9,653,085 CHF 8/12/04 7,472,296 7,463,795 8,501 16,006,328 EUR 5/6/04 19,304,599 19,186,519 118,080 2,240,000 EUR 8/12/04 2,648,531 2,678,480 (29,949) 6,711,579 GBP 5/6/04 12,043,606 11,899,697 143,909 1,188,998 GBP 8/12/04 2,100,961 2,089,578 11,383 43,064,598 HKD 5/6/04 5,551,452 5,521,494 29,958 46,539,644 HKD 8/12/04 5,978,962 5,978,332 630 1,104,196,260 JPY 5/6/04 10,095,972 10,006,490 89,482 99,832,880 JPY 8/12/04 920,000 907,831 12,169 22,609,005 SEK 5/6/04 3,087,932 2,959,331 128,601 13,043,805 SEK 8/12/04 1,704,961 1,702,873 2,088 6,864,554 SGD 5/6/04 4,062,055 4,034,626 27,429 4,249,830 SGD 8/12/04 2,501,739 2,501,053 686 --------------------------------------------------------------------------------------------------------------- $ 92,303,381 $ 91,444,250 $ 859,131 ---------------------------------------------------------------------------------------------------------------
** For cross-currency exchange contracts, the settlement value is the market value at 4/30/04 of the currency being sold, and the value at 4/30/04 is the market value at 4/30/04 of the currency being bought. SEE NOTES TO FINANCIAL STATEMENTS. 43 JPMORGAN FLEMING EMERGING MARKETS EQUITY FUND PORTFOLIO OF INVESTMENTS AS OF APRIL 30, 2004 (Unaudited)
SHARES ISSUER VALUE -------------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- 100.0% COMMON STOCKS -- 97.9% ARGENTINA -- 2.5% 96,201 Quilmes Industrial SA, ADR* $ 1,754,706 BRAZIL -- 12.6% 99,321 Cia de Bebidas das Americas, ADR 1,863,263 29,787 Cia Vale do Rio Doce, ADR 1,164,374 61,376 Empresa Brasileira de Aeronautica SA, ADR 1,583,501 23,611 Petroleo Brasileiro SA (Common), ADR 682,358 87,083 Petroleo Brasileiro SA (Preferred), ADR 2,172,721 74,517 Uniao de Bancos Brasileiros SA, ADR 1,460,533 -------------------------------------------------------------------- 8,926,750 -------------------------------------------------------------------- CHILE -- 2.0% 127,400 Cia de Telecomunicaciones de Chile SA, ADR 1,445,990 CHINA -- 2.6% 5,241,771 PICC Property & Casualty Co., LTD, Class H* 1,831,307 EGYPT -- 3.4% 123,484 Orascom Telecom Holding SAE* 2,372,788 HUNGARY -- 2.3% 16,017 Gedeon Richter LTD, ADR, # 1,629,030 INDIA -- 3.3% 18,118 Dr. Reddy's Laboratories LTD, ADR 355,113 76,999 Reliance Industries LTD, GDR, # 1,982,724 -------------------------------------------------------------------- 2,337,837 -------------------------------------------------------------------- INDONESIA -- 6.7% 1,801,000 Bank Central Asia TBK PT (f) 795,454 8,858,500 Bank Rakyat Indonesia* 1,740,026 122,109 Telekomunikasi Indonesia TBK PT, ADR 2,210,172 -------------------------------------------------------------------- 4,745,652 -------------------------------------------------------------------- MALAYSIA -- 2.1% 5,648,000 Star Cruises LTD* $ 1,480,047 MEXICO -- 5.5% 410,875 Alfa SA de CV, Class A (l) 1,351,118 50,605 America Movil SA de CV, Ser. L, ADR 1,710,449 34,566 Grupo Elektra SA de CV, ADR 815,412 -------------------------------------------------------------------- 3,876,979 -------------------------------------------------------------------- PHILIPPINES -- 3.0% 19,014,281 SM Prime Holdings, Inc. (f) 2,097,604 POLAND -- 0.5% 32,211 Agora SA* (f) 381,690 RUSSIA -- 4.5% 13,106 Mobile Telesystems, ADR 1,414,924 19,587 Vimpel-Communications, ADR* 1,758,129 -------------------------------------------------------------------- 3,173,053 -------------------------------------------------------------------- SOUTH AFRICA -- 10.6% 249,027 Alexander Forbes LTD 360,496 202,090 Discovery Holdings LTD* 402,364 1,054,002 FirstRand LTD (f) 1,450,406 189,856 Nedcor LTD 1,632,386 131,820 Sappi LTD (f) 1,781,983 1,517,824 Steinhoff International Holdings LTD 1,887,393 -------------------------------------------------------------------- 7,515,028 -------------------------------------------------------------------- SOUTH KOREA -- 21.8% 40,820 Daelim Industrial Co., LTD (f) 1,503,291 46,106 Kookmin Bank* (f) 1,704,605 56,850 KT&G Corp. 1,443,840 15,400 Kumgang Korea Chemical Co., LTD (f) 1,565,390 12,375 Samsung Electronics Co., LTD (f) 5,799,373 6,430 Shinsegae Co., LTD (f) 1,441,025 94,963 SK Telecom Co., LTD, ADR 1,918,252 -------------------------------------------------------------------- 15,375,776 -------------------------------------------------------------------- TAIWAN -- 11.3% 348,020 Hon Hai Precision Industry Co., LTD (f) 1,356,800
SEE NOTES TO FINANCIAL STATEMENTS. 44 SEMI-ANNUAL REPORT APRIL 2004 PORTFOLIO OF INVESTMENTS AS OF APRIL 30, 2004 (Unaudited)
SHARES ISSUER VALUE -------------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED TAIWAN -- CONTINUED 813,000 Quanta Computer, Inc. (f) $ 1,700,507 1,095,542 Synnex Technology International Corp. (f) 1,681,234 999,399 Taiwan Semiconductor Manufacturing Co., LTD* (f) 1,697,764 981,785 Tong Yang Industry (f) 1,566,262 -------------------------------------------------------------------- 8,002,567 -------------------------------------------------------------------- TURKEY -- 3.2% 62,084,000 Anadolu Efes Biracilik Ve Malt Sanayii AS 870,970 647,756,000 Yapi ve Kredi Bankasi AS* (f) 1,371,608 -------------------------------------------------------------------- 2,242,578 -------------------------------------------------------------------- Total Common Stocks 69,189,382 (Cost $66,934,712) -------------------------------------------------------------------- PREFERRED STOCKS -- 1.9% BRAZIL -- 1.9% 12,172,028 Banco Itau Holding Financeira SA 965,667 383,694 Itausa Investimentos Itau SA 371,065 -------------------------------------------------------------------- Total Preferred Stocks 1,336,732 (Cost $1,044,678) -------------------------------------------------------------------- RIGHTS -- 0.2% BRAZIL -- 0.0% ^ 7,050 Itausa Investimentos Itau SA, expires 5/28/04* $ 6,818 SOUTH AFRICA -- 0.2% 79,106 Nedcor LTD, expires 5/7/04* 169,328 -------------------------------------------------------------------- Total Rights 176,146 (Cost $0) -------------------------------------------------------------------- TOTAL INVESTMENTS -- 100.0% $ 70,702,260 (COST $67,979,390) -------------------------------------------------------------------- SHARES COLLATERAL INVESTMENTS VALUE -------------------------------------------------------------------------------------- MONEY MARKET FUND (c) 1,500,000 Aim Short Term Investment Co. $ 1,500,000 -------------------------------------------------------------------- $ 1,500,000 --------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 45 SUMMARY OF INVESTMENTS BY INDUSTRY, APRIL 30, 2004
INDUSTRY % OF INVESTMENT SECURITIES ------------------------------------------------------------------------------------------------------------------ Telecommunications 14.8% Banking 13.9 Electronics/Electrical Equipment 8.2 Computers/Computer Hardware 6.7 Food/Beverage Products 6.4 Chemicals 5.0 Oil & Gas 4.0 Telecommunications Equipment 3.4 Retailing 3.2 Insurance 3.2 Financial Services 3.1 Real Estate 3.0 Pharmaceuticals 2.8 Consumer Products 2.7 Paper/Forest Products 2.5 Semi-Conductors 2.4 Aerospace 2.2 Automotive 2.2 Construction 2.1 Entertainment/Leisure 2.1 Agricultural Production/Services 2.0 Diversified 1.9 Metals/Mining 1.6 Multi-Media 0.6 ------------------------------------------------------------------------------------------------------------------ Total 100.0% ------------------------------------------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 46 JPMORGAN FLEMING ASIA EQUITY FUND PORTFOLIO OF INVESTMENTS AS OF APRIL 30, 2004 (Unaudited)
SHARES ISSUER VALUE -------------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- 100.0% COMMON STOCKS -- 99.7% CHINA -- 4.3% 704,000 Aluminium Corp. of China LTD (f) $ 400,402 1,446,000 China Petroleum & Chemical Corp., Class H (f) 497,014 1,644,000 China Telecom Corp., LTD, Class H (f) 484,309 894,000 PetroChina Co., LTD, Class H (f) 386,176 250,000 Yanzhou Coal Mining Co., LTD (f) 232,530 -------------------------------------------------------------------- 2,000,431 -------------------------------------------------------------------- HONG KONG (CHINA) -- 20.8% 170,000 Bank of East Asia LTD (f) 493,430 150,000 Cheung Kong Holdings LTD (f) 1,137,819 464,000 China Merchants Holdings International Co., LTD (f) 541,894 400,000 China Mobile Hong Kong LTD (f) 1,049,899 1,200,000 CITIC International Financial Holdings LTD (f) 476,563 903,000 CNOOC LTD (f) 324,641 356,000 Cosco Pacific LTD (f) 452,116 150,000 Esprit Holdings LTD (f) 613,083 75,000 Hutchison Whampoa LTD (f) 500,354 500,000 Hysan Development Co., LTD (f) 819,903 250,000 Li & Fung LTD (f) 385,451 1,513,200 New World China Land LTD (f) 333,335 125,000 Sun Hung Kai Properties LTD (f) 1,064,988 1,800,000 TCL International Holdings LTD (f) 659,226 750,000 Wheelock & Co., LTD (f) 906,646 -------------------------------------------------------------------- 9,759,348 -------------------------------------------------------------------- INDIA -- 3.6% 60,000 Gujarat Ambuja Cements, GDR 435,600 30,000 Larsen & Toubro LTD, GDR 735,000 20,000 Reliance Industries LTD, GDR, # 515,000 -------------------------------------------------------------------- 1,685,600 -------------------------------------------------------------------- INDONESIA -- 5.8% 750,000 Astra International TBK PT (f) 483,034 3,982,500 Bank Mandiri Persero TBK PT (f) 651,610 11,147,000 Bumi Resources TBK PT (f) 598,912 276,000 Gudang Garam TBK PT (f) 455,309 570,500 Telekomunikasi Indonesia TBK PT (f) 517,971 -------------------------------------------------------------------- 2,706,836 -------------------------------------------------------------------- MALAYSIA -- 7.2% 900,000 Commerce Asset Holdings BHD (f) $ 1,179,601 120,000 Genting BHD (f) 519,545 220,000 IOI Corp., BHD (f) 523,026 200,000 Malaysia International Shipping Corp., BHD (f) 659,399 200,000 Resorts World BHD (f) 522,816 -------------------------------------------------------------------- 3,404,387 -------------------------------------------------------------------- SINGAPORE -- 6.3% 750,000 CapitaLand LTD (f) 705,647 150,000 City Developments LTD (f) 529,834 92,000 DBS Group Holdings LTD (f) 768,478 180,000 Keppel Corp., LTD (f) 749,454 20,000 Venture Corp., LTD (f) 222,542 -------------------------------------------------------------------- 2,975,955 -------------------------------------------------------------------- SOUTH KOREA -- 26.1% 55,200 Daishin Securities Co., LTD* (f) 737,940 9,370 Halla Climate Control (f) 750,446 56,500 Hana Bank (f) 1,207,941 28,000 Hyundai Heavy Industries (f) 638,419 10,000 Kookmin Bank* (f) 369,714 31,000 Korea Electric Power Corp. (f) 504,738 320 Lotte Chilsung Beverage Co., LTD (f) 188,098 9,600 NCSoft Corp.* (f) 677,507 10,200 POSCO (f) 1,240,668 180 S-Oil Corp. 7,179 9,750 Samsung Electronics Co., LTD (f) 4,569,203 4,000 SK Telecom Co., LTD (f) 674,676 100,000 Ssangyong Motor Co.* (f) 720,728 -------------------------------------------------------------------- 12,287,257 -------------------------------------------------------------------- TAIWAN -- 19.3% 900,000 Bank of Kaohsiung (f) 588,128 650,000 Cathay Financial Holding Co., LTD (f) 1,143,211 450,000 Chinatrust Financial Holding Co. (f) 479,602 600,000 CMC Magnetics Corp.* (f) 493,484 178,000 Hon Hai Precision Industry Co., LTD (f) 693,955
SEE NOTES TO FINANCIAL STATEMENTS. 47
SHARES ISSUER VALUE -------------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED TAIWAN -- CONTINUED 1,000,000 Hung Poo Real Estate Development Corp.* (f) $ 685,703 100,000 MediaTek, Inc. (f) 947,456 250,000 Quanta Computer, Inc. (f) 522,911 300,000 Synnex Technology International Corp. (f) 460,384 624,800 Taiwan Semiconductor Manufacturing Co., LTD* (f) 1,061,401 600,000 United Microelectronics Corp.* (f) 533,244 1,049,000 Vanguard International Semiconductor Corp.* (f) 468,754 900,000 Winbond Electronics Corp.* (f) 466,701 955,000 Yageo Corp.* (f) 514,316 -------------------------------------------------------------------- 9,059,250 -------------------------------------------------------------------- THAILAND -- 6.3% 331,400 Bangkok Bank PCL* (f) $ 803,709 749,000 Kasikornbank PCL* (f) 898,558 120,000 Siam Cement PCL (f) 639,809 801,400 Thoresen Thai Agencies PCL 640,960 -------------------------------------------------------------------- 2,983,036 -------------------------------------------------------------------- Total Common Stocks 46,862,100 (Cost $44,773,420) -------------------------------------------------------------------- WARRANT -- 0.3% THAILAND -- 0.3% 170,000 Thoresen Thai Agencies PCL* 131,717 (Cost $32,500) -------------------------------------------------------------------- TOTAL INVESTMENTS -- 100.0% $ 46,993,817 (COST $44,805,920) --------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 48 SEMI-ANNUAL REPORT APRIL 30 2004 SUMMARY OF INVESTMENTS BY INDUSTRY, APRIL 30, 2004
INDUSTRY % OF INVESTMENT SECURITIES -------------------------------------------------------------------------------- Banking 16.8% Real Estate 13.2 Electronics/Electrical Equipment 11.3 Semi-Conductors 7.4 Computers/Computer Hardware 4.6 Consumer Products 3.8 Telecommunications 3.7 Diversified 2.7 Steel 2.6 Metals/Mining 2.6 Oil & Gas 2.6 Insurance 2.4 Retailing 2.3 Construction Materials 2.3 Telecommunications Equipment 2.1 Agricultural Production/Services 2.1 Transportation 1.6 Financial Services 1.6 Machinery & Engineering Equipment 1.6 Automotive 1.5 Internet Services/Software 1.4 Shipping/Transportation 1.4 Construction 1.4 Consumer Services 1.2 Entertainment/Leisure 1.1 Hotels/Other Lodging 1.1 Chemicals 1.1 Utilities 1.1 Business Services 1.0 Food/Beverage Products 0.4 -------------------------------------------------------------------------------- Total 100.0% --------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 49 JPMORGAN FLEMING INTERNATIONAL EQUITY FUND PORTFOLIO OF INVESTMENTS AS OF APRIL 30, 2004 (Unaudited)
SHARES ISSUER VALUE -------------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- 100.0% COMMON STOCKS -- 99.9% AUSTRALIA -- 1.9% 998,100 BHP Billiton LTD (f) $ 8,163,459 599,669 News Corp., LTD (f) (l) 5,465,748 518,178 Woodside Petroleum LTD (f) 6,171,262 -------------------------------------------------------------------- 19,800,469 -------------------------------------------------------------------- BELGIUM -- 1.9% 685,520 Dexia (f) 11,186,035 380,090 Fortis (f) (l) 8,215,210 -------------------------------------------------------------------- 19,401,245 -------------------------------------------------------------------- BRAZIL -- 0.7% 147,447 Cia Vale do Rio Doce, ADR 6,708,839 FINLAND -- 1.3% 980,656 Nokia OYJ (f) 13,715,720 FRANCE -- 11.4% 632,054 AXA (f) 13,118,455 263,546 BNP Paribas (f) (l) 15,701,780 348,322 Compagnie de Saint-Gobain (f) 17,440,780 225,072 Dassault Systemes SA (f) 9,081,722 38,391 Imerys SA (f) 8,701,683 111,000 Lafarge SA (f) 9,192,460 234,227 Total SA (f) 43,114,268 -------------------------------------------------------------------- 116,351,148 -------------------------------------------------------------------- GERMANY -- 6.6% 129,830 BASF AG (f) (l) 6,659,583 342,692 Bayerische Motoren Werke AG (f) (l) 14,623,711 139,383 Deutsche Bank AG (f) 11,388,485 524,514 Deutsche Post AG (f) 11,491,645 168,080 Schering AG (f) (l) 8,772,500 198,001 Siemens AG (f) 14,105,960 -------------------------------------------------------------------- 67,041,884 -------------------------------------------------------------------- HONG KONG -- 0.7% 881,000 Cheung Kong Holdings LTD (f) 6,682,795 IRELAND -- 0.8% 675,500 Bank of Ireland (f) 8,192,413 ITALY -- 5.0% 1,947,079 ENI-Ente Nazionale Idrocarburi SPA (f) $ 39,556,670 5,070,945 Telecom Italia SPA* (l) 11,767,575 -------------------------------------------------------------------- 51,324,245 -------------------------------------------------------------------- JAPAN -- 20.5% 396,000 Canon, Inc. (f) 20,536,171 417,800 Chugai Pharmaceutical Co., LTD (f) 6,308,381 379,000 Daikin Industries LTD (f) 8,769,938 127,900 Fanuc LTD (f) 7,698,270 43,000 Hirose Electric Co., LTD (f) 4,859,579 351,600 Honda Motor Co., LTD (f) 14,012,007 125,200 Hoya Corp. (f) 13,388,259 377,000 Kao Corp. (f) 8,946,578 516,000 Matsushita Electric Industrial Co., LTD (f) 7,542,946 679,000 Mitsubishi Corp. (f) 6,396,136 1,310 Mitsubishi Tokyo Financial Group, Inc. (f) 11,523,832 1,786,000 Nikko Cordial Corp. (f) 9,937,925 84,200 Nintendo Co., LTD (f) 7,847,292 1,532 Nippon Telegraph & Telephone Corp. (f) 7,979,311 932 Nippon Unipac Holding (f) 4,581,345 3,073 NTT DoCoMo, Inc. (f) 6,019,225 60 ORIX Corp. (f) 6,287 212,500 Secom Co., LTD (f) 8,983,659 435,000 Sharp Corp. (f) (l) 7,751,789 188,800 Shin-Etsu Chemical Co., LTD (f) 7,508,303 70,600 SMC Corp. (f) 7,971,403 1,383,000 Sumitomo Corp. (f) 10,495,934 134,400 Takeda Chemical Industries LTD (f) 5,373,211 101,910 Takefuji Corp. (f) (l) 6,429,347 246,700 Yamanouchi Pharmaceutical Co., LTD (f) 8,158,358 -------------------------------------------------------------------- 209,025,486 --------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 50 SEMI-ANNUAL REPORT APRIL 30 2004
SHARES ISSUER VALUE -------------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED MEXICO -- 0.5% 111,300 Fomento Economico Mexicano SA de CV, ADR $ 4,866,036 RUSSIA -- 0.5% 106,199 YUKOS, ADR 4,757,715 SOUTH KOREA -- 2.0% 163,370 POSCO, ADR 5,023,628 31,350 Samsung Electronics Co., LTD, GDR 7,315,111 17,110 Samsung Electronics Co., LTD, GDR, # 4,061,137 217,430 SK Telecom Co., LTD, ADR 4,392,086 -------------------------------------------------------------------- 20,791,962 -------------------------------------------------------------------- SPAIN -- 2.4% 308,786 Altadis SA (f) (l) 8,694,872 278,703 Banco Popular Espanol (f) (l) 15,328,342 -------------------------------------------------------------------- 24,023,214 -------------------------------------------------------------------- SWITZERLAND -- 10.1% 182,100 Adecco SA* (f) 8,020,206 217,230 Holcim LTD (f) 11,157,329 69,340 Nestle SA (f) (l) 17,489,274 483,170 Novartis AG (f) 21,566,566 185,390 Roche Holding AG (f) (l) 19,368,591 197,900 UBS AG (f) (l) 14,012,155 74,969 Zurich Financial Services AG (f) (l) 11,769,766 -------------------------------------------------------------------- 103,383,887 -------------------------------------------------------------------- THE NETHERLANDS -- 5.5% 670,385 ABN AMRO Holding NV (f) (l) 14,424,066 408,778 ING Groep NV (f) (l) 8,665,577 517,403 Koninklijke Philips Electronics NV (f) (l) 13,900,237 678,830 Reed Elsevier NV (f) (l) 9,498,184 554,680 Wolters Kluwer NV (f) (l) 9,283,991 -------------------------------------------------------------------- 55,772,055 -------------------------------------------------------------------- UNITED KINGDOM -- 28.1% 1,172,860 Allied Domecq PLC (f) $ 9,250,246 818,536 Aviva PLC (f) 7,950,832 2,088,212 Barclays PLC (f) 18,742,923 2,298,130 BG Group PLC (f) 13,238,554 2,143,940 Centrica PLC (f) 8,279,698 1,080,715 Compass Group PLC (f) 6,770,751 718,462 GKN PLC (f) 2,909,696 1,236,416 GlaxoSmithKline PLC (f) 25,482,497 2,083,200 HSBC Holdings PLC (Hong Kong Registered Shares) (f) 30,165,284 703,245 Intercontinental Hotels Group PLC (f) 6,567,897 1,862,430 Kingfisher PLC (f) 9,313,113 2,627,021 Morrison (WM.) Supermarkets (f) 11,133,943 1,401,286 National Grid Transco PLC (f) 10,613,088 625,750 Reckitt Benckiser PLC (f) 16,229,126 463,420 Royal Bank of Scotland Group PLC (f) 13,842,981 633,187 Schroders PLC (Non-Voting Shares) (f) 6,254,885 110,000 Schroders PLC (f) 1,226,999 516,060 Standard Chartered PLC (f) 7,865,510 4,344,103 Tesco PLC (f) 19,083,018 841,906 The British Land Co., PLC (f) 9,674,889 14,861,185 Vodafone Group PLC (f) 35,943,781 1,143,630 Wolseley PLC (f) 16,671,260 -------------------------------------------------------------------- 287,210,971 -------------------------------------------------------------------- Total Common Stocks 1,019,050,084 (Cost $874,687,147) -------------------------------------------------------------------- PRINCIPAL AMOUNT (USD) -------------------------------------------------------------------------------------- CONVERTIBLE BOND -- 0.1% FRANCE -- 0.1% $ 31,890 AXA SA, 0.00%, 12/21/04* 639,174 (Cost $472,793) -------------------------------------------------------------------- TOTAL INVESTMENTS -- 100.0% $ 1,019,689,258 (COST $875,159,940) --------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 51
SHARES COLLATERAL INVESTMENTS VALUE -------------------------------------------------------------------------------------- MONEY MARKET FUNDS (c) 22,844,685 Merrill Lynch Premier Fund $ 22,844,685 12,516,435 Aim Short Term Investment Co. 12,516,435 -------------------------------------------------------------------- $ 35,361,120 -------------------------------------------------------------------- PRINCIPAL AMOUNT (USD) -------------------------------------------------------------------------------------- REPURCHASE AGREEMENT (c) $ 133,000,000 Barclays Capital, Inc., 1.04%, due 04/30/04, dated 05/03/04, proceeds $133,011,527, secured by U.S. Government Agency Securities $ 133,000,000 -------------------------------------------------------------------- $ 168,361,120 --------------------------------------------------------------------
SUMMARY OF INVESTMENTS BY INDUSTRY, APRIL 30, 2004
INDUSTRY % OF INVESTMENT SECURITIES -------------------------------------------------------------------------------------- Banking 16.9% Oil & Gas 10.5 Pharmaceuticals 9.3 Telecommunications 7.8 Electronics/Electrical Equipment 5.8 Food/Beverage Products 5.6 Construction Materials 5.4 Insurance 4.1 Consumer Products 3.3 Distribution 3.3 Financial Services 3.2 Automotive 3.1 Office/Business Equipment 2.0 Retailing 2.0 Utilities 1.9 Real Estate 1.6 Metals/Mining 1.5 Multi-Media 1.4 Chemicals 1.4 Diversified 1.4 Health Care/Health Care Services 1.3 Transportation 1.1 Semi-Conductors 1.1 Other (below 1%) 5.0 -------------------------------------------------------------------------------------- Total 100.0% --------------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 52 Abbreviations * -- Non-income producing security. # -- All or a portion of this security is a 144A or private placement security and can only be sold to qualified institutional buyers. + -- All or a portion of this security is segregated with the custodian for forward foreign currency contracts. @ -- Security is fully or partially segregated with the custodian as collateral for futures or with brokers as initial margin for futures contracts. ^ -- Amount rounds to less than 0.1%. (a) -- Affiliated. Money market fund registered under the Investment Company Act of 1940, as amended and advised by JPMorgan Investment Management, Inc. (c) -- Investment of cash collateral for portfolio securities on loan. (f) -- Fair valued investment. The following are approximately the market value and percentage of the investments that are fair valued:
FUND MARKET VALUE PERCENTAGE ---- ------------ ---------- Fleming Intrepid European Fund $ 88,490,172 94.29% Fleming Japan Fund $ 16,595,391 81.26% Fleming International Growth Fund $ 3,933,801 91.44% Fleming International Value Fund $ 38,654,249 89.80% Fleming International Opportunities Fund $ 152,905,641 87.89% Fleming Emerging Markets Equity Fund $ 27,894,996 39.45% Fleming Asia Fund $ 44,528,361 94.75% Fleming International Equity Fund $ 970,157,957 95.14%
(i) -- Security is considered illiquid and may be difficult to sell. (l) -- Security, or portion of a security, has been delivered to counterparty as part of security lending transaction. (W/I) -- When Issued. ADR -- American Depositary Receipt. AUD -- Australian Dollar. CHF -- Swiss Franc. DKK -- Danish Krone. EUR -- Euro. GBP -- Great Britain Pound. GDR -- Global Depositary Receipt. HKD -- Hong Kong Dollar. JPY -- Japanese Yen. NOK -- Norwegian Krone. SEK -- Swedish Krona. Ser. -- Series. SGD -- Singapore Dollar. USD -- United States Dollar. SEE NOTES TO FINANCIAL STATEMENTS. 53 STATEMENT OF ASSETS AND LIABILITIES AS OF APRIL 30, 2004 (Unaudited)
INTREPID EUROPEAN JAPAN INTERNATIONAL INTERNATIONAL FUND FUND GROWTH FUND VALUE FUND ASSETS Investments in non-affiliates, at value $ 93,845,696 $ 20,421,625 $ 4,301,991 $ 41,892,835 Investments in affiliates, at value -- -- -- 1,150,641 -------------------------------------------------------------------------------------------------------------------------- Total investment securities, at value 93,845,696 20,421,625 4,301,991 43,043,476 -------------------------------------------------------------------------------------------------------------------------- Investments held as collateral for securities lending program 17,567,200 1,132,264 -- 2,973,500 Cash 561,104 1,983,541 22,172 100,208 Foreign currency, at value 1,211,981 -- 2,372 184,197 Receivables: Investment securities sold 14,400,945 1,263,396 -- 818,879 Fund shares sold 748,010 258,879 -- 55,926 Interest and dividends 200,811 57,433 14,800 261,489 Foreign tax reclaim 95,043 -- 7,179 515,610 Unrealized appreciation on forward foreign currency exchange contracts -- -- -- 365,848 Securities lending (net) 6,397 141 -- 9,298 Expense reimbursements 986 -- 12,672 3,191 -------------------------------------------------------------------------------------------------------------------------- Total Assets 128,638,173 25,117,279 4,361,186 48,331,622 -------------------------------------------------------------------------------------------------------------------------- LIABILITIES Payables: Investment securities purchased 10,782,625 2,578,195 -- 439,380 Collateral for securities lending program 17,567,200 1,132,264 -- 2,973,500 Fund shares redeemed 434,774 85,773 -- 1,426 Unrealized depreciation on forward foreign currency exchange contracts -- -- -- 529,548 Variation margin -- -- -- 18,741 Accrued liabilities: Investment advisory fees 34,640 -- -- 13,262 Shareholder servicing fees 14,459 -- -- 3,656 Distribution fees 17,036 424 1,283 258 Custodian fees 162,134 81,943 4,547 49,908 Trustees' fees - deferred compensation plan 2,846 474 92 579 Other 87,590 60,588 19,081 51,751 -------------------------------------------------------------------------------------------------------------------------- Total Liabilities 29,103,304 3,939,661 25,003 4,082,009 -------------------------------------------------------------------------------------------------------------------------- NET ASSETS $ 99,534,869 $ 21,177,618 $ 4,336,183 $ 44,249,613 --------------------------------------------------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 54 SEMI-ANNUAL REPORT APRIL 30 2004
INTREPID EUROPEAN JAPAN INTERNATIONAL INTERNATIONAL FUND FUND GROWTH FUND VALUE FUND NET ASSETS Paid in capital 93,315,462 20,326,659 4,994,083 66,075,006 Accumulated undistributed (overdistributed) net investment income 213,781 (16,112) (8,920) (21,551) Accumulated net realized gain (loss) on investments, futures and foreign exchange transactions 2,759,978 (262,233) (1,183,017) (29,173,124) Net unrealized appreciation (depreciation) of investments, futures and foreign exchange translations 3,245,648 1,129,304 534,037 7,369,282 -------------------------------------------------------------------------------------------------------------------------- Total Net Assets $ 99,534,869 $ 21,177,618 $ 4,336,183 $ 44,249,613 -------------------------------------------------------------------------------------------------------------------------- Class A $ 33,872,296 $ 20,514,324 $ 3,474,821 $ 81,300 Class B $ 11,962,512 $ 663,294 $ 861,362 $ 379,337 Class C $ 3,075,703 $ -- $ -- $ -- Institutional $ 32,018,318 $ -- $ -- $ 26,610,730 Select $ 18,606,040 $ -- $ -- $ 17,178,246 -------------------------------------------------------------------------------------------------------------------------- Total $ 99,534,869 $ 21,177,618 $ 4,336,183 $ 44,249,613 -------------------------------------------------------------------------------------------------------------------------- Shares of beneficial interest outstanding ($0.001 par value; unlimited number of shares authorized) Class A 1,853,579 2,758,948 407,635 8,293 Class B 691,461 93,966 102,422 39,236 Class C 177,981 -- -- -- Institutional 1,728,031 -- -- 2,708,418 Select 1,012,788 -- -- 1,751,936 Net Asset Value: Class A (and redemption price) $ 18.27 $ 7.44 $ 8.52 $ 9.80 Class B* $ 17.30 $ 7.06 $ 8.41 $ 9.67 Class C* $ 17.28 $ -- $ -- $ -- Institutional (and redemption price) $ 18.53 $ -- $ -- $ 9.83 Select (and redemption price) $ 18.37 $ -- $ -- $ 9.81 Class A Maximum Public Offering Price Per Share (net asset value per share/94.25%) $ 19.38 $ 7.88 $ 9.04 $ 10.40 Cost of investments $ 90,604,182 $ 19,295,310 $ 3,768,801 $ 35,650,698 -------------------------------------------------------------------------------------------------------------------------- Cost of foreign currency $ 1,211,678 $ -- $ 2,372 $ 184,176 --------------------------------------------------------------------------------------------------------------------------
* Redemption price may be reduced by contingent deferred sales charge. SEE NOTES TO FINANCIAL STATEMENTS. 55
INTERNATIONAL EMERGING OPPORTUNITIES MARKETS EQUITY ASIA EQUITY INTERNATIONAL FUND FUND FUND EQUITY FUND ASSETS Investments in non-affiliates, at value $ 173,176,499 $ 70,702,260 $ 46,993,817 $ 1,019,689,258 Investments in affiliates, at value 800,294 -- -- -- -------------------------------------------------------------------------------------------------------------------------- Total investment securities, at value 173,976,793 70,702,260 46,993,817 1,019,689,258 -------------------------------------------------------------------------------------------------------------------------- Investments held as collateral for securities lending program 19,227,948 1,500,000 -- 168,361,120 Cash 691,005 456,549 1,310,172 38,673,355 Foreign currency, at value 325,306 977,176 111,545 1,248,178 Receivables: Investment securities sold 2,075,621 -- 665,932 4,657,051 Fund shares sold 316,882 44,556 2,767 2,245,301 Interest and dividends 757,254 122,384 91,290 4,107,202 Foreign tax reclaim 639,061 1,048 -- 435,033 Unrealized appreciation on forward foreign currency exchange contracts 961,803 -- -- -- Securities lending (net) 7,196 1,179 -- 30,611 Expense reimbursements -- 2,152 162 -- -------------------------------------------------------------------------------------------------------------------------- Total Assets 198,978,869 73,807,304 49,175,685 1,239,447,109 -------------------------------------------------------------------------------------------------------------------------- LIABILITIES Payables: Investment securities purchased 2,082,214 46,840 -- -- Collateral for securities lending program 19,227,948 1,500,000 -- 168,361,120 Fund shares redeemed 415,716 55,202 174,486 394,821 Unrealized depreciation on forward foreign currency exchange contracts 1,534,069 -- -- -- Accrued liabilities: Investment advisory fees 91,320 53,812 29,719 717,498 Administration fees 15,220 -- -- 89,689 Shareholder servicing fees 11,647 5,213 8,092 90,493 Distribution fees 3,524 335 51 11,607 Custodian fees 95,642 98,720 77,693 184,821 Trustees' fees - deferred compensation plan 3,765 439 118 13,438 Other 86,515 53,302 64,108 92,983 -------------------------------------------------------------------------------------------------------------------------- Total Liabilities 23,567,580 1,813,863 354,267 169,956,470 -------------------------------------------------------------------------------------------------------------------------- NET ASSETS $ 175,411,289 $ 71,993,441 $ 48,821,418 $ 1,069,490,639 --------------------------------------------------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 56
INTERNATIONAL EMERGING OPPORTUNITIES MARKETS EQUITY ASIA EQUITY INTERNATIONAL FUND FUND FUND EQUITY FUND NET ASSETS Paid in capital 278,034,061 169,249,344 46,191,757 954,572,291 Accumulated undistributed (overdistributed) net investment income (705,741) 49,009 (42,843) 1,711,291 Accumulated net realized gain (loss) on investments, futures and foreign exchange transactions (132,902,043) (100,024,348) 484,985 (31,248,935) Net unrealized appreciation (depreciation) of investments and foreign exchange translations 30,985,012 2,719,436 2,187,519 144,455,992 -------------------------------------------------------------------------------------------------------------------------- Total Net Assets $ 175,411,289 $ 71,993,441 $ 48,821,418 $ 1,069,490,639 -------------------------------------------------------------------------------------------------------------------------- Class A $ 12,025,683 $ 971,078 $ 256,699 $ 41,905,803 Class B $ 1,393,370 $ 193,088 $ -- $ 508,019 Class C $ -- $ -- $ -- $ 4,209,432 Institutional $ 127,971,260 $ 47,485,052 $ 20,335,898 $ -- Select $ 34,020,976 $ 23,344,223 $ 28,228,821 $ 1,022,867,385 -------------------------------------------------------------------------------------------------------------------------- Total $ 175,411,289 $ 71,993,441 $ 48,821,418 $ 1,069,490,639 -------------------------------------------------------------------------------------------------------------------------- Shares of beneficial interest outstanding ($0.001 par value; unlimited number of shares authorized) Class A 1,228,358 116,911 14,585 1,639,520 Class B 143,380 23,330 -- 19,960 Class C -- -- -- 165,698 Institutional 12,890,950 5,636,934 1,152,581 -- Select 3,439,111 2,790,722 1,601,912 39,955,041 Net Asset Value: Class A (and redemption price) $ 9.79 $ 8.31 $ 17.60 $ 25.56 Class B* $ 9.72 $ 8.28 $ -- $ 25.45 Class C* $ -- $ -- $ -- $ 25.40 Institutional (and redemption price) $ 9.93 $ 8.42 $ 17.64 $ -- Select (and redemption price) $ 9.89 $ 8.36 $ 17.62 $ 25.60 Class A Maximum Public Offering Price Per Share (net asset value per share/94.25%) $ 10.39 $ 8.82 $ 18.67 $ 27.12 Cost of investments $ 142,499,002 $ 67,979,390 $ 44,805,920 $ 875,159,940 -------------------------------------------------------------------------------------------------------------------------- Cost of foreign currency $ 324,702 $ 980,773 $ 111,350 $ 1,250,622 --------------------------------------------------------------------------------------------------------------------------
* Redemption price may be reduced by contingent deferred sales charge. SEE NOTES TO FINANCIAL STATEMENTS. 57 STATEMENT OF OPERATIONS FOR THE SIX MONTHS ENDED APRIL 30, 2004 (Unaudited)
INTREPID EUROPEAN JAPAN INTERNATIONAL INTERNATIONAL FUND FUND GROWTH FUND VALUE FUND INVESTMENT INCOME Interest $ 95,807 $ 5,475 $ 82 $ 113,260 Dividend 926,772 66,327 44,559 531,381 Dividend income from affiliated investments* 20 -- -- 1,070 Securities lending (net) 24,583 1,364 -- 4,659 Foreign tax withholding (113,797) (4,643) (5,059) (31,383) -------------------------------------------------------------------------------------------------------------------------- Total investment income 933,385 68,523 39,582 618,987 -------------------------------------------------------------------------------------------------------------------------- EXPENSES Investment advisory fees 288,824 45,199 21,575 133,930 Administration fees 66,652 6,780 3,236 33,483 Shareholder servicing fees 94,797 11,300 5,394 35,365 Distribution fees 104,083 12,759 7,538 1,284 Custodian and accounting fees 216,567 99,307 39,284 66,965 Interest expense -- -- -- 306 Printing and postage 20,023 2,576 2,906 4,018 Professional fees 40,099 29,817 29,838 38,014 Registration fees 31,104 16,401 10,182 20,536 Transfer agent fees 94,143 18,855 18,300 34,782 Trustees' fees 667 68 32 335 Other 7,167 2,875 2,514 4,062 -------------------------------------------------------------------------------------------------------------------------- Total expenses 964,126 245,937 140,799 373,080 -------------------------------------------------------------------------------------------------------------------------- Less amounts waived 244,786 73,849 30,205 103,401 Less expense reimbursements 8,718 90,801 65,299 19,843 -------------------------------------------------------------------------------------------------------------------------- Net expenses 710,622 81,287 45,295 249,836 -------------------------------------------------------------------------------------------------------------------------- Net investment income (loss) 222,763 (12,764) (5,713) 369,151 --------------------------------------------------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 58
INTREPID EUROPEAN JAPAN INTERNATIONAL INTERNATIONAL FUND FUND GROWTH FUND VALUE FUND REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS Net realized gain (loss) on transactions from: Investments 6,356,645 592,082 89,901 6,968,053 Futures -- -- -- 38,678 Foreign exchange contracts (181,616) (2,523) (9,590) 207,805 Change in net unrealized appreciation (depreciation) of: Investments (2,328,573) 818,073 303,832 (845,289) Futures -- -- -- 39,336 Foreign exchange translations (25,795) 3,562 (327) (396,553) Net realized and unrealized gain (loss) on investments, futures and foreign exchange transactions 3,820,661 1,411,194 383,816 6,012,030 -------------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in net assets from operations $ 4,043,424 $ 1,398,430 $ 378,103 $ 6,381,181 -------------------------------------------------------------------------------------------------------------------------- * Includes reimbursements of investment advisory, administration and shareholder servicing fees: $ -- $ -- $ -- $ 216 --------------------------------------------------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 59
INTERNATIONAL EMERGING OPPORTUNITIES MARKETS EQUITY ASIA EQUITY INTERNATIONAL FUND FUND FUND EQUITY FUND INVESTMENT INCOME Interest $ 110,711 $ 27,119 $ 3,534 $ 26,498 Dividend 2,071,059 892,380 428,060 9,910,043 Dividend income from affiliated investments* 7,040 -- -- -- Securities lending (net) 21,043 1,484 -- 152,980 Foreign tax withholding (207,004) (54,122) (42,789) (724,415) -------------------------------------------------------------------------------------------------------------------------- Total investment income 2,002,849 866,861 388,805 9,365,106 -------------------------------------------------------------------------------------------------------------------------- EXPENSES Investment advisory fees 547,345 384,269 238,184 4,681,951 Administration fees 136,837 57,641 35,728 702,298 Shareholder servicing fees 126,948 56,496 45,854 1,170,486 Distribution fees 20,273 1,136 477 50,617 Custodian and accounting fees 120,587 153,690 104,852 313,367 Interest expense 100 552 -- 33 Printing and postage 16,255 6,917 2,988 43,035 Professional fees 39,225 39,194 39,519 45,922 Registration fees 22,523 25,362 24,726 46,818 Transfer agent fees 75,560 37,466 23,564 67,734 Trustees' fees 1,369 576 357 7,025 Other 8,209 4,803 4,058 16,217 -------------------------------------------------------------------------------------------------------------------------- Total expenses 1,115,231 768,102 520,307 7,145,503 -------------------------------------------------------------------------------------------------------------------------- Less amounts waived 159,178 159,115 169,023 1,904,640 Less earnings credits -- -- -- 4 Less expense reimbursements -- 13,972 7,223 15,013 -------------------------------------------------------------------------------------------------------------------------- Net expenses 956,053 595,015 344,061 5,225,846 -------------------------------------------------------------------------------------------------------------------------- Net investment income (loss) 1,046,796 271,846 44,744 4,139,260 --------------------------------------------------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 60
INTERNATIONAL EMERGING OPPORTUNITIES MARKETS EQUITY ASIA EQUITY INTERNATIONAL FUND FUND FUND EQUITY FUND REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS Net realized gain (loss) on transactions from: Investments 19,932,851 19,796,044(a) 3,465,019 (1,062,050) Futures 143,425 -- -- -- Foreign exchange contracts 1,117,103 (129,823) (6,272) 253,507 Change in net unrealized appreciation (depreciation) of: Investments (3,686,900) (10,890,701) (4,188,826) 75,418,529 Futures (58,118) -- -- -- Foreign exchange translations (1,170,229) (15,009) (142) (140,541) Net realized and unrealized gain (loss) on investments, futures and foreign exchange transactions 16,278,132 8,760,511 (730,221) 74,469,445 -------------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in net assets from operations $ 17,324,928 $ 9,032,357 $ (685,477) $ 78,608,705 -------------------------------------------------------------------------------------------------------------------------- * Includes reimbursements of investment advisory, administration and shareholder servicing fees: $ 1,155 $ -- $ -- $ -- --------------------------------------------------------------------------------------------------------------------------
(a) Net of capital gains tax of $14,286. SEE NOTES TO FINANCIAL STATEMENTS. 61 STATEMENT OF CHANGES IN NET ASSETS FOR THE PERIODS INDICATED (Unaudited)
INTREPID EUROPEAN FUND JAPAN FUND --------------------------------- --------------------------------- 11/1/03 YEAR 11/1/03 YEAR THROUGH ENDED THROUGH ENDED 4/30/04 10/31/03 4/30/04 10/31/03 INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS Net investment income (loss) $ 222,763 $ 94,089 $ (12,764) $ (17,047) Net realized gain (loss) on investments and foreign exchange transactions 6,175,029 11,301,614 589,559 494,196 Change in net unrealized appreciation (depreciation) of investments and foreign exchange translations (2,354,368) 4,340,131 821,635 338,655 -------------------------------------------------------------------------------------------------------------------------- Increase (decrease) in net assets from operations 4,043,424 15,735,834 1,398,430 815,804 -------------------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS TO SHAREHOLDERS FROM Net investment income (48,546) (374,810) -- -- -------------------------------------------------------------------------------------------------------------------------- CAPITAL SHARE TRANSACTIONS Increase (decrease) 26,458,356 (782,686) 15,747,922 2,372,801 -------------------------------------------------------------------------------------------------------------------------- NET ASSETS Total increase (decrease) in net assets 30,453,234 14,578,338 17,146,352 3,188,605 -------------------------------------------------------------------------------------------------------------------------- Beginning of period 69,081,635 54,503,297 4,031,266 842,661 -------------------------------------------------------------------------------------------------------------------------- End of period $ 99,534,869 $ 69,081,635 $ 21,177,618 $ 4,031,266 -------------------------------------------------------------------------------------------------------------------------- Accumulated undistributed (overdistributed) net investment income $ 213,781 $ 39,564 $ (16,112) $ (3,348) --------------------------------------------------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 62
INTERNATIONAL GROWTH FUND INTERNATIONAL VALUE FUND --------------------------------- --------------------------------- 11/1/03 THROUGH YEAR ENDED 11/1/03 THROUGH YEAR ENDED 4/30/04 10/31/03 4/30/04 10/31/03 INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS Net investment income (loss) $ (5,713) $ 8,801 $ 369,151 $ 42,152 Net realized gain (loss) on investments, futures and foreign exchange transactions 80,311 (253,809) 7,214,536 5,776,870 Change in net unrealized appreciation (depreciation) of investments, futures and foreign exchange translations 303,505 1,029,572 (1,202,506) 4,185,551 -------------------------------------------------------------------------------------------------------------------------- Increase (decrease) in net assets from operations 378,103 784,564 6,381,181 10,004,573 -------------------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS TO SHAREHOLDERS FROM Net investment income (8,800) -- (377,515) (1,481,498) -------------------------------------------------------------------------------------------------------------------------- CAPITAL SHARE TRANSACTIONS Increase (decrease) 4,891 500 (4,957,044) (11,203,485) -------------------------------------------------------------------------------------------------------------------------- NET ASSETS Total increase (decrease) in net assets 374,194 785,064 1,046,622 (2,680,410) -------------------------------------------------------------------------------------------------------------------------- Beginning of period 3,961,989 3,176,925 43,202,991 45,883,401 -------------------------------------------------------------------------------------------------------------------------- End of period $ 4,336,183 $ 3,961,989 $ 44,249,613 $ 43,202,991 -------------------------------------------------------------------------------------------------------------------------- Accumulated undistributed (overdistributed) net investment income $ (8,920) $ 5,593 $ (21,551) $ (13,187) --------------------------------------------------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 63
INTERNATIONAL OPPORTUNITIES FUND EMERGING MARKETS EQUITY FUND --------------------------------- --------------------------------- 11/1/03 THROUGH YEAR ENDED 11/1/03 THROUGH YEAR ENDED 4/30/04 10/31/03 4/30/04 10/31/03 INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS Net investment income $ 1,046,796 $ 1,928,013 $ 271,846 $ 748,728 Net realized gain (loss) on investments, futures and foreign exchange transactions 21,193,379 (13,994,625) 19,666,221 116,156 Change in net unrealized appreciation (depreciation) of investments, futures and foreign exchange translations (4,915,247) 51,670,007 (10,905,710) 25,081,896 -------------------------------------------------------------------------------------------------------------------------- Increase (decrease) in net assets from operations 17,324,928 39,603,395 9,032,357 25,946,780 -------------------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS TO SHAREHOLDERS FROM Net investment income (4,530,199) (2,548,192) (939,677) (430,000) -------------------------------------------------------------------------------------------------------------------------- CAPITAL SHARE TRANSACTIONS Increase (decrease) (14,312,265) (116,262,855) (17,595,889) (10,270,234) -------------------------------------------------------------------------------------------------------------------------- NET ASSETS Total increase (decrease) in net assets (1,517,536) (79,207,652) (9,503,209) 15,246,546 -------------------------------------------------------------------------------------------------------------------------- Beginning of period 176,928,825 256,136,477 81,496,650 66,250,104 -------------------------------------------------------------------------------------------------------------------------- End of period $ 175,411,289 $ 176,928,825 $ 71,993,441 $ 81,496,650 -------------------------------------------------------------------------------------------------------------------------- Accumulated undistributed (overdistributed) net investment income $ (705,741) $ 2,777,662 $ 49,009 $ 716,840 --------------------------------------------------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 64
ASIA EQUITY FUND INTERNATIONAL EQUITY FUND --------------------------------- --------------------------------- 11/1/03 THROUGH YEAR ENDED 11/1/03 THROUGH YEAR ENDED 4/30/04 10/31/03 4/30/04 10/31/03 INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS Net investment income (loss) $ 44,744 $ 321,512 $ 4,139,260 $ 7,266,321 Net realized gain (loss) on investments and foreign exchange transactions 3,458,747 (1,710,646) (808,543) (10,745,295) Change in net unrealized appreciation (depreciation) of investments and foreign exchange translations (4,188,968) 8,983,551 75,277,988 118,866,466 -------------------------------------------------------------------------------------------------------------------------- Increase (decrease) in net assets from operations (685,477) 7,594,417 78,608,705 115,387,492 -------------------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS TO SHAREHOLDERS FROM Net investment income (414,178) -- (4,060,721) (6,762,429) -------------------------------------------------------------------------------------------------------------------------- CAPITAL SHARE TRANSACTIONS Increase (decrease) 11,330,119 7,754,921 171,116,037 467,662,712 -------------------------------------------------------------------------------------------------------------------------- NET ASSETS Total increase (decrease) in net assets 10,230,464 15,349,338 245,664,021 576,287,775 -------------------------------------------------------------------------------------------------------------------------- Beginning of period 38,590,954 23,241,616 823,826,618 247,538,843 -------------------------------------------------------------------------------------------------------------------------- End of period $ 48,821,418 $ 38,590,954 $ 1,069,490,639 $ 823,826,618 -------------------------------------------------------------------------------------------------------------------------- Accumulated undistributed (overdistributed) net investment income $ (42,843) $ 326,591 $ 1,711,291 $ 1,632,752 --------------------------------------------------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 65 JPMORGAN FUNDS NOTES TO FINANCIAL STATEMENTS (Unaudited) 1. ORGANIZATION J.P. Morgan Mutual Fund Group ("MFG"), J.P. Morgan Institutional Funds ("JPMIF") and J.P. Morgan Mutual Fund Select Group ("MFSG") (the "Trusts") were organized on May 11, 1987, November 4, 1992 and October 1, 1996, respectively, as Massachusetts business trusts, and are registered under the Investment Company Act of 1940, as amended, (the "1940 Act"), as open-end management investment companies. MFG and MFSG were formerly known as Mutual Fund Group and Mutual Fund Select Group, respectively. The name changes were effective May 1, 2003. The following are eight separate portfolios of the Trusts (collectively, the "Funds"):
FUND CLASSES OFFERED JPMorgan Fleming Intrepid European Fund ("EF") Class A, Class B, Class C, Institutional and Select JPMorgan Fleming Japan Fund ("JF") Class A and Class B JPMorgan Fleming International Growth Fund ("IGF") Class A and Class B JPMorgan Fleming International Value Fund ("IVF") Class A, Class B, Institutional and Select JPMorgan Fleming International Opportunities Fund ("IOF") Class A, Class B, Institutional and Select JPMorgan Fleming Emerging Markets Equity Fund ("EMF") Class A, Class B, Institutional and Select JPMorgan Fleming Asia Equity Fund ("AEF") Class A, Institutional and Select JPMorgan Fleming International Equity Fund ("IEF") Class A, Class B, Class C and Select
Prior to February 27, 2004, EF was formerly named JPMorgan Fleming European Fund. On September 12, 2003, Class B shares of AEF merged into Class A shares, and AEF Class B shares were closed. EF, JF, IGF and AEF are separate series of MFG. IVF, IOF and EMF are separate series of JPMIF. IEF is a separate series of MFSG. Class A shares generally provide for a front-end sales charge while Class B and Class C shares provide for a contingent deferred sales charge. Class B shares automatically convert to Class A shares after eight years. No sales charges are assessed with respect to the Institutional and Select Classes. All classes of shares have equal rights as to earnings, assets and voting privileges except that each class may bear different transfer agent, distribution and shareholder servicing fees and each class has exclusive voting rights with respect to its distribution plan and shareholder servicing agreements. Class A shares, for which front-end sales charges have been waived, may be subject to redemption charges as described in the Funds' prospectus. 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. 66 A. VALUATION OF INVESTMENTS -- Equity securities, purchased options and futures contracts are valued at the last sale price on the exchange on which they are primarily traded. The value of National Market Systems equity securities quotes by the Nasdaq Stock Market, Inc. shall generally be the Nasdaq Official Closing Price. Securities for which sale prices are not available and other over-the-counter securities are valued at the mean between the bid and asked quotations. Fixed income securities, other than convertible bonds, with a maturity of 61 days or more at the purchase date held by the Funds will be valued each day based on readily available market quotations received from independent or affiliated commercial pricing services. Such pricing services will generally provide bidside quotations. Convertible bonds are valued at the last sale price on the primary exchange on which the bond is principally traded. All short-term securities with a remaining maturity of sixty days or less are valued using the amortized cost method, which approximates market value. When valuations are not readily available, securities are valued at fair value as determined in accordance with procedures adopted by the Trustees. It is possible that the estimated values may differ significantly from the values that would have been used had a ready market for the investments existed, and such differences could have been material. Trading in securities on most foreign exchanges and over-the counter markets is normally completed before the close of the domestic market and may also take place on days when the domestic market is closed. In accordance with procedures adopted by the Trustees, each of the Funds applies fair value pricing on a daily basis for all non-U.S. and non-Canadian equity securities held in its portfolio by utilizing the quotations of an independent pricing service, unless the Fund's advisor, J.P. Morgan Investment Management Inc. ("JPMIM" or the "Advisor"), determines that use of another valuation methodology is appropriate. The pricing service uses statistical analysis and quantitative models to adjust local market prices using factors such as subsequent movements and changes in the prices of indices, securities, and exchange rates in other markets as of the time a Fund calculates its net asset value. B. FUTURES CONTRACTS -- When a Fund enters into a futures contract, it makes an initial margin deposit in a segregated account, either in cash or liquid securities. Thereafter, the futures contract is marked to market and the Fund makes (or receives) additional cash payments daily to (or from) the broker. Changes in the value of the contract are recorded as unrealized appreciation (depreciation) until the contract is closed or settled, at which time a realized gain or loss is recognized. Index futures contracts are used to control the asset mix of the portfolios in the most efficient manner, allowing the Funds to adjust country exposures while incurring minimal transaction costs. Short index futures contracts are used for hedging purposes, i.e. to reduce the exposure to equities. Long index futures contracts are used to gain exposure to equities, when it is anticipated that this will be more efficient than buying stocks directly. Use of long futures contracts subjects the Funds to risk of loss in excess of the amounts shown on the Statement of Assets and Liabilities, up to the notional value of the futures contracts. Use of short futures contracts subject the Funds to unlimited risk of loss. The Funds may enter into futures contracts only on exchanges or boards of trade. The exchange or board of trade acts as the counterparty to each futures transaction, therefore, the Fund's credit risk is limited to failure of the exchange or board of trade. As of April 30, 2004, the Funds had outstanding futures contracts as listed on the Funds' Portfolio of Investments. C. FOREIGN CURRENCY TRANSLATION -- The books and records of the Funds are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the prevailing exchange rates, or at the mean of the 67 current bid and asked prices, of such currencies against the U.S. dollar as quoted by a major bank, on the following basis: 1. Market value of investment securities and other assets and liabilities: at the rate of exchange at the valuation date. 2. Purchases and sales of investment securities, income and expenses: at the rates of exchange prevailing on the respective dates of such transactions. Although the net assets of the Funds are presented at the foreign exchange rates and market values at the close of the periods, the Funds do not isolate that portion of the results of operations arising as a result of changes in the foreign exchange rates from the fluctuations arising from changes in the market prices of securities held or sold during the year. Accordingly, such realized foreign currency gains (losses) are included in the reported net realized and unrealized gains (losses) on investment transactions. Reported realized foreign currency gains or losses arise from disposition of foreign currency, currency gains or losses realized between the trade and settlement dates on securities transactions, and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on the Funds' books on the transaction date and the U.S. dollar equivalent of the amounts actually received or paid. Unrealized foreign exchange gains and losses arise from changes (due to the changes in the exchange rate) in the value of foreign currency and other assets and liabilities denominated in foreign currencies, which are held at period end. D. FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS -- The Funds may enter into forward foreign currency exchange contracts (obligations to purchase or sell foreign currency in the future on a date and price fixed at the time the contracts are entered into) to manage the Funds' exposure to foreign currency exchange fluctuations. Each day the forward contract is open, changes in the value of the contract are recognized as unrealized gains or losses by "marking to market". When the forward contract is closed, or the delivery of the currency exchange is made or taken, the Fund records a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transaction and the Fund's basis in the contract. The Funds are subject to off-balance sheet risk to the extent of the value of the contracts for purchases of foreign currency and in an unlimited amount for sales of foreign currency. As of April 30, 2004, the Funds had outstanding forward foreign currency exchange contracts as listed on the Funds' Portfolio of Investments. E. RESTRICTED AND ILLIQUID SECURITIES -- The Funds 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. F. SECURITIES ON LOAN -- All of the funds except IGF have been approved by the Board of Trustees for 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, a Fund attempts to increase its net investment income through the receipt of interest (after rebates and fees) on collateral received in connection with the loan. The net amount of interest earned, after the rebate and fee, is included in the Statement of Operations as Securities lending (net). The loans are secured by collateral at least equal at all times to the value of the securities loaned plus accrued interest. Gain or loss on the value of the securities 68 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 April 30, 2004, the market value of securities loaned and the amount of collateral received were as follows:
MARKET VALUE OF MARKET VALUE OF SECURITIES LOANED COLLATERAL RECEIVED FUND EF $ 16,751,249 $ 17,567,200 JF 1,061,363 1,132,264 IVF 2,824,816 2,973,500 IOF 18,198,525 19,227,948 EMF 1,312,895 1,500,000 IEF 159,867,052 168,361,120
JPMCB as lending agent receives a fee equal to 0.05% (0.06% prior to January 31, 2004) of the average dollar value of the loans of U.S. securities outstanding during a given month and 0.10% (0.1142% prior to January 31, 2004) of the average dollar value of loans of non-U.S. securities outstanding during a given month from the Funds as detailed below: FUND EF $ 5,440 JF 369 IVF 1,091 IOF 7,585 EMF 200 IEF 59,543
Risks of delay in recovery of securities or even loss of rights in the collateral may occur should the borrower of the securities fail financially. Risks may also arise to the extent that the value of the securities loaned increases above the value of the securities received. JPMCB will indemnify each Fund from any loss resulting from a borrower's failure to return a loaned security when due. G. SECURITIES TRANSACTIONS AND INVESTMENT INCOME -- Investment transactions are accounted for on the trade date (the date the order to buy or sell is executed). Securities gains and losses are calculated on the identified cost basis. Interest income is determined on the basis of coupon interest accrued using the interest method adjusted for amortization of premiums and accretion of discounts. Dividend income less foreign taxes withheld (if any) is recorded on the ex-dividend date or when the Funds first learn of the dividend. Purchases of when issued securities may be settled a month or more after the trade date; interest income is not accrued until settlement date. H. ALLOCATION OF INCOME AND EXPENSES -- Expenses directly attributable to a Fund are charged to that Fund; other expenses of the Trusts are allocated proportionately among each of the Funds within the Trusts in relation to the net assets of each Fund or on another reasonable basis. Expenses directly attributable to a particular share class are charged directly to that class. In calculating the net asset value per share of each class, investment income, realized and unrealized gains and losses and expenses other than class specific expenses are allocated daily to each class of shares based upon the proportion of net assets of each class at the beginning of each day. I. FEDERAL INCOME TAXES -- Each Fund is treated as a separate taxable entity for Federal income tax purposes. The Fund's policy is to comply with the provisions of the Internal Revenue Code applicable to regulated investment companies and to distribute to shareholders all of its distributable net investment income and net realized gain on investments. In addition, the Funds intend to make distributions as required to avoid excise 69 taxes. Accordingly, no provision for Federal income or excise tax is necessary. J. FOREIGN TAXES -- The Funds may be subject to foreign taxes on income, gains on investments or currency repatriation, a portion of which may be recoverable. The Funds will accrue such taxes and recoveries as applicable, based upon their current interpretation of tax rules and regulations that exist in the markets in which it invests. K. DISTRIBUTIONS TO SHAREHOLDERS -- Dividends and distributions paid to shareholders are recorded on the ex-dividend date. The amount of dividends and distributions from net investment income and net realized capital gains is determined in accordance with Federal income tax regulations, which may differ from accounting principles generally accepted in the United States of America. To the extent these "book/tax" differences are permanent in nature (i.e., that they result from other than timing of recognition "temporary differences") such amounts are reclassified within the capital accounts based on their Federal tax-basis treatment. L. OTHER EXPENSES -- Other expenses in the Statement of Operations include fees related to line of credit, insurance, and pricing and reporting services. 3. FEES AND OTHER TRANSACTIONS WITH AFFILIATES A. INVESTMENT ADVISORY FEE -- Pursuant to the Investment Advisory Agreements, J.P. Morgan Investment Management, Inc. ("JPMIM" or advisor) acts as the investment advisor to the Funds. The Advisor supervises the investments of each respective Fund and for such services is paid a fee. The fee is accrued daily and paid monthly based on each Fund's respective average daily net assets. The annual fee for each Fund is as follows:
INVESTMENT ADVISORY FEE (%) FUND EF 0.65% JF 1.00% IGF 1.00% IVF 0.60% IOF 0.60% EMF 1.00% AEF 1.00% IEF 1.00%
JPMIM, on behalf of EF, JF, IGF and IEF, has entered into an investment sub-advisory agreement with J.P. Morgan Fleming Asset Management (London) Limited ("JPMFAM (London)"). JPMIM, on behalf of AEF, has entered into an investment sub-advisory agreement with JF International Management, Inc. ("JFIMI"). For its services as sub-advisor, JPMFAM (London) and JFIMI receive a portion of the fees payable to JPMIM. The Advisors waived fees as outlined in Note 3.F. The Funds may invest in one or more of the affiliated JPMorgan Money Market Funds. The Advisor has agreed to waive and/or reimburse its advisory fee from the Funds in an amount sufficient to offset any doubling up of investment advisory, administration and shareholder servicing fees related to each Fund's investment in an affiliated money market fund. 70 B. DISTRIBUTION FEES -- Pursuant to a Distribution Agreement, J.P. Morgan Fund Distributor, 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 EF 0.25 0.75 0.75 JF 0.25 0.75 n/a IGF 0.25 0.75 n/a IVF 0.25 0.75 n/a IOF 0.25 0.75 n/a EMF 0.25 0.75 n/a AEF 0.25 n/a n/a IEF 0.25 0.75 0.75
In addition, JPMFD is entitled to receive the contingent deferred sales charges ("CDSC") from redemptions of Class B and Class C shares. The Distributor waived fees and reimbursed expenses as outlined in Note 3.F. C. SHAREHOLDER SERVICING FEES -- The Trusts have entered into a Shareholder Servicing Agreement on behalf of the Funds with JPMCB, under which JPMCB provides account administration and personal account maintenance service to the shareholders. For performing these services JPMCB receives a fee that is computed daily and paid monthly equal to a percentage of the average daily net assets as shown in the table below (%):
INSTITUTIONAL SELECT CLASS A CLASS B CLASS C CLASS CLASS FUND EF 0.25 0.25 0.25 0.10 0.25 JF 0.25 0.25 n/a n/a n/a IGF 0.25 0.25 n/a n/a n/a IVF 0.25 0.25 n/a 0.10 0.25 IOF 0.25 0.25 n/a 0.10 0.25 EMF 0.25 0.25 n/a 0.10 0.25 AEF 0.25 n/a n/a 0.10 0.25 IEF 0.25 0.25 0.25 n/a 0.25
71 JPMCB may enter into services contracts with certain entities under which it will pay all or a portion of the annual fee to such entities performing shareholding and administrative services. In addition, JPMCB, Charles Schwab & Co. ("Schwab"), and the Trusts are parties to separate servicing and operating agreements (the "Schwab Agreements") whereby Schwab makes shares of the Funds available to customers and investment advisors and other financial intermediaries who are Schwab's clients. The Funds are not responsible for payments to Schwab under Schwab Agreements; however, in the event the servicing agreement with Schwab is terminated for reasons other than a breach by Schwab and the relationship between MFG, JPMIF and JPMCB is terminated, the Funds would be responsible for 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 and accounting services for all of the Funds except IGF. Compensation for such services is presented in the Statement of Operations as custodian fees. The custodian fees may be reduced by credits earned by each Fund, based on uninvested cash balances held by the custodian. Such earnings credits are presented separately in the Statement of Operations. E. ADMINISTRATION FEE -- Pursuant to the Administration Agreement, JPMCB (the "Administrator") provides certain administration services to the Funds. In consideration of these services, the Administrator receives a fee computed daily and paid monthly at an annual rate equal to 0.15% of the first $25 billion of the average daily net assets of all non-money market funds in the JPMorgan Fund Complex and 0.075% of the average daily net assets in excess of $25 billion for all Funds. BISYS Fund Services, L.P. ("BISYS") serves as the Funds' sub-administrator. For its services as sub-administrator, BISYS receives a portion of the fees payable to JPMCB as Administrator. The Administrator 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 EF 1.75 2.50 2.50 1.00 1.50 JF 1.75 2.50 n/a n/a n/a IGF 2.00 2.50 n/a n/a n/a IVF 1.45 1.95 n/a 0.95 1.41 IOF 1.90 2.40 n/a 0.92 1.20 EMF 2.00 2.50 n/a 1.45 1.75 AEF 1.75 n/a n/a 1.35 1.50 IEF 1.50 2.00 2.00 n/a 1.25
72 The contractual expense limitation agreements were in effect for the six months ended April 30, 2004. The expense limitation percentages in the table above are due to expire on February 28, 2005. The Administrator waived fees and reimbursed expenses as outlined in Note 3.F. F. WAIVERS AND REIMBURSEMENTS -- For the six months ended April 30, 2004, the Funds' service providers waived fees and the Administrator contractually reimbursed expenses for each of the Funds as follows. Neither the Funds' service providers nor the Administrator expect the Funds to repay any such waived fees and reimbursed expenses in future years.
CONTRACTUAL WAIVERS ------------------------------------------------------------------------- INVESTMENT SHAREHOLDER CONTRACTUAL ADVISORY ADMINISTRATION SERVICING DISTRIBUTION TOTAL REIMBURSEMENTS FUND EF $ 155,384 $ 45,555 $ 18,026 $ -- $ 218,965 $ 8,718 JF 45,199 6,780 11,300 10,570 73,849 90,801 IGF 21,575 3,236 5,394 -- 30,205 65,299 IVF 55,804 30,083 14,114 -- 100,001 19,843 IOF 50,005 45,612 63,561 -- 159,178 -- EMF 72,994 57,641 28,480 -- 159,115 13,972 AEF 131,028 35,728 2,267 -- 169,023 7,223 IEF 506,565 8,349 712,481 -- 1,227,395 15,013 ---------------------------------------------------------------------------------------------------------------------- Total $ 1,038,554 $ 232,984 $ 855,623 $ 10,570 $ 2,137,731 $ 220,869 ----------------------------------------------------------------------------------------------------------------------
VOLUNTARY WAIVERS ----------------------------------------------------------------------- INVESTMENT SHAREHOLDER ADVISORY ADMINISTRATION SERVICING DISTRIBUTION TOTAL FUND EF $ 4,724 $ 21,097 $ -- $ -- $ 25,821 IVF -- 3,400 -- -- 3,400 IEF 451,497 225,748 -- -- 677,245 ---------------------------------------------------------------------------------------------------------------------- Total $ 456,221 $ 250,245 $ -- $ -- $ 706,466 ----------------------------------------------------------------------------------------------------------------------
G. OTHER -- Certain officers of the Trusts are officers of J.P. Morgan Chase & Co. or of BISYS or their subsidiaries. During the period, certain Funds may have purchased securities from an underwriting syndicate in which the principal underwriter or members of the syndicate were affiliated with the Advisors. The Funds may use related party broker/dealers. For the six months ended April 30, 2004, EF, JF, EMF and AEF incurred approximately $334, $490, $205 and $19,416, respectively, as broker commissions with brokers/dealers affiliated with JPMCB. The SEC has granted an exemptive order permitting each Fund to engage in principal transactions with J.P. Morgan Securities Inc., an affiliated broker, involving taxable money market instruments subject to certain conditions. 73 4. CLASS SPECIFIC EXPENSES The Funds' class specific expenses for the six months ended April 30, 2004 are as follows:
SHAREHOLDER SERVICING DISTRIBUTION TRANSFER AGENT EF Class A $ 43,665 $ 43,666 $ 50,833 Class B 15,969 47,908 18,618 Class C 4,170 12,509 4,853 Institutional 10,859 -- 8,718 Select 20,134 -- 11,121 ---------------------------------------------------------------------------- Total $ 94,797 $ 104,083 $ 94,143 JF Class A $ 10,570 $ 10,570 $ 17,339 Class B 730 2,189 1,516 ---------------------------------------------------------------------------- Total $ 11,300 $ 12,759 $ 18,855 IGF Class A $ 4,322 $ 4,321 $ 14,662 Class B 1,072 3,217 3,638 ---------------------------------------------------------------------------- Total $ 5,394 $ 7,538 $ 18,300 IVF Class A $ 90 $ 90 $ 2,515 Class B 398 1,194 11,003 Institutional 13,625 -- 6,813 Select 21,252 -- 14,451 ---------------------------------------------------------------------------- Total $ 35,365 $ 1,284 $ 34,782 IOF Class A $ 14,643 $ 14,643 $ 41,425 Class B 1,877 5,630 5,345 Institutional 67,407 -- 14,268 Select 43,021 -- 14,522 ---------------------------------------------------------------------------- Total $ 126,948 $ 20,273 $ 75,560 EMF Class A $ 608 $ 608 $ 11,143 Class B 176 528 3,896 Institutional 26,380 -- 6,448 Select 29,332 -- 15,979 ---------------------------------------------------------------------------- Total $ 56,496 $ 1,136 $ 37,466 AEF Class A $ 478 $ 477 $ 7,817 Institutional 9,128 -- 7,145 Select 36,248 -- 8,602 ---------------------------------------------------------------------------- Total $ 45,854 $ 477 $ 23,564
74
SHAREHOLDER SERVICING DISTRIBUTION TRANSFER AGENT IEF Class A $ 37,307 $ 37,307 $ 35,195 Class B 422 1,266 433 Class C 4,015 12,044 4,159 Select 1,128,742 -- 27,947 ---------------------------------------------------------------------------- Total $ 1,170,486 $ 50,617 $ 67,734
5. CLASS SPECIFIC DISTRIBUTIONS The Funds' class specific distributions from net investment income and realized gain on investment transactions for the six months ended April 30, 2004 and the year ended October 31, 2003 are as follows:
SIX MONTHS ENDED 4/30/04 YEAR ENDED 10/31/03 --------------------------------- --------------------------------- NET NET INVESTMENT INCOME REALIZED GAIN INVESTMENT INCOME REALIZED GAIN EF Class A $ -- $ -- $ 182,850 $ -- Class B -- -- 62,545 -- Class C -- -- 17,829 -- Institutional 46,309 -- 49,458 -- Select 2,237 -- 62,128 -- ------------------------------------------------------------------------------------------------- Total $ 48,546 $ -- $ 374,810 $ -- IGF Class A $ 8,800 $ -- $ -- $ -- Class B -- -- -- -- ------------------------------------------------------------------------------------------------- Total $ 8,800 $ -- $ -- $ -- IVF Class A $ 17 $ -- $ 5,641 $ -- Class B 1,031 -- 5,748 -- Institutional 282,695 -- 876,423 -- Select 93,772 -- 593,686 -- ------------------------------------------------------------------------------------------------- Total $ 377,515 $ -- $ 1,481,498 $ -- IOF Class A $ 193,283 $ -- $ 117,616 $ -- Class B 22,172 -- 12,558 -- Institutional 3,539,890 -- 2,095,226 -- Select 774,854 -- 322,792 -- ------------------------------------------------------------------------------------------------- Total $ 4,530,199 $ -- $ 2,548,192 $ --
75
SIX MONTHS ENDED 4/30/04 YEAR ENDED 10/31/03 --------------------------------- --------------------------------- NET NET INVESTMENT INCOME REALIZED GAIN INVESTMENT INCOME REALIZED GAIN EMF Class A $ 2,932 $ -- $ 886 $ -- Class B 743 -- 229 -- Institutional 685,507 -- 307,562 -- Select 250,495 -- 121,323 -- ------------------------------------------------------------------------------------------------- Total $ 939,677 $ -- $ 430,000 $ -- AEF Class A $ 2,611 $ -- $ -- $ -- Institutional 162,673 -- -- -- Select 248,894 -- -- -- ------------------------------------------------------------------------------------------------- Total $ 414,178 $ -- $ -- $ -- IEF Class A $ 97,932 $ -- $ 37,568 $ -- Class B 704 -- 544 -- Class C 5,038 -- 2,626 -- Select 3,957,047 -- 6,721,691 -- ------------------------------------------------------------------------------------------------- Total $ 4,060,721 $ -- $ 6,762,429 $ --
6. INVESTMENT TRANSACTIONS For the six months ended April 30, 2004, purchases and sales of investments (excluding short-term investments) are as follows:
PURCHASES SALES (EXCLUDING U.S. (EXCLUDING U.S. GOVERNMENT) GOVERNMENT) FUND EF $ 196,047,136 $ 177,206,651 JF 33,802,009 18,519,911 IGF 1,237,800 1,293,294 IVF 24,863,215 31,698,422 IOF 91,860,628 106,623,411 EMF 55,785,763 71,969,408 AEF 50,994,188 39,482,739 IEF 369,664,810 219,694,243
76 7. FEDERAL INCOME TAX MATTERS For Federal income tax purposes, the cost and unrealized appreciation (depreciation) in value of the investment securities at April 30, 2004, are as follows:
GROSS GROSS NET UNREALIZED AGGREGATE UNREALIZED UNREALIZED APPRECIATION COST APPRECIATION DEPRECIATION (DEPRECIATION) FUND EF $ 90,604,182 $ 5,932,662 $ (2,691,148) $ 3,241,514 JF 19,295,310 1,776,900 (650,585) 1,126,315 IGF 3,768,801 707,867 (174,677) 533,190 IVF 35,650,698 7,928,663 (535,885) 7,392,778 IOF 142,499,002 35,998,316 (4,520,525) 31,477,791 EMF 67,979,390 12,542,229 (9,819,359) 2,722,870 AEF 44,805,920 5,223,937 (3,036,040) 2,187,897 IEF 875,159,940 156,736,920 (12,207,602) 144,529,318
8. BANK BORROWINGS Pursuant to a Line of Credit Agreement, dated April 17, 2003, the Funds may borrow money for temporary or emergency purposes. The Funds have entered into the agreement, enabling them to participate with other JPMorgan Funds in a line of credit with JPMCB, as administrative agent, and with a syndicate of banks, which permits borrowings up to $250 million, collectively. Interest is charged to each Fund based on its borrowings at an annual rate equal to the sum of the Federal Funds Rate plus 0.50%. The Funds also pay a commitment fee of 0.09% per annum on the average daily amount of the 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 expired on April 15, 2004 and has been extended to April 14, 2005. The Funds had no borrowings outstanding at April 30, 2004, nor at anytime during the period then ended. 9. CONCENTRATIONS AND INDEMNIFICATIONS The Funds may have elements of risk not typically associated with investments in the United States of America due to concentrated investments in a limited number of countries or regions, which may vary throughout the year. Such concentrations may subject the Funds to additional risks resulting from political or economic conditions in such countries or regions and the possible imposition of adverse governmental laws or currency exchange restrictions could cause the securities and their markets to be less liquid and their prices more volatile than those of comparable U.S. securities. As of April 30, 2004, substantially all of the Funds' net assets consist of securities of issuers that are denominated in foreign currencies. Changes in currency exchange rates will affect the value of and investment income from such securities. As of April 30, 2004, EF, IGF, IVF, IOF, and IEF invested approximately 28.0%, 27.0%, 25.8%, 23.7% and 28.1%, respectively, of its respective portfolio in issuers in the United Kingdom. EMF and AEF invested 21.8% and 26.1%, respectively, of its respective portfolio in issuers in South Korea. AEF invested 20.8% of its respective portfolio in issuers in Hong Kong. IEF and IGF invested, respectively, 20.5% and 21.8% of its respective portfolio in issuers in Japan. 77 As of April 30, 2004, IVF invested approximately 20.9% of its net assets in securities issued by banking companies. From time to time, the Funds may have a concentration of several shareholders holding a significant percentage of shares outstanding. At April 30, 2004, all of the outstanding shares of IGF are owned by a related party. Investment activities of these shareholders could have a material impact on the Funds. In the normal course of business the Funds enter into contracts that contain a variety of representations which provide general indemnifications. Each Fund's maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against each Fund that have not yet occurred. However, based on experience, the Funds expect the risk of loss to be remote. 10. CORPORATE EVENT On May 25, 2004, J.P. Morgan Chase & Co. and Bank One Corp. announced that, at separate meetings, their respective shareholders had approved the merger of the two companies. The companies are expecting to complete the merger of their holding companies on or about July 1, 2004. 78 11. CAPITAL SHARE TRANSACTIONS Capital share transactions were as follows for the periods presented:
INTREPID EUROPEAN FUND ------------------------------------ SIX MONTHS ENDED YEAR ENDED APRIL 30, 2004 OCTOBER 31, 2003 CLASS A SHARES AMOUNT Shares sold $ 6,561,117 $ 40,276,497 Shares issued in reinvestment of distributions -- 83,574 Shares redeemed (6,434,477) (43,434,120) ----------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ 126,640 $ (3,074,049) ----------------------------------------------------------------------------------------- SHARES Shares sold 352,055 2,790,586 Shares issued in reinvestment of distributions -- 6,424 Shares redeemed (347,253) (3,005,402) ----------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding 4,802 (208,392) ----------------------------------------------------------------------------------------- CLASS B SHARES AMOUNT Shares sold $ 648,177 $ 1,762,130 Shares issued in reinvestment of distributions -- 48,442 Shares redeemed (1,169,695) (2,733,317) ----------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (521,518) $ (922,745) ----------------------------------------------------------------------------------------- SHARES Shares sold 35,854 130,394 Shares issued in reinvestment of distributions -- 3,900 Shares redeemed (64,563) (207,188) ----------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding (28,709) (72,894) -----------------------------------------------------------------------------------------
79
INTREPID EUROPEAN FUND (CONTINUED) ------------------------------------ SIX MONTHS ENDED YEAR ENDED APRIL 30, 2004 OCTOBER 31, 2003 CLASS C SHARES AMOUNT Shares sold $ 611,948 $ 1,061,527 Shares issued in reinvestment of distributions -- 6,481 Shares redeemed (669,634) (1,309,683) ----------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (57,686) $ (241,675) ----------------------------------------------------------------------------------------- SHARES Shares sold 33,694 82,948 Shares issued in reinvestment of distributions -- 522 Shares redeemed (37,104) (101,132) ----------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding (3,410) (17,662) ----------------------------------------------------------------------------------------- INSTITUTIONAL SHARES AMOUNT Shares sold $ 23,561,374 $ 11,942,862 Shares issued in reinvestment of distributions 10,635 9,584 Shares redeemed (3,417,683) (8,659,348) ----------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ 20,154,326 $ 3,293,098 ----------------------------------------------------------------------------------------- SHARES Shares sold 1,195,008 808,481 Shares issued in reinvestment of distributions 580 731 Shares redeemed (168,436) (581,439) ----------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding 1,027,152 227,773 ----------------------------------------------------------------------------------------- SELECT SHARES AMOUNT Shares sold $ 7,481,991 $ 37,953,176 Shares issued in reinvestment of distributions 1,933 53,460 Shares redeemed (727,330) (37,843,951) ----------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ 6,756,594 $ 162,685 ----------------------------------------------------------------------------------------- SHARES Shares sold 390,732 2,716,370 Shares issued in reinvestment of distributions 106 4,100 Shares redeemed (38,170) (2,698,946) ----------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding 352,668 21,524 -----------------------------------------------------------------------------------------
80
JAPAN FUND ------------------------------------ SIX MONTHS ENDED YEAR ENDED APRIL 30, 2004 OCTOBER 31, 2003 CLASS A SHARES AMOUNT Shares sold $ 18,828,897 $ 9,324,505 Shares redeemed (3,213,750) (7,237,188) ----------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ 15,615,147 $ 2,087,317 ----------------------------------------------------------------------------------------- SHARES Shares sold 2,711,640 1,871,032 Shares redeemed (486,122) (1,503,284) ----------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding 2,225,518 367,748 ----------------------------------------------------------------------------------------- CLASS B SHARES AMOUNT Shares sold $ 863,913 $ 2,655,629 Shares redeemed (731,138) (2,370,145) ----------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ 132,775 $ 285,484 ----------------------------------------------------------------------------------------- SHARES Shares sold 139,819 486,384 Shares redeemed (119,483) (438,419) ----------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding 20,336 47,965 -----------------------------------------------------------------------------------------
81
INTERNATIONAL GROWTH FUND ------------------------------------ SIX MONTHS ENDED YEAR ENDED APRIL 30, 2004 OCTOBER 31, 2003 CLASS A SHARES AMOUNT Shares sold $ -- $ -- Shares issued in reinvestment of distributions 8,800 -- Shares redeemed (3,909) -- ----------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ 4,891 $ -- ----------------------------------------------------------------------------------------- SHARES Shares sold -- -- Shares issued in reinvestment of distributions 1,077 -- Shares redeemed (454) -- ----------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding 623 -- ----------------------------------------------------------------------------------------- CLASS B SHARES AMOUNT Shares sold $ -- $ 500 Shares issued in reinvestment of distributions -- -- Shares redeemed -- -- ----------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ -- $ 500 ----------------------------------------------------------------------------------------- SHARES Shares sold -- 65 Shares issued in reinvestment of distributions -- -- Shares redeemed -- -- ----------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding -- 65 -----------------------------------------------------------------------------------------
82
INTERNATIONAL VALUE FUND ------------------------------------ SIX MONTHS ENDED YEAR ENDED APRIL 30, 2004 OCTOBER 31, 2003 CLASS A SHARES AMOUNT Shares sold $ 14,158 $ 543,162 Shares issued in reinvestment of distributions 17 2,552 Shares redeemed (2,186) (675,120) ----------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ 11,989 $ (129,406) ----------------------------------------------------------------------------------------- SHARES Shares sold 1,453 77,455 Shares issued in reinvestment of distributions 2 376 Shares redeemed (226) (94,026) ----------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding 1,229 (16,195) ----------------------------------------------------------------------------------------- CLASS B SHARES AMOUNT Shares sold $ 99,770 $ 50,588 Shares issued in reinvestment of distributions 978 5,748 Shares redeemed (6,142) (17,614) ----------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ 94,606 $ 38,722 ----------------------------------------------------------------------------------------- SHARES Shares sold 10,325 6,411 Shares issued in reinvestment of distributions 111 850 Shares redeemed (617) (2,473) ----------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding 9,819 4,788 ----------------------------------------------------------------------------------------- INSTITUTIONAL SHARES AMOUNT Shares sold $ 1,530,766 $ 45,587,834 Shares issued in reinvestment of distributions 231,541 662,311 Shares redeemed (5,248,091) (53,678,945) ----------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (3,485,784) $ (7,428,800) ----------------------------------------------------------------------------------------- SHARES Shares sold 162,870 6,408,246 Shares issued in reinvestment of distributions 25,899 97,113 Shares redeemed (541,139) (7,521,869) ----------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding (352,370) (1,016,510) -----------------------------------------------------------------------------------------
83
INTERNATIONAL VALUE FUND (CONTINUED) ------------------------------------ SIX MONTHS ENDED YEAR ENDED APRIL 30, 2004 OCTOBER 31, 2003 SELECT SHARES AMOUNT Shares sold $ 1,504,453 $ 68,279,734 Shares issued in reinvestment of distributions 83,263 527,931 Shares redeemed (3,165,571) (72,491,666) ----------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (1,577,855) $ (3,684,001) ----------------------------------------------------------------------------------------- SHARES Shares sold 158,016 9,510,101 Shares issued in reinvestment of distributions 9,324 77,523 Shares redeemed (343,759) (10,070,895) ----------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding (176,419) (483,271) -----------------------------------------------------------------------------------------
84
INTERNATIONAL OPPORTUNITIES FUND ------------------------------------ SIX MONTHS ENDED YEAR ENDED APRIL 30, 2004 OCTOBER 31, 2003 CLASS A SHARES AMOUNT Shares sold $ 2,171,023 $ 36,091,421 Shares issued in reinvestment of distributions 152,426 99,065 Shares redeemed (1,655,568) (39,802,772) ----------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ 667,881 $ (3,612,286) ----------------------------------------------------------------------------------------- SHARES Shares sold 209,686 4,597,546 Shares issued in reinvestment of distributions 16,355 13,244 Shares redeemed (167,946) (5,051,145) ----------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding 58,095 (440,355) ----------------------------------------------------------------------------------------- CLASS B SHARES AMOUNT Shares sold $ 40,065 $ 171,083 Shares issued in reinvestment of distributions 19,838 10,904 Shares redeemed (181,218) (376,308) ----------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (121,315) $ (194,321) ----------------------------------------------------------------------------------------- SHARES Shares sold 4,281 21,996 Shares issued in reinvestment of distributions 2,140 1,463 Shares redeemed (18,436) (51,002) ----------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding (12,015) (27,543) ----------------------------------------------------------------------------------------- INSTITUTIONAL SHARES AMOUNT Shares sold $ 7,915,301 $ 94,487,627 Shares issued in reinvestment of distributions 1,220,797 1,065,103 Shares redeemed (24,711,094) (199,547,604) ----------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (15,574,996) $ (103,994,874) ----------------------------------------------------------------------------------------- SHARES Shares sold 808,682 12,124,742 Shares issued in reinvestment of distributions 129,596 141,073 Shares redeemed (2,502,042) (25,518,152) ----------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding (1,563,764) (13,252,337) -----------------------------------------------------------------------------------------
85
INTERNATIONAL OPPORTUNITIES FUND (CONTINUED) -------------------------------------------- SIX MONTHS ENDED YEAR ENDED APRIL 30, 2004 OCTOBER 31, 2003 SELECT SHARES AMOUNT Shares sold $ 13,387,760 $ 73,847,430 Shares issued in reinvestment of distributions 485,779 248,520 Shares redeemed (13,157,374) (82,557,324) ------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ 716,165 $ (8,461,374) ------------------------------------------------------------------------------------------------- SHARES Shares sold 1,344,700 9,619,318 Shares issued in reinvestment of distributions 51,734 33,004 Shares redeemed (1,314,532) (10,731,214) ------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding 81,902 (1,078,892) -------------------------------------------------------------------------------------------------
86
EMERGING MARKETS EQUITY FUND ------------------------------------ SIX MONTHS ENDED YEAR ENDED APRIL 30, 2004 OCTOBER 31, 2003 CLASS A SHARES AMOUNT Shares sold $ 1,026,617 $ 222,427 Shares issued in reinvestment of distributions 2,606 886 Shares redeemed (168,490) (172,217) ----------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ 860,733 $ 51,096 ----------------------------------------------------------------------------------------- SHARES Shares sold 119,153 36,685 Shares issued in reinvestment of distributions 343 161 Shares redeemed (19,093) (29,071) ----------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding 100,403 7,775 ----------------------------------------------------------------------------------------- CLASS B SHARES AMOUNT Shares sold $ 210,280 $ 306,190 Shares issued in reinvestment of distributions 688 227 Shares redeemed (119,641) (276,477) ----------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ 91,327 $ 29,940 ----------------------------------------------------------------------------------------- SHARES Shares sold 24,912 53,373 Shares issued in reinvestment of distributions 91 42 Shares redeemed (14,470) (48,520) ----------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding 10,533 4,895 ----------------------------------------------------------------------------------------- INSTITUTIONAL SHARES AMOUNT Shares sold $ 2,563,928 $ 41,492,898 Shares issued in reinvestment of distributions 533,769 269,543 Shares redeemed (20,033,720) (49,074,995) ----------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (16,936,023) $ (7,312,554) ----------------------------------------------------------------------------------------- SHARES Shares sold 310,500 6,770,225 Shares issued in reinvestment of distributions 69,231 48,742 Shares redeemed (2,468,805) (8,140,162) ----------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding (2,089,074) (1,321,195) -----------------------------------------------------------------------------------------
87
EMERGING MARKETS EQUITY FUND (CONTINUED) ---------------------------------------- SIX MONTHS ENDED YEAR ENDED APRIL 30, 2004 OCTOBER 31, 2003 SELECT SHARES AMOUNT Shares sold $ 5,618,001 $ 25,679,042 Shares issued in reinvestment of distributions 242,745 109,846 Shares redeemed (7,472,672) (28,827,604) --------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (1,611,926) $ (3,038,716) --------------------------------------------------------------------------------------------- SHARES Shares sold 661,933 4,451,740 Shares issued in reinvestment of distributions 31,690 19,972 Shares redeemed (906,246) (5,039,893) --------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding (212,623) (568,181) ---------------------------------------------------------------------------------------------
88
ASIA EQUITY FUND ------------------------------------ SIX MONTHS ENDED YEAR ENDED APRIL 30, 2004 OCTOBER 31, 2003 CLASS A SHARES AMOUNT Shares sold $ 375,167 $ 537,655 Shares issued in reinvestment of distributions 2,033 -- Shares redeemed (405,628) (2,492,363) ----------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (28,428) $ (1,954,708) ----------------------------------------------------------------------------------------- SHARES Shares sold 19,973 32,651 Shares issued in reinvestment of distributions 115 -- Shares redeemed (20,195) (184,626) ----------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding (107) (151,975) ----------------------------------------------------------------------------------------- CLASS B^ SHARES AMOUNT Shares sold $ -- $ 1,689 Shares issued in reinvestment of distributions -- -- Shares redeemed -- (439,700) ----------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ -- $ (438,011) ----------------------------------------------------------------------------------------- SHARES Shares sold -- 134 Shares issued in reinvestment of distributions -- -- Shares redeemed -- (33,467) ----------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding -- (33,333) -----------------------------------------------------------------------------------------
^ Class ceased operations as of September 12, 2003. 89
ASIA EQUITY FUND (CONTINUED) ------------------------------------ SIX MONTHS ENDED YEAR ENDED APRIL 30, 2004 OCTOBER 31, 2003 INSTITUTIONAL SHARES AMOUNT Shares sold $ 11,005,290 $ 7,757,913 Shares issued in reinvestment of distributions 53,366 -- Shares redeemed (4,001,578) (2,900,715) ----------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ 7,057,078 $ 4,857,198 ----------------------------------------------------------------------------------------- SHARES Shares sold 583,180 524,630 Shares issued in reinvestment of distributions 3,005 -- Shares redeemed (212,150) (217,520) ----------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding 374,035 307,110 ----------------------------------------------------------------------------------------- SELECT SHARES AMOUNT Shares sold $ 5,808,337 $ 12,196,112 Shares issued in reinvestment of distributions 98,193 -- Shares redeemed (1,605,061) (6,905,670) ----------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ 4,301,469 $ 5,290,442 ----------------------------------------------------------------------------------------- SHARES Shares sold 308,398 845,208 Shares issued in reinvestment of distributions 5,535 -- Shares redeemed (84,969) (496,583) ----------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding 228,964 348,625 -----------------------------------------------------------------------------------------
90
INTERNATIONAL EQUITY FUND ------------------------------------ SIX MONTHS ENDED YEAR ENDED APRIL 30, 2004 OCTOBER 31, 2003 CLASS A SHARES AMOUNT Shares sold $ 40,589,148 $ 20,900,763 Shares issued in reinvestment of distributions 26,343 25,323 Shares redeemed (8,584,455) (13,862,836) ----------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ 32,031,036 $ 7,063,250 ----------------------------------------------------------------------------------------- SHARES Shares sold 1,607,348 1,016,554 Shares issued in reinvestment of distributions 1,022 1,181 Shares redeemed (335,698) (655,562) ----------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding 1,272,672 362,173 ----------------------------------------------------------------------------------------- CLASS B SHARES AMOUNT Shares sold $ 434,069 $ 138,537 Shares issued in reinvestment of distributions 609 531 Shares redeemed (123,346) (7,776) ----------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ 311,332 $ 131,292 ----------------------------------------------------------------------------------------- SHARES Shares sold 16,899 6,922 Shares issued in reinvestment of distributions 24 26 Shares redeemed (4,664) (363) ----------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding 12,259 6,585 -----------------------------------------------------------------------------------------
91
INTERNATIONAL EQUITY FUND (CONTINUED) -------------------------------------- SIX MONTHS ENDED YEAR ENDED APRIL 30, 2004 OCTOBER 31, 2003** CLASS C SHARES AMOUNT Shares sold $ 3,255,528 $ 2,164,951 Shares issued in reinvestment of distributions 2,153 2,490 Shares redeemed (926,934) (564,751) ------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ 2,330,747 $ 1,602,690 ------------------------------------------------------------------------------------------- SHARES Shares sold 129,214 100,275 Shares issued in reinvestment of distributions 85 117 Shares redeemed (36,503) (27,490) ------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding 92,796 72,902 ------------------------------------------------------------------------------------------- SELECT SHARES AMOUNT Shares sold $ 380,594,930 $ 559,611,045 Shares issued in reinvestment of distributions 1,354,816 2,705,120 Shares redeemed (245,506,824) (103,450,685) ------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ 136,442,922 $ 458,865,480 ------------------------------------------------------------------------------------------- SHARES Shares sold 14,648,985 27,236,203 Shares issued in reinvestment of distributions 52,171 131,977 Shares redeemed (9,822,171) (5,015,596) ------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding 4,878,985 22,352,584 -------------------------------------------------------------------------------------------
** For Class C Shares, from commencement of offering on January 31, 2003. 92 THIS PAGE IS INTENTIONALLY LEFT BLANK 93 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 INTREPID EUROPEAN FUND (e) 11/1/03 Through 4/30/04 $ 16.94 0.02^ 1.31 1.33 Year Ended 10/31/03 $ 13.23 0.02^ 3.78 3.80 Year Ended 10/31/02 $ 12.96 0.14^ 0.13 0.27 Year Ended 10/31/01 $ 17.87 0.02^ (3.24) (3.22) Year Ended 10/31/00 $ 16.52 (0.12)^ 1.83 1.71 Year Ended 10/31/99 $ 14.47 (0.06)^ 2.31 2.25 JAPAN FUND (j) 11/1/03 Through 4/30/04 $ 6.68 (0.01)^ 0.77 0.76 Year Ended 10/31/03 $ 4.43 (0.05)^ 2.30 2.25 Year Ended 10/31/02 $ 5.29 (0.06) (0.80) (0.86) Year Ended 10/31/01 $ 8.12 (0.08)^ (2.75) (2.83) Year Ended 10/31/00 $ 9.84 (0.15)^ (1.57) (1.72) Year Ended 10/31/99 $ 6.41 (0.07)^ 3.50 3.43 INTERNATIONAL GROWTH FUND (g) 11/1/03 Through 4/30/04 $ 7.80 (0.01) 0.75 0.74 Year Ended 10/31/03 $ 6.25 0.02 1.53 1.55 Year Ended 10/31/02 $ 7.22 (0.01) (0.96) (0.97) 12/29/00* Through 10/31/01 $ 10.00 (0.01) (2.76) (2.77) INTERNATIONAL VALUE FUND (v) 11/1/03 Through 4/30/04 $ 8.53 0.07^ 1.20 1.27 Year Ended 10/31/03 $ 6.98 0.03^ 1.77 1.80 Year Ended 10/31/02 $ 8.27 0.15^ (1.32) (1.17) 9/28/01** Through 10/31/01 $ 8.12 (0.01)^ 0.16 0.15 PER SHARE OPERATING PERFORMANCE: ------------------------------------------ LESS DISTRIBUTIONS: ------------------------------------------ DIVIDENDS FROM NET DISTRIBUTIONS INVESTMENT FROM CAPITAL TOTAL INCOME GAINS DISTRIBUTIONS INTREPID EUROPEAN FUND (e) 11/1/03 Through 4/30/04 -- -- -- Year Ended 10/31/03 0.09 -- 0.09 Year Ended 10/31/02 -- -- -- Year Ended 10/31/01 -- 1.69 1.69 Year Ended 10/31/00 -- 0.36 0.36 Year Ended 10/31/99 0.09 0.11 0.20 JAPAN FUND (j) 11/1/03 Through 4/30/04 -- -- -- Year Ended 10/31/03 -- -- -- Year Ended 10/31/02 -- -- -- Year Ended 10/31/01 -- -- -- Year Ended 10/31/00 -- -- -- Year Ended 10/31/99 -- -- -- INTERNATIONAL GROWTH FUND (g) 11/1/03 Through 4/30/04 0.02 -- 0.02 Year Ended 10/31/03 -- -- -- Year Ended 10/31/02 -- -- -- 12/29/00* Through 10/31/01 0.01 -- 0.01 INTERNATIONAL VALUE FUND (v) 11/1/03 Through 4/30/04 --(b) -- --(b) Year Ended 10/31/03 0.25 -- 0.25 Year Ended 10/31/02 0.12 -- 0.12 9/28/01** Through 10/31/01 -- -- --
* 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 or deferred sales load. (a) Not annualized for periods less than one year. (b) Amount rounds to less than $.01. SEE NOTES TO FINANCIAL STATEMENTS. 94 SEMI-ANNUAL REPORT APRIL 30 2004
PER SHARE OPERATING PERFORMANCE: ----------------------------------- NET ASSET VALUE, END TOTAL OF PERIOD RETURN (1)(a) INTREPID EUROPEAN FUND (e) 11/1/03 Through 4/30/04 $ 18.27 7.85% Year Ended 10/31/03 $ 16.94 28.94% Year Ended 10/31/02 $ 13.23 2.08% Year Ended 10/31/01 $ 12.96 (19.49%) Year Ended 10/31/00 $ 17.87 10.13% Year Ended 10/31/99 $ 16.52 15.60% JAPAN FUND (j) 11/1/03 Through 4/30/04 $ 7.44 11.23% Year Ended 10/31/03 $ 6.68 50.79% Year Ended 10/31/02 $ 4.43 (16.26%) Year Ended 10/31/01 $ 5.29 (34.85%) Year Ended 10/31/00 $ 8.12 (17.48%) Year Ended 10/31/99 $ 9.84 53.51% INTERNATIONAL GROWTH FUND (g) 11/1/03 Through 4/30/04 $ 8.52 9.52% Year Ended 10/31/03 $ 7.80 24.80% Year Ended 10/31/02 $ 6.25 (13.43%) 12/29/00* Through 10/31/01 $ 7.22 (27.68%) INTERNATIONAL VALUE FUND (v) 11/1/03 Through 4/30/04 $ 9.80 14.92% Year Ended 10/31/03 $ 8.53 26.71% Year Ended 10/31/02 $ 6.98 (14.34%) 9/28/01** Through 10/31/01 $ 8.27 1.85% RATIOS/SUPPLEMENTAL DATA: -------------------------------------------------- RATIOS TO AVERAGE NET ASSETS: # ------------------------------- NET ASSETS, NET END OF INVESTMENT PERIOD NET INCOME (000 OMITTED) EXPENSES (LOSS) INTREPID EUROPEAN FUND (e) 11/1/03 Through 4/30/04 $ 33,872 1.75% 0.20% Year Ended 10/31/03 $ 31,322 1.70% 0.17% Year Ended 10/31/02 $ 27,208 1.65% 1.03% Year Ended 10/31/01 $ 32,317 1.75% 0.17% Year Ended 10/31/00 $ 75,801 1.74% (0.60%) Year Ended 10/31/99 $ 47,759 1.74% (0.40%) JAPAN FUND (j) 11/1/03 Through 4/30/04 $ 20,514 1.75% (0.21%) Year Ended 10/31/03 $ 3,562 1.75% (1.02%) Year Ended 10/31/02 $ 734 1.75% (1.26%) Year Ended 10/31/01 $ 751 1.75% (1.22%) Year Ended 10/31/00 $ 2,448 1.77% (1.54%) Year Ended 10/31/99 $ 4,260 1.74% (0.88%) INTERNATIONAL GROWTH FUND (g) 11/1/03 Through 4/30/04 $ 3,475 2.00% (0.17%) Year Ended 10/31/03 $ 3,174 2.00% 0.36% Year Ended 10/31/02 $ 2,543 2.00% (0.12%) 12/29/00* Through 10/31/01 $ 2,922 2.00% (0.11%) INTERNATIONAL VALUE FUND (v) 11/1/03 Through 4/30/04 $ 81 1.45% 1.40% Year Ended 10/31/03 $ 60 1.45% 0.37% Year Ended 10/31/02 $ 163 1.45% 1.13% 9/28/01** Through 10/31/01 $ 10 1.45% (0.89%) RATIOS/SUPPLEMENTAL DATA: ---------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS: # -------------------------------------------- NET INVESTMENT EXPENSES INCOME (LOSS) WITHOUT WAIVERS, WITHOUT WAIVERS, PORTFOLIO REIMBURSEMENTS REIMBURSEMENTS TURNOVER AND EARNINGS CREDITS AND EARNINGS CREDITS RATE (a) INTREPID EUROPEAN FUND (e) 11/1/03 Through 4/30/04 2.31% (0.36%) 209% Year Ended 10/31/03 2.47% (0.60%) 717% Year Ended 10/31/02 2.45% 0.23% 1,021% Year Ended 10/31/01 2.07% (0.15%) 564% Year Ended 10/31/00 1.95% (0.81%) 161% Year Ended 10/31/99 2.06% (0.72%) 149% JAPAN FUND (j) 11/1/03 Through 4/30/04 5.34%! (3.80%)! 200% Year Ended 10/31/03 19.54%! (18.81%)! 797% Year Ended 10/31/02 22.18%! (21.69%)! 409% Year Ended 10/31/01 9.28%! (8.75%)! 196% Year Ended 10/31/00 5.49%! (5.26%)! 123% Year Ended 10/31/99 5.44%! (4.58%)! 133% INTERNATIONAL GROWTH FUND (g) 11/1/03 Through 4/30/04 6.42% (4.59%) 29% Year Ended 10/31/03 7.29% (4.93%) 38% Year Ended 10/31/02 7.20% (5.32%) 73% 12/29/00* Through 10/31/01 5.19% (3.30%) 35% INTERNATIONAL VALUE FUND (v) 11/1/03 Through 4/30/04 8.82%! (5.97%)! 57% Year Ended 10/31/03 10.04%! (8.22%)! 132% Year Ended 10/31/02 15.97%! (13.39%)! 138% 9/28/01** Through 10/31/01 11.06%! (10.50%)! 85%
(e) Prior to February 27, 2004, the Fund was named Fleming European Fund; prior to February 28, 2001, the Fund was named Chase Vista European Fund. (g) Formerly Chase Vista International Growth Fund. (j) Formerly Chase Vista Japan Fund. (v) Formerly JPMorgan International Equity Fund. # Short periods have been annualized. ! Due to the size of net assets and fixed expenses, ratios may appear disproportionate. SEE NOTES TO FINANCIAL STATEMENTS. 95
PER SHARE OPERATING PERFORMANCE: ---------------------------------- NET ASSET VALUE, BEGINNING OF PERIOD INTERNATIONAL OPPORTUNITIES FUND (o) 11/1/03 Through 4/30/04 $ 9.10 Year Ended 10/31/03 $ 7.49 Year Ended 10/31/02 $ 8.63 9/10/01** Through 10/31/01 $ 9.18 EMERGING MARKETS EQUITY FUND (m) 11/1/03 Through 4/30/04 $ 7.49 Year Ended 10/31/03 $ 5.21 Year Ended 10/31/02 $ 5.14 9/28/01** Through 10/31/01 $ 4.88 ASIA EQUITY FUND (p) 11/1/03 Through 4/30/04 $ 17.74 Year Ended 10/31/03 $ 13.69 11/1/01* Through 10/31/02 $ 15.00 INTERNATIONAL EQUITY FUND (i) 11/1/03 Through 4/30/04 $ 23.17 Year Ended 10/31/03 $ 19.42 2/28/02** Through 10/31/02 $ 21.81 PER SHARE OPERATING PERFORMANCE: ----------------------------------------------------- INCOME FROM INVESTMENT OPERATIONS: ---------------------------------- NET GAINS OR LOSSES ON NET SECURITIES INVESTMENT (BOTH TOTAL FROM INCOME REALIZED AND INVESTMENT (LOSS) UNREALIZED) OPERATIONS INTERNATIONAL OPPORTUNITIES FUND (o) 11/1/03 Through 4/30/04 0.02^ 0.84 0.86 Year Ended 10/31/03 (--)^(b) 1.68 1.68 Year Ended 10/31/02 0.02 (1.09) (1.07) 9/10/01** Through 10/31/01 (0.01)^ (0.54) (0.55) EMERGING MARKETS EQUITY FUND (m) 11/1/03 Through 4/30/04 (--)^(b) 0.92 0.92 Year Ended 10/31/03 0.04^ 2.27 2.31 Year Ended 10/31/02 (0.06)^ 0.17 0.11 9/28/01** Through 10/31/01 (0.01)^ 0.27 0.26 ASIA EQUITY FUND (p) 11/1/03 Through 4/30/04 (0.01)^ (0.02) (0.03) Year Ended 10/31/03 --^(b) 4.05 4.05 11/1/01* Through 10/31/02 (0.02) (1.29) (1.31) INTERNATIONAL EQUITY FUND (i) 11/1/03 Through 4/30/04 0.11^ 2.37 2.48 Year Ended 10/31/03 0.28^ 3.66 3.94 2/28/02** Through 10/31/02 0.04^ (2.37) (2.33) PER SHARE OPERATING PERFORMANCE: ---------------------------------------- LESS DISTRIBUTIONS: ---------------------------------------- DIVIDENDS FROM NET DISTRIBUTIONS TOTAL INVESTMENT FROM CAPITAL DIVIDENDS AND INCOME GAINS DISTRIBUTIONS INTERNATIONAL OPPORTUNITIES FUND (o) 11/1/03 Through 4/30/04 0.17 -- 0.17 Year Ended 10/31/03 0.07 -- 0.07 Year Ended 10/31/02 0.07 -- 0.07 9/10/01** Through 10/31/01 -- -- -- EMERGING MARKETS EQUITY FUND (m) 11/1/03 Through 4/30/04 0.10 -- 0.10 Year Ended 10/31/03 0.03 -- 0.03 Year Ended 10/31/02 0.04 -- 0.04 9/28/01** Through 10/31/01 -- -- -- ASIA EQUITY FUND (p) 11/1/03 Through 4/30/04 0.11 -- 0.11 Year Ended 10/31/03 -- -- -- 11/1/01* Through 10/31/02 -- -- -- INTERNATIONAL EQUITY FUND (i) 11/1/03 Through 4/30/04 0.09 -- 0.09 Year Ended 10/31/03 0.19 -- 0.19 2/28/02** Through 10/31/02 0.06 -- 0.06
* 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 or deferred sales load. (a) Not annualized for periods less than one year. (b) Amount rounds to less than $.01. SEE NOTES TO FINANCIAL STATEMENTS. 96
PER SHARE OPERATING PERFORMANCE: -------------------------------- NET ASSET VALUE, END TOTAL OF PERIOD RETURN (1)(a) INTERNATIONAL OPPORTUNITIES FUND (o) 11/1/03 Through 4/30/04 $ 9.79 9.56% Year Ended 10/31/03 $ 9.10 22.70% Year Ended 10/31/02 $ 7.49 (12.55%) 9/10/01** Through 10/31/01 $ 8.63 (5.99%) EMERGING MARKETS EQUITY FUND (m) 11/1/03 Through 4/30/04 $ 8.31 12.35% Year Ended 10/31/03 $ 7.49 44.65% Year Ended 10/31/02 $ 5.21 2.14% 9/28/01** Through 10/31/01 $ 5.14 5.33% ASIA EQUITY FUND (p) 11/1/03 Through 4/30/04 $ 17.60 (0.17%) Year Ended 10/31/03 $ 17.74 29.58% 11/1/01* Through 10/31/02 $ 13.69 (8.73%) INTERNATIONAL EQUITY FUND (i) 11/1/03 Through 4/30/04 $ 25.56 10.69% Year Ended 10/31/03 $ 23.17 20.41% 2/28/02** Through 10/31/02 $ 19.42 (10.70%) RATIOS/SUPPLEMENTAL DATA: ------------------------- NET ASSETS, END OF PERIOD (000 OMITTED) INTERNATIONAL OPPORTUNITIES FUND (o) 11/1/03 Through 4/30/04 $ 12,026 Year Ended 10/31/03 $ 10,650 Year Ended 10/31/02 $ 12,057 9/10/01** Through 10/31/01 $ 21,237 EMERGING MARKETS EQUITY FUND (m) 11/1/03 Through 4/30/04 $ 971 Year Ended 10/31/03 $ 124 Year Ended 10/31/02 $ 46 9/28/01** Through 10/31/01 $ 11 ASIA EQUITY FUND (p) 11/1/03 Through 4/30/04 $ 257 Year Ended 10/31/03 $ 261 11/1/01* Through 10/31/02 $ 2,282 INTERNATIONAL EQUITY FUND (i) 11/1/03 Through 4/30/04 $ 41,906 Year Ended 10/31/03 $ 8,502 2/28/02** Through 10/31/02 $ 91 RATIOS/SUPPLEMENTAL DATA: ------------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS: # ------------------------------------------------------------------- NET INVESTMENT NET EXPENSES INCOME (LOSS) INVESTMENT WITHOUT WAIVERS, WITHOUT WAIVERS, NET INCOME REIMBURSEMENTS REIMBURSEMENTS EXPENSES (LOSS) AND EARNINGS CREDITS AND EARNINGS CREDITS INTERNATIONAL OPPORTUNITIES FUND (o) 11/1/03 Through 4/30/04 1.90% 0.37% 2.18% 0.09% Year Ended 10/31/03 1.90% (0.02%) 2.39% (0.51%) Year Ended 10/31/02 1.90% 0.20% 1.98% 0.12% 9/10/01** Through 10/31/01 1.90% (0.48%) 1.90% (0.48%) EMERGING MARKETS EQUITY FUND (m) 11/1/03 Through 4/30/04 2.00% (0.06%) 6.82%! (4.88%)! Year Ended 10/31/03 2.00% 0.59% 24.54%! (21.95%)! Year Ended 10/31/02 2.00% (0.47%) 37.57%! (36.04%)! 9/28/01** Through 10/31/01 2.00% (1.53%) 12.12%! (11.65%)! ASIA EQUITY FUND (p) 11/1/03 Through 4/30/04 1.75% (0.10%) 6.53%! (4.88%)! Year Ended 10/31/03 1.75% 0.02% 4.83%! (3.06%)! 11/1/01* Through 10/31/02 1.75% (0.12%) 5.16%! (3.53%)! INTERNATIONAL EQUITY FUND (i) 11/1/03 Through 4/30/04 1.50% 0.84% 1.99%! 0.35%! Year Ended 10/31/03 1.50% 1.28% 2.69%! 0.09%! 2/28/02** Through 10/31/02 1.50% 0.50% 55.25%! (53.25%)! RATIOS/SUPPLEMENTAL DATA: ------------------------- PORTFOLIO TURNOVER RATE (a) INTERNATIONAL OPPORTUNITIES FUND (o) 11/1/03 Through 4/30/04 51% Year Ended 10/31/03 79% Year Ended 10/31/02 121% 9/10/01** Through 10/31/01 110% EMERGING MARKETS EQUITY FUND (m) 11/1/03 Through 4/30/04 75% Year Ended 10/31/03 85% Year Ended 10/31/02 69% 9/28/01** Through 10/31/01 76% ASIA EQUITY FUND (p) 11/1/03 Through 4/30/04 89% Year Ended 10/31/03 172% 11/1/01* Through 10/31/02 106% INTERNATIONAL EQUITY FUND (i) 11/1/03 Through 4/30/04 24% Year Ended 10/31/03 16% 2/28/02** Through 10/31/02 20%
(i) Formerly Chase Vista Select International Equity Fund. (m) Formerly J.P. Morgan Institutional Emerging Markets Equity Fund. (o) Formerly J.P.Morgan Institutional International Opportunities Fund. (p) Formerly JPMorgan Fleming Pacific Region Fund. # Short periods have been annualized. ! Due to the size of net assets and fixed expenses, ratios may appear disproportionate. SEE NOTES TO FINANCIAL STATEMENTS. 97 CLASS B SHARES
PER SHARE OPERATING PERFORMANCE: ---------------------------------- NET ASSET VALUE, BEGINNING OF PERIOD INTREPID EUROPEAN FUND (e) 11/1/03 Through 4/30/04 $ 16.08 Year Ended 10/31/03 $ 12.63 Year Ended 10/31/02 $ 12.48 Year Ended 10/31/01 $ 17.38 Year Ended 10/31/00 $ 16.18 Year Ended 10/31/99 $ 14.24 JAPAN FUND (j) 11/1/03 Through 4/30/04 $ 6.36 Year Ended 10/31/03 $ 4.25 Year Ended 10/31/02 $ 5.13 Year Ended 10/31/01 $ 7.93 Year Ended 10/31/00 $ 9.65 Year Ended 10/31/99 $ 6.32 INTERNATIONAL GROWTH FUND (g) 11/1/03 Through 4/30/04 $ 7.70 Year Ended 10/31/03 $ 6.20 Year Ended 10/31/02 $ 7.19 12/29/00* Through 10/31/01 $ 10.00 INTERNATIONAL VALUE FUND (v) 11/1/03 Through 4/30/04 $ 8.46 Year Ended 10/31/03 $ 6.96 Year Ended 10/31/02 $ 8.28 9/28/01** Through 10/31/01 $ 8.12 PER SHARE OPERATING PERFORMANCE: --------------------------------------- INCOME FROM INVESTMENT OPERATIONS: --------------------------------------- NET GAINS OR LOSSES ON NET SECURITIES INVESTMENT (BOTH TOTAL FROM INCOME REALIZED AND INVESTMENT (LOSS) UNREALIZED) OPERATIONS INTREPID EUROPEAN FUND (e) 11/1/03 Through 4/30/04 (0.03)^ 1.25 1.22 Year Ended 10/31/03 (0.06)^ 3.59 3.53 Year Ended 10/31/02 0.05^ 0.10 0.15 Year Ended 10/31/01 (0.09)^ (3.12) (3.21) Year Ended 10/31/00 (0.27)^ 1.83 1.56 Year Ended 10/31/99 (0.18)^ 2.26 2.08 JAPAN FUND (j) 11/1/03 Through 4/30/04 (0.04)^ 0.74 0.70 Year Ended 10/31/03 (0.11)^ 2.22 2.11 Year Ended 10/31/02 (0.12) (0.76) (0.88) Year Ended 10/31/01 (0.13)^ (2.67) (2.80) Year Ended 10/31/00 (0.22)^ (1.50) (1.72) Year Ended 10/31/99 (0.13)^ 3.46 3.33 INTERNATIONAL GROWTH FUND (g) 11/1/03 Through 4/30/04 (0.03) 0.74 0.71 Year Ended 10/31/03 (0.01) 1.51 1.50 Year Ended 10/31/02 (0.04) (0.95) (0.99) 12/29/00* Through 10/31/01 (0.04) (2.77) (2.81) INTERNATIONAL VALUE FUND (v) 11/1/03 Through 4/30/04 0.04^ 1.20 1.24 Year Ended 10/31/03 (0.07)^ 1.82 1.75 Year Ended 10/31/02 (0.02)^ (1.18) (1.20) 9/28/01** Through 10/31/01 (0.01)^ 0.17 0.16 PER SHARE OPERATING PERFORMANCE: ---------------------------------------- LESS DISTRIBUTIONS: ---------------------------------------- DIVIDENDS FROM NET DISTRIBUTIONS INVESTMENT FROM CAPITAL TOTAL INCOME GAINS DISTRIBUTIONS INTREPID EUROPEAN FUND (e) 11/1/03 Through 4/30/04 -- -- -- Year Ended 10/31/03 0.08 -- 0.08 Year Ended 10/31/02 -- -- -- Year Ended 10/31/01 -- 1.69 1.69 Year Ended 10/31/00 -- 0.36 0.36 Year Ended 10/31/99 0.03 0.11 0.14 JAPAN FUND (j) 11/1/03 Through 4/30/04 -- -- -- Year Ended 10/31/03 -- -- -- Year Ended 10/31/02 -- -- -- Year Ended 10/31/01 -- -- -- Year Ended 10/31/00 -- -- -- Year Ended 10/31/99 -- -- -- INTERNATIONAL GROWTH FUND (g) 11/1/03 Through 4/30/04 -- -- -- Year Ended 10/31/03 -- -- -- Year Ended 10/31/02 -- -- -- 12/29/00* Through 10/31/01 -- -- -- INTERNATIONAL VALUE FUND (v) 11/1/03 Through 4/30/04 0.03 -- 0.03 Year Ended 10/31/03 0.25 -- 0.25 Year Ended 10/31/02 0.12 -- 0.12 9/28/01** Through 10/31/01 -- -- --
* 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 or deferred sales load. (a) Not annualized for periods less than one year. (e) Prior to February 27, 2004, the Fund was named Fleming European Fund; prior to February 28, 2001, the Fund was named Chase Vista European Fund. SEE NOTES TO FINANCIAL STATEMENTS. 98
PER SHARE OPERATING PERFORMANCE: -------------------------------- NET ASSET VALUE, END TOTAL OF PERIOD RETURN (1)(a) INTREPID EUROPEAN FUND (e) 11/1/03 Through 4/30/04 $ 17.30 7.59% Year Ended 10/31/03 $ 16.08 28.13% Year Ended 10/31/02 $ 12.63 1.20% Year Ended 10/31/01 $ 12.48 (20.03%) Year Ended 10/31/00 $ 17.38 9.40% Year Ended 10/31/99 $ 16.18 14.66% JAPAN FUND (j) 11/1/03 Through 4/30/04 $ 7.06 11.01% Year Ended 10/31/03 $ 6.36 49.65% Year Ended 10/31/02 $ 4.25 (17.15%) Year Ended 10/31/01 $ 5.13 (35.31%) Year Ended 10/31/00 $ 7.93 (17.82%) Year Ended 10/31/99 $ 9.65 52.69% INTERNATIONAL GROWTH FUND (g) 11/1/03 Through 4/30/04 $ 8.41 9.35% Year Ended 10/31/03 $ 7.70 24.19% Year Ended 10/31/02 $ 6.20 (13.77%) 12/29/00* Through 10/31/01 $ 7.19 (28.10%) INTERNATIONAL VALUE FUND (v) 11/1/03 Through 4/30/04 $ 9.67 14.73% Year Ended 10/31/03 $ 8.46 25.97% Year Ended 10/31/02 $ 6.96 (14.72%) 9/28/01** Through 10/31/01 $ 8.28 1.97% RATIOS/SUPPLEMENTAL DATA: ------------------------- NET ASSETS, END OF PERIOD (000 OMITTED) INTREPID EUROPEAN FUND (e) 11/1/03 Through 4/30/04 $ 11,963 Year Ended 10/31/03 $ 11,583 Year Ended 10/31/02 $ 10,017 Year Ended 10/31/01 $ 10,905 Year Ended 10/31/00 $ 18,546 Year Ended 10/31/99 $ 10,038 JAPAN FUND (j) 11/1/03 Through 4/30/04 $ 663 Year Ended 10/31/03 $ 469 Year Ended 10/31/02 $ 109 Year Ended 10/31/01 $ 135 Year Ended 10/31/00 $ 322 Year Ended 10/31/99 $ 1,089 INTERNATIONAL GROWTH FUND (g) 11/1/03 Through 4/30/04 $ 861 Year Ended 10/31/03 $ 788 Year Ended 10/31/02 $ 634 12/29/00* Through 10/31/01 $ 719 INTERNATIONAL VALUE FUND (v) 11/1/03 Through 4/30/04 $ 380 Year Ended 10/31/03 $ 249 Year Ended 10/31/02 $ 171 9/28/01** Through 10/31/01 $ 10 RATIOS/SUPPLEMENTAL DATA: ------------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS: # ------------------------------------------------------------------- NET INVESTMENT NET EXPENSES INCOME (LOSS) INVESTMENT WITHOUT WAIVERS, WITHOUT WAIVERS, NET INCOME REIMBURSEMENTS REIMBURSEMENTS EXPENSES (LOSS) AND EARNINGS CREDITS AND EARNINGS CREDITS INTREPID EUROPEAN FUND (e) 11/1/03 Through 4/30/04 2.29% (0.37%) 2.81% (0.89%) Year Ended 10/31/03 2.35% (0.47%) 3.09% (1.21%) Year Ended 10/31/02 2.39% 0.38% 3.20% (0.43%) Year Ended 10/31/01 2.50% (0.62%) 2.82% (0.94%) Year Ended 10/31/00 2.49% (1.35%) 2.69% (1.55%) Year Ended 10/31/99 2.51% (1.12%) 2.83% (1.44%) JAPAN FUND (j) 11/1/03 Through 4/30/04 2.50% (1.30%) 6.94%! (5.74%)! Year Ended 10/31/03 2.50% (2.18%) 20.70%! (20.38%)! Year Ended 10/31/02 2.50% (2.25%) 22.96%! (22.71%)! Year Ended 10/31/01 2.47% (1.92%) 11.24%! (10.69%)! Year Ended 10/31/00 2.52% (2.29%) 6.14%! (5.91%)! Year Ended 10/31/99 2.49% (1.67%) 6.19%! (5.37%)! INTERNATIONAL GROWTH FUND (g) 11/1/03 Through 4/30/04 2.50% (0.67%) 6.92% (5.09%) Year Ended 10/31/03 2.50% (0.14%) 7.79% (5.43%) Year Ended 10/31/02 2.50% (0.62%) 7.69% (5.81%) 12/29/00* Through 10/31/01 2.50% (0.51%) 5.66% (3.67%) INTERNATIONAL VALUE FUND (v) 11/1/03 Through 4/30/04 1.95% 0.95% 9.26%! (6.36%)! Year Ended 10/31/03 1.95% (0.94%) 10.41%! (9.40%)! Year Ended 10/31/02 1.95% (0.16%) 15.43%! (13.64%)! 9/28/01** Through 10/31/01 1.95% (1.15%) 11.58%! (10.78%)! RATIOS/SUPPLEMENTAL DATA: ------------------------- PORTFOLIO TURNOVER RATE (a) INTREPID EUROPEAN FUND (e) 11/1/03 Through 4/30/04 209% Year Ended 10/31/03 717% Year Ended 10/31/02 1,021% Year Ended 10/31/01 564% Year Ended 10/31/00 161% Year Ended 10/31/99 149% JAPAN FUND (j) 11/1/03 Through 4/30/04 200% Year Ended 10/31/03 797% Year Ended 10/31/02 409% Year Ended 10/31/01 196% Year Ended 10/31/00 123% Year Ended 10/31/99 133% INTERNATIONAL GROWTH FUND (g) 11/1/03 Through 4/30/04 29% Year Ended 10/31/03 38% Year Ended 10/31/02 73% 12/29/00* Through 10/31/01 35% INTERNATIONAL VALUE FUND (v) 11/1/03 Through 4/30/04 57% Year Ended 10/31/03 132% Year Ended 10/31/02 138% 9/28/01** Through 10/31/01 85%
(g) Formerly Chase Vista International Growth Fund. (j) Formerly Chase Vista Japan Fund. (v) Formerly JPMorgan International Equity Fund. # Short periods have been annualized. ! Due to the size of net assets and fixed expenses, ratios may appear disproportionate. SEE NOTES TO FINANCIAL STATEMENTS. 99
PER SHARE OPERATING PERFORMANCE: -------------------------------------------------------------------------------------------- INCOME FROM INVESTMENT OPERATIONS: LESS DISTRIBUTIONS: ------------------------------------ --------------------------------------- NET GAINS OR LOSSES ON NET ASSET NET SECURITIES DIVIDENDS VALUE, INVESTMENT (BOTH TOTAL FROM FROM NET DISTRIBUTIONS BEGINNING INCOME REALIZED AND INVESTMENT INVESTMENT FROM CAPITAL TOTAL OF PERIOD (LOSS) UNREALIZED) OPERATIONS INCOME GAINS DISTRIBUTIONS INTERNATIONAL OPPORTUNITIES FUND (o) 11/1/03 Through 4/30/04 $ 9.03 (0.01)^ 0.84 0.83 0.14 -- 0.14 Year Ended 10/31/03 $ 7.46 (0.04)^ 1.68 1.64 0.07 -- 0.07 Year Ended 10/31/02 $ 8.63 (0.04) (1.08) (1.12) 0.05 -- 0.05 9/10/01** Through 10/31/01 $ 9.18 (0.01)^ (0.54) (0.55) -- -- -- EMERGING MARKETS EQUITY FUND (m) 11/1/03 Through 4/30/04 $ 7.45 (0.02)^ 0.91 0.89 0.06 -- 0.06 Year Ended 10/31/03 $ 5.20 --^ 2.28 2.28 0.03 -- 0.03 Year Ended 10/31/02 $ 5.13 (0.03)^ 0.14 0.11 0.04 -- 0.04 9/28/01** Through 10/31/01 $ 4.88 (0.01)^ 0.26 0.25 -- -- -- INTERNATIONAL EQUITY FUND (i) 11/1/03 Through 4/30/04 $ 23.10 0.02^ 2.38 2.40 0.05 -- 0.05 Year Ended 10/31/03 $ 19.39 0.15^ 3.68 3.83 0.12 -- 0.12 2/28/02** Through 10/31/02 $ 21.81 0.03^ (2.43) (2.40) 0.02 -- 0.02
** 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 or deferred sales load. (a) Not annualized for periods less than one year. (m) Formerly J.P. Morgan Institutional Emerging Markets Equity Fund. SEE NOTES TO FINANCIAL STATEMENTS. 100
PER SHARE OPERATING PERFORMANCE: RATIOS/SUPPLEMENTAL DATA: -------------------------------- -------------------------------------- RATIOS TO AVERAGE NET ASSETS: # ------------------------------- NET ASSETS, NET NET ASSET END OF INVESTMENT VALUE, END TOTAL PERIOD NET INCOME OF PERIOD RETURN (1)(a) (000 OMITTED) EXPENSES (LOSS) INTERNATIONAL OPPORTUNITIES FUND (o) 11/1/03 Through 4/30/04 $ 9.72 9.30% $ 1,393 2.40% (0.24%) Year Ended 10/31/03 $ 9.03 22.18% $ 1,403 2.40% (0.58%) Year Ended 10/31/02 $ 7.46 (13.05%) $ 1,365 2.40% (0.30%) 9/10/01** Through 10/31/01 $ 8.63 (5.99%) $ 2,950 2.40% (0.95%) EMERGING MARKETS EQUITY FUND (m) 11/1/03 Through 4/30/04 $ 8.28 11.99% $ 193 2.50% (0.38%) Year Ended 10/31/03 $ 7.45 43.99% $ 95 2.50% 0.03% Year Ended 10/31/02 $ 5.20 2.04% $ 41 2.50% (0.34%) 9/28/01** Through 10/31/01 $ 5.13 5.12% $ 11 2.50% (2.00%) INTERNATIONAL EQUITY FUND (i) 11/1/03 Through 4/30/04 $ 25.45 10.40% $ 508 2.00% 0.19% Year Ended 10/31/03 $ 23.10 19.84% $ 178 2.00% 0.74% 2/28/02** Through 10/31/02 $ 19.39 (11.00%) $ 22 2.00% 0.27% RATIOS/SUPPLEMENTAL DATA: ------------------------------------------------------------ RATIOS TO AVERAGE NET ASSETS: # -------------------------------------------- NET INVESTMENT EXPENSES INCOME (LOSS) WITHOUT WAIVERS, WITHOUT WAIVERS, PORTFOLIO REIMBURSEMENTS REIMBURSEMENTS TURNOVER AND EARNINGS CREDITS AND EARNINGS CREDITS RATE (a) INTERNATIONAL OPPORTUNITIES FUND (o) 11/1/03 Through 4/30/04 2.69% (0.53%) 51% Year Ended 10/31/03 2.89% (1.07%) 79% Year Ended 10/31/02 2.49% (0.39%) 121% 9/10/01** Through 10/31/01 2.40% (0.95%) 110% EMERGING MARKETS EQUITY FUND (m) 11/1/03 Through 4/30/04 8.28%! (6.16%)! 75% Year Ended 10/31/03 25.36%! (22.83%)! 85% Year Ended 10/31/02 36.79%! (34.63%)! 69% 9/28/01** Through 10/31/01 12.62%! (12.12%)! 76% INTERNATIONAL EQUITY FUND (i) 11/1/03 Through 4/30/04 2.51%! (0.32%)! 24% Year Ended 10/31/03 6.19%! (3.45%)! 16% 2/28/02** Through 10/31/02 74.45%! (72.18%)! 20%
(i) Formerly Chase Vista Select International Equity Fund. (o) Formerly J.P.Morgan Institutional International Opportunities Fund. # Short periods have been annualized. ! Due to the size of net assets and fixed expenses, ratios may appear disproportionate. SEE NOTES TO FINANCIAL STATEMENTS. 101 CLASS C 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 INTREPID EUROPEAN FUND (e) 11/1/03 Through 4/30/04 $ 16.06 (0.04)^ 1.26 1.22 -- -- -- Year Ended 10/31/03 $ 12.62 (0.06)^ 3.58 3.52 0.08 -- 0.08 Year Ended 10/31/02 $ 12.47 0.05^ 0.10 0.15 -- -- -- Year Ended 10/31/01 $ 17.37 (0.08)^ (3.13) (3.21) -- 1.69 1.69 Year Ended 10/31/00 $ 16.19 (0.26)^ 1.80 1.54 -- 0.36 0.36 11/1/98** Through 10/31/99 $ 14.24 (0.08)^ 2.17 2.09 0.03 0.11 0.14 INTERNATIONAL EQUITY FUND (i) 11/1/03 Through 4/30/04 $ 23.05 0.02^ 2.38 2.40 0.05 -- 0.05 1/31/03** Through 10/31/03 $ 18.43 0.08^ 4.65 4.73 0.11 -- 0.11
** 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 or deferred sales load. (a) Not annualized for periods less than one year. SEE NOTES TO FINANCIAL STATEMENTS. 102
PER SHARE OPERATING PERFORMANCE: RATIOS/SUPPLEMENTAL DATA: -------------------------------- -------------------------------------- RATIOS TO AVERAGE NET ASSETS: # ------------------------------- NET ASSETS, NET NET ASSET END OF INVESTMENT VALUE, END TOTAL PERIOD NET INCOME OF PERIOD RETURN (1)(a) (000 OMITTED) EXPENSES (LOSS) INTREPID EUROPEAN FUND (e) 11/1/03 Through 4/30/04 $ 17.28 7.60% $ 3,076 2.29% (0.38%) Year Ended 10/31/03 $ 16.06 28.09% $ 2,914 2.35% (0.42%) Year Ended 10/31/02 $ 12.62 1.20% $ 2,512 2.39% 0.36% Year Ended 10/31/01 $ 12.47 (20.04%) $ 2,922 2.50% (0.55%) Year Ended 10/31/00 $ 17.37 9.27% $ 4,229 2.49% (1.33%) 11/1/98** Through 10/31/99 $ 16.19 14.73% $ 1,460 2.51% (0.61%) INTERNATIONAL EQUITY FUND (i) 11/1/03 Through 4/30/04 $ 25.40 10.39% $ 4,209 2.00% 0.17% 1/31/03** Through 10/31/03 $ 23.05 25.70% $ 1,681 2.00% 0.48% RATIOS/SUPPLEMENTAL DATA: ------------------------------------------------------------ RATIOS TO AVERAGE NET ASSETS: # -------------------------------------------- NET INVESTMENT EXPENSES INCOME (LOSS) WITHOUT WAIVERS, WITHOUT WAIVERS, PORTFOLIO REIMBURSEMENTS REIMBURSEMENTS TURNOVER AND EARNINGS CREDITS AND EARNINGS CREDITS RATE (a) INTREPID EUROPEAN FUND (e) 11/1/03 Through 4/30/04 2.81% (0.90%) 209% Year Ended 10/31/03 3.09% (1.16%) 717% Year Ended 10/31/02 3.20% (0.45%) 1,021% Year Ended 10/31/01 2.82% (0.87%) 564% Year Ended 10/31/00 2.67% (1.51%) 161% 11/1/98** Through 10/31/99 2.83% (0.93%) 149% INTERNATIONAL EQUITY FUND (i) 11/1/03 Through 4/30/04 2.51%! (0.34%)! 24% 1/31/03** Through 10/31/03 2.85%! (0.37%)! 16%
(e) Prior to February 27, 2004, the Fund was named Fleming European Fund; prior to February 28, 2001, the Fund was named Chase Vista European Fund. (i) Formerly Chase Vista Select International Equity Fund. # Short periods have been annualized. ! Due to the size of net assets and fixed expenses, ratios may appear disproportionate. SEE NOTES TO FINANCIAL STATEMENTS. 103 INSTITUTIONAL 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 INTREPID EUROPEAN FUND (e) 11/1/03 Through 4/30/04 $ 17.17 0.14^ 1.28 1.42 0.06 -- 0.06 Year Ended 10/31/03 $ 13.33 0.12^ 3.82 3.94 0.10 -- 0.10 Year Ended 10/31/02 $ 12.99 0.24^ 0.10 0.34 -- -- -- 9/10/01** Through 10/31/01 $ 13.14 (0.05) ^ (0.10) (0.15) -- -- -- INTERNATIONAL VALUE FUND (v) 11/1/03 Through 4/30/04 $ 8.61 0.09^ 1.22 1.31 0.09 -- 0.09 Year Ended 10/31/03 $ 7.02 0.02^ 1.82 1.84 0.25 -- 0.25 Year Ended 10/31/02 $ 8.28 0.06^ (1.19) (1.13) 0.13 -- 0.13 Year Ended 10/31/01 $ 12.28 0.07^ (3.02) (2.95) -- 1.05 1.05 Year Ended 10/31/00 $ 13.56 0.05 (0.66) (0.61) 0.16 0.51 0.67 Year Ended 10/31/99 $ 11.21 0.19 2.51 2.70 0.35 -- 0.35 INTERNATIONAL OPPORTUNITIES FUND (o) 11/1/03 Through 4/30/04 $ 9.26 0.06^ 0.87 0.93 0.26 -- 0.26 Year Ended 10/31/03 $ 7.55 0.08^ 1.71 1.79 0.08 -- 0.08 Year Ended 10/31/02 $ 8.64 0.09 (1.08) (0.99) 0.10 -- 0.10 12/1/00 Through 10/31/01*** $ 11.39 0.12^ (2.60) (2.48) 0.11 0.16 0.27 Year Ended 11/30/00 $ 12.92 0.08 (1.42) (1.34) 0.19 -- 0.19 Year Ended 11/30/99 $ 10.11 0.25 2.88 3.13 0.32 -- 0.32 Year Ended 11/30/98 $ 9.94 0.22 0.05 0.27 0.10 -- 0.10
** Commencement of offering of class of shares. *** The Fund changed its fiscal year end from November 30 to October 31. ^ Calculated based upon average shares outstanding. (a) Not annualized for periods less than one year. (e) Prior to February 27, 2004, the Fund was named Fleming European Fund; prior to February 28, 2001, the Fund was named Chase Vista European Fund. (o) Formerly J.P.Morgan Institutional International Opportunities Fund. (v) Formerly JPMorgan International Equity Fund. SEE NOTES TO FINANCIAL STATEMENTS. 104
PER SHARE OPERATING PERFORMANCE: RATIOS/SUPPLEMENTAL DATA: -------------------------------- -------------------------------------- RATIOS TO AVERAGE NET ASSETS: # ------------------------------- NET ASSETS, NET NET ASSET END OF INVESTMENT VALUE, END TOTAL PERIOD NET INCOME OF PERIOD RETURN (a) (000 OMITTED) EXPENSES (LOSS) INTREPID EUROPEAN FUND (e) 11/1/03 Through 4/30/04 $ 18.53 8.30% $ 32,018 1.00% 1.45% Year Ended 10/31/03 $ 17.17 29.83% $ 12,038 1.00% 0.86% Year Ended 10/31/02 $ 13.33 2.62% $ 6,305 1.00% 1.81% 9/10/01** Through 10/31/01 $ 12.99 (1.14%) $ 4,740 1.00% (2.60%) INTERNATIONAL VALUE FUND (v) 11/1/03 Through 4/30/04 $ 9.83 15.23% $ 26,611 0.95% 1.82% Year Ended 10/31/03 $ 8.61 27.23% $ 26,356 0.95% 0.28% Year Ended 10/31/02 $ 7.02 (13.89%) $ 28,644 0.95% 0.91% Year Ended 10/31/01 $ 8.28 (26.06%) $ 142,590 0.92% 0.70% Year Ended 10/31/00 $ 12.28 (5.16%) $ 432,785 0.95% 0.50% Year Ended 10/31/99 $ 13.56 24.70% $ 471,195 0.95% 0.81% INTERNATIONAL OPPORTUNITIES FUND (o) 11/1/03 Through 4/30/04 $ 9.93 10.16% $ 127,971 0.92% 1.26% Year Ended 10/31/03 $ 9.26 24.02% $ 133,907 0.92% 1.10% Year Ended 10/31/02 $ 7.55 (11.67%) $ 209,286 0.92% 1.21% 12/1/00 Through 10/31/01*** $ 8.64 (22.24%) $ 231,048 0.94% 1.25% Year Ended 11/30/00 $ 11.39 (10.55%) $ 461,016 0.91% 0.84% Year Ended 11/30/99 $ 12.92 31.87% $ 370,268 0.94% 0.76% Year Ended 11/30/98 $ 10.11 2.69% $ 323,918 0.99% 1.13% RATIOS/SUPPLEMENTAL DATA: ------------------------------------------------------------ RATIOS TO AVERAGE NET ASSETS: # -------------------------------------------- NET INVESTMENT EXPENSES INCOME (LOSS) WITHOUT WAIVERS, WITHOUT WAIVERS, PORTFOLIO REIMBURSEMENTS REIMBURSEMENTS TURNOVER AND EARNINGS CREDITS AND EARNINGS CREDITS RATE (a) INTREPID EUROPEAN FUND (e) 11/1/03 Through 4/30/04 1.67% 0.78% 209% Year Ended 10/31/03 2.01% (0.15%) 717% Year Ended 10/31/02 2.25% 0.56% 1,021% 9/10/01** Through 10/31/01 3.34%! (4.94%)! 564% INTERNATIONAL VALUE FUND (v) 11/1/03 Through 4/30/04 1.50% 1.27% 57% Year Ended 10/31/03 1.55% (0.32%) 132% Year Ended 10/31/02 1.16% 0.70% 138% Year Ended 10/31/01 0.93% 0.69% 85%~ Year Ended 10/31/00 0.95% 0.50% 80%~ Year Ended 10/31/99 0.95% 0.81% 70%~ INTERNATIONAL OPPORTUNITIES FUND (o) 11/1/03 Through 4/30/04 1.10% 1.08% 51% Year Ended 10/31/03 1.09% 0.93% 79% Year Ended 10/31/02 0.98% 1.15% 121% 12/1/00 Through 10/31/01*** 0.95% 1.24% 110%~~ Year Ended 11/30/00 0.91% 0.84% 86%~~ Year Ended 11/30/99 0.95% 0.75% 80%~~ Year Ended 11/30/98 1.02% 1.10% 143%~~
# Short periods have been annualized. ! Due to the size of net assets and fixed expenses, ratios may appear disproportionate. ~ Prior to September 10, 2001, IVF invested all of its investable assets in The International Equity Portfolio ("IEP"). The portfolio turnover rate disclosed prior to September 10, 2001 is the turnover rate of IEP. ~~ Prior to September 10, 2001, IOF invested all of its investable assets in the International Opportunities Portfolio ("IOP"). The portfolio turnover rate disclosed prior to September 10, 2001 is the turnover rate of IOP. SEE NOTES TO FINANCIAL STATEMENTS. 105
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 EMERGING MARKETS EQUITY FUND (m) 11/1/03 Through 4/30/04 $ 7.59 0.03^ 0.91 0.94 0.11 -- 0.11 Year Ended 10/31/03 $ 5.25 0.07^ 2.31 2.38 0.04 -- 0.04 Year Ended 10/31/02 $ 5.14 0.04^ 0.12 0.16 0.05 -- 0.05 Year Ended 10/31/01 $ 6.68 0.07^ (1.60) (1.53) 0.01 -- 0.01 Year Ended 10/31/00 $ 7.22 0.02 (0.50) (0.48) 0.06 -- 0.06 Year Ended 10/31/99 $ 5.91 0.14 1.68 1.82 0.51 -- 0.51 ASIA EQUITY FUND (p) 11/1/03 Through 4/30/04 $ 17.84 0.03^ (0.03) (--)(b) 0.20 -- 0.20 Year Ended 10/31/03 $ 13.71 0.17^ 3.96 4.13 -- -- -- 6/28/02** Through 10/31/02 $ 15.86 -- (2.15) (2.15) -- -- --
** Commencement of offering of class of shares. ^ Calculated based upon average shares outstanding. (a) Not annualized for periods less than one year. (b) Amount is less than $0.01. (m) Formerly J.P. Morgan Institutional Emerging Markets Equity Fund. SEE NOTES TO FINANCIAL STATEMENTS. 106
PER SHARE OPERATING PERFORMANCE: RATIOS/SUPPLEMENTAL DATA: -------------------------------- -------------------------------------- RATIOS TO AVERAGE NET ASSETS: # ------------------------------- NET ASSETS, NET NET ASSET END OF INVESTMENT VALUE, END TOTAL PERIOD NET INCOME OF PERIOD RETURN (a) (000 OMITTED) EXPENSES (LOSS) EMERGING MARKETS EQUITY FUND (m) 11/1/03 Through 4/30/04 $ 8.42 12.64% $ 47,485 1.45% 0.81% Year Ended 10/31/03 $ 7.59 45.49% $ 58,658 1.45% 1.18% Year Ended 10/31/02 $ 5.25 3.04% $ 47,503 1.45% 0.83% Year Ended 10/31/01 $ 5.14 (22.98%) $ 67,335 1.45% 1.07% Year Ended 10/31/00 $ 6.68 (6.88%) $ 110,711 1.45% 0.46% Year Ended 10/31/99 $ 7.22 33.76% $ 131,046 1.42% 0.99% ASIA EQUITY FUND (p) 11/1/03 Through 4/30/04 $ 17.64 (0.02%) $ 20,336 1.35% 0.29% Year Ended 10/31/03 $ 17.84 30.12% $ 13,887 1.35% 1.16% 6/28/02** Through 10/31/02 $ 13.71 (13.56%) $ 6,463 1.35% 0.08% RATIOS/SUPPLEMENTAL DATA: ------------------------------------------------------------ RATIOS TO AVERAGE NET ASSETS: # -------------------------------------------- NET INVESTMENT EXPENSES INCOME (LOSS) WITHOUT WAIVERS, WITHOUT WAIVERS, PORTFOLIO REIMBURSEMENTS REIMBURSEMENTS TURNOVER AND EARNINGS CREDITS AND EARNINGS CREDITS RATE (a) EMERGING MARKETS EQUITY FUND (m) 11/1/03 Through 4/30/04 1.87% 0.39% 75% Year Ended 10/31/03 1.95% 0.68% 85% Year Ended 10/31/02 1.77% 0.51% 69% Year Ended 10/31/01 1.64% 0.88% 76%~ Year Ended 10/31/00 1.55% 0.36% 65%~ Year Ended 10/31/99 1.52% 0.89% 87%~ ASIA EQUITY FUND (p) 11/1/03 Through 4/30/04 2.06% (0.42%) 89% Year Ended 10/31/03 2.65% (0.14%) 172% 6/28/02** Through 10/31/02 2.53% (1.10%) 106%
(p) Formerly JPMorgan Fleming Pacific Region Fund. # Short periods have been annualized. ~ Prior to September 10, 2001, EMF invested all of its investable assets in the Emerging Markets Equity Portfolio ("EMP"). The portfolio turnover rate disclosed prior to September 10, 2001 is the turnover rate of EMP. SEE NOTES TO FINANCIAL STATEMENTS. 107 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 INTREPID EUROPEAN FUND (e) 11/1/03 Through 4/30/04 $ 17.00 0.07^ 1.30 1.37 --(b) -- --(b) Year Ended 10/31/03 $ 13.26 0.05^ 3.78 3.83 0.09 -- 0.09 Year Ended 10/31/02 $ 12.97 0.14^ 0.15 0.29 -- -- -- 9/10/01** Through 10/31/01 $ 13.14 --^ (0.17) (0.17) -- -- -- INTERNATIONAL VALUE FUND (v) 11/1/03 Through 4/30/04 $ 8.58 0.07^ 1.21 1.28 0.05 -- 0.05 Year Ended 10/31/03 $ 7.01 (0.01)^ 1.83 1.82 0.25 -- 0.25 Year Ended 10/31/02 $ 8.28 0.07^ (1.22) (1.15) 0.12 -- 0.12 Year Ended 10/31/01@ $ 16.08 0.02^ (3.39) (3.37) 1.14 3.29 4.43 Year Ended 10/31/00 $ 18.70 0.27 (1.07) (0.80) 0.24 1.58 1.82 Year Ended 10/31/99 $ 15.91 0.24 3.47 3.71 0.47 0.45 0.92 INTERNATIONAL OPPORTUNITIES FUND (o) 11/1/03 Through 4/30/04 $ 9.22 0.05^ 0.86 0.91 0.24 -- 0.24 Year Ended 10/31/03 $ 7.53 0.05^ 1.72 1.77 0.08 -- 0.08 Year Ended 10/31/02 $ 8.64 0.08 (1.10) (1.02) 0.09 -- 0.09 12/1/00 Through 10/31/01***@ $ 11.81 0.08^ (2.65) (2.57) 0.32 0.28 0.60 Year Ended 11/30/00 $ 13.41 0.14 (1.58) (1.44) 0.16 -- 0.16 Year Ended 11/30/99 $ 10.45 0.22 3.05 3.27 0.31 -- 0.31 Year Ended 11/30/98 $ 10.32 0.24 (0.01) 0.23 0.10 -- 0.10
(e) Prior to February 27, 2004, the Fund was named Fleming European Fund; prior to February 28, 2001, the Fund was named Chase Vista European Fund. ** Commencement of offering of class of shares. *** The Fund changed its fiscal year end from November 30 to October 31. ^ Calculated based upon average shares outstanding. @ Prior to the open of business on September 10, 2001, the class underwent a split of shares in connection with the fund reorganization. Prior periods have been restated to reflect the split. (a) Not annualized for periods less than one year. (b) Amount rounds to less than $.01. SEE NOTES TO FINANCIAL STATEMENTS. 108
PER SHARE OPERATING PERFORMANCE: RATIOS/SUPPLEMENTAL DATA: -------------------------------- -------------------------------------- RATIOS TO AVERAGE NET ASSETS: # ------------------------------- NET ASSETS, NET NET ASSET END OF INVESTMENT VALUE, END TOTAL PERIOD NET INCOME OF PERIOD RETURN (a) (000 OMITTED) EXPENSES (LOSS) INTREPID EUROPEAN FUND (e) 11/1/03 Through 4/30/04 $ 18.37 8.08% $ 18,606 1.39% 0.74% Year Ended 10/31/03 $ 17.00 29.14% $ 11,225 1.47% 0.38% Year Ended 10/31/02 $ 13.26 2.24% $ 8,461 1.50% 1.06% 9/10/01** Through 10/31/01 $ 12.97 (1.29%) $ 6,063 1.50% (0.06%) INTERNATIONAL VALUE FUND (v) 11/1/03 Through 4/30/04 $ 9.81 14.90% $ 17,178 1.37% 1.40% Year Ended 10/31/03 $ 8.58 26.89% $ 16,538 1.39% (0.15%) Year Ended 10/31/02 $ 7.01 (14.09%) $ 16,905 1.29% 0.85% Year Ended 10/31/01@ $ 8.28 (26.66%) $ 21,307 1.40% 0.20% Year Ended 10/31/00 $ 16.08 (5.49%) $ 55,445 1.30% 0.15% Year Ended 10/31/99 $ 18.70 24.41% $ 64,860 1.21% 0.55% INTERNATIONAL OPPORTUNITIES FUND (o) 11/1/03 Through 4/30/04 $ 9.89 9.96% $ 34,021 1.20% 1.04% Year Ended 10/31/03 $ 9.22 23.77% $ 30,969 1.20% 0.58% Year Ended 10/31/02 $ 7.53 (11.98%) $ 33,428 1.20% 0.89% 12/1/00 Through 10/31/01***@ $ 8.64 (22.66%) $ 37,271 1.27% 0.85% Year Ended 11/30/00 $ 11.81 (10.87%) $ 79,408 1.21% 0.55% Year Ended 11/30/99 $ 13.41 32.13% $ 67,543 1.18% 0.47% Year Ended 11/30/98 $ 10.45 2.30% $ 55,050 1.20% 0.96% RATIOS/SUPPLEMENTAL DATA: ------------------------------------------------------------ RATIOS TO AVERAGE NET ASSETS: # -------------------------------------------- NET INVESTMENT EXPENSES INCOME (LOSS) WITHOUT WAIVERS, WITHOUT WAIVERS, PORTFOLIO REIMBURSEMENTS REIMBURSEMENTS TURNOVER AND EARNINGS CREDITS AND EARNINGS CREDITS RATE (a) INTREPID EUROPEAN FUND (e) 11/1/03 Through 4/30/04 1.90% 0.23% 209% Year Ended 10/31/03 2.20% (0.35%) 717% Year Ended 10/31/02 2.43% 0.13% 1,021% 9/10/01** Through 10/31/01 3.74%! (2.30%)! 564% INTERNATIONAL VALUE FUND (v) 11/1/03 Through 4/30/04 1.77% 1.00% 57% Year Ended 10/31/03 1.86% (0.62%) 132% Year Ended 10/31/02 1.49% 0.65% 138% Year Ended 10/31/01@ 1.40% 0.20% 85%~ Year Ended 10/31/00 1.30% 0.15% 80%~ Year Ended 10/31/99 1.21% 0.55% 70%~ INTERNATIONAL OPPORTUNITIES FUND (o) 11/1/03 Through 4/30/04 1.31% 0.93% 51% Year Ended 10/31/03 1.37% 0.41% 79% Year Ended 10/31/02 1.22% 0.87% 121% 12/1/00 Through 10/31/01***@ 1.27% 0.85% 110%~~ Year Ended 11/30/00 1.21% 0.55% 86%~~ Year Ended 11/30/99 1.24% 0.41% 80%~~ Year Ended 11/30/98 1.24% 0.92% 143%~~
(o) Formerly J.P.Morgan Institutional International Opportunities Fund. (v) Formerly JPMorgan International Equity Fund. # Short periods have been annualized. ! Due to the size of net assets and fixed expenses, ratios may appear disproportionate. ~ Prior to September 10, 2001, IVF invested all of its investable assets in The International Equity Portfolio ("IEP"). The portfolio turnover rate disclosed prior to September 10, 2001 is the turnover rate of IEP. ~~ Prior to September 10, 2001, IOF invested all of its investable assets in the International Opportunities Portfolio ("IOP"). The portfolio turnover rate disclosed prior to September 10, 2001 is the turnover rate of IOP. SEE NOTES TO FINANCIAL STATEMENTS. 109
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 EMERGING MARKETS EQUITY FUND (m) 11/1/03 Through 4/30/04 $ 7.53 0.02^ 0.90 0.92 0.09 -- 0.09 Year Ended 10/31/03 $ 5.23 0.05^ 2.28 2.33 0.03 -- 0.03 Year Ended 10/31/02 $ 5.13 0.03^ 0.12 0.15 0.05 -- 0.05 Year Ended 10/31/01@ $ 6.73 0.05^ (1.61) (1.56) 0.04 -- 0.04 Year Ended 10/31/00 $ 7.28 0.02 (0.53) (0.51) 0.04 -- 0.04 Year Ended 10/31/99 $ 5.88 0.08 1.72 1.80 0.40 -- 0.40 ASIA EQUITY FUND (p) 11/1/03 Through 4/30/04 $ 17.80 0.01^ (0.02) (0.01) 0.17 -- 0.17 Year Ended 10/31/03 $ 13.71 0.16^ 3.93 4.09 -- -- -- 6/28/02** Through 10/31/02 $ 15.86 -- (2.15) (2.15) -- -- -- INTERNATIONAL EQUITY FUND (i) 11/1/03 Through 4/30/04 $ 23.19 0.11^ 2.42 2.53 0.12 -- 0.12 Year Ended 10/31/03 $ 19.45 0.30^ 3.72 4.02 0.28 -- 0.28 Year Ended 10/31/02 $ 21.20 0.21^ (1.84) (1.63) 0.12 -- 0.12 Year Ended 10/31/01 $ 32.00 0.39 (6.35) (5.96) 0.18 4.66 4.84 Year Ended 10/31/00 $ 33.33 0.15 1.05 1.20 0.13 2.40 2.53 Year Ended 10/31/99(k) $ 27.79 0.33 5.94 6.27 0.73 -- 0.73
** Commencement of offering of class of shares. + Prior to September 10, 2001, EMF invested all of its investable assets in the Emerging Markets Equity Portfolio ("EMP"). The portfolio turnover rate disclosed prior to September 10, 2001 is the turnover rate of EMP. ^ Calculated based upon average shares outstanding. @ Prior to the open of business on September 10, 2001, the class underwent a split of shares in connection with the fund reorganization. Prior periods have been restated to reflect the split. (a) Not annualized for periods less than one year. SEE NOTES TO FINANCIAL STATEMENTS. 110
PER SHARE OPERATING PERFORMANCE: RATIOS/SUPPLEMENTAL DATA: -------------------------------- -------------------------------------- RATIOS TO AVERAGE NET ASSETS: # ------------------------------- NET ASSETS, NET NET ASSET END OF INVESTMENT VALUE, END TOTAL PERIOD NET INCOME OF PERIOD RETURN (1)(a) (000 OMITTED) EXPENSES (LOSS) EMERGING MARKETS EQUITY FUND (m) 11/1/03 Through 4/30/04 $ 8.36 12.46% $ 23,344 1.75% 0.50% Year Ended 10/31/03 $ 7.53 44.84% $ 22,620 1.75% 0.88% Year Ended 10/31/02 $ 5.23 2.75% $ 18,660 1.75% 0.56% Year Ended 10/31/01@ $ 5.13 (23.23%) $ 22,253 1.75% 0.78% Year Ended 10/31/00 $ 6.73 (7.12%) $ 34,204 1.75% 0.15% Year Ended 10/31/99 $ 7.28 33.00% $ 35,786 1.75% 0.73% ASIA EQUITY FUND (p) 11/1/03 Through 4/30/04 $ 17.62 (0.05%) $ 28,229 1.50% 0.12% Year Ended 10/31/03 $ 17.80 29.83% $ 24,443 1.50% 1.17% 6/28/02** Through 10/31/02 $ 13.71 (13.56%) $ 14,043 1.50% (0.03%) INTERNATIONAL EQUITY FUND (i) 11/1/03 Through 4/30/04 $ 25.60 10.90% $ 1,022,867 1.10% 0.89% Year Ended 10/31/03 $ 23.19 20.90% $ 813,466 1.10% 1.45% Year Ended 10/31/02 $ 19.45 (7.74%) $ 247,426 1.03% 1.03% Year Ended 10/31/01 $ 21.20 (21.62%) $ 181,296 1.00% 0.87% Year Ended 10/31/00 $ 32.00 2.71% $ 226,248 0.66% 0.38% Year Ended 10/31/99(k) $ 33.33 22.83% $ 223,339 0.06% 1.14% RATIOS/SUPPLEMENTAL DATA: ------------------------------------------------------------ RATIOS TO AVERAGE NET ASSETS: # -------------------------------------------- NET INVESTMENT EXPENSES INCOME (LOSS) WITHOUT WAIVERS, WITHOUT WAIVERS, PORTFOLIO REIMBURSEMENTS REIMBURSEMENTS TURNOVER AND EARNINGS CREDITS AND EARNINGS CREDITS RATE (a) EMERGING MARKETS EQUITY FUND (m) 11/1/03 Through 4/30/04 2.14% 0.11% 75% Year Ended 10/31/03 2.26% 0.37% 85% Year Ended 10/31/02 2.04% 0.27% 69% Year Ended 10/31/01@ 2.11% 0.42% 76%+ Year Ended 10/31/00 1.96% (0.06%) 65%+ Year Ended 10/31/99 1.87% 0.61% 87%+ ASIA EQUITY FUND (p) 11/1/03 Through 4/30/04 2.21% (0.59%) 89% Year Ended 10/31/03 2.71% (0.04%) 172% 6/28/02** Through 10/31/02 2.58% (1.11%) 106% INTERNATIONAL EQUITY FUND (i) 11/1/03 Through 4/30/04 1.51% 0.48% 24% Year Ended 10/31/03 1.55% 1.00% 16% Year Ended 10/31/02 1.54% 0.52% 20% Year Ended 10/31/01 1.54% 0.33% 33% Year Ended 10/31/00 1.50% (0.46%) 149% Year Ended 10/31/99(k) 1.31% (0.11%) 141%
(k) On November 20, 1998, the Fund underwent a "6 shares for 1" split of shares. Prior periods have been restated to reflect the split. (m) Formerly J.P. Morgan Institutional Emerging Markets Equity Fund. (p) Formerly JPMorgan Fleming Pacific Region Fund. (i) Formerly Chase Vista Select International Equity Fund. # Short periods have been annualized. SEE NOTES TO FINANCIAL STATEMENTS. 111 JPMORGAN FAMILY OF FUNDS U.S. EQUITY FUNDS Capital Growth Fund Disciplined Equity Fund Diversified Fund Dynamic Small Cap Fund Equity Growth Fund Equity Income Fund Growth and Income Fund Mid Cap Equity Fund Mid Cap Growth Fund Mid Cap Value Fund Small Cap Equity Fund Small Cap Growth Fund Trust Small Cap Equity Fund U.S. Equity Fund U.S. Small Company Fund U.S. Small Company Opportunities Fund Value Opportunities Fund INTERNATIONAL EQUITY FUNDS Fleming Asia Equity Fund Fleming Emerging Markets Equity Fund Fleming Intrepid European Fund Fleming International Equity Fund Fleming International Growth Fund Fleming International Opportunities Fund Fleming International Value Fund Fleming Japan Fund SPECIALTY FUNDS Global 50 Fund Global Healthcare Fund Market Neutral Fund TAX AWARE FUNDS Fleming Tax Aware International Opportunities Fund Tax Aware Disciplined Equity Fund Tax Aware Enhanced Income Fund Tax Aware Large Cap Growth Fund Tax Aware Large Cap Value Fund Tax Aware Short-Intermediate Income Fund Tax Aware U.S. Equity Fund INCOME FUNDS Bond Fund Bond Fund II Enhanced Income Fund Fleming Emerging Markets Debt Fund Global Strategic Income Fund Short Term Bond Fund Short Term Bond Fund II Strategic Income Fund U.S. Treasury Income Fund TAX FREE FUNDS California Bond Fund Intermediate Tax Free Income Fund New Jersey Tax Free Income Fund New York Intermediate Tax Free Income Fund Tax Free Income Fund MONEY MARKET FUNDS 100% U.S. Treasury Securities Money Market Fund California Tax Free Money Market Fund Federal Money Market Fund Liquid Assets Money Market Fund New York Tax Free Money Market Fund Prime Money Market Fund Tax Free Money Market Fund Treasury Plus Money Market Fund U.S. Government Money Market Fund UNDISCOVERED MANAGERS FUNDS Behavioral Growth Fund Behavioral Value Fund REIT Fund Small Cap Growth Fund Funds may be registered under separate registrants. 112 THIS PAGE IS INTENTIONALLY LEFT BLANK [JPMORGAN FLEMING ASSET MANAGEMENT LOGO] JPMorgan Funds are distributed by J.P. Morgan Fund Distributors, Inc., which is unaffiliated with The JPMorgan Chase Bank. JPMorgan Chase and its respective affiliates receive compensation from JPMorgan Funds for providing services to the Funds. This report is submitted for the general information of the shareholders of the Funds. It is not authorized for distribution to prospective investors in the Funds unless preceded or accompanied by a prospectus. 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 thereon. Investors should carefully read the fund prospectus which includes information on the Fund's investment objectives, risk, as well as charges and expenses along with other information. Investors should review the information in the prospectus carefully before investing. For up to date month-end performance information, or to receive a fund prospectus please call 800 348-4782. Please read carefully before investing or sending money. A list of portfolio holdings is available fifteen days after month end upon request. Please contact your JPMorgan Fleming representative or call 1-800-766-7722 to obtain further information. A copy of proxy policies and procedures are available without charge upon request by calling 1-800-348-4782 and on the Commission's website at http://www.sec.gov. JPMorgan Funds Fulfillment Center PRSRT STD 600 North Bedford Street U.S. POSTAGE East Bridgewater, MA 02333 PAID PERMIT 2891 KANSAS CITY, MO (C) J.P. Morgan Chase & Co., 2004 SAN-INTEQ-404 All rights reserved. June 2004. [GRAPHIC] JPMORGAN FUNDS SEMI-ANNUAL REPORT APRIL 30 2004 (UNAUDITED) TAX AWARE FUNDS FLEMING TAX AWARE INTERNATIONAL OPPORTUNITIES FUND TAX AWARE DISCIPLINED EQUITY FUND TAX AWARE ENHANCED INCOME FUND TAX AWARE LARGE CAP GROWTH FUND TAX AWARE LARGE CAP VALUE FUND TAX AWARE SHORT-INTERMEDIATE INCOME FUND TAX AWARE U.S. EQUITY FUND [JPMORGAN FLEMING ASSET MANAGEMENT LOGO] [JPMORGAN FLEMING ASSET MANAGEMENT LOGO] JPMORGAN FLEMING ASSET MANAGEMENT is a premier global wealth manager that has been working with affluent investors for over a hundred years. This experience provides us with a keen understanding of the unique needs of the affluent investor's portfolio. The legacy of our experience, coupled with our GLOBAL INTELLECTUAL CAPITAL, is the foundation from which our investment products have been built. We have a worldwide investment presence. This local insight provides us with a global view of every investment decision we make which we believe is crucial in light of the ever-increasing rise of globalization in our marketplace. JPMorgan Fleming Asset Management is an EXPERIENCED PARTNER dedicated to working with your financial professional to help provide you with a broad array of WEALTH SOLUTIONS. CONTENTS President's Letter 1 Fund Commentaries: Fleming Tax Aware International Opportunites Fund 2 Tax Aware Disciplined Equity Fund 5 Tax Aware Enhanced Income Fund 8 Tax Aware Large Cap Growth Fund 10 Tax Aware Large Cap Value Fund 13 Tax Aware Short-Intermediate Income Fund 16 Tax Aware U.S. Equity Fund 18 Portfolio of Investments 21 Financial Statements 60 Notes to Financial Statements 72 Financial Highlights 98
HIGHLIGHTS - Global growth accelerates - Markets rally across the six months - Buoyant US employment numbers spook markets in April - Inflation key to long term outlook Investments in a Fund are not bank deposits or obligations of, or guaranteed or endorsed by, any bank and are not insured or guaranteed by the FDIC, the Federal Reserve Board or any other government agency. You could lose money if you sell when the Fund's share price is lower than when you invested. Past performance is no guarantee for future performance. The general market views expressed in this report are opinions based on current market conditions and are subject to change without notice. These views are not intended to predict the future performance of a Fund or the securities markets. References to specific securities and their issuers are for illustrative purposes only and are not intended to be, and should not be interpreted as, recommendations to purchase or sell such securities. Such views are not meant as investment advice and may not be relied on as an indication of trading intent on behalf of any Fund. Prospective investors should refer to the Fund's prospectus for a discussion of the Fund's investment objective, strategies and risks. Call JPMorgan Funds Service Center at (800) 348-4782 for a prospectus containing more complete information about a Fund including management fees and other expenses. Please read it carefully before investing. JPMorgan Funds are distributed by J.P. Morgan Fund Distributors, Inc. JPMORGAN TAX AWARE FUNDS PRESIDENT'S LETTER MAY 20, 2004 [PHOTO OF GEORGE C.W. GATCH] "AGAINST THIS BRIGHTENING PICTURE, MARKETS RALLIED." DEAR SHAREHOLDER: We are pleased to present this semi-annual report for the JPMorgan Tax Aware Funds. Inside, you'll find information detailing the performance of the Funds for the six months ended April 30, 2004, along with reports from the Portfolio Managers. GLOBAL ECONOMIC RECOVERY CONSOLIDATES International equity markets continued to rally in the six months to the end of April 2004 as evidence emerged that global growth was accelerating. In the United States, Gross Domestic Product (GDP) growth for the first-quarter was 4.2% - solid if a little below expectations. Furthermore, 308,000 jobs were added to the US labor market in March - the largest monthly rise in four years - ending fears of a jobless U.S. recovery. In Japan, economic indicators showed a marked acceleration. After a series of false dawns, the country appeared, finally, to be emerging from more than a decade of stagnation. And corporate earnings were exceptionally strong everywhere. Earnings forecasts hit new records in the United States, Europe and Japan. Against this brightening picture, markets rallied. The broad-based MSCI EAFE Index of international markets gained 12.4% (in USD). It was led by the more mature markets of Continental Europe and Japan. The laggards were the emerging markets and the high-growth Asian markets, which corrected sharply towards the end of the period as uncertainty crept back into global financial markets. INTEREST RATES, OIL PRICES, GEOPOLITICAL UNCERTAINTY BECOME A CONCERN But it was the U.S. employment numbers, the very news investors had been waiting for, that spooked the stock markets, and started April's correction. Investors worried that the Federal Reserve would raise rates sooner than expected, possibly choking economic growth in the United States and elsewhere. Nervousness increased as setbacks in Iraq during the month caused the oil price to spike higher, and China's government took action to curb its overheating economy. The MSCI EAFE Index fell 2.3% in the month, while more volatile indices fell further - the MSCI Emerging Markets Free Index, for example, slumped 8.2%. OUTLOOK While, by all indications, economic fundamentals are likely to remain solid, equity gains are likely to be tempered by concerns about the timing and magnitude of U.S. rate rises, and the extent to which the yields on long bonds move higher. Uncertainties surrounding Chinese growth, and the situation in Iraq, are also likely to spark volatility. But if the U.S. and Chinese monetary authorities can rein in inflation, the global economy and stock markets are likely to benefit in the long run. IMPORTANT MERGER NEWS As you may know, J.P. Morgan Chase & Co. and Bank One Corp. have agreed to merge in July 2004, as approved by both firms' shareholders. The merger is compelling both strategically and financially. The newly combined organization will have top-tier positions in both wholesale and retail financial services, an extensive client base and greater scale. And we will have an extraordinarily talented team that shares common values and a strong client orientation. As always, we would like to thank you for your investment, and look forward to serving your financial needs for many years to come. Should you have any questions, please feel free to contact the JPMorgan Funds Service Center at 1-800-348-4782. Sincerely, /s/ George C.W. Gatch George C.W. Gatch President JPMorgan Funds JPMORGAN FLEMING TAX AWARE INTERNATIONAL OPPORTUNITIES FUND AS OF APRIL 30, 2004 (Unaudited) FUND FACTS Fund Inception 4/30/01 Fiscal Year End OCTOBER 31 Net Assets as of 4/30/2004 (In Millions) $143.5 Primary Benchmark MSCI EAFE USD NET Q: HOW DID THE FUND PERFORM? A: JPMorgan Fleming Tax Aware International Opportunities, which seeks to provide high after tax total return by investing in equity securities of foreign companies in developed, and, to a lesser extent, emerging markets, rose by 10.17% (Institutional Shares) in the six months to April 30, 2004. This compares with a rally of 12.4% in the MSCI EAFE Index (in US dollars). Q: WHY DID THE FUND PERFORM THIS WAY? A: The Fund rallied with the international equity markets in the six months to April 30, 2004, although it trailed the MSCI EAFE Index benchmark. Stock selection in two sectors - Transport & Consumer Cyclicals and Basic Industries - caused the majority of the shortfall. But this was partly offset by a strong relative contribution from Capital Market Banks, Information Technology and Telecommunications stocks. In the Transport & Consumer Cyclical sector, the greatest detractor was Adecco, the Swiss human resources solutions company. Adecco announced at the beginning of 2004 that it would delay publication of 2003 results because it had uncovered accounting irregularities in its North American operations. Towards the end of April it announced a further postponement, leading to fears that it would breach a bank loan covenant. Also in the sector, Cathay Pacific, the Hong Kong-based airline, underperformed with worries regarding higher fuel prices and slower growth in China. In Basic Materials, POSCO, the Korean steel company, and Ciba Specialty Chemicals, the Swiss chemicals company, both rose in price but even so trailed a strong sector performance. In the case of POSCO, the position was added to what proved to be a short-term peak for the stock price. There was strong relative performance among Capital Markets Bank stocks. Aiful, the Japanese consumer finance company, experienced its stock price rise by more than 50% as the Japanese economy appeared to be in a sustainable recovery. Man Group, the hedge fund manager, performed well due to rapid growth in assets under management. Both the Information Technology and Telecommunications sectors contributed. In Information Technology, Kyocera, the diversified Japanese technology company, performed well as recovery brought rising demand for its products. In Telecommunications, Advanced Information Technology, the Thai cellular phone company, performed well as investors anticipated revenue growth. Q: HOW WAS THE FUND MANAGED? A: In line with a belief that the global economy will continue to recover, stock selection has led the portfolio to have a bias towards what we believe to be high quality companies with operational leverage to the global economy. As always, use of the Dividend Discount Rate model to evaluate stocks causes the portfolio to take a longer term view of a stock's prospects. 2 SEMI-ANNUAL REPORT APRIL 30 2004 (Unaudited) [CHART] PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS United Kingdom 23.7% Japan 18.9% France 12.1% Switzerland 10.9% The Netherlands 5.0% Germany 4.1% Hong Kong 4.0% South Korea 3.4% Sweden 3.2% India 2.4% Singapore 2.2% Taiwan 1.7% Australia 1.6% Spain 1.6% Brazil 1.2% Russia 1.0% Other 3.0%
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO 1. Royal Bank of Scotland Group PLC (United Kingdom) 4.0% 2. Vodafone Group PLC (United Kingdom) 3.8% 3. BNP Paribas (France) 2.8% 4. Total SA (France) 2.8% 5. HSBC Holdings PLC (United Kingdom) 2.7% 6. Zurich Financial Services AG (Switzerland) 2.7% 7. Fujitsu LTD (Japan) 2.2% 8. Daiwa Securities Group, Inc. (Japan) 2.1% 9. Diageo PLC (United Kingdom) 2.0% 10. AstraZeneca PLC (United Kingdom) 2.0%
Top 10 equity holdings comprised 27.1% of the Portfolio's market value of investments ($38,414 in thousands). As of April 30, 2004, the Fund held 87 equity holdings. Portfolio holdings are subject to change at any time. 3 AVERAGE ANNUAL TOTAL RETURNS AS OF APRIL 30, 2004
SINCE INCEPTION 1 YEAR 3 YEARS (4/30/01) ------------------------------------------------ CLASS A SHARES Without Sales Charge 38.26% (0.38%) (0.38%) With Sales Charge* 30.28% (2.34%) (2.34%) INSTITUTIONAL SHARES 39.37% 0.42% 0.42%
* Sales Charge for Class A Shares is 5.75%. [CHART] LIFE OF FUND PERFORMANCE (4/30/01 TO 4/30/04)
JPMORGAN FLEMING TAX AWARE INTERNATIONAL MSCI EAFE LIPPER INTERNATIONAL OPPORTUNITIES FUND (INSTITUTONAL SHARES) USD NET FUNDS INDEX 4/30/2001 $ 3,000,000 $ 3,000,000 $ 3,000,000 5/31/2001 $ 2,937,900 $ 2,894,100 $ 2,927,400 6/30/2001 $ 2,851,820 $ 2,775,731 $ 2,844,847 7/31/2001 $ 2,719,780 $ 2,725,213 $ 2,770,881 8/31/2001 $ 2,699,654 $ 2,656,265 $ 2,715,187 9/30/2001 $ 2,401,612 $ 2,387,185 $ 2,419,231 10/31/2001 $ 2,485,669 $ 2,448,297 $ 2,484,792 11/30/2001 $ 2,603,738 $ 2,538,640 $ 2,577,475 12/31/2001 $ 2,641,492 $ 2,553,618 $ 2,623,354 1/31/2002 $ 2,511,002 $ 2,418,020 $ 2,517,371 2/28/2002 $ 2,508,993 $ 2,434,947 $ 2,552,614 3/31/2002 $ 2,647,490 $ 2,566,677 $ 2,687,647 4/30/2002 $ 2,681,643 $ 2,583,617 $ 2,706,461 5/31/2002 $ 2,727,767 $ 2,616,429 $ 2,745,163 6/30/2002 $ 2,585,377 $ 2,512,295 $ 2,636,729 7/31/2002 $ 2,324,513 $ 2,264,332 $ 2,373,584 8/31/2002 $ 2,348,688 $ 2,259,124 $ 2,375,482 9/30/2002 $ 2,077,884 $ 2,016,494 $ 2,119,643 10/31/2002 $ 2,210,245 $ 2,124,780 $ 2,229,652 11/30/2002 $ 2,330,483 $ 2,221,245 $ 2,335,115 12/31/2002 $ 2,215,823 $ 2,146,611 $ 2,260,391 1/31/2003 $ 2,102,373 $ 2,057,097 $ 2,177,661 2/28/2003 $ 2,047,711 $ 2,009,990 $ 2,113,202 3/31/2003 $ 1,980,751 $ 1,970,594 $ 2,061,429 4/30/2003 $ 2,179,420 $ 2,163,712 $ 2,265,510 5/31/2003 $ 2,317,377 $ 2,294,833 $ 2,410,956 6/30/2003 $ 2,369,982 $ 2,350,368 $ 2,467,855 7/31/2003 $ 2,434,919 $ 2,407,247 $ 2,536,954 8/31/2003 $ 2,509,915 $ 2,465,261 $ 2,610,272 9/30/2003 $ 2,578,938 $ 2,541,192 $ 2,662,739 10/31/2003 $ 2,757,400 $ 2,699,508 $ 2,821,438 11/30/2003 $ 2,810,066 $ 2,759,437 $ 2,878,149 12/31/2003 $ 3,006,771 $ 2,974,949 $ 3,074,151 1/31/2004 $ 3,101,785 $ 3,016,896 $ 3,140,245 2/29/2004 $ 3,172,196 $ 3,086,586 $ 3,212,157 3/31/2004 $ 3,188,691 $ 3,103,871 $ 3,227,896 4/30/2004 $ 3,037,759 $ 3,033,723 $ 3,131,705
SOURCE: LIPPER ANALYTICAL SERVICES, INC. THE QUOTED PERFORMANCE IS PAST PERFORMANCE AND NOT INDICATIVE OF FUTURE RETURNS. 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. PLEASE NOTE, CURRENT PERFORMANCE MAY BE HIGHER OR LOWER THAN THE PERFORMANCE DATA SHOWN. INVESTORS SHOULD CAREFULLY READ THE FUND PROSPECTUS WHICH INCLUDES INFORMATION ON THE FUND'S INVESTMENT OBJECTIVES, RISK, AS WELL AS CHARGES AND EXPENSES ALONG WITH OTHER INFORMATION. INVESTORS SHOULD REVIEW THE INFORMATION IN THE PROSPECTUS CAREFULLY BEFORE INVESTING. FOR UP TO DATE MONTH-END PERFORMANCE INFORMATION, OR TO RECEIVE A FUND PROSPECTUS PLEASE CALL 800 348-4782. PLEASE READ CAREFULLY BEFORE INVESTING OR SENDING MONEY. The Fund commenced operations on 4/30/01. All Shares Classes were introduced on 4/30/01. The graph illustrates comparative performance for $3,000,000 invested in Institutional Shares of the JPMorgan Fleming Tax Aware International Opportunities Fund, MSCI EAFE USD Net and Lipper International Funds Index from April 30, 2001 to April 30, 2004. The performance of the Fund assumes reinvestment of all dividends and capital gains and does not include a sales charge. The performance of the indices does not include a sales charge and has been adjusted to reflect reinvestment of all dividends and capital gains of the securities included in the benchmark. The MSCI EAFE (Europe, Australasia, Far East) Index is a replica (or model) of the performance of the world's equity markets, excluding the U.S. and Canada. Institutional Shares have a $3,000,000 minimum initial deposit and carry no sales charge. Certain fees and expenses of the Fund are currently being waived and reimbursed as described in the prospectus. Had the expenses not been subsidized or waived, returns would have been lower. Also all performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares. International investing involves a greater degree of risk and increased volatility. Changes in currency exchange rates and differences in accounting and taxation policies outside the U.S. can raise or lower returns. Also, some overseas markets may not be as politically and economically stable as the United States and other nations. 4 JPMORGAN TAX AWARE DISCIPLINED EQUITY FUND AS OF APRIL 30, 2004 (Unaudited) FUND FACTS Fund Inception 1/30/97 Fiscal Year End OCTOBER 31 Net Assets as of 4/30/2004 (In Millions) $193.5 Primary Benchmark S&P 500 INDEX Q: HOW DID THE FUND PERFORM? A: JPMorgan Tax Aware Disciplined Equity Fund, which seeks to provide high after tax returns from a portfolio of selected equity securities, rose 6.83% for the six months ending April 30, 2004 (Institutional Shares). This compares to the 6.27% appreciation from the S&P 500 Index, the Fund's benchmark. Q: WHY DID THE FUND OUTPERFORM ITS BENCHMARK? A: The market continued its trend of steadily improving performance for most of the period as the economy showed signs of improvement and corporate earnings came in ahead of expectations. The accommodating environment of low interest rates and inflation also aided equity returns. However, the upgrade in prospects for growth brought with it the threat of an early end to the Federal Reserve's highly accommodative stance. As a result stocks receded in March and April. Stock selection was strongest in the Finance sector where the portfolio manager added value against the benchmark. The portfolio's holdings in the sector performed well as these companies benefited from an improved economic outlook and increased merger activity. In particular, shares of GreenPoint Financial Corp., a holding in the portfolio, advanced after the company agreed to be acquired by its New York rival North Fork Bancorporation Inc. The transaction is expected to be completed in the fourth quarter of 2004. Additionally, adept stock selection in the semiconductors sector also aided the Fund's relative performance. In contrast, the Portfolio's insurance holdings lagged their peer group during the period. Within the sector an underweight position in a resurgent American International Group hindered relative performance. Q: HOW WAS THE FUND MANAGED? A: Keeping to our discipline, the Fund continued to focus on overweighting companies within each sector of the market that were deemed to be attractively priced relative to their future earnings prospects. Style characteristics and sector weightings were kept in line with the S&P 500 so as to minimize volatility relative to index and to ensure that stock selection was the main driver of returns. 5 [CHART] PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS Consumer Goods & Services 23.0% Finance & Insurance 20.1% Technology 16.8% Industrial Products & Services 13.0% Pharmaceuticals 10.2% Energy 6.4% Telecommuncations 3.7% Health Services & Systems 3.5% Utilities 2.6% Short-Term Investments 0.4% REITs 0.3%
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO 1. Citigroup, Inc. 3.4% 2. General Electric Co. 3.3% 3. Microsoft Corp. 2.9% 4. Pfizer, Inc. 2.7% 5. Procter & Gamble Co. 2.2% 6. The Coco-Cola Co. 2.0% 7. Johnson & Johnson 2.0% 8. Wal-Mart Stores, Inc. 2.0% 9. Exxon Mobil Corp. 1.7% 10. Bank of America Corp. 1.7%
Top 10 equity holdings comprised 23.9% of the Portfolio's market value of investments ($46,285 in thousands). As of April 30, 2004 the Fund held 215 equity holdings. Portfolio holdings are subject to change at any time. 6 SEMI-ANNUAL REPORT APRIL 30 2004 (Unaudited) AVERAGE ANNUAL TOTAL RETURNS AS OF APRIL 30, 2004
SINCE INCEPTION 1 YEAR 3 YEARS 5 YEARS (1/30/97) ---------------------------------------------------------- INSTITUTIONAL SHARES 23.72% (2.90%) (3.01%) 6.60%
[CHART] LIFE OF FUND PERFORMANCE (1/30/97 TO 4/30/04)
JPMORGAN TAX AWARE DISCIPLINED LIPPER LARGE-CAP EQUITY FUND (INSTITUTIONAL SHARES) S&P 500 INDEX CORE FUNDS INDEX 1/30/97 $ 3,000,000 $ 3,000,000 $ 3,000,000 1/31/97 $ 3,009,000 $ 3,000,000 $ 3,000,000 2/28/97 $ 3,036,081 $ 3,023,400 $ 2,996,400 3/31/97 $ 2,900,975 $ 2,899,138 $ 2,868,154 4/30/97 $ 3,075,034 $ 3,072,217 $ 3,027,050 5/31/97 $ 3,302,894 $ 3,259,315 $ 3,210,792 6/30/97 $ 3,458,791 $ 3,405,332 $ 3,350,140 7/31/97 $ 3,758,668 $ 3,676,397 $ 3,614,801 8/31/97 $ 3,569,607 $ 3,470,518 $ 3,430,808 9/30/97 $ 3,752,728 $ 3,660,703 $ 3,607,494 10/31/97 $ 3,623,634 $ 3,538,435 $ 3,496,384 11/30/97 $ 3,779,450 $ 3,702,265 $ 3,610,715 12/31/97 $ 3,844,456 $ 3,765,944 $ 3,676,430 1/31/98 $ 3,895,972 $ 3,807,746 $ 3,712,827 2/28/98 $ 4,179,989 $ 4,082,284 $ 3,976,066 3/31/98 $ 4,394,422 $ 4,291,297 $ 4,172,882 4/30/98 $ 4,463,854 $ 4,334,639 $ 4,215,028 5/31/98 $ 4,421,447 $ 4,260,084 $ 4,142,951 6/30/98 $ 4,581,946 $ 4,433,043 $ 4,339,741 7/31/98 $ 4,539,334 $ 4,386,053 $ 4,304,589 8/31/98 $ 3,857,526 $ 3,751,829 $ 3,660,192 9/30/98 $ 4,120,995 $ 3,992,322 $ 3,842,104 10/31/98 $ 4,466,334 $ 4,316,897 $ 4,130,261 11/30/98 $ 4,794,163 $ 4,578,501 $ 4,376,012 12/31/98 $ 5,067,430 $ 4,842,223 $ 4,666,579 1/31/99 $ 5,235,162 $ 5,044,628 $ 4,829,909 2/28/99 $ 5,077,060 $ 4,887,740 $ 4,680,665 3/31/99 $ 5,281,158 $ 5,083,250 $ 4,868,828 4/30/99 $ 5,552,082 $ 5,279,971 $ 4,999,313 5/31/99 $ 5,445,482 $ 5,155,364 $ 4,866,831 6/30/99 $ 5,753,696 $ 5,441,487 $ 5,138,400 7/31/99 $ 5,561,522 $ 5,271,712 $ 4,987,845 8/31/99 $ 5,494,228 $ 5,245,354 $ 4,936,969 9/30/99 $ 5,307,974 $ 5,101,631 $ 4,803,177 10/31/99 $ 5,570,718 $ 5,424,564 $ 5,097,612 11/30/99 $ 5,677,676 $ 5,534,683 $ 5,222,503 12/31/99 $ 5,949,069 $ 5,860,676 $ 5,569,800 1/31/2000 $ 5,651,021 $ 5,566,470 $ 5,344,780 2/29/2000 $ 5,528,394 $ 5,461,264 $ 5,343,176 3/31/2000 $ 6,077,916 $ 5,995,375 $ 5,807,498 4/30/2000 $ 5,844,524 $ 5,814,915 $ 5,617,593 5/31/2000 $ 5,734,062 $ 5,695,709 $ 5,474,345 6/30/2000 $ 5,872,253 $ 5,835,823 $ 5,674,706 7/31/2000 $ 5,780,059 $ 5,744,784 $ 5,586,180 8/31/2000 $ 6,152,873 $ 6,101,535 $ 5,971,627 9/30/2000 $ 5,838,461 $ 5,779,374 $ 5,653,936 10/31/2000 $ 5,823,281 $ 5,755,101 $ 5,588,350 11/30/2000 $ 5,372,559 $ 5,301,599 $ 5,096,576 12/31/2000 $ 5,409,630 $ 5,327,577 $ 5,158,754 1/31/2001 $ 5,647,653 $ 5,516,706 $ 5,304,746 2/28/2001 $ 5,124,681 $ 5,013,582 $ 4,810,875 3/31/2001 $ 4,799,776 $ 4,695,721 $ 4,515,487 4/30/2001 $ 5,205,357 $ 5,060,579 $ 4,858,664 5/31/2001 $ 5,261,054 $ 5,094,485 $ 4,885,872 6/30/2001 $ 5,140,050 $ 4,970,689 $ 4,755,908 7/31/2001 $ 5,103,042 $ 4,921,976 $ 4,686,948 8/31/2001 $ 4,792,777 $ 4,613,860 $ 4,410,886 9/30/2001 $ 4,368,137 $ 4,241,522 $ 4,076,100 10/31/2001 $ 4,452,005 $ 4,322,535 $ 4,172,296 11/30/2001 $ 4,805,494 $ 4,654,073 $ 4,445,581 12/31/2001 $ 4,842,497 $ 4,695,029 $ 4,495,816 1/31/2002 $ 4,733,540 $ 4,626,482 $ 4,424,783 2/28/2002 $ 4,636,976 $ 4,537,190 $ 4,350,446 3/31/2002 $ 4,801,589 $ 4,707,789 $ 4,498,361 4/30/2002 $ 4,492,366 $ 4,422,497 $ 4,263,097 5/31/2002 $ 4,451,935 $ 4,389,770 $ 4,231,976 6/30/2002 $ 4,124,273 $ 4,077,219 $ 3,939,547 7/31/2002 $ 3,801,755 $ 3,759,196 $ 3,646,839 8/31/2002 $ 3,836,351 $ 3,784,006 $ 3,676,743 9/30/2002 $ 3,409,748 $ 3,372,685 $ 3,319,731 10/31/2002 $ 3,689,348 $ 3,669,481 $ 3,577,674 11/30/2002 $ 3,906,281 $ 3,885,614 $ 3,737,596 12/31/2002 $ 3,671,514 $ 3,657,528 $ 3,540,625 1/31/2003 $ 3,573,852 $ 3,561,701 $ 3,447,860 2/28/2003 $ 3,520,244 $ 3,508,275 $ 3,402,004 3/31/2003 $ 3,557,558 $ 3,542,306 $ 3,430,581 4/30/2003 $ 3,851,769 $ 3,834,192 $ 3,683,414 5/31/2003 $ 4,060,534 $ 4,036,253 $ 3,862,060 6/30/2003 $ 4,104,794 $ 4,087,917 $ 3,900,294 7/31/2003 $ 4,155,694 $ 4,159,865 $ 3,961,919 8/31/2003 $ 4,231,743 $ 4,240,982 $ 4,038,384 9/30/2003 $ 4,199,582 $ 4,196,028 $ 3,986,289 10/31/2003 $ 4,460,376 $ 4,433,523 $ 4,181,219 11/30/2003 $ 4,514,346 $ 4,472,538 $ 4,216,341 12/31/2003 $ 4,768,955 $ 4,706,899 $ 4,419,147 1/31/2004 $ 4,848,597 $ 4,793,035 $ 4,481,457 2/29/2004 $ 4,928,599 $ 4,859,658 $ 4,534,338 3/31/2004 $ 4,861,077 $ 4,786,278 $ 4,463,149 4/30/2004 $ 4,766,153 $ 4,711,133 $ 4,393,970
SOURCE: LIPPER ANALYTICAL SERVICES, INC. THE QUOTED PERFORMANCE IS PAST PERFORMANCE AND NOT INDICATIVE OF FUTURE RETURNS. 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. PLEASE NOTE, CURRENT PERFORMANCE MAY BE HIGHER OR LOWER THAN THE PERFORMANCE DATA SHOWN. INVESTORS SHOULD CAREFULLY READ THE FUND PROSPECTUS WHICH INCLUDES INFORMATION ON THE FUND'S INVESTMENT OBJECTIVES, RISK, AS WELL AS CHARGES AND EXPENSES ALONG WITH OTHER INFORMATION. INVESTORS SHOULD REVIEW THE INFORMATION IN THE PROSPECTUS CAREFULLY BEFORE INVESTING. FOR UP TO DATE MONTH-END PERFORMANCE INFORMATION, OR TO RECEIVE A FUND PROSPECTUS PLEASE CALL 800 348-4782. PLEASE READ CAREFULLY BEFORE INVESTING OR SENDING MONEY. The Fund commenced operations on 1/30/97. The graph illustrates comparative performance for $3,000,000 invested in Institutional Shares of the JPMorgan Tax Aware Disciplined Equity Fund, S&P 500 Index, and Lipper Large-Cap Core Funds Index from January 30, 1997 to April 30, 2004. The performance of the Fund assumes reinvestment of all dividends and capital gains and does not include a sales charge. The performance of the indices reflects an initial investment at the end of the month following the Fund's inception. The performance of the indices does not include a sales charge and has been adjusted to reflect reinvestment of all dividends and capital gains of the securities included in the benchmark. The S&P 500 Index is a broad-based index that replicates the U.S. stock market. The Lipper Large-Cap Core Funds Index represents the total returns of the funds in the indicated category, as defined by Lipper, Inc. Investors cannot invest directly in an index. Institutional Shares have a $3,000,000 minimum initial deposit and carry no sales charge. Certain fees and expenses of the Fund are currently being waived and reimbursed as described in the prospectus. Had the expenses not been subsidized or waived, returns would have been lower. Also all performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares. 7 JPMORGAN TAX AWARE ENHANCED INCOME FUND AS OF APRIL 30, 2004 (Unaudited) FUND FACTS Fund Inception 4/16/99 Fiscal Year End OCTOBER 31 Net Assets as of 4/30/2004 (In Millions) $2,249.1 Primary Benchmark MERRILL LYNCH 3-MONTH U.S. TREASURY BILL INDEX Q: HOW DID THE FUND PERFORM? A: JPMorgan Tax Aware Enhanced Income Fund, which seeks to provide high after tax current income with principal preservation, returned 0.34% (Institutional Shares) for the six-month period ended April 30, 2004. This compares to the 0.50% return from the Fund's benchmark index, the Merrill Lynch 3-Month U.S. Treasury Bill Index. Q: WHY DID THE FUND PERFORM THIS WAY? A: The fund underperformed its benchmark over the last six months. Duration positioning, which was longer than the benchmark, was negative for performance as investors started pricing in a strengthening economy and interest rates rose. Although only a slight drag in November and December, it resulted in poor returns the end of the first quarter and was a major detriment in April as interest rates spiked higher on the back of strong employment growth and the first whiff of inflation. However, performance benefited from our allocation to California obligations, including state bonds, as they rose in price in response to California's progress towards solving its budget problems. Also positive were our purchases of lower-rated paper, which performed well at a time when credit spreads narrowed. Q: HOW WAS THE FUND MANAGED? A: In the final months of 2003, the U.S. economic expansion gradually made the transition from being policy dependent to becoming self-sustaining. In December, the Federal Reserve Board announced that it would keep its monetary policy on hold until economic conditions warrant a change. Although economic data was mixed during the first quarter, it was uniformly positive during April. The March employment report listed 308,000 new jobs versus expectations of 120,000. Corporate earnings reports showed accelerating profit growth. The first-quarter gross domestic product (GDP) report indicated that the U.S. economy expanded at 4.2% with signs of accelerating inflation. Chairman Greenspan's Congressional testimony - combined with the strong economic data - led to a widespread belief that the Fed could raise rates as early as June. In 2003, municipalities took advantage of low interest rates to refinance outstanding debt and raise new money. As a result, municipal issuance reached a record $383 billion. Over the last six months, the ratio (the difference in prices) between two-year municipal and taxable securities was volatile - reaching a high of 87% and a low of 70% for an average of 78%. The ratio ended the period at 76%, just about where it started at 75%. Municipals performed well for most of the period. Low seasonal supply during the first quarter of 2004 was met with strong demand from both retail and institutional buyers. In the second half of March, however, an avalanche of supply overwhelmed demand. We began the period with an 84% allocation to municipals, whittling it down to 78% by the end of 2003 and investing the proceeds in corporate bonds and asset-backed securities. Because of continued high prices, we trimmed our position to 76% in March, then moved back to 78% toward the end of the period as municipal yields increased. 8 SEMI-ANNUAL REPORT APRIL 30 2004 (Unaudited) AVERAGE ANNUAL TOTAL RETURNS AS OF APRIL 30, 2004
SINCE INCEPTION 1 YEAR 3 YEARS 5 YEARS (4/16/99) ---------------------------------------------------------- CLASS A SHARES Without Sales Charge 0.23% 1.87% 2.77% 2.77% With Sales Charge* (1.23%) 1.36% 2.47% 2.47% INSTITUTIONAL SHARES 0.74% 2.30% 3.13% 3.13% SELECT SHARES 0.48% 2.07% 2.90% 2.90%
* Sales Charge for Class A Shares is 1.50%. [CHART] LIFE OF FUND PERFORMANCE (4/16/99 TO 4/30/04)
JPMORGAN TAX AWARE ENHANCED MERRIL LYNCH 3-MONTH LIPPER SHORT-INTERMEDIATE INCOME FUND (INSTITUTIONAL SHARES) U.S. TREASURY BILL INDEX INVESTMENT GRADE FUNDS INDEX 4/16/99 $ 3,000,000 $ 3,000,000 $ 3,000,000 4/30/99 $ 3,003,000 $ 3,000,000 $ 3,000,000 5/31/99 $ 3,011,408 $ 3,011,700 $ 2,982,300 6/30/99 $ 3,005,386 $ 3,024,349 $ 2,983,493 7/31/99 $ 3,015,604 $ 3,036,749 $ 2,980,211 8/31/99 $ 3,025,857 $ 3,048,896 $ 2,983,787 9/30/99 $ 3,036,145 $ 3,062,616 $ 3,010,641 10/31/99 $ 3,046,771 $ 3,074,560 $ 3,016,964 11/30/99 $ 3,056,826 $ 3,086,858 $ 3,023,299 12/31/99 $ 3,068,136 $ 3,100,749 $ 3,018,764 1/31/2000 $ 3,063,841 $ 3,114,083 $ 3,010,614 2/29/2000 $ 3,074,564 $ 3,127,784 $ 3,032,290 3/31/2000 $ 3,101,928 $ 3,144,049 $ 3,058,065 4/30/2000 $ 3,096,344 $ 3,158,826 $ 3,054,395 5/31/2000 $ 3,107,801 $ 3,178,095 $ 3,060,504 6/30/2000 $ 3,134,528 $ 3,191,761 $ 3,107,329 7/31/2000 $ 3,146,752 $ 3,206,124 $ 3,127,838 8/31/2000 $ 3,159,339 $ 3,222,795 $ 3,160,680 9/30/2000 $ 3,171,977 $ 3,239,876 $ 3,189,442 10/31/2000 $ 3,185,299 $ 3,256,724 $ 3,197,735 11/30/2000 $ 3,197,722 $ 3,274,636 $ 3,234,829 12/31/2000 $ 3,226,821 $ 3,292,646 $ 3,283,675 1/31/2001 $ 3,239,406 $ 3,314,378 $ 3,331,616 2/28/2001 $ 3,250,420 $ 3,326,972 $ 3,361,268 3/31/2001 $ 3,278,373 $ 3,342,276 $ 3,384,460 4/30/2001 $ 3,273,128 $ 3,356,982 $ 3,380,399 5/31/2001 $ 3,300,622 $ 3,370,074 $ 3,398,653 6/30/2001 $ 3,311,184 $ 3,379,848 $ 3,411,228 7/31/2001 $ 3,321,449 $ 3,391,001 $ 3,473,312 8/31/2001 $ 3,341,045 $ 3,401,852 $ 3,501,794 9/30/2001 $ 3,353,073 $ 3,416,140 $ 3,544,165 10/31/2001 $ 3,364,809 $ 3,425,022 $ 3,589,885 11/30/2001 $ 3,365,145 $ 3,432,557 $ 3,555,422 12/31/2001 $ 3,370,866 $ 3,438,049 $ 3,540,489 1/31/2002 $ 3,387,720 $ 3,443,206 $ 3,557,130 2/28/2002 $ 3,396,867 $ 3,447,683 $ 3,583,097 3/31/2002 $ 3,396,528 $ 3,452,854 $ 3,538,666 4/30/2002 $ 3,412,831 $ 3,458,379 $ 3,582,546 5/31/2002 $ 3,418,974 $ 3,463,912 $ 3,610,848 6/30/2002 $ 3,421,367 $ 3,468,761 $ 3,622,042 7/31/2002 $ 3,424,446 $ 3,473,965 $ 3,646,309 8/31/2002 $ 3,426,844 $ 3,478,828 $ 3,688,242 9/30/2002 $ 3,432,327 $ 3,484,394 $ 3,737,664 10/31/2002 $ 3,431,640 $ 3,489,621 $ 3,728,320 11/30/2002 $ 3,441,249 $ 3,495,204 $ 3,728,320 12/31/2002 $ 3,447,099 $ 3,499,399 $ 3,793,193 1/31/2003 $ 3,459,853 $ 3,502,898 $ 3,795,469 2/28/2003 $ 3,465,043 $ 3,506,051 $ 3,840,255 3/31/2003 $ 3,471,280 $ 3,510,258 $ 3,844,864 4/30/2003 $ 3,477,528 $ 3,513,417 $ 3,869,855 5/31/2003 $ 3,483,788 $ 3,516,930 $ 3,933,321 6/30/2003 $ 3,486,226 $ 3,521,854 $ 3,931,748 7/31/2003 $ 3,474,025 $ 3,524,319 $ 3,843,283 8/31/2003 $ 3,478,888 $ 3,527,139 $ 3,852,123 9/30/2003 $ 3,493,847 $ 3,530,666 $ 3,933,403 10/31/2003 $ 3,491,052 $ 3,533,491 $ 3,903,902 11/30/2003 $ 3,491,751 $ 3,536,317 $ 3,907,806 12/31/2003 $ 3,496,290 $ 3,539,854 $ 3,938,678 1/31/2004 $ 3,500,835 $ 3,542,686 $ 3,959,946 2/29/2004 $ 3,508,537 $ 3,545,165 $ 3,991,230 3/31/2004 $ 3,506,081 $ 3,548,002 $ 4,018,370 4/30/2004 $ 3,504,013 $ 3,550,840 $ 3,945,638
SOURCE: LIPPER ANALYTICAL SERVICES, INC. THE QUOTED PERFORMANCE IS PAST PERFORMANCE AND NOT INDICATIVE OF FUTURE RETURNS. 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. PLEASE NOTE, CURRENT PERFORMANCE MAY BE HIGHER OR LOWER THAN THE PERFORMANCE DATA SHOWN. INVESTORS SHOULD CAREFULLY READ THE FUND PROSPECTUS WHICH INCLUDES INFORMATION ON THE FUND'S INVESTMENT OBJECTIVES, RISK, AS WELL AS CHARGES AND EXPENSES ALONG WITH OTHER INFORMATION. INVESTORS SHOULD REVIEW THE INFORMATION IN THE PROSPECTUS CAREFULLY BEFORE INVESTING. FOR UP TO DATE MONTH-END PERFORMANCE INFORMATION, OR TO RECEIVE A FUND PROSPECTUS PLEASE CALL 800 348-4782. PLEASE READ CAREFULLY BEFORE INVESTING OR SENDING MONEY. The Fund commenced operations on 4/16/99. Returns for the Select Shares prior to 5/6/99 (offering date of the Select Shares) are calculated using the historical expenses of the Institutional Shares, which are lower than the expenses of the Select Shares. Returns for the Class A Shares prior to 11/30/01 (offering date of the Class A Shares) are calculated using the historical expenses of the Select Shares, which are lower than the expenses of the Class A Shares. The graph illustrates comparative performance for $3,000,000 invested in Institutional Shares of the JPMorgan Tax Aware Enhanced Income Fund, Merrill Lynch 3-Month U.S. Treasury Bill Index, and Lipper Short-Intermediate Investment Grade Funds Index from April 16, 1999 to April 30, 2004. The performance of the Fund assumes reinvestment of all dividends and capital gains and does not include a sales charge. The performance of the indices reflects an initial investment at the end of the month following the Fund's inception. The performance of the indices does not include a sales charge and has been adjusted to reflect reinvestment of all dividends and capital gains of the securities included in the benchmark. The Merrill Lynch 3-Month U.S. Treasury Bill Index is an unmanaged index that tracks the performance of the 3-Month U.S. Treasury Market. The Lipper Short-Intermediate Investment Grade Funds Index represents the total returns of the funds in the indicated category, as defined by Lipper, Inc. Investors cannot invest directly in an index. Institutional Shares have a $3,000,000 minimum initial deposit and carry no sales charge. Certain fees and expenses of the Fund are currently being waived and reimbursed as described in the prospectus. Had the expenses not been subsidized or waived, returns would have been lower. Also all performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares. 9 JPMORGAN TAX AWARE LARGE CAP GROWTH FUND AS OF APRIL 30, 2004 (Unaudited) FUND FACTS Fund Inception 1/1/97 Fiscal Year End OCTOBER 31 Net Assets as of 4/30/2004 (In Millions) $247.9 Primary Benchmark RUSSELL 1000 GROWTH INDEX Q: HOW DID THE FUND PERFORM? A: JPMorgan Tax Aware Large Cap Growth Fund, which seeks to provide long-term capital growth while minimizing capital gain distributions from a portfolio of large cap equity securities, had a total return of 1.48% during the six-month period ended April 30, 2004. This compares to a return of 4.14% for the Fund's benchmark, the Russell 1000 Growth Index. Q: WHY DID THE FUND PERFORM THIS WAY? A: The Fund participated in the markets' advance but underperformed its benchmark in the six-month period ending April 30, 2004. The market continued its trend of steadily improving performance for most of the period as the economy showed signs of improvement and corporate earnings came in ahead of expectations. The accommodating environment of low interest rates and inflation also provided an environment that supported rising consumer confidence and aided the market's recovery. However, the upgrade in prospects for growth brought with it the threat of an early end to the Federal Reserve's highly accommodative stance. As a result stocks receded in March and April. The Fund's underperformance of its benchmark was due to a combination of sector allocation and stock selection. The primary detractor from the Fund's relative performance was an underweight stance relative to the benchmark as well as poor stock selection in the pharmaceutical/medical technology sector. Despite the Fund's underperformance for the period, there were a number of bright spots, particularly in the Software and Services sector where your portfolio manager was able to add value. Symantec, an Internet security provider, was the top contributor within the sector. Shares of the company advanced after management reported fiscal third quarter profit which was at the upper end of expectations. Q: HOW WAS THE FUND MANAGED? A: During the period under review, the Fund's portfolio management team changed. As a result, there have been some minor changes in the composition of the Fund. In particular, we have increased the number of holdings in the Fund by adding to our exposure in the Health Services and Systems as well as the Telecommunications sectors. During this period we also reduced the Fund's Software and Services exposure by eliminating names such as Symantec, Oracle, IBM as well as First Data Corp. Keeping to our discipline, the Fund continued to focus on overweighting companies within each sector of the market that were deemed to be attractively priced relative to their future earnings prospects. Style characteristics and sector weightings were kept in line with the Russell 1000 Growth Index so as to minimize volatility relative to index and to ensure that stock selection was the main driver of returns. 10 SEMI-ANNUAL REPORT APRIL 30 2004 (Unaudited) [CHART] PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS Technology 30.9% Consumer Goods & Services 25.5% Pharmaceuticals 15.2% Industrial Products & Services 8.7% Health Services & Systems 7.7% Finance & Insurance 7.0% Energy 1.7% Telecommunications 1.7% Short-Term Investments 1.6%
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO 1. General Electric Co. 6.0% 2. Pfizer, Inc. 5.4% 3. Intel Corp. 3.7% 4. Cisco Systems, Inc. 3.7% 5. Microsoft Corp. 3.6% 6. Johnson & Johnson 3.3% 7. The Coca-Cola Co. 2.7% 8. Procter & Gamble Co. 2.4% 9. Home Depot, Inc. 2.3% 10. Wal-Mart Stores, Inc. 2.2%
Top 10 equity holdings comprised 35.3% of the Portfolio's market value of investments ($87,648 in thousands). As of April 30, 2004 the Fund held 85 equity holdings. Portfolio holdings are subject to change at any time. 11 AVERAGE ANNUAL TOTAL RETURNS AS OF APRIL 30, 2004
1 YEAR 3 YEARS 5 YEARS 10 YEARS ----------------------------------------------- SELECT SHARES 11.45% (7.99%) (7.89%) 8.40%
[CHART] TEN-YEAR FUND PERFORMANCE (4/30/94 TO 4/30/04)
JPMORGAN TAX AWARE RUSSELL 1000 LIPPER LARGE-CAP GROWTH LARGE CAP GROWTH FUND GROWTH INDEX FUNDS INDEX 4/30/94 $ 1,000,000 $ 1,000,000 $ 1,000,000 5/31/94 $ 1,022,100 $ 1,015,100 $ 1,006,000 6/30/94 $ 999,001 $ 985,155 $ 968,476 7/31/94 $ 1,024,675 $ 1,018,847 $ 996,271 8/31/94 $ 1,060,129 $ 1,075,597 $ 1,047,380 9/30/94 $ 1,033,201 $ 1,060,861 $ 1,022,453 10/31/94 $ 1,059,341 $ 1,085,897 $ 1,048,627 11/30/94 $ 1,036,142 $ 1,051,149 $ 1,009,933 12/31/94 $ 1,061,527 $ 1,068,808 $ 1,017,810 1/31/95 $ 1,086,261 $ 1,091,573 $ 1,025,749 2/28/95 $ 1,135,577 $ 1,137,310 $ 1,061,035 3/31/95 $ 1,165,556 $ 1,170,520 $ 1,091,169 4/30/95 $ 1,182,690 $ 1,196,154 $ 1,120,957 5/31/95 $ 1,214,386 $ 1,237,900 $ 1,158,061 6/30/95 $ 1,252,396 $ 1,285,683 $ 1,217,238 7/31/95 $ 1,287,964 $ 1,339,167 $ 1,283,456 8/31/95 $ 1,303,935 $ 1,340,640 $ 1,290,643 9/30/95 $ 1,349,182 $ 1,402,444 $ 1,338,526 10/31/95 $ 1,336,634 $ 1,403,426 $ 1,330,896 11/30/95 $ 1,410,550 $ 1,458,019 $ 1,372,820 12/31/95 $ 1,413,936 $ 1,466,330 $ 1,373,369 1/31/96 $ 1,438,679 $ 1,515,452 $ 1,413,746 2/29/96 $ 1,460,116 $ 1,543,184 $ 1,445,555 3/31/96 $ 1,468,876 $ 1,545,191 $ 1,446,278 4/30/96 $ 1,484,740 $ 1,585,829 $ 1,480,699 5/31/96 $ 1,502,557 $ 1,641,175 $ 1,524,380 6/30/96 $ 1,506,915 $ 1,643,472 $ 1,510,661 7/31/96 $ 1,411,828 $ 1,547,165 $ 1,429,840 8/31/96 $ 1,444,159 $ 1,587,082 $ 1,472,735 9/30/96 $ 1,524,743 $ 1,702,621 $ 1,575,238 10/31/96 $ 1,538,466 $ 1,712,837 $ 1,594,928 11/30/96 $ 1,664,928 $ 1,841,471 $ 1,698,120 12/31/96 $ 1,618,310 $ 1,805,378 $ 1,656,007 1/31/97 $ 1,657,311 $ 1,931,935 $ 1,760,998 2/28/97 $ 1,639,081 $ 1,918,798 $ 1,735,639 3/31/97 $ 1,580,402 $ 1,814,991 $ 1,646,774 4/30/97 $ 1,688,501 $ 1,935,506 $ 1,737,182 5/31/97 $ 1,815,983 $ 2,075,250 $ 1,855,137 6/30/97 $ 1,905,148 $ 2,158,260 $ 1,932,867 7/31/97 $ 2,095,091 $ 2,349,050 $ 2,117,649 8/31/97 $ 1,984,261 $ 2,211,631 $ 2,002,238 9/30/97 $ 2,082,283 $ 2,320,443 $ 2,112,761 10/31/97 $ 2,027,935 $ 2,234,586 $ 2,039,448 11/30/97 $ 2,101,752 $ 2,329,556 $ 2,084,724 12/31/97 $ 2,150,093 $ 2,355,647 $ 2,113,076 1/31/98 $ 2,181,269 $ 2,426,081 $ 2,150,478 2/28/98 $ 2,365,368 $ 2,608,523 $ 2,314,774 3/31/98 $ 2,466,133 $ 2,712,603 $ 2,422,411 4/30/98 $ 2,540,610 $ 2,750,037 $ 2,463,108 5/31/98 $ 2,467,948 $ 2,671,935 $ 2,407,934 6/30/98 $ 2,616,766 $ 2,835,725 $ 2,545,668 7/31/98 $ 2,589,028 $ 2,817,009 $ 2,544,395 8/31/98 $ 2,221,645 $ 2,394,176 $ 2,128,895 9/30/98 $ 2,404,264 $ 2,578,049 $ 2,283,666 10/31/98 $ 2,618,484 $ 2,785,324 $ 2,430,963 11/30/98 $ 2,778,735 $ 2,997,287 $ 2,597,970 12/31/98 $ 3,028,544 $ 3,267,643 $ 2,883,746 1/31/99 $ 3,245,085 $ 3,459,453 $ 3,070,901 2/28/99 $ 3,133,129 $ 3,301,356 $ 2,944,687 3/31/99 $ 3,332,709 $ 3,475,338 $ 3,111,946 4/30/99 $ 3,381,034 $ 3,479,856 $ 3,122,526 5/31/99 $ 3,274,193 $ 3,373,024 $ 3,019,171 6/30/99 $ 3,518,448 $ 3,609,136 $ 3,229,003 7/31/99 $ 3,451,949 $ 3,494,365 $ 3,127,612 8/31/99 $ 3,505,109 $ 3,551,323 $ 3,128,238 9/30/99 $ 3,480,573 $ 3,476,746 $ 3,096,643 10/31/99 $ 3,660,519 $ 3,739,240 $ 3,334,155 11/30/99 $ 3,804,011 $ 3,940,785 $ 3,498,862 12/31/99 $ 4,159,306 $ 4,350,627 $ 3,887,586 1/31/2000 $ 3,949,677 $ 4,146,582 $ 3,731,694 2/29/2000 $ 4,180,338 $ 4,349,350 $ 3,927,981 3/31/2000 $ 4,415,273 $ 4,660,763 $ 4,203,725 4/30/2000 $ 4,187,887 $ 4,438,911 $ 3,878,357 5/31/2000 $ 3,834,848 $ 4,215,190 $ 3,654,963 6/30/2000 $ 4,190,722 $ 4,534,701 $ 3,896,557 7/31/2000 $ 4,067,514 $ 4,345,604 $ 3,817,456 8/31/2000 $ 4,363,223 $ 4,738,882 $ 4,147,666 9/30/2000 $ 3,818,256 $ 4,290,583 $ 3,831,199 10/31/2000 $ 3,627,343 $ 4,087,639 $ 3,628,529 11/30/2000 $ 3,198,229 $ 3,485,121 $ 3,141,580 12/31/2000 $ 3,131,386 $ 3,374,991 $ 3,122,103 1/31/2001 $ 3,288,268 $ 3,608,203 $ 3,212,956 2/28/2001 $ 2,838,104 $ 2,995,530 $ 2,715,590 3/31/2001 $ 2,572,458 $ 2,669,616 $ 2,433,440 4/30/2001 $ 2,877,551 $ 3,007,323 $ 2,694,792 5/31/2001 $ 2,840,143 $ 2,963,115 $ 2,674,312 6/30/2001 $ 2,800,097 $ 2,894,371 $ 2,597,291 7/31/2001 $ 2,755,575 $ 2,822,012 $ 2,504,308 8/31/2001 $ 2,553,867 $ 2,591,171 $ 2,313,981 9/30/2001 $ 2,294,905 $ 2,332,572 $ 2,081,194 10/31/2001 $ 2,419,519 $ 2,455,032 $ 2,167,564 11/30/2001 $ 2,575,819 $ 2,690,961 $ 2,366,113 12/31/2001 $ 2,581,744 $ 2,685,848 $ 2,376,997 1/31/2002 $ 2,558,250 $ 2,638,309 $ 2,323,277 2/28/2002 $ 2,485,084 $ 2,528,819 $ 2,227,093 3/31/2002 $ 2,530,313 $ 2,616,316 $ 2,316,622 4/30/2002 $ 2,300,054 $ 2,402,824 $ 2,162,335 5/31/2002 $ 2,262,103 $ 2,344,676 $ 2,122,981 6/30/2002 $ 2,051,728 $ 2,127,794 $ 1,950,170 7/31/2002 $ 1,955,912 $ 2,010,765 $ 1,803,322 8/31/2002 $ 1,974,493 $ 2,016,797 $ 1,813,241 9/30/2002 $ 1,758,089 $ 1,807,655 $ 1,637,538 10/31/2002 $ 1,940,402 $ 1,973,417 $ 1,763,628 11/30/2002 $ 2,040,139 $ 2,080,574 $ 1,836,642 12/31/2002 $ 1,883,864 $ 1,936,806 $ 1,708,628 1/31/2003 $ 1,833,188 $ 1,889,742 $ 1,669,159 2/28/2003 $ 1,828,789 $ 1,881,049 $ 1,651,299 3/31/2003 $ 1,875,606 $ 1,916,037 $ 1,682,343 4/30/2003 $ 2,011,400 $ 2,057,632 $ 1,805,491 5/31/2003 $ 2,083,006 $ 2,160,307 $ 1,893,960 6/30/2003 $ 2,093,421 $ 2,190,120 $ 1,909,680 7/31/2003 $ 2,132,149 $ 2,244,654 $ 1,965,060 8/31/2003 $ 2,150,059 $ 2,300,546 $ 2,013,401 9/30/2003 $ 2,122,323 $ 2,275,930 $ 1,970,516 10/31/2003 $ 2,208,914 $ 2,403,837 $ 2,090,126 11/30/2003 $ 2,213,332 $ 2,429,077 $ 2,109,982 12/31/2003 $ 2,284,158 $ 2,513,123 $ 2,169,484 1/31/2004 $ 2,296,036 $ 2,564,391 $ 2,211,138 2/29/2004 $ 2,309,583 $ 2,580,803 $ 2,220,645 3/31/2004 $ 2,286,487 $ 2,533,058 $ 2,195,774 4/30/2004 $ 2,241,005 $ 2,503,675 $ 2,146,589
SOURCE: LIPPER ANALYTICAL SERVICES, INC. THE QUOTED PERFORMANCE IS PAST PERFORMANCE AND NOT INDICATIVE OF FUTURE RETURNS. 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. PLEASE NOTE, CURRENT PERFORMANCE MAY BE HIGHER OR LOWER THAN THE PERFORMANCE DATA SHOWN. INVESTORS SHOULD CAREFULLY READ THE FUND PROSPECTUS WHICH INCLUDES INFORMATION ON THE FUND'S INVESTMENT OBJECTIVES, RISK, AS WELL AS CHARGES AND EXPENSES ALONG WITH OTHER INFORMATION. INVESTORS SHOULD REVIEW THE INFORMATION IN THE PROSPECTUS CAREFULLY BEFORE INVESTING. FOR UP TO DATE MONTH-END PERFORMANCE INFORMATION, OR TO RECEIVE A FUND PROSPECTUS PLEASE CALL 800 348-4782. PLEASE READ CAREFULLY BEFORE INVESTING OR SENDING MONEY. The Fund commenced operations on 1/1/97. Returns for the Fund prior to 1/1/97 (offering date of the Shares) are calculated using the historical expenses at the level indicated (absent reimbursements) in the Expense Summary for the Fund as disclosed in the Prospectus. The account was not registered with the SEC and was not subject to investment restrictions of registered mutual funds. If the account had been registered, performance may have been adversely affected. The graph illustrates comparative performance for $1,000,000 invested in Select Shares of the JPMorgan Tax Aware Large Cap Growth Fund, Russell 1000 Growth Index, and Lipper Large-Cap Growth Funds Index from April 30, 1994 to April 30, 2004. The performance of the Fund assumes reinvestment of all dividends and capital gains and does not include a sales charge. The performance of the indices does not include a sales charge and has been adjusted to reflect reinvestment of all dividends and capital gains of the securities included in the benchmark. The Russell 1000 Growth Index measures the performance of those Russell 1000 companies with higher price-to-book ratios and higher forecasted growth values. The Lipper Large-Cap Growth Funds Index represents the total returns of the funds in the indicated category, as defined by Lipper, Inc. Investors cannot invest directly in an index. Select Shares have a $1,000,000 minimum initial deposit and carry no sales charge. Certain fees and expenses of the Fund are currently being waived and reimbursed as described in the prospectus. Had the expenses not been subsidized or waived, returns would have been lower. Also, all performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares. 12 JPMORGAN TAX AWARE LARGE CAP VALUE FUND AS OF APRIL 30, 2004 (Unaudited) FUND FACTS Fund Inception 1/1/97 Fiscal Year End OCTOBER 31 Net Assets as of 4/30/2004 (In Millions) $394.7 Primary Benchmark RUSSELL 1000 VALUE INDEX Q: HOW DID THE FUND PERFORM? A: JPMorgan Tax Aware Large Cap Value Fund, which seeks to provide income and capital appreciation while minimizing taxable capital gain distributions through a portfolio of large cap equity securities, had a return of 8.01% during the six-month period ended April 30, 2004. This compares to the 8.15% return from the Fund's benchmark, the Russell 1000 Value Index. Q: WHY DID THE FUND PERFORM THIS WAY? A: The Fund participated in the markets' advance and performed in line with its benchmark in the six-month period ending April 30, 2004. The market continued its trend of steadily improving performance for most of the period as the economy showed signs of improvement and corporate earnings came in ahead of expectations. The accommodating environment of low interest rates and inflation also aided equity returns. However, the upgrade in prospects for growth brought with it the threat of an early end to the Federal Reserve's highly accommodative stance. As a result stocks receded in March and April. Stock selection was strongest in the Industrial Cyclical sector where the portfolio manager added value against the benchmark. The Portfolio's holdings in the sector benefited from an improved economic outlook and lower interest rate environment. Among the top contributors in the sector was a resurgent Tyco International Ltd. Despite the negative media attention Tyco has received, it has been a strong turnaround story as the company remains focused on long-term improvements in profit margins, working capital, and free cash flow. With its leaner operations, Tyco should continue to benefit from an improving economy and a pickup in industrial markets and non-residential construction. Despite the strong return generated by the Fund, some sectors did lag their benchmark peer group in the period. In particular, an underweight position in the Consumer Staples and Utilities sectors modestly detracted from the Fund's relative return. Q: HOW WAS THE FUND MANAGED? A: We pursue capital appreciation by buying stocks when they are out- of-favor and undervalued, and then selling them when they have returned to favor and achieved what we believe to be their full value. The Fund takes a traditional, disciplined approach to value investing -- uncovering financially strong stocks that we believe to be attractively priced and have a short-to-intermediate term catalyst for future appreciation. A strong "catalyst" for appreciation can include a corporate restructuring or enhanced product line. 13 [CHART] PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS Finance & Insurance 32.5% Consumer Goods & Services 20.7% Industrial Products & Services 14.5% Energy 13.0% Technology 4.8% Telecommunications 4.6% Utilities 3.7% Pharmaceuticals 2.7% Short-Term Investments 2.0% REITs 1.0% Health Services & Systems 0.5%
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO 1. Citigroup, Inc. 5.0% 2. ConocoPhillips 3.9% 3. Exxon Mobil Corp. 3.5% 4. Bank of America Corp. 3.2% 5. Verizon Communications, Inc. 2.9% 6. Goldman Sachs Group, Inc. 2.6% 7. AMBAC Financial Group, Inc. 2.5% 8. RenaissanceRe Holdings LTD (Bermuda) 2.5% 9. Tyco International LTD (Bermuda) 2.3% 10. Praxair, Inc. 2.3%
Top 10 equity holdings comprised 30.7% of the Portfolio's market value of investments ($121,953 in thousands). As of April 30, 2004 the Fund held 57 equity holdings. Portfolio holdings are subject to change at any time. 14 AVERAGE ANNUAL TOTAL RETURNS AS OF APRIL 30, 2004
1 YEAR 3 YEARS 5 YEARS 10 YEARS ----------------------------------------------- SELECT SHARES 25.31% (0.82%) (2.47%) 8.15%
[CHART] TEN-YEAR FUND PERFORMANCE (4/30/94 TO 4/30/04)
JPMORGAN TAX AWARE LARGE CAP VALUE FUND (SELECT SHARES) RUSSELL 1000 VALUE INDEX LIPPER EQUITY INCOME FUNDS INDEX Apr-1994 $ 1,000,000 $ 1,000,000 $ 1,000,000 May-1994 $ 1,010,600 $ 1,011,500 $ 1,011,400 Jun-1994 $ 988,569 $ 987,224 $ 996,532 Jul-1994 $ 1,013,975 $ 1,017,927 $ 1,024,635 Aug-1994 $ 1,049,261 $ 1,047,141 $ 1,058,755 Sep-1994 $ 1,023,974 $ 1,012,376 $ 1,038,745 Oct-1994 $ 1,032,780 $ 1,026,448 $ 1,044,354 Nov-1994 $ 987,958 $ 984,980 $ 1,005,295 Dec-1994 $ 995,664 $ 996,307 $ 1,013,036 Jan-1995 $ 999,049 $ 1,026,993 $ 1,031,169 Feb-1995 $ 1,048,902 $ 1,067,559 $ 1,064,373 Mar-1995 $ 1,081,942 $ 1,090,939 $ 1,089,492 Apr-1995 $ 1,109,964 $ 1,125,413 $ 1,115,640 May-1995 $ 1,153,475 $ 1,172,792 $ 1,149,890 Jun-1995 $ 1,188,310 $ 1,188,625 $ 1,165,183 Jul-1995 $ 1,242,972 $ 1,229,989 $ 1,197,109 Aug-1995 $ 1,252,046 $ 1,247,332 $ 1,211,834 Sep-1995 $ 1,271,953 $ 1,292,486 $ 1,249,522 Oct-1995 $ 1,248,041 $ 1,279,690 $ 1,231,779 Nov-1995 $ 1,303,828 $ 1,344,570 $ 1,283,636 Dec-1995 $ 1,320,126 $ 1,378,319 $ 1,315,342 Jan-1996 $ 1,365,142 $ 1,421,322 $ 1,345,464 Feb-1996 $ 1,384,254 $ 1,432,125 $ 1,355,286 Mar-1996 $ 1,410,970 $ 1,456,471 $ 1,372,362 Apr-1996 $ 1,416,473 $ 1,462,005 $ 1,384,988 May-1996 $ 1,434,887 $ 1,480,280 $ 1,405,486 Jun-1996 $ 1,442,779 $ 1,481,465 $ 1,407,594 Jul-1996 $ 1,397,187 $ 1,425,465 $ 1,361,566 Aug-1996 $ 1,432,536 $ 1,466,233 $ 1,392,337 Sep-1996 $ 1,488,262 $ 1,524,590 $ 1,443,575 Oct-1996 $ 1,530,975 $ 1,583,591 $ 1,477,643 Nov-1996 $ 1,626,967 $ 1,698,402 $ 1,562,017 Dec-1996 $ 1,617,043 $ 1,676,662 $ 1,552,020 Jan-1997 $ 1,704,525 $ 1,757,980 $ 1,608,824 Feb-1997 $ 1,724,638 $ 1,783,822 $ 1,631,026 Mar-1997 $ 1,667,208 $ 1,719,605 $ 1,578,180 Apr-1997 $ 1,722,392 $ 1,791,828 $ 1,625,210 May-1997 $ 1,816,435 $ 1,891,991 $ 1,718,822 Jun-1997 $ 1,896,539 $ 1,973,158 $ 1,783,794 Jul-1997 $ 1,996,866 $ 2,121,539 $ 1,891,178 Aug-1997 $ 1,927,775 $ 2,046,013 $ 1,830,660 Sep-1997 $ 2,044,984 $ 2,169,592 $ 1,923,475 Oct-1997 $ 2,001,425 $ 2,109,060 $ 1,867,117 Nov-1997 $ 2,068,673 $ 2,202,281 $ 1,929,105 Dec-1997 $ 2,122,666 $ 2,266,587 $ 1,973,668 Jan-1998 $ 2,114,812 $ 2,234,402 $ 1,972,878 Feb-1998 $ 2,184,178 $ 2,384,777 $ 2,079,414 Mar-1998 $ 2,299,284 $ 2,530,725 $ 2,173,611 Apr-1998 $ 2,275,371 $ 2,547,681 $ 2,172,524 May-1998 $ 2,253,528 $ 2,509,975 $ 2,145,802 Jun-1998 $ 2,260,964 $ 2,542,103 $ 2,163,183 Jul-1998 $ 2,188,613 $ 2,497,362 $ 2,107,373 Aug-1998 $ 1,900,154 $ 2,125,755 $ 1,853,224 Sep-1998 $ 2,032,215 $ 2,247,773 $ 1,948,480 Oct-1998 $ 2,153,741 $ 2,421,975 $ 2,063,635 Nov-1998 $ 2,234,507 $ 2,534,839 $ 2,150,926 Dec-1998 $ 2,374,610 $ 2,621,024 $ 2,205,990 Jan-1999 $ 2,392,182 $ 2,641,992 $ 2,203,122 Feb-1999 $ 2,322,091 $ 2,604,740 $ 2,162,365 Mar-1999 $ 2,341,365 $ 2,658,658 $ 2,207,991 Apr-1999 $ 2,480,910 $ 2,906,977 $ 2,364,758 May-1999 $ 2,430,300 $ 2,875,000 $ 2,331,651 Jun-1999 $ 2,510,013 $ 2,958,375 $ 2,405,098 Jul-1999 $ 2,435,466 $ 2,871,695 $ 2,344,249 Aug-1999 $ 2,349,250 $ 2,765,155 $ 2,289,628 Sep-1999 $ 2,290,989 $ 2,668,374 $ 2,208,575 Oct-1999 $ 2,329,707 $ 2,822,073 $ 2,283,004 Nov-1999 $ 2,357,663 $ 2,800,060 $ 2,270,220 Dec-1999 $ 2,435,230 $ 2,813,501 $ 2,298,370 Jan-2000 $ 2,372,645 $ 2,721,781 $ 2,211,262 Feb-2000 $ 2,311,668 $ 2,519,552 $ 2,086,768 Mar-2000 $ 2,525,266 $ 2,826,938 $ 2,279,794 Apr-2000 $ 2,494,458 $ 2,794,145 $ 2,262,468 May-2000 $ 2,451,054 $ 2,823,484 $ 2,296,631 Jun-2000 $ 2,499,340 $ 2,694,451 $ 2,247,253 Jul-2000 $ 2,461,100 $ 2,728,131 $ 2,260,287 Aug-2000 $ 2,594,246 $ 2,879,815 $ 2,392,740 Sep-2000 $ 2,468,425 $ 2,906,310 $ 2,387,476 Oct-2000 $ 2,477,311 $ 2,977,805 $ 2,437,613 Nov-2000 $ 2,347,005 $ 2,867,328 $ 2,351,809 Dec-2000 $ 2,378,924 $ 3,010,981 $ 2,469,635 Jan-2001 $ 2,376,307 $ 3,022,724 $ 2,490,133 Feb-2001 $ 2,211,629 $ 2,938,693 $ 2,406,962 Mar-2001 $ 2,090,432 $ 2,834,957 $ 2,318,868 Apr-2001 $ 2,243,242 $ 2,973,870 $ 2,439,217 May-2001 $ 2,249,075 $ 3,040,782 $ 2,481,659 Jun-2001 $ 2,168,108 $ 2,973,276 $ 2,420,114 Jul-2001 $ 2,175,263 $ 2,967,032 $ 2,417,452 Aug-2001 $ 2,043,877 $ 2,848,054 $ 2,337,676 Sep-2001 $ 1,919,200 $ 2,647,551 $ 2,176,610 Oct-2001 $ 1,946,261 $ 2,624,782 $ 2,187,711 Nov-2001 $ 2,069,849 $ 2,777,282 $ 2,300,597 Dec-2001 $ 2,086,407 $ 2,842,826 $ 2,341,087 Jan-2002 $ 2,059,910 $ 2,820,936 $ 2,318,145 Feb-2002 $ 2,058,468 $ 2,825,450 $ 2,321,622 Mar-2002 $ 2,141,630 $ 2,959,094 $ 2,409,611 Apr-2002 $ 2,032,407 $ 2,857,597 $ 2,327,443 May-2002 $ 2,049,479 $ 2,871,885 $ 2,329,538 Jun-2002 $ 1,916,673 $ 2,707,039 $ 2,183,476 Jul-2002 $ 1,771,964 $ 2,455,284 $ 2,008,143 Aug-2002 $ 1,798,898 $ 2,473,944 $ 2,023,003 Sep-2002 $ 1,598,861 $ 2,198,842 $ 1,812,409 Oct-2002 $ 1,712,540 $ 2,361,776 $ 1,922,241 Nov-2002 $ 1,794,228 $ 2,510,568 $ 2,032,577 Dec-2002 $ 1,732,147 $ 2,401,609 $ 1,956,559 Jan-2003 $ 1,666,846 $ 2,343,490 $ 1,902,166 Feb-2003 $ 1,619,674 $ 2,280,919 $ 1,855,183 Mar-2003 $ 1,618,864 $ 2,284,796 $ 1,857,780 Apr-2003 $ 1,746,754 $ 2,485,858 $ 2,000,086 May-2003 $ 1,851,909 $ 2,646,445 $ 2,120,091 Jun-2003 $ 1,879,502 $ 2,679,525 $ 2,142,352 Jul-2003 $ 1,902,432 $ 2,719,450 $ 2,166,347 Aug-2003 $ 1,929,447 $ 2,761,874 $ 2,198,625 Sep-2003 $ 1,901,084 $ 2,734,807 $ 2,183,894 Oct-2003 $ 2,026,365 $ 2,902,178 $ 2,292,652 Nov-2003 $ 2,056,963 $ 2,941,647 $ 2,321,311 Dec-2003 $ 2,186,141 $ 3,122,853 $ 2,462,214 Jan-2004 $ 2,218,496 $ 3,177,815 $ 2,500,378 Feb-2004 $ 2,272,183 $ 3,245,820 $ 2,547,636 Mar-2004 $ 2,244,690 $ 3,217,257 $ 2,518,847 Apr-2004 $ 2,189,357 $ 3,138,756 $ 2,476,531
SOURCE: LIPPER ANALYTICAL SERVICES, INC. THE QUOTED PERFORMANCE IS PAST PERFORMANCE AND NOT INDICATIVE OF FUTURE RETURNS. 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. PLEASE NOTE, CURRENT PERFORMANCE MAY BE HIGHER OR LOWER THAN THE PERFORMANCE DATA SHOWN. INVESTORS SHOULD CAREFULLY READ THE FUND PROSPECTUS WHICH INCLUDES INFORMATION ON THE FUND'S INVESTMENT OBJECTIVES, RISK, AS WELL AS CHARGES AND EXPENSES ALONG WITH OTHER INFORMATION. INVESTORS SHOULD REVIEW THE INFORMATION IN THE PROSPECTUS CAREFULLY BEFORE INVESTING. FOR UP TO DATE MONTH-END PERFORMANCE INFORMATION, OR TO RECEIVE A FUND PROSPECTUS PLEASE CALL 800 348-4782. PLEASE READ CAREFULLY BEFORE INVESTING OR SENDING MONEY. The Fund commenced operations on 1/1/97. Returns for the Fund prior to 1/1/97 (offering date of the Shares) are calculated using the historical expenses at the level indicated (absent reimbursements) in the Expense Summary for the Fund as disclosed in the Prospectus. The account was not registered with the SEC and was not subject to investment restrictions of registered mutual funds. If the account had been registered, performance may have been adversely affected. The graph illustrates comparative performance for $1,000,000 invested in Select Shares of the JPMorgan Tax Aware Large Cap Value Fund, Russell 1000 Value Index and Lipper Equity Income Funds Index from April 30, 1994 to April 30, 2004. The performance of the Fund assumes reinvestment of all dividends and capital gains and does not include a sales charge. The performance of the indices does not include a sales charge and has been adjusted to reflect reinvestment of all dividends and capital gains of the securities included in the benchmark. The Russell 1000 Value Index measures the performance of the Russell 1000 companies with lower price-to-book ratios and lower forecasted growth values. The Lipper Equity Income Funds Index represents the total returns of the funds in the indicated category, as defined by Lipper, Inc. Investors cannot invest directly in an index. Select Shares have a $1,000,000 minimum initial deposit and carry no sales charge. Certain fees and expenses of the Fund are currently being waived and reimbursed as described in the prospectus. Had the expenses not been subsidized or waived, returns would have been lower. Also, all performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares. 15 JPMORGAN TAX AWARE SHORT-INTERMEDIATE INCOME FUND AS OF APRIL 30, 2004 (Unaudited) FUND FACTS Fund Inception 12/20/02 Fiscal Year End OCTOBER 31 Net Assets as of 4/30/2004 (In Millions) $716.8 Primary Benchmark LEHMAN 1-5 YEAR MUNICIPAL BOND INDEX Q: HOW DID THE FUND PERFORM? A: JPMorgan Tax Aware Short-Intermediate Income Fund, which seeks to maximize after-tax income from a portfolio of tax-exempt and taxable securities, returned -0.05% (Institutional Shares) for the six-month period ended April 30, 2004. This compares to the 0.26% return from the Fund's benchmark index, the Lehman 1-5 Year Municipal Bond Index. Q: WHY DID THE FUND UNDERPERFORM ITS BENCHMARK? A: The fund underperformed its benchmark over the last six months. Our yield curve and duration positioning, which was longer than the benchmark, was negative for performance as investors started pricing in a strengthening economy and interest rates rose. Although only a slight drag in November and December, it resulted in poor returns toward the end of the first quarter and was a major detriment in April as interest rates spiked higher on the back of strong employment growth and the first whiff of inflation. However, performance benefited from our allocation to California obligations, including state bonds, as they rose in price in response to California's progress towards solving its budget problems. Also positive were our purchases of lower-rated paper, which performed well at a time when credit spreads narrowed. Q: HOW WAS THE FUND MANAGED? A: Low seasonal supply during the first quarter of 2004 was met with strong demand from both retail and institutional buyers. In the second half of March, however, an avalanche of supply overwhelmed demand. We tactically traded our allocation to municipals, remaining at about 90% throughout the period. 16 SEMI-ANNUAL REPORT APRIL 30 2004 (Unaudited) AVERAGE ANNUAL TOTAL RETURNS AS OF APRIL 30, 2004
SINCE INCEPTION 1 YEAR (12/20/02) -------------------------------------------- INSTITUTIONAL SHARES 0.83% 1.74% SELECT SHARES 0.68% 1.58%
[CHART] LIFE OF FUND PERFORMANCE (12/20/02 TO 4/30/04)
JPMORGAN TAX AWARE SHORT-INTERMEDIATE LIPPER SHORT-INTERMEDIATE INCOME FUND (INSTITUTIONAL SHARES) LEHMAN 1-5 YEAR MUNICIPAL BOND INDEX MUNICIPAL DEBT FUNDS INDEX Dec-2002 $ 3,000,000 $ 3,000,000 $ 3,000,000 Dec-2002 $ 3,016,200 $ 3,000,000 $ 3,000,000 Jan-2003 $ 3,011,374 $ 3,008,010 $ 3,000,300 Feb-2003 $ 3,028,539 $ 3,026,509 $ 3,026,703 Mar-2003 $ 3,031,265 $ 3,023,180 $ 3,019,741 Apr-2003 $ 3,045,815 $ 3,031,040 $ 3,033,028 May-2003 $ 3,079,014 $ 3,054,682 $ 3,077,310 Jun-2003 $ 3,072,856 $ 3,051,933 $ 3,072,694 Jul-2003 $ 3,021,232 $ 3,024,771 $ 3,020,151 Aug-2003 $ 3,036,338 $ 3,038,080 $ 3,031,326 Sep-2003 $ 3,087,652 $ 3,080,917 $ 3,089,224 Oct-2003 $ 3,072,832 $ 3,067,977 $ 3,080,883 Nov-2003 $ 3,079,285 $ 3,072,272 $ 3,098,444 Dec-2003 $ 3,085,751 $ 3,079,031 $ 3,110,838 Jan-2004 $ 3,098,403 $ 3,089,500 $ 3,123,592 Feb-2004 $ 3,125,669 $ 3,113,907 $ 3,153,891 Mar-2004 $ 3,112,541 $ 3,107,056 $ 3,142,537 Apr-2004 $ 3,070,962 $ 3,075,986 $ 3,095,714
SOURCE: LIPPER ANALYTICAL SERVICES, INC. THE QUOTED PERFORMANCE IS PAST PERFORMANCE AND NOT INDICATIVE OF FUTURE RETURNS. 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. PLEASE NOTE, CURRENT PERFORMANCE MAY BE HIGHER OR LOWER THAN THE PERFORMANCE DATA SHOWN. INVESTORS SHOULD CAREFULLY READ THE FUND PROSPECTUS WHICH INCLUDES INFORMATION ON THE FUND'S INVESTMENT OBJECTIVES, RISK, AS WELL AS CHARGES AND EXPENSES ALONG WITH OTHER INFORMATION. INVESTORS SHOULD REVIEW THE INFORMATION IN THE PROSPECTUS CAREFULLY BEFORE INVESTING. FOR UP TO DATE MONTH-END PERFORMANCE INFORMATION, OR TO RECEIVE A FUND PROSPECTUS PLEASE CALL 800 348-4782. PLEASE READ CAREFULLY BEFORE INVESTING OR SENDING MONEY. The Fund commenced operations on 12/20/02. The graph illustrates comparative performance for $3,000,000 invested in Institutional Shares of the JPMorgan Tax Aware Short-Intermediate Fund, Lehman 1-5 Year Municipal Bond Index, and Lipper Short-Intermediate Municipal Debt Funds Index from December 20, 2002 to April 30, 2004. The performance of the Fund assumes reinvestment of all dividends and capital gains and does not include a sales charge. The performance of the indices reflects an initial investment at the end of the month following the Fund's inception. The performance of the indices does not include a sales charge and has been adjusted to reflect reinvestment of all dividends and capital gains of the securities included in the benchmark. The unmanaged Lehman 1-5 Year Municipal Bond Index represents the performance of municipal bonds with maturities from 1 to 5 years. The Lipper Short-Intermediate Municipal Debt Funds Index represents the total returns of the funds in the indicated category, as defined by Lipper, Inc. Investors cannot invest directly in an index. Institutional Shares have a $3,000,000 minimum initial deposit and carry no sales charge. Certain fees and expenses of the Fund are currently being waived and reimbursed as described in the prospectus. Had the expenses not been subsidized or waived, returns would have been lower. Also all performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on fund distribution or redemption of fund shares. 17 JPMORGAN TAX AWARE U.S. EQUITY FUND AS OF APRIL 30, 2004 (Unaudited) FUND FACTS Fund Inception 12/18/96 Fiscal Year End OCTOBER 31 Net Assets as of 4/30/2004 (In Millions) $924.0 Primary Benchmark S&P 500 INDEX Q: HOW DID THE FUND PERFORM? A: JPMorgan Tax Aware U.S. Equity Fund, which seeks to provide high after-tax return from a portfolio of selected equity securities, rose 6.20% (Select Shares) in the six-month period ended April 30, 2004. This compares to an increase of 6.27% by the S&P 500 Index, the Fund's benchmark. Q: WHY DID THE FUND PERFORM THIS WAY? A: The six-month period ended April 30, 2004 began with an extension of the equity market rally that we witnessed in most of 2003. Investors focused their attention on strong corporate earnings, robust economic growth, and low interest rates. While economic indicators turned decisively stronger, the upgrade in prospects for growth brought with it the threat of an early end to the Federal Reserve's highly accommodative stance. As a result stocks receded in March and April. The Fund participated in the market's advance and performed in line with its benchmark. Stock selection was strongest in the Retail sector where the portfolio manager added value against the benchmark. Amongst the top contributors in the sector were Target Corp. and TJX Companies. Shares of Target rallied on the announcement that it was exploring the divestiture of its struggling Marshall Field's and Mervyn's stores. TJX, the largest discount reseller of brand-name merchandise, continues to execute its business exceptionally well and reported a 62% increase in earnings per share in the fourth quarter. Additionally, adept stock selection in the Pharmaceuticals/Medical Technology sector, where the resurgence of Guidant Corporation, also aided the Fund's relative performance. Despite the strong return generated by the Fund, some sectors did lag their benchmark peer group in the period. In particular, an underweight position in the consumer cyclical sector modestly detracted from the Fund's relative return. Q: HOW WAS THE FUND MANAGED? A: During the period under review, the portfolio had accumulated realized and unrealized losses, which created additional trading flexibility. We continued to look to buy companies that we believed would perform well over longer periods of time so that the Fund could hold the stocks and benefit from lower long-term capital gains treatment. We added to our position in the finance and capital markets sectors, as we believed both sectors are relatively cheap. In particular, we increased our holding in Freddie Mac and initiated a position in Wells Fargo in the finance sector. Within the capital markets sector we purchased shares of American Express, Bank of America, and Merrill Lynch and exited positions in Morgan Stanley, Mellon Financial, Capital One Financial and Bank One. 18 [CHART] PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS Consumer Goods & Services 22.3% Finance & Insurance 21.5% Technology 16.3% Industrial Products & Services 13.2% Pharmaceuticals 10.3% Energy 7.3% Health Services & Systems 4.2% Telecommunications 2.1% Short-Term Investments 1.4% Utilities 1.4%
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO 1. General Electric Co. 4.1% 2. Citigroup, Inc. 3.9% 3. Microsoft Corp. 3.3% 4. Pfizer, Inc. 3.3% 5. Johnson & Johnson 3.0% 6. Bank of America Corp. 2.9% 7. Tyco International LTD (Bermuda) 2.8% 8. Cisco Sytems, Inc. 2.7% 9. Altria Group, Inc. 2.5% 10. ChevronTexaco Corp. 2.4%
Top 10 equity holdings comprised 30.9% of the Portfolio's market value of investments ($286,341 in thousands). As of April 30, 2004 the Fund held 71 equity holdings. Portfolio holdings are subject to change at any time. 19 AVERAGE ANNUAL TOTAL RETURNS AS OF APRIL 30, 2004
SINCE INCEPTION 1 YEAR 3 YEARS 5 YEARS (12/18/96) ---------------------------------------------------------- CLASS A SHARES Without Sales Charge 19.33% (3.44%) (2.83%) 6.93% With Sales Charge* 12.46% (5.34%) (3.97%) 6.07% CLASS B SHARES Without CDSC 18.71% (4.10%) (3.23%) 6.63% With CDSC** 13.71% (5.07%) (3.61%) 6.63% CLASS C SHARES Without CDSC 18.71% (4.13%) (3.24%) 6.62% With CDSC*** 17.71% (4.13%) (3.24%) 6.62% INSTITUTIONAL SHARES 19.86% (3.14%) (2.72%) 7.01% SELECT SHARES 19.61% (3.30%) (2.74%) 6.99%
* Sales Charge for Class A Shares is 5.75%. ** Assumes 5% CDSC (contingent deferred sales charge) for the one year period, 3% CDSC for the three year period, 2% CDSC for the five year period and 0% CDSC for the period since inception. *** Assumes a 1% CDSC for the one year period and 0% CDSC thereafter. [CHART] LIFE OF FUND PERFORMANCE (12/18/96 TO 4/30/04)
JPMORGAN TAX AWARE U.S. EQUITY FUND (SELECT SHARES) S&P 500 INDEX LIPPER LARGE-CAP CORE FUNDS INDEX Dec-1996 $ 1,000,000 $ 1,000,000 $ 1,000,000 Dec-1996 $ 1,011,100 $ 1,000,000 $ 1,000,000 Jan-1997 $ 1,082,180 $ 1,062,500 $ 1,054,700 Feb-1997 $ 1,085,210 $ 1,070,788 $ 1,053,434 Mar-1997 $ 1,042,128 $ 1,026,778 $ 1,008,347 Apr-1997 $ 1,090,170 $ 1,088,077 $ 1,064,210 May-1997 $ 1,157,215 $ 1,154,341 $ 1,128,807 Jun-1997 $ 1,202,231 $ 1,206,055 $ 1,177,798 Jul-1997 $ 1,321,372 $ 1,302,057 $ 1,270,844 Aug-1997 $ 1,257,285 $ 1,229,142 $ 1,206,158 Sep-1997 $ 1,311,349 $ 1,296,499 $ 1,268,275 Oct-1997 $ 1,258,239 $ 1,253,196 $ 1,229,212 Nov-1997 $ 1,304,290 $ 1,311,219 $ 1,269,407 Dec-1997 $ 1,317,464 $ 1,333,772 $ 1,292,510 Jan-1998 $ 1,338,543 $ 1,348,577 $ 1,305,306 Feb-1998 $ 1,427,021 $ 1,445,809 $ 1,397,852 Mar-1998 $ 1,495,375 $ 1,519,834 $ 1,467,046 Apr-1998 $ 1,527,526 $ 1,535,185 $ 1,481,863 May-1998 $ 1,505,377 $ 1,508,780 $ 1,456,523 Jun-1998 $ 1,558,667 $ 1,570,036 $ 1,525,708 Jul-1998 $ 1,544,483 $ 1,553,394 $ 1,513,350 Aug-1998 $ 1,326,865 $ 1,328,773 $ 1,286,802 Sep-1998 $ 1,420,542 $ 1,413,947 $ 1,350,756 Oct-1998 $ 1,532,339 $ 1,528,901 $ 1,452,062 Nov-1998 $ 1,641,288 $ 1,621,553 $ 1,538,460 Dec-1998 $ 1,727,784 $ 1,714,954 $ 1,640,614 Jan-1999 $ 1,783,419 $ 1,786,639 $ 1,698,035 Feb-1999 $ 1,720,821 $ 1,731,075 $ 1,645,566 Mar-1999 $ 1,801,699 $ 1,800,318 $ 1,711,718 Apr-1999 $ 1,889,622 $ 1,869,990 $ 1,757,592 May-1999 $ 1,842,004 $ 1,825,858 $ 1,711,015 Jun-1999 $ 1,949,208 $ 1,927,193 $ 1,806,490 Jul-1999 $ 1,884,495 $ 1,867,065 $ 1,753,560 Aug-1999 $ 1,858,112 $ 1,857,730 $ 1,735,674 Sep-1999 $ 1,801,439 $ 1,806,828 $ 1,688,637 Oct-1999 $ 1,900,699 $ 1,921,200 $ 1,792,150 Nov-1999 $ 1,952,398 $ 1,960,200 $ 1,836,058 Dec-1999 $ 2,044,160 $ 2,075,656 $ 1,958,156 Jan-2000 $ 2,007,570 $ 1,971,458 $ 1,879,046 Feb-2000 $ 1,997,331 $ 1,934,198 $ 1,878,483 Mar-2000 $ 2,180,287 $ 2,123,362 $ 2,041,723 Apr-2000 $ 2,055,356 $ 2,059,449 $ 1,974,959 May-2000 $ 1,992,257 $ 2,017,230 $ 1,924,597 Jun-2000 $ 2,045,052 $ 2,066,854 $ 1,995,037 Jul-2000 $ 2,055,277 $ 2,034,611 $ 1,963,915 Aug-2000 $ 2,174,483 $ 2,160,960 $ 2,099,425 Sep-2000 $ 2,086,851 $ 2,046,862 $ 1,987,735 Oct-2000 $ 2,089,982 $ 2,038,265 $ 1,964,678 Nov-2000 $ 1,935,114 $ 1,877,650 $ 1,791,786 Dec-2000 $ 1,938,791 $ 1,886,850 $ 1,813,646 Jan-2001 $ 2,005,097 $ 1,953,833 $ 1,864,972 Feb-2001 $ 1,813,210 $ 1,775,644 $ 1,691,343 Mar-2001 $ 1,686,647 $ 1,663,068 $ 1,587,495 Apr-2001 $ 1,818,375 $ 1,792,288 $ 1,708,144 May-2001 $ 1,833,649 $ 1,804,297 $ 1,717,710 Jun-2001 $ 1,788,725 $ 1,760,452 $ 1,672,019 Jul-2001 $ 1,777,456 $ 1,743,200 $ 1,647,775 Aug-2001 $ 1,676,318 $ 1,634,075 $ 1,550,721 Sep-2001 $ 1,559,814 $ 1,502,206 $ 1,433,021 Oct-2001 $ 1,593,506 $ 1,530,898 $ 1,466,840 Nov-2001 $ 1,717,162 $ 1,648,318 $ 1,562,918 Dec-2001 $ 1,731,930 $ 1,662,823 $ 1,580,579 Jan-2002 $ 1,674,430 $ 1,638,546 $ 1,555,606 Feb-2002 $ 1,634,411 $ 1,606,922 $ 1,529,472 Mar-2002 $ 1,701,258 $ 1,667,342 $ 1,581,474 Apr-2002 $ 1,578,087 $ 1,566,301 $ 1,498,763 May-2002 $ 1,576,036 $ 1,554,710 $ 1,487,822 Jun-2002 $ 1,466,186 $ 1,444,015 $ 1,385,013 Jul-2002 $ 1,358,275 $ 1,331,382 $ 1,282,107 Aug-2002 $ 1,374,710 $ 1,340,169 $ 1,292,620 Sep-2002 $ 1,222,255 $ 1,194,493 $ 1,167,107 Oct-2002 $ 1,327,368 $ 1,299,608 $ 1,257,791 Nov-2002 $ 1,399,445 $ 1,376,155 $ 1,314,014 Dec-2002 $ 1,322,335 $ 1,295,375 $ 1,244,766 Jan-2003 $ 1,282,004 $ 1,261,436 $ 1,212,153 Feb-2003 $ 1,264,441 $ 1,242,514 $ 1,196,031 Mar-2003 $ 1,272,154 $ 1,254,567 $ 1,206,078 Apr-2003 $ 1,374,689 $ 1,357,943 $ 1,294,966 May-2003 $ 1,432,701 $ 1,429,506 $ 1,357,772 Jun-2003 $ 1,444,306 $ 1,447,804 $ 1,371,214 Jul-2003 $ 1,465,104 $ 1,473,285 $ 1,392,879 Aug-2003 $ 1,485,908 $ 1,502,015 $ 1,419,761 Sep-2003 $ 1,467,335 $ 1,486,093 $ 1,401,446 Oct-2003 $ 1,548,331 $ 1,570,206 $ 1,469,977 Nov-2003 $ 1,562,886 $ 1,584,024 $ 1,482,325 Dec-2003 $ 1,649,939 $ 1,667,027 $ 1,553,625 Jan-2004 $ 1,670,728 $ 1,697,533 $ 1,575,531 Feb-2004 $ 1,693,617 $ 1,721,129 $ 1,594,122 Mar-2004 $ 1,668,382 $ 1,695,140 $ 1,569,094 Apr-2004 $ 1,644,963 $ 1,668,526 $ 1,544,773
SOURCE: LIPPER ANALYTICAL SERVICES, INC. THE QUOTED PERFORMANCE IS PAST PERFORMANCE AND NOT INDICATIVE OF FUTURE RETURNS. 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. PLEASE NOTE, CURRENT PERFORMANCE MAY BE HIGHER OR LOWER THAN THE PERFORMANCE DATA SHOWN. INVESTORS SHOULD CAREFULLY READ THE FUND PROSPECTUS WHICH INCLUDES INFORMATION ON THE FUND'S INVESTMENT OBJECTIVES, RISK, AS WELL AS CHARGES AND EXPENSES ALONG WITH OTHER INFORMATION. INVESTORS SHOULD REVIEW THE INFORMATION IN THE PROSPECTUS CAREFULLY BEFORE INVESTING. FOR UP TO DATE MONTH-END PERFORMANCE INFORMATION, OR TO RECEIVE A FUND PROSPECTUS PLEASE CALL 800 348-4782. PLEASE READ CAREFULLY BEFORE INVESTING OR SENDING MONEY. The Fund commenced operations on 12/18/96. Returns for the Institutional Shares prior to 9/15/00 (offering date of the Institutional Shares) are calculated using the historical expenses of the Select Shares, which are higher than the expenses of the Institutional Shares. Returns for the Class A, B, and C Shares prior to 4/16/01 (offering date of the Class A, B, and C Shares) are calculated using the historical expenses of the Select Shares, which are lower than the expenses of the Class A, B, and C Shares. The graph illustrates comparative performance for $1,000,000 invested in Select Shares of the JPMorgan Tax Aware U.S. Equity Fund, S&P 500 Index, and Lipper Large-Cap Core Funds Index from December 18, 1996 to April 30, 2004. The performance of the indices reflects an initial investment at the end of the month following the Fund's inception. The performance of the Fund assumes reinvestment of all dividends and capital gains and does not include a sales charge. The performance of the indices does not include a sales charge and has been adjusted to reflect reinvestment of all dividends and capital gains of the securities included in the benchmark. The S&P 500 Index is a broad-based index that replicates the U.S. stock market. The Lipper Large-Cap Core Funds Index represents the total returns of the funds in the indicated category, as defined by Lipper, Inc. Investors cannot invest directly in an index. Select Shares have a $1,000,000 minimum initial deposit and carry no sales charge. Certain fees and expenses of the Fund are currently being waived and reimbursed as described in the prospectus. Had the expenses not been subsidized or waived, returns would have been lower. Also, all performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares. 20 JPMORGAN FLEMING TAX AWARE INTERNATIONAL OPPORTUNITIES FUND PORTFOLIO OF INVESTMENTS AS OF APRIL 30, 2004 (Unaudited) (Amounts in thousands)
SHARES ISSUER VALUE -------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- 99.8% COMMON STOCKS -- 99.8% AUSTRALIA -- 1.6% 271 News Corp., LTD $ 2,283 338 Southern Pacific Petroleum NL* (i)(f) 0 ------------------------------------------------------------------- 2,283 ------------------------------------------------------------------- BRAZIL -- 1.2% 68 Petroleo Brasileiro SA (Preferred), ADR 1,704 FINLAND -- 0.7% 71 Nokia OYJ (f) 1,000 FRANCE -- 12.1% 16 Accor SA (f) 651 67 BNP Paribas (f) 4,003 19 Cap Gemini SA* (f) 662 47 Peugeot SA (f) 2,525 23 Societe Television Francaise 1 (f) 706 8 Technip SA* (f) 1,149 87 Thomson SA (f) 1,654 21 Total SA (f) 3,884 72 Veolia Environnement (f) 1,896 ------------------------------------------------------------------- 17,130 ------------------------------------------------------------------- GERMANY -- 4.1% 125 Bayerische Hypo-und Vereinsbank AG* (f) 2,138 30 Schering AG (f) 1,568 102 TUI AG (f) 2,133 ------------------------------------------------------------------- 5,839 ------------------------------------------------------------------- HONG KONG -- 4.0% 987 Cathay Pacific Airways LTD (f) 1,772 344 Henderson Land Development Co., LTD (f) 1,530 891 Wharf Holdings LTD (f) 2,429 ------------------------------------------------------------------- 5,731 ------------------------------------------------------------------- INDIA -- 2.4% 13 Infosys Technologies LTD, ADR 1,087 90 Reliance Industries LTD, GDR, # 2,308 ------------------------------------------------------------------- 3,395 ------------------------------------------------------------------- INDONESIA -- 0.3% 22 Telekomunikasi Indonesia TBK PT, ADR 390 IRELAND -- 0.7% 68 Allied Irish Banks PLC (f) $ 980 ITALY -- 0.7% 50 ENI-Ente Nazionale Idrocarburi SPA (f) 1,020 JAPAN -- 18.9% 20 Aiful Corp. (f) 1,957 132 Asahi Breweries LTD (f) 1,478 20 Canon, Inc. (f) 1,037 398 Daiwa Securities Group, Inc. (f) 2,935 35 Fujisawa Pharmaceutical Co., LTD (f) 804 467 Fujitsu LTD (f) 3,184 17 Ito-Yokado Co., LTD (f) 696 613 Kubota Corp. (f) 2,627 26 Kyocera Corp. (f) 2,149 131 Mitsui Chemicals, Inc. (f) 684 16 Nintendo Co., LTD (f) 1,482 0^^ Nippon Telegraph & Telephone Corp. (f) 2,412 40 Ricoh Co., LTD (f) 786 6 Rohm Co., LTD (f) 748 60 Sony Corp. (f) 2,295 54 Suzuki Motor Corp. (f) 847 164 Toshiba Corp. (f) 739 ------------------------------------------------------------------- 26,860 ------------------------------------------------------------------- RUSSIA -- 1.0% 32 YUKOS, ADR 1,416 SINGAPORE -- 2.2% 95 City Developments LTD (f) 336 155 DBS Group Holdings LTD (f) 1,295 1,138 Singapore Telecommunications LTD (f) 1,556 ------------------------------------------------------------------- 3,187 ------------------------------------------------------------------- SOUTH KOREA -- 3.4% 72 POSCO, ADR 2,204 8 Samsung Electronics Co., LTD, GDR, # 1,927 20 Samsung SDI Co., LTD, GDR, # 707 ------------------------------------------------------------------- 4,838 -------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 21
SHARES ISSUER VALUE -------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED SPAIN -- 1.6% 18 Acerinox SA (f) $ 927 66 Iberdrola SA (f) 1,304 ------------------------------------------------------------------- 2,231 ------------------------------------------------------------------- SWEDEN -- 3.2% 51 Atlas Copco AB, Class A (f) 1,768 80 SKF AB, Ser. B 2,743 ------------------------------------------------------------------- 4,511 ------------------------------------------------------------------- SWITZERLAND -- 10.9% 43 Adecco SA* (f) 1,891 9 Ciba Specialty Chemicals AG* (f) 624 103 Compagnie Financiere Richemont AG, Class A (f) 2,636 17 Lonza Group AG (f) 804 26 Roche Holding AG (f) 2,701 1 Synthes-Stratec, Inc. (f) 1,371 22 UBS AG (f) 1,539 24 Zurich Financial Services AG (f) 3,838 ------------------------------------------------------------------- 15,404 ------------------------------------------------------------------- TAIWAN -- 1.7% 41 Hon Hai Precision Industry Co., GDR 374 387 United Microelectronics Corp., ADR* 2,014 ------------------------------------------------------------------- 2,388 ------------------------------------------------------------------- THAILAND -- 0.4% 221 Advanced Info Service PCL (f) 539 THE NETHERLANDS -- 5.0% 173 Aegon NV (f) 2,234 18 Akzo Nobel NV (f) 671 42 ING Groep NV (f) 897 356 Koninklijke KPN NV (f) 2,551 28 Koninklijke Philips Electronics NV (f) 747 ------------------------------------------------------------------- 7,100 ------------------------------------------------------------------- UNITED KINGDOM -- 23.7% 59 AstraZeneca PLC (f) $ 2,793 67 Barclays PLC (f) 597 118 BBA Group PLC (f) 529 35 British American Tobacco PLC (f) 529 194 Centrica PLC (f) 751 216 Diageo PLC (f) 2,885 254 Dixons Group PLC (f) 695 127 Hays PLC (f) 265 271 HSBC Holdings PLC (f) 3,863 38 Imperial Tobacco Group PLC (f) 847 53 Man Group PLC (f) 1,588 236 Prudential PLC (f) 1,841 45 Reckitt Benckiser PLC (f) 1,178 190 Royal Bank of Scotland Group PLC (f) 5,677 112 Scottish Power PLC (f) 757 542 Tesco PLC (f) 2,379 80 Unilever PLC (f) 749 2,213 Vodafone Group PLC (f) 5,352 32 WPP Group PLC (f) 318 ------------------------------------------------------------------- 33,593 ------------------------------------------------------------------- Total Common Stocks 141,539 (Cost $120,107) ------------------------------------------------------------------- PRINCIPAL AMOUNT -------------------------------------------------------------------------------- SHORT-TERM INVESTMENT -- 0.2% U.S. TREASURY SECURITY -- 0.2% $ 250 U.S. Treasury Bill, 0.97%, 7/29/04 249 (Cost $249) ------------------------------------------------------------------- TOTAL INVESTMENTS -- 100.0% $ 141,788 (COST $120,356) -------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 22 SEMI-ANNUAL REPORT APRIL 30 2004 SUMMARY OF INVESTMENTS BY INDUSTRY, APRIL 30, 2004
INDUSTRY % OF INVESTMENT SECURITIES -------------------------------------------------------------------------------------------- Banking 14.2% Telecommunications 9.7 Electronics/Electrical Equipment 6.4 Insurance 6.2 Oil & Gas 5.7 Pharmaceuticals 5.5 Food/Beverage Products 5.3 Financial Services 4.6 Chemicals 3.6 Utilities 3.3 Machinery & Engineering Equipment 3.1 Computers/Computer Hardware 3.0 Retailing 2.8 Semi-Conductors 2.8 Automotive 2.4 Steel 2.2 Multi-Media 2.1 Industrial Components 1.9 Consumer Products 1.8 Diversified 1.7 Business Services 1.5 Entertainment/Leisure 1.5 Real Estate 1.3 Office/Business Equipment 1.3 Airlines 1.2 Toys & Games 1.0 Health Care/Health Care Services 1.0 Other (less than 1%) 2.9 -------------------------------------------------------------------------------------------- Total 100.0% --------------------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 23 FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS
NET UNREALIZED SETTLEMENT SETTLEMENT VALUE AT APPRECIATION CONTRACTS TO BUY DATE VALUE (USD) 4/30/04 (USD) (DEPRECIATION) (USD) ------------------------------------------------------------------------------------------------------ 8,226 AUD 5/06/04 $ 6,164 $ 5,939 $ (225) 6,990 AUD 8/12/04 4,984 4,987 3 8,205 CHF 5/06/04 6,336 6,328 (8) 10,542 EUR 5/06/04 12,937 12,637 (300) 4,384 EUR 8/12/04 5,220 5,242 22 890 EUR for 1,385 CHF 5/06/04 1,068~ 1,067~ (1) 1,010 EUR for 694 GBP 5/06/04 1,230~ 1,211~ (19) 2,920 EUR for 380,804 JPY 5/06/04 3,451~ 3,500~ 49 280 GBP 5/05/04 498 497 (1) 7,623 GBP 5/06/04 13,807 13,515 (292) 1,919 GBP 8/12/04 3,384 3,372 (12) 52,009 HKD 5/06/04 6,669 6,668 (1) 999,398 JPY 5/06/04 9,208 9,057 (151) 613,171 JPY 8/12/04 5,627 5,576 (51) 219,855 JPY for 16,150 HKD 5/06/04 2,070~ 1,992~ (78) 135,237 JPY for 690 GBP 5/06/04 1,223~ 1,225~ 2 78,439 JPY for 620 EUR 5/06/04 743~ 711~ (32) 16,634 SEK 5/06/04 2,190 2,177 (13) 4,728 SGD 5/06/04 2,780 2,779 (1) ----------------------------------------------------------------------------------------------------- $ 89,589 $ 88,480 $ (1,109) -----------------------------------------------------------------------------------------------------
~ For cross-currency exchange contracts, the settlement value is the market value at 04/30/04 of the currency being sold, and the value at 04/30/04 is the market value at 04/30/04 of the currency being purchased. SEE NOTES TO FINANCIAL STATEMENTS. 24
NET UNREALIZED SETTLEMENT SETTLEMENT VALUE AT APPRECIATION CONTRACTS TO BUY DATE VALUE (USD) 4/30/04 (USD) (DEPRECIATION) (USD) ------------------------------------------------------------------------------------------------------ 8,226 AUD 5/06/04 $ 5,974 $ 5,939 $ 35 6,820 CHF 5/06/04 5,448 5,260 188 6,167 CHF 8/12/04 4,774 4,768 6 14,742 EUR 5/06/04 17,800 17,671 129 2,465 EUR 8/12/04 2,918 2,948 (30) 110 GBP 5/04/04 195 195 -^^ 6,239 GBP 5/06/04 11,215 11,062 153 730 GBP 8/12/04 1,291 1,283 8 35,859 HKD 5/06/04 4,622 4,598 24 45,012 HKD 8/12/04 5,783 5,782 1 1,052,123 JPY 5/06/04 9,677 9,535 142 61,840 JPY 8/12/04 570 562 8 16,634 SEK 5/06/04 2,281 2,177 104 8,731 SEK 8/12/04 1,142 1,140 2 4,728 SGD 5/06/04 2,787 2,779 8 4,090 SGD 8/12/04 2,408 2,407 1 ----------------------------------------------------------------------------------------------------- $ 78,885 $ 78,106 $ 779 -----------------------------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 25 JPMORGAN TAX AWARE DISCIPLINED EQUITY FUND PORTFOLIO OFINVESTMENTS AS OF APRIL 30, 2004 (Unaudited) (Amounts in thousands)
SHARES ISSUER VALUE -------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- 99.6% COMMON STOCKS -- 99.6% AEROSPACE -- 2.4% 2 General Dynamics Corp. $ 159 19 Lockheed Martin Corp. 906 7 Northrop Grumman Corp. 725 21 Raytheon Co. 664 14 The Boeing Co. 593 20 United Technologies Corp. 1,689 ------------------------------------------------------------------- 4,736 ------------------------------------------------------------------- APPAREL -- 1.1% 34 Jones Apparel Group, Inc. 1,249 11 Nike, Inc., Class B 813 ------------------------------------------------------------------- 2,062 ------------------------------------------------------------------- AUTOMOTIVE -- 1.6% 43 Ford Motor Co. 659 19 General Motors Corp. 896 9 Harley-Davidson, Inc. 480 11 Johnson Controls, Inc. 576 7 Lear Corp. 443 ------------------------------------------------------------------- 3,054 ------------------------------------------------------------------- BANKING -- 6.4% 41 Bank of America Corp. 3,300 10 Compass Bancshares, Inc. 372 27 GreenPoint Financial Corp. 1,071 12 KeyCorp 353 1 Marshall & Ilsley Corp. 40 16 Mellon Financial Corp. 473 4 North Fork Bancorporation, Inc. 134 13 SouthTrust Corp. 410 15 SunTrust Banks, Inc. 999 38 The Bank of New York Co., Inc. 1,099 9 U.S. Bancorp 240 48 Wachovia Corp. 2,201 27 Wells Fargo & Co. 1,513 ------------------------------------------------------------------- 12,205 ------------------------------------------------------------------- BIOTECHNOLOGY -- 1.3% 33 Amgen, Inc.* 1,846 5 Gilead Sciences, Inc.* 298 5 Human Genome Sciences, Inc.* 62 10 Medimmune, Inc.* 233 ------------------------------------------------------------------- 2,439 ------------------------------------------------------------------- BUSINESS SERVICES -- 1.1% 14 Cendant Corp. $ 329 5 Computer Sciences Corp.* 220 28 First Data Corp. 1,291 13 SunGard Data Systems, Inc.* 334 ------------------------------------------------------------------- 2,174 ------------------------------------------------------------------- CHEMICALS -- 1.1% 8 Air Products & Chemicals, Inc. 408 9 Eastman Chemical Co. 379 14 Praxair, Inc. 504 6 Rohm & Haas Co. 248 16 The Dow Chemical Co. 616 ------------------------------------------------------------------- 2,155 ------------------------------------------------------------------- COMPUTER NETWORKS -- 1.7% 150 Cisco Systems, Inc.* 3,137 10 Juniper Networks, Inc.* 217 ------------------------------------------------------------------- 3,354 ------------------------------------------------------------------- COMPUTER SOFTWARE -- 4.0% 2 Adobe Systems, Inc. 79 4 Electronic Arts, Inc.* 202 2 Mercury Interactive Corp.* 102 217 Microsoft Corp. 5,624 131 Oracle Corp.* 1,470 11 VERITAS Software Corp.* 283 ------------------------------------------------------------------- 7,760 ------------------------------------------------------------------- COMPUTERS/COMPUTER HARDWARE -- 4.1% 63 Dell, Inc.* 2,170 20 EMC Corp.* 218 60 Hewlett-Packard Co. 1,182 32 International Business Machines Corp. 2,794 3 Lexmark International, Inc.* 299 24 NCR Corp.* 1,092 55 Sun Microsystems, Inc.* 213 ------------------------------------------------------------------- 7,968 ------------------------------------------------------------------- CONSTRUCTION -- 0.6% 13 Centex Corp. 633 3 KB Home 207 4 Lennar Corp., Class A 197
SEE NOTES TO FINANCIAL STATEMENTS. 26 SEMI-ANNUAL REPORT APRIL 30 2004
SHARES ISSUER VALUE -------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED CONSTRUCTION -- CONTINUED 4 Pulte Homes, Inc. $ 172 ------------------------------------------------------------------- 1,209 ------------------------------------------------------------------- CONSTRUCTION MATERIALS -- 0.2% 14 Masco Corp. 389 CONSUMER PRODUCTS -- 4.9% 58 Altria Group, Inc. 3,200 5 Colgate-Palmolive Co. 266 3 Fortune Brands, Inc. 194 41 Procter & Gamble Co. 4,363 33 The Gillette Co. 1,354 ------------------------------------------------------------------- 9,377 ------------------------------------------------------------------- DIVERSIFIED -- 4.3% 210 General Electric Co. 6,293 73 Tyco International LTD (Bermuda) 2,017 ------------------------------------------------------------------- 8,310 ------------------------------------------------------------------- ELECTRONICS/ELECTRICAL EQUIPMENT -- 0.1% 7 Agilent Technologies, Inc.* 184 ENTERTAINMENT/LEISURE -- 0.3% 16 Carnival Corp. 674 FINANCIAL SERVICES -- 9.0% 8 Capital One Financial Corp. 552 15 CIT Group, Inc. 516 137 Citigroup, Inc. 6,583 23 Countrywide Financial Corp. 1,335 18 Fannie Mae 1,219 16 Freddie Mac 926 13 Goldman Sachs Group, Inc. 1,245 24 MBNA Corp. 583 7 Merrill Lynch & Co., Inc. 386 45 Morgan Stanley 2,300 42 The Charles Schwab Corp. 433 28 Washington Mutual, Inc. 1,091 ------------------------------------------------------------------- 17,169 ------------------------------------------------------------------- FOOD/BEVERAGE PRODUCTS -- 3.2% 7 Anheuser-Busch Companies, Inc. $ 359 7 Archer Daniels Midland Co. 119 5 Coca-Cola Enterprises, Inc. 146 9 H.J. Heinz Co. 359 23 PepsiCo, Inc. 1,270 2 Sysco Corp. 79 77 The Coca-Cola Co. 3,889 ------------------------------------------------------------------- 6,221 ------------------------------------------------------------------- HEALTH CARE/HEALTH CARE SERVICES -- 3.5% 10 Aetna, Inc. 792 9 Anthem, Inc.* 788 6 Becton, Dickinson & Co. 278 6 Biomet, Inc. 221 8 Boston Scientific Corp.* 321 10 CIGNA Corp. 664 32 Guidant Corp. 2,019 12 HCA, Inc. 467 5 McKesson Corp. 148 2 Stryker Corp. 218 7 UnitedHealth Group, Inc. 456 4 WellPoint Health Networks, Inc.* 458 ------------------------------------------------------------------- 6,830 ------------------------------------------------------------------- HOTELS/OTHER LODGING -- 0.0% ^ 2 Starwood Hotels & Resorts Worldwide, Inc. 95 INDUSTRIAL COMPONENTS -- 0.1% 5 SPX Corp. 213 INSURANCE -- 4.9% 27 AMBAC Financial Group, Inc. 1,863 23 American International Group, Inc. 1,646 15 Hartford Financial Services Group, Inc. 898 11 MBIA, Inc. 632 12 Metlife, Inc. 428 4 Protective Life Corp. 133 18 St. Paul Companies, Inc. 728 53 The Allstate Corp. 2,436 2 The Progressive Corp. 175 7 Torchmark Corp. 347 2 XL Capital LTD (Bermuda), Class A 122 ------------------------------------------------------------------- 9,408 -------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 27
SHARES ISSUER VALUE -------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED INTERNET SERVICES/SOFTWARE -- 1.0% 17 eBay, Inc.* $ 1,341 11 Yahoo!, Inc.* 560 ------------------------------------------------------------------- 1,901 ------------------------------------------------------------------- MACHINERY & ENGINEERING EQUIPMENT -- 0.4% 3 Deere & Co. 177 10 Ingersoll-Rand Co., LTD (Bermuda), Class A 649 ------------------------------------------------------------------- 826 ------------------------------------------------------------------- MANUFACTURING -- 1.3% 11 3M Co. 934 10 Eaton Corp. 576 12 Illinois Tool Works, Inc. 1,000 ------------------------------------------------------------------- 2,510 ------------------------------------------------------------------- METALS/MINING -- 0.6% 38 Alcoa, Inc. 1,175 MULTI-MEDIA -- 3.9% 4 Comcast Corp., Special Class A* 110 16 Fox Entertainment Group, Inc., Class A* 442 14 Gannett Co., Inc. 1,209 4 The E.W. Scripps Co., Class A 380 66 The Walt Disney Co. 1,515 43 Time Warner, Inc.* 718 16 Tribune Co. 748 63 Viacom, Inc., Class B 2,450 ------------------------------------------------------------------- 7,572 ------------------------------------------------------------------- OIL & GAS -- 6.3% 12 Anadarko Petroleum Corp. 632 6 Baker Hughes, Inc. 202 30 ChevronTexaco Corp. 2,750 36 ConocoPhillips 2,534 5 Cooper Cameron Corp.* 222 18 Devon Energy Corp. 1,080 78 Exxon Mobil Corp. 3,312 11 GlobalSantaFe Corp. 285 19 Rowan Companies, Inc.* 417 20 Unocal Corp. 735 ------------------------------------------------------------------- 12,169 ------------------------------------------------------------------- PAPER/FOREST PRODUCTS -- 0.5% 8 Bowater, Inc. $ 340 5 Georgia-Pacific Corp. 190 6 Temple-Inland, Inc. 396 ------------------------------------------------------------------- 926 ------------------------------------------------------------------- PHARMACEUTICALS -- 9.0% 29 Abbott Laboratories 1,296 29 Eli Lilly & Co. 2,112 13 Forest Laboratories, Inc.* 869 72 Johnson & Johnson 3,885 5 Medco Health Solutions, Inc.* 190 38 Merck & Co., Inc. 1,773 145 Pfizer, Inc. 5,193 12 Sepracor, Inc.* 559 2 Watson Pharmaceuticals, Inc.* 82 32 Wyeth 1,213 ------------------------------------------------------------------- 17,172 ------------------------------------------------------------------- PIPELINES -- 0.1% 32 Dynegy, Inc., Class A* 128 8 El Paso Corp. 57 ------------------------------------------------------------------- 185 ------------------------------------------------------------------- PRINTING & PUBLISHING -- 0.0% 1 The McGraw-Hill Companies, Inc. 63 REAL ESTATE INVESTMENT TRUST -- 0.3% 9 CarrAmerica Realty Corp. 250 3 Equity Office Properties Trust 78 6 ProLogis Trust 177 4 The Rouse Co. 170 ------------------------------------------------------------------- 675 ------------------------------------------------------------------- RESTAURANTS/FOOD SERVICES -- 0.9% 36 McDonald's Corp. 988 6 Wendy's International, Inc. 253 14 Yum! Brands, Inc.* 539 ------------------------------------------------------------------- 1,780 ------------------------------------------------------------------- RETAILING -- 6.6% 14 Abercrombie & Fitch Co., Class A 438 11 Bed Bath & Beyond, Inc.* 416 18 CVS Corp. 707
SEE NOTES TO FINANCIAL STATEMENTS. 28
SHARES ISSUER VALUE -------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED RETAILING -- CONTINUED 4 Family Dollar Stores, Inc. $ 141 8 Federated Department Stores, Inc. 382 68 Home Depot, Inc. 2,394 21 Kohl's Corp.* 874 22 Lowe's Companies, Inc. 1,123 24 Target Corp. 1,026 28 The Gap, Inc. 622 8 The May Department Stores Co. 237 12 The TJX Companies, Inc. 287 67 Wal-Mart Stores, Inc. 3,843 4 Walgreen Co. 148 ------------------------------------------------------------------- 12,638 ------------------------------------------------------------------- SEMI-CONDUCTORS -- 3.6% 50 Altera Corp.* 996 18 Analog Devices, Inc. 757 114 Intel Corp. 2,930 6 Linear Technology Corp. 214 1 Maxim Integrated Products, Inc. 51 15 Micron Technology, Inc.* 204 16 Novellus Systems, Inc.* 469 7 QLogic Corp.* 178 15 Texas Instruments, Inc. 377 24 Xilinx, Inc.* 813 ------------------------------------------------------------------- 6,989 ------------------------------------------------------------------- SHIPPING/TRANSPORTATION -- 0.9% 4 CSX Corp. 127 5 FedEx Corp. 370 18 Norfolk Southern Corp. 424 6 Union Pacific Corp. 330 6 United Parcel Service, Inc., Class B 435 ------------------------------------------------------------------- 1,686 ------------------------------------------------------------------- STEEL -- 0.5% 34 United States Steel Corp. 973 TELECOMMUNICATIONS -- 3.7% 27 AT&T Wireless Services, Inc.* 367 31 BellSouth Corp. 800 29 Nextel Communications, Inc., Class A* 690 17 Qwest Communications International, Inc.* 69 67 SBC Communications, Inc. 1,675 8 Sprint Corp.-- FON Group $ 140 33 Tellabs, Inc.* 287 83 Verizon Communications, Inc. 3,139 ------------------------------------------------------------------- 7,167 ------------------------------------------------------------------- TELECOMMUNICATIONS EQUIPMENT -- 1.1% 17 Corning, Inc.* 189 89 Lucent Technologies, Inc.* 298 38 Motorola, Inc. 702 16 QUALCOMM, Inc. 992 ------------------------------------------------------------------- 2,181 ------------------------------------------------------------------- TOYS & GAMES -- 0.4% 11 Hasbro, Inc. 200 39 Mattel, Inc. 668 ------------------------------------------------------------------- 868 ------------------------------------------------------------------- UTILITIES -- 2.6% 8 Constellation Energy Group, Inc. 292 7 Dominion Resources, Inc. 440 10 Edison International 227 12 Entergy Corp. 650 5 FPL Group, Inc. 331 37 PG&E Corp.* 1,017 36 Pinnacle West Capital Corp. 1,418 1 PPL Corp. 56 5 TXU Corp. 167 31 XCEL Energy, Inc. 521 ------------------------------------------------------------------- 5,119 ------------------------------------------------------------------- Total Common Stocks 192,561 (Cost $169,304) ------------------------------------------------------------------- SHORT-TERM INVESTMENT -- 0.4% MONEY MARKET FUND -- 0.4% 775 JPMorgan Prime Money Market Fund (a) 775 (Cost $775) ------------------------------------------------------------------- TOTAL INVESTMENTS -- 100.0% $ 193,336 (COST $170,079) -------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 29 JPMORGAN TAX AWARE ENHANCED INCOME FUND PORTFOLIO OF INVESTMENTS AS OF APRIL 30, 2004 (Unaudited) (Amounts in thousands)
PRINCIPAL AMOUNT ISSUER VALUE -------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- 64.4% U.S. GOVERNMENT AGENCY SECURITIES -- 1.4% $ 10,000 Federal Home Loan Bank, 2.25%, 12/15/05 $ 10,004 21,100 Federal Home Loan Mortgage Corp., 1.62%, 05/19/06, MTN, FRN 21,099 ------------------------------------------------------------------- Total U.S. Government Agency Securities 31,103 (Cost $31,096) ------------------------------------------------------------------- STATE AND MUNICIPAL OBLIGATIONS -- 41.3% ALABAMA -- 0.5% 10,565 Jefferson County, Sewer, Capital Improvements, Ser. A, Rev., (p), FGIC, 5.00%, 02/01/09 11,618 ARIZONA -- 1.2% 4,000 Northern Arizona Capital Facilities Finance Corp., Northern Arizona University Project, Student Housing, Ser. A, Rev., Adj., 4.00%, 08/01/33 4,048 21,740 Salt River Project Agricultural Improvement & Power District, Salt River Project, Electric System, Ser. A, Rev., 5.25%, 01/01/06 22,964 ------------------------------------------------------------------- 27,012 ------------------------------------------------------------------- ARKANSAS -- 0.4% 7,800 Arkansas State, Federal Highway Grant, Ser. A, GO, 5.50%, 08/01/08 + 8,649 CALIFORNIA -- 6.4% 8,830 Bay Area Governments Association, Bay Area Rapid Transit, FTA Capital Grant, Ser. A, Rev., AMBAC, 5.00%, 06/15/08 + 8,864 13,170 California Pollution Control Financing Authority, Ser. B, Rev., Adj., 2.00%, 03/01/08 + 13,029 2,000 California Pollution Control Financing Authority, Ser. D, Rev., Adj., 2.00%, 02/28/08 + 1,979 31,000 California State, Ser. B, Rev., RAN, 2.00%, 06/16/04 + 31,032 $ 10,000 California Statewide Communities Development Authority, Kaiser Permanente, Ser. C, Adj., Rev., 3.70%, 11/01/29 + $ 10,228 6,555 California Statewide Communities Development Authority, Kaiser Permanente, Ser. F, Rev., Adj., 2.30%, 04/01/33 + 6,460 5,665 Fresno County, Pension, Taxable, Ser. A, Rev., FGIC, 3.04%, 08/15/09 5,458 2,900 Grant Joint Union High School District, COP, Bridge Funding Program, Adj., FSA, 0.98%, 07/01/18 2,900 9,200 Grant Joint Union High School District, COP, Bridge Funding Program, Adj., FSA, 0.98%, 07/01/37 9,200 10,000 Los Angeles County Sanitation Districts Financing Authority, Capital Project, Ser.A, Rev., FSA, 4.00%, 10/01/05 10,358 5,000 Los Angeles Department of Water & Power, Waterworks, Ser. B, Rev., MBIA, 3.50%, 07/01/04 5,018 16,500 Sacramento County Sanitation District, Ser. A, Rev., 5.88%, 12/01/27 17,682 16,055 San Mateo County Housing Authority, Multi-Family Mortgage, FLOATS, Ser. PT-704, Rev., Adj., 1.17%, 05/01/08 16,055 9,000 Santa Clara County Financing Authority, Measure B Transportation Improvement Program, Rev., 4.00%, 08/01/05 9,285 ------------------------------------------------------------------- 147,548 ------------------------------------------------------------------- COLORADO -- 0.4% 2,850 Arapahoe County, Capital Improvement, Federal Highway, Ser. E-470, Rev., (p), 0.00%, 08/31/05 + 1,359 8,625 Regional Transportation District, Transit Vehicles, COP, Ser. A, Adj., AMBAC, 2.30%, 12/01/22 8,505 ------------------------------------------------------------------- 9,864 -------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 30 SEMI-ANNUAL REPORT APRIL 30 2004
PRINCIPAL AMOUNT ISSUER VALUE -------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED CONNECTICUT -- 0.2% $ 5,000 Connecticut State, Special Tax Obligation, Transportation Infrastructure, Ser. A, FSA, 4.00%, 09/01/06 $ 5,228 FLORIDA -- 0.3% 1,175 Bay County, Hospital Systems, Bay Medical Center Project, Rev., (p), 8.00%, 10/01/04 + 1,214 5,000 Miami-Dade County, Water & Sewer, Rev., MBIA, 5.00%, 10/01/07 5,423 ------------------------------------------------------------------- 6,637 ------------------------------------------------------------------- GEORGIA -- 1.8% 12,310 Henry County School District, GO, FGIC, 5.00%, 04/01/07 13,232 6,940 Metropolitan Atlanta Rapid Transportation Authority, Second Indenture, Ser. A, Rev., FSA, 5.00%, 07/01/07 7,481 19,525 Milledgeviille & Baldwin County Development Authority, Georgia College & State University Foundation, Student Housing, Rev., Adj., 5.00%, 09/01/32 19,745 ------------------------------------------------------------------- 40,458 ------------------------------------------------------------------- ILLINOIS -- 1.7% 7,000 Chicago Board of Education, FLOATS, Ser. SG-103, Adj., 1.13%, 12/01/20 + 7,000 17,085 Chicago School Finance Authority, School Financing, Ser. B, GO, FSA, 5.00%, 06/01/07 18,409 1,700 Illinois Health Facilities Authority, Lifelink Corp. Obligation Group, Ser. B, Rev., (p), 8.00%, 02/15/05 1,786 10,765 Illinois State, 1st Ser., GO, 5.00%, 08/01/07 11,621 ------------------------------------------------------------------- 38,816 ------------------------------------------------------------------- MAINE -- 0.1% 1,500 Maine Veterans Homes, Rev., (p), 7.75%, 10/01/05 1,661 MARYLAND -- 1.2% $ 2,375 Maryland State Health & Higher Educational Facilities Authority, Johns Hopkins Hospital, Ser. B, Rev., Adj., 1.75%, 07/01/27 $ 2,375 5,000 Maryland State, State & Local Facilities Loan, Second Ser. B, GO, 5.00%, 02/01/06 5,281 10,535 Washington Suburban Sanitation District, Water Supply, GO, 4.00%, 06/01/05 10,837 8,000 Washington Suburban Sanitation District, Water Supply, GO, 5.25%, 06/01/07 8,741 ------------------------------------------------------------------- 27,234 ------------------------------------------------------------------- MASSACHUSETTS -- 1.5% 10,000 Massachusetts State, CONS, Ser. C, GO, 5.75%, 10/01/08 11,132 10,000 Massachusetts State, CONS, Ser. D, GO, (p), 5.25%, 11/01/06 10,893 10,000 Massachusetts State, CONS, Ser. E, GO, 5.50%, 01/01/08 10,935 ------------------------------------------------------------------- 32,960 ------------------------------------------------------------------- MICHIGAN -- 2.5% 9,000 Central Michigan University, Ser. B, Rev., Adj., FGIC, 1.75%, 10/01/15 + 9,000 7,920 Detroit, Michigan, Sewage Disposal, Ser. A, Rev., (p), MBIA, 5.40%, 07/01/07 8,760 13,060 Michigan Municipal Bond Authority, Government Loan Program, Ser. C, Rev., 5.00%, 05/01/08 14,184 10,000 Michigan State Hospital Finance Authority, Ascension Health Credit, Ser. A, Rev., (p), MBIA, 6.25%, 11/15/09 11,684 2,555 Michigan State Hospital Finance Authority, Trinity Health, Ser. A, Rev., 5.50%, 12/01/04 2,613
SEE NOTES TO FINANCIAL STATEMENTS. 31
PRINCIPAL AMOUNT ISSUER VALUE -------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED MICHIGAN -- CONTINUED $ 10,000 Michigan Strategic Fund, Dow Chemical Project, Rev., Adj., 3.80%, 06/01/14 $ 10,251 ------------------------------------------------------------------- 56,492 ------------------------------------------------------------------- MINNESOTA -- 1.3% 6,345 Minneapolis, Minnesota, GO, 4.00%, 12/01/06 6,644 4,000 Minnesota Housing Finance Agency, Residential Housing, Ser. K-1, Rev., 2.25%, 07/01/17 3,941 19,890 Washington County Housing & Redevelopment Authority, Multi-Family Housing, FLOATS, Ser. PT-702, Rev., 1.17%, 12/31/23 19,890 ------------------------------------------------------------------- 30,475 ------------------------------------------------------------------- MULTIPLE STATES -- 2.3% 1,585 MBIA Capital Corp., FLOATS, Ser. PL-10, Rev., Adj., MBIA, 1.19%, 08/05/04 1,585 40,425 Puttable Floating Option Tax-Exempt Receipts, FLOATS, Ser. PPT-12, 1.24%, 07/01/24 40,424 9,250 Puttable Floating Option Tax-Exempt Receipts, FLOATS, Ser. PPT-38, Mode A, Adj., 1.04%, 12/01/18 9,250 ------------------------------------------------------------------- 51,259 ------------------------------------------------------------------- NEBRASKA -- 0.1% 2,800 Omaha Public Power District, Nebraska Electric, Omaha Public Power System, Ser. B, Rev., 4.50%, 02/01/09 2,976 NEW JERSEY -- 1.7% 1,350 New Jersey Economic Development Authority, North Jersey Port District, Rev., AMBAC, 7.13%, 02/15/08 1,509 19,355 New Jersey State, GO, (p), 5.63%, 07/15/06 21,218 13,680 New Jersey State, GO, (p), 5.63%, 07/15/06 14,998 ------------------------------------------------------------------- 37,725 ------------------------------------------------------------------- NEW YORK -- 5.5% $ 5,000 Long Island Power Authority, Electric Systems, Ser. A, Rev., 4.50%, 06/01/05 $ 5,141 12,750 Long Island Power Authority, Electric Systems, Ser. B, Rev., 5.00%, 06/01/05 13,176 4,500 Nassau County Interim Finance Authority, Sales Tax Secured, Ser. A, Rev., AMBAC, 4.00%, 11/15/08 4,713 2,250 Nassau County Interim Finance Authority, Sales Tax Secured, Ser. A, Rev., AMBAC, 5.00%, 11/15/09 2,457 6,200 New York City Municipal Water Finance Authority, Water & Sewer System, FLOATS, Ser. PA-446, Rev., Adj., FGIC, 1.11%, 06/15/06 6,200 5,000 New York City Municipal Water Finance Authority, Water & Sewer System, Ser. B, Rev., MBIA, 5.80%, 06/15/29 5,512 270 New York City, New York, Ser. B, GO, 7.50%, 02/01/06 271 10,000 New York City, New York, Ser. C, GO, 5.00%, 08/01/05 10,411 15,350 New York City, New York, Ser. G, GO, 5.00%, 08/01/06 16,252 5,000 New York State Dormitory Authority, Fourth Generation, City University System, Ser. A, Rev., CONS, 5.00%, 07/01/06 5,296 3,925 New York State Dormitory Authority, Mount Sinai School of Medicine, Rev., MBIA, 5.00%, 07/01/06 4,170 2,500 New York State Dormitory Authority, Upstate Community Colleges, Rev., 4.50%, 07/01/09 2,637 3,750 New York State Environmental Facilities Corp., Solid Waste Disposal, Waste Management Project, Ser. A, Rev., Adj., 4.00%, 05/01/12 3,750 15,000 New York State Thruway Authority, Service Contract, Taxable, Ser. B, Rev., 2.59%, 03/15/06 15,060
SEE NOTES TO FINANCIAL STATEMENTS. 32
PRINCIPAL AMOUNT ISSUER VALUE -------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED NEW YORK -- CONTINUED $ 30,000 New York State Urban Development Corp., Correctional & Youth Facilities Services, Ser. A, Rev., 5.25%, 01/01/21 $ 32,452 ------------------------------------------------------------------- 127,498 ------------------------------------------------------------------- NORTH CAROLINA -- 0.7% 15,000 Guilford County, GO, 4.00%, 10/01/22 15,775 OHIO -- 0.6% 2,500 Ohio State Air Quality Development Authority, Pollution Control, Ohio Edison Project, Ser. C, Rev., Adj., 5.80%, 06/01/16 2,547 5,300 Ohio State, Common Schools, Capital Facilities, Ser. A, GO, 5.00%, 06/15/07 5,729 5,000 Ohio State, Common Schools, Ser. D, GO, Adj., 2.45%, 03/15/24 4,986 ------------------------------------------------------------------- 13,262 ------------------------------------------------------------------- OREGON -- 1.0% 20,000 Oregon State Department of Administrative Services, Rev., FSA, 5.00%, 09/01/08 21,787 PENNSYLVANIA -- 0.8% 9,760 Beaver County IDA, PCR, Ohio Edison Co. Project, Ser. A, Rev., Adj., 4.65%, 06/01/33 + 9,775 2,720 Lehigh County, Ser. C, GO, (p), 5.65%, 05/15/06 2,928 4,455 Lehigh County, Ser. C, GO, (p), 5.70%, 05/15/06 4,799 ------------------------------------------------------------------- 17,502 ------------------------------------------------------------------- PUERTO RICO -- 2.3% 5,940 Puerto Rico Commonwealth, GO, FGIC, 5.00%, 07/01/05 6,190 14,250 Puerto Rico Commonwealth, Ser. C, Adj., GO, MBIA, 5.00%, 07/01/28 15,483 2,660 Puerto Rico Highway & Transportation Authority, Ser. AA, Rev., 5.00%, 07/01/07 2,858 $ 16,605 Puerto Rico Municipal Finance Agency, Ser. A, Rev., 4.00%, 08/01/04 $ 16,715 10,000 Puerto Rico Public Buildings Authority, Government Facilities, Ser. A, Rev., AMBAC, (p), 5.50%, 07/01/21 10,640 ------------------------------------------------------------------- 51,886 ------------------------------------------------------------------- RHODE ISLAND -- 0.1% 2,500 Rhode Island Housing & Mortgage Finance Corp., Hometown Opportunity Notes, Ser. 41-C, Rev., 3.38%, 11/01/05 2,548 SOUTH CAROLINA -- 0.3% 6,000 South Carolina Transportation Infrastructure Bank, Ser. A, Rev., MBIA, 5.00%, 10/01/10 6,532 TEXAS -- 3.1% 9,400 Brazos River Authority, PCR, Utilities Electric Co., Ser. B, Rev., Adj., 5.05%, 06/01/30 + 9,791 10,520 Gulf Coast Waste Disposal Authority, PCR, Amoco Oil Project, Rev., Adj., 2.00%, 10/01/17 10,468 10,060 Harris County, Criminal Justice Center, GO, (p), FGIC, 5.63%, 10/01/06 10,937 19,465 Houston, Texas, Public Improvement, GO, MBIA, 5.00%, 03/01/08 21,050 2,000 Lewisville, Texas, Combination Contract, Special Assessment, Castle Hills No. 3 Project, Rev., 4.13%, 05/01/31 2,085 4,975 Matagorda County Navigation District No 1, PCR, Central Power & Light Co., Ser. A, Rev., Adj, 4.55%, 11/01/29 5,142 3,410 San Antonio, Texas, General Improvement, GO, 3.00%, 08/01/04 3,426 290 San Antonio, Texas, General Improvement, GO, (p), 3.00%, 08/01/04 291 8,350 Texas State, Public Finance Authority, Ser. B, GO, (p), 5.63%, 10/01/06 9,078 ------------------------------------------------------------------- 72,268 -------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 33
PRINCIPAL AMOUNT ISSUER VALUE -------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED UTAH -- 0.8% $ 9,000 Utah State, Ser. A, GO, 4.50%, 07/01/09 $ 9,633 7,400 Utah State, Ser. B, GO, 5.38%, 07/01/09 8,228 ------------------------------------------------------------------- 17,861 ------------------------------------------------------------------- VIRGIN ISLANDS -- 0.2% 3,570 University of the Virgin Islands, Ser. A, Rev., (p), 7.70%, 10/01/04 3,737 VIRGINIA -- 0.6% 2,265 Loudoun County, Ser. B, GO, 3.00%, 10/01/04 2,283 8,000 Louisa IDA, Solid Waste & Sewer Disposal, Electric & Power Co. Project, Ser. A, Rev., Adj., 2.30%, 03/01/31 8,000 2,600 Norfolk, Virginia, GO, MBIA, 5.00%, 06/01/09 2,840 ------------------------------------------------------------------- 13,123 ------------------------------------------------------------------- WASHINGTON -- 0.5% 4,000 Washington Health Care Facilities Authority, Multicare Health Systems, Rev., MBIA, 4.38%, 08/15/04 4,035 7,995 Washington State, Ser. 96-A, GO, (p), FGIC, 5.75%, 07/01/05 8,406 ------------------------------------------------------------------- 12,441 ------------------------------------------------------------------- WEST VIRGINIA -- 0.1% 1,545 Morgantown, West Virginia, Sewer Systems, Rev., (p), 7.25%, 06/01/05 1,596 WISCONSIN -- 1.1% 6,250 Wisconsin Health & Educational Facilities Authority, Ser. 1999A, Rev., Adj., 4.45%, 05/01/29 (i) # 6,422 5,000 Wisconsin State Health & Educational Facilities, 1.10%, 12/31/50 (i) # 5,000 3,755 Wisconsin State Health & Educational Facilities Authority, Hospital Charity Obligation Group, Ser. D, Rev., Adj., (p), 4.90%, 11/01/05 3,903 $ 3,075 Wisconsin State Health & Educational Facilities Authority, Ministry Health Care, Inc., Rev., 3.40%, 05/15/07 $ 3,074 5,680 Wisconsin State Health & Educational Facilities Authority, Ministry Health Care, Inc., Ser. B, Rev., 3.50%, 05/15/07 5,716 ------------------------------------------------------------------- 24,115 ------------------------------------------------------------------- Total State and Municipal Obligations 938,543 (Cost $940,780) ------------------------------------------------------------------- CORPORATE NOTES & BONDS -- 10.9% AUTOMOTIVE -- 0.9% DaimlerChrysler N.A. Holdings Corp., 4,200 7.75%, 06/15/05 4,456 12,850 1.91%, 09/26/05, Ser. D, MTN, FRN 12,929 1,900 General Motors Acceptance Corp., 6.75%, 01/15/06 2,012 ------------------------------------------------------------------- 19,397 ------------------------------------------------------------------- COMPUTERS/COMPUTER HARDWARE -- 0.7% 15,100 International Business Machines Corp., 1.24%, 09/10/04, FRN 15,108 FINANCIAL SERVICES -- 7.1% 17,900 The Bear Stearns Co., Inc., 1.30%, 01/16/07, Ser. B, MTN, FRN + 17,896 CIT Group, Inc., 3,750 6.50%, 02/07/06 + 3,996 26,300 1.32%, 02/15/07, MTN, FRN + 26,321 11,100 4.00%, 05/08/08 + 11,105 9,925 Countrywide Home Loans, Inc., 5.50%, 08/01/06 10,444 Counts Trusts, 8,250 1.90%, 08/15/07, Ser. 2002-10, FRN, # + 8,250 8,250 1.95%, 08/15/07, Ser. 2002-11, FRN, # + 8,250 9,600 Credit Suisse First Boston USA, Inc., 5.75%, 04/15/07 10,236 General Motors Acceptance Corp., 4,600 2.00%, 05/18/06, MTN, FRN 4,600 16,800 2.04%, 01/16/07, MTN, FRN 16,712
SEE NOTES TO FINANCIAL STATEMENTS. 34
PRINCIPAL AMOUNT ISSUER VALUE -------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED FINANCIAL SERVICES -- CONTINUED International Lease Finance Corp., $ 5,615 4.00%, 01/17/06, Ser. O, MTN $ 5,755 4,940 5.75%, 10/15/06 5,241 6,700 MBNA Corp., 4.63%, 09/15/08 6,762 800 Morgan Stanley, 1.39%, 03/27/06, FRN 802 28,250 SLM Corp., 1.29%, 01/25/07, Ser. A, MTN, FRN 28,247 ------------------------------------------------------------------- 164,617 ------------------------------------------------------------------- INSURANCE -- 0.4% 8,296 ASIF Global Financing, 1.36%, 03/14/06, FRN, # + 8,306 RETAILING -- 0.2% 4,950 Safeway, Inc., 1.60%, 11/01/05, FRN 4,954 TELECOMMUNICATIONS -- 0.4% 4,550 Deutsche Telekom International Finance (Germany), 8.25%, 06/15/05 4,843 3,875 Sprint Capital Corp., 6.00%, 01/15/07 4,119 ------------------------------------------------------------------- 8,962 ------------------------------------------------------------------- UTILITIES -- 1.2% 7,150 FPL Group Capital, Inc., 1.88%, 03/30/05 7,153 2,965 National Rural Utilities Cooperative Finance Corp., 3.00%, 02/15/06 2,991 11,900 Pacific Gas & Electric Co., 1.81%, 04/03/06, FRN 11,904 4,600 Public Service Co. of Colorado, 4.38%, 10/01/08 4,657 ------------------------------------------------------------------- 26,705 ------------------------------------------------------------------- Total Corporate Notes & Bonds 248,049 (Cost $247,534) ------------------------------------------------------------------- RESIDENTIAL MORTGAGE BACKED SECURITIES -- 0.3% COLLATERALIZED MORTGAGE OBLIGATIONS -- 0.3% 5,591 Federal National Mortgage Association, 1.60%, 06/25/32, Ser. 2002-36, Class FS, FRN 5,633 $ 1,299 Government National Mortgage Association, 1.50%, 12/20/30, Ser. 2000-38, Class F, FRN $ 1,301 ------------------------------------------------------------------- Total Residential Mortgage Backed Securities 6,934 (Cost $6,891) ------------------------------------------------------------------- COMMERCIAL MORTGAGE BACKED SECURITIES -- 1.3% 28,050 Capital One Multi-Asset Execution Trust, 2.35%, 12/15/10, Ser. 2003-A, FRN, # + (Cost $28,933) 29,014 ASSET BACKED SECURITIES -- 8.2% 25,250 AmeriCredit Automobile Receivables Trust, 2.75%, 10/06/07, Ser. 2003-CF, Class A3 + 25,421 3,450 Capital One Auto Finance Trust, 3.18%, 09/15/10, Ser. 2003-B, Class A4 + 3,426 10,200 Capital One Master Trust, 1.90%, 08/15/08, Ser. 2000-4, Class C, FRN, # + 10,247 2,250 CARSS Finance Limited Partnership, 2.05%, 01/15/11, Ser. 2004-A, Class B2 # 2,250 10,117 Centex Home Equity, 1.38%, 01/25/34, Ser. 2004-A, Class AV2, FRN + 10,127 Citibank Credit Card Issuance Trust, 6,950 7.45%, 09/15/07, Ser. 2000-C1, Class C1 + 7,419 11,200 2.11%, 03/20/08, Ser. 2003-C2, Class C2, FRN + 11,325 Countrywide Asset-Backed Certificates, 10,985 1.50%, 03/25/33, Ser. 2003-BC1, Class A1, FRN + 11,029 6,200 1.60%, 02/25/34, Ser. 2004-BC1, Class M1, FRN + 6,207 4,335 EQCC Trust, 1.40%, 11/25/31, Ser. 2002-1, Class 2A, FRN 4,346
SEE NOTES TO FINANCIAL STATEMENTS. 35
PRINCIPAL AMOUNT ISSUER VALUE -------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED ASSET BACKED SECURITIES -- CONTINUED $ 4,044 HFC Home Equity Loan Asset Backed Certificates, 1.40%, 04/20/32, Ser. 2002-2, Class A, FRN $ 4,054 26,550 Honda Auto Receivables Owner Trust, 1.57%, 06/19/06, Ser. 2003-5, Class A2 26,546 5,400 MBNA Master Credit Card Trust USA, 1.90%, 12/15/06, Ser. 1999-G, Class C, FRN, # 5,400 21,230 Option One Mortgage Loan Trust, 1.52%, 02/25/33, Ser. 2003-1, Class A2, FRN 21,304 7,574 Residential Asset Mortgage Products, Inc., 1.47%, 09/25/32, Ser. 2002-RS5, FRN 7,592 2,570 SLM Student Loan Trust, 1.20%, 10/25/10, Ser. 2002-1, Class A1, FRN 2,571 6,801 Wachovia Asset Securitization, Inc., 1.53%, 12/25/32, Ser. 2002-HE2, Class A, FRN 6,833 19,400 WFS Financial Owner Trust, 3.25%, 05/20/11, Ser. 2003-3, Class A4 19,327 ------------------------------------------------------------------- Total Asset Backed Securities 185,424 (Cost $184,991) ------------------------------------------------------------------- CERTIFICATES OF DEPOSIT -- 1.0% 23,100 Deutsche Bank AG/New York (Yankee), 1.37%, 05/15/07 (Cost $23,100) 23,093 ------------------------------------------------------------------- Total Long-Term Investments 1,462,160 (Cost $1,463,325) ------------------------------------------------------------------- SHORT-TERM INVESTMENTS -- 35.6% STATE AND MUNICIPAL OBLIGATIONS -- 34.2% ALABAMA -- 0.9% 20,000 Jefferson County, Sewer, Ser. C-8., Rev., FRDO, FGIC, 1.02%, 05/27/04 20,000 ARIZONA -- 1.1% $ 15,800 Arizona Educational Loan Marketing Corp., RAMS, Sub Ser. B, Rev., FRDO, 1.13%, 05/27/04 + $ 15,800 2,500 Arizona Health Facilities Authority, Banner Health Systems, Ser. B, Rev., FRDO, AMBAC, 1.06%, 05/28/04 + 2,500 3,000 Arizona Student Loan Acquisition Authority, RAMS, Senior Ser. A-1, Rev., FRDO, 1.06%, 06/03/04 + 3,000 3,225 Scottsdale IDA, Hospital, Scottsdale Healthcare, Ser. A, Rev., FRDO, 1.05%, 05/28/04 3,225 ------------------------------------------------------------------- 24,525 ------------------------------------------------------------------- ARKANSAS -- 0.1% 2,000 Arkansas Student Loan Authority, Ser. A-1, Rev., FRDO, 1.04%, 05/24/04 + 2,000 CALIFORNIA -- 2.8% 11,164 California State, Ser. 819-D, GO, FRDO, AMBAC, 1.17%, 05/06/04 + 11,164 14,900 California State, Ser. D-1, GO, FRDO, 1.95%, 02/10/05 + 14,882 3,000 California State, Ser. D-4, GO, FRDO, 1.98%, 02/03/05 2,996 15,800 California State, Ser. F8G, FLOATS, FRDO, Rev., 1.13%, 06/16/04 + 15,800 10,000 California Statewide Communities Development Authority, Ser. M, Rev., FRDO, 1.17%, 05/05/04 + 10,000 1,000 Chela Financial USA, Inc., California Student Loan, ACES, Senior Ser. C-4, Rev., FRDO, 1.10%, 05/11/04 + 1,000 2,000 Long Beach, California, Health Facilities, Memorial Health Services, Rev., FRDO, 1.08%, 05/05/04 2,000 5,500 Student Education Loan Marketing Corp., Sub Ser. IV-C-1, Rev., FRDO, 1.15%, 06/03/04 5,500 ------------------------------------------------------------------- 63,342 -------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 36
PRINCIPAL AMOUNT ISSUER VALUE -------------------------------------------------------------------------------- SHORT-TERM INVESTMENTS -- CONTINUED COLORADO -- 0.9% $ 10,000 Aurora, Colorado, Hospital, Children's Hospital Association Project, Ser. D, Rev., FRDO, FSA, 0.97%, 05/17/04 + $ 10,000 850 Colorado Housing & Finance Authority, Multi-Family Housing, Class 1-B1, Rev., FRDO, 1.09%, 05/05/04 + 850 1,750 Colorado Housing & Finance Authority, Multi-Family Insured Mortgage, Ser. AA, Rev., FRDO, MBIA, 1.09%, 05/05/04 + 1,750 1,300 Colorado Housing & Finance Authority, Ser. AA3, Class I, Rev., FRDO, 1.09%, 05/05/04 + 1,300 5,900 Colorado Student Obligation Bond Authority, Student Loan, Ser. VII-A1, Rev., FRDO, 1.01%, 06/03/04 + 5,900 ------------------------------------------------------------------- 19,800 ------------------------------------------------------------------- CONNECTICUT -- 0.2% 4,700 Connecticut State Health & Educational Facilities Authority, Wesleyan University, Ser. D, Rev., FRDO, 1.08%, 05/26/04 + 4,700 DISTRICT OF COLUMBIA -- 4.1% 3,000 District of Columbia, George Washington University, Ser. C, Rev., FRDO, MBIA, 1.09%, 05/05/04 3,000 33,650 District of Columbia, Georgetown University, Ser. C, Rev., FRDO, MBIA, 1.03%, 06/03/04 33,650 15,000 District of Columbia, Ser. A-1, GO, FRDO, MBIA, 1.05%, 05/27/04 15,000 3,075 District of Columbia, Ser. A-2, GO, FRDO, MBIA, 1.14%, 10/07/04 3,075 22,500 District of Columbia, Ser. B, GO, FRDO, FSA, 1.09%, 05/05/04 22,500 18,200 District of Columbia, Ser. B-2, GO, FRDO, MBIA, 1.05%, 05/25/04 18,200 ------------------------------------------------------------------- 95,425 ------------------------------------------------------------------- FLORIDA -- 2.8% 27,000 Dade County Water & Sewer Revenue Systems, Rev., FRDO, 1.07%, 05/05/04 27,000 $ 16,350 Florida Educational Loan Marketing Corp., RAMS, Ser. D-2, Rev., FRDO, 1.17%, 06/03/04 $ 16,350 12,800 Miami-Dade County School Board, COP, Ser. B, FRDO, AMBAC, 1.03%, 05/28/04 12,800 6,875 Orlando & Orange County Expressway Authority, Ser. C-2, Rev., FRDO, FSA, 1.08%, 05/06/04 6,875 ------------------------------------------------------------------- 63,025 ------------------------------------------------------------------- GEORGIA -- 1.0% 4,000 Fulton County Development Authority, Lovett School Project, Rev., FRDO, 1.09%, 05/05/04 4,000 5,000 Fulton County Development Authority, Piedmont Medical Center Project, Ser. B, Rev., FRDO, MBIA, 1.02%, 05/05/04 5,000 4,000 Gwinnett County Hospital Authority, Gwinnett Hospital Systems, Inc. Project, Anticipation Certificates, Rev., RAN, FRDO, 1.09%, 05/05/04 4,000 9,385 Municipal Electric Authority of Georgia, Project One, Ser. C, Rev., FRDO, FSA, 1.06%, 05/05/04 9,385 ------------------------------------------------------------------- 22,385 ------------------------------------------------------------------- ILLINOIS -- 2.1% 7,000 Chicago Metropolitan Water Reclamation District, Ser. A, GO, FRDO, 1.08%, 05/05/04 + 7,000 16,100 Chicago, Illinois Water Authority, Rev., FRDO, 1.08%, 05/05/04 + 16,100 4,300 Galesburg, Illinois, Knox College Project, Rev., FRDO, 1.20%, 05/06/04 4,300 19,150 Illinois Development Finance Authority, Provena Health, Ser. B, Rev., FRDO, MBIA, 0.97%, 05/05/04 19,150 1,450 Illinois Health Facilities Authority, Rockford Memorial Hospital Group, Rev., FRDO, AMBAC,, 1.01%, 05/26/04 1,450 ------------------------------------------------------------------- 48,000 -------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 37
PRINCIPAL AMOUNT ISSUER VALUE -------------------------------------------------------------------------------- SHORT-TERM INVESTMENTS -- CONTINUED INDIANA -- 1.0% $ 21,675 Indiana Health Facility Financing Authority, Acension Health, Ser. E, Rev., FRDO, 1.04%, 05/13/04 $ 21,675 KANSAS -- 0.1% 3,000 Burlington, Kansas, Environmental Improvement, Kansas City Power & Light Project, Ser. C, Rev., FRDO, 2.25%, 09/01/04 + 2,999 KENTUCKY -- 0.4% 10,000 Kenton County Airport Board, Special Facilities, Airis Cincinnatti LLC, Ser. A, Rev., FRDO, 1.12%, 05/06/04 10,000 MARYLAND -- 1.8% 35,450 Baltimore, Maryland, Public Improvement, Ser. A, GO, CONS, FRDO, FSA, 1.05%, 06/02/04 + 35,449 5,212 Maryland State Health & Higher Educational Facilities Authority, Floater, Ser. 825, FRDO, AMBAC, 1.05%, 05/06/04 5,199 ------------------------------------------------------------------- 40,648 ------------------------------------------------------------------- MASSACHUSETTS -- 1.2% 15,000 Massachusetts Health & Educational Facilities Authority, Northeastern University, Ser. N, Rev., FRDO, MBIA, 1.05%, 05/27/04 15,000 3,850 Massachusetts Health & Educational Facilities Authority, Tufts University, Ser. G, Rev., FRDO, 1.06%, 05/27/04 3,850 8,050 Massachusetts Housing Finance Agency, Ser. F, Rev., FRDO, FSA, 1.08%, 05/05/04 8,050 ------------------------------------------------------------------- 26,900 ------------------------------------------------------------------- MICHIGAN -- 0.7% 13,205 University of Michigan, Rev., FRDO, 1.07%, 05/06/04 13,205 $ 2,950 Wayne State University, General Purpose, Rev., FRDO, AMBAC, 1.05%, 05/27/04 $ 2,950 ------------------------------------------------------------------- 16,155 ------------------------------------------------------------------- MINNESOTA -- 0.2% 4,950 Northern Municipal Power Agency, Minnesota Electric Systems, Ser. A-1, Rev., FRDO, MBIA, 1.00%, 05/14/04 4,950 MISSISSIPPI -- 0.4% 9,400 Mississippi State, Nissan Project, Ser. C, GO, FRDO, FGIC, 1.00%, 05/26/04 9,400 MISSOURI -- 1.4% 21,900 Missouri State Health & Educational Facilities Authority, Ascension Health, Ser. C-1, Rev., FRDO, 1.05%, 05/26/04 21,900 10,000 Missouri State Health & Educational Facilities Authority, Mercy Health Systems, Ser. B, Rev., FRDO, AMBAC, 1.05%, 05/26/04 10,000 ------------------------------------------------------------------- 31,900 ------------------------------------------------------------------- MONTANA -- 0.5% 11,600 Montana Higher Education Student Assistance Corp., Student Loan, Senior Ser. A, Rev., FRDO, 1.05%, 05/28/04 11,600 MULTIPLE STATES -- 1.3% 29,691 Puttable Floating Option Tax-Exempt Reciepts, FLOATS, Ser. PPT-34, FRDO, 1.04%, 05/06/04 # 29,691 NEW YORK -- 2.7% 13,425 New York City IDA, Special Facilities, FLOATS, Ser. 921, Rev., FRDO, 1.29%, 05/06/04 13,425 4,795 New York City, New York, Sub Ser. A-8, GO, FRDO, AMBAC, 1.08%, 05/05/04 4,795 12,150 New York City, New York, Sub Ser. H-2, GO, FRDO, 1.09%, 05/05/04 12,150
SEE NOTES TO FINANCIAL STATEMENTS. 38
PRINCIPAL AMOUNT ISSUER VALUE -------------------------------------------------------------------------------- SHORT-TERM INVESTMENTS -- CONTINUED NEW YORK -- CONTINUED $ 1 New York State Environmental Facilities Corp., Clean Water & Drinking, FLOATS, Ser. 731, Rev., FRDO, 1.12%, 05/06/04 $ 1 16,550 New York State Urban Development Corp., Correctional Facilities, Sub Ser. B-7, Rev., FRDO, AMBAC, 1.00%, 05/04/04 16,550 2,900 New York State Urban Development Corp., Correctional Facilities, Sub Ser. B-8, Rev., FRDO, AMBAC, 0.98%, 05/11/04 2,900 10,600 New York State Energy Research & Development Authority, Consolidated Edison Co., Subser. A-2, Rev., FRDO, AMBAC, 1.05%, 05/26/04 10,600 ------------------------------------------------------------------- 60,421 ------------------------------------------------------------------- NORTH CAROLINA -- 1.1% 6,355 North Carolina Housing Finance Agency, Appalachian Student Housing, Ser. A, Rev., FRDO, 1.10%, 05/05/04 6,355 2,000 Wake County Industrial Facilities & Pollution Control Financing Authority, Ser. E, Rev., FRDO, AMBAC, 0.97%, 05/25/04 2,000 17,475 Wake County Industrial Facilities & Pollution Control Financing Authority, Ser. G, Rev., FRDO, AMBAC, 1.03%, 06/03/04 17,475 ------------------------------------------------------------------- 25,830 ------------------------------------------------------------------- OHIO -- 1.0% 8,000 Ohio State Air Quality Development Authority, Cincinnati Gas & Electric, Ser. A, Rev., FRDO, 1.25%, 05/05/04 8,000 2,460 Ohio State Air Quality Development Authority, Toledo, Ser. A, Rev., FRDO, 2.20%, 10/01/04 2,458 12,000 Ohio State, Infrastructure Improvement, Ser. B, GO, FRDO, 1.08%, 05/05/04 12,000 ------------------------------------------------------------------- 22,458 ------------------------------------------------------------------- OREGON -- 0.1% $ 1,700 Portland, Oregon, Sewer Systems, Second Lien, Ser. B-1, Rev., FRDO, MBIA, 1.00%, 06/03/04 $ 1,700 PENNSYLVANIA -- 1.3% 2,000 ABN AMRO Munitops Certificate Trust, Ser. 1999-16, Class V, FRDO, MBIA, 1.17%, 05/05/04 + 2,000 1,605 Beaver County IDA, PCR, Ser. D, Rev., FRDO, AMBAC, 0.95%, 05/12/04 + 1,605 5,000 Erie County Hospital Authority, FLOATS, Ser. 820, Rev., FRDO, MBIA, 1.14%, 05/06/04 5,000 1,500 Harrisburg Authority, Water, Ser. B, Rev., FRDO, FSA, 1.15%, 05/06/04 1,500 20,000 Pennsylvania Economic Development Financing Authority, Reliant Energy Seward LLC Project, Ser. B, Rev., FRDO, 1.15%, 05/05/04 20,000 ------------------------------------------------------------------- 30,105 ------------------------------------------------------------------- RHODE ISLAND -- 0.6% 8,000 Rhode Island State & Providence Plantations, FLOATS, Ser. 720, GO, FRDO, FGIC, 1.14%, 05/06/04 8,000 5,500 Rhode Island Student Loan Authority, ACES, Ser. 1, Rev., FRDO, AMBAC, 1.05%, 05/26/04 5,500 ------------------------------------------------------------------- 13,500 ------------------------------------------------------------------- SOUTH CAROLINA -- 0.9% 6,000 Greenville Hospital Systems, Ser. C, Rev., FRDO, AMBAC, 1.05%, 05/28/04 6,000 9,600 South Carolina Jobs-Economic Development Authority, Hospital Facilities, Anderson Medical, Ser. A, Rev., FRDO, AMBAC, 1.04%, 05/06/04 9,600 4,500 South Carolina State Education Assistance Authority, Rev., FRDO, 1.03%, 05/28/04 4,500 ------------------------------------------------------------------- 20,100 -------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 39
PRINCIPAL AMOUNT ISSUER VALUE -------------------------------------------------------------------------------- SHORT-TERM INVESTMENTS -- CONTINUED TENNESSEE -- 0.2% $ 5,150 Blount County Public Building Authority, Local Government Public Improvement, Ser. C-1-A, Rev., FRDO, 1.10%, 06/03/04 + $ 5,150 TEXAS -- 0.7% 5,000 Brazos Higher Education Authority, ACES, Student Loan, Senior Lien, Ser. A-1, Rev., FRDO, 1.06%, 06/03/04 + 5,000 8,000 Houston, Texas, Hotel Occupancy, Convention & Entertainment, Ser. C-1, Rev., FRDO, AMBAC, 1.06%, 05/27/04 8,000 3,434 Texas State, Veterans Housing Assistance Fund I, GO, FRDO, 1.07%, 05/05/04 3,434 -------------------------------------------------------------------- 16,434 -------------------------------------------------------------------- VIRGINIA -- 0.3% 5,925 Virginia Commonwealth Transportation Board, FLOATS, Ser. 727, Rev., FRDO, 1.14%, 05/06/04 5,925 WASHINGTON -- 0.0%^ 500 Washington State Public Power Supply System, Project No. 3, Electric, Ser. 3A, Rev., FRDO, MBIA, 1.08%, 05/05/04 500 WEST VIRGINIA -- 0.0%^ 700 West Virginia State Parkways Economic Development & Tourism Authority, Rev., FRDO, FGIC, 1.07%, 05/05/04 700 WYOMING -- 0.3% 5,800 Wyoming Student Loan Corp., ACES, Ser. B, Rev., FRDO, 1.06%, 05/26/04 5,800 -------------------------------------------------------------------- Total State and Municipal Obligations 777,743 (Cost $777,782) -------------------------------------------------------------------- U.S. TREASURY SECURITY -- 0.1% 2,095 U.S. Treasury Bill, 0.93%, 07/08/04 + (Cost $2,091) 2,091 SHARES ISSUER VALUE -------------------------------------------------------------------------------- MONEY MARKET FUND -- 1.3% 29,224 JPMorgan Tax Free Money Market Fund (a) (Cost $29,224) $ 29,224 -------------------------------------------------------------------- Total Short-Term Investments 809,058 (Cost $809,097) -------------------------------------------------------------------- TOTAL INVESTMENTS -- 100.0% $ 2,271,218 (COST $2,272,422) --------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 40 FUTURES CONTRACTS (Amounts in thousands, except number of contracts)
NOTIONAL UNREALIZED NUMBER OF VALUE AT APPRECIATION CONTRACTS DESCRIPTION EXPIRATION DATE 4/30/04 (USD) (DEPRECIATION) (USD) ------------------------------------------------------------------------------------------------------ LONG FUTURES OUTSTANDING 1,148 Eurodollar December, 2004 $ 280,686 $ (1,210) SHORT FUTURES OUTSTANDING (327) 2 Year Treasury Notes June, 2004 (69,503) 499 (997) 5 Year Treasury Notes June, 2004 (109,608) 1,996
SWAP CONTRACTS
UNDERLYING UNREALIZED NOTIONAL APPRECIATION DESCRIPTIONS EXPIRATION DATE VALUE (DEPRECIATION) ------------------------------------------------------------------------------------------------------ Swap - price lock with Lehman Brothers Special Financing on U.S. Treasury Note, 3.125%, 10/15/08, price less 98.66, the Fund pays positive, receives negative 06/14/04 $ 60,020 $ 243 Swap - price lock with Lehman Brothers Special Financing on U.S. Treasury Note, 2.25%, 04/30/06, price less 99.65, the Fund pays positive, receives negative 06/29/04 286,750 (51)
SEE NOTES TO FINANCIAL STATEMENTS. 41 JPMORGAN TAX AWARE LARGE CAP GROWTH FUND PORTFOLIO OF INVESTMENTS AS OF APRIL 30, 2004 (Unaudited) (Amounts in thousands)
SHARES ISSUER VALUE -------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- 98.4% COMMON STOCKS -- 98.4% ADVERTISING -- 0.6% 28 Getty Images, Inc.* $ 1,545 AEROSPACE -- 0.4% 22 Lockheed Martin Corp. 1,049 BIOTECHNOLOGY -- 2.8% 42 Amgen, Inc.* 2,369 32 Biogen Idec, Inc.* 1,864 24 Cephalon, Inc.* 1,377 11 Genentech, Inc.* 1,388 -------------------------------------------------------------------- 6,998 -------------------------------------------------------------------- BROADCASTING/CABLE -- 1.5% 57 Clear Channel Communications, Inc. 2,353 41 Univision Communications, Inc., Class A* 1,391 -------------------------------------------------------------------- 3,744 -------------------------------------------------------------------- BUSINESS SERVICES -- 6.2% 80 Accenture LTD (Bermuda), Class A* 1,899 83 Affiliated Computer Services, Inc., Class A* 4,045 43 Apollo Group, Inc., Class A* 3,862 50 ChoicePoint, Inc.* 2,214 39 Cintas Corp. 1,731 63 SunGard Data Systems, Inc.* 1,632 -------------------------------------------------------------------- 15,383 -------------------------------------------------------------------- CHEMICALS -- 0.5% 36 Praxair, Inc. 1,316 COMPUTER NETWORKS -- 4.2% 440 Cisco Systems, Inc.* 9,178 61 Juniper Networks, Inc.* 1,337 -------------------------------------------------------------------- 10,515 -------------------------------------------------------------------- COMPUTER SOFTWARE -- 6.1% 36 Fiserv, Inc.* 1,327 33 Mercury Interactive Corp.* 1,387 341 Microsoft Corp. 8,866 95 Red Hat, Inc.* 2,157 38 SAP AG (Germany), ADR 1,432 -------------------------------------------------------------------- 15,169 -------------------------------------------------------------------- COMPUTERS/COMPUTER HARDWARE -- 2.5% 116 Dell, Inc.* $ 4,040 197 EMC Corp.* 2,202 -------------------------------------------------------------------- 6,242 -------------------------------------------------------------------- CONSUMER PRODUCTS -- 3.3% 40 Altria Group, Inc. 2,210 57 Procter & Gamble Co. 6,027 -------------------------------------------------------------------- 8,237 -------------------------------------------------------------------- CONSUMER SERVICES -- 0.8% 58 Education Management Corp.* 2,067 DIVERSIFIED -- 7.0% 501 General Electric Co. 15,002 91 Tyco International LTD (Bermuda) 2,501 -------------------------------------------------------------------- 17,503 -------------------------------------------------------------------- ELECTRONICS/ELECTRICAL EQUIPMENT -- 0.2% 42 Symbol Technologies, Inc. 499 ENTERTAINMENT/LEISURE -- 1.4% 34 Carnival Corp. 1,468 56 International Game Technology 2,121 -------------------------------------------------------------------- 3,589 -------------------------------------------------------------------- FINANCIAL SERVICES -- 4.9% 76 Citigroup, Inc. 3,673 58 Freddie Mac 3,358 15 Legg Mason, Inc. 1,418 33 Morgan Stanley 1,706 188 The Charles Schwab Corp. 1,936 -------------------------------------------------------------------- 12,091 -------------------------------------------------------------------- FOOD/BEVERAGE PRODUCTS -- 4.0% 83 Sysco Corp. 3,186 133 The Coca-Cola Co. 6,716 -------------------------------------------------------------------- 9,902 -------------------------------------------------------------------- HEALTH CARE/HEALTH CARE SERVICES -- 7.7% 52 Anthem, Inc.* 4,606 75 Guidant Corp. 4,694 39 HCA, Inc. 1,585
SEE NOTES TO FINANCIAL STATEMENTS. 42
SHARES ISSUER VALUE -------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED HEALTH CARE/HEALTH CARE SERVICES -- CONTINUED 72 Laboratory Corp. of America Holdings* $ 2,849 52 Medtronic, Inc. 2,604 66 Omnicare, Inc. 2,717 -------------------------------------------------------------------- 19,055 -------------------------------------------------------------------- INSURANCE -- 2.1% 20 AMBAC Financial Group, Inc. 1,373 22 American International Group, Inc. 1,548 36 Axis Capital Holdings LTD (Bermuda) 992 36 Willis Group Holdings LTD (United Kingdom) 1,300 -------------------------------------------------------------------- 5,213 -------------------------------------------------------------------- INTERNET SERVICES/SOFTWARE -- 2.9% 24 eBay, Inc.* 1,884 67 InterActiveCorp* 2,142 64 Yahoo!, Inc.* 3,239 -------------------------------------------------------------------- 7,265 -------------------------------------------------------------------- MULTI-MEDIA -- 3.2% 56 Comcast Corp., Special Class A* 1,612 280 Liberty Media Corp., Class A* 3,058 137 The DIRECTV Group, Inc.* 2,449 32 The Walt Disney Co. 725 -------------------------------------------------------------------- 7,844 -------------------------------------------------------------------- OIL & GAS -- 1.7% 30 Anadarko Petroleum Corp. 1,608 44 ENSCO International, Inc. 1,215 25 Schlumberger LTD 1,434 -------------------------------------------------------------------- 4,257 -------------------------------------------------------------------- PHARMACEUTICALS -- 12.5% 42 Abbott Laboratories 1,844 43 Eli Lilly & Co. 3,138 44 Forest Laboratories, Inc.* 2,856 150 Johnson & Johnson 8,127 372 Pfizer, Inc. 13,307 35 Sepracor, Inc.* 1,649 -------------------------------------------------------------------- 30,921 -------------------------------------------------------------------- RESTAURANTS/FOOD SERVICES -- 0.5% 23 P.F. Chang's China Bistro, Inc.* 1,143 RETAILING -- 10.2% 47 CDW Corp. $ 2,937 44 Family Dollar Stores, Inc. 1,398 162 Home Depot, Inc. 5,697 89 MSC Industrial Direct Co., Class A 2,556 59 Ross Stores, Inc. 1,800 74 Staples, Inc. 1,914 85 Target Corp. 3,699 96 Wal-Mart Stores, Inc. 5,444 -------------------------------------------------------------------- 25,445 -------------------------------------------------------------------- SEMI-CONDUCTORS -- 7.7% 123 Altera Corp.* 2,459 65 Analog Devices, Inc. 2,752 164 Applied Materials, Inc.* 2,990 361 Intel Corp. 9,284 45 Linear Technology Corp. 1,610 -------------------------------------------------------------------- 19,095 -------------------------------------------------------------------- SHIPPING/TRANSPORTATION -- 0.3% 11 United Parcel Service, Inc., Class B 744 STEEL -- 0.4% 36 United States Steel Corp. 1,031 TELECOMMUNICATIONS -- 1.7% 139 Crown Castle International Corp.* 1,938 95 Nextel Communications, Inc., Class A* 2,266 -------------------------------------------------------------------- 4,204 -------------------------------------------------------------------- TELECOMMUNICATIONS EQUIPMENT -- 1.1% 117 Corning, Inc.* 1,287 76 Motorola, Inc. 1,380 -------------------------------------------------------------------- 2,667 -------------------------------------------------------------------- Total Common Stocks 244,733 (Cost $230,568) -------------------------------------------------------------------- SHORT-TERM INVESTMENT -- 1.6% MONEY MARKET FUND -- 1.6% 3,882 JPMorgan Prime Money Market Fund (a) 3,882 (Cost $3,882) -------------------------------------------------------------------- TOTAL INVESTMENTS -- 100.0% $ 248,615 (COST $234,450) --------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 43
SHARES ISSUER VALUE -------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- 98.0% COMMON STOCKS -- 98.0% AEROSPACE -- 2.0% 247 Raytheon Co. $ 7,965 APPAREL -- 1.7% 182 Jones Apparel Group, Inc. 6,643 AUTOMOTIVE -- 1.9% 138 Johnson Controls, Inc. 7,571 BANKING -- 8.9% 159 Bank of America Corp. 12,797 106 North Fork Bancorporation, Inc. 3,935 199 The Bank of New York Co., Inc. 5,799 183 U.S. Bancorp 4,695 141 Wells Fargo & Co. 7,972 -------------------------------------------------------------------- 35,198 -------------------------------------------------------------------- BUSINESS SERVICES -- 2.1% 357 Accenture LTD (Bermuda), Class A* 8,493 CHEMICALS -- 2.3% 247 Praxair, Inc. 9,028 COMPUTERS/COMPUTER HARDWARE -- 2.7% 213 Hewlett-Packard Co. 4,186 73 International Business Machines Corp. 6,399 -------------------------------------------------------------------- 10,585 -------------------------------------------------------------------- CONSTRUCTION MATERIALS -- 1.9% 73 American Standard Companies, Inc.* 7,626 CONSUMER PRODUCTS -- 2.6% 146 Altria Group, Inc. 8,075 36 Black & Decker Corp. 2,077 -------------------------------------------------------------------- 10,152 -------------------------------------------------------------------- DIVERSIFIED -- 4.0% 220 General Electric Co. 6,589 333 Tyco International LTD (Bermuda) 9,128 -------------------------------------------------------------------- 15,717 -------------------------------------------------------------------- FINANCIAL SERVICES -- 15.4% 256 CIT Group, Inc. $ 8,788 413 Citigroup, Inc. 19,869 57 Fannie Mae 3,924 68 Freddie Mac 3,995 107 Goldman Sachs Group, Inc. 10,354 264 Janus Capital Group, Inc. 4,013 120 Merrill Lynch & Co., Inc. 6,481 100 Washington Mutual, Inc. 3,943 -------------------------------------------------------------------- 61,367 -------------------------------------------------------------------- FOOD/BEVERAGE PRODUCTS -- 1.5% 181 Kraft Foods, Inc., Class A 5,970 HEALTH CARE/HEALTH CARE SERVICES -- 0.5% 49 HCA, Inc. 1,991 INSURANCE -- 8.1% 144 AMBAC Financial Group, Inc. 9,921 187 RenaissanceRe Holdings LTD (Bermuda) 9,827 113 Torchmark Corp. 5,881 183 Willis Group Holdings LTD (United Kingdom) 6,645 -------------------------------------------------------------------- 32,274 -------------------------------------------------------------------- MANUFACTURING -- 2.2% 139 Honeywell International, Inc. 4,792 179 Timken Co. 3,938 -------------------------------------------------------------------- 8,730 -------------------------------------------------------------------- METALS/MINING -- 2.1% 275 Alcoa, Inc. 8,441 MULTI-MEDIA -- 4.7% 141 Comcast Corp., Special Class A* 4,099 104 Gannett Co., Inc. 9,024 514 Liberty Media Corp., Class A* 5,623 -------------------------------------------------------------------- 18,746 -------------------------------------------------------------------- OIL & GAS -- 13.0% 111 Baker Hughes, Inc. 4,064 80 ChevronTexaco Corp. 7,328
SEE NOTES TO FINANCIAL STATEMENTS. 44 SEMI-ANNUAL REPORT APRIL 30 2004
SHARES ISSUER VALUE -------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED OIL & GAS -- CONTINUED 216 ConocoPhillips $ 15,415 47 Cooper Cameron Corp.* 2,272 63 Devon Energy Corp. 3,856 328 Exxon Mobil Corp. 13,974 189 GlobalSantaFe Corp. 4,979 -------------------------------------------------------------------- 51,888 -------------------------------------------------------------------- PACKAGING -- 2.0% 462 Smurfit-Stone Container Corp.* 7,947 PHARMACEUTICALS -- 2.7% 117 Johnson & Johnson 6,300 113 Wyeth 4,312 -------------------------------------------------------------------- 10,612 -------------------------------------------------------------------- REAL ESTATE INVESTMENT TRUST -- 1.0% 144 Archstone-Smith Trust 3,955 RESTAURANTS/FOOD SERVICES -- 1.7% 245 McDonald's Corp. 6,680 RETAILING -- 4.7% 180 CVS Corp. 6,938 229 Safeway, Inc.* 5,256 264 The TJX Companies, Inc. 6,479 -------------------------------------------------------------------- 18,673 -------------------------------------------------------------------- TELECOMMUNICATIONS -- 4.6% 259 SBC Communications, Inc. 6,441 308 Verizon Communications, Inc. 11,640 -------------------------------------------------------------------- 18,081 -------------------------------------------------------------------- UTILITIES -- 3.7% 72 Entergy Corp. 3,931 62 FPL Group, Inc. 3,944 163 PPL Corp. 6,985 -------------------------------------------------------------------- 14,860 -------------------------------------------------------------------- Total Common Stocks 389,193 (Cost $369,199) -------------------------------------------------------------------- SHORT-TERM INVESTMENT -- 2.0% MONEY MARKET FUND -- 2.0% 7,838 JPMorgan Prime Money Market Fund (a) $ 7,838 (Cost $7,838) -------------------------------------------------------------------- TOTAL INVESTMENTS -- 100.0% $ 397,031 (COST $377,037) --------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 45 JPMORGAN TAX AWARE SHORT-INTERMEDIATE INCOME FUND PORTFOLIO OF INVESTMENTS AS OF APRIL 30, 2004 (Unaudited) (Amounts in thousands)
SHARES ISSUER VALUE -------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- 97.4% PREFERRED STOCK -- 0.5% 3 Pinto Totta International Finance 7.77%, FRN # $ 3,832 (Cost $3,903) PRINCIPAL AMOUNT -------------------------------------------------------------------------------- U.S. TREASURY SECURITIES -- 0.0% ^ $ 200 U.S. Treasury Notes & Bonds, 2.00%, 08/31/05 @ + 200 (Cost $201) STATE AND MUNICIPAL OBLIGATIONS -- 83.4% ALABAMA -- 0.3% 1,000 Alabama State Docks Department, Dock Facilities, Rev., MBIA, 6.00%, 10/01/06 + 1,095 1,000 Alabama State Public School & Colleges Authority, Capital Improvement, Ser. D, Rev., 5.25%, 08/01/06 + 1,072 -------------------------------------------------------------------- 2,167 -------------------------------------------------------------------- ARIZONA -- 3.3% 1,500 Maricopa County Pollution Control Corp., PCR, Southern California Edison Co., Ser. A, Rev., Adj., 2.90%, 06/01/35 1,468 1,000 Maricopa County School District No. 6-Washington Elementary, Ser. B, GO, 7.10%, 07/01/06 1,105 7,300 Maricopa County Unified School District No. 97-Deer Valley, GO, FGIC, 5.00%, 07/01/10 7,956 2,000 Northern Arizona University, Rev., FGIC, 4.00%, 06/01/06 2,085 2,900 Peoria Municipal Development Authority, Inc., Rev., AMBAC, 5.00%, 07/01/06 3,091 6,165 Salt River Project Agricultural Improvement & Power District, Electric Systems, Ser. D, Rev., 5.00%, 01/01/09 6,703 1,795 Tempe, Arizona, GO, 5.00%, 07/01/08 1,951 -------------------------------------------------------------------- 24,359 -------------------------------------------------------------------- CALIFORNIA -- 3.1% $ 5,000 California Pollution Control Financing Authority, Ser. D, Rev., Adj., 2.00%, 02/28/08 $ 4,947 7,000 California State Department of Water Resources, Power Supply, Ser. A, Rev., MBIA, 5.25%, 05/01/10 + 7,704 1,000 California State, GO, 7.00%, 08/01/07 + 1,128 3,500 California Statewide Communities Development Authority, Kaiser Permanente, Ser. F, Rev., Adj., 2.30%, 04/01/33 + 3,449 1,000 Central Valley School District Financing Authority, Ser. A, Rev., MBIA, 6.20%, 02/01/10 + 1,147 3,500 Sacramento County Sanitation District, Ser. A, Rev., 5.88%, 12/01/27 3,751 1,000 Santa Clara County Financing Authority, Measure B Transportation Improvement Program, Rev., 4.00%, 08/01/05 1,032 -------------------------------------------------------------------- 23,158 -------------------------------------------------------------------- COLORADO -- 2.5% 10,000 Colorado Department of Transportation, RAN, AMBAC, 5.75%, 06/15/07 + 11,024 1,540 Colorado Department of Transportation, Ser. A, TRAN, Rev., 5.00%, 06/15/06 + 1,639 2,000 E-470 Public Highway Authority, Senior Ser. C, Rev., MBIA, 6.00%, 09/01/06 + 2,185 4,040 Regional Transportation District, Transit Vehicles, COP, Ser. A, Adj., AMBAC, 2.30%, 12/01/22 3,984 -------------------------------------------------------------------- 18,832 -------------------------------------------------------------------- CONNECTICUT -- 0.7% 2,000 Connecticut Resource Recovery Authority, American Ref-Fuel Co., Ser. A, Rev., MBIA, 5.50%, 11/15/05 + 2,110 3,500 Connecticut State Development Authority, PCR, Ser. A, Rev., Adj., AMBAC, 3.35%, 05/01/31 + 3,464 -------------------------------------------------------------------- 5,574 --------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 46 SEMI-ANNUAL REPORT APRIL 30 2004
PRINCIPAL AMOUNT ISSUER VALUE -------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED DISTRICT OF COLUMBIA -- 0.3% $ 2,000 Washington Metropolitan Area Transit Authority, Rev., FGIC, 6.00%, 07/01/07 $ 2,219 FLORIDA -- 1.0% 4,145 Dade County School District, GO, AMBAC, 5.20%, 07/15/06 + 4,443 1,000 Escambia County Health Facilities Authority, Ascension Health Credit, Ser. A, Rev., 5.00%, 11/15/06 + 1,069 1,855 Escambia County Health Facilities Authority, Ascension Health Credit, Ser. A-1, Rev., (p), AMBAC, 5.75%, 11/15/09 + 2,110 -------------------------------------------------------------------- 7,622 -------------------------------------------------------------------- GEORGIA -- 0.2% 1,680 Fulco Hospital Authority, Health Systems, Catholic Health East, Ser. A, Rev., RAC, MBIA, 5.50%, 11/15/08 + 1,869 HAWAII -- 1.0% 4,570 Hawaii State, Ser. CV, GO, FGIC, 5.50%, 08/01/10 + 5,105 1,850 Honolulu City & County, Ser. A, GO, FGIC, 7.35%, 07/01/06 + 2,059 -------------------------------------------------------------------- 7,164 -------------------------------------------------------------------- ILLINOIS -- 8.8% 2,500 Chicago Metropolitan Water Reclamation District-Greater Chicago, GO, 5.85%, 12/01/05 + 2,661 5,500 Chicago School Finance Authority, Ser. A, GO, FGIC, 5.30%, 06/01/07 + 5,975 10,020 Chicago School Finance Authority, Ser. C, GO, FSA, 5.50%, 06/01/07 + 10,944 3,860 Cook County, Ser. B, GO, MBIA, 5.00%, 11/15/09 + 4,213 3,750 Du Page Water Commission, Rev., 5.00%, 05/01/06 + 3,977 1,015 Grundy County School District No. 54 Morris, Ser. A, GO, AMBAC, 5.50%, 12/01/08 + 1,130 $ 4,000 Illinois Development Finance Authority, PCR, Gas Supply, Peoples Gas Light & Coke, Ser. B, Rev., Adj., AMBAC, 3.05%, 02/01/33 + $ 4,003 2,500 Illinois Development Finance Authority, PCR, Illinois Power Company Project, Ser. A, Rev., (p), 7.38%, 07/01/06 + 2,830 1,350 Illinois Health Facilities Authority, University of Chicago Hospital System, Rev., MBIA, 5.00%, 08/15/07 + 1,455 5,000 Illinois State, 1st Ser., GO, 5.00%, 08/01/07 + 5,398 5,500 Illinois State, GO, FGIC, 5.13%, 12/01/10 + 5,866 1,400 Illinois State, Sales Tax, Rev., 4.00%, 06/15/06 + 1,461 2,750 Illinois State, Ser. A, GO, 5.00%, 10/01/10 + 2,990 9,000 Northern Illinois University, Auxiliary Facilities Systems, Rev., (p), FGIC, 5.75%, 04/01/07 9,892 3,060 University Of Illinois, Utility Infrastructure Projects, COP, AMBAC, 5.00%, 08/15/11 3,320 -------------------------------------------------------------------- 66,115 -------------------------------------------------------------------- INDIANA -- 1.8% 3,500 Indiana Transportation Finance Authority, Airport Facilities Lease, Ser. A, Rev., AMBAC, 6.00%, 11/01/06 + 3,837 7,315 Indianapolis, Indiana, Gas Utility, Distribution Systems, Ser. A, Rev., AMBAC, 5.75%, 08/15/08 8,173 1,010 St. Joseph County Hospital Authority, Health System, Ser. A, Rev., MBIA, 5.50%, 08/15/08 1,110 -------------------------------------------------------------------- 13,120 -------------------------------------------------------------------- IOWA -- 0.3% 1,895 Iowa Finance Authority, Hospital Facility, Health System, Ser. A, Rev., MBIA, 5.25%, 07/01/07 2,034
SEE NOTES TO FINANCIAL STATEMENTS. 47
PRINCIPAL AMOUNT ISSUER VALUE -------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED KENTUCKY -- 0.1% $ 825 Owensboro, Kentucky, Electric Light & Power, Rev., (p), 6.85%, 01/01/08 $ 908 LOUISIANA -- 0.7% 5,000 Louisiana State, Ser. 2003A, GO, FGIC, 5.25%, 05/01/07 5,422 MARYLAND -- 5.1% 5,000 Maryland State Department of Transportation County Transportation, Rev., 5.00%, 11/01/09 5,475 2,000 Maryland State Health & Higher Educational Facilities Authority, Johns Hopkins Hospital, Ser. A, Rev., 4.50%, 08/01/05 2,071 11,525 Maryland State, State and Local Facilities, Second Series, GO, 5.00%, 08/01/07 12,513 4,000 Northeast Waste Disposal Authority, Solid Waste, Montgomery County Resource Recovery Project, Ser. A, Rev., 6.00%, 07/01/07 4,335 12,440 University System of Maryland, Auxiliary Facilities & Tuition, Ser. A, Rev., 5.00%, 04/01/08 13,494 -------------------------------------------------------------------- 37,888 -------------------------------------------------------------------- MASSACHUSETTS -- 4.9% 2,000 Boston, Massachusetts, Ser. A, GO, 5.00%, 01/01/10 + 2,180 1,400 Holyoke, Massachusetts, Ser. B, GO, FSA, 6.00%, 06/15/06 + 1,518 5,000 Massachusetts Development Finance Agency, Higher Education, Smith College Issue, Rev., (p), 5.75%, 07/01/10 5,736 5,000 Massachusetts State, CONS, Ser. B, GO, (p), 6.00%, 06/01/10 5,740 1,000 Massachusetts State, CONS, Ser. D, GO, 5.25%, 08/01/07 1,082 3,365 Massachusetts State, CONS, Ser. D, GO, (p), 5.25%, 11/01/06 3,666 $ 12,000 Massachusetts State, Ser. A, GO, 5.38%, 08/01/08 $ 13,141 3,000 Massachusetts State, Ser. A, GO, 6.00%, 11/01/06 3,278 -------------------------------------------------------------------- 36,341 -------------------------------------------------------------------- MICHIGAN -- 2.3% 1,605 Detroit, Michigan, Sewer Disposal, Ser. A, Rev., MBIA, (p), 5.00%, 07/01/05 + 1,674 1,050 L'Anse Creuse Public Schools, School Buildings & Site, GO, 5.50%, 05/01/08 1,159 1,000 Michigan Higher Education Student Loan Authority, Student Loan, Ser. XVII-I, Rev., AMBAC, 3.30%, 03/01/09 996 4,005 Michigan Municipal Bond Authority, Local Government Loan Program, Ser. C, Rev., 5.00%, 05/01/11 4,364 1,000 Michigan State Hospital Finance Authority, Ascension Health Credit, Ser. A, Rev., (p), MBIA, 5.75%, 11/15/09 1,143 1,000 Michigan State Hospital Finance Authority, Ascension Health Credit, Ser. B, Rev., Adj., 5.20%, 11/15/33 1,053 3,000 Michigan State Hospital Finance Authority, Ascension Health Credit, Ser. B, Rev., Adj., 5.38%, 11/15/33 3,285 1,000 Michigan State, GO, 5.25%, 12/01/10 1,109 1,000 Michigan Strategic Fund, Dow Chemical Project, Rev., Adj., 4.60%, 06/01/14 1,052 1,400 Romulus Township Community Schools, GO, (p), FGIC, 5.75%, 05/01/09 1,582 -------------------------------------------------------------------- 17,417 -------------------------------------------------------------------- MINNESOTA -- 0.9% 1,000 Minnesota Housing Finance Agency, Residential Housing, Ser. K-1, Rev., 2.25%, 07/01/17 985 5,000 Minnesota State, GO, 5.00%, 08/01/10 5,484 -------------------------------------------------------------------- 6,469 --------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 48
PRINCIPAL AMOUNT ISSUER VALUE -------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED MISSISSIPPI -- 0.3% $ 2,300 Mississippi Business Finance Corp., Solid Waste Disposal, Waste Management, Inc. Project, Rev., Adj., 2.30%, 03/01/27 $ 2,262 NEBRASKA -- 0.1% 850 Omaha Public Power District, Nebraska Electric, Omaha Public Power System, Ser. B, Rev., 4.50%, 02/01/09 903 NEVADA -- 1.3% 5,000 Clark County School District, Building, Ser. C, GO, MBIA, 5.00%, 06/15/10 + 5,458 3,795 University Of Nevada, Community College System, Ser. A, Rev., FSA, 5.00%, 07/01/07 4,098 -------------------------------------------------------------------- 9,556 -------------------------------------------------------------------- NEW JERSEY -- 6.4% 1,280 Essex County, Ser. A-1, GO, FGIC, 6.00%, 11/15/05 + 1,367 5,000 Garden State Preservation Trust, Ser. A, Rev., FSA, 5.50%, 11/01/13 + 5,606 2,595 New Jersey Building Authority, Rev., 5.50%, 06/15/06 @ 2,788 12,150 New Jersey Economic Development Authority, School Facilities Construction, Ser. G, Rev., 5.00%, 09/01/09 13,222 2,000 New Jersey State Transit Corp., Ser. B, Rev., GAN, AMBAC, 5.50%, 02/01/06 2,125 11,575 New Jersey State, Ser. J, GO, 5.00%, 07/15/08 12,571 2,000 New Jersey Transportation Trust Fund Authority, Transportation Systems, Ser. C, Rev., 5.38%, 12/15/07 2,189 2,910 Perth Amboy, New Jersey, General Improvement, GO, FSA, 5.00%, 09/01/06 3,111 1,530 Perth Amboy, New Jersey, General Improvement, GO, FSA, 5.10%, 09/01/07 1,662 3,165 Perth Amboy, New Jersey, General Improvement, GO, FSA, 5.20%, 09/01/08 3,474 -------------------------------------------------------------------- 48,115 -------------------------------------------------------------------- NEW MEXICO -- 0.1% $ 1,000 New Mexico State Highway Commission, Sub Lien, Ser. B, Rev., 5.00%, 06/15/06 $ 1,064 NEW YORK -- 12.4% 9,000 Long Island Power Authority, Electric Systems, Rev., MBIA, 5.00%, 04/01/08 9,741 1,400 Long Island Power Authority, Electric Systems, Ser. 8, Sub Ser. 8-F, Rev., Adj., MBIA, 5.00%, 04/01/11 1,478 1,280 Long Island Power Authority, Electric Systems, Ser. B, Rev., 5.00%, 06/01/05 1,323 3,500 Long Island Power Authority, Electric Systems, Ser. B, Rev., 5.00%, 06/01/06 3,685 2,500 Municipal Assistance Corp. for the City of New York, Ser. G, Rev., 6.00%, 07/01/06 2,716 1,300 Municipal Assistance Corp. for the City of New York, Ser. O, Rev., 5.25%, 07/01/08 1,426 1,350 Nassau County Interim Finance Authority, Sales Tax Secured, Ser. A, Rev., AMBAC, 4.00%, 11/15/08 1,414 700 Nassau County Interim Finance Authority, Sales Tax Secured, Ser. A, Rev., AMBAC, 5.00%, 11/15/09 764 2,000 New York City Health & Hospital Corp., Health Systems, Ser. A, Rev., AMBAC, 5.00%, 02/15/09 2,160 5,000 New York City Municipal Water Finance Authority, Water & Sewer System, Ser. B, Rev., MBIA, 5.80%, 06/15/29 5,512 2,615 New York City Transitional Finance Authority, Future Tax Secured, Ser. A, Rev., 5.00%, 08/01/07 2,826 800 New York City, New York, Ser. B, GO, 5.10%, 08/01/08 853 5,000 New York City, New York, Ser. D, GO, MBIA, 6.20%, 02/01/07 5,501 1,400 New York City, New York, Ser. F, GO, 5.70%, 08/01/06 1,504 3,000 New York City, New York, Ser. G, GO, 5.00%, 08/01/07 3,206 5,000 New York City, New York, Ser. G, GO, MBIA, 5.00%, 08/01/10 5,403
SEE NOTES TO FINANCIAL STATEMENTS. 49
PRINCIPAL AMOUNT ISSUER VALUE -------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED NEW YORK -- CONTINUED $ 1,800 New York Convention Center Operating Corp., Yale Building Acquisition Project, COP, 5.25%, 06/01/08 $ 1,862 1,000 New York State Dormitory Authority, City University System, Ser. E, Rev, 5.75%, 07/01/06 1,075 2,530 New York State Dormitory Authority, Department of Health, Ser. 2, Rev., 5.00%, 07/01/09 2,715 2,940 New York State Dormitory Authority, Department of Health, Ser. 2, Rev., 5.00%, 07/01/10 3,150 8,505 New York State Dormitory Authority, Fourth Generation, City University System, Ser. A, Rev., CONS, 5.00%, 07/01/06 9,009 1,310 New York State Dormitory Authority, State Department of Health, Rev., 5.25%, 07/01/08 1,427 6,000 New York State Thruway Authority, Service Contract, Local Highway & Bridge, Ser. A, Rev., 5.00%, 03/15/09 6,472 15,535 New York State Urban Development Corp., Correctional & Youth Facilities Services, Ser. A, Rev., 5.25%, 01/01/21 16,805 1,835 Triborough Bridge & Tunnel Authority, General Purpose, Ser. SR, Rev., (p), 5.00%, 01/01/07 1,920 -------------------------------------------------------------------- 93,947 -------------------------------------------------------------------- NORTH CAROLINA -- 0.8% 2,500 Guilford County, GO, 4.00%, 10/01/22 + 2,629 500 North Carolina Municipal Power Agency No. 1, Catawba, Taxable, Ser. B, Rev., 3.26%, 01/01/05 503 2,500 North Carolina State, Public Improvement, Ser. A, GO, (p), 5.10%, 09/01/10, 2,812 -------------------------------------------------------------------- 5,944 -------------------------------------------------------------------- OHIO -- 3.6% $ 5,000 Columbus, Ohio, GO, 5.00%, 01/01/07 + $ 5,347 2,000 Columbus, Ohio, GO, 5.25%, 01/01/08 + 2,184 2,035 Columbus, Ohio, Water System, Rev., 5.00%, 11/01/05 + 2,138 3,500 Gateway Economic Development Corporation, Greater Cleveland Excise Tax, Senior Lien, FSA, 5.13%, 09/01/05 + 3,656 2,500 Ohio State Air Quality Development Authority, Ohio Edison Project, Ser. A, Rev., Adj., AMBAC, 3.25%, 02/01/15 2,515 500 Ohio State Air Quality Development Authority, Pollution Control, Ohio Edison Project, Ser. C, Rev., Adj., 5.80%, 06/01/16 509 2,500 Ohio State Water Development Authority, PCR, Rev., 4.00%, 12/01/06 2,627 2,600 Ohio State, Common School Capital Facilities, Ser. A, GO, 5.75%, 06/15/06 2,810 5,000 Ohio State, Highway Capital Improvements, Ser. F, GO, 5.25%, 05/01/09 5,511 -------------------------------------------------------------------- 27,297 -------------------------------------------------------------------- OREGON -- 1.2% 7,960 Oregon State Department of Administrative Services, Rev., FSA, 5.00%, 09/01/08 8,672 PENNSYLVANIA -- 1.5% 2,000 Beaver County IDA, PCR, Ohio Edison Co. Project, Ser. A, Rev., Adj., 4.65%, 06/01/04 2,003 2,980 Pennsylvania State, 2nd Ser., GO, 5.00%, 10/01/06 3,193 2,000 Philadelphia, Pennsylvania, Water & Wastewater Systems, Ser. 1999, Rev., AMBAC, 5.00%, 12/15/05 2,106
SEE NOTES TO FINANCIAL STATEMENTS. 50
PRINCIPAL AMOUNT ISSUER VALUE -------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED PENNSYLVANIA -- CONTINUED $ 1,000 Pittsburgh, Pennsylvania, Ser. 2002-2004, 2006, 2008 & 2009, GO, AMBAC, 5.00%, 09/01/06 $ 1,063 2,540 Pittsburgh, Pennsylvania, Ser. A, GO, MBIA, 6.00%, 03/01/06 2,729 -------------------------------------------------------------------- 11,094 -------------------------------------------------------------------- PUERTO RICO -- 1.9% 5,000 Puerto Rico Commonwealth, Ser. C, Adj., GO, MBIA, 5.00%, 07/01/28 5,433 5,000 Puerto Rico Commonwealth, Ser.A, GO, FSA, 5.00%, 07/01/31 5,433 3,000 Puerto Rico Highway & Transportation Authority, Ser. AA, Rev., 5.00%, 07/01/07 3,223 -------------------------------------------------------------------- 14,089 -------------------------------------------------------------------- SOUTH CAROLINA -- 0.6% 2,000 South Carolina State, Capital Improvement, Ser. A, GO, 5.00%, 01/01/09 2,182 2,000 South Carolina Transportation Infrastructure Bank, Ser. A, Rev., MBIA, 5.00%, 10/01/10 2,177 -------------------------------------------------------------------- 4,359 -------------------------------------------------------------------- TEXAS -- 7.0% 1,065 Bexar County Health Facilities Development Corp., Baptist Memorial Hospital System Project, Rev., MBIA, (p), 6.63%, 08/15/04 + 1,103 2,000 Brazos River Authority, PCR, Utilities Electric Co., Ser. B, Rev., Adj., 5.05%, 06/01/30 + 2,083 2,500 Brazos River Harbor Navigation District, Brazoria County Environmental, Dow Chemical Co. Project, Ser. A-3, Rev., Adj., 4.95%, 05/15/33 + 2,654 2,265 Harris County, Criminal Justice Center, GO, 4.00%, 10/01/09 + 2,357 7,640 Harris County, Criminal Justice Center, GO, (p), FGIC, 5.63%, 10/01/06 + 8,306 $ 3,985 Harris County, Roads, Ser. A, GO, 4.50%, 10/01/09 + $ 4,245 2,990 Houston, Texas, Hotel Occupancy Tax, Convention & Entertainment, Ser. A, Rev., AMBAC, 5.00%, 09/01/06 + 3,187 3,485 Lower Colorado River Authority, Refinancing & Improvement, Ser. A, Rev., MBIA, 5.00%, 05/15/09 3,787 2,790 Lower Colorado River Authority, Transmission Contract, Rev., FSA, 5.00%, 05/15/07 3,000 2,475 Matagorda County Navigation District No 1, PCR, Central Power & Light Co., Ser. A, Rev., Adj, 4.55%, 11/01/29 2,558 6,250 North Texas Tollway Authority, Dallas North Tollway Systems, Ser. C, Rev., Adj., FGIC, 5.00%, 01/01/18 6,750 2,855 Nueces County, GO, AMBAC, 5.00%, 02/15/09 + 3,096 2,500 Texas State, Ser. A, GO, 6.00%, 10/01/05 2,655 3,000 Travis County Health Facilities Development Corp., Ascension Health Credit, Ser. A, Rev., MBIA, 5.75%, 11/15/07 3,278 3,025 University of Houston, CONS, Ser. B, Rev., FSA, 5.00%, 02/15/06 3,186 -------------------------------------------------------------------- 52,245 -------------------------------------------------------------------- UTAH -- 1.2% 8,000 Intermountain Power Agency, Utah Power Supply, Rev., AMBAC, 5.00%, 07/01/08 8,672 VERMONT -- 0.7% 4,500 Vermont State, Ser. A, GO, 5.00%, 02/01/11 4,893 VIRGINIA -- 1.8% 2,000 Big Stone Gap Redevelopment & Housing Authority, Correctional Facilities Lease, Rev., 5.00%, 09/01/07 + 2,164
SEE NOTES TO FINANCIAL STATEMENTS. 51
PRINCIPAL AMOUNT ISSUER VALUE -------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED VIRGINIA -- CONTINUED $ 2,000 Louisa IDA, Solid Waste & Sewer Disposal, Electric & Power Co. Project, Ser. A, Rev., Adj., 2.30%, 03/01/31 $ 2,000 800 Norfolk, Virginia, GO, MBIA, 5.00%, 06/01/09 874 2,610 Peninsula Ports Authority, Dominion Terminal Association Project, Rev., Adj., 3.30%, 10/01/33 2,607 5,000 Richmond, Virginia, Ser. B, GO, FSA, 5.00%, 07/15/10 5,463 -------------------------------------------------------------------- 13,108 -------------------------------------------------------------------- WASHINGTON -- 4.7% 5,000 Clark County Public Utility District No. 1, Generating Systems, Rev., FGIC, (p), 6.00%, 01/01/07 + 5,472 1,070 Conservation & Renewable Energy System, Conservation Project, Rev., 5.00%, 10/01/06 + 1,143 1,175 Conservation & Renewable Energy System, Conservation Project, Rev., 5.00%, 10/01/07 + 1,268 2,200 Lewis County Public Utility District No. 1, Cowlitz Falls Hydroelectric Facilities, Rev., 5.00%, 10/01/06 2,349 3,170 Port of Seattle, Ser. B, GO, FSA, 5.00%, 11/01/09 3,418 11,100 Port of Seattle, Ser. C, GO, FSA, 5.25%, 11/01/11 12,066 2,000 Snohomish County Public Utility District No. 1, Electric, Rev., 5.00%, 12/01/05 2,099 2,160 Snohomish County School District No. 15 Edmonds, Ser. B, GO, FSA, 5.00%, 12/01/06 2,314 3,275 Snohomish County, Limited Tax, GO, 5.00%, 12/01/08 3,555 1,310 Tacoma, Washington, Conservation System Project, Rev., 5.00%, 12/01/07 1,418 -------------------------------------------------------------------- 35,102 -------------------------------------------------------------------- WISCONSIN -- 0.5% $ 2,500 Wisconsin State Health & Educational Facilities Authority, Ministry Health Care, Inc., Ser. B, Rev., 3.50%, 05/15/07 $ 2,516 1,035 Wisconsin State, Ser. C, GO, MBIA, 5.00%, 05/01/07 1,115 -------------------------------------------------------------------- 3,631 -------------------------------------------------------------------- Total State and Municipal Obligations 623,631 (Cost $629,012) -------------------------------------------------------------------- CORPORATE NOTES & BONDS -- 7.9% AUTOMOTIVE -- 0.4% 2,760 General Motors Acceptance Corp., 6.75%, 01/15/06 + 2,923 BANKING -- 0.8% KorAm Bank (South Korea) 2,650 4.68%, 06/18/13 2,624 2,200 6.95%, 12/06/11 2,372 1,100 Independence Community Bank Corp., 3.75%, 04/01/14, FRN + 1,054 -------------------------------------------------------------------- 6,050 -------------------------------------------------------------------- COMPUTERS/COMPUTER HARDWARE -- 0.1% 750 Hewlett-Packard Co., 3.63%, 03/15/08 + 748 CONSUMER PRODUCTS -- 0.4% 2,650 Diageo Finance BV (The Netherlands), 3.00%, 12/15/06 + 2,646 FINANCIAL SERVICES -- 3.3% 3,550 BNP US Funding LLC, 7.74%, 12/31/49, FRN, # + 4,014 1,000 Capital One Bank, 4.25%, 12/01/08 + 991 5,350 Capital One Financial Corp., 8.75%, 02/01/07 + 5,991 1,200 CIT Group, Inc., 4.00%, 05/08/08 + 1,201 4,650 Countrywide Home Loans, Inc., 2.88%, 02/15/07, Ser. L, MTN + 4,585 400 Credit Suisse First Boston USA, Inc., 5.75%, 04/15/07 + 427
SEE NOTES TO FINANCIAL STATEMENTS. 52
PRINCIPAL AMOUNT ISSUER VALUE -------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED FINANCIAL SERVICES -- CONTINUED $ 400 International Lease Finance Corp., 4.00%, 01/17/06, Ser. O, MTN $ 410 1,200 MBNA Corp., 4.63%, 09/15/08 1,211 1,300 Mizuho JGB Investment LLC, 9.87%, 12/31/49, FRN, # 1,502 3,100 Natexis AMBS Co., LLC, 8.44%, 12/29/49, FRN, # 3,575 1,075 Sovereign BanCorp., Inc., 10.50%, 11/15/06 1,254 -------------------------------------------------------------------- 25,161 -------------------------------------------------------------------- TELECOMMUNICATIONS -- 1.7% 1,750 France Telecom (France), 8.20%, 03/01/06 + 1,903 1,950 Deutsche Telekom International Finance (Germany), 8.25%, 06/15/05 + 2,076 1,600 Telecom Italia Capital SA (Luxembourg), 4.00%, 11/15/08, # 1,586 Sprint Capital Corp., 1,855 6.00%, 01/15/07 1,972 1,400 7.13%, 01/30/06 1,502 3,400 Verizon Wireless Capital LLC., 5.38%, 12/15/06 3,587 -------------------------------------------------------------------- 12,626 -------------------------------------------------------------------- UTILITIES -- 1.2% 1,400 FPL Group Capital, Inc., 1.88%, 03/30/05 + 1,401 6,480 National Rural Utilities Cooperative Finance Corp., 6.00%, 05/15/06 6,905 800 Public Service Co. of Colorado, 4.38%, 10/01/08 810 -------------------------------------------------------------------- 9,116 -------------------------------------------------------------------- Total Corporate Notes & Bonds 59,270 (Cost $59,987) -------------------------------------------------------------------- RESIDENTIAL MORTGAGE BACKED SECURITIES -- 2.5% COLLATERALIZED MORTGAGE OBLIGATIONS -- 0.2% $ 1,800 Federal National Mortgage Association, 4.00%, 10/15/21, Ser. 2004-29, Class QC + $ 1,792 MORTGAGE BACKED PASS-THROUGH SECURITIES -- 2.3% 17,800 Federal National Mortgage Association, 5.00%, 05/25/34, TBA + 17,244 -------------------------------------------------------------------- Total Residential Mortgage Backed Securities 19,036 (Cost $19,058) -------------------------------------------------------------------- COMMERCIAL MORTGAGE BACKED SECURITIES -- 0.9% 6,700 LB-UBS Commercial Mortgage Trust, 3.25%, 03/15/29, Ser. 2004-C2, Class A2 6,438 (Cost $6,733) -------------------------------------------------------------------- ASSET BACKED SECURITIES -- 2.2% 4,575 AmeriCredit Automobile Receivables Trust, 3.48%, 05/06/10, Ser. 2003-CF, Class A4 + 4,617 800 Capital One Auto Finance Trust, 3.18%, 09/15/10, Ser. 2003-B, Class A4 + 794 2,350 SLM Student Loan Trust, 2.99%, 12/15/22, Ser. 2003-11, Class A5, # 2,327 5,000 Triad Auto Receivables Owner Trust, 3.20%, 12/13/10, Ser. 2003-B, Class A4 4,965 3,900 Volkswagen Auto Loan Enhanced Trust, 2.94%, 03/22/10, Ser. 2003-2, Class A4 3,872 -------------------------------------------------------------------- Total Asset Backed Securities 16,575 (Cost $16,623) -------------------------------------------------------------------- TOTAL LONG-TERM INVESTMENTS $ 728,982 (COST $735,517) --------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 53
PRINCIPAL AMOUNT ISSUER VALUE -------------------------------------------------------------------------------- SHORT-TERM INVESTMENTS -- 2.6 U.S. TREASURY SECURITY -- 0.0% ^ $ 200 U.S. Treasury Bill, 0.92%, 07/08/04 @ + $ 200 (Cost $200) STATE AND MUNICIPAL SECURITIES -- 1.3% CALIFORNIA -- 0.8% 5,625 California State, Ser. D-1, GO, FRDO, 1.95%, 02/10/05 + 5,618 KANSAS -- 0.1% 1,000 Burlington, Kansas, Environmental Improvement, Kansas City Power & Light Project, Ser. C, Rev., FRDO, 2.25%, 09/01/04 + 1,000 OHIO -- 0.1% 750 Ohio State Air Quality Development Authority, Toledo, Ser. A, Rev., FRDO, 2.20%, 10/01/04 749 OKLAHOMA -- 0.3% $ 2,500 Oklahoma Development Finance Authority, ConocoPhillips Co. Project, Rev., FRDO, 1.35%, 12/01/04 $ 2,498 -------------------------------------------------------------------- Total State and Municipal Securities 9,865 (Cost $9,875) -------------------------------------------------------------------- SHARES -------------------------------------------------------------------------------- MONEY MARKET FUND -- 1.3% 9,741 JPMorgan Tax Free Money Market Fund (a) 9,741 (Cost $9,741) -------------------------------------------------------------------- Total Short-Term Investments 19,806 (Cost $19,816) -------------------------------------------------------------------- TOTAL INVESTMENTS -- 100.0% $ 748,788 (COST $755,333) --------------------------------------------------------------------
FUTURES CONTRACTS (Amounts in thousands, except number of contracts)
NOTIONAL UNREALIZED NUMBER OF VALUE AT APPRECIATION CONTRACTS DESCRIPTION EXPIRATION DATE 4/30/04 (USD) (DEPRECIATION) (USD) -------------------------------------------------------------------------------------------------------- LONG FUTURES OUTSTANDING 71 Euro Bond June, 2004 $ 9,710 $ (108) 545 Euro Dollar December, 2004 133,253 (374) SHORT FUTURES OUTSTANDING (64) 2 Year Treasury Notes June, 2004 (13,603) 61 (279) 5 Year Treasury Notes June, 2004 (30,673) 6 (218) 10 Year Treasury Notes June, 2004 (24,089) 395 --------------------------------------------------------------------------------------------------------
54 OPTIONS
UNITS CALL OPTION WRITTEN VALUE -------------------------------------------------------------------------------------------------------- (18,750) Call Option on Interest Rate Swap, expiring 5/4/04, if exercised the Fund pays fixed 3.71% and receives floating 3 month LIBOR, European Style $ -^^ PUT OPTION WRITTEN (18,750) Put Option on Interest Rate Swap, expiring 5/4/04, if exercised the Fund receives fixed 3.71% and pays floating 3 month LIBOR, European Style (314) -^^ Put Option on Sept. 04 Eurodollar Future, strike price of 98.25, expiring 9/13/04, European Style (108) (18,750) Total Put Options Written $ (422) (total premiums received $316)
SWAP CONTRACTS
UNDERLYING UNREALIZED NOTIONAL APPRECIATION DESCRIPTIONS EXPIRATION DATE VALUE (DEPRECIATION) -------------------------------------------------------------------------------------------------------------------------- Swap-rate lock with Citibank N.A. on 5 Year Forward Contract, rate less 4.09, the Fund receives positive, pays negative 05/04/04 $ 9,375 $ 89 Swap-rate lock with Citibank N.A. on 5 Year Forward Contract, rate less 3.90, the Fund receives positive, pays negative 05/04/04 9,375 -- Swap - price lock with Lehman Brothers Special Financing on U.S. Treasury Note, 3.13%, 10/15/08, price less 98.66, the Fund receives negative, pays positive. 06/14/04 27,220 110 Swap - price lock with Lehman Brothers Special Financing on U.S. Treasury Note, 2.25%, 04/30/06, price less 99.65, the Fund receives negative, pays positive. 06/29/04 86,400 (15)
SEE NOTES TO FINANCIAL STATEMENTS. 55 JPMORGAN TAX AWARE U.S. EQUITY FUND PORTFOLIO OF INVESTMENTS AS OF APRIL 30, 2004 (Unaudited) (Amounts in thousands)
SHARES ISSUER VALUE -------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- 98.6% COMMON STOCKS -- 98.6% AEROSPACE -- 2.1% 345 Raytheon Co. $ 11,129 91 United Technologies Corp. 7,850 -------------------------------------------------------------------- 18,979 -------------------------------------------------------------------- AUTOMOTIVE -- 1.0% 162 Johnson Controls, Inc. 8,865 BANKING -- 4.4% 328 Bank of America Corp. 26,425 265 The Bank of New York Co., Inc. 7,722 115 Wells Fargo & Co. 6,493 -------------------------------------------------------------------- 40,640 -------------------------------------------------------------------- BIOTECHNOLOGY -- 1.5% 191 Amgen, Inc.* 10,736 50 Gilead Sciences, Inc.* 3,042 -------------------------------------------------------------------- 13,778 -------------------------------------------------------------------- BUSINESS SERVICES -- 1.7% 651 Accenture LTD (Bermuda), Class A* 15,474 CHEMICALS -- 1.9% 472 Praxair, Inc. 17,252 COMPUTER NETWORKS -- 2.7% 1,176 Cisco Systems, Inc.* 24,538 COMPUTER SOFTWARE -- 3.8% 1,193 Microsoft Corp. 30,971 400 Oracle Corp.* 4,488 -------------------------------------------------------------------- 35,459 -------------------------------------------------------------------- COMPUTERS/COMPUTER HARDWARE -- 4.6% 160 Dell, Inc.* 5,555 673 Hewlett-Packard Co. 13,258 152 International Business Machines Corp. 13,364 110 Lexmark International, Inc.* 9,951 -------------------------------------------------------------------- 42,128 -------------------------------------------------------------------- CONSUMER PRODUCTS -- 4.0% 417 Altria Group, Inc. 23,074 136 Procter & Gamble Co. $ 14,401 -------------------------------------------------------------------- 37,475 -------------------------------------------------------------------- DIVERSIFIED -- 6.9% 1,270 General Electric Co. 38,032 957 Tyco International LTD (Bermuda) 26,264 -------------------------------------------------------------------- 64,296 -------------------------------------------------------------------- FINANCIAL SERVICES -- 11.8% 229 American Express Co. 11,185 102 CIT Group, Inc. 3,506 754 Citigroup, Inc. 36,238 113 Fannie Mae 7,758 385 Freddie Mac 22,484 82 Goldman Sachs Group, Inc. 7,943 192 Merrill Lynch & Co., Inc. 10,412 277 Washington Mutual, Inc. 10,907 -------------------------------------------------------------------- 110,433 -------------------------------------------------------------------- FOOD/BEVERAGE PRODUCTS -- 3.4% 330 Kraft Foods, Inc., Class A 10,864 122 PepsiCo, Inc. 6,621 271 The Coca-Cola Co. 13,687 -------------------------------------------------------------------- 31,172 -------------------------------------------------------------------- HEALTH CARE/HEALTH CARE SERVICES -- 4.2% 242 Guidant Corp. 15,248 365 HCA, Inc. 14,830 225 Laboratory Corp. of America Holdings* 8,942 -------------------------------------------------------------------- 39,020 -------------------------------------------------------------------- INSURANCE -- 5.2% 208 AMBAC Financial Group, Inc. 14,336 96 American International Group, Inc. 6,873 150 RenaissanceRe Holdings LTD (Bermuda) 7,904 214 The Allstate Corp. 9,809 256 Willis Group Holdings LTD (United Kingdom) 9,295 -------------------------------------------------------------------- 48,217 -------------------------------------------------------------------- MANUFACTURING -- 1.0% 169 Cooper Industries LTD, Class A 9,280
SEE NOTES TO FINANCIAL STATEMENTS. 56 SEMI-ANNUAL REPORT APRIL 30 2004
SHARES ISSUER VALUE -------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED METALS/MINING -- 1.3% 400 Alcoa, Inc. $ 12,312 MULTI-MEDIA -- 4.9% 343 Comcast Corp., Special Class A* 9,934 90 Gannett Co., Inc. 7,801 123 News Corp., LTD, ADR (Australia) 4,479 100 The E.W. Scripps Co., Class A 10,555 314 Viacom, Inc., Class B 12,123 -------------------------------------------------------------------- 44,892 -------------------------------------------------------------------- OIL & GAS -- 6.6% 252 Baker Hughes, Inc. 9,236 247 ChevronTexaco Corp. 22,585 216 ConocoPhillips 15,401 316 Exxon Mobil Corp. 13,466 -------------------------------------------------------------------- 60,688 -------------------------------------------------------------------- PHARMACEUTICALS -- 8.7% 187 Eli Lilly & Co. 13,797 30 Forest Laboratories, Inc.* 1,934 521 Johnson & Johnson 28,123 841 Pfizer, Inc. 30,091 110 Sepracor, Inc.* 5,259 59 Wyeth 2,238 -------------------------------------------------------------------- 81,442 -------------------------------------------------------------------- PIPELINES -- 0.7% 985 El Paso Corp. 6,905 RESTAURANTS/FOOD SERVICES -- 1.0% 327 McDonald's Corp. 8,899 RETAILING -- 7.2% 445 CVS Corp. 17,190 256 Home Depot, Inc. 8,997 375 Safeway, Inc.* 8,606 404 The TJX Companies, Inc. 9,916 379 Wal-Mart Stores, Inc. 21,607 -------------------------------------------------------------------- 66,316 -------------------------------------------------------------------- SEMI-CONDUCTORS -- 3.2% 579 Altera Corp.* $ 11,577 261 Intel Corp. 6,707 314 Linear Technology Corp. 11,188 -------------------------------------------------------------------- 29,472 -------------------------------------------------------------------- TELECOMMUNICATIONS -- 2.1% 513 Verizon Communications, Inc. 19,372 TELECOMMUNICATIONS EQUIPMENT -- 0.4% 60 QUALCOMM, Inc. 3,773 TEXTILES -- 0.9% 113 Mohawk Industries, Inc.* 8,678 UTILITIES -- 1.4% 321 Pinnacle West Capital Corp. 12,538 -------------------------------------------------------------------- Total Common Stocks 912,293 (Cost $880,604) -------------------------------------------------------------------- SHORT-TERM INVESTMENT -- 1.4% MONEY MARKET FUND -- 1.4% 13,033 JPMorgan Prime Money Market Fund (a) 13,033 (Cost $13,033) -------------------------------------------------------------------- TOTAL INVESTMENTS -- 100.0% $ 925,326 (COST $893,637)
SEE NOTES TO FINANCIAL STATEMENTS. 57 JPMORGAN FUNDS Abbreviations * -- Non-income producing security. ^ -- Amount rounds to less than 0.1%. ^^ -- Amount rounds to less than one thousand. + -- All or a portion of this security is segregated for TBA, when issued, delayed delivery, swaps or unsettled trades. # -- All or a portion of this security is a 144A or private placement security and can only be sold to qualified institutional buyers. @ -- Securities fully or partially segregated with the custodian as collateral for futures or with brokers as initial margin for futures contracts. (a) -- Affiliated. Money market fund registered under the Investment Company Act of 1940, as amended and advised by JPMorgan Investment Management, Inc. (f) -- Fair Valued Investment. The following are approximately the market value and percentage of the investments that are fair valued (amounts in thousands):
FUND MARKET VALUE PERCENTAGE ---- ------------ ---------- JPMorgan Fleming Tax Aware International Opportunities Fund $ 122,382 86.31%
(i) -- Security is considered illiquid and may be difficult to sell. (p) -- Security is prerefunded or escrowed to maturity. The maturity date shown is the date of the prerefunded call. Adj. -- Adjustable. The interest rate shown is the rate in effect at April 30, 2004. ACES -- Auction Rate Securities. ADR -- American Depository Receipt. AMBAC -- American Municipal Bond Assurance Corp. CONS -- Consolidated Bonds. COP -- Certificates of Participation. FGIC -- Financial Guaranty Insurance Co. FLOATS -- Floating Auction Tax Exempts. FRDO -- Floating Rate Demand Obligation. The maturity date shown is the next interest reset date. The interest rate shown is the rate in effect at April 30, 2004. FRN -- Floating Rate Note. The interset rate shown is the rate in effect at April 30, 2004. FSA -- Financial Securities Association. GAN -- Grant Anticipation Notes. GDR -- Global Depository Receipt. GO -- General Obligation Bond. IDA -- Industrial Development Authority. MBIA -- Municipal Bond Insurance Association. MTN -- Medium Term Note. PCR -- Pollution Control Revenue. RAC -- Revenue Anticipation Certificate. RAMS -- Reverse Annuity Mortgage Security. RAN -- Revenue Anticipation Note. Rev. -- Revenue Bond. Ser. -- Series. TBA -- To Be Announced. TRAN -- Tax & Revenue Anticipation Note. AUD -- Australian Dollar. CHF -- Swiss Franc. EUR -- Euro. GBP -- Great Britain Pound. HKD -- Hong Kong Dollar. JPY -- Japanese Yen. SEK -- Swedish Krona. SGD -- Singapore Dollar. USD -- United States Dollar. SEE NOTES TO FINANCIAL STATEMENTS. 58 THIS PAGE IS INTENTIONALLY LEFT BLANK 59 JPMORGAN FUNDS STATEMENT OF ASSETS AND LIABILITIES AS OF APRIL 30, 2004 (Unaudited) (Amounts in thousands, except per share amounts)
FLEMING TAX AWARE TAX AWARE TAX AWARE TAX AWARE INTERNATIONAL DISCIPLINED ENHANCED LARGE CAP OPPORTUNITIES EQUITY INCOME GROWTH FUND FUND FUND FUND ASSETS Investments in non-affiliates, at value $ 141,788 $ 192,561 $ 2,241,994 $ 244,733 Investments in affiliates, at value -- 775 29,224 3,882 ------------------------------------------------------------------------------------------------------------------ Total investment securities, at value 141,788 193,336 2,271,218 248,615 ------------------------------------------------------------------------------------------------------------------ Cash 1,574 19 1,908 6 Foreign currency, at value 147 -- -- -- Receivables: Investment securities sold 1,889 -- 4,751 3,901 Fund shares sold 31 81 6,185 140 Interest and dividends 604 232 13,426 111 Foreign tax reclaims 149 -- -- -- Unrealized appreciation on forward foreign currency exchange contracts 885 -- -- -- Unrealized appreciation on open swap contracts -- -- 243 -- Expense reimbursements 2 -- -- -- ------------------------------------------------------------------------------------------------------------------ Total Assets 147,069 193,668 2,297,731 252,773 ------------------------------------------------------------------------------------------------------------------ LIABILITIES Payables: Dividends -- -- 735 -- Investment securities purchased 1,932 -- 43,984 3,184 Fund shares redeemed 126 50 2,889 1,393 Variation margin -- -- 167 -- Unrealized depreciation on forward foreign currency exchange contracts 1,215 -- -- -- Unrealized depreciation on open swap contracts -- -- 51 -- Accrued liabilities: Investment advisory fees 99 57 415 86 Administration fees --^ 16 -- 32 Shareholder servicing fees 1 -- 107 51 Distribution fees 1 -- 4 -- Custodian fees 89 19 101 17 Trustee's fees - deferred compensation plan --^ --^ 3 36 Other 61 45 128 44 ------------------------------------------------------------------------------------------------------------------ Total Liabilities 3,524 187 48,584 4,843 ------------------------------------------------------------------------------------------------------------------ NET ASSETS $ 143,545 $ 193,481 $ 2,249,147 $ 247,930 ------------------------------------------------------------------------------------------------------------------
^ Amount rounds to less than one thousand. SEE NOTES TO FINANCIAL STATEMENTS. 60 SEMI-ANNUAL REPORT APRIL 30 2004
FLEMING TAX AWARE TAX AWARE TAX AWARE TAX AWARE INTERNATIONAL DISCIPLINED ENHANCED LARGE CAP OPPORTUNITIES EQUITY INCOME GROWTH FUND FUND FUND FUND NET ASSETS Paid in capital 166,597 293,712 2,267,130 358,583 Accumulated undistributed (overdistributed) net investment income (85) 153 (245) (168) Accumulated net realized gain (loss) on investments, futures, written options, swaps and foreign exchange transactions (44,079) (123,641) (18,011) (124,650) Net unrealized appreciation (depreciation) of investments, futures, swaps and foreign exchange translations 21,112 23,257 273 14,165 ------------------------------------------------------------------------------------------------------------------ Total Net Assets $ 143,545 $ 193,481 $ 2,249,147 $ 247,930 ------------------------------------------------------------------------------------------------------------------ Class A $ 5,365 $ -- $ 21,658 $ -- Institutional $ 138,180 $ 193,481 $ 1,763,615 $ -- Select $ -- $ -- $ 463,874 $ 247,930 ------------------------------------------------------------------------------------------------------------------ Total $ 143,545 $ 193,481 $ 2,249,147 $ 247,930 ------------------------------------------------------------------------------------------------------------------ Shares of beneficial interest outstanding ($0.001 par value; unlimited number of shares authorized): Class A 370 -- 2,162 -- Institutional 9,400 12,996 176,268 -- Select Shares -- -- 46,308 16,537 Net Asset Value: Class A (and redemption price) $ 14.50 $ -- $ 10.02 $ -- Institutional (and redemption price) $ 14.70 $ 14.89 $ 10.01 $ -- Select Shares (and redemption price) $ -- $ -- $ 10.02 $ 14.99 Class A Maximum Public Offering Price Per Share (net asset value per share/94.25%, 98.50%) $ 15.38 $ -- $ 10.17 $ -- Cost of investments $ 120,356 $ 170,079 $ 2,272,422 $ 234,450 Cost of foreign currency $ 147 $ -- $ -- $ -- ------------------------------------------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 61
TAX AWARE TAX AWARE SHORT - LARGE CAP INTERMEDIATE TAX AWARE VALUE INCOME U.S. EQUITY FUND FUND FUND ASSETS Investments in non-affiliates, at value $ 389,193 $ 739,047 $ 912,293 Investments in affiliates, at value 7,838 9,741 13,033 -------------------------------------------------------------------------------------------------- Total Investment securities, at value 397,031 748,788 925,326 -------------------------------------------------------------------------------------------------- Cash 12 565 60 Foreign currency, at value -- 85 -- Receivables: Investment securities sold 19,497 27,845 6,872 Fund shares sold 924 3,154 2,317 Interest and dividends 593 9,852 1,221 Unrealized appreciation on open swap contracts -- 199 -- Expense reimbursements -- -- 2 -------------------------------------------------------------------------------------------------- Total Assets 418,057 790,488 935,798 -------------------------------------------------------------------------------------------------- LIABILITIES Payables: Dividends 312 822 -- Investment securities purchased 22,519 70,239 10,522 Outstanding options written, at fair value -- 422 -- Fund shares redeemed 111 1,811 557 Variation margin -- 58 -- Unrealized depreciation on open swap contracts -- 15 -- Accrued liabilities: Investment advisory fees 130 145 341 Administration fees 49 67 76 Shareholder servicing fees 81 38 170 Distribution fees -- -- 3 Custodian fees 20 32 53 Trustee's fees - deferred compensation plan 47 2 11 Other 45 55 65 -------------------------------------------------------------------------------------------------- Total Liabilities 23,314 73,706 11,798 -------------------------------------------------------------------------------------------------- NET ASSETS $ 394,743 $ 716,782 $ 924,000 --------------------------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 62
TAX AWARE TAX AWARE SHORT - LARGE CAP INTERMEDIATE TAX AWARE VALUE INCOME U.S. EQUITY FUND FUND FUND NET ASSETS Paid in capital 404,441 725,886 966,316 Accumulated undistributed (overdistributed) net investment income (611) 245 514 Accumulated net realized gain (loss) on investments, futures, written options, swaps and foreign exchange transactions (29,081) (2,862) (74,519) Net unrealized appreciation (depreciation) of investments, futures, written options, swaps and foreign exchange translations 19,994 (6,487) 31,689 -------------------------------------------------------------------------------------------------- Total Net Assets $ 394,743 $ 716,782 $ 924,000 -------------------------------------------------------------------------------------------------- Class A $ -- $ -- $ 4,757 Class B $ -- $ -- $ 2,989 Class C $ -- $ -- $ 460 Institutional $ -- $ 392,754 $ 115,470 Select $ 394,743 $ 324,028 $ 800,324 -------------------------------------------------------------------------------------------------- Total $ 394,743 $ 716,782 $ 924,000 -------------------------------------------------------------------------------------------------- Shares of beneficial interest outstanding ($0.001 par value; unlimited number of of shares authorized): Class A -- -- 302 Class B -- -- 192 Class C -- -- 30 Institutional -- 39,540 10,355 Select 19,738 32,623 50,787 Net Asset Value: Class A (and redemption price) $ -- $ -- $ 15.74 Class B* $ -- $ -- $ 15.58 Class C* $ -- $ -- $ 15.55 Institutional (and redemption price) $ -- $ 9.93 $ 11.15 Select (and redemption price) $ 20.00 $ 9.93 $ 15.76 Class A Maximum Public Offering Price Per Share (net asset value per share/94.25%) $ -- $ -- $ 16.70 Cost of investments $ 377,037 $ 755,333 $ 893,637 Cost of foreign currency $ -- $ 86 $ -- -------------------------------------------------------------------------------------------------- Premiums received from options written $ -- $ 316 $ -- --------------------------------------------------------------------------------------------------
* Redemption price may be reduced by contingent deferred sales charge. SEE NOTES TO FINANCIAL STATEMENTS. 63 STATEMENT OF OPERATIONS FOR THE SIX MONTHS ENDED APRIL 30, 2004 (Unaudited) (Amounts in thousands)
FLEMING TAX AWARE TAX AWARE TAX AWARE TAX AWARE INTERNATIONAL DISCIPLINED ENHANCED LARGE CAP OPPORTUNITIES EQUITY INCOME GROWTH FUND FUND FUND FUND INVESTMENT INCOME Interest $ 27 $ -- $ 19,779 $ -- Dividend 1,667 1,547 -- 1,280 Dividend income from affiliated investments* -- 4 263 14 Foreign taxes withheld (139) --^ -- -- ------------------------------------------------------------------------------------------------------------------ Total investment income 1,555 1,551 20,042 1,294 ------------------------------------------------------------------------------------------------------------------ EXPENSES Investment advisory fees 641 333 2,894 536 Administration fees 113 143 1,736 201 Shareholder servicing fees 80 95 1,517 335 Distribution fees 8 -- 27 -- Custodian fees 128 23 144 23 Interest expense 1 --^ 1 -- Printing and postage 4 2 28 4 Professional fees 35 27 52 26 Registration fees 19 10 31 11 Transfer agent fees 25 20 55 11 Trustees' fees 1 1 17 2 Other 7 7 35 9 ------------------------------------------------------------------------------------------------------------------ Total expenses 1,062 661 6,537 1,158 ------------------------------------------------------------------------------------------------------------------ Less amounts waived 274 138 3,013 19 Less earnings credits -- --^ 3 --^ Less expense reimbursements 10 -- -- -- ------------------------------------------------------------------------------------------------------------------ Net expenses 778 523 3,521 1,139 ------------------------------------------------------------------------------------------------------------------ Net investment income (loss) 777 1,028 16,521 155 ------------------------------------------------------------------------------------------------------------------
^ Amount rounds to less than one thousand. SEE NOTES TO FINANCIAL STATEMENTS. 64
FLEMING TAX AWARE TAX AWARE TAX AWARE TAX AWARE INTERNATIONAL DISCIPLINED ENHANCED LARGE CAP OPPORTUNITIES EQUITY INCOME GROWTH FUND FUND FUND FUND REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS Net realized gain (loss) on transactions from: Investments 14,330 5,552 2,240 4,276 Futures 67 -- (8,749) -- Written options -- -- (1,533) -- Swaps -- -- 1,564 -- Foreign exchange contracts 1,009 -- -- -- Change in net unrealized appreciation/depreciation of: Investments (450) 5,582 (7,903) 49 Futures -- -- 5,151 -- Swaps -- -- 111 -- Foreign currency translations (752) -- -- -- Net realized and unrealized gain (loss) on investments, futures, foreign exchange transactions, written options and swaps 14,204 11,134 (9,119) 4,325 ------------------------------------------------------------------------------------------------------------------ Net increase (decrease) in net assets from operations $ 14,981 $ 12,162 $ 7,402 $ 4,480 ------------------------------------------------------------------------------------------------------------------ * Includes reimbursements of investment advisory, administration and shareholder servicing fees: $ -- $ 1 $ 46 $ 2 ------------------------------------------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 65
TAX AWARE TAX AWARE SHORT - LARGE CAP INTERMEDIATE TAX AWARE VALUE INCOME U.S. EQUITY FUND FUND FUND INVESTMENT INCOME Interest $ -- $ 8,466 $ -- Dividend 3,787 -- 6,750 Dividend income from affiliated investments* 12 66 96 Foreign taxes withheld -- (14) -- -------------------------------------------------------------------------------------------------- Total investment income 3,799 8,518 6,846 -------------------------------------------------------------------------------------------------- EXPENSES Investment advisory fees 739 791 1,875 Administration fees 277 475 625 Shareholder servicing fees 462 512 957 Distribution fees -- -- 19 Custodian fees 29 44 72 Printing and postage 5 8 14 Professional fees 31 35 37 Registration fees 12 9 36 Transfer agent fees 12 26 72 Trustees' fees 3 5 6 Other 10 7 17 -------------------------------------------------------------------------------------------------- Total expenses 1,580 1,912 3,730 -------------------------------------------------------------------------------------------------- Less amounts waived 10 498 274 Less earnings credits --^ -- --^ Less expense reimbursements -- -- 15 -------------------------------------------------------------------------------------------------- Net expenses 1,570 1,414 3,441 -------------------------------------------------------------------------------------------------- Net investment income (loss) 2,229 7,104 3,405 --------------------------------------------------------------------------------------------------
^ Amount rounds to less than one thousand. SEE NOTES TO FINANCIAL STATEMENTS. 66
TAX AWARE TAX AWARE SHORT - LARGE CAP INTERMEDIATE TAX AWARE VALUE INCOME U.S. EQUITY FUND FUND FUND REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS Net realized gain (loss) on transactions from: Investments 7,758 2,149 13,563 Futures -- (2,244) -- Written options -- (7) -- Swaps -- 79 -- Foreign exchange contracts -- (12) -- Change in net unrealized appreciation/depreciation of: Investments 16,713 (10,029) 27,551 Futures -- 1,558 -- Written options -- (118) -- Swaps -- 92 -- Net realized and unrealized gain (loss) on investments, futures, foreign exchange transactions, written options and swaps 24,471 (8,532) 41,114 -------------------------------------------------------------------------------------------------- Net increase (decrease) in net assets from operations $ 26,700 $ (1,428) $ 44,519 -------------------------------------------------------------------------------------------------- * Includes reimbursements of investment advisory, administration and shareholder servicing fees: $ 2 $ 12 $ 16 --------------------------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 67 STATEMENT OF CHANGES IN NET ASSETS FOR THE PERIODS INDICATED (Unaudited) (Amounts in thousands)
FLEMING TAX AWARE TAX AWARE INTERNATIONAL OPPORTUNITIES DISCIPLINED EQUITY FUND FUND ------------------------------- ------------------------------ 11/1/03 THROUGH YEAR ENDED 11/1/03 THROUGH YEAR ENDED 4/30/04 10/31/03 4/30/04 10/31/03 INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS Net investment income $ 777 $ 1,716 $ 1,028 $ 2,255 Net realized gain (loss) on investments, futures and foreign exchange contracts 15,406 (17,935) 5,552 (10,786) Change in net unrealized appreciation/ depreciation of investments, futures and foreign currency translations (1,202) 43,977 5,582 44,281 ------------------------------------------------------------------------------------------------------------------ Increase (decrease) in net assets from operations 14,981 27,758 12,162 35,750 ------------------------------------------------------------------------------------------------------------------ DISTRIBUTIONS TO SHAREHOLDERS FROM Net investment income (2,773) (1,586) (1,120) (2,258) ------------------------------------------------------------------------------------------------------------------ CAPITAL SHARE TRANSACTIONS Increase (decrease) (9,341) (41,696) 1,826 (46,875) ------------------------------------------------------------------------------------------------------------------ NET ASSETS Total increase (decrease) in net assets 2,867 (15,524) 12,868 (13,383) ------------------------------------------------------------------------------------------------------------------ Beginning of period 140,678 156,202 180,613 193,996 ------------------------------------------------------------------------------------------------------------------ End of period $ 143,545 $ 140,678 $ 193,481 $ 180,613 ------------------------------------------------------------------------------------------------------------------ Accumulated undistributed (overdistributed) net investment income $ (85) $ 1,911 $ 153 $ 245 ------------------------------------------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 68
TAX AWARE ENHANCED INCOME FUND TAX AWARE LARGE CAP GROWTH FUND ------------------------------- ------------------------------- 11/1/03 THROUGH YEAR ENDED 11/1/03 THROUGH YEAR ENDED 4/30/04 10/31/03 4/30/04 10/31/03 INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS Net investment income $ 16,521 $ 41,724 $ 155 $ 916 Net realized gain (loss) on investments, futures, written options and swaps (6,478) (11,422) 4,276 (29,956) Change in net unrealized appreciation/ depreciation of investments, futures and swaps (2,641) 2,497 49 63,299 -------------------------------------------------------------------------------------------------------------------- Increase (decrease) in net assets from operations 7,402 32,799 4,480 34,259 -------------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS TO SHAREHOLDERS FROM Net investment income (16,597) (42,180) (352) (734) -------------------------------------------------------------------------------------------------------------------- CAPITAL SHARE TRANSACTIONS Increase (decrease) (275,957) 575,943 (24,399) (21,850) -------------------------------------------------------------------------------------------------------------------- NET ASSETS Total increase (decrease) in net assets (285,152) 566,562 (20,271) 11,675 -------------------------------------------------------------------------------------------------------------------- Beginning of period 2,534,299 1,967,737 268,201 256,526 -------------------------------------------------------------------------------------------------------------------- End of period $ 2,249,147 $ 2,534,299 $ 247,930 $ 268,201 -------------------------------------------------------------------------------------------------------------------- Accumulated undistributed (overdistributed) net investment income $ (245) $ (169) $ (168) $ 29 --------------------------------------------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 69
TAX AWARE LARGE CAP VALUE FUND TAX AWARE SHORT - INTERMEDIATE INCOME FUND ------------------------------ ------------------------------------------ 11/1/03 THROUGH YEAR ENDED 11/1/03 THROUGH 12/20/02* THROUGH 4/30/04 10/31/03 4/30/04 10/31/03 INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS Net investment income (loss) $ 2,229 $ 5,146 $ 7,104 $ 6,111 Net realized gain (loss) on investments, futures, written options and swaps 7,758 (9,355) (35) (2,827) Change in net unrealized appreciation/ depreciation of investments, futures, written options and swaps 16,713 60,789 (8,497) 2,010 ------------------------------------------------------------------------------------------------------------------------------- Increase (decrease) in net assets from operations 26,700 56,580 (1,428) 5,294 ------------------------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS TO SHAREHOLDERS FROM Net investment income (2,677) (5,208) (7,073) (5,897) ------------------------------------------------------------------------------------------------------------------------------- CAPITAL SHARE TRANSACTIONS Increase (decrease) 22,024 (30,019) 187,954 537,932 ------------------------------------------------------------------------------------------------------------------------------- NET ASSETS Total increase (decrease) in net assets 46,047 21,353 179,453 537,329 ------------------------------------------------------------------------------------------------------------------------------- Beginning of period 348,696 327,343 537,329 -- ------------------------------------------------------------------------------------------------------------------------------- End of period $ 394,743 $ 348,696 $ 716,782 $ 537,329 ------------------------------------------------------------------------------------------------------------------------------- Accumulated undistributed (overdistributed) net investment income $ (611) $ (163) $ 245 $ 214 -------------------------------------------------------------------------------------------------------------------------------
* Commencement of operations. SEE NOTES TO FINANCIAL STATEMENTS. 70
TAX AWARE U.S. EQUITY FUND ------------------------------- 11/1/03 THROUGH YEAR ENDED 4/30/04 10/31/03 INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS Net investment income (loss) $ 3,405 $ 4,628 Net realized gain (loss) on investments 13,563 (10,218) Change in net unrealized appreciation/ depreciation of investments 27,551 100,650 ---------------------------------------------------------------------------------- Increase (decrease) in net assets from operations 44,519 95,060 ---------------------------------------------------------------------------------- DISTRIBUTIONS TO SHAREHOLDERS FROM Net investment income (3,715) (4,092) ---------------------------------------------------------------------------------- CAPITAL SHARE TRANSACTIONS Increase (decrease) 140,257 415,771 ---------------------------------------------------------------------------------- NET ASSETS Total increase (decrease) in net assets 181,061 506,739 ---------------------------------------------------------------------------------- Beginning of period 742,939 236,200 ---------------------------------------------------------------------------------- End of period $ 924,000 $ 742,939 ---------------------------------------------------------------------------------- Accumulated undistributed (overdistributed) net investment income $ 514 $ 824 ----------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 71 JPMORGAN FUNDS NOTES TO FINANCIAL STATEMENTS (Unaudited) 1. ORGANIZATION J.P. Morgan Series Trust ("JPMST"), J.P. Morgan Mutual Fund Group ("MFG"), J.P. Morgan Mutual Fund Select Group ("MFSG") and J.P. Morgan Institutional Funds ("JPMIF") (each a "Trust" and, collectively, the "Trusts") were organized on August 15, 1996, May 11, 1987, October 1, 1996 and November 4, 1992, respectively, as Massachusetts business trusts and are registered under the Investment Company Act of 1940, as amended (the "1940 Act"), as open-end management investment companies. MFG and MFSG were formerly known as Mutual Fund Group and Mutual Fund Select Group, respectively. The Trusts' new names went into effect on May 1, 2003. The following are seven separate portfolios of the Trusts (collectively, the "Funds"):
FUND CLASSES OFFERED JPMorgan Fleming Tax Aware International Opportunities Fund ("FTAIO") Class A and Institutional JPMorgan Tax Aware Disciplined Equity Fund ("TADE") Institutional JPMorgan Tax Aware Enhanced Income Fund ("TAEI") Class A, Institutional and Select JPMorgan Tax Aware Large Cap Growth Fund ("TALCG") Select JPMorgan Tax Aware Large Cap Value Fund ("TALCV") Select JPMorgan Tax Aware Short-Intermediate Income Fund ("TASI") Institutional and Select JPMorgan Tax Aware U.S. Equity Fund ("TAUSE") Class A, Class B, Class C, Institutional and Select
On September 12, 2003, FTAIO Class B and Class C shares merged into Class A shares; and Class B and Class C shares closed. FTAIO is a separate series of MFG. TADE, TAEI and TAUSE are separate series of JPMST. TALCG and TALCV are separate series of MFSG. TASI is a separate series of JPMIF. Class A shares generally provide for a front-end sales charge while Class B and Class C shares provide for a contingent deferred sales charge. Class B shares automatically convert to Class A shares after eight years. No sales charges are assessed with respect to the Institutional Class and Select Class. All classes of shares have equal rights as to earnings, assets and voting privileges except that each class may bear different transfer agent, distribution and shareholder servicing fees and each class has exclusive voting rights with respect to its distribution plan and shareholder servicing agreements. Class A shares, for which front-end sales charges have been waived, may be subject to redemption charges as described in the Funds' prospectus. During the fiscal year ended October 31, 2003, TADE Institutional Class relieved securities of the fund (Redemption in-kind) in exchange for the redemption of shares. TADE Institutional Class received a contribution of securities (Subscription in-kind) in exchange for shares of the Institutional Share Class. Cash and securities were transferred for redemptions and subscriptions at a market 72 SEMI-ANNUAL REPORT APRIL 30 2004 value of (in thousands) $22,866 and $21,173, respectively, which resulted in a realized gain of (in thousands) $6,157 to the Fund for federal income tax purposes. A detailed breakout of Redemption in-kind and Subscription in-kind is outlined in Note 12. 2. REORGANIZATION Prior to the open of business on March 24, 2003, the JPMorgan Tax Aware U.S. Equity Fund (the "Acquiring Fund") acquired all of the net assets of JPMorgan Select Large Cap Equity Fund (the "Target Fund"), as shown in the table below, pursuant to a Plan of Reorganization approved by the Target Fund's shareholders on February 13, 2003. The transaction was structured for tax purposes to qualify as a tax-free reorganization under the Internal Revenue Code. Under the Reorganization Plan, shareholders of the Target Fund received shares in the Acquiring Fund with a value equal to their holdings in the Target Fund. Shareholders of the Target Fund received Select Class Shares of the Acquiring Fund. The following is a summary of Shares Outstanding, Net Assets, Net Asset Value Per Share and Net Unrealized Appreciation (Depreciation) immediately before and after the Reorganization: JPMORGAN TAX AWARE U.S. EQUITY FUND REORGANIZATION
NET ASSET NET SHARES VALUE UNREALIZED OUTSTANDING NET ASSETS PER SHARE (DEPRECIATION) TARGET FUND JPMorgan Select Large Cap Equity Fund $ (42,215) Select Class 12,404 $ 241,297 $ 19.45 ACQUIRING FUND JPMorgan Tax Aware U.S. Equity Fund $ (43,722) Class A 320 $ 4,145 $ 12.97 Class B 224 $ 2,879 $ 12.87 Class C 23 $ 299 $ 12.85 Institutional Class 5,529 $ 51,039 $ 9.23 Select Class 16,879 $ 219,253 $ 12.99 POST REORGANIZATION JPMorgan Tax Aware U.S. Equity Fund $ (85,937) Class A 320 $ 4,145 $ 12.97 Class B 224 $ 2,879 $ 12.87 Class C 23 $ 299 $ 12.85 Institutional Class 5,529 $ 51,039 $ 9.23 Select Class 35,452 $ 460,550 $ 12.99
73 3. SIGNIFICANT ACCOUNTING POLICIES THE FOLLOWING IS A SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES FOLLOWED BY THE FUNDS: The preparation of financial statements in accordance with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. A. VALUATION OF INVESTMENTS -- Equity securities, purchased options and futures contracts are valued at the last sale price on the exchange on which they are primarily traded. The value of National Market Systems equity securities quotes by the Nasdaq Stock Market, Inc. shall generally be the Nasdaq Official Closing Price. Securities for which sale prices are not available and other over-the-counter securities are valued at the mean between the bid and asked quotations. Fixed income securities, other than convertible bonds, with a maturity of 61 days or more at the purchase date held by the Funds will be valued each day based on readily available market quotations received from independent or affiliated commercial pricing services. Such pricing services will generally provide bidside quotations. Convertible bonds are valued at the last sale price on the primary exchange on which the bond is principally traded. All short-term securities with a remaining maturity of sixty days or less are valued using the amortized cost method, which approximates market value. When valuations are not readily available, securities are valued at fair value as determined in accordance with procedures adopted by the Trustees. It is possible that the estimated values may differ significantly from the values that would have been used had a ready market for the investments existed, and such differences could have been material. Trading in securities on most foreign exchanges and over-the counter markets is normally completed before the close of the domestic market and may also take place on days when the domestic market is closed. In accordance with procedures adopted by the Trustees, the Funds apply fair value pricing on a daily basis for all non-U.S. and non-Canadian equity securities held in their portfolios by utilizing the quotations of an independent pricing service, unless the Funds' advisor, J.P. Morgan Investment Management Inc. ("JPMIM" or the "Advisor"), determines that use of another valuation methodology is appropriate. The pricing service uses statistical analysis and quantitative models to adjust local market prices using factors such as subsequent movements and changes in the prices of indices, securities and exchange rates in other markets, in determining fair value as of the time a Fund calculates its net assets value. B. FUTURES CONTRACTS -- When a fund enters into a futures contract, it makes an initial margin deposit in a segregated account, either in cash or liquid securities. Thereafter, the futures contract is marked to market and the Fund makes (or receives) additional cash payments daily to (or from) the broker. Changes in the value of the contract are recorded as unrealized appreciation (depreciation) until the contract is closed or settled, at which time a realized gain or loss is recognized. Index futures contracts are used to control the asset mix of the portfolios in the most efficient manner. Short index futures contracts are used for hedging purposes; i.e., to reduce the exposure to equities. Long index futures contracts are used to gain exposure to equities, when it is anticipated that this will be more efficient than buying stocks directly. The Funds may invest in exchange-traded interest rate futures for hedging purposes, to either modify the duration of portfolio, modify the yield curve exposure of the portfolio, or in anticipation of buying or selling a specific security. Use of long futures contracts subjects the Funds to risk of loss in excess of the amounts shown on the Statement of Assets and Liabilities, up to the notional value of the futures contracts. Use of short futures contracts subjects the Funds to unlimited risk of loss. The Funds may enter into futures contracts only on exchanges or boards of 74 trade. The exchange or board of trade acts as the counterparty to each futures transaction; therefore, the Fund's credit risk is limited to failure of the exchange or board of trade. As of April 30, 2004, the Funds had outstanding futures contracts as listed on the Funds' Portfolio of Investments. C. FOREIGN CURRENCY TRANSLATION -- The books and records of the Funds are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the prevailing exchange rates, or at the mean of the current bid and asked prices, of such currencies against the U.S. dollar as quoted by a major bank, on the following basis: 1. Market value of investment securities and other assets and liabilities: at the rate of exchange at the valuation date. 2. Purchases and sales of investment securities, income and expenses: at the rates of exchange prevailing on the respective dates of such transactions. Although the net assets of the Funds are presented at the foreign exchange rates and market values at the close of the periods, the Funds do not isolate that portion of the results of operations arising as a result of changes in the foreign exchange rates from the fluctuations arising from changes in the market prices of securities held or sold during the period. Accordingly, such realized foreign currency gains (losses) are included in the reported net realized gains (losses) on investment transactions. Reported realized foreign currency gains or losses arise from disposition of foreign currency, currency gains or losses realized between the trade and settlement dates on securities transactions, and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on the Funds' books on the transaction date and the U.S. dollar equivalent of the amounts actually received or paid. Unrealized foreign exchange gains and losses arise from changes (due to the changes in the exchange rate) in the value of foreign currency and other assets and liabilities denominated in foreign currencies, which are held at period end. D. FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS -- The Funds may enter into forward foreign currency exchange contracts (obligations to purchase or sell foreign currency in the future on a date and price fixed at the time the contracts are entered into) to manage the Funds' exposure to foreign currency exchange fluctuations. Each day the forward contract is open, changes in the value of the contract are recognized as unrealized gains or losses by "marking to market." When the forward contract is closed, or the delivery of the currency exchange is made or taken, the Fund records a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transaction and the Fund's basis in the contract. The Funds are subject to off-balance sheet risk to the extent of the value of the contracts for purchases of foreign currency and in an unlimited amount for sales of foreign currency. As of April 30, 2004, the Funds had outstanding forward foreign currency exchange contracts as listed on the Funds' Portfolio of Investments. E. WRITTEN OPTIONS -- When a Fund writes an option, an amount equal to the premium received by the Fund is included in the Fund's Statement of Assets and Liabilities as an asset and corresponding liability. The amount of the liability is adjusted daily to reflect the current market value of the written option and the change is recorded in a corresponding unrealized gain or loss account. When a written option expires on its stipulated expiration date, or when a closing transaction is entered into, the related liability is extinguished and the Fund realizes a gain or loss contingent on whether the cost of the closing transaction exceeds the premium received when the option was written. The Funds write options on securities, futures and interest rate swaps ("swaptions"). These options are settled for cash and subject the Funds to unlimited risk of loss. The Funds, however, are not subject to credit risk on written options as the counterparty has already performed its obligation by paying the premium at the inception of the contract. As of April 30, 2004 the Funds had written options contracts outstanding as listed on the Funds' Portfolio of Investments. 75 Transactions in options written for TAEI and TASI during the six months ended April 30, 2004, were as follows (amounts in thousands):
TAEI TASI --------------------- -------------------- NUMBER OF PREMIUMS NUMBER OF PREMIUMS UNITS RECEIVED UNITS RECEIVED Options outstanding at October 31, 2003 -- $ -- (16,600) $ 17 Options written (166,837) 834 (269,030) 1,326 Options terminated in closing purchase transactions 166,837 (834) 248,130 (1,027) Options outstanding at April 30, 2004 -- $ -- (37,500) $ 316
F. SWAPS -- The Funds may engage in various swap transactions, including forward rate agreements, interest rate, currency, fixed income, index and total return swaps, primarily to manage duration and yield curve risk, or as alternatives to direct investments. Unrealized gains are reported as an asset and unrealized losses are reported as a liability on the Statement of Assets and Liabilities. The change in value of swaps, including the periodic amounts of interest to be paid or received on swaps is reported as unrealized gains or losses in the Statement of Operations. A realized gain or loss is recorded upon payment or receipt of a periodic payment or termination of swap agreements. Swap agreements are stated at fair value. Notional principal amounts are used to express the extent of involvement in these transactions, but the amounts potentially subject to credit risk are much smaller. As of April 30, 2004, the Funds had outstanding swap agreements as listed on the Funds' Portfolio of Investments. G. COMMITMENTS -- The Funds may enter into commitments to buy and sell investments to settle on future dates as part of their normal investment activities. These commitments are reported at market value in the financial statements. Credit risk exists on these commitments to the extent of any unrealized gains on the underlying securities purchased and any realized gains on the underlying securities sold. Market risk exists on commitments to buy to the same extent as if the securities were owned on a settled basis and gains and losses are recorded and reported in the same manner. However, during the commitment period, these investments earn no interest or dividends. H. DOLLAR ROLLS -- The Funds may enter into dollar rolls, principally using To Be Announced (TBA), in which the Funds sell mortgage securities for delivery in the current month and simultaneously contract to repurchase similar, but not identical, securities at an agreed-upon price on a fixed date. The Funds account for such dollar rolls as purchases and sales and receive compensation as consideration for entering into the commitment to repurchase. The Funds must maintain liquid securities having a value not less than the repurchase price (including accrued interest) for such dollar rolls. The market value of the securities that a Fund is required to purchase may decline below the agreed upon repurchase price of those securities. The Funds had TBA Dollar Rolls outstanding as of April 30, 2004, which are included in Receivable for Investment securities sold and Payable for Investment securities 76 purchased on the Statement of Assets and Liabilities. The Funds segregate assets with a current value at least equal to the amount of their TBA Dollar Rolls. I. RESTRICTED AND ILLIQUID SECURITIES -- The Funds are permitted to invest in securities that are subject to legal or contractual restrictions on resale or are illiquid. Restricted securities generally may be resold in transactions exempt from registration. A security may be considered illiquid if it lacks a readily available market or if its valuation has not changed for a certain period of time. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at the current valuation may be difficult. J. SECURITY TRANSACTIONS AND INVESTMENT INCOME -- Investment transactions are accounted for on the trade date (the date the order to buy or sell is executed). Securities gains and losses are calculated on the identified cost basis. Interest income is determined on the basis of coupon interest accrued using the interest method adjusted for amortization of premiums and accretion of discounts. Dividend income less foreign taxes withheld (if any) is recorded on the ex-dividend date or when the Funds first learn of the dividend. Purchases of TBA, when-issued or delayed delivery securities may be settled a month or more after the trade date; interest income is not accrued until settlement date. It is each Fund's policy to segregate assets with a current value at least equal to the amount of its TBA, when-issued or delayed delivery purchase commitments. K. ALLOCATION OF INCOME AND EXPENSES -- Expenses directly attributable to a Fund are charged to that Fund; other expenses of the Trusts are allocated proportionately among each of the Funds within the Trusts in relation to the net assets of each Fund or on another reasonable basis. Expenses directly attributable to a particular class are charged directly to such class. In calculating the net asset value per share of each class, investment income, realized and unrealized gains and losses and expenses other than class specific expenses are allocated daily to each class of shares based upon the proportion of net assets of each class at the beginning of each day. L. FEDERAL INCOME TAXES -- Each Fund is treated as a separate taxable entity for Federal income tax purposes. The Fund's policy is to comply with the provisions of the Internal Revenue Code applicable to regulated investment companies and to distribute to shareholders all of its distributable net investment income and net realized gain on investments. In addition, the Funds intend to make distributions as required to avoid excise taxes. Accordingly, no provision for Federal income or excise tax is necessary. M. FOREIGN TAXES -- The Funds may be subject to foreign taxes on income, gains on investments or currency repatriation, a portion of which may be recoverable. The Funds will accrue such taxes and recoveries as applicable, based upon their current interpretation of tax rules and regulations that exist in the markets in which it invests. N. DISTRIBUTIONS TO SHAREHOLDERS -- Dividends and distributions paid to shareholders are recorded on the ex-dividend date. The amount of dividends and distributions from net investment income and net realized capital gains is determined in accordance with Federal income tax regulations, which may differ from accounting principles generally accepted in the Unites States of America. To the 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. O. OTHER EXPENSES -- Other expenses in the Statement of Operations include fees related to line of credit, insurance, and pricing and reporting services. 77 4. FEES AND OTHER TRANSACTIONS WITH AFFILIATES A. INVESTMENT ADVISORY FEE - Pursuant to the Investment Advisory Agreement JPMIM acts as investment advisor to the Funds. JPMIM is a wholly owned subsidiary of J.P Morgan Fleming Asset Management Holdings, Inc., which is wholly owned subsidiary of J.P Morgan Chase & Co. The annual fee for each Fund is as follows:
INVESTMENT ADVISORY FEE (%) FUND FTAIO 0.85% TADE 0.35% TAEI 0.25% TALCG 0.40% TALCV 0.40% TASI 0.25% TAUSE 0.45%
The Advisor waived fees as outlined in Note 4.F. The Funds may invest in one or more of the affiliated JPMorgan Money Market Funds. The Advisor has agreed to waive and/or reimburse its advisory fee from the Funds in an amount sufficient to offset any doubling up of investment advisory, administration and shareholder servicing fees related to each Fund's investment in an affiliated money market fund. B. DISTRIBUTION FEES -- Pursuant to the Distribution Agreement, J.P. Morgan Fund Distributors, Inc. ("JPMFD" or "Distributor"), a wholly-owned subsidiary of The BISYS Group, Inc., serves as the Trusts' exclusive underwriter and promotes and arranges for the sale of each Fund's shares. JPMFD receives no compensation in its capacity as the Funds' underwriter. The Trustees have adopted Distribution Plans (the "Distribution Plans") for Class A, B, and C Shares of the Funds in accordance with Rule 12b-1 under the 1940 Act. The Distribution Plans provide that each Fund shall pay distribution fees, including payments to the Distributor, at annual rates of the average daily net assets as shown in the table below (%):
CLASS A CLASS B CLASS C FUND FTAIO 0.25 n/a n/a TAEI 0.25 n/a n/a TAUSE 0.25 0.75 0.75
78 In addition, JPMFD is entitled to receive the contingent deferred sales charge ("CDSC") from redemptions of Class B and C shares. C. SHAREHOLDER SERVICING FEES -- The Trusts have entered into Shareholder Servicing Agreements on behalf of the Funds with JPMorgan Chase Bank ("JPMCB"), under which JPMCB provides account administration and personal account maintenance services to the shareholders. For performing these services, JPMCB receives a fee that is computed daily and paid monthly equal to a percentage of the average daily net assets as shown in the table below (%):
INSTITUTIONAL SELECT CLASS A CLASS B CLASS C CLASS CLASS FUND FTAIO 0.25 n/a n/a 0.10 n/a TADE n/a n/a n/a 0.10 n/a TAEI 0.25 n/a n/a 0.10 0.25 TALCG n/a n/a n/a n/a 0.25 TALCV n/a n/a n/a n/a 0.25 TASI n/a n/a n/a 0.10 0.25 TAUSE 0.25 0.25 0.25 0.10 0.25
JPMCB may enter into service contracts with certain entities under which it will pay all or portion of the annual fee to such entities for performing shareholding and administrative services. In addition, JPMCB, Charles Schwab & Co. ("Schwab") and the Trusts are parties to separate servicing and operating agreements (the "Schwab Agreements") whereby Schwab makes shares of the Funds available to customers of investment advisors and other financial intermediaries who are Schwab's clients. The Funds are not responsible for payments to Schwab under the Schwab Agreements; however, in the event the servicing agreement with Schwab is terminated for reasons other than a breach by Schwab and the relationships between JPMST, MFG, JPMIF and JPMCB is terminated, the Funds would be responsible for the ongoing payments to Schwab with respect to pre-termination shares. JPMCB waived fees as outlined in Note 4.F. D. CUSTODIAN AND ACCOUNTING FEES -- JPMCB provides portfolio custody and accounting services for the Funds. Compensation for such services is presented in the Statement of Operations as custodian fees. The custodian fees may be reduced by credits earned by each Fund, based on uninvested cash balances held by the custodian. Such earnings credits are presented separately in the Statement of Operations. E. ADMINISTRATION FEE -- Pursuant to the Administration Agreement, JPMCB (the "Administrator") provides certain administration services to the Funds. In consideration of these services, the Administrator receives a fee computed daily and paid monthly at the annual rate equal to 0.15% of the first $25 billion of the average daily net assets of all non-money market funds in the JPMorgan Fund Complex and 0.075% of the average daily net assets in excess of $25 billion for all Funds. BISYS Fund Services, L.P. ("BISYS") serves as the Funds' sub-administrator. For its services as sub-administrator, BISYS receives a portion of the fees payable to JPMCB as Administrator. The Administrator has contractually agreed to reimburse the Funds to the extent that total operating expenses (excluding interest, taxes, extraordinary expenses and expenses related to the 79 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 FTAIO 1.80 n/a n/a 1.00 n/a TADE n/a n/a n/a 0.55 n/a TAEI 0.75 n/a n/a 0.25 0.50 TALCG n/a n/a n/a n/a 0.85 TALCV n/a n/a n/a n/a 0.85 TASI n/a n/a n/a 0.40* 0.55* TAUSE 1.10 1.60 1.60 0.70 0.84
* For TASI, effective January 1, 2004, the contractual expense cap changed from 0.35% to 0.40% for Institutional Class and from 0.50% to 0.55% for Select Class. The contractual expense limitation agreements were in effect for the six months ended April 30, 2004. The expense limitation percentages in the table above are due to expire as follows:
INSTITUTIONAL SELECT CLASS A CLASS B CLASS C CLASS CLASS FUND FTAIO 2/28/05 n/a n/a 2/28/05 n/a TADE n/a n/a n/a 2/28/05 n/a TAEI 2/28/05 n/a n/a 2/28/05 2/28/05 TALCG n/a n/a n/a n/a 2/28/05 TALCV n/a n/a n/a n/a 2/28/05 TASI n/a n/a n/a 2/28/05 2/28/05 TAUSE 2/28/05 2/28/05 2/28/05 2/28/05 3/31/06
The Administrator waived fees and/or reimbursed expenses as outlined in Note 4.F. F. WAIVERS AND REIMBURSEMENTS -- For the six months ended April 30, 2004, the Funds' service providers waived fees and the Administrator contractually reimbursed expenses for each of the Funds as follows (amounts in thousands). Neither the Funds' service providers nor the administrator expect the Funds to repay any such waived fees and reimbursed expenses in future years. 80
CONTRACTUAL WAIVERS ---------------------------------------------- INVESTMENT SHAREHOLDER CONTRACTUAL ADVISORY ADMINISTRATION SERVICING TOTAL REIMBURSEMENTS FUND FTAIO $ 90 $ 111 $ 71 $ 272 $ 10 TADE -- 43 95 138 -- TAEI 402 1,736 875 3,013 -- TALCG -- -- 19 19 -- TALCV 10 -- -- 10 -- TASI -- 217 281 498 -- TAUSE -- 251 23 274 15 Total $ 502 $ 2,358 $ 1,364 $ 4,224 $ 25
VOLUNTARY WAIVERS ----------------------------------------------------- INVESTMENT SHAREHOLDER ADVISORY ADMINISTRATION SERVICING DISTRIBUTION TOTAL FUND FTAIO $ -- $ 2 $ -- $ -- $ 2 Total $ -- $ 2 $ -- $ -- $ 2
G. OTHER -- Certain officers of the Trusts are officers of J.P. Morgan Chase & Co. or of BISYS or their subsidiaries. During the period, certain Funds may have purchased securities from an underwriting syndicate in which the principal underwriter or members of the syndicate were affiliated with the Advisors. The Funds may use related-party broker/dealers. For the six months ended April 30, 2004, TALCV and TAUSE incurred approximately (amounts in thousands) $18 and $171 respectively, in brokerage commissions with broker/dealers affiliated with JPMCB. The SEC has granted an exemptive order permitting each Fund to engage in principal transactions with J.P. Morgan Securities Inc., an affiliated broker, involving taxable money market instruments subject to certain conditions. 81 5. CLASS SPECIFIC EXPENSES The Funds' class specific expenses for the six months ended April 30, 2004, are as follows (amounts in thousands):
SHAREHOLDER FUND SERVICING DISTRIBUTION TRANSFER AGENT FTAIO Class A $ 8 $ 8 $ 10 Institutional 72 -- 15 -------------------------------------------------------------------------------------------------------------- Total $ 80 $ 8 $ 25 TADE Institutional $ 95 $ -- $ 20 TAEI Class A $ 27 $ 27 $ 10 Institutional 917 -- 26 Select 573 -- 19 -------------------------------------------------------------------------------------------------------------- Total $ 1,517 $ 27 $ 55 TALCG Select $ 335 $ -- $ 11 TALCV Select $ 462 $ -- $ 12 TASI Institutional $ 186 $ -- $ 15 Select 326 -- 11 -------------------------------------------------------------------------------------------------------------- Total $ 512 $ -- $ 26 TAUSE Class A $ 6 $ 6 $ 15 Class B 4 11 9 Class C 1 2 2 Institutional 56 -- 9 Select 890 -- 37 -------------------------------------------------------------------------------------------------------------- Total $ 957 $ 19 $ 72 --------------------------------------------------------------------------------------------------------------
82 6. CLASS SPECIFIC DISTRIBUTIONS The Funds' class specific distributions from net investment income and realized gain on investment transactions for the six months ended April 30, 2004, and the year ended October 31, 2003 are as follows (amounts in thousands):
SIX MONTHS ENDED 04/30/04 YEAR ENDED 10/31/03 ------------------------------------ ------------------------------------ NET NET FUND INVESTMENT INCOME REALIZED GAIN INVESTMENT INCOME REALIZED GAIN FTAIO Class A $ 71 $ -- $ 64 $ -- Class B -- -- 1 -- Class C -- -- -- -- Institutional 2,702 -- 1,521 -- ------------------------------------------------------------------------------------------------------------- Total $ 2,773 $ -- $ 1,586 $ -- TADE Institutional $ 1,120 $ -- $ 2,258 $ -- ------------------------------------------------------------------------------------------------------------- TAEI Class A $ 107 $ -- $ 307 $ -- Institutional 13,654 -- 35,853 -- Select 2,836 -- 6,020 -- ------------------------------------------------------------------------------------------------------------- Total $ 16,597 $ -- $ 42,180 $ -- TALCG Select $ 352 $ -- $ 734 $ -- TALCV Select $ 2,677 $ -- $ 5,208 $ -- TASI Institutional $ 4,286 $ -- $ 3,989 $ -- Select 2,787 1,908 -------------------------------------------------------------------------------------------------------------- Total $ 7,073 $ -- $ 5,897 $ -- TAUSE Class A $ 16 $ -- $ 22 $ -- Class B 4 -- 5 -- Class C --^ -- 1 -- Institutional 767 -- 988 -- Select 2,928 -- 3,076 -- ------------------------------------------------------------------------------------------------------------- Total $ 3,715 $ -- $ 4,092 $ -- -------------------------------------------------------------------------------------------------------------
^ Amount rounds to less than one thousand. 83 7. INVESTMENT TRANSACTIONS For the six months ended April 30, 2004, 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 FTAIO $ 75,576 $ 84,754 $ -- $ -- TADE 35,422 33,961 -- -- TAEI 1,001,145 1,103,736 -- 35,672 TALCG 221,014 246,149 -- -- TALCV 114,342 96,972 -- -- TASI 638,149 444,627 -- -- TAUSE 473,329 322,724 -- --
8. FEDERAL INCOME TAX MATTERS For Federal income tax purposes, the cost and unrealized appreciation (depreciation) in value of the investment securities at April 30, 2004, are as follows (amounts in thousands):
GROSS GROSS NET UNREALIZED AGGREGATE UNREALIZED UNREALIZED APPRECIATION COST APPRECIATION DEPRECIATION (DEPRECIATION) FUND FTAIO $ 120,356 $ 24,868 $ (3,436) $ 21,432 TADE 170,079 30,224 (6,967) 23,257 TAEI 2,272,422 4,156 (5,360) (1,204) TALCG 234,450 21,680 (7,515) 14,165 TALCV 377,037 41,841 (21,847) 19,994 TASI 755,333 855 (7,400) (6,545) TAUSE 893,637 66,669 (34,980) 31,689
9. BANK BORROWINGS Pursuant to a Line of Credit Agreement dated April 17, 2003 the Funds may borrow money for temporary or emergency purposes. The Funds have entered into the agreement, enabling them to participate with other JPMorgan Funds in a line of credit with JPMCB, as administrative agent, and with a syndicate of banks, which permits borrowings up to $250 million, collectively. Interest is charged to each Fund based on its borrowings at an annual rate equal to the sum of the Federal Funds Rate plus 0.50%. The Funds also pay a commitment fee of 0.09% per annum on the average daily amount of the available commitment, which is allocated on a pro-rata basis to the Funds. The commitment fee is included in Other expenses on the Statement of Operations. This agreement expired on April 15, 2004 and has been extended to April 14, 2005. The Funds had no borrowings outstanding at April 30, 2004 nor at anytime during the period then ended. 84 10. CONCENTRATIONS AND INDEMNIFICATIONS FTAIO may have elements of risk not typically associated with investments in the United States of America due to concentrated investments in a limited number of countries or regions, which may vary throughout the year. Such concentrations may subject FTAIO to additional risks resulting from political or economic conditions in such countries or regions and the possible imposition of adverse governmental laws or currency exchange restrictions could cause the securities and their markets to be less liquid and their prices more volatile than those of comparable U.S. securities. As of April 30, 2004 substantially all of the net assets of FTAIO consist of securities of issuers which are denominated in foreign currencies. Changes in currency exchange rates will affect the value of investment income from such securities. As of April 30, 2004 FTAIO invested 23.7% of its total investments in the United Kingdom. The issuers' abilities to meet their obligations may be affected by economic or political developments in the specific region or country. From time to time, the Funds may have a concentration of several shareholders which may be a related party, holding a significant percentage of shares outstanding. Investment activities of these shareholders could have a material impact on the Funds. In the normal course of business the Funds enter into contracts that contain a variety of representations which provide general indemnifications. Each Fund's maximum exposure under these arrangements is unknown as this would involve future claims that may be made against each Fund that have not yet occurred. However, based on experience, the Funds expect the risk of loss to be remote. 11. CORPORATE EVENT On May 25, 2004, J.P. Morgan Chase & Co. and Bank One Corp. announced that, at separate meetings, their respective shareholders had approved the merger of the two companies. The companies are expecting to complete the merger of their holding companies on or about July 1, 2004. 85 12. CAPITAL SHARE TRANSACTIONS Capital share tranactions were as follows for the periods presented (Amounts in thousands):
FLEMING TAX AWARE INTERNATIONAL OPPORTUNITIES FUND ----------------------------------- SIX MONTHS ENDED YEAR ENDED APRIL 30, 2004 OCTOBER 31, 2003 CLASS A SHARES AMOUNT Shares sold $ 278 $ 3,769 Shares issued in reinvestment of distributions 25 22 Shares redeemed (1,781) (5,998) ------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (1,478) $ (2,207) ------------------------------------------------------------------------------------------------------------- SHARES Shares sold 19 358 Shares issued in reinvestment of distributions 2 2 Shares redeemed (120) (546) ------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding (99) (186) ------------------------------------------------------------------------------------------------------------- CLASS B* SHARES AMOUNT Shares sold $ -- $ 21 Shares issued in reinvestment of distributions -- 1 Shares redeemed -- (84) ------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ -- $ (62) ------------------------------------------------------------------------------------------------------------- SHARES Shares sold -- 2 Shares issued in reinvestment of distributions -- --^ Shares redeemed -- (7) ------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding -- (5) -------------------------------------------------------------------------------------------------------------
^ Amount rounds to less than one thousand. * Class ceased operations as of September 12, 2003. 86
FLEMING TAX AWARE INTERNATIONAL OPPORTUNITIES FUND (CONTINUED) ----------------------------------- SIX MONTHS ENDED YEAR ENDED APRIL 30, 2004 OCTOBER 31, 2003 CLASS C* SHARES AMOUNT Shares sold $ -- $ 825 Shares issued in reinvestment of distributions -- --^ Shares redeemed -- (836) ------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ -- $ (11) ------------------------------------------------------------------------------------------------------------- SHARES Shares sold -- 75 Shares issued in reinvestment of distributions -- --^ Shares redeemed -- (76) ------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding -- (1) ------------------------------------------------------------------------------------------------------------- INSTITUTIONAL SHARES AMOUNT Shares sold $ 17,478 $ 27,732 Shares issued in reinvestment of distributions 473 336 Shares redeemed (25,814) (67,484) ------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (7,863) $ (39,416) ------------------------------------------------------------------------------------------------------------- SHARES Shares sold 1,218 2,472 Shares issued in reinvestment of distributions 34 30 Shares redeemed (1,738) (6,140) ------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding (486) (3,638) -------------------------------------------------------------------------------------------------------------
^ Amount rounds to less than one thousand. * Class ceased operations as of September 12, 2003. 87
TAX AWARE DISCIPLINED EQUITY FUND ----------------------------------- SIX MONTHS ENDED YEAR ENDED APRIL 30, 2004 OCTOBER 31, 2003 INSTITUTIONAL SHARES AMOUNT Shares sold $ 19,516 $ 34,911 Subscription in-kind -- 21,173 Shares issued in reinvestment of distributions 829 1,703 Shares redeemed (18,519) (81,796) Redemption in-kind -- (22,866) ------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ 1,826 $ (46,875) ------------------------------------------------------------------------------------------------------------- SHARES Shares sold 1,290 2,855 Subscription in-kind -- 1,812 Shares issued in reinvestment of distributions 55 140 Shares redeemed (1,235) (6,791) Redemption in-kind -- (1,647) ------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding 110 (3,631) -------------------------------------------------------------------------------------------------------------
88
TAX AWARE ENHANCED INCOME FUND ----------------------------------- SIX MONTHS ENDED YEAR ENDED APRIL 30, 2004 OCTOBER 31, 2003 CLASS A SHARES AMOUNT Shares sold $ 10,000 $ 26,951 Shares issued in reinvestment of distributions 93 263 Shares redeemed (10,667) (23,564) ------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (574) $ 3,650 ------------------------------------------------------------------------------------------------------------- SHARES Shares sold 995 2,668 Shares issued in reinvestment of distributions 9 26 Shares redeemed (1,062) (2,333) ------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding (58) 361 ------------------------------------------------------------------------------------------------------------- INSTITUTIONAL SHARES AMOUNT Shares sold $ 483,058 $ 1,652,863 Shares issued in reinvestment of distributions 10,918 30,174 Shares redeemed (791,309) (1,278,324) ------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (297,333) $ 404,713 ------------------------------------------------------------------------------------------------------------- SHARES Shares sold 48,120 163,883 Shares issued in reinvestment of distributions 1,088 2,994 Shares redeemed (78,829) (126,874) ------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding (29,621) 40,003 -------------------------------------------------------------------------------------------------------------
89
TAX AWARE ENHANCED INCOME FUND (CONTINUED) ------------------------------------------ SIX MONTHS ENDED YEAR ENDED APRIL 30, 2004 OCTOBER 31, 2003 SELECT SHARES AMOUNT Shares sold $ 147,820 $ 417,915 Shares issued in reinvestment of distributions 1,050 3,056 Shares redeemed (126,920) (253,391) ------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ 21,950 $ 167,580 ------------------------------------------------------------------------------------------------------------- SHARES Shares sold 14,705 41,364 Shares issued in reinvestment of distributions 104 303 Shares redeemed (12,630) (25,111) ------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding 2,179 16,556 -------------------------------------------------------------------------------------------------------------
90
TAX AWARE LARGE CAP GROWTH FUND ----------------------------------- SIX MONTHS ENDED YEAR ENDED APRIL 30, 2004 OCTOBER 31, 2003 SELECT SHARES AMOUNT Shares sold $ 13,549 $ 35,341 Shares issued in reinvestment of distributions 7 15 Shares redeemed (37,955) (57,206) ------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (24,399) $ (21,850) ------------------------------------------------------------------------------------------------------------- SHARES Shares sold 895 2,626 Shares issued in reinvestment of distributions --^ 1 Shares redeemed (2,486) (4,180) ------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding (1,591) (1,553) -------------------------------------------------------------------------------------------------------------
^ Amount rounds to less than one thousand. 91
TAX AWARE LARGE CAP VALUE FUND ----------------------------------- SIX MONTHS ENDED YEAR ENDED APRIL 30, 2004 OCTOBER 31, 2003 SELECT SHARES AMOUNT Shares sold $ 57,322 $ 55,219 Shares issued in reinvestment of distributions 71 121 Shares redeemed (35,369) (85,359) ------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ 22,024 $ (30,019) ------------------------------------------------------------------------------------------------------------- SHARES Shares sold 2,815 3,339 Shares issued in reinvestment of distributions 4 7 Shares redeemed (1,774) (5,101) ------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding 1,045 (1,755) -------------------------------------------------------------------------------------------------------------
92
TAX AWARE SHORT - INTERMEDIATE INCOME FUND ------------------------------------------ SIX MONTHS ENDED PERIOD ENDED APRIL 30, 2004 OCTOBER 31, 2003* INSTITUTIONAL SHARES AMOUNT Shares sold $ 138,222 $ 374,926 Shares issued in reinvestment of distributions 1,448 1,400 Shares redeemed (78,756) (39,517) ------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ 60,914 $ 336,809 ------------------------------------------------------------------------------------------------------------- SHARES Shares sold 13,726 37,278 Shares issued in reinvestment of distributions 144 139 Shares redeemed (7,816) (3,931) ------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding 6,054 33,486 ------------------------------------------------------------------------------------------------------------- SELECT SHARES AMOUNT Shares sold $ 142,023 $ 216,722 Shares issued in reinvestment of distributions 323 322 Shares redeemed (15,306) (15,921) ------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ 127,040 $ 201,123 ------------------------------------------------------------------------------------------------------------- SHARES Shares sold 14,101 21,556 Shares issued in reinvestment of distributions 32 32 Shares redeemed (1,519) (1,579) ------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding 12,614 20,009 -------------------------------------------------------------------------------------------------------------
* From commencement of offering on December 20, 2002. 93
TAX AWARE U.S. EQUITY FUND ----------------------------------- SIX MONTHS ENDED YEAR ENDED APRIL 30, 2004 OCTOBER 31, 2003 CLASS A SHARES AMOUNT Shares sold $ 902 $ 759 Shares issued in reinvestment of distributions 14 19 Shares redeemed (1,179) (1,365) ------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (263) $ (587) ------------------------------------------------------------------------------------------------------------- SHARES Shares sold 58 57 Shares issued in reinvestment of distributions 1 1 Shares redeemed (74) (105) ------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding (15) (47) ------------------------------------------------------------------------------------------------------------- CLASS B SHARES AMOUNT Shares sold $ 118 $ 708 Shares issued in reinvestment of distributions 3 5 Shares redeemed (148) (1,093) ------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (27) $ (380) ------------------------------------------------------------------------------------------------------------- SHARES Shares sold 7 54 Shares issued in reinvestment of distributions --^ --^ Shares redeemed (9) (81) ------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding (2) (27) -------------------------------------------------------------------------------------------------------------
^ Amount rounds to less than one thousand. 94
TAX AWARE U.S. EQUITY FUND (CONTINUED) -------------------------------------- SIX MONTHS ENDED YEAR ENDED APRIL 30, 2004 OCTOBER 31, 2003 CLASS C SHARES AMOUNT Shares sold $ 74 $ 162 Shares issued in reinvestment of distributions --^ --^ Shares redeemed --^ (105) ------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ 74 $ 57 ------------------------------------------------------------------------------------------------------------- SHARES Shares sold 5 12 Shares issued in reinvestment of distributions --^ --^ Shares redeemed --^ (8) ------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding 5 4 ------------------------------------------------------------------------------------------------------------- INSTITUTIONAL SHARES AMOUNT Shares sold $ 15,413 $ 72,814 Shares issued in connection with Fund Reorganization (Note 2) -- -- Shares issued in reinvestment of distributions 594 700 Shares redeemed (11,371) (20,456) ------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ 4,636 $ 53,058 ------------------------------------------------------------------------------------------------------------- SHARES Shares sold 1,376 7,469 Shares issued in connection with Fund Reorganization (Note 2) -- -- Shares issued in reinvestment of distributions 53 72 Shares redeemed (1,008) (2,100) ------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding 421 5,441 -------------------------------------------------------------------------------------------------------------
^ Amount rounds to less than one thousand. 95
TAX AWARE U.S. EQUITY FUND (CONTINUED) -------------------------------------- SIX MONTHS ENDED YEAR ENDED APRIL 30, 2004 OCTOBER 31, 2003 SELECT SHARES AMOUNT Shares sold $ 177,336 $ 211,352 Shares issued in connection with Fund Reorganization (Note 2) -- 241,297 Shares issued in reinvestment of distributions 676 1,080 Shares redeemed (42,175) (90,106) ------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ 135,837 $ 363,623 ------------------------------------------------------------------------------------------------------------- SHARES Shares sold 11,137 15,611 Shares issued in connection with Fund Reorganization (Note 2) -- 18,573 Shares issued in reinvestment of distributions 43 80 Shares redeemed (2,666) (6,534) ------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding 8,514 27,730 -------------------------------------------------------------------------------------------------------------
96 THIS PAGE IS INTENTIONALLY LEFT BLANK 97 JPMORGAN FUNDS FINANCIAL HIGHLIGHTS (Unaudited) CLASS A 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 FLEMING TAX AWARE INTERNATIONAL OPPORTUNITIES FUND 11/1/03 Through 4/30/04 $ 13.36 0.02^ 1.28 1.30 0.16 -- 0.16 Year Ended 10/31/03 $ 10.90 0.06^ 2.51 2.57 0.11 -- 0.11 Year Ended 10/31/02 $ 12.38 0.06 (1.53) (1.47) 0.01 -- 0.01 4/30/01* Through 10/31/01 $ 15.00 0.08^ (2.70) (2.62) -- -- -- TAX AWARE ENHANCED INCOME FUND 11/1/03 Through 4/30/04 $ 10.05 0.05 (0.03) 0.02 0.05 -- 0.05 Year Ended 10/31/03 $ 10.08 0.14 (0.03) 0.11 0.14 -- 0.14 11/30/01* Through 10/31/02 $ 10.10 0.16 (0.01) 0.15 0.16 0.01 0.17 TAX AWARE U.S. EQUITY FUND 11/1/03 Through 4/30/04 $ 14.89 0.04^ 0.86 0.90 0.05 -- 0.05 Year Ended 10/31/03 $ 12.86 0.09^ 2.01 2.10 0.07 -- 0.07 Year Ended 10/31/02 $ 15.58 0.10 (2.71) (2.61) 0.11 -- 0.11 4/16/01* Through 10/31/01 $ 16.88 0.03^ (1.27) (1.24) 0.06 -- 0.06
* Commencement of offering of class of shares. ^ Calculated based on average shares outstanding. (1) Total return figures do not include the effect of any front-end or deferred sales load. SEE NOTES TO FINANCIAL STATEMENTS. 98 SEMI-ANNUAL REPORT APRIL 30 2004
PER SHARE OPERATING PERFORMANCE: RATIOS/SUPPLEMENTAL DATA: -------------------------------- ---------------------------------------------- RATIOS TO AVERAGE NET ASSETS:# -------------------------------- NET ASSETS, NET NET ASSET END OF INVESTMENT VALUE, END TOTAL PERIOD NET INCOME OF PERIOD RETURN (1)(b) (MILLIONS) EXPENSES (LOSS) FLEMING TAX AWARE INTERNATIONAL OPPORTUNITIES FUND 11/1/03 Through 4/30/04 $ 14.50 9.80% $ 5 1.73% 0.27% Year Ended 10/31/03 $ 13.36 23.77% $ 6 1.80% 0.54% Year Ended 10/31/02 $ 10.90 (11.85%) $ 7 1.80% 0.40% 4/30/01* Through 10/31/01 $ 12.38 (17.47%) $ 4 1.80% 0.29% TAX AWARE ENHANCED INCOME FUND 11/1/03 Through 4/30/04 $ 10.02 0.19% $ 22 0.75% 0.98% Year Ended 10/31/03 $ 10.05 1.12% $ 22 0.75% 1.38% 11/30/01* Through 10/31/02 $ 10.08 1.42% $ 19 0.75% 1.55% TAX AWARE U.S. EQUITY FUND 11/1/03 Through 4/30/04 $ 15.74 6.03% $ 5 1.10% 0.54% Year Ended 10/31/03 $ 14.89 16.37% $ 5 1.10% 0.68% Year Ended 10/31/02 $ 12.86 (16.89%) $ 5 1.10% 0.52% 4/16/01* Through 10/31/01 $ 15.58 (7.38%) $ 1 1.04% 0.33% RATIOS/SUPPLEMENTAL DATA: ------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS:# --------------------------------------------- NET INVESTMENT EXPENSES INCOME (LOSS) WITHOUT WAIVERS, WITHOUT WAIVERS, PORTFOLIO REIMBURSEMENTS REIMBURSEMENTS TURNOVER AND EARNINGS CREDITS AND EARNINGS CREDITS RATE (b) FLEMING TAX AWARE INTERNATIONAL OPPORTUNITIES FUND 11/1/03 Through 4/30/04 2.08% (0.08%) 51% Year Ended 10/31/03 2.41% (0.07%) 79% Year Ended 10/31/02 2.37% (0.17%) 97% 4/30/01* Through 10/31/01 5.48%+ (3.39%)+ 43% TAX AWARE ENHANCED INCOME FUND 11/1/03 Through 4/30/04 1.02% 0.71% 49% Year Ended 10/31/03 1.00% 1.13% 241% 11/30/01* Through 10/31/02 1.06% 1.23% 186% TAX AWARE U.S. EQUITY FUND 11/1/03 Through 4/30/04 1.76% (0.12%) 39% Year Ended 10/31/03 1.90% (0.12%) 13% Year Ended 10/31/02 1.88% (0.26%) 27% 4/16/01* Through 10/31/01 8.73%+ (7.36%)+ 22%
(b) Not annualized for periods less than one year. + Due to the size of net assets and fixed expenses, ratios may appear disproportionate with other classes. # Short periods have been annualized. SEE NOTES TO FINANCIAL STATEMENTS. 99 CLASS B 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 TAX AWARE U.S. EQUITY FUND 11/1/03 Through 4/30/04 $ 14.75 --^! 0.85 0.85 0.02 -- 0.02 Year Ended 10/31/03 $ 12.76 0.02^ 1.99 2.01 0.02 -- 0.02 Year Ended 10/31/02 $ 15.47 0.03 (2.71) (2.68) 0.03 -- 0.03 4/16/01* Through 10/31/01 $ 16.88 (0.03)^ (1.33) (1.36) 0.05 -- 0.05
* Commencement of offering of class of shares. ^ Calculated based on average shares outstanding. ^^ Amount rounds to less than .005%. (1) Total return figures do not include the effect of any front-end or deferred sales load. SEE NOTES TO FINANCIAL STATEMENTS. 100
PER SHARE OPERATING PERFORMANCE: RATIOS/SUPPLEMENTAL DATA: -------------------------------- ---------------------------------------------- RATIOS TO AVERAGE NET ASSETS:# -------------------------------- NET ASSETS, NET NET ASSET END OF INVESTMENT VALUE, END TOTAL PERIOD NET INCOME OF PERIOD RETURN (1)(b) (MILLIONS) EXPENSES (LOSS) TAX AWARE U.S. EQUITY FUND 11/1/03 Through 4/30/04 $ 15.58 5.75% $ 3 1.60% 0.04% Year Ended 10/31/03 $ 14.75 15.82% $ 3 1.60% 0.18% Year Ended 10/31/02 $ 12.76 (17.35%) $ 3 1.60% 0.00%^^ 4/16/01* Through 10/31/01 $ 15.47 (8.09%) $ 1 1.60% (0.35%) RATIOS/SUPPLEMENTAL DATA: ----------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS:# --------------------------------------------- NET INVESTMENT EXPENSES INCOME (LOSS) WITHOUT WAIVERS, WITHOUT WAIVERS, PORTFOLIO REIMBURSEMENTS REIMBURSEMENTS TURNOVER AND EARNINGS CREDITS AND EARNINGS CREDITS RATE (b) TAX AWARE U.S. EQUITY FUND 11/1/03 Through 4/30/04 2.26% (0.62%) 39% Year Ended 10/31/03 2.40% (0.62%) 13% Year Ended 10/31/02 2.39% (0.79%) 27% 4/16/01* Through 10/31/01 7.71%+ (6.46%)+ 22%
(b) Not annualized for periods less than one year. + Due to the size of net assets and fixed expenses, ratios may appear disproportionate with other classes. # Short periods have been annualized. ! Amount rounds to less than .005. SEE NOTES TO FINANCIAL STATEMENTS. 101 CLASS C 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 TAX AWARE U.S. EQUITY FUND 11/1/03 Through 4/30/04 $ 14.72 --^! 0.85 0.85 0.02 -- 0.02 Year Ended 10/31/03 $ 12.74 0.02^ 1.99 2.01 0.03 -- 0.03 Year Ended 10/31/02 $ 15.45 0.04 (2.71) (2.67) 0.04 -- 0.04 4/16/01* Through 10/31/01 $ 16.88 (0.02)^ (1.35) (1.37) 0.06 -- 0.06
* Commencement of offering of class of shares. ^ Calculated based on average shares outstanding. ^^ Amount rounds to less than .005%. @ Amount rounds to less than one million. (1) Total return figures do not include the effect of any front-end or deferred sales load. SEE NOTES TO FINANCIAL STATEMENTS. 102
PER SHARE OPERATING PERFORMANCE: RATIOS/SUPPLEMENTAL DATA: -------------------------------- ---------------------------------------------- RATIOS TO AVERAGE NET ASSETS:# -------------------------------- NET ASSETS, NET NET ASSET END OF INVESTMENT VALUE, END TOTAL PERIOD NET INCOME OF PERIOD RETURN (1)(b) (MILLIONS) EXPENSES (LOSS) TAX AWARE U.S. EQUITY FUND 11/1/03 Through 4/30/04 $ 15.55 5.77% $ --@ 1.60% 0.05% Year Ended 10/31/03 $ 14.72 15.80% $ --@ 1.60% 0.18% Year Ended 10/31/02 $ 12.74 (17.35%) $ --@ 1.60% 0.00%^^ 4/16/01* Through 10/31/01 $ 15.45 (8.16%) $ --@ 1.57% (0.17%) RATIOS/SUPPLEMENTAL DATA: ----------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS:# --------------------------------------------- NET INVESTMENT EXPENSES INCOME (LOSS) WITHOUT WAIVERS, WITHOUT WAIVERS, PORTFOLIO REIMBURSEMENTS REIMBURSEMENTS TURNOVER AND EARNINGS CREDITS AND EARNINGS CREDITS RATE (b) TAX AWARE U.S. EQUITY FUND 11/1/03 Through 4/30/04 2.26% (0.61%) 39% Year Ended 10/31/03 2.40% (0.62%) 13% Year Ended 10/31/02 2.38% (0.78%) 27% 4/16/01* Through 10/31/01 23.55%+ (22.15%)+ 22%
(b) Not annualized for periods less than one year. + Due to the size of net assets and fixed expenses, ratios may appear disproportionate with other classes. # Short periods have been annualized. ! Amount rounds to less than .005. SEE NOTES TO FINANCIAL STATEMENTS. 103 INSTITUTIONAL CLASS 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 FLEMING TAX AWARE INTERNATIONAL OPPORTUNITIES FUND 11/1/03 Through 4/30/04 $ 13.60 0.08^ 1.29 1.37 0.27 -- 0.27 Year Ended 10/31/03 $ 11.02 0.15^ 2.55 2.70 0.12 -- 0.12 Year Ended 10/31/02 $ 12.43 0.14 (1.51) (1.37) 0.04 -- 0.04 5/1/01* Through 10/31/01 $ 15.00 0.07^ (2.64) (2.57) -- -- -- TAX AWARE DISCIPLINED EQUITY FUND 11/1/03 Through 4/30/04 $ 14.02 0.08 0.88 0.96 0.09 -- 0.09 Year Ended 10/31/03 $ 11.74 0.15 2.28 2.43 0.15 -- 0.15 Year Ended 10/31/02 $ 14.36 0.14 (2.57) (2.43) 0.19 -- 0.19 Year Ended 10/31/01 $ 18.87 0.14 (4.57) (4.43) 0.08 -- 0.08 Year Ended 10/31/00 $ 18.19 0.15 0.68 0.83 0.15 -- 0.15 Year Ended 10/31/99 $ 14.71 0.15 3.48 3.63 0.15 -- 0.15 TAX AWARE ENHANCED INCOME FUND 11/1/03 Through 4/30/04 $ 10.05 0.07 (0.04) 0.03 0.07 -- 0.07 Year Ended 10/31/03 $ 10.07 0.19 (0.02) 0.17 0.19 -- 0.19 Year Ended 10/31/02 $ 10.10 0.22 (0.01) 0.21 0.23 0.01 0.24 Year Ended 10/31/01^^ $ 9.95 0.39 0.15 0.54 0.39 -- 0.39 Year Ended 10/31/00^^ $ 9.95 0.45 -- 0.45 0.45 -- 0.45 4/16/99* Through 10/31/99^^ $ 10.00 0.20 (0.05) 0.15 0.20 -- 0.20
* Commencement of offering of class of shares. ^^ On August 17, 2001, the class underwent a reverse split of shares. Prior periods have been restated to reflect the split (1 to 5). ^ Calculated based on average shares outstanding. SEE NOTES TO FINANCIAL STATEMENTS. 104
PER SHARE OPERATING PERFORMANCE: RATIOS/SUPPLEMENTAL DATA: -------------------------------- ---------------------------------------------- RATIOS TO AVERAGE NET ASSETS:# -------------------------------- NET ASSETS, NET NET ASSET END OF INVESTMENT VALUE, END TOTAL PERIOD NET INCOME OF PERIOD RETURN (b) (MILLIONS) EXPENSES (LOSS) FLEMING TAX AWARE INTERNATIONAL OPPORTUNITIES FUND 11/1/03 Through 4/30/04 $ 14.70 10.17% $ 139 1.00% 1.06% Year Ended 10/31/03 $ 13.60 24.74% $ 135 1.00% 1.31% Year Ended 10/31/02 $ 11.02 (11.08%) $ 149 1.00% 1.08% 5/1/01* Through 10/31/01 $ 12.43 (17.13%) $ 176 1.00% 1.09% TAX AWARE DISCIPLINED EQUITY FUND 11/1/03 Through 4/30/04 $ 14.89 6.83% $ 193 0.55% 1.08% Year Ended 10/31/03 $ 14.02 20.91% $ 181 0.55% 1.21% Year Ended 10/31/02 $ 11.74 (17.13%) $ 194 0.55% 0.93% Year Ended 10/31/01 $ 14.36 (23.55%) $ 313 0.55% 0.77% Year Ended 10/31/00 $ 18.87 4.54% $ 478 0.55% 0.78% Year Ended 10/31/99 $ 18.19 24.72% $ 341 0.55% 0.94% TAX AWARE ENHANCED INCOME FUND 11/1/03 Through 4/30/04 $ 10.01 0.34% $ 1,763 0.25% 1.48% Year Ended 10/31/03 $ 10.05 1.73% $ 2,068 0.25% 1.88% Year Ended 10/31/02 $ 10.07 2.01% $ 1,671 0.25% 2.20% Year Ended 10/31/01^^ $ 10.10 5.63% $ 951 0.25% 3.80% Year Ended 10/31/00^^ $ 9.95 4.55% $ 299 0.25% 4.43% 4/16/99* Through 10/31/99^^ $ 9.95 1.57% $ 355 0.25% 4.01% RATIOS/SUPPLEMENTAL DATA: ----------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS:# --------------------------------------------- NET INVESTMENT EXPENSES INCOME (LOSS) WITHOUT WAIVERS, WITHOUT WAIVERS, PORTFOLIO REIMBURSEMENTS REIMBURSEMENTS TURNOVER AND EARNINGS CREDITS AND EARNINGS CREDITS RATE (b) FLEMING TAX AWARE INTERNATIONAL OPPORTUNITIES FUND 11/1/03 Through 4/30/04 1.38% 0.68% 51% Year Ended 10/31/03 1.41% 0.90% 79% Year Ended 10/31/02 1.32% 0.76% 97% 5/1/01* Through 10/31/01 1.33% 0.76% 43% TAX AWARE DISCIPLINED EQUITY FUND 11/1/03 Through 4/30/04 0.70% 0.93% 18% Year Ended 10/31/03 0.71% 1.05% 46% Year Ended 10/31/02 0.70% 0.78% 60% Year Ended 10/31/01 0.60% 0.72% 44% Year Ended 10/31/00 0.59% 0.74% 51% Year Ended 10/31/99 0.65% 0.84% 40% TAX AWARE ENHANCED INCOME FUND 11/1/03 Through 4/30/04 0.53% 1.20% 49% Year Ended 10/31/03 0.53% 1.60% 241% Year Ended 10/31/02 0.54% 1.90% 186% Year Ended 10/31/01^^ 0.50% 3.55% 142% Year Ended 10/31/00^^ 0.50% 4.18% 172% 4/16/99* Through 10/31/99^^ 0.57% 3.69% 69%
(b) Not annualized for periods less than one year. # Short periods have been annualized. SEE NOTES TO FINANCIAL STATEMENTS. 105
PER SHARE OPERATING PERFORMANCE: --------------------------------------------------------------------------------------------- INCOME FROM INVESTMENT OPERATIONS: LESS DISTRIBUTIONS: -------------------------------------- ---------------------------------------- NET GAINS OR LOSSES ON NET ASSET NET SECURITIES DIVIDENDS VALUE, INVESTMENT (BOTH TOTAL FROM FROM NET DISTRIBUTIONS BEGINNING INCOME REALIZED AND INVESTMENT INVESTMENT FROM CAPITAL TOTAL OF PERIOD (LOSS) UNREALIZED) OPERATIONS INCOME GAINS DISTRIBUTIONS TAX AWARE SHORT - INTERMEDIATE INCOME FUND 11/1/03 Through 4/30/04 $ 10.05 0.12^ (0.12) (0.00) 0.12 -- 0.12 12/20/02* Through 10/31/03 $ 10.00 0.20^ 0.04 0.24 0.19 -- 0.19 TAX AWARE U.S. EQUITY FUND 11/1/03 Through 4/30/04 $ 10.57 0.05^ 0.61 0.66 0.08 -- 0.08 Year Ended 10/31/03 $ 9.17 0.11^ 1.42 1.53 0.13 -- 0.13 Year Ended 10/31/02 $ 11.15 0.12 (1.94) (1.82) 0.16 -- 0.16 Year Ended 10/31/01 $ 14.73 0.08^ (3.55) (3.47) 0.11 -- 0.11 9/15/00* Through 10/31/00 $ 15.00 0.01^ (0.28) (0.27) -- -- --
* Commencement of offering of class of shares. ^ Calculated based on average shares outstanding. SEE NOTES TO FINANCIAL STATEMENTS. 106
PER SHARE OPERATING PERFORMANCE: RATIOS/SUPPLEMENTAL DATA: -------------------------------- ---------------------------------------------- RATIOS TO AVERAGE NET ASSETS:# -------------------------------- NET ASSETS, NET NET ASSET END OF INVESTMENT VALUE, END TOTAL PERIOD NET INCOME OF PERIOD RETURN (b) (MILLIONS) EXPENSES (LOSS) TAX AWARE SHORT - INTERMEDIATE INCOME FUND 11/1/03 Through 4/30/04 $ 9.93 (0.05%) $ 393 0.38% 2.31% 12/20/02* Through 10/31/03 $ 10.05 2.41% $ 336 0.35% 2.34% TAX AWARE U.S. EQUITY FUND 11/1/03 Through 4/30/04 $ 11.15 6.20% $ 116 0.70% 0.94% Year Ended 10/31/03 $ 10.57 16.89% $ 105 0.70% 1.09% Year Ended 10/31/02 $ 9.17 (16.50%) $ 41 0.70% 0.92% Year Ended 10/31/01 $ 11.15 (23.67%) $ 12 0.70% 0.69% 9/15/00* Through 10/31/00 $ 14.73 (1.80%) $ --@ 0.70% 0.51% RATIOS/SUPPLEMENTAL DATA: ----------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS:# --------------------------------------------- NET INVESTMENT EXPENSES INCOME (LOSS) WITHOUT WAIVERS, WITHOUT WAIVERS, PORTFOLIO REIMBURSEMENTS REIMBURSEMENTS TURNOVER AND EARNINGS CREDITS AND EARNINGS CREDITS RATE (b) TAX AWARE SHORT - INTERMEDIATE INCOME FUND 11/1/03 Through 4/30/04 0.54% 2.15% 68% 12/20/02* Through 10/31/03 0.57% 2.12% 274% TAX AWARE U.S. EQUITY FUND 11/1/03 Through 4/30/04 0.76% 0.88% 39% Year Ended 10/31/03 0.79% 1.00% 13% Year Ended 10/31/02 0.84% 0.78% 27% Year Ended 10/31/01 0.93% 0.46% 22% 9/15/00* Through 10/31/00 0.85% 0.36% 15%
@ Amount rounds to less than one million. (b) Not annualized for periods less than one year. # Short periods have been annualized. SEE NOTES TO FINANCIAL STATEMENTS. 107 SELECT CLASS 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 TAX AWARE ENHANCED INCOME FUND 11/1/03 Through 4/30/04 $ 10.06 0.06 (0.04) 0.02 0.06 -- 0.06 Year Ended 10/31/03 $ 10.08 0.17 (0.02) 0.15 0.17 -- 0.17 Year Ended 10/31/02 $ 10.11 0.20 (0.02) 0.18 0.20 0.01 0.21 Year Ended 10/31/01^^ $ 9.95 0.36 0.16 0.52 0.36 -- 0.36 Year Ended 10/31/00^^ $ 9.95 0.40 -- 0.40 0.40 -- 0.40 5/6/99* Through 10/31/99^^ $ 10.00 0.20 (0.05) 0.15 0.20 -- 0.20 TAX AWARE LARGE CAP GROWTH FUND^ 11/1/03 Through 4/30/04 $ 14.79 0.02 0.20 0.22 0.02 -- 0.02 Year Ended 10/31/03 $ 13.03 0.05 1.75 1.80 0.04 -- 0.04 1/1/02 Through 10/31/02** $ 17.39 0.04 (4.36) (4.32) 0.04 -- 0.04 11/1/01 Through 12/31/01*** $ 16.32 0.02 1.07 1.09 0.02 -- 0.02 Year Ended 10/31/01 $ 42.93 0.04 (11.41) (11.37) 0.04 15.20 15.24 Year Ended 10/31/00 $ 47.54 0.04 (0.07) (0.03) 0.03 4.55 4.58 Year Ended 10/31/99+ $ 37.36 0.30 13.66 13.96 0.30 3.48 3.78 TAX AWARE LARGE CAP VALUE FUND@@ 11/1/03 Through 4/30/04 $ 18.65 0.12 1.37 1.49 0.14 -- 0.14 Year Ended 10/31/03 $ 16.01 0.26 2.64 2.90 0.26 -- 0.26 1/1/02 Through 10/31/02** $ 19.74 0.22 (3.74) (3.52) 0.21 -- 0.21 11/1/01 Through 12/31/01*** $ 18.44 0.03 1.30 1.33 0.03 -- 0.03 Year Ended 10/31/01 $ 25.57 0.20 (5.41) (5.21) 0.19 1.73 1.92 Year Ended 10/31/00 $ 27.53 0.21 1.40 1.61 0.17 3.40 3.57 Year Ended 10/31/99+ $ 28.89 0.65 1.69 2.34 0.67 3.03 3.70
* Commencement of offering of class of shares. ** The fund changed its fiscal year end from December 31 to October 31. *** The fund changed its fiscal year end from October 31 to December 31. ^ Formerly JPMorgan Select Large Cap Growth Fund. @@ Formerly JPMorgan Select Equity Income Fund. ^^ On August 17, 2001, the class underwent a reverse split of shares. Prior periods have been restated to reflect the split (1 to 5). + On November 20, 1998, the Fund underwent a split of shares. Beginning net asset value was restated to reflect the split. SEE NOTES TO FINANCIAL STATEMENTS. 108
PER SHARE OPERATING PERFORMANCE: RATIOS/SUPPLEMENTAL DATA: -------------------------------- ---------------------------------------------- RATIOS TO AVERAGE NET ASSETS:# -------------------------------- NET ASSETS, NET NET ASSET END OF INVESTMENT VALUE, END TOTAL PERIOD NET INCOME OF PERIOD RETURN (b) (MILLIONS) EXPENSES (LOSS) TAX AWARE ENHANCED INCOME FUND 11/1/03 Through 4/30/04 $ 10.02 0.22% $ 464 0.50% 1.23% Year Ended 10/31/03 $ 10.06 1.48% $ 444 0.50% 1.61% Year Ended 10/31/02 $ 10.08 1.75% $ 278 0.50% 1.94% Year Ended 10/31/01^^ $ 10.11 5.47% $ 186 0.50% 3.51% Year Ended 10/31/00^^ $ 9.95 4.29% $ 37 0.50% 4.23% 5/6/99* Through 10/31/99^^ $ 9.95 1.29% $ 28 0.50% 3.75% TAX AWARE LARGE CAP GROWTH FUND^ 11/1/03 Through 4/30/04 $ 14.99 1.48% $ 248 0.85% 0.12% Year Ended 10/31/03 $ 14.79 13.84% $ 268 0.85% 0.35% 1/1/02 Through 10/31/02** $ 13.03 (24.84%) $ 257 0.68% 0.34% 11/1/01 Through 12/31/01*** $ 17.39 6.70% $ 433 0.55% 0.56% Year Ended 10/31/01 $ 16.32 (33.30%) $ 423 0.49% 0.21% Year Ended 10/31/00 $ 42.93 (0.91%) $ 839 0.47% 0.08% Year Ended 10/31/99+ $ 47.54 39.78% $ 901 0.03% 0.69% TAX AWARE LARGE CAP VALUE FUND@@ 11/1/03 Through 4/30/04 $ 20.00 8.01% $ 395 0.85% 1.21% Year Ended 10/31/03 $ 18.65 18.34% $ 349 0.85% 1.55% 1/1/02 Through 10/31/02** $ 16.01 (17.94%) $ 327 0.79% 1.43% 11/1/01 Through 12/31/01*** $ 19.74 7.20% $ 415 0.69% 0.91% Year Ended 10/31/01 $ 18.44 (21.43%) $ 406 0.69% 0.93% Year Ended 10/31/00 $ 25.57 6.35% $ 625 0.68% 0.83% Year Ended 10/31/99+ $ 27.53 8.18% $ 787 0.03% 2.25% RATIOS/SUPPLEMENTAL DATA: ----------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS:# --------------------------------------------- NET INVESTMENT EXPENSES INCOME (LOSS) WITHOUT WAIVERS, WITHOUT WAIVERS, PORTFOLIO REIMBURSEMENTS REIMBURSEMENTS TURNOVER AND EARNINGS CREDITS AND EARNINGS CREDITS RATE (b) TAX AWARE ENHANCED INCOME FUND 11/1/03 Through 4/30/04 0.68% 1.05% 49% Year Ended 10/31/03 0.69% 1.42% 241% Year Ended 10/31/02 0.70% 1.74% 186% Year Ended 10/31/01^^ 0.67% 3.34% 142% Year Ended 10/31/00^^ 0.67% 4.06% 172% 5/6/99* Through 10/31/99^^ 0.72% 3.53% 69% TAX AWARE LARGE CAP GROWTH FUND^ 11/1/03 Through 4/30/04 0.86% 0.11% 84% Year Ended 10/31/03 0.87% 0.33% 35% 1/1/02 Through 10/31/02** 0.85% 0.17% 46% 11/1/01 Through 12/31/01*** 0.85% 0.26% 3% Year Ended 10/31/01 0.85% (0.15%) 84% Year Ended 10/31/00 0.80% (0.25%) 74% Year Ended 10/31/99+ 0.59% 0.13% 26% TAX AWARE LARGE CAP VALUE FUND@@ 11/1/03 Through 4/30/04 0.86% 1.20% 26% Year Ended 10/31/03 0.85% 1.55% 33% 1/1/02 Through 10/31/02** 0.85% 1.37% 80% 11/1/01 Through 12/31/01*** 0.85% 0.75% 0% Year Ended 10/31/01 0.87% 0.75% 8% Year Ended 10/31/00 0.80% 0.71% 43% Year Ended 10/31/99+ 0.58% 1.70% 146%
(b) Not annualized for periods less than one year. # Short periods have been annualized. SEE NOTES TO FINANCIAL STATEMENTS. 109
PER SHARE OPERATING PERFORMANCE: --------------------------------------------------------------------------------------------- INCOME FROM INVESTMENT OPERATIONS: LESS DISTRIBUTIONS: -------------------------------------- ---------------------------------------- NET GAINS OR LOSSES ON NET ASSET NET SECURITIES DIVIDENDS VALUE, INVESTMENT (BOTH TOTAL FROM FROM NET DISTRIBUTIONS BEGINNING INCOME REALIZED AND INVESTMENT INVESTMENT FROM CAPITAL TOTAL OF PERIOD (LOSS) UNREALIZED) OPERATIONS INCOME GAINS DISTRIBUTIONS TAX AWARE SHORT - INTERMEDIATE INCOME FUND 11/1/03 Through 4/30/04 $ 10.05 0.11^ (0.12) (0.01) 0.11 -- 0.11 12/20/02* Through 10/31/03 $ 10.00 0.19^ 0.04 0.23 0.18 -- 0.18 TAX AWARE U.S. EQUITY FUND 11/1/03 Through 4/30/04 $ 14.90 0.06^ 0.86 0.92 0.06 -- 0.06 Year Ended 10/31/03 $ 12.88 0.12^ 2.01 2.13 0.11 -- 0.11 Year Ended 10/31/02 $ 15.59 0.10 (2.69) (2.59) 0.12 -- 0.12 Year Ended 10/31/01 $ 20.51 0.10^ (4.96) (4.86) 0.06 -- 0.06 Year Ended 10/31/00 $ 18.73 0.09 1.77 1.86 0.08 -- 0.08 Year Ended 10/31/99 $ 15.19 0.10 3.55 3.65 0.11 -- 0.11
* Commencement of offering of shares. ^ Calculated based on average shares outstanding. SEE NOTES TO FINANCIAL STATEMENTS. 110
PER SHARE OPERATING PERFORMANCE: RATIOS/SUPPLEMENTAL DATA: -------------------------------- ---------------------------------------------- RATIOS TO AVERAGE NET ASSETS:# -------------------------------- NET ASSETS, NET NET ASSET END OF INVESTMENT VALUE, END TOTAL PERIOD NET INCOME OF PERIOD RETURN (b) (MILLIONS) EXPENSES (LOSS) TAX AWARE SHORT - INTERMEDIATE INCOME FUND 11/1/03 Through 4/30/04 $ 9.93 (0.12%) $ 324 0.54% 2.16% 12/20/02* Through 10/31/03 $ 10.05 2.28% $ 201 0.50% 2.22% TAX AWARE U.S. EQUITY FUND 11/1/03 Through 4/30/04 $ 15.76 6.20% $ 800 0.84% 0.80% Year Ended 10/31/03 $ 14.90 16.64% $ 630 0.84% 0.92% Year Ended 10/31/02 $ 12.88 (16.70%) $ 187 0.84% 0.73% Year Ended 10/31/01 $ 15.59 (23.76%) $ 212 0.84% 0.56% Year Ended 10/31/00 $ 20.51 9.96% $ 249 0.85% 0.46% Year Ended 10/31/99 $ 18.73 24.05% $ 163 0.85% 0.58% RATIOS/SUPPLEMENTAL DATA: ------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS:# --------------------------------------------- NET INVESTMENT EXPENSES INCOME (LOSS) WITHOUT WAIVERS, WITHOUT WAIVERS, PORTFOLIO REIMBURSEMENTS REIMBURSEMENTS TURNOVER AND EARNINGS CREDITS AND EARNINGS CREDITS RATE (b) TAX AWARE SHORT - INTERMEDIATE INCOME FUND 11/1/03 Through 4/30/04 0.69% 2.01% 68% 12/20/02* Through 10/31/03 0.72% 2.00% 274% TAX AWARE U.S. EQUITY FUND 11/1/03 Through 4/30/04 0.90% 0.74% 39% Year Ended 10/31/03 0.93% 0.83% 13% Year Ended 10/31/02 0.97% 0.60% 27% Year Ended 10/31/01 0.87% 0.53% 22% Year Ended 10/31/00 0.85% 0.46% 15% Year Ended 10/31/99 0.90% 0.53% 29%
(b) Not annualized for periods less than one year. # Short periods have been annualized. SEE NOTES TO FINANCIAL STATEMENTS. 111 JPMORGAN FAMILY OF FUNDS U.S. EQUITY FUNDS CAPITAL GROWTH FUND DISCIPLINED EQUITY FUND DIVERSIFIED FUND DYNAMIC SMALL CAP FUND EQUITY GROWTH FUND EQUITY INCOME FUND GROWTH AND INCOME FUND MID CAP EQUITY FUND MID CAP GROWTH FUND MID CAP VALUE FUND SMALL CAP EQUITY FUND SMALL CAP GROWTH FUND TRUST SMALL CAP EQUITY FUND U.S. EQUITY FUND U.S. SMALL COMPANY FUND U.S. SMALL COMPANY OPPORTUNITIES FUND VALUE OPPORTUNITIES FUND INTERNATIONAL EQUITY FUNDS FLEMING ASIA EQUITY FUND FLEMING EMERGING MARKETS EQUITY FUND FLEMING INTREPID EUROPEAN FUND FLEMING INTERNATIONAL EQUITY FUND FLEMING INTERNATIONAL GROWTH FUND FLEMING INTERNATIONAL OPPORTUNITIES FUND FLEMING INTERNATIONAL VALUE FUND FLEMING JAPAN FUND SPECIALTY FUNDS GLOBAL 50 FUND GLOBAL HEALTHCARE FUND MARKET NEUTRAL FUND TAX AWARE FUNDS FLEMING TAX AWARE INTERNATIONAL OPPORTUNITIES FUND TAX AWARE DISCIPLINED EQUITY FUND TAX AWARE ENHANCED INCOME FUND TAX AWARE LARGE CAP GROWTH FUND TAX AWARE LARGE CAP VALUE FUND TAX AWARE SHORT-INTERMEDIATE INCOME FUND TAX AWARE U.S. EQUITY FUND INCOME FUNDS BOND FUND BOND FUND II ENHANCED INCOME FUND FLEMING EMERGING MARKETS DEBT FUND GLOBAL STRATEGIC INCOME FUND SHORT TERM BOND FUND SHORT TERM BOND FUND II STRATEGIC INCOME FUND U.S. TREASURY INCOME FUND TAX FREE FUNDS CALIFORNIA BOND FUND INTERMEDIATE TAX FREE INCOME FUND NEW JERSEY TAX FREE INCOME FUND NEW YORK INTERMEDIATE TAX FREE INCOME FUND TAX FREE INCOME FUND MONEY MARKET FUNDS 100% U.S. TREASURY SECURITIES MONEY MARKET FUND CALIFORNIA TAX FREE MONEY MARKET FUND FEDERAL MONEY MARKET FUND LIQUID ASSETS MONEY MARKET FUND NEW YORK TAX FREE MONEY MARKET FUND PRIME MONEY MARKET FUND TAX FREE MONEY MARKET FUND TREASURY PLUS MONEY MARKET FUND U.S. GOVERNMENT MONEY MARKET FUND UNDISCOVERED MANAGERS FUNDS BEHAVIORAL GROWTH FUND BEHAVIORAL VALUE FUND REIT FUND SMALL CAP GROWTH FUND FUNDS MAY BE REGISTERED UNDER SEPARATE REGISTRANTS. 112 [JPMORGAN FLEMING ASSET MANAGEMENT LOGO] JPMorgan Funds are distributed by J.P. Morgan Fund Distributors, Inc., which is unaffiliated with The JPMorgan Chase Bank. JPMorgan Chase and its respective affiliates receive compensation from JPMorgan Funds for providing services to the Funds. This report is submitted for the general information of the shareholders of the funds. It is not authorized for distribution to prospective investors in the funds unless preceded or accompanied by a prospectus. 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 thereon. Investors should carefully read the fund prospectus which includes information on the Fund's investment objectives, risk, as well as charges and expenses along with other information. Investors should review the information in the prospectus carefully before investing. For up to date month-end performance information, or to receive a fund prospectus please call 800 348-4782. Please read carefully before investing or sending money. A list of portfolio holdings is available fifteen days after month end upon request. Please contact your JPMorgan Fleming representative or call 1-800-766-7722 to obtain further information. A copy of proxy policies and procedures are available without charge upon request by calling 1-800-348-4782 and on the Commission's website at http://www.sec.gov. JPMorgan Funds Fulfillment Center PRSRT STD 600 North Bedford Street U.S. POSTAGE East Bridgewater, MA 02333 PAID PERMIT 2891 KANSAS CITY, MO (C) J.P. Morgan Chase & Co., 2004 All rights reserved. June 2004. SAN-TA-404 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 FOR ANNUAL REPORTS. 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 FOR ANNUAL REPORTS. 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 FOR ANNUAL REPORTS. ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS. (a) If the registrant is a listed issuer as defined in Rule 10A-3 under the Exchange Act (17CFR 240.10A-3), state whether or not the registrant has a separately-designated standing audit committee established in accordance with Section 3(a)(58)(A) of the Exchange Act (15 U.S.C. 78c(a)(58)(A)). If the registrant has such a committee, however designated, identify each committee member. If the entire board of directors is acting as the registrant's audit committee as specified in Section 3(a)(58)(B) of the Exchange Act (15 U.S.C. 78c(a)(58)(B)), so state. (b) If applicable, provide the disclosure required by Rule 10A-3(d) under the Exchange Act (17CFR 240.10A-3(d)) regarding an exemption from the listing standards for all audit committees. NOT APPLICABLE. ITEM 6. SCHEDULE OF INVESTMENTS. File Schedule I - Investments in securities of unaffiliated issuers as of the close of the reporting period as set forth in Section 210.12-12 of Regulation S-X, unless the schedule is included as part of the report to shareholders filed under Item 1 of this Form. NOT APPLICABLE. 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. ITEM 8. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS. (a) If the registrant is a closed-end management investment company, provide the information specified in paragraph (b) of this Item with respect to any purchase made by or on behalf of the registrant or any "affiliated purchaser," as defined in Rule 10b-18(a)(3) under the Exchange Act (17 CFR 240.10b-18(a)(3)), of shares or other units of any class of the registrant's equity securities that is registered by the registrant pursuant to Section 12 of the Exchange Act (15 U.S.C. 781). NOT APPLICABLE. ITEM 9. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS. Describe any material changes to the procedures by which shareholders may recommend nominees to the registrant's board of directors, where those changes were implemented after the registrant last provided disclosure in response to the requirements of Item 7(d)(2)(ii)(G) of Schedule 14A (17 CFR 240.14a-101), or this Item. NOT APPLICABLE. ITEM 10. CONTROLS AND PROCEDURES. (a) Disclose the conclusions of the registrant's principal executive and principal financial officers, or persons performing similar functions, regarding the effectiveness of the registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Act (17 CFR 270.30a-3(c))) as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Exchange Act (17 CFR 240.13a-15(b) or 240.15d-15(b)). THE REGISTRANT'S PRINCIPAL EXECUTIVE AND PRINCIPAL FINANCIAL OFFICERS HAVE CONCLUDED, BASED ON THEIR EVALUATION OF THE REGISTRANT'S DISCLOSURE CONTROLS AND PROCEDURES AS OF A DATE WITHIN 90 DAYS OF THE FILING DATE OF THIS REPORT, THAT THE REGISTRANT'S DISCLOSURE CONTROLS AND PROCEDURES ARE REASONABLY DESIGNED TO ENSURE THAT INFORMATION REQUIRED TO BE DISCLOSED BY THE REGISTRANT ON FORM N-CSR IS RECORDED, PROCESSED, SUMMARIZED AND REPORTED WITHIN THE REQUIRED TIME PERIODS AND THAT INFORMATION REQUIRED TO BE DISCLOSED BY THE REGISTRANT IN THE REPORTS THAT IT FILES OR SUBMITS ON FORM N-CSR IS ACCUMULATED AND COMMUNICATED TO THE REGISTRANT'S MANAGEMENT, INCLUDING ITS PRINCIPAL EXECUTIVE AND PRINCIPAL FINANCIAL OFFICERS, AS APPROPRIATE TO ALLOW TIMELY DECISIONS REGARDING REQUIRED DISCLOSURE. (b) Disclose any change in the registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the Act (17 CFR 270.30a-3(d)) that occurred during the registrant's last 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. THERE WERE 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 HAVE MATERIALLY AFFECTED, OR ARE REASONABLY LIKELY TO MATERIALLY AFFECT, THE REGISTRANT'S INTERNAL CONTROL OVER FINANCIAL REPORTING. ITEM 11. EXHIBITS. (a) File the exhibits listed below as part of this Form. Letter or number the exhibits in the sequence indicated. (a)(1) Any code of ethics, or amendment thereto, that is the subject of the disclosure required by Item 2, to the extent that the registrant intends to satisfy the Item 2 requirements through filing of an exhibit. NOT APPLICABLE. (a)(2) A separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the Act (17 CFR 270.30a-2). CERTIFICATIONS PURSUANT TO RULE 30a-2(a) UNDER THE INVESTMENT COMPANY ACT OF 1940 ARE ATTACHED HERETO. (a)(3) Any written solicitation to purchase securities under Rule 23c-1 under the Act (17 CFR 270.23c-1) sent or given during the period covered by the report by or on behalf of the registrant to 10 or more persons. NOT APPLICABLE. (b) A separate or combined certification for each principal executive officer and principal officer of the registrant as required by Rule 30a-2(b) under the Act of 1940. CERTIFICATIONS PURSUANT TO RULE 30a-2(b) UNDER THE INVESTMENT COMPANY ACT OF 1940 ARE ATTACHED HERETO. 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/ Patricia A. Maleski ------------------------------------------------------- Patricia A. Maleski, Treasurer Date June 22, 2004 ---------------------------------------------------------------------------- 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/ Patricia A. Maleski ------------------------------------------------------- Patricia A. Maleski, Treasurer Date June 22, 2004 ---------------------------------------------------------------------------- By (Signature and Title)* /s/ George C.W. Gatch ------------------------------------------------------- George C.W. Gatch, President Date June 23, 2004 ---------------------------------------------------------------------------- * Print the name and title of each signing officer under his or her signature. --------------------------------------------------------------------------------