-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, CO2VzcURTgDrol8+zlf9C135XwN/4FBKOnSEyriR2MzpJuDaimwvusFd+d8bzXWh cxYRd18xKcleEOH0YwcjYg== 0001047469-04-038559.txt : 20041229 0001047469-04-038559.hdr.sgml : 20041229 20041229160406 ACCESSION NUMBER: 0001047469-04-038559 CONFORMED SUBMISSION TYPE: N-CSR PUBLIC DOCUMENT COUNT: 3 CONFORMED PERIOD OF REPORT: 20041031 FILED AS OF DATE: 20041229 DATE AS OF CHANGE: 20041229 EFFECTIVENESS DATE: 20041229 FILER: COMPANY DATA: COMPANY CONFORMED NAME: JP MORGAN MUTUAL FUND SELECT GROUP CENTRAL INDEX KEY: 0001023771 IRS NUMBER: 131481191 FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: N-CSR SEC ACT: 1940 Act SEC FILE NUMBER: 811-07843 FILM NUMBER: 041231245 BUSINESS ADDRESS: STREET 1: C/O J.P. MORGAN FUND DISTRIBUTORS, INC. STREET 2: 522 FIFTH AVENUE, 11TH FLOOR CITY: NEW YORK STATE: NY ZIP: 10036 BUSINESS PHONE: 212-837-1968 MAIL ADDRESS: STREET 1: C/O J.P. MORGAN FUND DISTRIBUTORS, INC. STREET 2: 522 FIFTH AVENUE, 11TH FLOOR CITY: NEW YORK STATE: NY ZIP: 10036 FORMER COMPANY: FORMER CONFORMED NAME: MUTUAL FUND SELECT GROUP DATE OF NAME CHANGE: 19960926 N-CSR 1 a2149164zn-csr.txt N-CSR ----------------------------- OMB APPROVAL ----------------------------- OMB Number: 3235-0570 Expires: November 30, 2005 Estimated average burden hours per response....... 5.0 ----------------------------- UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM N-CSR CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES Investment Company Act file number 811-07843 --------------------------------------------- J.P. Morgan Mutual Fund Select Group - ------------------------------------------------------------------------------- (Exact name of registrant as specified in charter) 522 Fifth Avenue, New York, NY 10036 - ------------------------------------------------------------------------------- (Address of principal executive offices) (Zip code) BISYS Fund Services, 3435 Stelzer Road, Columbus, OH 43219 - ------------------------------------------------------------------------------- (Name and address of agent for service) Registrant's telephone number, including area code: 1-800-348-4782 ---------------------------- Date of fiscal year end: October 31, 2004 -------------------------------------------------------- Date of reporting period: November 1, 2003 through October 31, 2004 ------------------------------------------------------- Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles. A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget ("OMB") control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. Section 3507. ITEM 1. REPORTS TO STOCKHOLDERS. Include a copy of the report transmitted to stockholders pursuant to Rule 30e-1 under the Act (17 CFR 270.30e-1). [GRAPHIC] JPMORGAN FUNDS ANNUAL REPORT OCTOBER 31 2004 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: 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 50 Notes to Financial Statements 62 Financial Highlights 88
HIGHLIGHTS - - Corporate earnings growth drives market rally - - Weak dollar boosts returns - - Wide diversity of market returns - - Low inflation underpins our optimism 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 DECEMBER 6, 2004 [PHOTO OF GEORGE C.W. GATCH] "WITHIN THIS BROAD PICTURE, THERE WAS A WIDE DIVERGENCE BETWEEN MARKET PERFORMANCES." DEAR SHAREHOLDER: We are pleased to present this annual report for the JPMorgan Fleming International Equity Funds. Inside, you'll find information detailing the performance of the Funds for the year ended October 31, 2004, along with reports from the Portfolio Managers. INTERNATIONAL EQUITIES STAGE STELLAR RALLY International equity markets rallied substantially in the period. As economic growth picked up, companies from across the globe reported higher earnings, lifting equity prices. For many companies, higher sales fed straight through to bottom-line profits, following cost reduction restructurings carried out over the past few years. For U.S. investors, dollar weakness magnified these returns. In all, the MSCI EAFE Index, which represents a broad spread of European and Asian markets, rose 18.84% in U.S. dollars. But the rally was far from linear. By the second quarter, rising U.S. interest rates, geopolitical uncertainty and surging oil prices raised fears that growth would be choked off. It soon became evident that the United States was indeed experiencing a "soft patch" in economic activity. Additionally, growth in Japan and Continental Europe disappointed -- particularly as domestic demand failed to pick up to the degree many had hoped for. This caused some setbacks in equity prices during the mid to late summer. DEFENSIVE MARKETS FAVORED Within this broad picture, there was a wide divergence between market performances. Generally speaking, the markets with least sensitivity to world trade activity did best, escaping the worst of the gyrations in sentiment. In emerging markets, Brazil and Russia were two of the leading markets, supported respectively by improving government finances and the positive impact of expensive energy on an oil-exporting economy. As a region with comparatively little exposure to global demand, Continental Europe also did well. But Asian markets were among the worst performers, with both Japan and Southeast Asia rocked by slowing of export demand. OUTLOOK We believe the U.S economy is beginning to emerge from its mid-summer period of weakness, and that the global economy is moving towards a broadly based expansion. Even if economic growth does not accelerate strongly, we are optimistic that the expansion is sustainable, and that stocks are likely to outperform bonds in the period ahead. One reason for our optimism is that inflation remains under control, which gives long-term interest rates the ability to come down further if the global economy weakens slightly, providing additional support to economic activity and equity prices. IMPORTANT FUND FAMILY UPDATE Shareholders of JPMorgan Funds and One Group Funds have received a variety of documents, some regarding the proposed integration of the two fund complexes. The integration generally will be effective on February 18, 2005; however, some of the changes will require shareholder approval at meetings on January 20, 2005, before they can be implemented. As a shareholder, your input in these decisions is important, so we would greatly appreciate your response. As always, we would like to thank you for your investment. Should you have any questions, please feel free to contact the JPMorgan Funds Service Center at 1-800-348-4782. Sincerely, /s/ George C.W. Gatch George C.W. Gatch President JPMorgan Funds 2 JPMORGAN FLEMING INTREPID EUROPEAN FUND AS OF OCTOBER 31, 2004 (Unaudited) FUND FACTS Fund Inception 11/2/95 Fiscal Year End OCTOBER 31 Net Assets as of 10/31/2004 (In Millions) $109.1 Primary Benchmark MSCI EUROPE INDEX Q: HOW DID THE FUND PERFORM? A: JPMorgan Fleming Intrepid European Fund, which seeks total return from long-term capital growth, underperformed its benchmark with a total return of 16.9% (A shares, no sales charge) for the year ended October 31, 2004. This compares to a total return of 21.9% for the MSCI Europe Index. Q: WHY DID THE FUND PERFORM THIS WAY? A: At the beginning of the review period, especially during January and February 2004, returns were boosted by the Fund's exposure to cheaper Cyclical stocks, such as those in the Construction, Transport and Retail sectors, which were benefiting from expectations for a pick up in European economic growth. However, the Fund struggled between March and July 2004, as renewed geopolitical tensions, rising oil prices and concerns over U.S. interest rates caused a rotation into defensive stocks, such as large-cap pharmaceuticals, where we see little long-term value. At the same time investors sold momentum stocks, notably in the small and mid-cap areas of the market, where the Fund was overweight. The Fund's slight underperformance over the period as a whole can be largely attributed to this period. Relative Fund performance was stronger during the third quarter, thanks largely to our overweight position in commodity-related stocks, such as Mining and Oil companies. Exposure to selected stocks in the Electricity and Utilities sectors also boosted returns. Some of the Fund's gains of the third quarter were reversed during October as the market became concerned that prices may have run ahead of fundamentals. Such fears caused profit taking in some of the commodity sectors that the fund had benefited from earlier in the year. Q: HOW WAS THE FUND MANAGED? A: The Fund's performance during the review period was again driven by our bottom-up investment approach, which focuses on stocks with the best value and growth (momentum) characteristics. 3 [CHART] PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS United Kingdom 21.8% France 15.8% Germany 11.1% The Netherlands 7.5% Italy 6.0% Sweden 5.7% Belgium 5.5% Switzerland 5.4% Greece 4.6% Spain 4.1% Ireland 3.6% Norway 3.1% Denmark 2.3% Austria 1.8% Finland 1.0% Luxembourg 0.7%
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO 1. Suez SA (France) 2.4% 2. Deutsche Postbank AG (Germany) 2.3% 3. Belgacom SA (Belgium) 2.3% 4. France Telecom SA (France) 2.1% 5. BNP Paribas (France) 2.1% 6. Akzo Nobel NV (The Netherlands) 2.0% 7. Depfa Bank PLC (Ireland) 2.0% 8. Novartis AG (Switzerland) 2.0% 9. Telecom Italia SpA (Italy) 2.0% 10. Telefonica SA (Spain) 2.0%
Top 10 equity holdings comprised 21.2% of the Portfolio's market value of investments ($22,907,747). As of October 31, 2004, the Fund held 111 equity holdings. Portfolio holdings are subject to change at any time. 4 ANNUAL REPORT OCTOBER 31 2004 (Unaudited) AVERAGE ANNUAL TOTAL RETURNS AS OF OCTOBER 31, 2004
SINCE INCEPTION 1 YEAR 3 YEARS 5 YEARS (11/2/95) --------------------------------------- CLASS A SHARES Without Sales Charge 16.94% 15.46% 6.42% 12.56% With Sales Charge* 10.24% 13.21% 5.16% 11.89% --------------------------------------- CLASS B SHARES Without CDSC 16.36% 14.69% 5.71% 11.85% With CDSC** 11.36% 13.93% 5.39% 11.85% --------------------------------------- CLASS C SHARES Without CDSC 16.38% 14.69% 5.68% 11.77% With CDSC*** 15.38% 14.69% 5.68% 11.77% --------------------------------------- INSTITUTIONAL SHARES 17.83% 16.22% 6.89% 12.84% --------------------------------------- SELECT SHARES 17.43% 15.74% 6.59% 12.66%
* 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% 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 10/31/04)
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 $ 25,209 $ 19,124 $ 20,708 May-2004 $ 25,443 $ 19,433 $ 20,924 Jun-2004 $ 26,216 $ 19,694 $ 21,327 Jul-2004 $ 25,514 $ 19,152 $ 20,581 Aug-2004 $ 25,624 $ 19,164 $ 20,637 Sep-2004 $ 26,810 $ 19,932 $ 21,543 Oct-2004 $ 27,328 $ 20,652 $ 22,305
SOURCE: LIPPER, INC. THE QUOTED PERFORMANCE IS PAST PERFORMANCE AND NOT A GUARANTEE OF FUTURE RESULTS. INVESTMENT RETURNS WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES WHEN REDEEMED MAY BE WORTH MORE OR LESS THAN ORIGINAL COST. 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 The Lipper European Funds Index from November 2, 1995 to October 31, 2004. The performance of the Fund assumes reinvestment of all dividends and capital gains and includes a sales charge. The performance of the indices reflects an initial investment at the end of the month following the Fund's inception. The performance of the indices does not include a sales charge and has been adjusted to reflect reinvestment of all dividends and capital gains of the securities included in the benchmark. The 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 OCTOBER 31, 2004 (Unaudited) FUND FACTS Fund Inception 11/2/95 Fiscal Year End OCTOBER 31 Net Assets as of 10/31/2004 (In Millions) $48.1 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, rose 5.1% (A shares, no sales charge) in the year ended October 31, 2004. This compares with a rise of 9.0% 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 during the period, although it trailed its MSCI Japan Index benchmark. Being overweight the capital goods sector during the summer correction in the equity market caused much of the shortfall against the Index. To an extent, this was offset by successful stock selection among small capitalization stocks. Japan's capital goods stocks rallied substantially in the first six months of the period. But many lost value in the second half, when attempts to curb Chinese demand, rising U.S. interest rates and high oil prices caused some investors to question the durability of Japan's recovery. Shortly before the correction, the portfolio raised its position to overweight in capital goods, buying companies such as Nippon Metal. The portfolio also suffered from having underweight holdings in bank stocks, such as UFJ Holdings and Mitsubishi Tokyo Financial Group. Banks had an astonishing rally during the period, in response to an economic recovery that would reduce bad debt provisions, so improving their financial strength and profitability. Another detractor from relative performance was Toyota Motor Company. While we were positive about the stock's prospects, we were underweight the benchmark. Toyota's shares rallied as it reported a more than 50% increase in profits for the 2003 fiscal 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 used car dealer that exports to Southeast Asia. Q: HOW WAS THE FUND MANAGED? A: In line with the Fund's strategy of investing in growth-oriented stocks, we increased the allocation to small company stocks at the beginning of the period. At the time, many of these stocks offered far better earnings growth than larger companies, yet traded on significantly lower valuations. As 2004 progressed, these stocks rallied and their valuations increased. Consequently, we sold a number of these holdings later in the period. 6 ANNUAL REPORT OCTOBER 31 2004 (Unaudited) [CHART] PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS Consumer Goods & Services 33.1% Industrial Products & Services 23.1% Technology 15.9% Finance & Insurance 14.9% Telecommunications 8.0% REITs 2.5% Technology 1.5% Health Services & Systems 1.0%
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO 1. Toyota Motor Corp. (Japan) 4.5% 2. Nissan Motor Co., LTD (Japan) 2.9% 3. Mizuho Financial Group, Inc. (Japan) 2.6% 4. NTT DoCoMo, Inc. (Japan) 2.6% 5. Canon, Inc. (Japan) 2.5% 6. KDDI Corp. (Japan) 2.5% 7. Honda Motor Co., LTD (Japan) 2.0% 8. Mitsubishi Tokyo Financial Group, Inc. (Japan) 1.9% 9. Sony Corp. (Japan) 1.8% 10. Mitsui O.S.K Lines LTD (Japan) 1.7%
Top 10 equity holdings comprised 25.0% of the Portfolio's market value of investments ($11,776,088). As of October 31, 2004, the Fund held 116 equity holdings Portfolio holdings are subject to change at any time. 7 AVERAGE ANNUAL TOTAL RETURNS AS OF OCTOBER 31, 2004
SINCE INCEPTION 1 YEAR 3 YEARS 5 YEARS (11/2/95) --------------------------------------- CLASS A SHARES Without Sales Charge 5.09% 9.89% (6.53%) (3.03%) With Sales Charge* (0.99%) 7.76% (7.63%) (3.66%) --------------------------------------- CLASS B SHARES Without CDSC 4.40% 8.98% (7.20%) (3.64%) With CDSC** (0.60%) 8.13% (7.58%) (3.64%)
* 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 10/31/04)
JPMORGAN FLEMING TOKYO STOCK EXCHANGE LIPPER JAPAN JAPAN FUND (CLASS A SHARES) MSCI JAPAN INDEX (TOPIX) 1ST SECTION INDEX 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 $ 6,211 $ 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 $ 7,566 $ 7,746 $ 7,946 $ 10,644 May-2004 $ 7,047 $ 7,474 $ 7,624 $ 10,253 Jun-2004 $ 7,688 $ 7,877 $ 8,064 $ 10,932 Jul-2004 $ 7,057 $ 7,410 $ 7,561 $ 10,080 Aug-2004 $ 7,169 $ 7,463 $ 7,615 $ 10,149 Sep-2004 $ 6,965 $ 7,288 $ 7,426 $ 9,853 Oct-2004 $ 7,147 $ 7,478 $ 7,591 $ 10,005
SOURCE: LIPPER, INC. THE QUOTED PERFORMANCE IS PAST PERFORMANCE AND NOT A GUARANTEE OF FUTURE RESULTS. INVESTMENT RETURNS WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES WHEN REDEEMED MAY BE WORTH MORE OR LESS THAN ORIGINAL COST. 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 Funds Average from November 2, 1995 to October 31, 2004. The performance of the Fund assumes reinvestment of all dividends and capital gains and includes a sales charge. The performance of the indices reflects an initial investment at the end of the month following the Fund's inception. The performance of the indices does not include a sales charge and has been adjusted to reflect reinvestment of all dividends and capital gains of the securities included in the benchmark. The 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 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 OCTOBER 31, 2004 (Unaudited) FUND FACTS Fund Inception 12/29/00 Fiscal Year End OCTOBER 31 Net Assets as of 10/31/2004 (In Millions) $4.4 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 growth, rose 10.9% (A shares, no sales charge) over the year ending October 31, 2004, compared with the 14.0% return of the MSCI EAFE Growth Index over the same period. Q: WHY DID THE FUND PERFORM THIS WAY? A: The Fund generated substantial returns in the 12-month period, when strong corporate earnings growth drove rallies in foreign equity markets. Worries about how rising interest rates might impact growth caused stocks with sensitivity to the economic cycle to underperform. As the Fund had a bias towards these stocks, its performance trailed the MSCI EAFE Growth Index. Against the Index, the Fund's greatest underperformance occurred in Financials, where it owned banks with above-average capital markets exposure, such as European investment bank UBS. After a very strong 2003, capital markets activity was more subdued in 2004. Nikko Cordial, the Japanese brokerage, was the biggest detractor from performance in the financials sector, as competition in its markets increased and Citigroup sold down its stake in the company. Deutsche Boerse, the German stock exchange company, also trailed the sector. Despite the Information Technology sector as a whole making a positive contribution to performance, two particular Asian stocks with sensitivity to global growth performed poorly. Samsung Electronics and Taiwan Semiconductor Manufacturing (TSMC), among the most efficient semiconductor manufacturers globally, both underperformed. The unsettled political environment in Taiwan also impacted TSMC, which fell substantially. From a positive perspective, stock picking added value in the Consumer Staples and Healthcare sectors. Within Consumer Staples, Altadis, the Spanish tobacco company, was the strongest contributor to performance due to ongoing increases in profitability following restructuring. Tesco, the U.K. retailer, also performed well as its successful retailing formula continued to drive earnings growth both in the U.K. and overseas. Finally, Reckitt Benckiser, the U.K. household goods company, delivered strong returns despite a profits warning in the third quarter. In Healthcare, the best performing holding was Aventis, the French pharmaceutical company which was taken over by rival Sanofi-Synthelabo during the period. Q: HOW WAS THE FUND MANAGED? A: The Fund's exposure to cyclically sensitive and "growth" stocks was increased to take advantage of how the valuation premium for growth has compressed as the overall market has risen. During the past two years, value stocks have significantly outperformed growth, and we believe growth stocks now are poised to offer some of the most attractive opportunities we have seen for some time. 9 [CHART] PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS United Kingdom 27.0% Japan 21.8% Switzerland 12.8% Germany 7.7% France 5.6% Spain 5.5% South Korea 3.9% Hong Kong 2.2% The Netherlands 2.2% Australia 1.2% Brazil 1.2% China 1.1% Finland 1.1% Luxembourg 1.1% Sweden 1.1% Ireland 1.0% Italy 1.0% Mexico 0.9% Belgium 0.8% Taiwan 0.8%
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO 1. Vodafone Group PLC (United Kingdom) 4.7% 2. GlaxoSmithKline PLC (United Kingdom) 3.9% 3. Roche Holding AG (Switzerland) 3.7% 4. Total SA (France) 3.2% 5. Telefonica SA (Spain) 2.9% 6. UBS AG (Switzerland) 2.8% 7. Novartis AG (Switzerland) 2.6% 8. Samsung (South Korea) 2.5% 9. Royal Bank of Scotland Group PLC (United Kingdom) 2.4% 10. Canon, Inc. (Japan) 2.3%
Top 10 equity holdings comprised 31.0% of the Portfolio's market value of investments ($1,330,100). As of October 31, 2004, the Fund held 68 equity holdings Portfolio holdings are subject to change at any time. 10 ANNUAL REPORT OCTOBER 31 2004 (Unaudited) AVERAGE ANNUAL TOTAL RETURNS AS OF OCTOBER 31, 2004
SINCE INCEPTION 1 YEAR 3 YEARS (12/29/00) ------------------------------ CLASS A SHARES Without Sales Charge 10.93% 6.22% (3.66%) With Sales Charge* 4.50% 4.15% (5.13%) ------------------------------ CLASS B SHARES Without CDSC 10.39% 5.74% (4.15%) With CDSC** 5.39% 4.84% (4.90%)
* 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 10/31/04)
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 $ 8,063 $ 8,478 $ 9,629 May-2004 $ 8,092 $ 8,461 $ 9,623 Jun-2004 $ 8,186 $ 8,569 $ 9,817 Jul-2004 $ 7,779 $ 8,221 $ 9,496 Aug-2004 $ 7,732 $ 8,230 $ 9,546 Sep-2004 $ 7,950 $ 8,433 $ 9,800 Oct-2004 $ 8,169 $ 8,715 $ 10,111
SOURCE: LIPPER, INC. THE QUOTED PERFORMANCE IS PAST PERFORMANCE AND NOT A GUARANTEE OF FUTURE RESULTS. INVESTMENT RETURNS WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES WHEN REDEEMED MAY BE WORTH MORE OR LESS THAN ORIGINAL COST. 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 October 31, 2004. The performance of the Fund assumes reinvestment of all dividends and capital gains and includes a sales charge. The performance of the indices reflects an initial investment at the end of the month following the Fund's inception. The performance of the indices does not include a sales charge and has been adjusted to reflect reinvestment of all dividends and capital gains of the securities included in the benchmark. The 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 OCTOBER 31, 2004 (Unaudited) FUND FACTS Fund Inception 11/4/93 Fiscal Year End OCTOBER 31 Net Assets as of 10/31/2004 (In Millions) $47.5 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 24.9% (Institutional Shares) in the year ended October 31, 2004. This compares with a rally of 23.7% in the MSCI EAFE Value Index, the Fund's benchmark as of March 2004. Q: HOW DID THE FUND OUTPERFORM ITS BENCHMARK? A: While economic recovery became increasingly established during the year, this was a period in which value stocks outperformed growth, especially as investors became nervous about the strength of economic growth later in the year. The Fund led its benchmark due mainly to positive stock picking. The Bank sector was an area in which stock picking was particularly strong. In Japan, the Fund held Mizuho Financial and UFJ Holdings, two of the leading banks, and Aiful, the consumer finance company. Economic recovery in Japan had a particularly positive impact on bank stocks, many of which had a large number of non-performing loans on their balance sheets. Additionally, indications of takeover activity emerged in the sector. Another strong performer in the Bank sector was HSBC Holdings, one of the largest global bank stocks. HSBC continued to report strong corporate earnings growth, with progress across a range of geographies, and a smooth integration of its recently acquired Household International business in the United States. There was also a positive performance from the Telecommunications sector, where Telekom Indonesia, one of the country's largest companies and a bellwether for the local market, was a strong performer. Local elections resulted in the appointment of a pro-business government, which boosted the stock price of Telekom Indonesia. From a negative perspective, Healthcare was among the worst-performing sectors. GlaxoSmithKline was a poor performer, as U.K. pharmaceutical stocks broadly underperformed, with questions over their drug pipelines and managements. Another holding that performed particularly poorly was Fujitsu, the Japanese technology hardware company that suffered as demand for semiconductors fell. Q: HOW WAS THE FUND MANAGED? A: As the year progressed, the Fund moved from being overweight financials, such as retail banks to underweight. In part, this was a reflection of rising interest rates in the United States and elsewhere. The Fund also moved to an overweight position in industrial stocks. The Fund was overweight emerging markets, where some of the most attractively valued stocks were found, throughout the year. 12 ANNUAL REPORT OCTOBER 31 2004 (Unaudited) [CHART] PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS United Kingdom 27.9% Japan 22.8% France 11.9% Germany 8.1% Switzerland 6.2% The Netherlands 5.6% Italy 2.9% Sweden 2.5% Spain 2.3% Hong Kong 2.0% South Korea 1.8% India 1.7% Indonesia 1.2% Brazil 1.1% Russia 1.0% Singapore 0.7% United States 0.3%
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO 1. HSBC Holdings PLC (United Kingdom) 6.2% 2. BP PLC (United Kingdom) 3.7% 3. E. ON AG (Germany) 3.1% 4. HBOS PLC (United Kingdom) 3.1% 5. ING Groep NV (The Netherlands) 3.0% 6. Total SA (France) 2.9% 7. ENI-Ente Nazionale Idrocarburi SPA (Italy) 2.9% 8. Royal Bank of Scotland Group PLC (United Kingdom) 2.8% 9. Credit Agricole SA (France) 2.5% 10. BNP Paribas (France) 2.5%
Top 10 equity holdings comprised 32.7% of the Portfolio's market value of investments ($15,337,967). As of October 31, 2004, the Fund held 59 equity holdings. Portfolio holdings are subject to change at any time. 13 AVERAGE ANNUAL TOTAL RETURNS AS OF OCTOBER 31, 2004
1 YEAR 3 YEARS 5 YEARS 10 YEARS --------------------------------------- CLASS A SHARES Without Sales Charge 24.18% 10.46% (1.37%) 3.25% With Sales Charge* 17.05% 8.32% (2.54%) 2.64% --------------------------------------- CLASS B SHARES Without CDSC 23.51% 9.89% (1.66%) 3.10% With CDSC** 18.51% 9.05% (2.02%) 3.10% --------------------------------------- INSTITUTIONAL SHARES 24.85% 11.00% (0.83%) 3.64% --------------------------------------- SELECT SHARES 24.17% 10.62% (1.27%) 3.30%
* 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 (10/31/94 TO 10/31/04)
JPMORGAN FLEMING INTERNATIONAL CITIGROUP PMI VALUE LIPPER INTERNATIONAL VALUE FUND (INSTITUTIONAL SHARES) EPAC INDEX FUNDS INDEX MSCI EAFE VALUE INDEX Oct-1994 $ 3,000,000 $ 3,000,000 $ 3,000,000 $ 3,000,000 Nov-1994 $ 2,858,700 $ 2,844,600 $ 2,859,900 $ 2,847,114 Dec-1994 $ 2,898,150 $ 2,860,814 $ 2,821,863 $ 2,845,703 Jan-1995 $ 2,785,992 $ 2,756,108 $ 2,681,899 $ 2,736,487 Feb-1995 $ 2,755,067 $ 2,732,130 $ 2,681,094 $ 2,721,593 Mar-1995 $ 2,884,004 $ 2,914,637 $ 2,751,607 $ 2,890,587 Apr-1995 $ 2,968,217 $ 3,023,061 $ 2,852,866 $ 2,979,960 May-1995 $ 2,909,447 $ 2,998,272 $ 2,880,824 $ 2,942,975 Jun-1995 $ 2,842,238 $ 2,941,305 $ 2,891,771 $ 2,901,837 Jul-1995 $ 3,024,426 $ 3,137,784 $ 3,050,819 $ 3,077,791 Aug-1995 $ 2,968,474 $ 3,005,997 $ 2,999,260 $ 2,972,811 Sep-1995 $ 2,993,706 $ 3,076,939 $ 3,049,348 $ 3,023,877 Oct-1995 $ 2,926,348 $ 2,987,707 $ 2,985,921 $ 2,943,106 Nov-1995 $ 2,993,654 $ 3,088,692 $ 3,016,975 $ 3,026,478 Dec-1995 $ 3,128,967 $ 3,218,108 $ 3,104,467 $ 3,166,267 Jan-1996 $ 3,166,514 $ 3,211,350 $ 3,177,733 $ 3,189,863 Feb-1996 $ 3,155,115 $ 3,220,663 $ 3,191,397 $ 3,200,621 Mar-1996 $ 3,227,051 $ 3,298,281 $ 3,241,183 $ 3,260,458 Apr-1996 $ 3,330,640 $ 3,401,187 $ 3,346,845 $ 3,370,218 May-1996 $ 3,290,339 $ 3,356,632 $ 3,343,164 $ 3,315,955 Jun-1996 $ 3,327,849 $ 3,381,471 $ 3,373,586 $ 3,350,087 Jul-1996 $ 3,215,368 $ 3,292,200 $ 3,259,897 $ 3,262,485 Aug-1996 $ 3,226,943 $ 3,322,488 $ 3,302,275 $ 3,273,527 Sep-1996 $ 3,313,425 $ 3,410,866 $ 3,376,246 $ 3,356,010 Oct-1996 $ 3,293,213 $ 3,395,859 $ 3,362,741 $ 3,313,957 Nov-1996 $ 3,411,439 $ 3,534,070 $ 3,520,790 $ 3,473,249 Dec-1996 $ 3,394,382 $ 3,495,549 $ 3,552,125 $ 3,446,050 Jan-1997 $ 3,316,311 $ 3,343,842 $ 3,556,743 $ 3,350,476 Feb-1997 $ 3,352,128 $ 3,401,356 $ 3,621,120 $ 3,408,524 Mar-1997 $ 3,381,962 $ 3,426,526 $ 3,640,312 $ 3,413,091 Apr-1997 $ 3,393,798 $ 3,429,267 $ 3,656,329 $ 3,415,040 May-1997 $ 3,582,833 $ 3,685,433 $ 3,862,546 $ 3,659,085 Jun-1997 $ 3,738,686 $ 3,894,029 $ 4,047,948 $ 3,849,459 Jul-1997 $ 3,777,569 $ 3,941,147 $ 4,177,887 $ 3,880,455 Aug-1997 $ 3,504,828 $ 3,703,496 $ 3,876,662 $ 3,600,863 Sep-1997 $ 3,681,822 $ 3,906,447 $ 4,125,543 $ 3,764,066 Oct-1997 $ 3,414,890 $ 3,640,809 $ 3,812,415 $ 3,547,033 Nov-1997 $ 3,390,986 $ 3,578,551 $ 3,780,390 $ 3,481,553 Dec-1997 $ 3,443,546 $ 3,597,875 $ 3,809,878 $ 3,497,013 Jan-1998 $ 3,568,202 $ 3,768,055 $ 3,902,077 $ 3,658,900 Feb-1998 $ 3,763,383 $ 3,996,775 $ 4,149,858 $ 3,885,350 Mar-1998 $ 3,878,542 $ 4,170,635 $ 4,375,196 $ 4,076,316 Apr-1998 $ 3,939,436 $ 4,194,408 $ 4,442,574 $ 4,099,850 May-1998 $ 3,942,587 $ 4,201,119 $ 4,451,459 $ 4,089,055 Jun-1998 $ 3,968,214 $ 4,230,107 $ 4,412,731 $ 4,093,593 Jul-1998 $ 3,977,738 $ 4,267,332 $ 4,480,246 $ 4,159,498 Aug-1998 $ 3,440,743 $ 3,673,746 $ 3,835,539 $ 3,572,077 Sep-1998 $ 3,255,287 $ 3,530,102 $ 3,716,253 $ 3,453,605 Oct-1998 $ 3,584,722 $ 3,926,180 $ 3,989,398 $ 3,823,400 Nov-1998 $ 3,760,732 $ 4,127,593 $ 4,189,267 $ 4,030,285 Dec-1998 $ 3,913,418 $ 4,203,540 $ 4,292,323 $ 4,115,299 Jan-1999 $ 3,910,287 $ 4,158,563 $ 4,318,506 $ 4,067,865 Feb-1999 $ 3,811,357 $ 4,106,996 $ 4,207,520 $ 4,008,312 Mar-1999 $ 3,979,437 $ 4,337,399 $ 4,347,631 $ 4,288,042 Apr-1999 $ 4,144,186 $ 4,605,450 $ 4,550,230 $ 4,585,561 May-1999 $ 3,953,139 $ 4,356,756 $ 4,380,962 $ 4,316,186 Jun-1999 $ 4,140,913 $ 4,497,915 $ 4,588,619 $ 4,485,311 Jul-1999 $ 4,269,696 $ 4,644,997 $ 4,690,946 $ 4,660,162 Aug-1999 $ 4,289,336 $ 4,696,556 $ 4,728,004 $ 4,668,434 Sep-1999 $ 4,305,636 $ 4,715,342 $ 4,743,134 $ 4,690,063 Oct-1999 $ 4,470,542 $ 4,871,420 $ 4,908,669 $ 4,794,527 Nov-1999 $ 4,665,010 $ 4,904,546 $ 5,268,474 $ 4,785,344 Dec-1999 $ 5,096,057 $ 5,184,595 $ 5,915,970 $ 5,108,094 Jan-2000 $ 4,816,284 $ 4,729,388 $ 5,569,886 $ 4,743,219 Feb-2000 $ 5,050,837 $ 4,676,892 $ 5,937,498 $ 4,723,458 Mar-2000 $ 5,137,206 $ 5,015,499 $ 5,952,936 $ 5,011,209 Apr-2000 $ 4,830,001 $ 4,844,470 $ 5,575,520 $ 4,816,327 May-2000 $ 4,664,332 $ 4,843,017 $ 5,422,193 $ 4,875,549 Jun-2000 $ 4,836,912 $ 5,060,952 $ 5,673,240 $ 5,081,527 Jul-2000 $ 4,664,235 $ 4,869,142 $ 5,489,427 $ 4,964,930 Aug-2000 $ 4,664,235 $ 4,970,421 $ 5,582,199 $ 4,999,668 Sep-2000 $ 4,418,896 $ 4,796,953 $ 5,256,756 $ 4,848,661 Oct-2000 $ 4,239,489 $ 4,734,113 $ 5,078,027 $ 4,845,345 Nov-2000 $ 4,039,385 $ 4,604,871 $ 4,863,734 $ 4,704,183 Dec-2000 $ 4,191,266 $ 4,833,273 $ 5,045,151 $ 4,947,588 Jan-2001 $ 4,179,949 $ 4,819,257 $ 5,074,918 $ 4,955,839 Feb-2001 $ 3,850,569 $ 4,585,523 $ 4,718,658 $ 4,707,110 Mar-2001 $ 3,581,799 $ 4,290,674 $ 4,386,937 $ 4,405,049 Apr-2001 $ 3,839,331 $ 4,584,156 $ 4,653,663 $ 4,715,220 May-2001 $ 3,729,526 $ 4,472,761 $ 4,541,044 $ 4,570,947 Jun-2001 $ 3,551,628 $ 4,359,153 $ 4,412,986 $ 4,416,808 Jul-2001 $ 3,449,341 $ 4,249,738 $ 4,298,249 $ 4,361,045 Aug-2001 $ 3,400,015 $ 4,208,090 $ 4,211,854 $ 4,331,584 Sep-2001 $ 3,074,294 $ 3,774,657 $ 3,752,762 $ 3,866,814 Oct-2001 $ 3,134,857 $ 3,841,469 $ 3,854,462 $ 3,915,847 Nov-2001 $ 3,248,339 $ 3,936,737 $ 3,998,233 $ 4,006,872 Dec-2001 $ 3,272,377 $ 3,956,027 $ 4,069,402 $ 4,031,237 Jan-2002 $ 3,126,102 $ 3,776,423 $ 3,904,998 $ 3,820,126 Feb-2002 $ 3,087,651 $ 3,822,118 $ 3,959,668 $ 3,823,201 Mar-2002 $ 3,280,011 $ 4,039,979 $ 4,169,134 $ 4,089,981 Apr-2002 $ 3,341,675 $ 4,105,022 $ 4,198,318 $ 4,121,966 May-2002 $ 3,430,230 $ 4,218,732 $ 4,258,354 $ 4,215,611 Jun-2002 $ 3,276,555 $ 4,052,514 $ 4,090,149 $ 3,991,261 Jul-2002 $ 2,961,351 $ 3,671,982 $ 3,681,952 $ 3,628,273 Aug-2002 $ 2,938,252 $ 3,681,897 $ 3,684,898 $ 3,639,205 Sep-2002 $ 2,592,126 $ 3,274,679 $ 3,288,034 $ 3,177,363 Oct-2002 $ 2,699,699 $ 3,408,613 $ 3,458,683 $ 3,339,386 Nov-2002 $ 2,819,026 $ 3,569,159 $ 3,622,279 $ 3,544,414 Dec-2002 $ 2,704,856 $ 3,439,242 $ 3,506,366 $ 3,390,000 Jan-2003 $ 2,629,120 $ 3,308,894 $ 3,378,033 $ 3,274,209 Feb-2003 $ 2,545,251 $ 3,235,106 $ 3,278,043 $ 3,194,557 Mar-2003 $ 2,461,512 $ 3,154,228 $ 3,197,731 $ 3,104,174 Apr-2003 $ 2,720,709 $ 3,465,551 $ 3,514,307 $ 3,442,507 May-2003 $ 2,872,253 $ 3,677,989 $ 3,739,925 $ 3,680,405 Jun-2003 $ 2,983,983 $ 3,794,214 $ 3,828,187 $ 3,794,101 Jul-2003 $ 3,051,720 $ 3,934,220 $ 3,935,377 $ 3,927,549 Aug-2003 $ 3,163,413 $ 4,031,395 $ 4,049,109 $ 4,044,684 Sep-2003 $ 3,215,293 $ 4,143,871 $ 4,130,496 $ 4,157,710 Oct-2003 $ 3,434,576 $ 4,438,500 $ 4,376,674 $ 4,436,079 Nov-2003 $ 3,502,237 $ 4,512,623 $ 4,464,645 $ 4,529,812 Dec-2003 $ 3,792,222 $ 4,887,622 $ 4,768,687 $ 4,925,659 Jan-2004 $ 3,901,059 $ 4,978,043 $ 4,871,214 $ 4,969,456 Feb-2004 $ 4,013,799 $ 5,103,988 $ 4,982,765 $ 5,104,460 Mar-2004 $ 4,090,463 $ 5,158,601 $ 5,007,180 $ 5,157,454 Apr-2004 $ 3,957,523 $ 5,038,921 $ 4,857,966 $ 5,051,911 May-2004 $ 3,969,791 $ 5,049,503 $ 4,855,052 $ 5,085,759 Jun-2004 $ 4,082,533 $ 5,173,216 $ 4,952,638 $ 5,252,063 Jul-2004 $ 3,945,360 $ 4,988,532 $ 4,790,687 $ 5,122,337 Aug-2004 $ 4,058,197 $ 5,036,921 $ 4,816,077 $ 5,160,755 Sep-2004 $ 4,195,364 $ 5,177,451 $ 4,944,185 $ 5,302,676 Oct-2004 $ 4,287,392 $ 5,373,676 $ 5,100,916 $ 5,486,678
SOURCE: LIPPER, INC. THE QUOTED PERFORMANCE IS PAST PERFORMANCE AND NOT A GUARANTEE OF FUTURE RESULTS. INVESTMENT RETURNS WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES WHEN REDEEMED MAY BE WORTH MORE OR LESS THAN ORIGINAL COST. 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 October 31, 1994 to October 31, 2004. The performance of the Fund assumes reinvestment of all dividends and capital gains and does not include a sales charge. The performance of the indices does not include a sales charge and has been adjusted to reflect reinvestment of all dividends and capital gains of the securities included in the benchmark. The 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 OCTOBER 31, 2004 (Unaudited) FUND FACTS Fund Inception 2/26/97 Fiscal Year End OCTOBER 31 Net Assets as of 10/31/2004 (In Millions) $190.4 Primary Benchmark MSCI EAFE INDEX Q: HOW DID THE FUND PERFORM? A: JPMorgan Fleming International Opportunities, 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 14.9% (Institutional Shares) in the year ended October 31, 2004. This compares with a rally of 18.8% in the MSCI EAFE Index (in U.S. dollars). Q: WHY DID THE FUND PERFORM THIS WAY? A: While economic recovery became increasingly established during the year, there was an unexpected mid-summer deceleration in economic growth. This impacted the Fund, which held many economically sensitive stocks in anticipation of steady recovery. Continental Europe is a good example of this theme. The Fund was underweight the region, which has less sensitivity to the economic cycle than Japan and non-Japan Asia. And, within Europe, it held many of the stocks most leveraged to economic growth, such as Cap Gemini, the French technology company, and Ciba Specialty Chemicals, the Swiss chemicals company. Both the underweight allocation to Continental Europe, and stock selection, detracted from performance. In non-Japan Asia, where corporate earnings are sensitive to economic activity in the United States and China, the Fund was overweight. The summer dip in global growth, and Chinese actions to curb inflationary forces, caused earnings expectations and stock valuations to fall back across the region. Cathay Pacific, the Hong Kong airline, was one holding that performed poorly, due to declining China-related passenger loads and rising oil prices. Another large holding, Reliance Industries, the Indian conglomerate, fell following India's election of a new government that was not perceived to be business friendly. From a stock perspective, a number of holdings stood out. In Japan, two financial sector stocks -- Aiful and UFJ Holdings -- added to performance as the sector's prospects improved. In Continental Europe, Adecco, the Swiss human resources solutions company, detracted from performance after announcing the delayed publication of 2003 results. In emerging Europe, Yukos, the Russian oil stock, fell after the Russian tax authorities charged that it owed $3.5 billion in back taxes. Q: HOW WAS THE FUND MANAGED? A: The Fund was overweight emerging markets, which offer leveraged exposure to global growth, and underweight Continental Europe, where growth was expected to be less robust. Stock selection caused the Fund to be overweight the Technology sector, but underweight Utilities. At the October 31, 2004, year-end, the Fund continued to be overweight emerging markets, while underweight Continental Europe and Japan. 15 [CHART] PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS United Kingdom 25.8% Japan 18.6% France 13.1% Switzerland 8.5% Germany 5.3% The Netherlands 5.2% Hong Kong 4.5% South Korea 3.2% India 2.1% Spain 2.0% Singapore 1.6% Sweden 1.6% Taiwan 1.6% Australia 1.5% United States 1.4% Brazil 1.3% Ireland 1.2% Norway 0.7% Italy 0.4% Indonesia 0.4%
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO 1. Royal Bank of Scotland Group PLC (United Kingdom) 4.1% 2. Vodafone Group PLC (United Kingdom) 3.7% 3. Total SA (France) 3.5% 4. HSBC Holdings PLC (United Kingdom) 3.5% 5. BNP Paribas (France) 2.2% 6. Tesco PLC (United Kingdom) 2.2% 7. Reliance Industries LTD (India), GDR, # 2.1% 8. Koninklijke KPN NV (The Netherlands) 2.1% 9. Reckitt Benckiser PLC (United Kingdom) 2.0% 10. Nippon Telegraph & Telephone Corp. (Japan) 2.0%
Top 10 equity holdings comprised 27.4% of the Portfolio's market value of investments ($51,498,256). As of October 31, 2004, the Fund held 85 equity holdings. Portfolio holdings are subject to change at any time. 16 ANNUAL REPORT OCTOBER 31 2004 (Unaudited) AVERAGE ANNUAL TOTAL RETURNS AS OF OCTOBER 31, 2004
SINCE INCEPTION 1 YEAR 3 YEARS 5 YEARS (2/26/97) --------------------------------------- CLASS A SHARES Without Sales Charge 13.81% 6.89% (2.48%) 1.57% With Sales Charge* 7.22% 4.79% (3.63%) 0.79% --------------------------------------- CLASS B SHARES Without CDSC 13.23% 6.35% (2.78%) 1.37% With CDSC** 8.23% 5.46% (3.15%) 1.37% --------------------------------------- INSTITUTIONAL SHARES 14.93% 7.98% (1.69%) 2.17% --------------------------------------- SELECT SHARES 14.63% 7.68% (2.03%) 1.88%
* 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 (02/26/97 TO 10/31/04)
JPMORGAN FLEMING INTERNATIONAL OPPORTUNITIES FUND MSCI ALL COUNTRY WORLD LIPPER INTERNATIONAL (INSTITUTIONAL SHARES) INDEX FREE (EX - U.S.) MSCI EAFE INDEX FUNDS INDEX Feb-1997 $ 3,000,000 $ 3,000,000 $ 3,000,000 $ 3,000,000 Feb-1997 $ 2,988,000 $ 3,000,000 $ 3,000,000 $ 3,000,000 Mar-1997 $ 3,002,940 $ 2,993,700 $ 3,010,800 $ 3,015,900 Apr-1997 $ 3,023,961 $ 3,019,146 $ 3,026,757 $ 3,029,170 May-1997 $ 3,140,988 $ 3,205,428 $ 3,223,799 $ 3,200,015 Jun-1997 $ 3,284,845 $ 3,382,367 $ 3,401,430 $ 3,353,616 Jul-1997 $ 3,374,850 $ 3,450,691 $ 3,456,534 $ 3,461,267 Aug-1997 $ 3,137,935 $ 3,179,122 $ 3,198,331 $ 3,211,710 Sep-1997 $ 3,314,915 $ 3,351,112 $ 3,377,437 $ 3,417,901 Oct-1997 $ 3,008,948 $ 3,065,598 $ 3,117,712 $ 3,158,483 Nov-1997 $ 2,981,868 $ 3,027,278 $ 3,085,912 $ 3,131,951 Dec-1997 $ 3,052,240 $ 3,062,091 $ 3,112,759 $ 3,156,381 Jan-1998 $ 3,091,614 $ 3,153,648 $ 3,255,012 $ 3,232,765 Feb-1998 $ 3,263,817 $ 3,363,996 $ 3,463,984 $ 3,438,046 Mar-1998 $ 3,408,730 $ 3,480,390 $ 3,570,675 $ 3,624,731 Apr-1998 $ 3,444,863 $ 3,505,449 $ 3,598,883 $ 3,680,552 May-1998 $ 3,351,162 $ 3,441,650 $ 3,581,248 $ 3,687,913 Jun-1998 $ 3,299,890 $ 3,428,916 $ 3,608,466 $ 3,655,829 Jul-1998 $ 3,312,099 $ 3,461,491 $ 3,644,911 $ 3,711,763 Aug-1998 $ 2,722,877 $ 2,973,420 $ 3,193,307 $ 3,177,640 Sep-1998 $ 2,595,718 $ 2,910,681 $ 3,095,272 $ 3,078,816 Oct-1998 $ 2,922,779 $ 3,215,430 $ 3,417,800 $ 3,305,108 Nov-1998 $ 3,062,195 $ 3,388,098 $ 3,592,791 $ 3,470,694 Dec-1998 $ 3,169,066 $ 3,504,988 $ 3,734,347 $ 3,556,073 Jan-1999 $ 3,196,954 $ 3,501,132 $ 3,723,144 $ 3,577,766 Feb-1999 $ 3,100,406 $ 3,422,707 $ 3,634,533 $ 3,485,817 Mar-1999 $ 3,293,251 $ 3,588,023 $ 3,786,093 $ 3,601,895 Apr-1999 $ 3,461,207 $ 3,767,425 $ 3,939,430 $ 3,769,743 May-1999 $ 3,361,524 $ 3,590,356 $ 3,736,549 $ 3,629,508 Jun-1999 $ 3,557,501 $ 3,755,512 $ 3,882,275 $ 3,801,547 Jul-1999 $ 3,674,899 $ 3,843,767 $ 3,997,578 $ 3,886,322 Aug-1999 $ 3,712,382 $ 3,857,220 $ 4,012,369 $ 3,917,024 Sep-1999 $ 3,749,878 $ 3,883,449 $ 4,052,894 $ 3,929,558 Oct-1999 $ 3,849,999 $ 4,027,913 $ 4,204,878 $ 4,066,700 Nov-1999 $ 4,037,494 $ 4,189,030 $ 4,350,787 $ 4,364,789 Dec-1999 $ 4,432,765 $ 4,588,663 $ 4,741,488 $ 4,901,221 Jan-2000 $ 4,157,047 $ 4,339,499 $ 4,440,403 $ 4,614,500 Feb-2000 $ 4,293,398 $ 4,456,665 $ 4,559,850 $ 4,919,057 Mar-2000 $ 4,325,169 $ 4,624,236 $ 4,736,772 $ 4,931,846 Apr-2000 $ 4,134,862 $ 4,366,203 $ 4,487,618 $ 4,619,167 May-2000 $ 4,071,598 $ 4,254,429 $ 4,378,120 $ 4,492,140 Jun-2000 $ 4,267,849 $ 4,435,667 $ 4,549,305 $ 4,700,126 Jul-2000 $ 4,141,094 $ 4,260,458 $ 4,358,689 $ 4,547,842 Aug-2000 $ 4,210,665 $ 4,313,288 $ 4,396,609 $ 4,624,701 Sep-2000 $ 3,985,394 $ 4,073,901 $ 4,182,494 $ 4,355,081 Oct-2000 $ 3,814,022 $ 3,944,351 $ 4,083,788 $ 4,207,008 Nov-2000 $ 3,611,116 $ 3,767,249 $ 3,930,646 $ 4,029,472 Dec-2000 $ 3,713,672 $ 3,896,089 $ 4,070,183 $ 4,179,772 Jan-2001 $ 3,726,670 $ 3,954,530 $ 4,068,148 $ 4,204,432 Feb-2001 $ 3,441,580 $ 3,641,332 $ 3,763,037 $ 3,909,281 Mar-2001 $ 3,169,695 $ 3,383,889 $ 3,512,043 $ 3,634,459 Apr-2001 $ 3,402,667 $ 3,613,994 $ 3,756,130 $ 3,855,434 May-2001 $ 3,383,272 $ 3,514,248 $ 3,623,538 $ 3,762,132 Jun-2001 $ 3,273,316 $ 3,379,301 $ 3,475,336 $ 3,656,040 Jul-2001 $ 3,129,617 $ 3,304,280 $ 3,412,084 $ 3,560,983 Aug-2001 $ 3,113,343 $ 3,222,334 $ 3,325,759 $ 3,489,407 Sep-2001 $ 2,742,855 $ 2,880,444 $ 2,988,859 $ 3,109,062 Oct-2001 $ 2,807,861 $ 2,961,097 $ 3,065,374 $ 3,193,317 Nov-2001 $ 2,957,239 $ 3,096,419 $ 3,178,486 $ 3,312,428 Dec-2001 $ 3,005,738 $ 3,136,363 $ 3,197,240 $ 3,371,389 Jan-2002 $ 2,851,243 $ 3,002,126 $ 3,027,466 $ 3,235,185 Feb-2002 $ 2,851,243 $ 3,023,742 $ 3,048,658 $ 3,280,478 Mar-2002 $ 3,008,917 $ 3,187,931 $ 3,213,591 $ 3,454,015 Apr-2002 $ 3,045,024 $ 3,208,652 $ 3,234,800 $ 3,478,193 May-2002 $ 3,097,703 $ 3,243,627 $ 3,275,882 $ 3,527,931 Jun-2002 $ 2,933,524 $ 3,103,502 $ 3,145,502 $ 3,388,578 Jul-2002 $ 2,641,052 $ 2,800,911 $ 2,835,041 $ 3,050,398 Aug-2002 $ 2,670,632 $ 2,801,191 $ 2,828,521 $ 3,052,838 Sep-2002 $ 2,348,821 $ 2,504,265 $ 2,524,738 $ 2,724,048 Oct-2002 $ 2,480,120 $ 2,638,493 $ 2,660,316 $ 2,865,426 Nov-2002 $ 2,611,566 $ 2,765,405 $ 2,781,094 $ 3,000,960 Dec-2002 $ 2,487,778 $ 2,676,082 $ 2,687,650 $ 2,904,930 Jan-2003 $ 2,364,882 $ 2,582,152 $ 2,575,575 $ 2,798,609 Feb-2003 $ 2,305,050 $ 2,529,734 $ 2,516,594 $ 2,715,770 Mar-2003 $ 2,235,207 $ 2,480,657 $ 2,467,269 $ 2,649,234 Apr-2003 $ 2,457,834 $ 2,719,792 $ 2,709,061 $ 2,911,508 May-2003 $ 2,610,711 $ 2,893,043 $ 2,873,230 $ 3,098,427 Jun-2003 $ 2,670,496 $ 2,973,180 $ 2,942,762 $ 3,171,550 Jul-2003 $ 2,740,196 $ 3,052,267 $ 3,013,977 $ 3,260,353 Aug-2003 $ 2,813,360 $ 3,143,225 $ 3,086,614 $ 3,354,577 Sep-2003 $ 2,889,883 $ 3,231,235 $ 3,181,682 $ 3,422,004 Oct-2003 $ 3,075,991 $ 3,440,619 $ 3,379,900 $ 3,625,956 Nov-2003 $ 3,135,666 $ 3,515,624 $ 3,454,934 $ 3,698,838 Dec-2003 $ 3,357,671 $ 3,784,218 $ 3,724,765 $ 3,950,729 Jan-2004 $ 3,463,437 $ 3,844,766 $ 3,777,284 $ 4,035,669 Feb-2004 $ 3,542,057 $ 3,942,807 $ 3,864,539 $ 4,128,086 Mar-2004 $ 3,559,059 $ 3,966,858 $ 3,886,180 $ 4,148,314 Apr-2004 $ 3,388,580 $ 3,843,489 $ 3,798,353 $ 4,024,694 May-2004 $ 3,391,969 $ 3,855,788 $ 3,811,267 $ 4,022,279 Jun-2004 $ 3,453,364 $ 3,939,459 $ 3,894,734 $ 4,103,127 Jul-2004 $ 3,310,049 $ 3,824,820 $ 3,768,155 $ 3,968,955 Aug-2004 $ 3,364,665 $ 3,855,419 $ 3,784,735 $ 3,989,990 Sep-2004 $ 3,450,127 $ 3,979,564 $ 3,883,516 $ 4,096,124 Oct-2004 $ 3,536,409 $ 4,118,052 $ 4,015,944 $ 4,225,971
SOURCE: LIPPER, INC. THE QUOTED PERFORMANCE IS PAST PERFORMANCE AND NOT A GUARANTEE OF FUTURE RESULTS. INVESTMENT RETURNS WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES WHEN REDEEMED MAY BE WORTH MORE OR LESS THAN ORIGINAL COST. 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 October 31, 2004. The performance of the Fund assumes reinvestment of all dividends and capital gains and does not include a sales charge. The performance of the indices reflects an initial investment at the end of the month following the Fund's inception. The performance of the indices does not include a sales charge and has been adjusted to reflect reinvestment of all dividends and capital gains of the securities included in the benchmark. The 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 OCTOBER 31, 2004 (Unaudited) FUND FACTS Fund Inception 11/15/93 Fiscal Year End OCTOBER 31 Net Assets as of 10/31/2004 (In Millions) $84.1 Primary Benchmark MSCI EMERGING MARKETS EQUITY FREE INDEX Q: HOW DID THE FUND PERFORM? A: JPMorgan Fleming Emerging Markets Equity Fund, which seeks high total return from a portfolio of equity securities from emerging markets issuers, rose 29.1% (Institutional Shares) in the year ended October 31, 2004. This compares with a rally of 19.4% in the MSCI Emerging Markets Equity Free Index (in U.S. dollars). Q: HOW DID THE FUND OUTPERFORM ITS BENCHMARK? A: The Fund substantially outperformed its MSCI Emerging Markets Equity Free Index benchmark during the period, when growth stocks driven by domestic demand, such as cellular phone companies, outperformed. At the beginning of the period, the reverse was true, with rapid global growth causing raw material stocks and technology stocks to lead markets. But during 2004, as the pace of global expansion slowed, the more defensive domestic consumption driven growth stocks came into favor. Orascom Telecom, the Egyptian cellular phone company, is a good example of a company experiencing strong growth that is fairly independent of broad global demand. Orascom has the largest and most diversified cellular network in the Middle East, Africa and Pakistan, and is experiencing rapid subscriber growth. As a relatively low percentage of the regional population owns cellular phones, Orascom appears likely to continue its rapid growth. Orascom was the portfolio's best performer. In Russia, Mobil Telesystems and VimpelCom, the two cellular phone holdings, have a similar story. Both are experiencing strong subscriber growth, which is likely to continue because cellular phone penetration is low outside of Moscow. Additionally, with high oil prices stoking the domestic economy, Russia was one of the best performing markets during the period. Mobil Telesystems and VimpelCom were two of the portfolio's leading holdings. In South Africa, two plays on the strong domestic economy stood out. FirstRand, the financial services group, and Steinhoff International, the furniture group, both contributed as they rebounded from low valuations. Asia illustrated the poor returns of the stocks with greatest sensitivity to global demand, especially in the technology sector. In Taiwan, Quanta Computer, a laptop computer manufacturer, and Taiwan Semiconductor, both suffered from perceived risk related to the technology investment cycle. In India, Reliance Industries, the industrial conglomerate, detracted as the country's elections brought a government to power that was perceived to be less business friendly than its rivals. Q: HOW WAS THE FUND MANAGED? A: In January 2004, portfolio concentration was increased to intensify the impact of stock selection. The number of holdings was reduced from more than 100 to between 50 and 70. As a result, the potential for outperformance has increased, as has the probable tracking error against the benchmark. 18 ANNUAL REPORT OCTOBER 31 2004 (Unaudited) [CHART] PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS South Korea 16.7% Brazil 13.0% South Africa 10.6% Taiwan 7.2% Turkey 6.4% Mexico 5.9% Indonesia 5.5% Russia 5.3% India 5.3% Malaysia 3.5% Argentina 3.2% Philippines 3.1% Egypt 2.9% Hungary 2.6% China 2.6% Thailand 2.5% Hong Kong 2.3% Chile 1.4%
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO 1. Daeduck Electronics Co. (South Korea) 3.4% 2. Bunge LTD (Argentina) 3.2% 3. SM Prime Holdings, Inc. (Philippines) 3.1% 4. Grupo Elektra SA de CV (Mexico), ADR 3.0% 5. Steinhoff International Holdings LTD (South Africa) 3.0% 6. Orascom Telecom Holding SAE (Egypt) 2.9% 7. America Movil SA de CV (Mexico), Ser. L, ADR 2.9% 8. Uniao de Bancos Brasileiros SA (Brazil), GDR 2.9% 9. Telekomunikasi Indonesia TBK PT (Indonesia), ADR 2.9% 10. FirstRand LTD (South Africa) 2.8%
Top 10 equity holdings comprised 30.1% of the Portfolio's market value of investments ($24,504,940). As of October 31, 2004, the Fund held 42 equity holdings Portfolio holdings are subject to change at any time. 19 AVERAGE ANNUAL TOTAL RETURNS AS OF OCTOBER 31, 2004
1 YEAR 3 YEARS 5 YEARS 10 YEARS --------------------------------------- CLASS A SHARES Without Sales Charge 28.44% 23.81% 6.25% (0.61%) With Sales Charge* 21.01% 21.41% 5.00% (1.20%) --------------------------------------- CLASS B SHARES Without CDSC 27.68% 23.33% 5.96% (0.74%) With CDSC** 22.68% 22.67% 5.64% (0.74%) --------------------------------------- INSTITUTIONAL SHARES 29.08% 24.61% 6.77% (0.21%) --------------------------------------- SELECT SHARES 28.72% 24.20% 6.41% (0.54%)
* 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 (10/31/94 TO 10/31/04)
JPMORGAN FLEMING EMERGING MSCI EMERGING LIPPER EMERGING MARKETS EQUITY FUND MARKETS EQUITY MARKET FUNDS (INSTITUTIONAL SHARES) FREE INDEX AVERAGE Oct-1994 $ 3,000,000 $ 3,000,000 $ 3,000,000 Nov-1994 $ 2,884,500 $ 2,844,000 $ 2,870,100 Dec-1994 $ 2,630,376 $ 2,615,627 $ 2,673,498 Jan-1995 $ 2,309,733 $ 2,337,324 $ 2,428,071 Feb-1995 $ 2,248,525 $ 2,277,489 $ 2,390,436 Mar-1995 $ 2,297,543 $ 2,292,065 $ 2,411,711 Apr-1995 $ 2,375,889 $ 2,394,978 $ 2,513,967 May-1995 $ 2,473,776 $ 2,522,391 $ 2,640,671 Jun-1995 $ 2,485,897 $ 2,529,958 $ 2,648,065 Jul-1995 $ 2,586,327 $ 2,586,629 $ 2,751,340 Aug-1995 $ 2,515,462 $ 2,525,585 $ 2,699,064 Sep-1995 $ 2,491,062 $ 2,513,715 $ 2,704,462 Oct-1995 $ 2,375,975 $ 2,417,439 $ 2,588,171 Nov-1995 $ 2,304,933 $ 2,374,409 $ 2,548,830 Dec-1995 $ 2,375,695 $ 2,479,833 $ 2,632,687 Jan-1996 $ 2,558,148 $ 2,656,149 $ 2,863,573 Feb-1996 $ 2,545,869 $ 2,613,916 $ 2,848,969 Mar-1996 $ 2,577,947 $ 2,634,305 $ 2,868,342 Apr-1996 $ 2,661,730 $ 2,739,677 $ 3,001,146 May-1996 $ 2,681,427 $ 2,727,348 $ 3,044,963 Jun-1996 $ 2,688,935 $ 2,744,258 $ 3,067,191 Jul-1996 $ 2,560,673 $ 2,556,825 $ 2,890,215 Aug-1996 $ 2,617,520 $ 2,622,280 $ 2,976,921 Sep-1996 $ 2,605,217 $ 2,645,094 $ 2,998,950 Oct-1996 $ 2,533,574 $ 2,574,470 $ 2,924,576 Nov-1996 $ 2,563,217 $ 2,617,721 $ 2,998,860 Dec-1996 $ 2,585,773 $ 2,629,500 $ 3,051,640 Jan-1997 $ 2,794,703 $ 2,808,832 $ 3,300,654 Feb-1997 $ 2,871,837 $ 2,929,050 $ 3,418,488 Mar-1997 $ 2,864,370 $ 2,852,016 $ 3,343,281 Apr-1997 $ 2,849,476 $ 2,857,150 $ 3,377,382 May-1997 $ 2,951,487 $ 2,938,864 $ 3,533,080 Jun-1997 $ 3,100,832 $ 3,096,094 $ 3,739,058 Jul-1997 $ 3,202,850 $ 3,142,225 $ 3,870,673 Aug-1997 $ 2,869,433 $ 2,742,220 $ 3,538,182 Sep-1997 $ 2,979,045 $ 2,818,180 $ 3,688,201 Oct-1997 $ 2,453,840 $ 2,355,716 $ 3,122,800 Nov-1997 $ 2,384,151 $ 2,269,733 $ 3,006,007 Dec-1997 $ 2,386,296 $ 2,324,433 $ 3,059,815 Jan-1998 $ 2,209,949 $ 2,142,198 $ 2,845,322 Feb-1998 $ 2,348,955 $ 2,365,843 $ 3,103,392 Mar-1998 $ 2,461,235 $ 2,468,521 $ 3,221,632 Apr-1998 $ 2,482,648 $ 2,441,614 $ 3,245,794 May-1998 $ 2,124,650 $ 2,107,113 $ 2,829,359 Jun-1998 $ 1,881,377 $ 1,886,077 $ 2,567,360 Jul-1998 $ 1,946,849 $ 1,945,865 $ 2,647,462 Aug-1998 $ 1,392,581 $ 1,383,316 $ 1,906,967 Sep-1998 $ 1,443,411 $ 1,471,018 $ 1,957,883 Oct-1998 $ 1,582,700 $ 1,625,916 $ 2,128,610 Nov-1998 $ 1,668,324 $ 1,761,192 $ 2,262,925 Dec-1998 $ 1,662,485 $ 1,735,655 $ 2,232,376 Jan-1999 $ 1,618,429 $ 1,707,711 $ 2,188,844 Feb-1999 $ 1,589,135 $ 1,724,276 $ 2,173,522 Mar-1999 $ 1,770,932 $ 1,951,535 $ 2,410,436 Apr-1999 $ 2,023,113 $ 2,192,940 $ 2,734,881 May-1999 $ 1,996,813 $ 2,180,221 $ 2,707,259 Jun-1999 $ 2,190,304 $ 2,427,676 $ 3,034,566 Jul-1999 $ 2,146,279 $ 2,361,643 $ 2,959,309 Aug-1999 $ 2,155,078 $ 2,383,134 $ 2,923,206 Sep-1999 $ 2,105,296 $ 2,302,584 $ 2,815,339 Oct-1999 $ 2,117,086 $ 2,351,629 $ 2,916,410 Nov-1999 $ 2,301,907 $ 2,562,571 $ 3,233,715 Dec-1999 $ 2,650,416 $ 2,888,530 $ 3,825,162 Jan-2000 $ 2,611,985 $ 2,905,861 $ 3,792,648 Feb-2000 $ 2,594,223 $ 2,944,218 $ 3,959,904 Mar-2000 $ 2,588,257 $ 2,958,645 $ 4,001,483 Apr-2000 $ 2,384,561 $ 2,678,165 $ 3,569,323 May-2000 $ 2,298,955 $ 2,567,557 $ 3,360,874 Jun-2000 $ 2,425,857 $ 2,657,935 $ 3,525,221 Jul-2000 $ 2,310,872 $ 2,521,317 $ 3,361,651 Aug-2000 $ 2,343,224 $ 2,533,672 $ 3,434,262 Sep-2000 $ 2,139,598 $ 2,312,482 $ 3,083,624 Oct-2000 $ 1,971,425 $ 2,144,827 $ 2,860,370 Nov-2000 $ 1,776,649 $ 1,957,369 $ 2,590,923 Dec-2000 $ 1,849,136 $ 2,004,542 $ 2,680,828 Jan-2001 $ 2,097,290 $ 2,280,567 $ 3,002,796 Feb-2001 $ 1,949,641 $ 2,101,999 $ 2,770,379 Mar-2001 $ 1,763,450 $ 1,895,583 $ 2,515,227 Apr-2001 $ 1,840,336 $ 1,989,224 $ 2,660,607 May-2001 $ 1,896,467 $ 2,012,896 $ 2,737,765 Jun-2001 $ 1,855,124 $ 1,971,632 $ 2,688,211 Jul-2001 $ 1,719,329 $ 1,847,025 $ 2,510,521 Aug-2001 $ 1,698,697 $ 1,828,739 $ 2,459,808 Sep-2001 $ 1,444,572 $ 1,545,650 $ 2,113,959 Oct-2001 $ 1,518,389 $ 1,641,635 $ 2,241,008 Nov-2001 $ 1,674,935 $ 1,813,022 $ 2,465,781 Dec-2001 $ 1,773,086 $ 1,956,976 $ 2,620,879 Jan-2002 $ 1,850,570 $ 2,023,317 $ 2,725,976 Feb-2002 $ 1,886,286 $ 2,056,500 $ 2,784,312 Mar-2002 $ 1,969,660 $ 2,180,301 $ 2,944,410 Apr-2002 $ 1,990,539 $ 2,194,473 $ 2,971,793 May-2002 $ 1,963,666 $ 2,159,581 $ 2,945,344 Jun-2002 $ 1,805,788 $ 1,997,612 $ 2,730,039 Jul-2002 $ 1,638,933 $ 1,845,594 $ 2,528,289 Aug-2002 $ 1,659,747 $ 1,874,016 $ 2,545,987 Sep-2002 $ 1,495,930 $ 1,671,810 $ 2,296,990 Oct-2002 $ 1,564,444 $ 1,780,310 $ 2,402,422 Nov-2002 $ 1,668,792 $ 1,902,796 $ 2,551,852 Dec-2002 $ 1,616,392 $ 1,839,623 $ 2,488,056 Jan-2003 $ 1,616,392 $ 1,831,528 $ 2,467,405 Feb-2003 $ 1,565,476 $ 1,782,077 $ 2,418,304 Mar-2003 $ 1,493,464 $ 1,731,466 $ 2,338,016 Apr-2003 $ 1,631,460 $ 1,885,740 $ 2,555,218 May-2003 $ 1,760,345 $ 2,021,136 $ 2,744,815 Jun-2003 $ 1,853,292 $ 2,136,341 $ 2,873,821 Jul-2003 $ 1,982,281 $ 2,270,076 $ 3,019,237 Aug-2003 $ 2,105,182 $ 2,422,398 $ 3,222,431 Sep-2003 $ 2,108,129 $ 2,440,081 $ 3,276,246 Oct-2003 $ 2,276,147 $ 2,647,732 $ 3,537,035 Nov-2003 $ 2,279,106 $ 2,680,299 $ 3,581,248 Dec-2003 $ 2,439,099 $ 2,874,621 $ 3,867,748 Jan-2004 $ 2,575,933 $ 2,976,670 $ 3,986,488 Feb-2004 $ 2,694,426 $ 3,113,894 $ 4,165,880 Mar-2004 $ 2,770,409 $ 3,153,752 $ 4,215,870 Apr-2004 $ 2,563,736 $ 2,895,775 $ 3,887,032 May-2004 $ 2,536,304 $ 2,838,728 $ 3,812,401 Jun-2004 $ 2,594,132 $ 2,851,787 $ 3,815,832 Jul-2004 $ 2,551,588 $ 2,801,310 $ 3,745,239 Aug-2004 $ 2,664,113 $ 2,918,685 $ 3,886,809 Sep-2004 $ 2,843,674 $ 3,087,385 $ 4,111,467 Oct-2004 $ 2,937,748 $ 3,161,482 $ 4,222,066
SOURCE: LIPPER, INC. THE QUOTED PERFORMANCE IS PAST PERFORMANCE AND NOT A GUARANTEE OF FUTURE RESULTS. INVESTMENT RETURNS WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES WHEN REDEEMED MAY BE WORTH MORE OR LESS THAN ORIGINAL COST. 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 Funds Average from October 31, 1994 to October 31, 2004. The performance of the Fund assumes reinvestment of all dividends and capital gains and does not include a sales charge. The performance of the indices reflects an initial investment at the end of the month following the Fund's inception. The performance of the indices does not include a sales charge and has been adjusted to reflect reinvestment of all dividends and capital gains of the securities included in the benchmark. The MSCI Emerging Markets Equity Free Index is a replica (or model) of the world's emerging market equity markets. The Lipper Emerging Market 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 OCTOBER 31, 2004 (Unaudited) FUND FACTS Fund Inception 11/1/01 Fiscal Year End OCTOBER 31 Net Assets as of 10/31/2004 (In Millions) $35.5 Primary Benchmark MSCI ALL COUNTRY FAR EAST FREE (EX-JAPAN) INDEX Q: HOW DID THE FUND PERFORM? A: JPMorgan Fleming Asia Equity Fund, which seeks total return from long-term capital growth, rose 3.9% (A shares, no sales charge) in the year ended October 31, 2004. This compares with a rise of 9.3% in the MSCI All Country Far East Free (Ex-Japan) Index (in U.S. dollars). Q: WHY DID THE FUND PERFORM THIS WAY? A: The portfolio trailed the MSCI Far East Free (Ex-Japan) Index over 12 months due to pronounced swings in investor sentiment as events in China and the United States caused uncertainty in the region. The high-growth markets of China and Southeast Asia rallied when the robustness of the Chinese and U.S. economies appeared beyond question in late 2003. In 2004, however, doubts began to emerge, and defensive stocks outperformed. The portfolio's shortfall against the Index resulted from low exposure both to mature economies such as Hong Kong and to defensive stocks within them. Our overweight position in China underperformed, as investors worried that government actions to curb an overheating economy would drastically curtail growth. This has so far proved to be overly cautious, and our view that the Chinese authorities will achieve a soft landing for the economy seems to hold water. Stock picking within China was positive. Overweight positions in Sinopec, the oil company, and Jiangxi Copper, the mining stock,both performed well. In Hong Kong, the portfolio suffered from being underweight the market, and underweight defensive utility companies, such as China Light & Power, the local electricity company, which performed well in the middle of the period as investors became nervous about economic growth. More recently the portfolio has concentrated on asset reflation plays, such as banks and real estate companies in Singapore and Hong Kong, which have added value over the last few months. Chinese growth did help a number of holdings. Two small capitalization shipping companies -- Thoresen Thai Agencies, in Thailand, and U-Ming Marine Transport Corporation, in Taiwan -- prospered with buoyant freight transportation. Two natural resources companies -- Bumi Resources, the Indonesian coal company, and Taiwanese Petrochemical Co. -- gained from surging Chinese demand for raw materials. Q: HOW WAS THE FUND MANAGED? A: At the end of 2003, the portfolio was weighted towards China, India and Southeast Asia, which were the fastest growing markets. As regional economic growth became less certain, so weightings in these markets were reduced, and weightings increased in Hong Kong and Singapore. Over the last few months, portfolio country allocations have become more neutral, with the emphasis increasingly on adding value through individual stock selection. 21 [CHART] PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS Hong Kong 32.0% South Korea 24.5% Taiwan 16.1% Singapore 10.0% Thailand 5.2% Malaysia 4.7% China 4.5% Indonesia 2.1% India 0.9%
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO 1. Samsung Electronics Co., LTD (South Korea) 9.6% 2. HSBC Holdings PLC (Hong Kong Registered Shares) 5.6% 3. Kookmin Bank (South Korea) 3.3% 4. DBS Group Holdings LTD (Singapore) 3.2% 5. Cathay Financial Holding Co., LTD (Taiwan) 3.0% 6. Sun Hung Kai Properties LTD (Hong Kong) 2.9% 7. China Mobile Hong Kong LTD (Hong Kong) 2.7% 8. Wheelock & Co., LTD (Hong Kong) 2.6% 9. Esprit Holdings LTD (Hong Kong) 2.6% 10. Taiwan Semiconductor Manufacturing Co., LTD (Taiwan) 2.5%
Top 10 equity holdings comprised 38.0% of the Portfolio's market value of investments ($13,318,451). As of October 31, 2004, the Fund held 68 equity holdings. Portfolio holdings are subject to change at any time. 22 ANNUAL REPORT OCTOBER 31 2004 (Unaudited) AVERAGE ANNUAL TOTAL RETURNS AS OF OCTOBER 31, 2004
SINCE INCEPTION 1 YEAR (11/1/01) ------------------------- CLASS A SHARES Without Sales Charge 3.91% 7.12% With Sales Charge* (2.05%) 5.01% ------------------------- INSTITUTIONAL SHARES 4.29% 7.45% ------------------------- SELECT SHARES 4.21% 7.34%
* Sales Charge for Class A Shares is 5.75%. [CHART] LIFE OF FUND PERFORMANCE (11/01/01 TO 10/31/04)
JPMORGAN FLEMING ASIA MSCI ALL COUNTRY FAR EAST LIPPER PACIFIC REGION FUNDS EQUITY FUND (CLASS A SHARES) FREE (EX-JAPAN) INDEX 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 $ 11,126 $ 14,679 $ 14,673 May-2004 $ 11,032 $ 14,338 $ 14,403 Jun-2004 $ 10,868 $ 14,202 $ 14,270 Jul-2004 $ 10,520 $ 13,826 $ 13,952 Aug-2004 $ 11,184 $ 14,553 $ 14,532 Sep-2004 $ 11,531 $ 15,065 $ 15,124 Oct-2004 $ 11,583 $ 15,129 $ 15,343
SOURCE: LIPPER, INC. THE QUOTED PERFORMANCE IS PAST PERFORMANCE AND NOT A GUARANTEE OF FUTURE RESULTS. INVESTMENT RETURNS WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES WHEN REDEEMED MAY BE WORTH MORE OR LESS THAN ORIGINAL COST. 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 October 31, 2004. The performance of the Fund assumes reinvestment of all dividends and capital gains and includes a sales charge. The performance of the indices reflects an initial investment at the end of the month following the Fund's inception. The performance of the indices does not include a sales charge and has been adjusted to reflect reinvestment of all dividends and capital gains of the securities included in the benchmark. The MSCI All Country Far East Free (Ex-Japan) Index 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 OCTOBER 31, 2004 (Unaudited) FUND FACTS Fund Inception 1/1/97 Fiscal Year End OCTOBER 31 Net Assets as of 10/31/2004 (In Millions) $1,316.1 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 and income, rose 18.3% (Select Shares) over the year ending October 31, 2004, compared with the 18.8% return of the MSCI EAFE Index over the same period. Q: WHY DID THE FUND PERFORM IN THIS WAY? A: The Fund generated substantial returns when strong corporate earnings growth drove rallies in foreign equity markets. Compared with the MSCI EAFE Index, the greatest positive contribution came from the Consumer Staples sector. The Fund successfully avoided buying expensive growth stocks, which later fell back when earnings disappointed. Stocks that the Fund did hold, and which made notable contributions, included Altadis, the Spanish tobacco company, and Tesco, the U.K. discount retailer. Altadis continues to make profit gains through restructuring, while Tesco reported rapid growth in sales and earnings. The two other positive sectors for the Fund were Materials and Healthcare. Within materials, the Fund again benefited from avoiding stocks trading on excessive valuations. The biggest contributor to performance was Imerys, the French building materials company, which benefited from buoyant construction activity. Within Healthcare, the Fund focused on companies with full drug pipelines. The best performing holding was Aventis, the French pharmaceutical company, which agreed to be taken over by rival Sanofi-Synthelabo during the period. From a negative perspective, the Fund's holdings in both the Consumer Discretionary and Utilities sectors performed poorly relative to the Index. In the case of Consumer Discretionary, the shortfall was largely caused by just three stocks -- BMW, the German car manufacturer; Compass Group, the U.K. catering company; Koninklijke Philips Electronics, the Dutch electronics company. The Fund was underweight utilities in a period when the sector's defensive characteristics caused it to rally more than the broad market. Q: HOW WAS THE FUND MANAGED? A: As always, the Fund focused on stock picking to build a diversified portfolio of international equities demonstrating attractive earnings growth prospects at reasonable valuations. In a year when many companies reported strong earnings growth, it was important to avoid buying stocks at excessive valuations at what may be the peak of the current earnings cycle. 24 ANNUAL REPORT OCTOBER 31 2004 (Unaudited) [CHART] PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS United Kingdom 25.5% Japan 19.9% France 11.7% Switzerland 11.0% Germany 5.1% The Netherlands 4.9% Italy 4.7% Hong Kong 3.5% Spain 2.4% Australia 2.3% South Korea 2.3% Belgium 2.0% Finland 1.2% Brazil 1.1% Ireland 0.8% Mexico 0.7% Sweden 0.7% Russia 0.2%
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO 1. Total SA (France) 4.1% 2. ENI-Ente Nazionale Idrocarburi SPA (Italy) 3.7% 3. Vodafone Group PLC (United Kingdom) 3.6% 4. HSBC Holdings PLC (Hong Kong Registered Shares) (United Kingdom) 3.0% 5. GlaxoSmithKline PLC (United Kingdom) 2.7% 6. UBS AG (Switzerland) 2.1% 7. Novartis AG (Switzerland) 2.1% 8. Tesco PLC (United Kingdom) 1.9% 9. Nestle SA (Switzerland) 1.8% 10. Barclays PLC (United Kingdom) 1.8%
Top 10 equity holdings comprised 26.8% of the Portfolio's market value of investments ($337,277,343). As of October 31, 2004, the Fund held 90 equity holdings Portfolio holdings are subject to change at any time. 25 AVERAGE ANNUAL TOTAL RETURNS AS OF OCTOBER 31, 2004
1 YEAR 3 YEARS 5 YEARS 10 YEARS ------------------------------------------------------------- CLASS A SHARES Without Sales Charge 17.86% 9.27% 0.99% 5.22% With Sales Charge* 11.10% 7.14% (0.20%) 4.61% ------------------------------------------------------------- CLASS B SHARES Without CDSC 17.27% 8.80% 0.72% 5.09% With CDSC** 12.27% 7.95% 0.41% 5.09% ------------------------------------------------------------- CLASS C SHARES Without CDSC 17.26% 8.79% 0.72% 5.08% With CDSC*** 16.26% 8.79% 0.72% 5.08% ------------------------------------------------------------- SELECT SHARES 18.31% 9.68% 1.22% 5.34%
* 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. *** Assumes a 1% CDSC for one year period and 0% thereafter. [CHART] TEN-YEAR PERFORMANCE (10/31/94 TO 10/31/04)
JPMORGAN FLEMING INTERNATIONAL EQUITY FUND (SELECT SHARES) MSCI EAFE INDEX LIPPER INTERNATIONAL FUNDS INDEX Oct-1994 $ 1,000,000 $ 1,000,000 $ 1,000,000 Nov-1994 $ 966,200 $ 951,900 $ 953,300 Dec-1994 $ 973,736 $ 957,897 $ 940,621 Jan-1995 $ 949,685 $ 921,114 $ 893,966 Feb-1995 $ 928,412 $ 918,443 $ 893,698 Mar-1995 $ 955,429 $ 975,753 $ 917,202 Apr-1995 $ 975,780 $ 1,012,442 $ 950,955 May-1995 $ 955,191 $ 1,000,394 $ 960,275 Jun-1995 $ 936,278 $ 982,887 $ 963,924 Jul-1995 $ 985,620 $ 1,044,121 $ 1,016,940 Aug-1995 $ 1,008,486 $ 1,004,340 $ 999,753 Sep-1995 $ 1,027,143 $ 1,023,924 $ 1,016,449 Oct-1995 $ 1,015,434 $ 996,381 $ 995,307 Nov-1995 $ 1,032,391 $ 1,024,080 $ 1,005,658 Dec-1995 $ 1,070,177 $ 1,065,350 $ 1,034,822 Jan-1996 $ 1,106,777 $ 1,069,718 $ 1,059,244 Feb-1996 $ 1,099,251 $ 1,073,355 $ 1,063,799 Mar-1996 $ 1,123,105 $ 1,096,111 $ 1,080,394 Apr-1996 $ 1,168,927 $ 1,128,007 $ 1,115,615 May-1996 $ 1,154,199 $ 1,107,252 $ 1,114,388 Jun-1996 $ 1,170,358 $ 1,113,453 $ 1,124,529 Jul-1996 $ 1,120,149 $ 1,080,940 $ 1,086,632 Aug-1996 $ 1,113,540 $ 1,083,318 $ 1,100,758 Sep-1996 $ 1,155,187 $ 1,112,134 $ 1,125,415 Oct-1996 $ 1,130,004 $ 1,100,790 $ 1,120,914 Nov-1996 $ 1,180,741 $ 1,144,602 $ 1,173,597 Dec-1996 $ 1,181,922 $ 1,129,836 $ 1,184,042 Jan-1997 $ 1,174,003 $ 1,090,292 $ 1,185,581 Feb-1997 $ 1,204,409 $ 1,108,173 $ 1,207,040 Mar-1997 $ 1,204,409 $ 1,112,162 $ 1,213,437 Apr-1997 $ 1,207,541 $ 1,118,057 $ 1,218,776 May-1997 $ 1,255,842 $ 1,190,842 $ 1,287,515 Jun-1997 $ 1,310,095 $ 1,256,458 $ 1,349,316 Jul-1997 $ 1,363,285 $ 1,276,812 $ 1,392,629 Aug-1997 $ 1,244,270 $ 1,181,434 $ 1,292,221 Sep-1997 $ 1,316,935 $ 1,247,595 $ 1,375,181 Oct-1997 $ 1,230,808 $ 1,151,655 $ 1,270,805 Nov-1997 $ 1,220,100 $ 1,139,908 $ 1,260,130 Dec-1997 $ 1,242,184 $ 1,149,825 $ 1,269,959 Jan-1998 $ 1,285,163 $ 1,202,372 $ 1,300,692 Feb-1998 $ 1,367,799 $ 1,279,564 $ 1,383,286 Mar-1998 $ 1,444,396 $ 1,318,975 $ 1,458,399 Apr-1998 $ 1,478,917 $ 1,329,395 $ 1,480,858 May-1998 $ 1,497,255 $ 1,322,881 $ 1,483,820 Jun-1998 $ 1,472,700 $ 1,332,935 $ 1,470,910 Jul-1998 $ 1,518,796 $ 1,346,397 $ 1,493,415 Aug-1998 $ 1,277,307 $ 1,179,579 $ 1,278,513 Sep-1998 $ 1,219,318 $ 1,143,366 $ 1,238,751 Oct-1998 $ 1,289,916 $ 1,262,504 $ 1,329,799 Nov-1998 $ 1,347,962 $ 1,327,145 $ 1,396,422 Dec-1998 $ 1,410,373 $ 1,379,434 $ 1,430,774 Jan-1999 $ 1,452,261 $ 1,375,296 $ 1,439,502 Feb-1999 $ 1,386,328 $ 1,342,564 $ 1,402,507 Mar-1999 $ 1,425,423 $ 1,398,549 $ 1,449,210 Apr-1999 $ 1,483,010 $ 1,455,190 $ 1,516,743 May-1999 $ 1,411,826 $ 1,380,248 $ 1,460,321 Jun-1999 $ 1,460,110 $ 1,434,077 $ 1,529,540 Jul-1999 $ 1,497,489 $ 1,476,669 $ 1,563,649 Aug-1999 $ 1,523,994 $ 1,482,133 $ 1,576,001 Sep-1999 $ 1,543,959 $ 1,497,103 $ 1,581,045 Oct-1999 $ 1,584,410 $ 1,553,244 $ 1,636,223 Nov-1999 $ 1,734,137 $ 1,607,141 $ 1,756,158 Dec-1999 $ 1,962,870 $ 1,751,463 $ 1,971,990 Jan-2000 $ 1,892,403 $ 1,640,245 $ 1,856,629 Feb-2000 $ 2,032,251 $ 1,684,367 $ 1,979,166 Mar-2000 $ 2,043,022 $ 1,749,721 $ 1,984,312 Apr-2000 $ 1,903,484 $ 1,657,686 $ 1,858,507 May-2000 $ 1,818,779 $ 1,617,238 $ 1,807,398 Jun-2000 $ 1,868,977 $ 1,680,472 $ 1,891,080 Jul-2000 $ 1,773,846 $ 1,610,060 $ 1,829,809 Aug-2000 $ 1,790,166 $ 1,624,068 $ 1,860,733 Sep-2000 $ 1,675,774 $ 1,544,976 $ 1,752,252 Oct-2000 $ 1,627,512 $ 1,508,514 $ 1,692,676 Nov-2000 $ 1,585,359 $ 1,451,945 $ 1,621,245 Dec-2000 $ 1,637,518 $ 1,503,489 $ 1,681,717 Jan-2001 $ 1,635,716 $ 1,502,737 $ 1,691,639 Feb-2001 $ 1,506,822 $ 1,390,032 $ 1,572,886 Mar-2001 $ 1,421,536 $ 1,297,317 $ 1,462,312 Apr-2001 $ 1,516,068 $ 1,387,480 $ 1,551,221 May-2001 $ 1,470,586 $ 1,338,502 $ 1,513,681 Jun-2001 $ 1,409,409 $ 1,283,758 $ 1,470,995 Jul-2001 $ 1,376,993 $ 1,260,393 $ 1,432,750 Aug-2001 $ 1,343,945 $ 1,228,505 $ 1,403,951 Sep-2001 $ 1,232,398 $ 1,104,058 $ 1,250,921 Oct-2001 $ 1,275,778 $ 1,132,322 $ 1,284,821 Nov-2001 $ 1,328,723 $ 1,174,104 $ 1,332,744 Dec-2001 $ 1,359,284 $ 1,181,031 $ 1,356,467 Jan-2002 $ 1,298,524 $ 1,118,319 $ 1,301,666 Feb-2002 $ 1,313,586 $ 1,126,147 $ 1,319,889 Mar-2002 $ 1,386,359 $ 1,187,071 $ 1,389,711 Apr-2002 $ 1,413,532 $ 1,194,906 $ 1,399,439 May-2002 $ 1,422,013 $ 1,210,081 $ 1,419,451 Jun-2002 $ 1,384,614 $ 1,161,920 $ 1,363,383 Jul-2002 $ 1,244,491 $ 1,047,239 $ 1,227,317 Aug-2002 $ 1,255,940 $ 1,044,830 $ 1,228,299 Sep-2002 $ 1,111,633 $ 932,615 $ 1,096,011 Oct-2002 $ 1,176,997 $ 982,697 $ 1,152,894 Nov-2002 $ 1,231,492 $ 1,027,311 $ 1,207,426 Dec-2002 $ 1,192,330 $ 992,794 $ 1,168,789 Jan-2003 $ 1,124,248 $ 951,394 $ 1,126,011 Feb-2003 $ 1,093,894 $ 929,607 $ 1,092,681 Mar-2003 $ 1,069,281 $ 911,387 $ 1,065,910 Apr-2003 $ 1,185,084 $ 1,000,703 $ 1,171,436 May-2003 $ 1,264,248 $ 1,061,345 $ 1,246,642 Jun-2003 $ 1,285,614 $ 1,087,030 $ 1,276,062 Jul-2003 $ 1,299,112 $ 1,113,336 $ 1,311,792 Aug-2003 $ 1,326,654 $ 1,140,167 $ 1,349,703 Sep-2003 $ 1,356,105 $ 1,175,285 $ 1,376,832 Oct-2003 $ 1,422,961 $ 1,248,505 $ 1,458,891 Nov-2003 $ 1,467,785 $ 1,276,222 $ 1,488,215 Dec-2003 $ 1,573,025 $ 1,375,894 $ 1,589,562 Jan-2004 $ 1,602,598 $ 1,395,295 $ 1,623,738 Feb-2004 $ 1,642,022 $ 1,427,526 $ 1,660,922 Mar-2004 $ 1,637,260 $ 1,435,520 $ 1,669,060 Apr-2004 $ 1,578,155 $ 1,403,077 $ 1,619,322 May-2004 $ 1,592,989 $ 1,407,848 $ 1,618,351 Jun-2004 $ 1,628,194 $ 1,438,680 $ 1,650,879 Jul-2004 $ 1,574,464 $ 1,391,922 $ 1,596,896 Aug-2004 $ 1,588,634 $ 1,398,047 $ 1,605,359 Sep-2004 $ 1,636,611 $ 1,434,536 $ 1,648,062 Oct-2004 $ 1,682,842 $ 1,483,454 $ 1,700,305
SOURCE: LIPPER, INC. THE QUOTED PERFORMANCE IS PAST PERFORMANCE AND NOT A GUARANTEE OF FUTURE RESULTS. INVESTMENT RETURNS WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES WHEN REDEEMED MAY BE WORTH MORE OR LESS THAN ORIGINAL COST. 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 October 31, 1994 to October 31, 2004. The performance of the Fund assumes reinvestment of all dividends and capital gains and does not include a sales charge. The performance of the indices does not include a sales charge and has been adjusted to reflect reinvestment of all dividends and capital gains of the securities included in the benchmark. The 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 OCTOBER 31, 2004
SHARES ISSUER VALUE - -------------------------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- 99.4% COMMON STOCKS -- 99.4% AUSTRIA -- 1.8% 9,285 Bank Austria Creditanstalt AG (f) $ 686,458 3,147 OMV AG (f) 755,343 9,142 Voest-Alpine AG (f) 531,300 -------------------------------------------------------------------------------- 1,973,101 -------------------------------------------------------------------------------- BELGIUM -- 5.5% 66,782 Belgacom SA* 2,446,561 59,387 Dexia (f) 1,190,307 43,320 Fortis Group (f) 1,101,469 12,533 KBC Bancassurance Holding (f) 918,682 4,265 NV Umicore SA (f) 329,379 -------------------------------------------------------------------------------- 5,986,398 -------------------------------------------------------------------------------- DENMARK -- 2.3% 110 AP Moller-Maersk AS (f) 811,706 83 Carlsberg AG, Class B (f) 3,852 45,263 TDC A/S (f) 1,678,433 -------------------------------------------------------------------------------- 2,493,991 -------------------------------------------------------------------------------- FINLAND -- 1.0% 116 Stora Enso OYJ, R Shares (f) 1,651 55,096 UPM-Kymmene OYJ (f) 1,088,536 506 YIT-Yhtyma OYJ (f) 10,040 -------------------------------------------------------------------------------- 1,100,227 -------------------------------------------------------------------------------- FRANCE -- 15.7% 76,684 Alcatel SA* (f) 1,121,595 46 Areva SA (f) 16,958 25,485 AXA (f) 549,704 32,646 BNP Paribas (f) 2,223,514 17,638 Eramet 1,357,403 77,880 France Telecom SA (f) 2,232,958 8,432 Imerys SA (f) 594,048 3,560 Lafarge SA (f) 324,908 6,627 Renault SA (f) 554,688 302,315 Rhodia SA* (f) (l) 542,011 7,666 Sanofi-Aventis (f) 559,126 20,986 Societe Generale (f) 1,948,365 110,647 Suez SA (f) 2,584,820 7,949 Total SA (f) 1,654,253 27,075 Veolia Environnement (f) 819,826 -------------------------------------------------------------------------------- 17,084,177 -------------------------------------------------------------------------------- GERMANY -- 11.0% 17,748 BASF AG (f) $ 1,111,602 37,156 Commerzbank AG (f) 680,545 84,453 Deutsche Lufthansa AG 1,109,736 51,079 Deutsche Post AG (f) 998,328 61,884 Deutsche Postbank AG* 2,456,050 57,718 Deutsche Telekom AG* 1,102,771 14,594 E.ON AG (f) 1,190,257 40,452 Hypo Real Estate Holding* (f) 1,513,620 21,051 RWE AG (f) 1,114,091 41,036 Thyssenkrupp AG (f) 772,746 -------------------------------------------------------------------------------- 12,049,746 -------------------------------------------------------------------------------- GREECE -- 4.6% 66,439 Alpha Bank A.E. (f) 1,903,849 29,672 Cosmote Mobile Communications SA 534,459 27,950 EFG Eurobank Ergasias SA (f) 764,599 45,118 National Bank of Greece SA (f) 1,258,762 26,620 OPAP SA (f) 542,191 -------------------------------------------------------------------------------- 5,003,860 -------------------------------------------------------------------------------- IRELAND -- 3.5% 29,515 Anglo Irish Bank Corp. (f) 560,055 144,635 Depfa Bank PLC (f) 2,196,639 527,575 Eircom Group PLC* 1,100,607 -------------------------------------------------------------------------------- 3,857,301 -------------------------------------------------------------------------------- ITALY -- 6.0% 543,242 Banca Intesa SPA (f) 1,829,042 71,000 ENI-Ente Nazionale Idrocarburi SPA (f) 1,619,686 12,861 Pirelli & Co. Real Estate SPA (f) 561,723 169,815 Risanamento SPA (f) 348,695 655,679 Telecom Italia SpA (f) 2,182,644 -------------------------------------------------------------------------------- 6,541,790 -------------------------------------------------------------------------------- LUXEMBOURG -- 0.7% 41,431 Arcelor SA (f) 773,994 NORWAY -- 3.1% 46,507 Aker Kvaerner ASA* 1,040,465 76,277 Golar LNG LTD* (f) 1,210,434
SEE NOTES TO FINANCIAL STATEMENTS. 27
SHARES ISSUER VALUE - -------------------------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED NORWAY -- CONTINUED 37,936 Statoil ASA (f) $ 551,618 162 Tandberg Television ASA* (f) 1,176 52,800 Yara International ASA* 563,780 -------------------------------------------------------------------------------- 3,367,473 -------------------------------------------------------------------------------- SPAIN -- 4.1% 109,318 Banco Bilbao Vizcaya Argentaria SA (f) (l) 1,717,709 12,180 Metrovacesa SA (f) 529,738 131,788 Telefonica SA (f) 2,181,109 -------------------------------------------------------------------------------- 4,428,556 -------------------------------------------------------------------------------- SWEDEN -- 5.6% 64 Assa Abloy AB, Class B (f) 864 14,690 Atlas Copco AB, Class B (f) 561,146 38,288 ForeningsSparbanken AB (f) 804,542 30,921 JM AB (f) 658,606 65,622 Nordea AB (f) 566,833 14,143 SKF AB, Ser. B 546,780 95,625 Ssab Svenskt Stal AB, Ser. A (f) 1,895,004 25,120 Svenska Handelsbanken, Class A (f) 543,967 15,111 Volvo AB, B Shares (f) 571,810 -------------------------------------------------------------------------------- 6,149,552 -------------------------------------------------------------------------------- SWITZERLAND -- 5.4% 22,502 Ciba Specialty Chemicals AG (f) 1,547,095 82,883 Clariant AG (f) 1,120,913 45,832 Novartis AG (f) 2,189,721 2,499 Saurer AG* (f) 132,297 3,553 Syngenta AG* (f) 338,003 35,071 Xstrata PLC (f) 543,568 -------------------------------------------------------------------------------- 5,871,597 -------------------------------------------------------------------------------- THE NETHERLANDS -- 7.5% 45,745 ABN AMRO Holding NV (f) 1,095,991 58,830 Akzo Nobel NV (f) 2,213,731 56 ASML Holding NV* (f) 798 22,287 Corio NV (f) 1,112,889 6,098 DSM NV (f) 332,195 41,445 ING Groep NV (f) 1,100,592 21,496 Rodamco Europe NV (f) 1,461,192 15,489 Royal Dutch Petroleum Co. (f) 839,907 -------------------------------------------------------------------------------- 8,157,295 -------------------------------------------------------------------------------- UNITED KINGDOM -- 21.6% 28,597 Antofagasta PLC (f) $ 523,731 79,254 Aviva PLC (f) 792,946 445,379 BAE Systems PLC (f) 1,947,531 163,335 Barclays PLC (f) 1,596,296 53,295 BHP Billiton PLC (f) 541,539 147,024 BP PLC (f) 1,425,268 71,032 BPB PLC 546,964 38,387 Britannic Group PLC 268,685 200,237 British Airways PLC* (f) 794,633 108,824 Centrica PLC (f) 480,973 564,931 Corus Group PLC* (f) 504,565 99,312 Enterprise Inns PLC (f) 1,128,057 414,327 Friends Provident PLC (f) 1,034,293 102,942 GlaxoSmithKline PLC (f) 2,164,633 135,189 HSBC Holdings PLC (f) 2,180,948 141,569 Imperial Chemical Industries PLC (f) 544,886 627,267 Legal & General Group PLC (f) 1,139,803 35,061 Punch Taverns PLC (f) 355,900 20,777 Rio Tinto PLC (f) 545,073 144,469 Scottish Power PLC (f) 1,167,623 113,773 Shell Transport & Trading Co., PLC (f) 895,975 112,929 Shire Pharmaceuticals PLC (f) 1,074,466 4,800 TI Automotive LTD, Class A* (f) (i) 0 305,489 Tullow Oil PLC (f) 787,536 32,787 United Utilities PLC (f) 345,677 125,609 Vedanta Resources PLC (f) 823,761 -------------------------------------------------------------------------------- 23,611,762 -------------------------------------------------------------------------------- Total Common Stocks 108,450,820 (Cost $100,107,026) -------------------------------------------------------------------------------- INVESTMENT COMPANIES -- 0.0% ^ SWEDEN -- 0.0% ^ 22 Ainax AB* 789 (Cost $0) TOTAL INVESTMENTS -- 99.4% $ 108,451,609 (COST $100,107,026) OTHER ASSETS IN EXCESS OF LIABILITIES -- 0.6% 693,636 -------------------------------------------------------------------------------- NET ASSETS -- 100.0% $ 109,145,245 --------------------------------------------------------------------------------
Percentages indicated are based on net assets of $109,145,245. SEE NOTES TO FINANCIAL STATEMENTS. 28 ANNUAL REPORT OCTOBER 31 2004
PRINCIPAL AMOUNT (USD) COLLATERAL INVESTMENTS VALUE - -------------------------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED REPURCHASE AGREEMENT (c) $ 1,217,848 Deutsche Bank Securities, Inc., 1.90%, dated 10/29/04, due 11/01/04, proceeds $1,218,041 secured by U.S. Government Agency Securities $ 1,217,848
SUMMARY OF INVESTMENTS BY INDUSTRY, OCTOBER 31, 2004 The following represents the allocations by industry for common stocks and other investments based on net assets:
INDUSTRY PERCENTAGE - ----------------------------------------------------- Banking 27.2% Telecommunications 13.4 Oil & Gas 7.8 Chemicals 7.6 Utilities 7.1 Pharmaceuticals 5.5 Insurance 4.5 Metals/Mining 4.3 Steel 4.1 Real Estate 3.7 Construction 2.9 Transportation 2.8 Aerospace 1.8 Airlines 1.7 Retailing 1.4 Automotive 1.0 Paper/Forest Products 1.0 Other (below 1%) 1.6 - ----------------------------------------------------- Total 99.4% - -----------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 29 JPMORGAN FLEMING JAPAN FUND PORTFOLIO OF INVESTMENTS AS OF OCTOBER 31, 2004
SHARES ISSUER VALUE - -------------------------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- 98.2% COMMON STOCKS -- 98.2% ADVERTISING -- 0.2% 39 Advance Create Co., LTD (W/I)* $ 88,144 AEROSPACE -- 1.0% 35,000 Japan Aviation Electronics Industry LTD (f) 347,451 40,000 Sumitomo Precision Products Co., LTD (f) 118,782 -------------------------------------------------------------------------------- 466,233 -------------------------------------------------------------------------------- AUTOMOTIVE -- 13.0% 63,000 Calsonic Kansei Corp. (f) 455,269 14,400 Denso Corp. (f) 343,832 19,000 Honda Motor Co., LTD (f) 921,110 429,000 Mitsubishi Motors Corp.* 468,632 15,000 Musashi Seimitsu Industry Co., LTD (f) 325,642 122,200 Nissan Motor Co., LTD (f) 1,373,696 18,900 Showa Corp. (f) 249,172 55,300 Toyota Motor Corp. (f) (l) 2,141,252 -------------------------------------------------------------------------------- 6,278,605 -------------------------------------------------------------------------------- BANKING -- 7.9% 107 Mitsubishi Tokyo Financial Group, Inc. (f) 905,298 315 Mizuho Financial Group, Inc. (f) 1,214,077 68,000 Shinsei Bank LTD (f) (l) 443,036 66 Sumitomo Mitsui Financial Group, Inc. (f) (I) 428,561 85,000 The 77 Bank LTD (f) 505,448 64,000 The Hiroshima Bank LTD (l) 298,333 -------------------------------------------------------------------------------- 3,794,753 -------------------------------------------------------------------------------- BUSINESS SERVICES -- 0.4% 4,600 Arrk Corp. (f) 170,866 CHEMICALS -- 5.6% 28,000 Fujikura Kasei Co., LTD (f) 225,480 19,700 Hitachi Chemical Co., LTD (f) 310,180 31,600 JSR Corp. (f) 574,501 26,000 Nissan Chemical Industries LTD (f) 210,744 10,800 Nitto Denko Corp. (f) 511,681 10,300 Shin-Etsu Chemical Co., LTD (f) $ 390,533 133,000 Toyo Ink Mfg. Co., LTD (f) 457,489 -------------------------------------------------------------------------------- 2,680,608 -------------------------------------------------------------------------------- COMPUTER SOFTWARE -- 0.8% 53 Cybernet Systems Co., LTD (f) 157,293 35,000 Yuke's Co., LTD 226,433 -------------------------------------------------------------------------------- 383,726 -------------------------------------------------------------------------------- CONSTRUCTION -- 0.9% 8,000 Daikin Industries LTD (f) 194,480 34,000 Sekisui Chemical Co., LTD (f) 215,803 -------------------------------------------------------------------------------- 410,283 -------------------------------------------------------------------------------- CONSTRUCTION MATERIALS -- 0.8% 73,000 Sanwa Shutter Corp. (f) 372,461 CONSUMER PRODUCTS -- 0.5% 23,000 Sankyo Seiki Manufacturing Co., LTD* (f) 226,376 CONSUMER SERVICES -- 2.2% 24,100 Park24 Co., LTD* (f) (l) 408,732 15,100 Park24 Co., LTD (W/I)* 256,667 4,900 TIS, Inc. (f) (l) 165,117 2,630 USS Co., LTD (f) 212,359 -------------------------------------------------------------------------------- 1,042,875 -------------------------------------------------------------------------------- DISTRIBUTION -- 5.3% 30,900 Advan Co., LTD (f) (l) 372,307 17,300 Misumi Corp. (f) (l) 472,871 69,200 Mitsubishi Corp. (f) (l) 763,027 57,000 Mitsui & Co., LTD (f) 478,144 59,000 Sumitomo Corp. (f) 437,964 -------------------------------------------------------------------------------- 2,524,313 -------------------------------------------------------------------------------- ELECTRONICS/ELECTRICAL EQUIPMENT -- 13.9% 11,200 Cosel Co., LTD (f) 260,502 13,100 Enplas Corp. (f) 379,317 10,500 Fanuc LTD (f) (l) 632,082 59,000 Fujikura LTD (f) (l) 258,687 43,500 Ibiden Co., LTD (f) (l) 669,252
SEE NOTES TO FINANCIAL STATEMENTS. 30 ANNUAL REPORT OCTOBER 31 2004
SHARES ISSUER VALUE - -------------------------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED ELECTRONICS/ELECTRICAL EQUIPMENT -- CONTINUED 12,500 Iriso Electronics Co., LTD $ 200,113 3,300 Keyence Corp. (f) 742,259 133,000 Mutoh Industries LTD* (f) 339,610 5,800 Nidec Corp. (f) (l) 627,918 116,000 Nissin Electric Co., LTD (f) 336,947 83,000 Oki Electric Industry Co., LTD* (f) (l) 283,571 10,700 Omron Corp. (f) 242,260 4,200 SMC Corp. (f) 448,639 24,300 Sony Corp. (f) 846,123 28,000 Sumitomo Electric Industries LTD (f) 264,417 18,300 Toyo Corp. (f) 197,009 -------------------------------------------------------------------------------- 6,728,706 -------------------------------------------------------------------------------- ENTERTAINMENT/LEISURE -- 0.5% 6,700 Mars Engineering Corp. (f) (l) 250,901 FINANCIAL SERVICES -- 6.8% 4,160 Acom Co., LTD (f) 260,293 2,650 Aiful Corp. (f) 263,446 47,000 Daiwa Securities Group, Inc. (f) 287,859 5,200 Diamond Lease Co., LTD (f) (l) 185,509 2,900 Jafco Co., LTD (f) (l) 148,646 43,000 Japan Asia Investment Co., LTD (f) 161,106 202 KK DaVinci Advisors* (f) 181,701 28,200 Lopro Corp. (f) (l) 181,944 26,400 Matsui Securities Co., LTD (f) (l) 698,270 32,000 Mitsubishi Securities Co., LTD (f) (l) 297,191 80,000 Nikko Cordial Corp. (f) 357,254 1,070 SFCG & Co., LTD (l) 224,499 -------------------------------------------------------------------------------- 3,247,718 -------------------------------------------------------------------------------- FOOD/BEVERAGE PRODUCTS -- 1.1% 11,400 Ito En LTD (f) (l) 514,250 HEALTH CARE/HEALTH CARE SERVICES -- 0.9% 4,400 Hoya Corp. (f) 451,177 HOTELS/OTHER LODGING -- 0.4% 10,100 Kyoritsu Maintenance Co., LTD (f) 212,718 INTERNET SERVICES/SOFTWARE -- 0.4% 208 eAccess LTD* (f) (l) 184,422 MACHINERY & ENGINEERING EQUIPMENT -- 4.4% 31,000 Amada Co., LTD (f) $ 164,587 76,000 Daifuku Co., LTD (f) (l) 418,411 31,000 Komatsu LTD (f) 206,953 63,000 Mori Seiki Co., LTD (f) (l) 475,028 43,000 Nabtesco Corp. (f) 231,094 6,000 Takeuchi Manufacturing Co., LTD (f) 268,113 120,000 Tsugami Corp. (f) 346,303 -------------------------------------------------------------------------------- 2,110,489 -------------------------------------------------------------------------------- MANUFACTURING -- 0.9% 85,200 NTN Corp. (f) (l) 446,892 METALS/MINING -- 1.1% 87,000 Dowa Mining Co., LTD (f) (l) 524,141 OFFICE/BUSINESS EQUIPMENT -- 3.0% 24,300 Canon, Inc. (f) 1,198,612 35,000 Okamura Corp. 246,210 -------------------------------------------------------------------------------- 1,444,822 -------------------------------------------------------------------------------- PHOTOGRAPHIC EQUIPMENT -- 0.4% 15,500 Konica Minolta Holdings, Inc. (f) (l) 205,986 REAL ESTATE -- 2.5% 3,800 Aeon Mall Co., LTD (f) 242,852 9,100 First Juken Co., LTD 173,105 18,000 Mitsubishi Estate Co., LTD (f) (l) 189,658 20,000 Mitsui Fudosan Co., LTD (f) 211,873 36,400 The Japan General Estate Co., LTD (f) 378,064 -------------------------------------------------------------------------------- 1,195,552 -------------------------------------------------------------------------------- RETAILING -- 8.2% 25,300 AEON Co., LTD (f) 404,355 25,600 EDION Corp. (f) 229,278 3,020 Gulliver International Co., LTD (f) 306,149 13,700 Izumi Co. LTD (f) 274,307 45,000 Izumiya Co., LTD (f) 299,722 7,000 Lawson, Inc. (f) 233,292 10,100 Otsuka Kagu LTD 228,270 70,000 Parco Co., LTD (f) 411,860 3,900 Ryohin Keikaku Co., LTD (f) 174,291
SEE NOTES TO FINANCIAL STATEMENTS. 31
SHARES ISSUER VALUE - -------------------------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED RETAILING -- CONTINUED 54,000 Takashimaya Co., LTD (f) $ 461,722 52,800 VT Holdings Co., LTD (W/I)* 536,999 129 Yoshinoya D&C Co., LTD (l) 204,087 5,900 Zakkaya Bulldog Co., LTD 190,018 -------------------------------------------------------------------------------- 3,954,350 -------------------------------------------------------------------------------- SEMI-CONDUCTORS -- 1.5% 7,100 Rohm Co., LTD (f) 726,682 STEEL -- 2.5% 21,800 JFE Holdings, Inc. (f) 584,706 255,000 Nippon Steel Corp. (f) 595,335 -------------------------------------------------------------------------------- 1,180,041 -------------------------------------------------------------------------------- TELECOMMUNICATIONS -- 7.9% 98 Alpha Group, Inc. 378,378 245 KDDI Corp. (f) 1,178,333 128 NextCom KK (f) (l) 349,585 687 NTT DoCoMo, Inc. (f) 1,210,509 44,000 Tamura Taiko Holdings, Inc.* (f) 215,409 150 Telepark Corp. 463,320 -------------------------------------------------------------------------------- 3,795,534 -------------------------------------------------------------------------------- TEXTILES -- 0.8% 118,000 Mitsubishi Rayon Co., LTD (f) 375,236 TOOLS/EQUIPMENT -- 0.4% 17,200 OSG Corp. (f) (l) 195,561 TRANSPORTATION -- 1.6% 133,000 Mitsui O.S.K. Lines LTD (f) 787,078 WHOLESALING -- 0.4% 84 Quin Land Co., LTD (f) $ 216,120 -------------------------------------------------------------------------------- Total Common Stocks 47,187,619 (Cost $46,476,579) -------------------------------------------------------------------------------- TOTAL INVESTMENTS -- 98.2% $ 47,187,619 (COST $46,476,579) OTHER ASSETS IN EXCESS OF LIABILITIES -- 1.8% 877,577 -------------------------------------------------------------------------------- NET ASSETS -- 100.0% $ 48,065,196 --------------------------------------------------------------------------------
Percentages indicated are based on net assets of $48,065,196. COLLATERAL INVESTMENTS - -------------------------------------------------------------------------------------------------- MONEY MARKET FUND (c) 3,000,000 Barclays Global Investors Prime Money Market Fund $ 3,000,000
PRINCIPAL AMOUNT (USD) - -------------------------------------------------------------------------------------------------- REPURCHASE AGREEMENT (c) $ 4,451,450 Deutsche Bank Securities, Inc. 1.90%, dated 10/29/04, due 11/01/04, proceeds $4,452,153 collateralized by U.S. Government Agency Securities 4,451,450 -------------------------------------------------------------------------------- $ 7,451,450 --------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 32 JPMORGAN FLEMING INTERNATIONAL GROWTH FUND PORTFOLIO OF INVESTMENTS AS OF OCTOBER 31, 2004
SHARES ISSUER VALUE - -------------------------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- 98.0% COMMON STOCKS -- 96.9% AUSTRALIA -- 1.2% 6,330 News Corp., LTD (f) $ 50,839 BELGIUM -- 0.8% 240 Colruyt SA (f) 34,773 BRAZIL -- 1.2% 2,400 Companhia Vale Do Rio Doce, ADR 50,784 CHINA -- 1.1% 70,000 China Life Insurance Co., LTD* (f) 46,468 FINLAND -- 1.1% 3,170 Nokia OYJ (f) 48,814 FRANCE -- 5.5% 770 BNP Paribas (f) 52,453 1,020 Dassault Systemes SA (f) 51,675 660 Total SA (f) 137,373 -------------------------------------------------------------------------------- 241,501 -------------------------------------------------------------------------------- GERMANY -- 6.5% 890 Altana AG (f) 44,898 1,530 Bayerische Motoren Werke AG (f) 64,636 1,000 Deutsche Boerse AG (f) 49,904 460 SAP AG (f) 78,503 750 Schering AG (f) 48,188 -------------------------------------------------------------------------------- 286,129 -------------------------------------------------------------------------------- HONG KONG -- 2.1% 6,500 Esprit Holdings LTD (f) 34,744 3,600 HSBC Holdings PLC (Hong Kong Registered Shares) (f) 58,235 -------------------------------------------------------------------------------- 92,979 -------------------------------------------------------------------------------- IRELAND -- 1.0% 2,300 Anglo Irish Bank Corp., PLC 43,834 ITALY -- 1.0% 1,920 ENI-Ente Nazionale Idrocarburi SPA (f) 43,807 JAPAN -- 21.3% 2,000 Canon, Inc. (f) $ 98,651 2,700 Chugai Pharmaceutical Co., LTD (f) 42,205 1,200 Credit Saison Co., LTD (f) 38,317 2,000 Daikin Industries LTD (f) 48,620 35 eAccess LTD* (f) 31,033 1,100 Fanuc LTD (f) 66,218 2,000 Fujisawa Pharmaceutical Co., LTD (f) 52,190 600 Honda Motor Co., LTD (f) 29,088 700 Hoya Corp. (f) 71,778 8 Mitsubishi Tokyo Financial Group, Inc. (f) 67,686 17,000 Nikko Cordial Corp. (f) 75,915 1,000 Nitto Denko Corp. (f) 47,378 1,500 Secom Co., LTD (f) 54,315 4,000 Sharp Corp. (f) 55,119 1,800 Shin-Etsu Chemical Co., LTD (f) 68,248 500 SMC Corp. (f) 53,409 610 Takefuji Corp. (f) 38,448 -------------------------------------------------------------------------------- 938,618 -------------------------------------------------------------------------------- LUXEMBOURG -- 1.1% 4,700 SES Global SA, FDR 48,435 MEXICO -- 0.9% 900 Fomento Economico Mexicano SA de CV, ADR 39,690 SOUTH KOREA -- 3.9% 420 Samsung Electronics Co., LTD, GDR 82,320 130 Samsung Electronics Co., LTD, GDR, # 25,518 3,100 SK Telecom Co., LTD, ADR 61,163 -------------------------------------------------------------------------------- 169,001 -------------------------------------------------------------------------------- SPAIN -- 5.4% 2,010 Altadis SA (f) 73,666 2,000 Gestevision Telecinco SA* 38,091 7,500 Telefonica SA (f) 124,146 -------------------------------------------------------------------------------- 235,903 -------------------------------------------------------------------------------- SWEDEN -- 1.1% 16,000 Telefonaktiebolaget LM Ericsson, B Shares* (f) 46,414
SEE NOTES TO FINANCIAL STATEMENTS. 33
SHARES ISSUER VALUE - -------------------------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED SWITZERLAND -- 12.4% 1,360 Adecco SA (f) $ 65,383 410 Nestle SA (f) 96,799 2,300 Novartis AG (f) 109,865 1,555 Roche Holding AG (f) 158,662 1,650 UBS AG (f) 119,076 -------------------------------------------------------------------------------- 549,785 -------------------------------------------------------------------------------- TAIWAN -- 0.8% 4,451 Taiwan Semiconductor Manufacturing Co., LTD ADR 33,694 THE NETHERLANDS -- 2.1% 2,930 Koninklijke Philips Electronics NV (f) 69,703 1,700 Reed Elsevier NV (f) 22,337 -------------------------------------------------------------------------------- 92,040 -------------------------------------------------------------------------------- UNITED KINGDOM -- 26.4% 4,470 Barclays PLC (f) 43,681 9,360 BG Group PLC (f) 61,096 5,800 British Sky Broadcasting PLC (f) 54,116 11,250 Centrica PLC (f) 49,717 7,970 GlaxoSmithKline PLC (f) 167,571 6,000 Intercontinental Hotels Group PLC (f) 73,345 3,385 Intertek Group PLC (f) 42,670 12,787 Kingfisher PLC (f) 70,933 2,200 Reckitt Benckiser PLC (f) 60,256 3,540 Royal Bank of Scotland Group PLC (f) 104,192 5,200 Smith & Nephew PLC (f) 44,233 2,500 Standard Chartered PLC (f) 44,622 11,800 Tesco PLC (f) 62,090 79,000 Vodafone Group PLC (f) 202,726 19,800 WM Morrison Supermarkets PLC (f) 82,210 -------------------------------------------------------------------------------- 1,163,458 -------------------------------------------------------------------------------- Total Common Stocks 4,256,966 (Cost $3,709,604) -------------------------------------------------------------------------------- PREFERRED STOCKS -- 1.1% GERMANY -- 1.1% 73 Porsche AG (f) 46,476 (Cost $29,372) RIGHTS -- 0.0% ^ BELGIUM -- 0.0% ^ 240 Colruyt SA, expires 3/31/05* $ 351 (Cost $0) -------------------------------------------------------------------------------- TOTAL INVESTMENTS -- 98.0% $ 4,303,793 (COST $3,738,976) OTHER ASSETS IN EXCESS OF LIABILITIES -- 2.0% 85,840 -------------------------------------------------------------------------------- NET ASSETS -- 100.0% $ 4,389,633 --------------------------------------------------------------------------------
Percentages indicated are based on net assets of $4,389,633. SUMMARY OF INVESTMENTS BY INDUSTRY, OCTOBER 31, 2004 The following represents the allocations by industry for common stocks and other investments based on net assets:
INDUSTRY PERCENTAGE - ----------------------------------------------------- Pharmaceuticals 14.2% Banking 12.2 Telecommunications 12.1 Electronics/Electrical Equipment 7.4 Retailing 5.7 Oil & Gas 5.5 Financial Services 4.6 Food/Beverage Products 3.9 Automotive 3.2 Consumer Products 3.0 Semi-Conductors 2.6 Chemicals 2.6 Business Services 2.5 Office/Business Equipment 2.2 Broadcasting/Cable 2.1 Computers/Computer Hardware 1.8 Hotels/Other Lodging 1.7 Manufacturing 1.6 Computer Software 1.2 Metals/Mining 1.2 Multi-Media 1.2 Utilities 1.1 Construction 1.1 Insurance 1.1 Health Care/Health Care Services 1.0 Other (below 1%) 1.2 - ----------------------------------------------------- Total 98.0% - -----------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 34 JPMORGAN FLEMING INTERNATIONAL VALUE FUND PORTFOLIO OF INVESTMENTS AS OF OCTOBER 31, 2004
SHARES ISSUER VALUE - -------------------------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- 98.7% COMMON STOCKS -- 98.7% BRAZIL -- 1.1% 16,270 Petroleo Brasileiro SA (Preferred), ADR + $ 530,402 FRANCE -- 11.8% 36,441 AXA (f) + 786,022 16,996 BNP Paribas (f) + 1,157,595 39,811 Credit Agricole SA (f) + 1,167,423 17,786 Peugeot SA (f) + 1,093,683 6,641 Total SA (f) + 1,382,047 -------------------------------------------------------------------------------- 5,586,770 -------------------------------------------------------------------------------- GERMANY -- 8.0% 25,283 Bayer AG (f) + 717,911 36,926 Commerzbank AG* (f) + 676,332 12,600 Deutsche Bank AG (f) + 958,942 17,845 E.ON AG (f) + 1,455,403 -------------------------------------------------------------------------------- 3,808,588 -------------------------------------------------------------------------------- HONG KONG -- 2.0% 285,000 Cathay Pacific Airways LTD (f) + 493,877 48,000 Sun Hung Kai Properties LTD (f) + 444,292 -------------------------------------------------------------------------------- 938,169 -------------------------------------------------------------------------------- INDIA -- 1.6% 31,313 Reliance Industries LTD, GDR, # + 776,562 INDONESIA -- 1.2% 1,207,000 Telekomunikasi Indonesia TBK PT (f) + 577,549 ITALY -- 2.8% 59,237 ENI-Ente Nazionale Idrocarburi SPA (f) + 1,351,343 JAPAN -- 22.5% 47,100 Asahi Breweries LTD (f) + 484,523 84,000 Daiwa Securities Group, Inc. (f) + 514,472 21,300 Honda Motor Co., LTD (f) + 1,032,613 229,000 Itochu Corp.* (f) (l) + 980,988 97 Japan Tobacco, Inc. (f) + 850,876 126,000 Kubota Corp. (f) + 573,560 109,000 Mitsubishi Electric Corp. (f) + 509,035 191,000 Mitsui Chemicals, Inc. (f) + 931,634 5,400 Nintendo Co., LTD (f) + $ 607,320 116,500 Nippon Mining Holdings, Inc. (f) + 553,799 193 Nippon Telegraph & Telephone Corp. (f) + 819,122 4,300 Rohm Co., LTD (f) + 440,103 32,000 Sankyo Co., LTD (f) + 664,206 15,100 Sony Corp. (f) + 525,780 40,300 Suzuki Motor Corp. (f) + 710,987 107 UFJ Holdings, Inc.* (f) + 496,013 -------------------------------------------------------------------------------- 10,695,031 -------------------------------------------------------------------------------- RUSSIA -- 1.0% 3,950 LUKOIL, ADR + 491,538 SINGAPORE -- 0.7% 217,285 Singapore Telecommunications LTD (f) + 316,042 SOUTH KOREA -- 1.8% 8,770 Hyundai Mobis (f) + 450,673 12,145 Kookmin Bank, ADR* + 408,436 -------------------------------------------------------------------------------- 859,109 -------------------------------------------------------------------------------- SPAIN -- 2.3% 50,020 Iberdrola SA (f) (l) + 1,093,697 SWEDEN -- 2.5% 11,800 Atlas Copco AB, Class A (f) + 488,345 17,618 SKF AB, Ser. B + 681,126 -------------------------------------------------------------------------------- 1,169,471 -------------------------------------------------------------------------------- SWITZERLAND -- 6.1% 114,632 ABB LTD* (f) + 660,585 7,249 Ciba Specialty Chemicals AG (f) + 498,396 32,319 Compagnie Financiere Richemont AG, Class A (f) + 915,429 5,857 Zurich Financial Services AG* (f) + 833,398 -------------------------------------------------------------------------------- 2,907,808 -------------------------------------------------------------------------------- THE NETHERLANDS -- 5.6% 53,196 ING Groep NV (f) + 1,412,646 72,795 Koninklijke KPN NV (f) + 581,734 49,450 Koninklijke Wessanen NV (f) (l) + 646,952 -------------------------------------------------------------------------------- 2,641,332 --------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 35
SHARES ISSUER VALUE - -------------------------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED UNITED KINGDOM -- 27.7% 81,779 Aviva PLC (f) + $ 818,209 43,717 Barclays PLC (f) + 427,252 179,735 BP PLC (f) + 1,742,347 74,387 BPB PLC + 572,798 69,700 Hanson PLC (f) + 513,850 108,436 HBOS PLC (f) + 1,452,162 179,289 HSBC Holdings PLC (f) + 2,892,355 31,553 Intercontinental Hotels Group PLC (f) + 385,752 105,314 Rank Group PLC (f) + 552,783 45,001 Royal Bank of Scotland Group PLC (f) + 1,324,646 142,322 Scottish Power PLC (f) + 1,150,270 162,264 Tesco PLC (f) + 853,898 170,600 TI Automotive LTD, Class A* (f) ( i ) + 0 47,345 United Business Media PLC (f) + 414,321 -------------------------------------------------------------------------------- 13,100,643 -------------------------------------------------------------------------------- Total Common Stocks 46,844,054 (Cost $39,403,539) -------------------------------------------------------------------------------- PRINCIPAL AMOUNT (USD) - -------------------------------------------------------------------------------------------------- SHORT-TERM INVESTMENTS -- 0.3% U.S. TREASURY SECURITY -- 0.3% $ 160,000 U.S. Treasury Bill, 1.64%, 12/16/04 @ 159,686 (Cost $159,671) SHARES - -------------------------------------------------------------------------------------------------- MONEY MARKET FUND -- 0.0% ^ 2,286 JPMorgan Prime Money Market Fund (a) 2,286 (Cost $2,286) -------------------------------------------------------------------------------- Total Short-Term Investments 161,972 (Cost $161,957) -------------------------------------------------------------------------------- TOTAL INVESTMENTS -- 99.0% $ 47,006,026 (COST $39,565,496) OTHER ASSETS IN EXCESS OF LIABILITIES -- 1.0% 451,095 -------------------------------------------------------------------------------- NET ASSETS -- 100.0% $ 47,457,121 --------------------------------------------------------------------------------
Percentages indicated are based on net assets of $47,457,121.
SHARES COLLATERAL INVESTMENTS VALUE - -------------------------------------------------------------------------------------------------- MONEY MARKET FUNDS (c) 1,000,000 Barclays Global Investors Prime Money Market Fund $ 1,000,000 PRINCIPAL AMOUNT (USD) - -------------------------------------------------------------------------------------------------- REPURCHASE AGREEMENT (c) $ 1,301,673 Deutsche Bank Securities, Inc., 1.90%, dated 10/29/04, due 11/01/04, proceeds $1,301,878 secured by U.S. Government Agency Securities 1,301,673 -------------------------------------------------------------------------------- $ 2,301,673 --------------------------------------------------------------------------------
SUMMARY OF INVESTMENTS BY INDUSTRY, OCTOBER 31, 2004 The following represents the allocations by industry for common stocks and other investments based on net assets:
INDUSTRY PERCENTAGE - ----------------------------------------------------- Banking 23.1% Oil & Gas 12.7 Insurance 8.1 Utilities 7.8 Automotive 6.9 Chemicals 6.2 Telecommunications 4.8 Retailing 3.7 Electronics/Electrical Equipment 3.6 Food/Beverage Products 2.4 Machinery & Engineering Equipment 2.2 Distribution 2.1 Consumer Products 1.8 Industrial Components 1.4 Pharmaceuticals 1.4 Toys & Games 1.3 Construction 1.2 Entertainment & Leisure 1.2 Financial Services 1.1 Construction Materials 1.1 Airlines 1.0 Other (below 1%) 3.9 - ----------------------------------------------------- Total 99.0% - -----------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 36 ANNUAL REPORT OCTOBER 31 2004 FUTURES CONTRACTS
NOTIONAL UNREALIZED NUMBER OF VALUE AT APPRECIATION/ CONTRACTS DESCRIPTION EXPIRATION DATE 10/31/04 (USD) (DEPRECIATION) (USD) - ----------------------------------------------------------------------------------------------- LONG FUTURES OUTSTANDING 5 DJ Euro Stoxx December, 2004 $ 179,295 $ 2,172 1 FTSE 100 Index December, 2004 84,991 511 1 Topix Index December, 2004 101,704 (3,766)
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS
NET UNREALIZED SETTLEMENT SETTLEMENT VALUE AT APPRECIATION CONTRACTS TO BUY DATE VALUE (USD) 10/31/04 (USD) (DEPRECIATION) (USD) - ----------------------------------------------------------------------------------------------- 2,884,477 AUD 11/26/04 $ 2,064,420 $ 2,149,945 $ 85,525 1,363,150 CHF 11/26/04 1,084,078 1,135,571 51,493 14,114,276 DKK 11/26/04 2,336,027 2,415,992 79,965 3,984,632 EUR 11/26/04 4,876,142 5,068,332 192,190 190,000 EUR for 26,011,592 JPY 11/26/04 245,278** 241,674** (3,604) 560,000 GBP 11/26/04 996,689 1,024,251 27,562 3,600,731 HKD 11/26/04 462,673 463,159 486 97,856,012 JPY 11/26/04 897,108 922,740 25,632 52,999,440 JPY 11/26/04 496,068 499,762 3,694 390,000 EUR 1,326,085 NOK 11/26/04 197,781 207,480 9,699 1,682,435 SEK 11/26/04 225,016 236,517 11,501 1,196,395 SGD 11/26/04 708,434 718,759 10,325 - ----------------------------------------------------------------------------------------------- $ 14,589,714 $ 15,084,182 $ 494,468 - -----------------------------------------------------------------------------------------------
NET UNREALIZED SETTLEMENT SETTLEMENT VALUE AT APPRECIATION CONTRACTS TO SELL DATE VALUE (USD) 10/31/04 (USD) (DEPRECIATION) (USD) - ------------------------------------------------------------------------------------------------ 1,730,034 CHF 11/26/04 $ 1,368,209 $ 1,441,202 $ (72,993) 5,145,541 EUR 11/26/04 6,302,659 6,544,974 (242,315) 1,356,319 GBP 11/26/04 2,434,472 2,480,734 (46,262) 8,159,117 HKD 11/26/04 1,048,753 1,049,502 (749) 188,736,900 JPY 11/26/04 1,745,100 1,779,707 (34,607) 3,306,345 SEK 11/26/04 449,464 464,806 (15,342) 1,116,443 SGD 11/26/04 654,441 670,726 (16,285) - ------------------------------------------------------------------------------------------------ $ 14,003,098 $ 14,431,651 $ (428,553) - ------------------------------------------------------------------------------------------------
** For cross-currency exchange contracts, the settlement value is the market value at 10/31/04 of the currency being sold, and the value at 10/31/04 is the market value at 10/31/04 of the currency being bought. SEE NOTES TO FINANCIAL STATEMENTS. 37 JPMORGAN FLEMING INTERNATIONAL OPPORTUNITIES FUND PORTFOLIO OF INVESTMENTS AS OF OCTOBER 31, 2004
SHARES ISSUER VALUE - -------------------------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- 97.7% COMMON STOCKS -- 97.7% AUSTRALIA -- 1.5% 352,854 News Corp., LTD + $ 2,761,843 719,595 Southern Pacific Petroleum NL* (f) (i) + 0 -------------------------------------------------------------------------------- 2,761,843 -------------------------------------------------------------------------------- BRAZIL -- 1.3% 76,419 Petroleo Brasileiro SA (Preferred), ADR + 2,491,259 FRANCE -- 13.0% 130,801 AXA (f) + 2,821,342 60,929 BNP Paribas (f) (l) + 4,149,864 54,493 Peugeot SA (f) + 3,350,841 25,193 Sanofi-Aventis (f) + 1,837,472 5,532 Technip SA (f) + 867,623 110,289 Thomson SA (f) + 2,499,727 31,769 Total SA (f) + 6,611,393 83,339 Veolia Environnement (f) + 2,523,488 -------------------------------------------------------------------------------- 24,661,750 -------------------------------------------------------------------------------- GERMANY -- 5.3% 24,342 BASF AG (f) + 1,524,600 97,840 Bayer AG (f) + 2,778,168 117,160 Bayerische Hypo-und Vereinsbank AG* (f) + 2,297,340 13,906 E.ON AG (f) 1,134,145 36,369 Schering AG (f) + 2,332,202 -------------------------------------------------------------------------------- 10,066,455 -------------------------------------------------------------------------------- HONG KONG -- 4.5% 1,168,000 Cathay Pacific Airways LTD (f) + 2,024,029 113,000 Hutchison Whampoa LTD (f) + 867,856 362,000 Sun Hung Kai Properties LTD (f) + 3,350,703 689,000 Wharf Holdings LTD (f) + 2,269,315 -------------------------------------------------------------------------------- 8,511,903 -------------------------------------------------------------------------------- INDIA -- 2.1% 160,618 Reliance Industries LTD, GDR, # + 3,983,326 INDONESIA -- 0.4% 35,960 Telekomunikasi Indonesia TBK PT, ADR, + 685,757 IRELAND -- 1.2% 99,282 CRH PLC (f) + $ 2,361,837 ITALY -- 0.4% 30,756 ENI-Ente Nazionale Idrocarburi SPA (f) + 701,621 JAPAN -- 18.4% 23,500 Canon, Inc. (f) + 1,159,152 449,000 Daiwa Securities Group, Inc. (f) + 2,749,975 368,000 Fujitsu LTD (f) (l) + 2,183,893 23,900 Honda Motor Co., LTD (f) + 1,158,660 602,000 Itochu Corp.* (f) (l) + 2,578,841 178 Japan Tobacco, Inc. (f) + 1,561,401 76,500 JFE Holdings, Inc. (f) + 2,051,837 223,000 Kubota Corp. (f) + 1,015,109 10,400 Kyocera Corp. (f) + 752,084 271,000 Mitsui Chemicals, Inc. (f) + 1,321,847 9,900 NEC Electronics Corp. (f) (l) + 482,368 20,900 Nintendo Co., LTD (f) + 2,350,554 872 Nippon Telegraph & Telephone Corp. (f) + 3,700,906 65,000 Ricoh Co., LTD (f) + 1,210,875 12,000 Rohm Co., LTD (f) + 1,228,195 62,800 Sony Corp. (f) + 2,186,688 56,600 Suzuki Motor Corp. (f) (l) + 998,557 57,600 Tokyo Electric Power Co. (f) + 1,301,818 47,000 Toyota Motor Corp. (f) + 1,819,871 696 UFJ Holdings, Inc.* (f) + 3,226,400 -------------------------------------------------------------------------------- 35,039,031 -------------------------------------------------------------------------------- NORWAY -- 0.7% 91,248 Statoil ASA (f) + 1,326,814 SINGAPORE -- 1.6% 164,000 DBS Group Holdings LTD (f) + 1,538,298 1,094,785 Singapore Telecommunications LTD (f) + 1,592,367 -------------------------------------------------------------------------------- 3,130,665 -------------------------------------------------------------------------------- SOUTH KOREA -- 3.1% 76,338 Kookmin Bank, ADR* + 2,567,247 57,458 POSCO, ADR + 2,148,354
SEE NOTES TO FINANCIAL STATEMENTS. 38 ANNUAL REPORT OCTOBER 31 2004
SHARES ISSUER VALUE - -------------------------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED SOUTH KOREA -- CONTINUED 3,240 Samsung Electronics Co., LTD (f) + $ 1,273,978 -------------------------------------------------------------------------------- 5,989,579 -------------------------------------------------------------------------------- SPAIN -- 2.0% 82,115 Iberdrola SA (f) + 1,795,461 76,200 Industria de Diseno Textil SA + 1,930,850 -------------------------------------------------------------------------------- 3,726,311 -------------------------------------------------------------------------------- SWEDEN -- 1.6% 50,605 Atlas Copco AB, Class A (f) (l) + 2,094,298 25,025 SKF AB, Ser. B + 967,486 -------------------------------------------------------------------------------- 3,061,784 -------------------------------------------------------------------------------- SWITZERLAND -- 8.4% 542,812 ABB LTD* (f) + 3,128,042 130,261 Compagnie Financiere Richemont AG, Class A (f) + 3,689,616 32,630 Roche Holding AG (f) + 3,330,054 16,617 Synthes, Inc.* (f) + 1,768,997 40,677 UBS AG (f) + 2,936,166 8,347 Zurich Financial Services AG* (f) + 1,187,702 -------------------------------------------------------------------------------- 16,040,577 -------------------------------------------------------------------------------- TAIWAN -- 1.5% 58,025 Hon Hai Precision Industry Co., GDR, Regulation S + 440,990 715,573 United Microelectronics Corp., ADR* + 2,504,506 -------------------------------------------------------------------------------- 2,945,496 -------------------------------------------------------------------------------- THE NETHERLANDS -- 5.1% 134,748 ING Groep NV (f) + 3,578,299 494,293 Koninklijke KPN NV (f) + 3,950,092 69,703 Koninklijke Philips Electronics NV (f) + 1,657,922 44,855 Koninklijke Wessanen NV (f) (l) + 586,836 -------------------------------------------------------------------------------- 9,773,149 -------------------------------------------------------------------------------- UNITED KINGDOM -- 25.6% 82,347 AstraZeneca PLC (f) + $ 3,372,011 159,667 BBA Group PLC (f) + 773,969 260,740 BP PLC (f) + 2,527,608 45,522 British American Tobacco PLC (f) + 684,128 153,084 British Sky Broadcasting PLC (f) + 1,428,470 317,938 Cadbury Schweppes PLC (f) + 2,645,542 241,069 Centrica PLC (f) + 1,065,467 405,450 HSBC Holdings PLC (f) + 6,540,866 47,215 Imperial Tobacco Group PLC (f) + 1,102,536 164,369 Intercontinental Hotels Group PLC (f) + 2,009,499 178,683 Rank Group PLC (f) + 937,891 138,555 Reckitt Benckiser PLC (f) + 3,795,331 259,524 Royal Bank of Scotland Group PLC (f) + 7,639,329 98,460 SABMiller PLC (f) + 1,418,199 198,185 Scottish Power PLC (f) + 1,601,765 787,618 Tesco PLC (f) + 4,144,761 2,720,647 Vodafone Group PLC (f) + 6,982,388 -------------------------------------------------------------------------------- 48,669,760 -------------------------------------------------------------------------------- Total Common Stocks 185,928,917 (Cost $152,320,388) -------------------------------------------------------------------------------- PRINCIPAL AMOUNT (USD) - -------------------------------------------------------------------------------------------------- SHORT-TERM INVESTMENTS -- 1.4% U.S. TREASURY SECURITY -- 0.0%^ $ 40,000 U.S. Treasury Bill, 1.59%, 12/16/04 @ 39,920 (Cost $39,920)
SEE NOTES TO FINANCIAL STATEMENTS. 39
SHARES ISSUER VALUE - -------------------------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED MONEY MARKET FUND -- 1.4% 2,650,155 JPMorgan Prime Money Market Fund (a) $ 2,650,155 (Cost $2,650,155) -------------------------------------------------------------------------------- Total Short-Term Investments 2,690,075 (Cost $2,690,075) -------------------------------------------------------------------------------- TOTAL INVESTMENTS -- 99.1% $ 188,618,992 (COST $155,010,463) OTHER ASSETS IN EXCESS OF LIABILITIES -- 0.9% 1,807,477 -------------------------------------------------------------------------------- NET ASSETS -- 100.0% $ 190,426,469 -------------------------------------------------------------------------------- Percentages indicated are based on net assets of $190,426,469. SHARES COLLATERAL INVESTMENTS VALUE - -------------------------------------------------------------------------------------------------- MONEY MARKET FUND (c) 6,000,000 Barclays Global Investment Prime Money Market Fund $ 6,000,000 PRINCIPAL AMOUNT (USD) - -------------------------------------------------------------------------------------------------- REPURCHASE AGREEMENT (c) $ 3,338,823 Deutsche Bank Securities, Inc., 1.90%, dated 10/29/04, due 11/01/04, proceeds $3,339,350, secured by U.S. Government Agency Securities 3,338,823 -------------------------------------------------------------------------------- $ 9,338,823 --------------------------------------------------------------------------------
SUMMARY OF INVESTMENTS BY INDUSTRY, OCTOBER 31, 2004 The following represents the allocations by industry for common stocks and other investments based on net assets:
INDUSTRY PERCENTAGE - ----------------------------------------------------- Banking 16.2% Telecommunications 8.9 Oil & Gas 7.2 Electronics/Electrical Equipment 6.3 Pharmaceuticals 5.7 Retailing 5.6 Chemicals 5.0 Utilities 5.0 Insurance 4.0 Automotive 3.9 Consumer Products 3.8 Real Estate 2.9 Food/Beverage Products 2.4 Semi-Conductors 2.2 Steel 2.2 Machinery & Engineering Equipment 1.6 Multi-Media 1.5 Financial Services 1.4 Distribution 1.4 Office/Business Equipment 1.2 Construction Materials 1.2 Toys & Games 1.2 Computers/Computer Hardware 1.2 Hotels/Other Lodging 1.1 Airlines 1.1 Other (below 1%) 4.9 - ----------------------------------------------------- Total 99.1% - -----------------------------------------------------
FUTURES CONTRACTS
NOTIONAL UNREALIZED NUMBER OF VALUE AT APPRECIATION/ CONTRACTS DESCRIPTION EXPIRATION DATE 10/31/04 (USD) (DEPRECIATION) (USD) - ------------------------------------------------------------------------------------------------------- LONG FUTURES OUTSTANDING 6 DJ Euro Stoxx December, 2004 $ 215,155 $ 3,106 2 FTSE 100 Index December, 2004 169,982 (195) 2 Topix Index December, 2004 203,409 (4,484)
SEE NOTES TO FINANCIAL STATEMENTS. 40 FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS
NET UNREALIZED SETTLEMENT SETTLEMENT VALUE AT APPRECIATION CONTRACTS TO BUY DATE VALUE (USD) 10/31/04 (USD) (DEPRECIATION) (USD) - ---------------------------------------------------------------------------------------------------------- 6,325,446 AUD 11/8/04 $ 4,494,483 $ 4,722,262 $ 227,779 3,297,041 CHF 11/8/04 2,670,399 2,744,813 74,414 19,223,235 EUR 11/8/04 23,589,484 24,452,532 863,048 750,000 EUR for 102,784,786 JPY 11/8/04 968,254** 954,023** (14,231) 1,770,000 GBP 11/8/04 3,163,470 3,241,719 78,249 1,077,403,354 JPY 11/8/04 9,788,269 10,149,359 361,090 206,779,280 JPY for 1,520,000 EUR 11/8/04 1,933,485** 1,947,903** 14,418 2,464,817 NOK 11/8/04 362,783 385,626 22,843 6,552,441 SEK 11/8/04 866,679 921,165 54,486 - ---------------------------------------------------------------------------------------------------------- $ 47,837,306 $ 49,519,402 $ 1,682,096 - ---------------------------------------------------------------------------------------------------------- NET UNREALIZED SETTLEMENT SETTLEMENT VALUE AT APPRECIATION CONTRACTS TO SELL DATE VALUE (USD) 10/31/04 (USD) (DEPRECIATION) (USD) - ---------------------------------------------------------------------------------------------------------- 8,468,622 CHF 11/8/04 $ 6,766,886 $ 7,050,195 $ (283,309) 8,915,000 EUR 11/8/04 10,878,424 11,340,148 (461,724) 880,000 EUR 2/7/05 1,121,098 1,119,445 1,653 3,947,778 GBP 11/8/04 7,164,278 7,230,276 (65,998) 57,272,257 HKD 11/8/04 7,359,381 7,360,415 (1,034) 906,241,409 JPY 11/8/04 8,263,307 8,536,979 (273,672) 9,445,723 SEK 11/8/04 1,258,339 1,327,913 (69,574) 4,249,830 SGD 11/8/04 2,470,257 2,552,343 (82,086) - ---------------------------------------------------------------------------------------------------------- $ 45,281,970 $ 46,517,714 $ (1,235,744) - ----------------------------------------------------------------------------------------------------------
** For cross-currency exchange contracts, the settlement value is the market value at 10/31/04 of the currency being sold, and the value at 10/31/04 of the currency being bought. SEE NOTES TO FINANCIAL STATEMENTS. 41 JPMORGAN FLEMING EMERGING MARKETS EQUITY FUND PORTFOLIO OF INVESTMENTS AS OF OCTOBER 31, 2004
SHARES ISSUER VALUE - -------------------------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- 96.9% COMMON STOCKS -- 94.0% ARGENTINA -- 3.1% 53,952 Bunge LTD $ 2,575,129 BRAZIL -- 9.7% 77,805 Cia de Bebidas das Americas, ADR 1,929,564 68,091 Petroleo Brasileiro SA (Preferred), ADR 2,219,767 128,637 Tele Norte Leste Participacoes SA, ADR 1,682,572 88,417 Uniao de Bancos Brasileiros SA, GDR 2,338,630 -------------------------------------------------------------------------------- 8,170,533 -------------------------------------------------------------------------------- CHILE -- 1.4% 111,917 Cia de Telecomunicaciones de Chile SA, ADR 1,156,103 CHINA -- 2.5% 5,818,131 PICC Property & Casualty Co., LTD, Class H* (f) 2,100,094 EGYPT -- 2.8% 68,850 Orascom Telecom Holding SAE* (f) 2,371,109 HONG KONG -- 2.2% 6,115,000 Guangdong Kelon Electrical Holdings, Class H* (f) 1,845,530 HUNGARY -- 2.5% 18,127 Gedeon Richter LTD, ADR* # 2,129,099 INDIA -- 5.2% 125,317 Dr. Reddy's Laboratories LTD, ADR 2,077,756 90,827 Reliance Industries LTD, GDR, # 2,252,510 -------------------------------------------------------------------------------- 4,330,266 -------------------------------------------------------------------------------- INDONESIA -- 5.3% 9,908,500 Bank Rakyat Indonesia (f) 2,125,658 122,109 Telekomunikasi Indonesia TBK PT, ADR $ 2,328,619 -------------------------------------------------------------------------------- 4,454,277 -------------------------------------------------------------------------------- MALAYSIA -- 3.4% 3,000,000 Airasia BHD 986,842 7,596,000 Star Cruises LTD* (f) 1,897,481 -------------------------------------------------------------------------------- 2,884,323 -------------------------------------------------------------------------------- MEXICO -- 5.7% 53,687 America Movil SA de CV, Ser. L, ADR 2,362,227 78,007 Grupo Elektra SA de CV, ADR 2,466,582 -------------------------------------------------------------------------------- 4,828,809 -------------------------------------------------------------------------------- PHILIPPINES -- 3.0% 19,014,281 SM Prime Holdings, Inc. 2,531,637 RUSSIA -- 5.2% 14,591 Mobile Telesystems, ADR 2,117,446 19,587 Vimpel-Communications, ADR* 2,232,918 -------------------------------------------------------------------------------- 4,350,364 -------------------------------------------------------------------------------- SOUTH AFRICA -- 10.3% 518,427 Discovery Holdings LTD* 1,397,627 1,172,874 FirstRand LTD 2,314,318 73,275 Massmart Holdings LTD 509,325 180,955 Nedcor LTD (f) 1,957,223 1,409,879 Steinhoff International Holdings LTD 2,443,103 -------------------------------------------------------------------------------- 8,621,596 -------------------------------------------------------------------------------- SOUTH KOREA -- 16.1% 382,270 Daeduck Electronics Co. (f) 2,773,586 52,170 Daelim Industrial Co., LTD (f) 2,241,911 212,790 Good Morning Shinhan Securities Co., LTD* (f) 676,745 65,226 Kookmin Bank* (f) 2,187,349 4,545 Samsung Electronics Co., LTD (f) 1,787,108 6,430 Shinsegae Co., LTD (f) 1,810,375 106,258 SK Telecom Co., LTD, ADR 2,096,470 -------------------------------------------------------------------------------- 13,573,544 --------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 42 ANNUAL REPORT OCTOBER 31 2004
SHARES ISSUER VALUE - -------------------------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED TAIWAN -- 7.0% 1,220,649 Quanta Computer, Inc. (f) $ 1,972,688 1,439,096 Synnex Technology International Corp. (f) 2,063,773 1,499,751 Tong Yang Industry (f) 1,872,595 -------------------------------------------------------------------------------- 5,909,056 -------------------------------------------------------------------------------- THAILAND -- 2.4% 2,905,000 Kiatnakin Public Finance Co., LTD 2,016,133 TURKEY -- 6.2% 143,491,020 Anadolu Efes Biracilik Ve Malt Sanayii AS 2,267,440 567,629,800 Hurriyet Gazetecilik AS 1,124,096 814,182,820 Yapi Ve Kredi Bankasi AS* 1,833,223 -------------------------------------------------------------------------------- 5,224,759 -------------------------------------------------------------------------------- Total Common Stocks 79,072,361 (Cost $72,090,206) -------------------------------------------------------------------------------- PREFERRED STOCKS -- 2.9% BRAZIL -- 2.9% 12,172 Banco Itau Holding Financeira SA 1,474,619 654,022 Itausa Investimentos Itau SA 948,057 -------------------------------------------------------------------------------- Total Preferred Stocks 2,422,676 (Cost $1,320,875) -------------------------------------------------------------------------------- TOTAL INVESTMENTS -- 96.9% $ 81,495,037 (COST $73,411,081) OTHER ASSETS IN EXCESS OF LIABILITIES -- 3.1% 2,572,069 -------------------------------------------------------------------------------- NET ASSETS -- 100.0% $ 84,067,106 --------------------------------------------------------------------------------
Percentages indicated are based on net assets of $84,100,042. SUMMARY OF INVESTMENTS BY INDUSTRY, OCTOBER 31, 2004 The following represents the allocations by industry for common stocks and other investments based on net assets:
INDUSTRY PERCENTAGE - ----------------------------------------------------- Telecommunications 16.6% Banking 14.2 Financial Services 7.1 Retailing 5.7 Electronics/Electrical Equipment 5.4 Pharmaceuticals 5.0 Food/Beverage Products 5.0 Computers/Computer Hardware 4.8 Insurance 4.1 Agricultural Production/Services 3.1 Real Estate 3.0 Consumer Products 2.9 Telecommunications Equipment 2.8 Chemicals 2.7 Construction 2.7 Oil & Gas 2.6 Entertainment/Leisure 2.3 Automotive 2.2 Applainces & Household Durables 2.2 Multi-Media 1.3 Airlines 1.2 - ----------------------------------------------------- Total 96.9% - -----------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 43 JPMORGAN FLEMING ASIA EQUITY FUND PORTFOLIO OF INVESTMENTS AS OF OCTOBER 31, 2004
SHARES ISSUER VALUE - -------------------------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- 98.7% COMMON STOCKS -- 98.1% CHINA -- 4.4% 500,000 China Life Insurance Co., LTD* (f) $ 331,920 1,962,000 China Petroleum & Chemical Corp., Class H (f) 749,113 380,000 China Telecom Corp., LTD, Class H (f) 122,275 700,000 PetroChina Co., LTD, Class H (f) 368,044 -------------------------------------------------------------------------------- 1,571,352 -------------------------------------------------------------------------------- HONG KONG -- 31.6% 1,000,000 Brilliance China Automotive Holdings LTD (f) 210,337 230,000 Cathay Pacific Airways LTD (f) 398,567 100,000 Cheung Kong Holdings LTD (f) 828,254 244,000 China Merchants Holdings International Co., LTD (f) 361,385 329,500 China Mobile Hong Kong LTD (f) 958,737 1,300,000 CNOOC LTD (f) 669,725 500,000 Denway Motors LTD (f) 169,049 170,000 Esprit Holdings LTD (f) 908,711 45,000 Henderson Land Development Co., LTD (f) 208,816 120,800 HSBC Holdings PLC (Hong Kong Registered Shares) (f) 1,954,142 50,000 Hutchison Whampoa LTD (f) 384,007 300,000 Hysan Development Co., LTD (f) 497,759 110,000 Sun Hung Kai Properties LTD (f) 1,018,169 80,000 Swire Pacific LTD (f) 565,383 270,000 Techtronic Industries Co., LTD (f) 538,707 187,000 Wharf Holdings LTD (f) 615,910 650,000 Wheelock & Co., LTD (f) 915,048 -------------------------------------------------------------------------------- 11,202,706 -------------------------------------------------------------------------------- INDIA -- 0.9% 40,000 Gujarat Ambuja Cements, GDR 304,000 INDONESIA -- 2.1% 250,000 Astra International TBK PT (f) 215,945 100,000 Bank Central Asia TBK PT (f) 26,410 125,000 Gudang Garam TBK PT (f) 175,224 700,000 Telekomunikasi Indonesia TBK PT (f) 334,950 -------------------------------------------------------------------------------- 752,529 -------------------------------------------------------------------------------- MALAYSIA -- 4.6% 150,000 IOI Corp., BHD (f) $ 375,364 140,000 Malaysia International Shipping Corp., BHD (f) 497,197 200,000 Public Bank BHD (f) 365,880 120,000 Tanjong PLC (f) 407,585 -------------------------------------------------------------------------------- 1,646,026 -------------------------------------------------------------------------------- SINGAPORE -- 9.7% 659,000 CapitaLand LTD (f) 732,358 200,000 City Developments LTD (f) 756,578 230,000 ComfortDelgro Corp., LTD 197,508 120,000 DBS Group Holdings LTD (f) 1,125,584 11,000 Keppel Corp., LTD (f) 52,900 70,000 Oversea-Chinese Banking Corp. (f) 580,328 -------------------------------------------------------------------------------- 3,445,256 -------------------------------------------------------------------------------- SOUTH KOREA -- 24.2% 29,490 Daishin Securities Co., LTD (f) 346,140 14,500 Hana Bank (f) 362,573 9,300 Hyundai Heavy Industries (f) 281,824 6,250 Hyundai Mobis (f) 321,175 34,890 Kookmin Bank* (f) 1,170,032 1,550 Kookmin Bank, ADR* 52,127 14,500 Korea Electric Power Corp. (f) 300,038 3,120 Kumgang Korea Chemical Co., LTD (f) 332,081 3,670 POSCO (f) 548,464 8,520 Samsung Electronics Co., LTD (f) 3,350,090 4,400 Sindo Ricoh Co., LTD (f) 235,889 4,600 SK Telecom Co., LTD (f) 724,200 47,400 Ssangyong Motor Co.* (f) 291,365 11,300 You Eal Electronics Co., LTD (f) 252,684 -------------------------------------------------------------------------------- 8,568,682 -------------------------------------------------------------------------------- TAIWAN -- 15.9% 160,000 AU Optronics Corp. (f) 169,678 550,000 Cathay Financial Holding Co., LTD (f) 1,054,572 512,250 China Steel Corp. (f) 515,806 630,820 Chinatrust Financial Holding Co. (f) 720,988 599,000 First Financial Holding Co., LTD* (f) 483,078 317,000 Formosa Petrochemical Corp. (f) 532,624
SEE NOTES TO FINANCIAL STATEMENTS. 44 ANNUAL REPORT OCTOBER 31 2004
SHARES ISSUER VALUE - -------------------------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED TAIWAN -- CONTINUED 168,749 Hon Hai Precision Industry Co., LTD (f) $ 621,076 129,000 Synnex Technology International Corp. (f) 184,996 231,000 Taiwan Cellular Corp. (f) 231,383 650,013 Taiwan Semiconductor Manufacturing Co., LTD (f) 863,366 400,000 Yuanta Core Pacific Securities Co.* (f) 281,686 -------------------------------------------------------------------------------- 5,659,253 -------------------------------------------------------------------------------- THAILAND -- 4.7% 150,000 Bangkok Bank PCL* (f) 350,881 570,000 Kasikornbank PCL* (f) 653,359 80,000 PTT PCL 331,182 55,000 Siam Cement PCL (f) 343,737 -------------------------------------------------------------------------------- 1,679,159 -------------------------------------------------------------------------------- Total Common Stocks 34,828,963 (Cost $30,420,771) -------------------------------------------------------------------------------- PREFERRED STOCKS -- 0.1% SINGAPORE -- 0.1% 60,000 City Developments LTD 41,796 (Cost $35,206) WARRANTS -- 0.5% SINGAPORE -- 0.1% 15,000 City Developments LTD, expires 5/10/06 34,229 THAILAND -- 0.4% 170,000 Thoresen Thai Agencies PCL, expires 11/30/04* $ 137,648 -------------------------------------------------------------------------------- Total Warrants 171,877 (Cost $32,500) -------------------------------------------------------------------------------- TOTAL INVESTMENTS -- 98.7% $ 35,042,636 (COST $30,488,477) OTHER ASSETS IN EXCESS OF LIABILITIES -- 1.3% 475,666 -------------------------------------------------------------------------------- NET ASSETS -- 100.0% $ 35,518,302 --------------------------------------------------------------------------------
Percentages indicated are based on net assets of $35,518,302. SUMMARY OF INVESTMENTS BY INDUSTRY, OCTOBER 31, 2004 The following represents the allocations by industry for common stocks and other investments based on net assets:
INDUSTRY PERCENTAGE - ----------------------------------------------------- Banking 22.1% Real Estate 15.9 Electronics/Electrical Equipment 9.9 Oil & Gas 7.5 Telecommunications 7.4 Insurance 3.9 Retailing 3.2 Steel 3.0 Diversified 2.8 Automotive 2.8 Semi-Conductors 2.4 Computers/Computer Hardware 2.3 Construction Materials 1.8 Financial Services 1.8 Agricultural Production/Services 1.6 Consumer Products 1.5 Shipping/Transportation 1.4 Entertainment/Leisure 1.2 Airlines 1.1 Consumer Services 1.0 Other (below 1%) 4.1 - ----------------------------------------------------- Total 98.7% - -----------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 45 JPMORGAN FLEMING INTERNATIONAL EQUITY FUND PORTFOLIO OF INVESTMENTS AS OF OCTOBER 31, 2004
SHARES ISSUER VALUE - -------------------------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- 95.5% COMMON STOCKS -- 95.5% AUSTRALIA -- 2.2% 1,198,100 BHP Billiton LTD (f) $ 12,390,156 1,062,669 News Corp., LTD (f) 8,535,846 540,678 Woodside Petroleum LTD (f) 7,871,972 -------------------------------------------------------------------------------- 28,797,974 -------------------------------------------------------------------------------- BELGIUM -- 2.0% 734,320 Dexia (f) 14,755,588 429,890 Fortis* (f) (l) 10,955,858 -------------------------------------------------------------------------------- 25,711,446 -------------------------------------------------------------------------------- BRAZIL -- 1.0% 652,341 Cia Vale do Rio Doce, ADR 13,803,536 FINLAND -- 1.1% 980,656 Nokia OYJ (f) 15,098,451 FRANCE -- 11.2% 691,144 AXA (f) 14,907,787 295,046 BNP Paribas (f) 20,095,534 393,322 Compagnie de Saint-Gobain (f) (l) 21,602,653 234,372 Dassault Systemes SA (f) 11,871,878 216,264 Imerys SA (f) 15,236,138 131,000 Lafarge SA (f) 11,955,901 249,327 Total SA (f) 51,887,017 -------------------------------------------------------------------------------- 147,556,908 -------------------------------------------------------------------------------- GERMANY -- 4.9% 169,830 BASF AG (f) 10,636,878 352,692 Bayerische Motoren Werke AG (f) 14,937,881 560,714 Deutsche Post AG (f) 10,959,039 171,280 Schering AG (f) 10,983,516 218,701 Siemens AG (f) 16,315,788 -------------------------------------------------------------------------------- 63,833,102 -------------------------------------------------------------------------------- HONG KONG -- 3.4% 881,000 Cheung Kong Holdings LTD (f) 7,296,919 2,312,000 HSBC Holdings PLC (Hong Kong Registered Shares) (f) 37,400,481 -------------------------------------------------------------------------------- 44,697,400 -------------------------------------------------------------------------------- IRELAND -- 0.7% 703,800 Bank of Ireland (f) 9,647,950 ITALY -- 4.5% 2,031,779 ENI-Ente Nazionale Idrocarburi SPA (f) $ 46,349,911 5,070,945 Telecom Italia SPA 12,611,241 -------------------------------------------------------------------------------- 58,961,152 -------------------------------------------------------------------------------- JAPAN -- 19.0% 443,100 Canon, Inc. (f) 21,856,186 467,800 Chugai Pharmaceutical Co., LTD (f) 7,312,362 184,700 Credit Saison Co., LTD (f) 5,897,552 480,000 Daikin Industries LTD (f) 11,668,799 152,900 Fanuc LTD (f) 9,204,312 50,700 Hirose Electric Co., LTD (f) (l) 5,009,909 395,900 Honda Motor Co., LTD (f) 19,193,026 150,200 Hoya Corp. (f) 15,401,537 377,000 Kao Corp. (f) (l) 8,680,032 537,000 Matsushita Electric Industrial Co., LTD (f) 7,770,117 914,000 Mitsubishi Corp. (f) 10,078,125 1,860 Mitsubishi Tokyo Financial Group, Inc. (f) 15,736,964 1,859,000 Nikko Cordial Corp. (f) 8,301,682 84,200 Nintendo Co., LTD (f) 9,469,698 1,632 Nippon Telegraph & Telephone Corp. (f) 6,926,465 1,032 Nippon Unipac Holding (f) (l) 4,570,771 195,000 Nitto Denko Corp. (f) 9,238,692 60 ORIX Corp. (f) (l) 7,012 237,500 Secom Co., LTD (f) 8,599,903 449,000 Sharp Corp. (f) (l) 6,187,130 346,000 Shin-Etsu Chemical Co., LTD (f) 13,118,885 89,500 SMC Corp. (f) 9,560,276 1,559,000 Sumitomo Corp. (f) 11,572,645 111,910 Takefuji Corp. (f) (l) 7,053,604 479,600 Yamanouchi Pharmaceutical Co., LTD (f) 17,578,755 -------------------------------------------------------------------------------- 249,994,439 -------------------------------------------------------------------------------- MEXICO -- 0.6% 186,300 Fomento Economico Mexicano SA de CV, ADR 8,215,830
SEE NOTES TO FINANCIAL STATEMENTS. 46 ANNUAL REPORT OCTOBER 31 2004
SHARES ISSUER VALUE - -------------------------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED RUSSIA -- 0.2% 151,499 YUKOS, ADR $ 2,533,063 SOUTH KOREA -- 2.2% 235,370 POSCO, ADR 8,800,484 51,780 Samsung Electronics Co., LTD, GDR (f) 10,181,912 17,110 Samsung Electronics Co., LTD, GDR, # 3,358,573 319,630 SK Telecom Co., LTD, ADR 6,306,300 -------------------------------------------------------------------------------- 28,647,269 -------------------------------------------------------------------------------- SPAIN -- 2.3% 348,886 Altadis SA (f) (l) 12,784,502 313,603 Banco Popular Espanol (f) (l) 17,768,953 -------------------------------------------------------------------------------- 30,553,455 -------------------------------------------------------------------------------- SWEDEN -- 0.6% 2,846,000 Telefonaktiebolaget LM Ericsson, B Shares* (f) 8,254,600 SWITZERLAND -- 10.5% 331,600 Adecco SA (f) 15,945,088 253,260 Holcim LTD (f) 13,514,396 97,640 Nestle SA (f) 23,057,105 542,470 Novartis AG (f) 25,917,659 205,390 Roche Holding AG (f) 20,961,070 365,500 UBS AG (f) 26,382,685 84,769 Zurich Financial Services AG* (f) 12,061,854 -------------------------------------------------------------------------------- 137,839,857 -------------------------------------------------------------------------------- THE NETHERLANDS -- 4.7% 757,785 ABN AMRO Holding NV (f) 18,155,544 418,778 ING Groep NV (f) 11,120,856 527,403 Koninklijke Philips Electronics NV (f) 12,544,555 708,130 Reed Elsevier NV (f) 9,302,822 554,680 Wolters Kluwer NV (f) 10,112,514 -------------------------------------------------------------------------------- 61,236,291 -------------------------------------------------------------------------------- UNITED KINGDOM -- 24.4% 1,324,960 Allied Domecq PLC (f) 11,791,636 818,536 Aviva PLC (f) 8,189,556 2,350,712 Barclays PLC (f) $ 22,973,837 2,523,630 BG Group PLC (f) 16,474,329 2,014,416 Centrica PLC (f) 8,903,229 718,462 GKN PLC (f) 2,818,229 1,630,416 GlaxoSmithKline PLC (f) 34,283,889 863,245 Intercontinental Hotels Group PLC (f) 10,553,631 2,174,430 Kingfisher PLC (f) 12,063,505 1,459,786 National Grid Transco PLC (f) 12,707,879 571,450 Reckitt Benckiser PLC (f) 15,653,291 743,820 Royal Bank of Scotland Group PLC (f) 21,895,032 633,187 Schroders PLC (Non-Voting Shares) (f) 6,676,575 110,000 Schroders PLC (f) 1,293,054 580,960 Standard Chartered PLC (f) 10,370,604 4,551,903 Tesco PLC (f) 23,953,935 903,806 The British Land Co., PLC (f) 12,346,022 17,561,585 Vodafone Group PLC (f) 45,070,824 5,451,521 WM Morrison Supermarkets PLC (f) 22,637,218 1,186,630 Wolseley PLC (United Kingdom) (f) 20,573,288 -------------------------------------------------------------------------------- 321,229,563 -------------------------------------------------------------------------------- Total Common Stocks 1,256,612,286 (Cost $1,043,438,984) TOTAL INVESTMENTS -- 95.5% $ 1,256,612,286 (COST $1,043,438,983) -------------------------------------------------------------------------------- OTHER ASSETS IN EXCESS OF LIABILITIES -- 4.5% 59,510,660 -------------------------------------------------------------------------------- NET ASSETS -- 100.0% $ 1,316,122,946 -------------------------------------------------------------------------------- Percentages indicated are based on net assets of $1,316,122,946.
SHARES COLLATERAL INVESTMENTS VALUE - -------------------------------------------------------------------------------------------------- MONEY MARKET FUND (c) 40,000,000 Barclays Global Investors Prime Money Market Fund $ 40,000,000
SEE NOTES TO FINANCIAL STATEMENTS. 47
PRINCIPAL AMOUNT (USD) ISSUER VALUE - -------------------------------------------------------------------------------------------------- COLLATERAL INVESTMENTS -- CONTINUED REPURCHASE AGREEMENT (c) $ 3,094,145 Cantor Fitzgerald Securities, 1.92%, dated 10/29/04, due 11/01/04, proceeds $3,094,639, secured by U.S. Government Agency Securities $ 3,094,145 -------------------------------------------------------------------------------- $ 43,094,145 --------------------------------------------------------------------------------
SUMMARY OF INVESTMENTS BY INDUSTRY, OCTOBER 31, 2004 The following represents the allocations by industry for common stocks and other investments based on net assets:
INDUSTRY PERCENTAGE - ----------------------------------------------------- Banking 17.2% Oil & Gas 9.5 Pharmaceuticals 8.9 Telecommunications 8.4 Construction 5.6 Electronics/Electrical Equipment 5.5 Retailing 4.5 Insurance 3.5 Food/Beverage Products 3.3 Distribution 3.2 Automotive 2.8 Consumer Products 2.8 Chemicals 2.5 Financial Services 2.2 Metals/Mining 2.0 Office/Business Equipment 1.7 Utilities 1.6 Real Estate 1.5 Multi-Media 1.4 Business Services 1.2 Healthcare 1.2 Other (below 1%) 5.0 - ----------------------------------------------------- Total 95.5% - -----------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 48 ANNUAL REPORT OCTOBER 31 2004 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 based on net assets that are fair valued:
FUND MARKET VALUE PERCENTAGE ----------------------------------------------------------------------------- Fleming Intrepid European Fund $ 95,376,559 87.39% Fleming Japan Fund $ 43,004,411 89.47% Fleming International Growth Fund $ 3,879,913 88.39% Fleming International Value Fund $ 43,383,192 91.42% Fleming International Opportunities Fund $ 165,447,299 86.88% Fleming Emerging Markets Equity Fund $ 29,683,225 35.31% Fleming Asia Equity Fund $ 33,944,146 95.57% Fleming International Equity Fund $ 1,200,983,259 91.25%
(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. 49 JP MORGAN FUNDS STATEMENT OF ASSETS AND LIABILITIES AS OF OCTOBER 31, 2004
INTREPID INTERNATIONAL INTERNATIONAL EUROPEAN JAPAN GROWTH VALUE FUND FUND FUND FUND ASSETS Investments in non-affiliates, at value $ 108,451,609 $ 47,187,619 $ 4,303,793 $ 47,003,740 Investments in affiliates, at value -- -- -- 2,286 - -------------------------------------------------------------------------------------------------------------------------- Total investment securities, at value 108,451,609 47,187,619 4,303,793 47,006,026 - -------------------------------------------------------------------------------------------------------------------------- Investments held as collateral for securities lending program 1,217,848 7,451,450 -- 2,301,673 Cash 1,493,633 1,460,049 99,410 61,068 Foreign currency, at value 48,147 2,032 -- 55,508 Receivables: Investment securities sold 17,957,187 261,451 44,115 92,935 Fund shares sold 17,760 388,722 -- 35,811 Interest and dividends 133,847 138,829 11,939 109,726 Foreign tax reclaim 50,876 -- 3,638 283,255 Variation margin -- -- -- 1,980 Unrealized appreciation on forward foreign currency exchange contracts -- -- -- 498,072 Securities lending (net) 503 3,390 -- 7,753 Expense reimbursements 1,549 -- 18,854 2,464 - -------------------------------------------------------------------------------------------------------------------------- Total Assets 129,372,959 56,893,542 4,481,749 50,456,271 - -------------------------------------------------------------------------------------------------------------------------- LIABILITIES Payables: Investment securities purchased 18,521,459 1,229,286 43,914 149,180 Collateral for securities lending program 1,217,848 7,451,450 -- 2,301,673 Fund shares redeemed 261,684 19,658 -- 15,994 Unrealized depreciation on forward foreign currency exchange contracts -- -- -- 432,157 Accrued liabilities: Investment advisory fees 58,781 39,419 -- 13,463 Administration fees -- 5,913 -- -- Shareholder servicing fees 15,218 200 -- 3,800 Distribution fees 17,334 10,254 1,281 319 Custodian fees 63,373 25,050 -- 29,068 Trustees' fees - deferred compensation plan 2,213 409 99 508 Other 69,804 46,707 46,822 52,988 - -------------------------------------------------------------------------------------------------------------------------- Total Liabilities 20,227,714 8,828,346 92,116 2,999,150 - -------------------------------------------------------------------------------------------------------------------------- NET ASSETS $ 109,145,245 $ 48,065,196 $ 4,389,633 $ 47,457,121 - --------------------------------------------------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 50
INTREPID INTERNATIONAL INTERNATIONAL EUROPEAN JAPAN GROWTH VALUE FUND FUND FUND FUND NET ASSET Paid in capital 94,004,745 48,260,468 4,976,207 65,661,797 Accumulated undistributed (overdistributed) net investment income 935,461 (16,367) (3,927) 1,282,507 Accumulated net realized gain (loss) on investments, futures and foreign exchange transactions 5,840,304 (895,885) (1,147,781) (27,065,088) Net unrealized appreciation (depreciation) of investments, futures and foreign exchange translations 8,364,735 716,980 565,134 7,577,905 - -------------------------------------------------------------------------------------------------------------------------- Total Net Assets $ 109,145,245 $ 48,065,196 $ 4,389,633 $ 47,457,121 - -------------------------------------------------------------------------------------------------------------------------- Class A $ 35,781,325 $ 47,106,134 $ 3,519,409 $ 189,295 Class B $ 12,187,372 $ 959,062 $ 870,224 $ 440,955 Class C $ 3,165,231 $ -- $ -- $ -- Institutional $ 37,114,704 $ -- $ -- $ 28,804,133 Select $ 20,896,613 $ -- $ -- $ 18,022,738 - -------------------------------------------------------------------------------------------------------------------------- Total $ 109,145,245 $ 48,065,196 $ 4,389,633 $ 47,457,121 - -------------------------------------------------------------------------------------------------------------------------- Shares of beneficial interest outstanding ($0.001 par value; unlimited number of shares authorized): Class A 1,806,053 6,714,855 407,700 17,877 Class B 651,414 144,514 102,357 42,339 Class C 169,370 -- -- -- Institutional 1,840,610 -- -- 2,707,737 Select 1,047,068 -- -- 1,701,210 Net Asset Value: Class A (and redemption price) $ 19.81 $ 7.02 $ 8.63 $ 10.59 Class B* $ 18.71 $ 6.64 $ 8.50 $ 10.41 Class C* $ 18.69 $ -- $ -- $ -- Institutional (and redemption price) $ 20.16 $ -- $ -- $ 10.64 Select (and redemption price) $ 19.96 $ -- $ -- $ 10.59 Class A Maximum Public Offering Price Per Share (net asset value per share/94.25%) $ 21.02 $ 7.45 $ 9.16 $ 11.24 Cost of investments $ 100,107,026 $ 46,476,579 $ 3,738,976 $ 39,565,496 - -------------------------------------------------------------------------------------------------------------------------- Cost of foreign currency $ 48,139 $ 2,032 $ -- $ 54,162 - --------------------------------------------------------------------------------------------------------------------------
- ---------- * Redemption price may be reduced by contingent deferred sales charge. SEE NOTES TO FINANCIAL STATEMENTS. 51
INTERNATIONAL EMERGING INTERNATIONAL OPPORTUNITIES MARKETS EQUITY ASIA EQUITY EQUITY FUND FUND FUND FUND ASSETS Investments in non-affiliates, at value $ 185,968,837 $ 81,495,037 $ 35,042,636 $ 1,256,612,286 Investments in affiliates, at value 2,650,155 -- -- -- - -------------------------------------------------------------------------------------------------------------------------- Total investment securities, at value 188,618,992 81,495,037 35,042,636 1,256,612,286 - -------------------------------------------------------------------------------------------------------------------------- Investments held as collateral for securities lending program 9,338,823 -- -- 43,094,145 Cash 198,384 2,926,149 23,202 56,743,772 Foreign currency, at value 770,705 562,976 397,174 64,144 Receivables: Investment securities sold 3,676,108 2,270,088 126,508 -- Fund shares sold 50,366 89,749 66,589 1,414,804 Interest and dividends 403,232 125,683 1,413 3,055,013 Foreign tax reclaim 558,621 1,136 -- 179,063 Variation margin 2,994 -- -- -- Unrealized appreciation on forward foreign currency exchange contracts 1,697,980 -- -- -- Securities lending (net) 770 24 -- 10,201 Expense reimbursements -- 3,914 280 -- - -------------------------------------------------------------------------------------------------------------------------- Total Assets 205,316,975 87,474,756 35,657,802 1,361,173,428 - -------------------------------------------------------------------------------------------------------------------------- LIABILITIES Payables: Investment securities purchased 4,061,557 1,915,200 33,449 -- Collateral for securities lending program 9,338,823 -- -- 43,094,145 Fund shares redeemed 8,880 1,299,437 -- 647,685 Unrealized depreciation on forward foreign currency exchange contracts 1,251,628 -- -- -- Accrued liabilities: Investment advisory fees 95,546 64,169 13,570 866,030 Administration fees 11,147 -- -- 75,779 Shareholder servicing fees 11,439 6,170 4,518 57,967 Distribution fees 3,321 448 92 18,600 Custodian fees 35,004 53,655 31,839 153,307 Trustees' fees - deferred compensation plan 2,959 562 167 11,554 Other 70,202 68,009 55,865 125,415 - -------------------------------------------------------------------------------------------------------------------------- Total Liabilities 14,890,506 3,407,650 139,500 45,050,482 - -------------------------------------------------------------------------------------------------------------------------- NET ASSETS $ 190,426,469 $ 84,067,106 $ 35,518,302 $ 1,316,122,946 - --------------------------------------------------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 52
INTERNATIONAL EMERGING INTERNATIONAL OPPORTUNITIES MARKETS EQUITY ASIA EQUITY EQUITY FUND FUND FUND FUND NET ASSETS Paid in capital 284,870,761 171,245,820 31,436,726 1,128,860,697 Accumulated undistributed (overdistributed) net investment income 3,302,780 472,311 243,645 3,915,559 Accumulated net realized gain (loss) on investments, futures and foreign exchange transactions (131,921,879) (95,736,891) (721,378) (29,891,226) Net unrealized appreciation (depreciation) of investments and foreign exchange translations 34,174,807 8,085,866 4,559,309 213,237,916 - -------------------------------------------------------------------------------------------------------------------------- Total Net Assets $ 190,426,469 $ 84,067,106 $ 35,518,302 $ 1,316,122,946 - -------------------------------------------------------------------------------------------------------------------------- Class A $ 12,194,665 $ 1,372,415 $ 512,627 $ 63,621,686 Class B $ 1,199,298 $ 301,868 $ -- $ 768,147 Class C $ -- $ -- $ -- $ 8,345,604 Institutional $ 139,826,866 $ 49,659,613 $ 16,904,721 $ -- Select $ 37,205,640 $ 32,733,210 $ 18,100,954 $ 1,243,387,509 - -------------------------------------------------------------------------------------------------------------------------- Total $ 190,426,469 $ 84,067,106 $ 35,518,302 $ 1,316,122,946 - -------------------------------------------------------------------------------------------------------------------------- Shares of beneficial interest outstanding ($0.001 par value; unlimited number of shares authorized): Class A 1,198,987 144,510 27,981 2,348,449 Class B 119,091 31,978 -- 28,481 Class C -- -- -- 310,086 Institutional 13,491,159 5,141,786 918,696 -- Select 3,607,455 3,418,517 985,487 45,808,267 Net Asset Value: Class A (and redemption price) $ 10.17 $ 9.50 $ 18.32 $ 27.09 Class B* $ 10.07 $ 9.44 $ -- $ 26.97 Class C* $ -- $ -- $ -- $ 26.91 Institutional (and redemption price) $ 10.36 $ 9.66 $ 18.40 $ -- Select (and redemption price) $ 10.31 $ 9.58 $ 18.37 $ 27.14 Class A Maximum Public Offering Price Per Share (net asset value per share/94.25%) $ 10.79 $ 10.08 $ 19.44 $ 28.74 Cost of investments $ 155,010,463 $ 73,411,081 $ 30,488,477 $ 1,043,438,983 - -------------------------------------------------------------------------------------------------------------------------- Cost of foreign currency $ 770,753 $ 561,824 $ 392,151 $ 67,841 - --------------------------------------------------------------------------------------------------------------------------
* Redemption price may be reduced by contingent deferred sales charge. SEE NOTES TO FINANCIAL STATEMENTS. 53 JPMORGAN FUNDS STATEMENT OF OPERATIONS YEAR ENDED OCTOBER 31, 2004
INTREPID INTERNATIONAL INTERNATIONAL EUROPEAN JAPAN GROWTH VALUE FUND FUND FUND FUND INVESTMENT INCOME Interest $ 100,221 $ 6,678 $ 218 $ 118,008 Dividend 2,963,783 233,901 93,267 1,741,371 Dividend income from affiliated investments* -- -- -- 5,654 Securities lending (net) 101,689 18,937 -- 24,833 Foreign tax withholding (389,264) (16,394) (10,702) (115,239) - -------------------------------------------------------------------------------------------------------------------------- Total investment income 2,776,429 243,122 82,783 1,774,627 - -------------------------------------------------------------------------------------------------------------------------- EXPENSES Investment advisory fees 625,852 211,194 43,049 270,134 Administration fees 144,428 31,679 6,457 67,534 Shareholder servicing fees 198,889 52,799 10,762 71,538 Distribution fees 204,122 56,397 15,038 3,030 Custodian and accounting fees 329,607 134,135 90,779 129,365 Interest expense 850 54 -- 479 Printing and postage 42,976 7,393 7,804 8,104 Professional fees 73,413 46,937 56,360 77,147 Registration fees 62,214 24,382 46,688 41,421 Transfer agent fees 174,562 40,773 33,761 67,195 Trustees' fees 1,445 317 65 675 Other 16,008 7,274 5,729 12,765 - -------------------------------------------------------------------------------------------------------------------------- Total expenses 1,874,366 613,334 316,492 749,387 - -------------------------------------------------------------------------------------------------------------------------- Less amounts waived 368,144 147,493 60,269 207,955 Less expense reimbursements 16,881 90,801 165,849 36,767 - -------------------------------------------------------------------------------------------------------------------------- Net expenses 1,489,341 375,040 90,374 504,665 - -------------------------------------------------------------------------------------------------------------------------- Net investment income (loss) 1,287,088 (131,918) (7,591) 1,269,962 - --------------------------------------------------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 54 ANNUAL REPORT OCTOBER 31 2004
INTREPID INTERNATIONAL INTERNATIONAL EUROPEAN JAPAN GROWTH VALUE FUND FUND FUND FUND REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS Net realized gain (loss) on transactions from: Investments 8,855,935 (33,633) 115,547 9,634,208 Futures -- -- -- 60,493 Foreign exchange contracts (342,644) 7,616 (11,005) 31,151 Change in net unrealized appreciation (depreciation) of: Investments 2,774,496 402,798 335,459 (797,537) Futures -- -- -- (895) Foreign exchange translations (9,777) 6,513 (857) (195,451) Net realized and unrealized gain (loss) on investments, futures and foreign exchange transactions 11,278,010 383,294 439,144 8,731,969 - -------------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in net assets from operations $ 12,565,098 $ 251,376 $ 431,553 $ 10,001,931 - -------------------------------------------------------------------------------------------------------------------------- * Includes reimbursements of investment advisory, administration and shareholder servicing fees : $ -- $ -- $ -- $ 817 - --------------------------------------------------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 55
INTERNATIONAL EMERGING INTERNATIONAL OPPORTUNITIES MARKETS EQUITY ASIA EQUITY EQUITY FUND FUND FUND FUND INVESTMENT INCOME Interest $ 131,932 $ 28,267 $ 3,896 $ 85,941 Dividend 5,104,464 2,191,494 1,166,591 27,155,870 Dividend income from affiliated investments* 29,009 -- -- -- Securities lending (net) 100,827 3,900 -- 834,929 Foreign tax withholding (441,885) (172,574) (146,321) (2,953,111) - -------------------------------------------------------------------------------------------------------------------------- Total investment income 4,924,347 2,051,087 1,024,166 25,123,629 - -------------------------------------------------------------------------------------------------------------------------- EXPENSES Investment advisory fees 1,088,098 746,992 449,313 10,547,829 Administration fees 272,027 112,050 67,398 1,582,188 Shareholder servicing fees 252,878 111,802 85,202 2,636,956 Distribution fees 40,029 2,822 888 137,387 Custodian and accounting fees 200,460 254,471 191,016 799,025 Interest expense 1,207 951 194 1,251 Printing and postage 31,746 14,806 5,668 155,534 Professional fees 77,977 82,552 71,473 89,789 Registration fees 51,531 49,302 40,338 99,265 Transfer agent fees 142,923 71,940 39,315 142,405 Trustees' fees 2,721 1,121 674 15,827 Other 24,204 44,744 9,102 84,973 - -------------------------------------------------------------------------------------------------------------------------- Total expenses 2,185,801 1,493,553 960,581 16,292,429 - -------------------------------------------------------------------------------------------------------------------------- Less amounts waived 283,114 293,516 304,234 4,467,528 Less earnings credits -- -- -- 1,535 Less expense reimbursements -- 24,634 8,421 15,013 - -------------------------------------------------------------------------------------------------------------------------- Net expenses 1,902,687 1,175,403 647,926 11,808,353 - -------------------------------------------------------------------------------------------------------------------------- Net investment income (loss) 3,021,660 875,684 376,240 13,315,276 - --------------------------------------------------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 56
INTERNATIONAL EMERGING INTERNATIONAL OPPORTUNITIES MARKETS EQUITY ASIA EQUITY EQUITY FUND FUND FUND FUND REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS Net realized gain (loss) on transactions from: Investments 23,644,168 23,953,678 2,254,077 915,023 Futures 137,860 -- -- -- Foreign exchange contracts 425,193 (180,536) (46,701) 131,123 Change in net unrealized appreciation (depreciation) of: Investments (1,556,162) (5,529,615) (1,822,564) 144,062,513 Futures (59,691) -- -- -- Foreign exchange translations (109,599) (9,665) 5,386 (2,601) - -------------------------------------------------------------------------------------------------------------------------- Net realized and unrealized gain (loss) on investments, futures and foreign exchange transactions 22,481,769 18,233,862 390,198 145,106,058 - -------------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in net assets from operations $ 25,503,429 $ 19,109,546 $ 766,438 $ 158,421,334 - -------------------------------------------------------------------------------------------------------------------------- * Includes reimbursements of investment advisory, administration and shareholder servicing fees: $ 3,930 $ -- $ -- $ -- - --------------------------------------------------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 57 JPMORGAN FUNDS STATEMENT OF CHANGES IN NET ASSETS FOR THE PERIODS INDICATED
INTREPID EUROPEAN FUND JAPAN FUND ------------------------------ ----------------------------- YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED 10/31/04 10/31/03 10/31/04 10/31/03 INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS Net investment income (loss) $ 1,287,088 $ 94,089 $ (131,918) $ (17,047) Net realized gain (loss) on investments and foreign exchange transactions 8,513,291 11,301,614 (26,017) 494,196 Change in net unrealized appreciation (depreciation) of investments and foreign exchange translations 2,764,719 4,340,131 409,311 338,655 - ------------------------------------------------------------------------------------------------------------------------------ Increase (decrease) in net assets from operations 12,565,098 15,735,834 251,376 815,804 - ------------------------------------------------------------------------------------------------------------------------------ DISTRIBUTIONS TO SHAREHOLDERS FROM Net investment income (48,547) (374,810) -- -- - ------------------------------------------------------------------------------------------------------------------------------ CAPITAL SHARE TRANSACTIONS Increase (decrease) 27,547,059 (782,686) 43,782,554 2,372,801 - ------------------------------------------------------------------------------------------------------------------------------ NET ASSETS Total increase (decrease) in net assets 40,063,610 14,578,338 44,033,930 3,188,605 - ------------------------------------------------------------------------------------------------------------------------------ Beginning of period 69,081,635 54,503,297 4,031,266 842,661 - ------------------------------------------------------------------------------------------------------------------------------ End of period $ 109,145,245 $ 69,081,635 $ 48,065,196 $ 4,031,266 - ------------------------------------------------------------------------------------------------------------------------------ Accumulated undistributed (overdistributed) net investment income $ 935,461 $ 39,564 $ (16,367) $ (3,348) - ------------------------------------------------------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 58 ANNUAL REPORT OCTOBER 31 2004
INTERNATIONAL GROWTH FUND INTERNATIONAL VALUE FUND ------------------------------ ----------------------------- YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED 10/31/04 10/31/03 10/31/04 10/31/03 INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS Net investment income (loss) $ (7,591) $ 8,801 $ 1,269,962 $ 42,152 Net realized gain (loss) on investments, futures and foreign exchange transactions 104,542 (253,809) 9,725,852 5,776,870 Change in net unrealized appreciation (depreciation) of investments, futures and foreign exchange translations 334,602 1,029,572 (993,883) 4,185,551 - ------------------------------------------------------------------------------------------------------------------------------ Increase (decrease) in net assets from operations 431,553 784,564 10,001,931 10,004,573 - ------------------------------------------------------------------------------------------------------------------------------ DISTRIBUTIONS TO SHAREHOLDERS FROM Net investment income (8,800) -- (377,516) (1,481,498) - ------------------------------------------------------------------------------------------------------------------------------ CAPITAL SHARE TRANSACTIONS Increase (decrease) 4,891 500 (5,370,285) (11,203,485) - ------------------------------------------------------------------------------------------------------------------------------ NET ASSETS Total increase (decrease) in net assets 427,644 785,064 4,254,130 (2,680,410) - ------------------------------------------------------------------------------------------------------------------------------ Beginning of period 3,961,989 3,176,925 43,202,991 45,883,401 - ------------------------------------------------------------------------------------------------------------------------------ End of period $ 4,389,633 $ 3,961,989 $ 47,457,121 $ 43,202,991 - ------------------------------------------------------------------------------------------------------------------------------ Accumulated undistributed (overdistributed) net investment income $ (3,927) $ 5,593 $ 1,282,507 $ (13,187) - ------------------------------------------------------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 59
INTERNATIONAL OPPORTUNITIES FUND EMERGING MARKETS EQUITY FUND -------------------------------- ----------------------------- YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED 10/31/04 10/31/03 10/31/04 10/31/03 INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS Net investment income $ 3,021,660 $ 1,928,013 $ 875,684 $ 748,728 Net realized gain (loss) on investments, futures and foreign exchange transactions 24,207,221 (13,994,625) 23,773,142 116,156 Change in net unrealized appreciation (depreciation) of investments, futures and foreign exchange translations (1,725,452) 51,670,007 (5,539,280) 25,081,896 - ------------------------------------------------------------------------------------------------------------------------------ Increase (decrease) in net assets from operations 25,503,429 39,603,395 19,109,546 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) (7,475,586) (116,262,855) (15,599,413) (10,270,234) - ------------------------------------------------------------------------------------------------------------------------------ NET ASSETS Total increase (decrease) in net assets 13,497,644 (79,207,652) 2,570,456 15,246,546 - ------------------------------------------------------------------------------------------------------------------------------ Beginning of period 176,928,825 256,136,477 81,496,650 66,250,104 - ------------------------------------------------------------------------------------------------------------------------------ End of period $ 190,426,469 $ 176,928,825 $ 84,067,106 $ 81,496,650 - ------------------------------------------------------------------------------------------------------------------------------ Accumulated undistributed (overdistributed) net investment income $ 3,302,780 $ 2,777,662 $ 472,311 $ 716,840 - ------------------------------------------------------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 60
ASIA EQUITY FUND INTERNATIONAL EQUITY FUND ----------------------------- ------------------------------- YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED 10/31/04 10/31/03 10/31/04 10/31/03 INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS Net investment income (loss) $ 376,240 $ 321,512 $ 13,315,276 $ 7,266,321 Net realized gain (loss) on investments and foreign exchange transactions 2,207,376 (1,710,646) 1,046,146 (10,745,295) Change in net unrealized appreciation (depreciation) of investments and foreign exchange translations (1,817,178) 8,983,551 144,059,912 118,866,466 - ------------------------------------------------------------------------------------------------------------------------------ Increase (decrease) in net assets from operations 766,438 7,594,417 158,421,334 115,387,492 - ------------------------------------------------------------------------------------------------------------------------------ DISTRIBUTIONS TO SHAREHOLDERS FROM Net investment income (414,178) -- (11,529,449) (6,762,429) - ------------------------------------------------------------------------------------------------------------------------------ CAPITAL SHARE TRANSACTIONS Increase (decrease) (3,424,912) 7,754,921 345,404,443 467,662,712 - ------------------------------------------------------------------------------------------------------------------------------ NET ASSETS Total increase (decrease) in net assets (3,072,652) 15,349,338 492,296,328 576,287,775 - ------------------------------------------------------------------------------------------------------------------------------ Beginning of period 38,590,954 23,241,616 823,826,618 247,538,843 - ------------------------------------------------------------------------------------------------------------------------------ End of period $ 35,518,302 $ 38,590,954 $ 1,316,122,946 $ 823,826,618 - ------------------------------------------------------------------------------------------------------------------------------ Accumulated undistributed (overdistributed) net investment income $ 243,645 $ 326,591 $ 3,915,559 $ 1,632,752 - ------------------------------------------------------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 61 JPMORGAN FUNDS NOTES TO FINANCIAL STATEMENTS 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. On August 19, 2004, the Board of Trustees of the Trust approved management's proposal to merge the Target Funds listed below with and into the Acquiring Funds listed below:
TARGET FUND ACQUIRING FUND JPMorgan Fleming JPMorgan Fleming Global 50 Fund International merges with and into Opportunities Fund One Group Diversified JPMorgan Fleming International Fund International merges with and into Equity Fund
Each proposed merger is contingent upon, among other things, approval by the Target Fund's shareholders and regulatory review and receipt of an opinion of counsel to the effect that the merger will qualify as a tax - free 62 reorganization for Federal income tax purposes. If approved, the merger is expected to occur on February 18, 2005, or such later date as the parties to each such merger transaction may agree. 2. SIGNIFICANT ACCOUNTING POLICIES THE FOLLOWING IS A SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES FOLLOWED BY THE FUNDS: The preparation of financial statements in accordance with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. A. VALUATION OF INVESTMENTS -- Equity securities, purchased options and futures contracts are valued at the last sale price on the exchange on which they are primarily traded. The value of National Market Systems equity securities quotes by the Nasdaq Stock Market, Inc. shall generally be the Nasdaq Official Closing Price. Securities for which sale prices are not available and other over-the-counter securities are valued at the mean between the bid and asked quotations. Fixed income securities, other than convertible bonds, with a maturity of 61 days or more 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 60 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, JP Morgan Investment Management Inc. ("JPMIM" or the "Advisor"), determines that use of another valuation methodology is appropriate. The pricing service uses statistical analyses and quantitative models to adjust local market prices using factors such as subsequent movements and changes in the prices of indices, securities, and exchange rates in other markets, in determining fair value as of the time a Fund calculates its net asset value. B. FUTURES CONTRACTS -- When a Fund enters into a futures contract, it makes an initial margin deposit in a segregated account, either in cash or liquid securities. Thereafter, the futures contract is marked to market and the Fund makes (or receives) additional cash payments daily to (or from) the broker. Changes in the value of the contract are recorded as unrealized appreciation (depreciation) until the contract is closed or settled, at which time a realized gain or loss is recognized. Index futures contracts are used to control the asset mix of the portfolios in the most efficient manner, 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 63 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 trade. The exchange or board of trade acts as the counterparty to each futures transaction; therefore, the Funds' credit risk is limited to failure of the exchange or board of trade. As of October 31, 2004, the Funds held open 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 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 each Fund's 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 year 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 Fund's exposure to foreign currency exchange fluctuations. Each day the forward contracts are open, changes in the value of the contracts are recognized as unrealized gains or losses by "marking to market". When the forward contracts are 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 contracts. 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 October 31, 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 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. 64 F. SECURITIES ON LOAN -- All of the funds except IGF have been approved by the Board of Trustees for the lending of securities, through their 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 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 October 31, 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 $ 1,155,404 $ 1,217,848 JF 7,081,505 7,451,450 IVF 2,184,638 2,301,673 IOF 8,828,450 9,338,823 IEF 40,986,676 43,094,145
JPMCB as lending agent receives an annual 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 fees received during the year ended October 31, 2004 were as follows: EF $ 22,770 JF 4,677 IVF 6,250 IOF 28,812 EMF 719 IEF 227,070
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 class are charged directly to such class. 65 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 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 they invest. 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. The following amounts were reclassified within the capital accounts:
ACCUMULATED ACCUMULATED UNDISTRIBUTED/ NET REALIZED PAID-IN (OVERDISTRIBUTED) GAIN (LOSS) CAPITAL NET INVESTMENT INCOME ON INVESTMENTS FUND EF $ (399,420) $ (342,644) $ 742,064 JF (100,823) 118,899 (18,076) IGF (17,876) 6,871 11,005 IVF 32 403,248 (403,280) IOF 21 2,033,657 (2,033,678) EMF -- (180,536) 180,536 AEF -- (45,008) 45,008 IEF -- 496,980 (496,980)
For EMF, the reclassifications primarily relate to the character for tax purposes of foreign currency gains and losses. For EF, the reclassification primarily relate to the character for tax purposes on the allocation of the "Master/Feeder" takedown. For JF the reclassifications primarily relate to the character for tax purposes of net operating losses, Passive Foreign Investment Company ("PFIC") sales and foreign exchange gains and losses. For IGF the reclassifications primarily relate to the character for tax purposes of net operating losses and foreign currency gains and losses. For IVF the reclassifications primarily relate to the character for tax purposes of PFIC sales and forward foreign currency gains and losses. For IOF, AEF and IEF, the reclassifications primarily relate to 66 the character for tax purposes of PFIC sales and foreign currency gains and losses. L. OTHER EXPENSES -- Other expenses in the Statement of Operations include fees related to line of credit, insurance, pricing and reporting services. 3. FEES AND OTHER TRANSACTIONS WITH AFFILIATES A. INVESTMENT ADVISORY FEE -- Pursuant to the Investment Advisory Agreements, JPMIM acts as the investment advisor to the Funds. JPMIM is a wholly owned subsidiary of JPMorgan Fleming Asset Management Holdings, Inc., which is a wholly owned subsidiary of JPMorgan Chase & Co. The Advisor supervises the investments of each respective Fund and for such services is paid a fee. The fee is accrued daily and paid monthly based on each Fund's 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*
* As approved by the Board of Trustees, effective February 19, 2005, the Investment Advisory Fee will be reduced to an annual rate of 0.80% of the average daily net assets for IGF and IEF. 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") and indirect subsidiary of J.P. Morgan and affiliate of JPMIM. 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. B. DISTRIBUTION FEES -- Pursuant to a Distribution Agreement, J.P. Morgan Fund Distributors, Inc. ("JPMFD" or "Distributor"), a wholly-owned subsidiary of The BISYS Group, Inc., serves as the Trusts' exclusive underwriter and promotes and arranges for the sale of each Fund's shares. JPMFD receives no compensation in its capacity as the Funds' underwriter. 67 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. On August 19, 2004, the Board of Trustees approved management's proposal to enter into a Distribution Agreement with One Group Dealer Services, Inc., an indirect wholly-owned subsidiary of JPMorgan Chase & Co. The foregoing change in the service provider is expected to occur effective February 19, 2005. 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 (%):
CLASS A CLASS B CLASS C INSTITUTIONAL SELECT 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
68 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 the Schwab Agreements; however, in the event the servicing agreement with Schwab is terminated for reasons other than a breach by Schwab and the relationship between MFG, JPMIF and JPMCB are terminated, the Funds would be responsible for ongoing payments to Schwab with respect to pre-termination shares. On August 19, 2004, the Board of Trustees approved management's proposal to replace JPMCB with One Group Dealer Services, Inc. as Shareholder Servicing Agent. The foregoing change in the service provider is expected to occur effective February 19, 2005. 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, the Advisor, and the Distributor have contractually agreed to reimburse the Funds to the extent that total operating expenses (excluding interest, taxes, extraordinary expenses and expenses related to the deferred compensation plan) exceed the percentages of their respective average daily net assets as shown in the table below (%):
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
69 The contractual expense limitation agreements were in effect for the year ended October 31, 2004. The expense limitation percentages in the table above are due to expire on February 28, 2006. On August 19, 2004, the Board of Trustees approved management's proposal to enter into an Administration Agreement with One Group Administrative Services, Inc., ("OGA") an indirect wholly-owned subsidiary of JPMorgan Chase & Co. The foregoing change in the service provider is expected to occur effective February 19, 2005. The Administrative fees charged to the Funds will be subject to the same fee structure as those paid to the current Administrator. JPMCB will begin to provide sub-administrative services to the Funds in 2005. For such services, JPMCB will receive a portion of the fees payable to OGA as Administrator. The Administrator waived fees and reimbursed expenses as outlined in Note 3.F. F. WAIVERS AND REIMBURSEMENTS -- For the year ended October 31, 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 $ 180,938 $ 97,220 $ 35,050 $ -- $ 313,208 $ 16,881 JF 48,922 15,112 50,779 32,680 147,493 90,801 IGF 43,049 6,457 10,762 -- 60,268 165,849 IVF 111,900 60,651 28,521 -- 201,072 36,767 IOF 50,005 108,922 124,187 -- 283,114 -- EMF 126,444 112,050 55,022 -- 293,516 24,634 AEF 230,572 67,398 6,264 -- 304,234 8,421 IEF 1,180,005 25,660 1,746,778 -- 2,952,443 15,013 Total $ 1,971,835 $ 493,470 $ 2,057,363 $ 32,680 $ 4,555,348 $ 358,366
VOLUNTARY WAIVERS ------------------------------------------------------------------------------------------ INVESTMENT SHAREHOLDER ADVISORY ADMINISTRATION SERVICING DISTRIBUTION TOTAL FUND EF $ 7,729 $ 47,207 $ -- $ -- $ 54,936 IVF -- 6,883 -- -- 6,883 IEF 951,237 563,848 -- -- 1,515,085 Total $ 958,966 $ 617,938 $ -- $ -- $ 1,576,904
70 G. OTHER -- Certain officers of the Trusts are officers of JPMorgan Chase & Co. or of BISYS or their subsidiaries. During the period, certain Funds may have purchased securities from an underwriting syndicate in which the principal underwriter or members of the syndicate were affiliated with the Advisors. The Funds may use related party broker/dealers. For the year ended October 31, 2004, EF, JF, EMF and AEF incurred approximately $334, $866, $205 and $30,064 as broker commissions with brokers/dealers affiliated with JPMorgan. The SEC has granted an exemptive order permitting each Fund to engage in principal transactions with JPMorgan Securities Inc., an affiliated broker, involving taxable money market instruments subject to certain conditions. 4. CLASS SPECIFIC EXPENSES The Funds' class specific expenses for the year ended October 31, 2004 are as follows:
SHAREHOLDER FUND SERVICING DISTRIBUTION TRANSFER AGENT EF Class A $ 87,217 $ 87,217 $ 94,385 Class B 30,918 92,755 33,567 Class C 8,050 24,150 8,733 Institutional 27,881 -- 16,881 Select 44,823 -- 20,996 - ---------------------------------------------------------------------------------------------------------- Total $ 198,889 $ 204,122 $ 174,562 JF Class A $ 51,000 $ 51,000 $ 38,688 Class B 1,799 5,397 2,085 - ---------------------------------------------------------------------------------------------------------- Total $ 52,799 $ 56,397 $ 40,773 IGF Class A $ 8,625 $ 8,625 $ 27,055 Class B 2,137 6,413 6,706 - ---------------------------------------------------------------------------------------------------------- Total $ 10,762 $ 15,038 $ 33,761 IVF Class A $ 248 $ 249 $ 5,079 Class B 927 2,781 20,122 Institutional 27,345 -- 12,742 Select 43,018 -- 29,252 - ---------------------------------------------------------------------------------------------------------- Total $ 71,538 $ 3,030 $ 67,195 - ----------------------------------------------------------------------------------------------------------
71
SHAREHOLDER FUND SERVICING DISTRIBUTION TRANSFER AGENT IOF Class A $ 29,584 $ 29,584 $ 77,284 Class B 3,482 10,445 9,196 Institutional 133,661 -- 27,517 Select 86,151 -- 28,926 - ---------------------------------------------------------------------------------------------------------- Total $ 252,878 $ 40,029 $ 142,923 EMF Class A $ 1,492 $ 1,492 $ 20,572 Class B 443 1,330 6,694 Institutional 49,963 -- 13,335 Select 59,904 -- 31,339 - ---------------------------------------------------------------------------------------------------------- Total $ 111,802 $ 2,822 $ 71,940 AEF Class A $ 887 $ 888 $ 9,507 Institutional 18,084 -- 13,675 Select 66,231 -- 16,133 - ---------------------------------------------------------------------------------------------------------- Total $ 85,202 $ 888 $ 39,315 IEF Class A $ 99,029 $ 99,029 $ 63,942 Class B 1,173 3,519 781 Class C 11,613 34,839 7,739 Select 2,525,141 -- 69,943 - ---------------------------------------------------------------------------------------------------------- Total $ 2,636,956 $ 137,387 $ 142,405 - ----------------------------------------------------------------------------------------------------------
5. CLASS SPECIFIC DISTRIBUTIONS The Funds' class specific distributions from net investment income and realized gain on investment transactions for the year ended October 31, 2004 and the year ended October 31, 2003 are as follows:
YEAR ENDED 10/31/04 YEAR ENDED 10/31/03 ---------------------------------- -------------------------------- NET NET FUND INVESTMENT INCOME REALIZED GAIN INVESTMENT INCOME REALIZED GAIN EF Class A $ -- $ -- $ 182,850 $ -- Class B -- -- 62,545 -- Class C -- -- 17,829 -- Institutional 46,310 -- 49,458 -- Select 2,237 -- 62,128 -- - --------------------------------------------------------------------------------------------------------------------------- Total $ 48,547 $ -- $ 374,810 $ -- - ---------------------------------------------------------------------------------------------------------------------------
72
YEAR ENDED 10/31/04 YEAR ENDED 10/31/03 ---------------------------------- -------------------------------- NET NET FUND INVESTMENT INCOME REALIZED GAIN INVESTMENT INCOME REALIZED GAIN IGF Class A $ 8,800 $ -- $ -- $ -- - --------------------------------------------------------------------------------------------------------------------------- Total $ 8,800 $ -- $ -- $ -- IVF Class A $ 18 $ -- $ 5,641 $ -- Class B 1,031 -- 5,748 -- Institutional 282,695 -- 876,423 -- Select 93,772 -- 593,686 -- - --------------------------------------------------------------------------------------------------------------------------- Total $ 377,516 $ -- $ 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 $ -- 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 $ 350,761 $ -- $ 37,568 $ -- Class B 2,154 -- 544 -- Class C 22,632 -- 2,626 -- Select 11,153,902 -- 6,721,691 -- - --------------------------------------------------------------------------------------------------------------------------- Total $ 11,529,449 $ -- $ 6,762,429 $ -- - ---------------------------------------------------------------------------------------------------------------------------
73 6. INVESTMENT TRANSACTIONS For the year ended October 31, 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 $ 433,267,834 $ 407,093,652 JF 88,698,290 45,609,208 IGF 2,007,899 2,118,303 IVF 47,487,974 51,909,547 IOF 174,532,573 182,384,950 EMF 85,737,600 101,140,895 AEF 74,107,711 75,706,867 IEF 565,684,189 249,411,652
7. FEDERAL INCOME TAX MATTERS For Federal income tax purposes, the cost and unrealized appreciation (depreciation) in value of the investment securities at October 31, 2004, are as follows:
GROSS GROSS NET UNREALIZED AGGREGATE UNREALIZED UNREALIZED APPRECIATION COST APPRECIATION DEPRECIATION (DEPRECIATION) FUND EF $ 100,313,981 $ 9,074,310 $ (936,682) $ 8,137,628 JF 46,707,652 1,861,573 (1,381,606) 479,967 IGF 3,738,769 133,182 (688,206) (555,024) IVF 39,854,775 7,691,520 (540,269) 7,151,251 IOF 156,882,421 33,799,323 (2,062,752) 31,736,571 EMF 65,168,712 18,678,539 (2,352,214) 16,326,325 AEF 30,799,626 4,659,029 (416,019) 4,243,010 IEF 1,056,069,931 211,657,579 (11,115,224) 200,542,355
74 The tax character of distributions paid during the years ended October 31, 2004 and October 31, 2003 were as follows:
ORDINARY INCOME YEAR ENDED OCTOBER 31, 2004 EF $ 48,547 IGF 8,800 IVF 377,516 IOF 4,530,199 EMF 939,677 AEF 414,178 IEF 11,529,449 ORDINARY INCOME YEAR ENDED OCTOBER 31, 2003 EF $ 374,810 IVF 1,481,498 IOF 2,548,192 EMF 430,000 IEF 6,762,429
At October 31, 2004, the components of net assets (excluding paid in capital) on a tax basis were as follows:
EF JF IGF IVF Current distributable ordinary income $ 6,183,478 $ -- $ -- $ 1,345,499 Plus/Less: cumulative timing differences (2,177) (392) (102) (491) Undistributed ordinary income or overdistribution of ordinary income $ 6,181,301 $ (392) $ (102) $ 1,345,008 Current distributable long-term capital gain or tax basis capital loss carryover 801,419 (680,787) (1,141,875) (26,846,138) Plus/Less: cumulative timing differences -- -- -- -- Undistributed long-term gains/ accumulated capital loss 801,419 (680,787) (1,141,875) (26,846,138) Unrealized appreciation (depreciation) $ 8,157,780 $ 485,907 $ 555,403 $ 7,296,454
75
IOF EMF AEF IEF Current distributable ordinary income $ 4,241,193 $ 472,842 $ 264,634 $ 4,877,016 Plus/Less: cumulative timing differences (2,901) (531) (162) (11,107) Undistributed ordinary income or overdistribution of ordinary income $ 4,238,292 $ 472,311 $ 264,472 $ 4,865,909 Current distributable long-term capital gain or tax basis capital loss carryover (130,455,794) (103,979,260) (431,056) (18,210,627) Plus/Less: cumulative timing differences -- -- -- -- Undistributed long-term gains/ accumulated capital loss (130,455,794) (103,979,260) (431,056) (18,210,627) Unrealized appreciation (depreciation) $ 31,773,210 $ 16,328,235 $ 4,248,160 $ 200,606,967
For EF the differences between book and tax basis unrealized appreciation (depreciation) are primarily attributable to wash sales. For JF, AEF and IEF, the differences between book and tax basis unrealized appreciation (depreciation) are primarily attributable to wash sales, and the mark to market of investments in PFICs. For EMF, the difference between book and tax basis unrealized appreciation (depreciation) is primarily attributable to wash sales and allocation of tax basis on "master/feeder" takedown. For IVF, IGF and IOF the difference between book and tax basis unrealized appreciation (depreciation) is primarily attributable to wash sales, the mark to market of investments in PFICs and the mark to market of forward foreign currency exchange contracts. For all Funds, the cumulative timing difference account primarily consists of Trustees' deferred compensation. At October 31, 2004, the following Funds have capital loss carryovers which will be available to offset capital gains. To the extent that any net capital loss carryovers are used to offset future capital gains, it is probable that the gains so offset will not be distributed to shareholders. 76
EXPIRATION AMOUNT DATE JF $ (493,865) October 31, 2009 (186,922) October 31, 2010 - --------------------------------------------------------------------------------------------- $ (680,787) - --------------------------------------------------------------------------------------------- IGF $ (136,765) October 31, 2009 (748,119) October 31, 2010 (256,991) October 31, 2011 - --------------------------------------------------------------------------------------------- $ (1,141,875) - --------------------------------------------------------------------------------------------- IVF $ (26,846,138) October 31, 2009 - --------------------------------------------------------------------------------------------- IOF $ (65,124,821) October 31, 2009 (49,498,306) October 31, 2010 (15,832,667) October 31, 2011 - --------------------------------------------------------------------------------------------- $ (130,455,794) - --------------------------------------------------------------------------------------------- EMF $ (54,872,878) October 31, 2006 (28,177,633) October 31, 2007 (2,888,019) October 31, 2008 (12,743,985) October 31, 2009 (5,296,745) October 31, 2010 - --------------------------------------------------------------------------------------------- $ (103,979,260)* - --------------------------------------------------------------------------------------------- AEF $ (431,056) October 31, 2011 - --------------------------------------------------------------------------------------------- IEF $ (8,298,589) October 31, 2010 (9,912,038) October 31, 2011 - --------------------------------------------------------------------------------------------- $ (18,210,627) - ---------------------------------------------------------------------------------------------
* The above capital loss carryover includes 5,311,348 of losses acquired from J.P. Morgan Emerging Markets Equity Fund. Utilization of these losses will be subject to an annual limitation as prescribed by the Internal Revenue Code. During the year ended October 31, 2004, EF, JF, IGF, IVF, IOP, EMF, AEF and IEF utilized capital loss carryforwards of $3,318,584, $113,730, $97,456, $9,260,280, $20,860,298, $23,835,990, $2,229,854 and $9,269,674 respectively. 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 77 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 has been extended to April 14, 2005. The Funds had no borrowings outstanding at October 31, 2004, nor at anytime during the year 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 October 31, 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 October 31, 2004, EF, IGF, IVF, IOF, and IEF invested approximately 21.6%, 26.4%, 27.7%, 25.6% and 24.4%, respectively, of its respective portfolio in issuers in the United Kingdom. AEF invested 24.2% of its respective portfolio in issuers in South Korea. AEF invested 31.6% of its respective portfolio in issuers in Hong Kong. IGF and IVF invested, respectively, 21.3% and 22.5% of its respective portfolio in issuers in Japan. As of October 31, 2004, IVF invested approximately 23.1% 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 October 31, 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 completed the merger of their holding companies on July 1, 2004. Effective July 20, 2004, the name of the holding company changed to JPMorgan Chase & Co. Effective November 15, 2004, the bank name is JPMorgan Chase Bank, National Association. 11. SUBSEQUENT EVENT On November 11, 2004, The Board of Directors approved the following: 1. For Class A Shares, the maximum front-end sales charge was reduced from 5.75% to 5.25% for shares purchased on or after November 15, 2004 for the Funds. 2. For shares of the Funds purchased on or after February 19, 2005, shareholders will pay a 2% redemption fee if they exchange or redeem shares of these Funds within 60 days of the date of purchase. As described in the Funds' prospectus, this fee may be in addition to any applicable contingent deferred sales charge. The redemption fees will be paid to the respective Funds to offset the impact of fluctuations in asset levels and cash flow caused by short-term shareholder trading in these funds. 78 12. CAPITAL SHARE TRANSACTIONS Capital share transactions were as follows for the periods presented:
INTREPID EUROPEAN FUND ----------------------------------- YEAR ENDED YEAR ENDED OCTOBER 31, 2004 OCTOBER 31, 2003 CLASS A AMOUNT Shares sold $ 13,944,805 $ 40,276,497 Shares issued in reinvestment of distributions -- 83,574 Shares redeemed (14,705,293) (43,434,120) - -------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (760,488) $ (3,074,049) - -------------------------------------------------------------------------------------------------------------------- SHARES Shares sold 745,738 2,790,586 Shares issued in reinvestment of distributions -- 6,424 Shares redeemed (788,462) (3,005,402) - -------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding (42,724) (208,392) - -------------------------------------------------------------------------------------------------------------------- CLASS B AMOUNT Shares sold $ 992,374 $ 1,762,130 Shares issued in reinvestment of distributions -- 48,442 Shares redeemed (2,226,336) (2,733,317) - -------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (1,233,962) $ (922,745) - -------------------------------------------------------------------------------------------------------------------- SHARES Shares sold 55,189 130,394 Shares issued in reinvestment of distributions -- 3,900 Shares redeemed (123,945) (207,188) - -------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding (68,756) (72,894) - --------------------------------------------------------------------------------------------------------------------
79
INTREPID EUROPEAN FUND ----------------------------------- YEAR ENDED YEAR ENDED OCTOBER 31, 2004 OCTOBER 31, 2003 CLASS C AMOUNT Shares sold $ 775,340 $ 1,061,527 Shares issued in reinvestment of distributions -- 6,481 Shares redeemed (987,325) (1,309,683) - -------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (211,985) $ (241,675) - -------------------------------------------------------------------------------------------------------------------- SHARES Shares sold 42,965 82,948 Shares issued in reinvestment of distributions -- 522 Shares redeemed (54,986) (101,132) - -------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding (12,021) (17,662) - -------------------------------------------------------------------------------------------------------------------- INSTITUTIONAL AMOUNT Shares sold $ 29,311,032 $ 11,942,862 Shares issued in reinvestment of distributions 10,635 9,584 Shares redeemed (6,963,210) (8,659,348) - -------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ 22,358,457 $ 3,293,098 - -------------------------------------------------------------------------------------------------------------------- SHARES Shares sold 1,494,897 808,481 Shares issued in reinvestment of distributions 580 731 Shares redeemed (355,746) (581,439) - -------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding 1,139,731 227,773 - -------------------------------------------------------------------------------------------------------------------- SELECT AMOUNT Shares sold $ 9,304,288 $ 37,953,176 Shares issued in reinvestment of distributions 1,933 53,460 Shares redeemed (1,911,184) (37,843,951) - -------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ 7,395,037 $ 162,685 - -------------------------------------------------------------------------------------------------------------------- SHARES Shares sold 487,442 2,716,370 Shares issued in reinvestment of distributions 106 4,100 Shares redeemed (100,600) (2,698,946) - -------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding 386,948 21,524 - --------------------------------------------------------------------------------------------------------------------
80
JAPAN FUND INTERNATIONAL GROWTH FUND ------------------------------------ ----------------------------------- YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED OCTOBER 31, 2004 OCTOBER 31, 2003 OCTOBER 31, 2004 OCTOBER 31, 2003 CLASS A AMOUNT Shares sold $ 48,292,799 $ 9,324,505 $ -- $ -- Shares issued in reinvestment of distributions 8,800 Shares redeemed (4,980,879) (7,237,188) (3,408) -- - -------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ 43,311,920 $ 2,087,317 $ 5,392 $ -- - -------------------------------------------------------------------------------------------------------------------- SHARES Shares sold 6,929,780 1,871,032 -- -- Shares issued in reinvestment of distributions 1,077 Shares redeemed (748,355) (1,503,284) (389) -- - -------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding 6,181,425 367,748 688 -- - -------------------------------------------------------------------------------------------------------------------- CLASS B AMOUNT Shares sold $ 1,234,094 $ 2,655,629 $ -- $ 500 Shares redeemed (763,460) (2,370,145) (500) -- - -------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ 470,634 $ 285,484 $ (500) $ 500 - -------------------------------------------------------------------------------------------------------------------- SHARES Shares sold 194,946 486,384 -- 65 Shares redeemed (124,062) (438,419) (65) -- - -------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding 70,884 47,965 (65) 65 - --------------------------------------------------------------------------------------------------------------------
81
INTERNATIONAL VALUE FUND INTERNATIONAL OPPORTUNITIES FUND ------------------------------------ ----------------------------------- YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED OCTOBER 31, 2004 OCTOBER 31, 2003 OCTOBER 31, 2004 OCTOBER 31, 2003 CLASS A AMOUNT Shares sold $ 148,674 $ 543,162 $ 2,826,588 $ 36,091,421 Shares issued in reinvestment of distributions 16 2,552 152,426 99,065 Shares redeemed (41,301) (675,120) (2,600,413) (39,802,772) - -------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ 107,389 $ (129,406) $ 378,601 $ (3,612,286) - -------------------------------------------------------------------------------------------------------------------- SHARES Shares sold 15,006 77,455 276,887 4,597,546 Shares issued in reinvestment of distributions 2 376 16,355 13,244 Shares redeemed (4,195) (94,026) (264,518) (5,051,145) - -------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding 10,813 (16,195) 28,724 (440,355) - -------------------------------------------------------------------------------------------------------------------- CLASS B AMOUNT Shares sold $ 180,095 $ 50,588 $ 59,774 $ 171,083 Shares issued in reinvestment of distributions 978 5,748 19,838 10,904 Shares redeemed (56,361) (17,614) (436,878) (376,308) - -------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ 124,712 $ 38,722 $ (357,266) $ (194,321) - -------------------------------------------------------------------------------------------------------------------- SHARES Shares sold 18,490 6,411 6,331 21,996 Shares issued in reinvestment of distributions 111 850 2,140 1,463 Shares redeemed (5,679) (2,473) (44,775) (51,002) - -------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding 12,922 4,788 (36,304) (27,543) - --------------------------------------------------------------------------------------------------------------------
82
INTERNATIONAL INTERNATIONAL VALUE FUND (CONTINUED) OPPORTUNITIES FUND (CONTINUED) ------------------------------------ ----------------------------------- YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED OCTOBER 31, 2004 OCTOBER 31, 2003 OCTOBER 31, 2004 OCTOBER 31, 2003 INSTITUTIONAL AMOUNT Shares sold $ 3,683,334 $ 45,587,834 $ 29,968,401 $ 94,487,627 Shares issued in reinvestment of distributions 231,541 662,311 1,220,797 1,065,103 Shares redeemed (7,432,888) (53,678,945) (41,036,534) (199,547,604) - -------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (3,518,013) $ (7,428,800) $ (9,847,336) $ (103,994,874) - -------------------------------------------------------------------------------------------------------------------- SHARES Shares sold 374,187 6,408,246 3,056,518 12,124,742 Shares issued in reinvestment of distributions 25,899 97,113 129,596 141,073 Shares redeemed (753,137) (7,521,869) (4,149,669) (25,518,152) - -------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding (353,051) (1,016,510) (963,555) (13,252,337) - -------------------------------------------------------------------------------------------------------------------- SELECT AMOUNT Shares sold $ 2,985,322 $ 68,279,734 $ 19,947,772 $ 73,847,430 Shares issued in reinvestment of distributions 83,263 527,931 485,779 248,520 Shares redeemed (5,152,958) (72,491,666) (18,083,136) (82,557,324) - -------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (2,084,373) $ (3,684,001) $ 2,350,415 $ (8,461,374) - -------------------------------------------------------------------------------------------------------------------- SHARES Shares sold 306,110 9,510,101 2,011,277 9,619,318 Shares issued in reinvestment of distributions 9,324 77,523 51,734 33,004 Shares redeemed (542,579) (10,070,895) (1,812,765) (10,731,214) - -------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding (227,145) (483,271) 250,246 (1,078,892) - --------------------------------------------------------------------------------------------------------------------
83
EMERGING MARKETS EQUITY FUND ASIA EQUITY FUND^ ------------------------------------ ----------------------------------- YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED OCTOBER 31, 2004 OCTOBER 31, 2003 OCTOBER 31, 2004 OCTOBER 31, 2003 CLASS A AMOUNT Shares sold $ 1,908,595 $ 222,427 $ 626,336 $ 537,655 Shares issued in reinvestment of distributions 2,606 886 2,033 -- Shares redeemed (716,146) (172,217) (419,249) (2,492,363) - -------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ 1,195,055 $ 51,096 $ 209,120 $ (1,954,708) - -------------------------------------------------------------------------------------------------------------------- SHARES Shares sold 216,489 36,685 34,169 32,651 Shares issued in reinvestment of distributions 342 161 115 -- Shares redeemed (88,829) (29,071) (20,995) (184,626) - -------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding 128,002 7,775 13,289 (151,975) - -------------------------------------------------------------------------------------------------------------------- CLASS B AMOUNT Shares sold $ 324,852 $ 306,190 $ -- $ 1,689 Shares issued in reinvestment of distributions 688 227 -- -- Shares redeemed (155,498) (276,477) -- (439,700) - -------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ 170,042 $ 29,940 $ -- $ (438,011) - -------------------------------------------------------------------------------------------------------------------- SHARES Shares sold 38,046 53,373 -- 134 Shares issued in reinvestment of distributions 91 42 -- -- Shares redeemed (18,956) (48,520) -- (33,467) - -------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding 19,181 4,895 -- (33,333) - --------------------------------------------------------------------------------------------------------------------
^ Class B ceased operations as of September 12, 2003. 84
EMERGING MARKETS EQUITY FUND (CONTINUED) ASIA EQUITY FUND^ (CONTINUED) ------------------------------------ ----------------------------------- YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED OCTOBER 31, 2004 OCTOBER 31, 2003 OCTOBER 31, 2004 OCTOBER 31, 2003 INSTITUTIONAL AMOUNT Shares sold $ 3,691,235 $ 41,492,898 $ 11,587,496 $ 7,757,913 Shares issued in reinvestment of distributions 533,769 269,543 53,366 -- Shares redeemed (25,584,325) (49,074,995) (8,564,609) (2,900,715) - -------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (21,359,321) $ (7,312,554) $ 3,076,253 $ 4,857,198 - -------------------------------------------------------------------------------------------------------------------- SHARES Shares sold 438,863 6,770,225 617,528 524,630 Shares issued in reinvestment of distributions 69,231 48,742 3,005 -- Shares redeemed (3,092,316) (8,140,162) (480,383) (217,520) - -------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding (2,584,222) (1,321,195) 140,150 307,110 - -------------------------------------------------------------------------------------------------------------------- SELECT AMOUNT Shares sold $ 16,304,846 $ 25,679,042 $ 7,195,089 $ 12,196,112 Shares issued in reinvestment of distributions 242,745 109,846 98,193 -- Shares redeemed (12,152,780) (28,827,604) (14,003,567) (6,905,670) - -------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ 4,394,811 $ (3,038,716) $ (6,710,285) $ 5,290,442 - -------------------------------------------------------------------------------------------------------------------- SHARES Shares sold 1,852,104 4,451,740 387,403 845,208 Shares issued in reinvestment of distributions 31,690 19,972 5,535 -- Shares redeemed (1,468,622) (5,039,893) (780,399) (496,583) - -------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding 415,172 (568,181) (387,461) 348,625 - --------------------------------------------------------------------------------------------------------------------
85
INTERNATIONAL EQUITY FUND --------------------------------------- YEAR ENDED YEAR ENDED OCTOBER 31, 2004 OCTOBER 31, 2003** CLASS A AMOUNT Shares sold $ 65,053,996 $ 20,900,763 Shares issued in reinvestment of distributions 70,827 25,323 Shares redeemed (14,719,942) (13,862,836) - ------------------------------------------------------------------------------------------------------------------------ Net increase (decrease) in Fund shares outstanding $ 50,404,881 $ 7,063,250 - ------------------------------------------------------------------------------------------------------------------------ SHARES Shares sold 2,550,952 1,016,554 Shares issued in reinvestment of distributions 2,711 1,181 Shares redeemed (572,062) (655,562) - ------------------------------------------------------------------------------------------------------------------------ Net increase (decrease) in Fund shares outstanding 1,981,601 362,173 - ------------------------------------------------------------------------------------------------------------------------ CLASS B AMOUNT Shares sold $ 695,087 $ 138,537 Shares issued in reinvestment of distributions 1,361 531 Shares redeemed (163,500) (7,776) - ------------------------------------------------------------------------------------------------------------------------ Net increase (decrease) in Fund shares outstanding $ 532,948 $ 131,292 - ------------------------------------------------------------------------------------------------------------------------ SHARES Shares sold 26,955 6,922 Shares issued in reinvestment of distributions 53 26 Shares redeemed (6,228) (363) - ------------------------------------------------------------------------------------------------------------------------ Net increase (decrease) in Fund shares outstanding 20,780 6,585 - ------------------------------------------------------------------------------------------------------------------------
86
INTERNATIONAL EQUITY FUND (CONTINUED) --------------------------------------- YEAR ENDED YEAR ENDED OCTOBER 31, 2004 OCTOBER 31, 2003** CLASS C AMOUNT Shares sold $ 7,453,646 $ 2,164,951 Shares issued in reinvestment of distributions 7,631 2,490 Shares redeemed (1,433,460) (564,751) - ------------------------------------------------------------------------------------------------------------------------ Net increase (decrease) in Fund shares outstanding $ 6,027,817 $ 1,602,690 - ------------------------------------------------------------------------------------------------------------------------ SHARES Shares sold 293,354 100,275 Shares issued in reinvestment of distributions 294 117 Shares redeemed (56,464) (27,490) - ------------------------------------------------------------------------------------------------------------------------ Net increase (decrease) in Fund shares outstanding 237,184 72,902 - ------------------------------------------------------------------------------------------------------------------------ SELECT AMOUNT Shares sold $ 616,760,641 $ 559,611,045 Shares issued in reinvestment of distributions 4,060,159 2,705,120 Shares redeemed (332,382,003) (103,450,685) - ------------------------------------------------------------------------------------------------------------------------ Net increase (decrease) in Fund shares outstanding $ 288,438,797 $ 458,865,480 - ------------------------------------------------------------------------------------------------------------------------ SHARES Shares sold 23,753,436 27,236,203 Shares issued in reinvestment of distributions 154,788 131,977 Shares redeemed (13,176,013) (5,015,596) - ------------------------------------------------------------------------------------------------------------------------ Net increase (decrease) in Fund shares outstanding 10,732,211 22,352,584 - ------------------------------------------------------------------------------------------------------------------------
** For Class C Shares, from commencement of offering on January 31, 2003. 87 JPMORGAN FUNDS FINANCIAL HIGHLIGHTS 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) Year Ended 10/31/04 $ 16.94 0.19^ 2.68 2.87 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 JAPAN FUND(j) Year Ended 10/31/04 $ 6.68 (0.04)^ 0.38 0.34 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) INTERNATIONAL GROWTH FUND(g) Year Ended 10/31/04 $ 7.80 (0.01) 0.86 0.85 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) Year Ended 10/31/04 $ 8.53 0.27^ 1.79 2.06 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 TOTAL INVESTMENT FROM CAPITAL DIVIDENDS INCOME GAINS DISTRIBUTIONS INTREPID EUROPEAN FUND(e) Year Ended 10/31/04 -- -- -- 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 JAPAN FUND(j) Year Ended 10/31/04 -- -- -- Year Ended 10/31/03 -- -- -- Year Ended 10/31/02 -- -- -- Year Ended 10/31/01 -- -- -- Year Ended 10/31/00 -- -- -- INTERNATIONAL GROWTH FUND(g) Year Ended 10/31/04 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) Year Ended 10/31/04 --(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 -- -- --
(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. (j) Formerly Chase Vista Japan Fund. (g) Formerly Chase Vista International Growth Fund. * Commencement of operations. (v) Formerly JPMorgan International Equity Fund. ** Commencement of offering of class of shares. ^ Calculated based upon average shares outstanding. SEE NOTES TO FINANCIAL STATEMENTS. 88 ANNUAL REPORT OCTOBER 31 2004
PER SHARE OPERATING PERFORMANCE: -------------------------------- NET ASSET VALUE, END TOTAL OF PERIOD RETURN (1)(a) INTREPID EUROPEAN FUND(e) Year Ended 10/31/04 $ 19.81 16.94% 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% JAPAN FUND(j) Year Ended 10/31/04 $ 7.02 5.09% 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%) INTERNATIONAL GROWTH FUND(g) Year Ended 10/31/04 $ 8.63 10.93% 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) Year Ended 10/31/04 $ 10.59 24.18% 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) Year Ended 10/31/04 $ 35,781 1.75% 1.01% 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%) JAPAN FUND(j) Year Ended 10/31/04 $ 47,106 1.75% (0.60%) 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%) INTERNATIONAL GROWTH FUND(g) Year Ended 10/31/04 $ 3,519 2.00% (0.08%) 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) Year Ended 10/31/04 $ 189 1.45% 2.76% 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) Year Ended 10/31/04 2.13% 0.63% 440% 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% JAPAN FUND(j) Year Ended 10/31/04 2.84%+ (1.69%)+ 221% 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% INTERNATIONAL GROWTH FUND(g) Year Ended 10/31/04 7.25% (5.33%) 47% 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) Year Ended 10/31/04 6.96%+ (2.75%)+ 108%~ 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%~
(b) Amount rounds to less than $.01. (1) Total return figures do not include the effect of any front-end or deferred sales load. (a) Not annualized for periods less than one year. # Short periods have been annualized. + Due to the size of net assets and fixed expenses, ratios may appear disproportionate. ~ 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. SEE NOTES TO FINANCIAL STATEMENTS. 89
PER SHARE OPERATING PERFORMANCE: ---------------------------------- NET ASSET VALUE, BEGINNING OF PERIOD INTERNATIONAL OPPORTUNITIES FUND(o) Year Ended 10/31/04 $ 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) Year Ended 10/31/04 $ 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) Year Ended 10/31/04 $ 17.74 Year Ended 10/31/03 $ 13.69 11/1/01* Through 10/31/02 $ 15.00 INTERNATIONAL EQUITY FUND(i) Year Ended 10/31/04 $ 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) Year Ended 10/31/04 0.08^ 1.16 1.24 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) Year Ended 10/31/04 0.05^ 2.06 2.11 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) Year Ended 10/31/04 0.06^ 0.63 0.69 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) Year Ended 10/31/04 0.27^ 3.86 4.13 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 INVESTMENT FROM CAPITAL TOTAL INCOME GAINS DISTRIBUTIONS INTERNATIONAL OPPORTUNITIES FUND(o) Year Ended 10/31/04 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) Year Ended 10/31/04 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) Year Ended 10/31/04 0.11 -- 0.11 Year Ended 10/31/03 -- -- -- 11/1/01* Through 10/31/02 -- -- -- INTERNATIONAL EQUITY FUND(i) Year Ended 10/31/04 0.21 -- 0.21 Year Ended 10/31/03 0.19 -- 0.19 2/28/02* Through 10/31/02 0.06 -- 0.06
(o) Formerly J.P.Morgan Institutional International Opportunities Fund. ** Commencement of offering of class of shares. (m) Formerly J.P. Morgan Institutional Emerging Markets Equity Fund. (p) Formerly JPMorgan Fleming Pacific Region Fund. * Commencement of operations. (i) Formerly Chase Vista Select International Equity Fund. SEE NOTES TO FINANCIAL STATEMENTS. 90 ANNUAL REPORT OCTOBER 31 2004
PER SHARE OPERATING PERFORMANCE: -------------------------------- NET ASSET VALUE, END TOTAL OF PERIOD RETURN (1)(a) INTERNATIONAL OPPORTUNITIES FUND(o) Year Ended 10/31/04 $ 10.17 13.81% 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) Year Ended 10/31/04 $ 9.50 28.44% 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) Year Ended 10/31/04 $ 18.32 3.91% Year Ended 10/31/03 $ 17.74 29.58% 11/1/01* Through 10/31/02 $ 13.69 (8.73%) INTERNATIONAL EQUITY FUND(i) Year Ended 10/31/04 $ 27.09 17.86% 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) Year Ended 10/31/04 $ 12,195 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) Year Ended 10/31/04 $ 1,372 Year Ended 10/31/03 $ 124 Year Ended 10/31/02 $ 46 9/28/01** Through 10/31/01 $ 11 ASIA EQUITY FUND(p) Year Ended 10/31/04 $ 513 Year Ended 10/31/03 $ 261 11/1/01* Through 10/31/02 $ 2,282 INTERNATIONAL EQUITY FUND(i) Year Ended 10/31/04 $ 63,622 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) Year Ended 10/31/04 1.90% 0.85% 2.12% 0.63% 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) Year Ended 10/31/04 2.00% 0.51% 5.68%+ (3.17%)+ 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) Year Ended 10/31/04 1.75% 0.34% 5.07%+ (2.98%)+ 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) Year Ended 10/31/04 1.50% 1.03% 1.93% 0.60% 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) Year Ended 10/31/04 98% 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) Year Ended 10/31/04 118%~ Year Ended 10/31/03 85%~ Year Ended 10/31/02 69%~ 9/28/01** Through 10/31/01 76%~ ASIA EQUITY FUND(p) Year Ended 10/31/04 175%~ Year Ended 10/31/03 172%~ 11/1/01* Through 10/31/02 106%~ INTERNATIONAL EQUITY FUND(i) Year Ended 10/31/04 24%~ Year Ended 10/31/03 16%~ 2/28/02* Through 10/31/02 20%~
^ Calculated based upon average shares outstanding. (b) Amount rounds to less than $.01. (1) Total return figures do not include the effect of any front-end or deferred sales load. (a) Not annualized for periods less than one year. # Short periods have been annualized. + Due to the size of net assets and fixed expenses, ratios may appear disproportionate. ~ 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. 91 CLASS B SHARES
PER SHARE OPERATING PERFORMANCE: ---------------------------------- NET ASSET VALUE, BEGINNING OF PERIOD INTREPID EUROPEAN FUND(e) Year Ended 10/31/04 $ 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 JAPAN FUND(j) Year Ended 10/31/04 $ 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 INTERNATIONAL GROWTH FUND(g) Year Ended 10/31/04 $ 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) Year Ended 10/31/04 $ 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) Year Ended 10/31/04 0.08^ 2.55 2.63 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 JAPAN FUND(j) Year Ended 10/31/04 (0.10)^ 0.38 0.28 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) INTERNATIONAL GROWTH FUND(g) Year Ended 10/31/04 (0.04) 0.84 0.80 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) Year Ended 10/31/04 0.21^ 1.77 1.98 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) Year Ended 10/31/04 -- -- -- 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 JAPAN FUND(j) Year Ended 10/31/04 -- -- -- Year Ended 10/31/03 -- -- -- Year Ended 10/31/02 -- -- -- Year Ended 10/31/01 -- -- -- Year Ended 10/31/00 -- -- -- INTERNATIONAL GROWTH FUND(g) Year Ended 10/31/04 -- -- -- Year Ended 10/31/03 -- -- -- Year Ended 10/31/02 -- -- -- 12/29/00* Through 10/31/01 -- -- -- INTERNATIONAL VALUE FUND(v) Year Ended 10/31/04 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 -- -- --
(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. (j) Formerly Chase Vista Japan Fund. (g) Formerly Chase Vista International Growth Fund. * Commencement of operations. (v) Formerly JPMorgan International Equity Fund. ** Commencement of offering of class of shares. ^ Calculated based upon average shares outstanding. SEE NOTES TO FINANCIAL STATEMENTS. 92 ANNUAL REPORT OCTOBER 31 2004
PER SHARE OPERATING PERFORMANCE: -------------------------------- NET ASSET VALUE, END TOTAL OF PERIOD RETURN (1)(a) INTREPID EUROPEAN FUND(e) Year Ended 10/31/04 $ 18.71 16.36% 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% JAPAN FUND(j) Year Ended 10/31/04 $ 6.64 4.40% 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%) INTERNATIONAL GROWTH FUND(g) Year Ended 10/31/04 $ 8.50 10.39% 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) Year Ended 10/31/04 $ 10.41 23.51% 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) Year Ended 10/31/04 $ 12,187 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 JAPAN FUND(j) Year Ended 10/31/04 $ 959 Year Ended 10/31/03 $ 469 Year Ended 10/31/02 $ 109 Year Ended 10/31/01 $ 135 Year Ended 10/31/00 $ 322 INTERNATIONAL GROWTH FUND(g) Year Ended 10/31/04 $ 870 Year Ended 10/31/03 $ 788 Year Ended 10/31/02 $ 634 12/29/00* Through 10/31/01 $ 719 INTERNATIONAL VALUE FUND(v) Year Ended 10/31/04 $ 441 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) Year Ended 10/31/04 2.27% 0.47% 2.64% 0.10% 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%) JAPAN FUND(j) Year Ended 10/31/04 2.50% (1.46%) 4.44%+ (3.40%)+ 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%)+ INTERNATIONAL GROWTH FUND(g) Year Ended 10/31/04 2.50% (0.58%) 7.74% (5.83%) 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) Year Ended 10/31/04 1.95% 2.21% 7.77%+ (3.61%)+ 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) Year Ended 10/31/04 440% 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% JAPAN FUND(j) Year Ended 10/31/04 221% Year Ended 10/31/03 797% Year Ended 10/31/02 409% Year Ended 10/31/01 196% Year Ended 10/31/00 123% INTERNATIONAL GROWTH FUND(g) Year Ended 10/31/04 47% Year Ended 10/31/03 38% Year Ended 10/31/02 73% 12/29/00* Through 10/31/01 35% INTERNATIONAL VALUE FUND(v) Year Ended 10/31/04 108%~ Year Ended 10/31/03 132%~ Year Ended 10/31/02 138%~ 9/28/01** Through 10/31/01 85%~
(1) Total return figures do not include the effect of any front-end or deferred sales load. (a) Not annualized for periods less than one year. # Short periods have been annualized. + Due to the size of net assets and fixed expenses, ratios may appear disproportionate. ~ 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. SEE NOTES TO FINANCIAL STATEMENTS. 93
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) Year Ended 10/31/04 $ 9.03 0.02^ 1.16 1.18 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) Year Ended 10/31/04 $ 7.45 0.03^ 2.02 2.05 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) Year Ended 10/31/04 $ 23.10 0.13^ 3.85 3.98 0.11 -- 0.11 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
(o) Formerly J.P.Morgan Institutional International Opportunities Fund. ** Commencement of offering of class of shares. (m) Formerly J.P. Morgan Institutional Emerging Markets Equity Fund. (i) Formerly Chase Vista Select International Equity Fund. ^ Calculated based upon 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. 94 ANNUAL REPORT OCTOBER 31 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)(a) (000 OMITTED) EXPENSES (LOSS) INTERNATIONAL OPPORTUNITIES FUND(o) Year Ended 10/31/04 $ 10.07 13.23% $ 1,199 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) Year Ended 10/31/04 $ 9.44 27.68% $ 302 2.50% 0.31% 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) Year Ended 10/31/04 $ 26.97 17.27% $ 768 2.00% 0.49% 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) Year Ended 10/31/04 2.63% 0.01% 98% 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) Year Ended 10/31/04 6.52%+ (3.71%)+ 118%~ 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) Year Ended 10/31/04 2.44%+ 0.05%+ 24% Year Ended 10/31/03 6.19%+ (3.45%)+ 16% 2/28/02** Through 10/31/02 74.45%+ (72.18%)+ 20%
(a) Not annualized for periods less than one year. # Short periods have been annualized. + Due to the size of net assets and fixed expenses, ratios may appear disproportionate. ~ Prior to September 10, 2001, 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. 95 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) Year Ended 10/31/04 $ 16.06 0.08^ 2.55 2.63 -- -- -- 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 INTERNATIONAL EQUITY FUND(i) Year Ended 10/31/04 $ 23.05 0.11^ 3.86 3.97 0.11 -- 0.11 1/31/03** Through 10/31/03 $ 18.43 0.08^ 4.65 4.73 0.11 -- 0.11
(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. ** Commencement of offering of class of shares. ^ Calculated based upon average shares outstanding. SEE NOTES TO FINANCIAL STATEMENTS. 96 ANNUAL REPORT OCTOBER 31 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)(a) (000 OMITTED) EXPENSES (LOSS) INTREPID EUROPEAN FUND(e) Year Ended 10/31/04 $ 18.69 16.38% $ 3,165 2.27% 0.46% 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%) INTERNATIONAL EQUITY FUND(i) Year Ended 10/31/04 $ 26.91 17.26% $ 8,346 2.00% 0.40% 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) Year Ended 10/31/04 2.63% 0.10% 440% 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% INTERNATIONAL EQUITY FUND(i) Year Ended 10/31/04 2.44%+ (0.04%)+ 24% 1/31/03** Through 10/31/03 2.85%+ (0.37%)+ 16%
(1) Total return figures do not include the effect of any front-end or deferred sales load. (a) Not annualized for periods less than one year. # Short periods have been annualized. + Due to the size of net assets and fixed expenses, ratios may appear disproportionate. SEE NOTES TO FINANCIAL STATEMENTS. 97 INSTITUTIONAL SHARES
PER SHARE OPERATING PERFORMANCE: ---------------------------------- NET ASSET VALUE, BEGINNING OF PERIOD INTREPID EUROPEAN FUND(e) Year Ended 10/31/04 $ 17.17 Year Ended 10/31/03 $ 13.33 Year Ended 10/31/02 $ 12.99 9/10/01** Through 10/31/01 $ 13.14 INTERNATIONAL VALUE FUND(v) Year Ended 10/31/04 $ 8.61 Year Ended 10/31/03 $ 7.02 Year Ended 10/31/02 $ 8.28 Year Ended 10/31/01 $ 12.28 Year Ended 10/31/00 $ 13.56 INTERNATIONAL OPPORTUNITIES FUND(o) Year Ended 10/31/04 $ 9.26 Year Ended 10/31/03 $ 7.55 Year Ended 10/31/02 $ 8.64 12/1/00 Through 10/31/01*** $ 11.39 Year Ended 11/30/00 $ 12.92 Year Ended 11/30/99 $ 10.11 Year Ended 11/30/98 $ 9.94 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) Year Ended 10/31/04 0.40^ 2.65 3.05 Year Ended 10/31/03 0.12^ 3.82 3.94 Year Ended 10/31/02 0.24^ 0.10 0.34 9/10/01** Through 10/31/01 (0.05)^ (0.10) (0.15) INTERNATIONAL VALUE FUND(v) Year Ended 10/31/04 0.29^ 1.83 2.12 Year Ended 10/31/03 0.02^ 1.82 1.84 Year Ended 10/31/02 0.06^ (1.19) (1.13) Year Ended 10/31/01 0.07^ (3.02) (2.95) Year Ended 10/31/00 0.05 (0.66) (0.61) INTERNATIONAL OPPORTUNITIES FUND(o) Year Ended 10/31/04 0.18^ 1.18 1.36 Year Ended 10/31/03 0.08^ 1.71 1.79 Year Ended 10/31/02 0.09 (1.08) (0.99) 12/1/00 Through 10/31/01*** 0.12^ (2.60) (2.48) Year Ended 11/30/00 0.08 (1.42) (1.34) Year Ended 11/30/99 0.25 2.88 3.13 Year Ended 11/30/98 0.22 0.05 0.27 PER SHARE OPERATING PERFORMANCE: ---------------------------------------- LESS DISTRIBUTIONS: ---------------------------------------- DIVIDENDS FROM NET DISTRIBUTIONS INVESTMENT FROM CAPITAL TOTAL INCOME GAINS DISTRIBUTIONS INTREPID EUROPEAN FUND(e) Year Ended 10/31/04 0.06 -- 0.06 Year Ended 10/31/03 0.10 -- 0.10 Year Ended 10/31/02 -- -- -- 9/10/01** Through 10/31/01 -- -- -- INTERNATIONAL VALUE FUND(v) Year Ended 10/31/04 0.09 -- 0.09 Year Ended 10/31/03 0.25 -- 0.25 Year Ended 10/31/02 0.13 -- 0.13 Year Ended 10/31/01 -- 1.05 1.05 Year Ended 10/31/00 0.16 0.51 0.67 INTERNATIONAL OPPORTUNITIES FUND(o) Year Ended 10/31/04 0.26 -- 0.26 Year Ended 10/31/03 0.08 -- 0.08 Year Ended 10/31/02 0.10 -- 0.10 12/1/00 Through 10/31/01*** 0.11 0.16 0.27 Year Ended 11/30/00 0.19 -- 0.19 Year Ended 11/30/99 0.32 -- 0.32 Year Ended 11/30/98 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. (v) Formerly JPMorgan International Equity Fund. (o) Formerly J.P.Morgan Institutional International Opportunities Fund. *** The Fund changed its fiscal year end from November 30 to October 31. ^ Calculated based upon average shares outstanding. SEE NOTES TO FINANCIAL STATEMENTS. 98
PER SHARE OPERATING PERFORMANCE: -------------------------------- NET ASSET VALUE, END TOTAL OF PERIOD RETURN (a) INTREPID EUROPEAN FUND(e) Year Ended 10/31/04 $ 20.16 17.83% Year Ended 10/31/03 $ 17.17 29.83% Year Ended 10/31/02 $ 13.33 2.62% 9/10/01** Through 10/31/01 $ 12.99 (1.14%) INTERNATIONAL VALUE FUND(v) Year Ended 10/31/04 $ 10.64 24.85% Year Ended 10/31/03 $ 8.61 27.23% Year Ended 10/31/02 $ 7.02 (13.89%) Year Ended 10/31/01 $ 8.28 (26.06%) Year Ended 10/31/00 $ 12.28 (5.16%) INTERNATIONAL OPPORTUNITIES FUND(o) Year Ended 10/31/04 $ 10.36 14.93% Year Ended 10/31/03 $ 9.26 24.02% Year Ended 10/31/02 $ 7.55 (11.67%) 12/1/00 Through 10/31/01*** $ 8.64 (22.24%) Year Ended 11/30/00 $ 11.39 (10.55%) Year Ended 11/30/99 $ 12.92 31.87% Year Ended 11/30/98 $ 10.11 2.69% RATIOS/SUPPLEMENTAL DATA: ------------------------- NET ASSETS, END OF PERIOD (000 OMITTED) INTREPID EUROPEAN FUND(e) Year Ended 10/31/04 $ 37,115 Year Ended 10/31/03 $ 12,038 Year Ended 10/31/02 $ 6,305 9/10/01** Through 10/31/01 $ 4,740 INTERNATIONAL VALUE FUND(v) Year Ended 10/31/04 $ 28,804 Year Ended 10/31/03 $ 26,356 Year Ended 10/31/02 $ 28,644 Year Ended 10/31/01 $ 142,590 Year Ended 10/31/00 $ 432,785 INTERNATIONAL OPPORTUNITIES FUND(o) Year Ended 10/31/04 $ 139,827 Year Ended 10/31/03 $ 133,907 Year Ended 10/31/02 $ 209,286 12/1/00 Through 10/31/01*** $ 231,048 Year Ended 11/30/00 $ 461,016 Year Ended 11/30/99 $ 370,268 Year Ended 11/30/98 $ 323,918 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) Year Ended 10/31/04 1.00% 2.10% 1.48% 1.62% Year Ended 10/31/03 1.00% 0.86% 2.01% (0.15%) Year Ended 10/31/02 1.00% 1.81% 2.25% 0.56% 9/10/01** Through 10/31/01 1.00% (2.60%) 3.34%+ (4.94%)+ INTERNATIONAL VALUE FUND(v) Year Ended 10/31/04 0.95% 2.98% 1.49% 2.44% Year Ended 10/31/03 0.95% 0.28% 1.55% (0.32%) Year Ended 10/31/02 0.95% 0.91% 1.16% 0.70% Year Ended 10/31/01 0.92% 0.70% 0.93% 0.69% Year Ended 10/31/00 0.95% 0.50% 0.95% 0.50% INTERNATIONAL OPPORTUNITIES FUND(o) Year Ended 10/31/04 0.92% 1.78% 1.09% 1.61% Year Ended 10/31/03 0.92% 1.10% 1.09% 0.93% Year Ended 10/31/02 0.92% 1.21% 0.98% 1.15% 12/1/00 Through 10/31/01*** 0.94% 1.25% 0.95% 1.24% Year Ended 11/30/00 0.91% 0.84% 0.91% 0.84% Year Ended 11/30/99 0.94% 0.76% 0.95% 0.75% Year Ended 11/30/98 0.99% 1.13% 1.02% 1.10% RATIOS/SUPPLEMENTAL DATA: ------------------------- PORTFOLIO TURNOVER RATE (a) INTREPID EUROPEAN FUND(e) Year Ended 10/31/04 440% Year Ended 10/31/03 717% Year Ended 10/31/02 1,021% 9/10/01** Through 10/31/01 564% INTERNATIONAL VALUE FUND(v) Year Ended 10/31/04 108%~ Year Ended 10/31/03 132%~ Year Ended 10/31/02 138%~ Year Ended 10/31/01 85%~ Year Ended 10/31/00 80%~ INTERNATIONAL OPPORTUNITIES FUND(o) Year Ended 10/31/04 98%~~ Year Ended 10/31/03 79%~~ Year Ended 10/31/02 121%~~ 12/1/00 Through 10/31/01*** 110%~~ Year Ended 11/30/00 86%~~ Year Ended 11/30/99 80%~~ Year Ended 11/30/98 143%~~
(a) Not annualized for periods less than one year. # Short periods have been annualized. + Due to the size of net assets and fixed expenses, ratios may appear disproportionate. ~ Prior to September 10, 2001, 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. 99
PER SHARE OPERATING PERFORMANCE: ---------------------------------- NET ASSET VALUE, BEGINNING OF PERIOD EMERGING MARKETS EQUITY FUND(m) Year Ended 10/31/04 $ 7.59 Year Ended 10/31/03 $ 5.25 Year Ended 10/31/02 $ 5.14 Year Ended 10/31/01 $ 6.68 Year Ended 10/31/00 $ 7.22 ASIA EQUITY FUND(p) Year Ended 10/31/04 $ 17.84 Year Ended 10/31/03 $ 13.71 6/28/02** Through 10/31/02 $ 15.86 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 EMERGING MARKETS EQUITY FUND(m) Year Ended 10/31/04 0.11^ 2.07 2.18 Year Ended 10/31/03 0.07^ 2.31 2.38 Year Ended 10/31/02 0.04^ 0.12 0.16 Year Ended 10/31/01 0.07^ (1.60) (1.53) Year Ended 10/31/00 0.02 (0.50) (0.48) ASIA EQUITY FUND(p) Year Ended 10/31/04 0.17^ 0.59 0.76 Year Ended 10/31/03 0.17^ 3.96 4.13 6/28/02** Through 10/31/02 -- (2.15) (2.15) PER SHARE OPERATING PERFORMANCE: ---------------------------------------- LESS DISTRIBUTIONS: ---------------------------------------- DIVIDENDS FROM NET DISTRIBUTIONS TOTAL INVESTMENT FROM CAPITAL DIVIDENDS AND INCOME GAINS DISTRIBUTIONS EMERGING MARKETS EQUITY FUND(m) Year Ended 10/31/04 0.11 -- 0.11 Year Ended 10/31/03 0.04 -- 0.04 Year Ended 10/31/02 0.05 -- 0.05 Year Ended 10/31/01 0.01 -- 0.01 Year Ended 10/31/00 0.06 -- 0.06 ASIA EQUITY FUND(p) Year Ended 10/31/04 0.20 -- 0.20 Year Ended 10/31/03 -- -- -- 6/28/02** Through 10/31/02 -- -- --
(m) Formerly J.P. Morgan Institutional Emerging Markets Equity Fund. (p) Formerly JPMorgan Fleming Pacific Region Fund. ** Commencement of offering of class of shares. ^ Calculated based upon average shares outstanding. SEE NOTES TO FINANCIAL STATEMENTS. 100
PER SHARE OPERATING PERFORMANCE: -------------------------------- NET ASSET VALUE, END TOTAL OF PERIOD RETURN (a) EMERGING MARKETS EQUITY FUND(m) Year Ended 10/31/04 $ 9.66 29.08% Year Ended 10/31/03 $ 7.59 45.49% Year Ended 10/31/02 $ 5.25 3.04% Year Ended 10/31/01 $ 5.14 (22.98%) Year Ended 10/31/00 $ 6.68 (6.88%) ASIA EQUITY FUND(p) Year Ended 10/31/04 $ 18.40 4.29% Year Ended 10/31/03 $ 17.84 30.12% 6/28/02** Through 10/31/02 $ 13.71 (13.56%) RATIOS/SUPPLEMENTAL DATA: ------------------------- NET ASSETS, END OF PERIOD (000 OMITTED) EMERGING MARKETS EQUITY FUND(m) Year Ended 10/31/04 $ 49,660 Year Ended 10/31/03 $ 58,658 Year Ended 10/31/02 $ 47,503 Year Ended 10/31/01 $ 67,335 Year Ended 10/31/00 $ 110,711 ASIA EQUITY FUND(p) Year Ended 10/31/04 $ 16,905 Year Ended 10/31/03 $ 13,887 6/28/02** Through 10/31/02 $ 6,463 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 EMERGING MARKETS EQUITY FUND(m) Year Ended 10/31/04 1.45% 1.28% 1.88% 0.85% Year Ended 10/31/03 1.45% 1.18% 1.95% 0.68% Year Ended 10/31/02 1.45% 0.83% 1.77% 0.51% Year Ended 10/31/01 1.45% 1.07% 1.64% 0.88% Year Ended 10/31/00 1.45% 0.46% 1.55% 0.36% ASIA EQUITY FUND(p) Year Ended 10/31/04 1.35% 0.93% 2.03% 0.25% Year Ended 10/31/03 1.35% 1.16% 2.65% (0.14%) 6/28/02** Through 10/31/02 1.35% 0.08% 2.53% (1.10%) RATIOS/SUPPLEMENTAL DATA: ------------------------- PORTFOLIO TURNOVER RATE (a) EMERGING MARKETS EQUITY FUND(m) Year Ended 10/31/04 118%~ Year Ended 10/31/03 85%~ Year Ended 10/31/02 69%~ Year Ended 10/31/01 76%~ Year Ended 10/31/00 65%~ ASIA EQUITY FUND(p) Year Ended 10/31/04 175% Year Ended 10/31/03 172% 6/28/02** Through 10/31/02 106%
(a) Not annualized for periods less than one year. # 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. 101 SELECT SHARES
PER SHARE OPERATING PERFORMANCE: ---------------------------------- NET ASSET VALUE, BEGINNING OF PERIOD INTREPID EUROPEAN FUND(e) Year Ended 10/31/04 $ 17.00 Year Ended 10/31/03 $ 13.26 Year Ended 10/31/02 $ 12.97 9/10/01** Through 10/31/01 $ 13.14 INTERNATIONAL VALUE FUND(v) Year Ended 10/31/04 $ 8.58 Year Ended 10/31/03 $ 7.01 Year Ended 10/31/02 $ 8.28 Year Ended 10/31/01@ $ 16.08 Year Ended 10/31/00 $ 18.70 INTERNATIONAL OPPORTUNITIES FUND(o) Year Ended 10/31/04 $ 9.22 Year Ended 10/31/03 $ 7.53 Year Ended 10/31/02 $ 8.64 12/1/00 Through 10/31/01***@ $ 11.81 Year Ended 11/30/00 $ 13.41 Year Ended 11/30/99 $ 10.45 Year Ended 11/30/98 $ 10.32 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) Year Ended 10/31/04 0.29^ 2.67 2.96 Year Ended 10/31/03 0.05^ 3.78 3.83 Year Ended 10/31/02 0.14^ 0.15 0.29 9/10/01** Through 10/31/01 --^ (0.17) (0.17) INTERNATIONAL VALUE FUND(v) Year Ended 10/31/04 0.25^ 1.81 2.06 Year Ended 10/31/03 (0.01)^ 1.83 1.82 Year Ended 10/31/02 0.07^ (1.22) (1.15) Year Ended 10/31/01@ 0.02^ (3.39) (3.37) Year Ended 10/31/00 0.27 (1.07) (0.80) INTERNATIONAL OPPORTUNITIES FUND(o) Year Ended 10/31/04 0.15^ 1.18 1.33 Year Ended 10/31/03 0.05^ 1.72 1.77 Year Ended 10/31/02 0.08 (1.10) (1.02) 12/1/00 Through 10/31/01***@ 0.08^ (2.65) (2.57) Year Ended 11/30/00 0.14 (1.58) (1.44) Year Ended 11/30/99 0.22 3.05 3.27 Year Ended 11/30/98 0.24 (0.01) 0.23 PER SHARE OPERATING PERFORMANCE: ---------------------------------------- LESS DISTRIBUTIONS: ---------------------------------------- DIVIDENDS FROM NET DISTRIBUTIONS INVESTMENT FROM CAPITAL TOTAL INCOME GAINS DISTRIBUTIONS INTREPID EUROPEAN FUND(e) Year Ended 10/31/04 --(b) -- --(b) Year Ended 10/31/03 0.09 -- 0.09 Year Ended 10/31/02 -- -- -- 9/10/01** Through 10/31/01 -- -- -- INTERNATIONAL VALUE FUND(v) Year Ended 10/31/04 0.05 -- 0.05 Year Ended 10/31/03 0.25 -- 0.25 Year Ended 10/31/02 0.12 -- 0.12 Year Ended 10/31/01@ 1.14 3.29 4.43 Year Ended 10/31/00 0.24 1.58 1.82 INTERNATIONAL OPPORTUNITIES FUND(o) Year Ended 10/31/04 0.24 -- 0.24 Year Ended 10/31/03 0.08 -- 0.08 Year Ended 10/31/02 0.09 -- 0.09 12/1/00 Through 10/31/01***@ 0.32 0.28 0.60 Year Ended 11/30/00 0.16 -- 0.16 Year Ended 11/30/99 0.31 -- 0.31 Year Ended 11/30/98 0.10 -- 0.10
@ 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. (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. (v) Formerly JPMorgan International Equity Fund. (o) Formerly J.P.Morgan Institutional International Opportunities Fund. *** The Fund changed its fiscal year end from November 30 to October 31. ^ Calculated based upon average shares outstanding. (b) Amount rounds to less than $.01. SEE NOTES TO FINANCIAL STATEMENTS. 102
PER SHARE OPERATING PERFORMANCE: -------------------------------- NET ASSET VALUE, END TOTAL OF PERIOD RETURN (a) INTREPID EUROPEAN FUND(e) Year Ended 10/31/04 $ 19.96 17.43% Year Ended 10/31/03 $ 17.00 29.14% Year Ended 10/31/02 $ 13.26 2.24% 9/10/01** Through 10/31/01 $ 12.97 (1.29%) INTERNATIONAL VALUE FUND(v) Year Ended 10/31/04 $ 10.59 24.17% Year Ended 10/31/03 $ 8.58 26.89% Year Ended 10/31/02 $ 7.01 (14.09%) Year Ended 10/31/01@ $ 8.28 (26.66%) Year Ended 10/31/00 $ 16.08 (5.49%) INTERNATIONAL OPPORTUNITIES FUND(o) Year Ended 10/31/04 $ 10.31 14.63% Year Ended 10/31/03 $ 9.22 23.77% Year Ended 10/31/02 $ 7.53 (11.98%) 12/1/00 Through 10/31/01***@ $ 8.64 (22.66%) Year Ended 11/30/00 $ 11.81 (10.87%) Year Ended 11/30/99 $ 13.41 32.13% Year Ended 11/30/98 $ 10.45 2.30% RATIOS/SUPPLEMENTAL DATA: ------------------------- NET ASSETS, END OF PERIOD (000 OMITTED) INTREPID EUROPEAN FUND(e) Year Ended 10/31/04 $ 20,897 Year Ended 10/31/03 $ 11,225 Year Ended 10/31/02 $ 8,461 9/10/01** Through 10/31/01 $ 6,063 INTERNATIONAL VALUE FUND(v) Year Ended 10/31/04 $ 18,023 Year Ended 10/31/03 $ 16,538 Year Ended 10/31/02 $ 16,905 Year Ended 10/31/01@ $ 21,307 Year Ended 10/31/00 $ 55,445 INTERNATIONAL OPPORTUNITIES FUND(o) Year Ended 10/31/04 $ 37,206 Year Ended 10/31/03 $ 30,969 Year Ended 10/31/02 $ 33,428 12/1/00 Through 10/31/01***@ $ 37,271 Year Ended 11/30/00 $ 79,408 Year Ended 11/30/99 $ 67,543 Year Ended 11/30/98 $ 55,050 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) Year Ended 10/31/04 1.37% 1.54% 1.71% 1.20% Year Ended 10/31/03 1.47% 0.38% 2.20% (0.35%) Year Ended 10/31/02 1.50% 1.06% 2.43% 0.13% 9/10/01** Through 10/31/01 1.50% (0.06%) 3.74%+ (2.30%)+ INTERNATIONAL VALUE FUND(v) Year Ended 10/31/04 1.37% 2.57% 1.76% 2.18% Year Ended 10/31/03 1.39% (0.15%) 1.86% (0.62%) Year Ended 10/31/02 1.29% 0.85% 1.49% 0.65% Year Ended 10/31/01@ 1.40% 0.20% 1.40% 0.20% Year Ended 10/31/00 1.30% 0.15% 1.30% 0.15% INTERNATIONAL OPPORTUNITIES FUND(o) Year Ended 10/31/04 1.20% 1.55% 1.30% 1.45% Year Ended 10/31/03 1.20% 0.58% 1.37% 0.41% Year Ended 10/31/02 1.20% 0.89% 1.22% 0.87% 12/1/00 Through 10/31/01***@ 1.27% 0.85% 1.27% 0.85% Year Ended 11/30/00 1.21% 0.55% 1.21% 0.55% Year Ended 11/30/99 1.18% 0.47% 1.24% 0.41% Year Ended 11/30/98 1.20% 0.96% 1.24% 0.92% RATIOS/SUPPLEMENTAL DATA: ------------------------- PORTFOLIO TURNOVER RATE (a) INTREPID EUROPEAN FUND(e) Year Ended 10/31/04 440% Year Ended 10/31/03 717% Year Ended 10/31/02 1,021% 9/10/01** Through 10/31/01 564% INTERNATIONAL VALUE FUND(v) Year Ended 10/31/04 108%~ Year Ended 10/31/03 132%~ Year Ended 10/31/02 138%~ Year Ended 10/31/01@ 85%~ Year Ended 10/31/00 80%~ INTERNATIONAL OPPORTUNITIES FUND(o) Year Ended 10/31/04 98%~~ Year Ended 10/31/03 79%~~ Year Ended 10/31/02 121%~~ 12/1/00 Through 10/31/01***@ 110%~~ Year Ended 11/30/00 86%~~ Year Ended 11/30/99 80%~~ Year Ended 11/30/98 143%~~
(a) Not annualized for periods less than one year. # Short periods have been annualized. + Due to the size of net assets and fixed expenses, ratios may appear disproportionate. ~ Prior to September 10, 2001, 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. 103
PER SHARE OPERATING PERFORMANCE: ---------------------------------- NET ASSET VALUE, BEGINNING OF PERIOD EMERGING MARKETS EQUITY FUND(m) Year Ended 10/31/04 $ 7.53 Year Ended 10/31/03 $ 5.23 Year Ended 10/31/02 $ 5.13 Year Ended 10/31/01@ $ 6.73 Year Ended 10/31/00 $ 7.28 ASIA EQUITY FUND(p) Year Ended 10/31/04 $ 17.80 Year Ended 10/31/03 $ 13.71 6/28/02** Through 10/31/02 $ 15.86 INTERNATIONAL EQUITY FUND(i) Year Ended 10/31/04 $ 23.19 Year Ended 10/31/03 $ 19.45 Year Ended 10/31/02 $ 21.20 Year Ended 10/31/01 $ 32.00 Year Ended 10/31/00 $ 33.33 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 EMERGING MARKETS EQUITY FUND(m) Year Ended 10/31/04 0.08^ 2.06 2.14 Year Ended 10/31/03 0.05^ 2.28 2.33 Year Ended 10/31/02 0.03^ 0.12 0.15 Year Ended 10/31/01@ 0.05^ (1.61) (1.56) Year Ended 10/31/00 0.02 (0.53) (0.51) ASIA EQUITY FUND(p) Year Ended 10/31/04 0.14^ 0.60 0.74 Year Ended 10/31/03 0.16^ 3.93 4.09 6/28/02** Through 10/31/02 -- (2.15) (2.15) INTERNATIONAL EQUITY FUND(i) Year Ended 10/31/04 0.33^ 3.90 4.23 Year Ended 10/31/03 0.30^ 3.72 4.02 Year Ended 10/31/02 0.21^ (1.84) (1.63) Year Ended 10/31/01 0.39 (6.35) (5.96) Year Ended 10/31/00 0.15 1.05 1.20 PER SHARE OPERATING PERFORMANCE: ---------------------------------------- LESS DISTRIBUTIONS: ---------------------------------------- DIVIDENDS FROM NET DISTRIBUTIONS INVESTMENT FROM CAPITAL TOTAL INCOME GAINS DISTRIBUTIONS EMERGING MARKETS EQUITY FUND(m) Year Ended 10/31/04 0.09 -- 0.09 Year Ended 10/31/03 0.03 -- 0.03 Year Ended 10/31/02 0.05 -- 0.05 Year Ended 10/31/01@ 0.04 -- 0.04 Year Ended 10/31/00 0.04 -- 0.04 ASIA EQUITY FUND(p) Year Ended 10/31/04 0.17 -- 0.17 Year Ended 10/31/03 -- -- -- 6/28/02** Through 10/31/02 -- -- -- INTERNATIONAL EQUITY FUND(i) Year Ended 10/31/04 0.28 -- 0.28 Year Ended 10/31/03 0.28 -- 0.28 Year Ended 10/31/02 0.12 -- 0.12 Year Ended 10/31/01 0.18 4.66 4.84 Year Ended 10/31/00 0.13 2.40 2.53
@ 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 splits. (m) Formerly J.P. Morgan Institutional Emerging Markets Equity Fund. (p) Formerly JPMorgan Fleming Pacific Region Fund. ** Commencement of offering of class of shares. (i) Formerly Chase Vista Select International Equity Fund. SEE NOTES TO FINANCIAL STATEMENTS. 104
PER SHARE OPERATING PERFORMANCE: -------------------------------- NET ASSET VALUE, END TOTAL OF PERIOD RETURN (a) EMERGING MARKETS EQUITY FUND(m) Year Ended 10/31/04 $ 9.58 28.72% Year Ended 10/31/03 $ 7.53 44.84% Year Ended 10/31/02 $ 5.23 2.75% Year Ended 10/31/01@ $ 5.13 (23.23%) Year Ended 10/31/00 $ 6.73 (7.12%) ASIA EQUITY FUND(p) Year Ended 10/31/04 $ 18.37 4.21% Year Ended 10/31/03 $ 17.80 29.83% 6/28/02** Through 10/31/02 $ 13.71 (13.56%) INTERNATIONAL EQUITY FUND(i) Year Ended 10/31/04 $ 27.14 18.31% Year Ended 10/31/03 $ 23.19 20.90% Year Ended 10/31/02 $ 19.45 (7.74%) Year Ended 10/31/01 $ 21.20 (21.62%) Year Ended 10/31/00 $ 32.00 2.71% RATIOS/SUPPLEMENTAL DATA: ------------------------- NET ASSETS, END OF PERIOD (000 OMITTED) EMERGING MARKETS EQUITY FUND(m) Year Ended 10/31/04 $ 32,733 Year Ended 10/31/03 $ 22,620 Year Ended 10/31/02 $ 18,660 Year Ended 10/31/01@ $ 22,253 Year Ended 10/31/00 $ 34,204 ASIA EQUITY FUND(p) Year Ended 10/31/04 $ 18,101 Year Ended 10/31/03 $ 24,443 6/28/02** Through 10/31/02 $ 14,043 INTERNATIONAL EQUITY FUND(i) Year Ended 10/31/04 $ 1,243,387 Year Ended 10/31/03 $ 813,466 Year Ended 10/31/02 $ 247,426 Year Ended 10/31/01 $ 181,296 Year Ended 10/31/00 $ 226,248 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 EMERGING MARKETS EQUITY FUND(m) Year Ended 10/31/04 1.75% 0.96% 2.13% 0.58% Year Ended 10/31/03 1.75% 0.88% 2.26% 0.37% Year Ended 10/31/02 1.75% 0.56% 2.04% 0.27% Year Ended 10/31/01@ 1.75% 0.78% 2.11% 0.42% Year Ended 10/31/00 1.75% 0.15% 1.96% (0.06%) ASIA EQUITY FUND(p) Year Ended 10/31/04 1.50% 0.78% 2.17% 0.11% Year Ended 10/31/03 1.50% 1.17% 2.71% (0.04%) 6/28/02** Through 10/31/02 1.50% (0.03%) 2.58% (1.11%) INTERNATIONAL EQUITY FUND(i) Year Ended 10/31/04 1.10% 1.28% 1.52% 0.86% Year Ended 10/31/03 1.10% 1.45% 1.55% 1.00% Year Ended 10/31/02 1.03% 1.03% 1.54% 0.52% Year Ended 10/31/01 1.00% 0.87% 1.54% 0.33% Year Ended 10/31/00 0.66% 0.38% 1.50% (0.46%) RATIOS/SUPPLEMENTAL DATA: ------------------------- PORTFOLIO TURNOVER RATE (a) EMERGING MARKETS EQUITY FUND(m) Year Ended 10/31/04 118%~ Year Ended 10/31/03 85%~ Year Ended 10/31/02 69%~ Year Ended 10/31/01@ 76%~ Year Ended 10/31/00 65%~ ASIA EQUITY FUND(p) Year Ended 10/31/04 175% Year Ended 10/31/03 172% 6/28/02** Through 10/31/02 106% INTERNATIONAL EQUITY FUND(i) Year Ended 10/31/04 24% Year Ended 10/31/03 16% Year Ended 10/31/02 20% Year Ended 10/31/01 33% Year Ended 10/31/00 149%
^ Calculated based upon average shares outstanding. (a) Not annualized for periods less than one year. # Short periods have been annualized. ~ Prior to September 10, 2001, 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. 105 JPMORGAN FUNDS REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM TO THE TRUSTEES AND SHAREHOLDERS OF J.P. MORGAN MUTUAL FUND GROUP, J.P. MORGAN INSTITUTIONAL FUNDS AND J.P. MORGAN MUTUAL FUND SELECT GROUP In our opinion, the accompanying statements of assets and liabilities, including the portfolios of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of JPMorgan Fleming Intrepid European Fund (formerly the JPMorgan Fleming European Fund), JPMorgan Fleming Japan Fund, JPMorgan Fleming International Growth Fund, JPMorgan Fleming International Value Fund, JPMorgan Fleming International Opportunities Fund, JPMorgan Fleming Emerging Markets Equity Fund, JPMorgan Fleming Asia Equity Fund and JPMorgan Fleming International Equity Fund (formerly the JPMorgan Select International Equity Fund), (hereafter referred to collectivelly as the "Funds") at October 31, 2004, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years then ended and the financial highlights for each of the periods presented, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Funds' management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at October 31, 2004 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion. PricewaterhouseCoopers LLP New York, New York December 20, 2004 106 SCHEDULE OF SHAREHOLDER EXPENSES Hypothetical $1,000 Investment at Beginning of Period October 31, 2004 (Unaudited) As a shareholder of the Funds, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments and redemption fees: and (2) ongoing costs, including investment advisory, administration fees, distribution fees and other Fund expenses. The examples below are intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other mutual funds. The examples assume that you had a $1,000 investment in the Class at the beginning of the reporting period, May 1, 2004, and continued to hold your shares at the end of the reporting period, October 31, 2004. ACTUAL EXPENSES For each Class of each Fund in the table below, the first line provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line of each Class under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES The second line of each Class in the table below provides information about hypothetical account values and hypothetical expenses based on the Class' actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class' actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Class of the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as sales charges (loads) or redemption fees. Therefore, the second line for each Class in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher. The examples also assume all dividends and distributions have been reinvested. 107
EXPENSES PAID BEGINNING ENDING DURING PERIOD ACCOUNT VALUE, ACCOUNT VALUE, MAY 1 TO ANNUALIZED MAY 1, 2004 OCTOBER 31, 2004 OCTOBER 31, 2004* EXPENSE RATIO INTREPID EUROPEAN FUND CLASS A Actual period return $ 1,000 $ 1,084 $ 9.17 1.75% Hypothetical $ 1,000 $ 1,016 $ 8.87 1.75% CLASS B Actual period return $ 1,000 $ 1,082 $ 11.77 2.25% Hypothetical $ 1,000 $ 1,014 $ 11.39 2.25% CLASS C Actual period return $ 1,000 $ 1,082 $ 11.77 2.25% Hypothetical $ 1,000 $ 1,014 $ 11.39 2.25% INSTITUTIONAL Actual period return $ 1,000 $ 1,088 $ 5.25 1.00% Hypothetical $ 1,000 $ 1,020 $ 5.08 1.00% SELECT Actual period return $ 1,000 $ 1,087 $ 7.08 1.35% Hypothetical $ 1,000 $ 1,018 $ 6.85 1.35% JAPAN FUND CLASS A Actual period return $ 1,000 $ 945 $ 8.55 1.75% Hypothetical $ 1,000 $ 1,016 $ 8.87 1.75% CLASS B Actual period return $ 1,000 $ 941 $ 12.19 2.50% Hypothetical $ 1,000 $ 1,012 $ 12.65 2.50% INTERNATIONAL GROWTH FUND CLASS A Actual period return $ 1,000 $ 1,013 $ 10.12 2.00% Hypothetical $ 1,000 $ 1,015 $ 10.13 2.00% CLASS B Actual period return $ 1,000 $ 1,010 $ 12.63 2.50% Hypothetical $ 1,000 $ 1,012 $ 12.65 2.50%
108
EXPENSES PAID BEGINNING ENDING DURING PERIOD ACCOUNT VALUE, ACCOUNT VALUE, MAY 1 TO ANNUALIZED MAY 1, 2004 OCTOBER 31, 2004 OCTOBER 31, 2004* EXPENSE RATIO INTERNATIONAL VALUE FUND CLASS A Actual period return $ 1,000 $ 1,081 $ 7.58 1.45% Hypothetical $ 1,000 $ 1,018 $ 7.35 1.45% CLASS B Actual period return $ 1,000 $ 1,077 $ 10.18 1.95% Hypothetical $ 1,000 $ 1,015 $ 9.88 1.95% INSTITUTIONAL Actual period return $ 1,000 $ 1,084 $ 4.98 0.95% Hypothetical $ 1,000 $ 1,020 $ 4.82 0.95% SELECT Actual period return $ 1,000 $ 1,081 $ 7.16 1.37% Hypothetical $ 1,000 $ 1,018 $ 6.95 1.37% INTERNATIONAL OPPORTUNITIES FUND CLASS A Actual period return $ 1,000 $ 1,039 $ 9.74 1.90% Hypothetical $ 1,000 $ 1,015 $ 9.63 1.90% CLASS B Actual period return $ 1,000 $ 1,036 $ 12.28 2.40% Hypothetical $ 1,000 $ 1,013 $ 12.14 2.40% INSTITUTIONAL Actual period return $ 1,000 $ 1,043 $ 4.73 0.92% Hypothetical $ 1,000 $ 1,020 $ 4.67 0.92% SELECT Actual period return $ 1,000 $ 1,043 $ 6.16 1.20% Hypothetical $ 1,000 $ 1,019 $ 6.09 1.20%
109
EXPENSES PAID BEGINNING ENDING DURING PERIOD ACCOUNT VALUE, ACCOUNT VALUE, MAY 1 TO ANNUALIZED MAY 1, 2004 OCTOBER 31, 2004 OCTOBER 31, 2004* EXPENSE RATIO EMERGING MARKETS EQUITY FUND CLASS A Actual period return $ 1,000 $ 1,143 $ 10.77 2.00% Hypothetical $ 1,000 $ 1,015 $ 10.13 2.00% CLASS B Actual period return $ 1,000 $ 1,140 $ 13.45 2.50% Hypothetical $ 1,000 $ 1,012 $ 12.65 2.50% INSTITUTIONAL Actual period return $ 1,000 $ 1,146 $ 7.82 1.45% Hypothetical $ 1,000 $ 1,018 $ 7.35 1.45% SELECT Actual period return $ 1,000 $ 1,145 $ 9.43 1.75% Hypothetical $ 1,000 $ 1,016 $ 8.87 1.75% ASIA EQUITY CLASS A Actual period return $ 1,000 $ 1,041 $ 8.98 1.75% Hypothetical $ 1,000 $ 1,016 $ 8.87 1.75% INSTITUTIONAL Actual period return $ 1,000 $ 1,043 $ 6.93 1.35% Hypothetical $ 1,000 $ 1,018 $ 6.85 1.35% SELECT Actual period return $ 1,000 $ 1,043 $ 7.70 1.50% Hypothetical $ 1,000 $ 1,017 $ 7.61 1.50%
110
EXPENSES PAID BEGINNING ENDING DURING PERIOD ACCOUNT VALUE, ACCOUNT VALUE, MAY 1 TO ANNUALIZED MAY 1, 2004 OCTOBER 31, 2004 OCTOBER 31, 2004* EXPENSE RATIO INTERNATIONAL EQUITY FUND CLASS A Actual period return $ 1,000 $ 1,065 $ 7.79 1.50% Hypothetical $ 1,000 $ 1,017 $ 7.61 1.50% CLASS B Actual period return $ 1,000 $ 1,062 $ 10.37 2.00% Hypothetical $ 1,000 $ 1,015 $ 10.13 2.00% CLASS C Actual period return $ 1,000 $ 1,062 $ 10.37 2.00% Hypothetical $ 1,000 $ 1,015 $ 10.13 2.00% SELECT Actual period return $ 1,000 $ 1,067 $ 5.72 1.10% Hypothetical $ 1,000 $ 1,019 $ 5.58 1.10%
* Expenses are equal to the Class' annualized expense ratio in the table above, multiplied by the average account value over the period, multiplied by 184/366 (to reflect the one-half year period). 111 TRUSTEE AND OFFICER INFORMATION (UNAUDITED) The following tables contain basic information regarding the Trustees and Officers, respectively, that oversee operations of the Trusts and other investment companies within the JPMorgan Funds complex.
POSITIONS NUMBER OF OTHER HELD WITH PRINCIPAL PORTFOLIOS IN DIRECTORSHIPS EACH TERM OF OFFICE OCCUPATIONS JPMORGAN FUND HELD OUTSIDE NAME, CONTACT ADDRESS JPMORGAN AND LENGTH OF DURING PAST COMPLEX(1) OVERSEEN JPMORGAN FUND AND YEAR OF BIRTH TRUST TIME SERVED 5 YEARS BY TRUSTEE COMPLEX - ----------------------------------------------------------------------------------------------------------------------------------- NON-INTERESTED TRUSTEE(S) William J. Armstrong; Trustee Trustee of Funds Retired; Vice 70 None 522 Fifth Avenue, that are series of President and New York, NY 10036; JPMIF since 2001, Treasurer of 1941 Funds that are Ingersoll-Rand series of MFSG since Company 1996 and Funds that (manufacturer of are series of MFG industrial since 1987. equipment) (1972-2000) Roland R. Eppley, Jr.; Trustee Trustee of Funds Retired 70 Director of Janel 522 Fifth Avenue, that are series of Hydro, Inc. New York, NY 10036; JPMIF since 2001, (Automotive) 1932 Funds that are (1993-Present) series of MFSG since 1996 and Funds that are series of MFG since 1989. Ann Maynard Gray;* Trustee Since 2001 Vice President of 70 Director of Duke 522 Fifth Avenue, Capital Cities/ABC, Energy Corporation New York, NY 10036; Inc. (1986-1998) (1997-Present); 1945^ Director of Elan Corporation, Plc (pharmaceuticals) (2001-Present); Director of The Phoenix Companies (wealth management services) (2002-Present) Matthew Healey;* Trustee Trustee of Funds Retired; Chief 70 None 522 Fifth Avenue, that are series of Executive Officer of New York, NY 10036; of JPMIF since 1992 certain J.P. Morgan 1937 and Funds that are Fund Trusts series of MFG since (1982-2001) 2001 and MFSG since 2001.
* Resigned effective November 26, 2004. 112
POSITIONS NUMBER OF OTHER HELD WITH PRINCIPAL PORTFOLIOS IN DIRECTORSHIPS EACH TERM OF OFFICE OCCUPATIONS JPMORGAN FUND HELD OUTSIDE NAME, CONTACT ADDRESS JPMORGAN AND LENGTH OF DURING PAST COMPLEX(1) OVERSEEN JPMORGAN FUND AND YEAR OF BIRTH TRUST TIME SERVED 5 YEARS BY TRUSTEE COMPLEX - ----------------------------------------------------------------------------------------------------------------------------------- NON-INTERESTED TRUSTEE(S) (CONTINUED) Fergus Reid, III; Trustee and Trustee of Funds Chairman of Lumelite 70 Trustee of Morgan 522 Fifth Avenue, Chairman of that are series of Corporation Stanley Funds (209 New York, NY 10036; the Board JPMIF since 2001, (plastics portfolios) 1932 of Trustees Funds that are manufacturing) (1995-Present) series of MFSG since (2003-Present); 1996 and Funds that Chairman and CEO of are series of MFG Lumelite Corporation since 1987. (1985-2002) James J. Schonbachler; Trustree Since 2001 Retired; Managing 70 None 522 Fifth Avenue, Director of Bankers New York, NY 10036; Trust Company 1943 (financial services) (1968-1998) Robert J. Higgins; Trustee Since 2002 Retired; Director of 70 Director of Providian 522 Fifth Avenue, Administration of the Financial Corp. New York, NY 10036; State of Rhode Island (banking) 1945 (2003-Present); (2002-Present) President - Consumer Banking and Investment Services Fleet Boston Financial (1971-2002) Dr. Matthew Goldstein; Trustee Since 2003 Chancellor of the 70 Trustee of Bronx- 522 Fifth Avenue, City University of Lebanon Hospital New York, NY 10036; New York, since Center (1992-present); 1941 September 1, 1999; Director of New Plan President, Adelphi Excel Realty Trust, University (New York) Inc. (real estate (1998-1999). investment trust) (2000-present); Director of Lincoln Center Institute for the Arts in Education (1999-Present).
113
POSITIONS NUMBER OF OTHER HELD WITH PRINCIPAL PORTFOLIOS IN DIRECTORSHIPS EACH TERM OF OFFICE OCCUPATIONS JPMORGAN FUND HELD OUTSIDE NAME, CONTACT ADDRESS JPMORGAN AND LENGTH OF DURING PAST COMPLEX(1) OVERSEEN JPMORGAN FUND AND YEAR OF BIRTH TRUST TIME SERVED 5 YEARS BY TRUSTEE COMPLEX - ----------------------------------------------------------------------------------------------------------------------------------- NON-INTERESTED TRUSTEE(S) (CONTINUED) William G. Morton, Jr.; Trustee Since 2003 Retired; Emeritus 70 Director of Radio 522 Fifth Avenue, (2001-2002), and Shack Corporation New York, NY 10036; Chairman and Chief (electronics) 1937 Executive Officer, (1987-present); Boston Stock Exchange Director of The (1985-2001). Griswold Company (securities brokerage). (2002-2004), Director of The National Football Foundation and College Hall of Fame (1994-present); Trustee of the Berklee College of Music (1998-present); Trustee of the Stratton Mountain School (2001-present). INTERESTED TRUSTEE(S) Leonard M. Spalding* Trustee Trustee of Funds Retired; Chief 70 None. 522 Fifth Avenue, that are series of Executive Officer of New York, NY 10036; JPMIF since 2001, Chase Mutual Funds 1935 Funds that are (investment company) series of MFSG since (1989-1998); 1996 and Funds that President and Chief are series of MFG Executive Officer of since 1998. Vista Capital Management (investment management) (1990-1998); Chief Investment Executive of Chase Manhattan Private Bank (investment management) (1990-1998).
(1) A Fund Complex means two or more investment companies that hold themselves out to investors as related companies for purposes of investment and investment services or have a common investment advisor or have an investment advisor that is an affiliated person of the investment advisor of any of the other investment companies. The JPMorgan Fund Complex for which the Trustees serve includes 13 investment companies. ^ Dana Maynard Gray, the daughter of Ann Maynard Gray, became employed with JPMorgan Securities, Inc., as an Associate Analyst on May 3, 2004. * Mr. Spalding is deemed to be an "interested person" due to his ownership of equity securities of JPMorgan Chase & Co. stock. 114
POSITIONS HELD TERM OF OFFICE NAME, CONTACT ADDRESS WITH EACH AND LENGTH OF PRINCIPAL OCCUPATIONS AND DATE OF BIRTH JPMORGAN TRUST TIME SERVED DURING PAST 5 YEARS - ----------------------------------------------------------------------------------------------------------------------------------- OFFICERS George C.W. Gatch; President Since 2001 Managing Director, JPMIM, CEO and President of the J.P. 522 Fifth Avenue, Morgan and One Group Funds. An employee since 1986, Mr. Gatch New York, NY 10036; leads the firm's U.S. mutual fund and financial intermediary 1962 business. He was previously President and CEO of DKB Morgan, a Japanese mutual fund company, which was a joint venture between J.P. Morgan and Dal-Ichi Kangyo Bank. Prior to working in Japan, Mr. Gatch established JPMIM's sub-advisory and institutional mutual funds business. He has also held numerous positions throughout the firm in business management, marketing, and sales. Robert L. Young; 522 Senior Vice President Since 2004 Chief Operating Officer, JPMorgan Funds (August 2004 Fifth Avenue, to present) and One Group Mutual Funds from New York, NY 10036; November 2001 until present. From October 1999 to 1963 present, Vice President and Treasurer, One Group Administrative Services, Inc., and Vice President and Treasurer, One Group Dealer Services, Inc. Patricia A. Maleski; Vice President and Chief Since 2003 Vice President, JPMIM; previously, Treasurer, 522 Fifth Avenue, Administrative Officer JPMorgan Funds and Head of Funds Administration New York, NY 10036; and Board Liaison. Prior to joining J.P. Morgan 1960 Chase & Co. in 2001, Ms. Maleski was the Vice President of Finance for the Pierpont Group, Inc., a service provider of the Board of Directors/Trustees of the JPMorgan Funds. Wayne H. Chan; Vice President and Since 2003 Vice President and Assistant General Counsel, JPMIM, 522 Fifth Avenue, Assistant Secretary since September 2002; Mr. Chan was an associate at New York, NY 10036; the law firm of Shearman and Sterling from May 2001 1965 through September 2002; Swidler Berlin Shereff Friedman LLP from June 1999 through May 2001 and Whitman Breed Abbott & Morgan LLP from September 1997 through May 1999. Stephanie J. Dorsey Treasurer Since 2004 Director of Mutual Fund Administration, One Group 522 Fifth Avenue, Administrative Services, since January 2004; New York, NY 10036; Ms. Dorsey worked for Bank One Corporation from 1969 January 2003 to January 2004; Prior to joining Bank One Corporation, she held various positions at PricewaterhouseCoopers LLP from September 1992 through December 2002. Elizabeth A. Davin Assistant Secretary Since 2004 From September 2004 to present, Senior Counsel, 522 Fifth Avenue, JPMorgan Case & Co.; prior to that Ms. Davin was New York, NY 10036; Assistant General Counsel and then Associate General 1964 Counsel and Vice President, Gartmore Global Investments, Inc. from July 1999 to August 2004.
115
POSITIONS HELD TERM OF OFFICE NAME, CONTACT ADDRESS WITH EACH AND LENGTH OF PRINCIPAL OCCUPATIONS AND DATE OF BIRTH JPMORGAN TRUST TIME SERVED DURING PAST 5 YEARS - ----------------------------------------------------------------------------------------------------------------------------------- OFFICERS (CONTINUED) Stephen M. Bemnham Assistant Secretary Since 2004 Vice President and Assistant General Counsel, JPMIM 522 Fifth Avenue, since 2004; Vice President (Legal Advisory) of Merrill New York, NY 10036; Lynch Investment Managers, L.P., from 2000 to 2004; 1959 attorney associated with Kirkpatrick & Lockhart LLP from 1997 to 2000. Jessica K. Ditullio Assistant Secretary Since 2004 From August 1990 to present, she held various 522 Fifth Avenue, attorney positions for Bank One Corporation (now New York, NY 10036; known as JPMorgan Chase & Co.) 1962 Nancy E. Fields Assistant Secretary Since 2004 From October 1999 to present, Director, Mutual Fund 522 Fifth Avenue, Administration, One Group Administrative Services, New York, NY 10036; Inc. and Senior Project Manager, Mutual Funds, One 1949 Group Dealer Services, Inc. From July 1999 to October 1999, Project Manager, One Group, Banc One Investment Advisors Corporation. Avery P. Maher Assistant Secretary Since 2004 Vice President and Assistant General Counsel, JPMIM 522 Fifth Avenue, since 2004; Second Vice President and Assistant New York, NY 10036; Secretary of John Hancock Advisers, LLC, from 1945 July 1992 through September 2004. Alaina Metz Assistant Secretary Since 2001 From June 1995 to present, Vice President, BISYS Fund 3435 Stelzer Rd. Services, Inc. Columbus, OH 43219 1967 Martin R. Dean Assistant Treasurer Since 2001 Vice President of Regulatory Services of BISYS Fund 3435 Stelzer Rd. Services, Inc. Columbus, OH 43219 1963 Arthur A. Jensen Assistant Treasurer Since 2001 Vice President of Financial Services of BISYS Fund 3435 Stelzer Rd. Services, Inc. since June 2001; formerly Section Columbus, OH 43219 Manager of Northern Trust Company and Accounting 1966 Supervisor at Allstate Insurance Company. Christopher D. Walsh Assistant Treasurer Since 2004 Vice President, JPMIM; Mr. Walsh manages all aspects 522 Fifth Avenue, of institutional and retail mutual fund administration New York, NY 10036; and vendor relationships within the mutual funds, 1965 commingled/ERISA funds, 3(c)(7) funds, hedge funds and LLC products. Prior to joining JPMorgan in 2000, he was a director from 1996 to 2000 of Mutual Fund Administration at Prudential Investments. Paul M. DeRusso Assistant Treasurer Since 2001 Vice President, JPMIM; Manager of the Budgeting and 522 Fifth Avenue, Expense Group of Funds Administration Group. New York, NY 10036; 1954
116
POSITIONS HELD TERM OF OFFICE NAME, CONTACT ADDRESS WITH EACH AND LENGTH OF PRINCIPAL OCCUPATIONS AND DATE OF BIRTH JPMORGAN TRUST TIME SERVED DURING PAST 5 YEARS - ----------------------------------------------------------------------------------------------------------------------------------- OFFICERS (CONTINUED) Mary D. Squires Assistant Treasurer Since 2001 Vice President, JPMIM; Ms. Squires has held 522 Fifth Avenue, numerous financial and operations positions New York, NY 10036; supporting the J.P. Morgan Chase organization 1955 complex. Stephen M. Ungerman Chief Compliance Officer Since 2004 Vice President, JPMIM; previously, Head of Fund 522 Fifth Avenue, Administration - Pooled Vehicles; prior to joining New York, NY 10036; JPMorgan Chase in 2000, he held a number of 1953 positions in Prudential Financial's asset management business, including Associate General Counsel, Tax Director and Co-head of Fund Administration Department. Mr. Ungerman also served as Assistant Treasurer for all mutual funds managed by Prudential.
Additional information concerning the Trustees is contained in the Statement of Additional Information and is available without charge by calling 1-800-348-4782. 117 TAX LETTER (UNAUDITED) JPMORGAN FLEMING INTREPID EUROPEAN FUND ("EF") JPMORGAN FLEMING JAPAN FUND ("JF") JPMORGAN FLEMING INTERNATIONAL GROWTH FUND ("IGF") JPMORGAN FLEMING INTERNATIONAL VALUE FUND ("IVF") JPMORGAN FLEMING INTERNATIONAL OPPORTUNITIES FUND ("IOF") JPMORGAN FLEMING EMERGING MARKETS EQUITY FUND ("EMF") JPMORGAN FLEMING ASIA EQUITY FUND ("AEF") JPMORGAN FLEMING INTERNATIONAL EQUITY FUND ("IEF") Certain tax information regarding the JPMorgan Mutual Funds is required to be provided to shareholders based upon the Funds' income and distributions for the taxable year ended October 31, 2004. The information and distributions reported in this letter may differ from the information and distributions taxable to the shareholders for the calendar year ending December 31, 2004. The information necessary to complete your income tax returns for the calendar year ending December 31, 2004 will be received under separate cover. Also, for the fiscal year ended October 31, 2004, AEF intend to elect to pass through to shareholders the income tax credit for taxes paid to foreign countries. Gross income and foreign tax expenses by country on October 31, 2004 are as follows:
FOREIGN TAX COUNTRY GROSS INCOME PASS THROUGH QDI % FUND AEF Bermuda $ 15,737 $ -- China 82,950 -- 15.83% Hong Kong 251,995 -- India 9,324 -- 1.85% Indonesia 93,486 14,023 18.55% Korea 258,501 42,774 51.30% Malaysia 67,931 13,719 Singapore 161,847 28,607 Taiwan 162,468 42,864 Thailand 43,338 4,334 8.60% United Kingdom 19,500 -- 3.87%
The pass-through of the foreign tax credit will only affect those persons who are shareholders on the dividend record date in December 2004. These shareholders will receive more detailed information along with 2004 Form 1099-DIV. 118 For the fiscal year ended Ocotber 31, 2004, the following represents the percentage of ordinary income distributions treated as qualified dividends:
PERCENTAGE OF DISTRIBUTIONS FUND EF 100.00% IGF 100.00% IVF 100.00% IOF 100.00% EMF 100.00% AEF 90.86% IEF 92.50%
119 JP MORGAN 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. 120 [JPMORGAN FLEMING ASSET MANAGEMENT LOGO] ASSET MANAGEMENT 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. INVESTORS SHOULD CAREFULLY READ THE FUNDS' PROSPECTUS WHICH INCLUDES INFORMATION ON THE FUNDS' 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'S PROSPECTUS PLEASE CALL 800 348-4782. PLEASE READ CAREFULLY BEFORE INVESTING OR SENDING MONEY. No sooner than 30 days after the end of each month, the Fund will make available upon request a complete uncertified schedule of its portfolio holdings as of the last day of that month. Not later than 60 days after the end of each fiscal quarter, the Fund will make available a complete schedule of its portfolio holdings as of the last day of that quarter, as filed in a certified filing with the SEC. In addition to providing hard copies upon request, the Fund will post these quarterly schedules on the Fund's website at www.jpmorganfunds.com and on the SEC's website at www.sec.gov. Shareholders may request portfolio holdings schedules at no charge by calling 1-800-480-4111. A description of the Fund's policies and procedures with respect to the disclosure of the Fund's portfolio holdings is available in the Statement of Additional Information. A copy of proxy policies and procedures are available without charge upon request by calling 1-800-348-4782 and on the Commission's website at www.sec.gov. The Trustees have delegated the authority to vote proxies for securities owned by the Fund to JPMIM. A copy of the Fund's voting record for the 12-month period ended June 30, 2004 is available on the SEC's website at www.sec.gov or at the Fund's website at www.jpmorgan.com. The Fund's proxy voting record will include, among other things, a brief description of the matter voted on for each portfolio security, and will state how each vote was cast, for example, for or against the proposal. JPMorgan Funds Fulfillment Center PRSRT STD 6112 W. 73rd Street U.S. POSTAGE Bedford Park, IL 60638 PAID PERMIT 2891 KANSAS CITY, MO (C) J.P. Morgan Chase & Co., 2004 AN-INTEQ-1004 All rights reserved. December 2004. [GRAPHIC] JPMORGAN FUNDS ANNUAL REPORT OCTOBER 31 2004 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 3 Tax Aware Disciplined Equity Fund 6 Tax Aware Enhanced Income Fund 9 Tax Aware Large Cap Growth Fund 11 Tax Aware Large Cap Value Fund 14 Tax Aware Short-Intermediate Income Fund 17 Tax Aware U.S. Equity Fund 19 Portfolio of Investments 22 Financial Statements 54 Notes to Financial Statements 66 Financial Highlights 96
HIGHLIGHTS - - Corporate earnings growth drives market rally - - Weak dollar boosts returns from international stocks - - Interest rates and oil prices spook markets - - Low inflation underpins our optimism 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 DECEMBER 6, 2004 [PHOTO OF GEORGE C.W. GATCH] "WE BELIEVE THE U.S. ECONOMY IS BEGINNING TO EMERGE FROM ITS MID-SUMMER PERIOD OF WEAKNESS, AND THAT THE GLOBAL ECONOMY IS MOVING TOWARDS A BROADLY BASED EXPANSION. DEAR SHAREHOLDER: We are pleased to present this annual report for the JPMorgan Tax Aware Funds. Inside, you'll find information detailing the performance of the Funds for the year ended October 31, 2004, along with reports from the Portfolio Managers. EQUITIES STAGE STRONG RALLY GLOBALLY U.S. and international equity markets rallied substantially in the period. As economic growth picked up, companies from around the globe reported higher earnings, lifting equity prices. For many companies, higher sales fed straight through to bottom-line profits, following cost reduction restructurings carried out over the past few years. For U.S. investors, international equity markets provided strong returns, particularly when the effect of a falling U.S. dollar was factored in. In all, the MSCI EAFE Index, which represents a broad spread of European and Asian markets, rose 18.84% in U.S. dollars. By contrast, the S&P 500 Index rose 9.42%. There was a wide divergence between market performances. High equity valuations held U.S. equities back from achieving greater gains. Asian equities were hampered by concerns over the vitality of their export industries. Europe, meanwhile, performed exceptionally. The MSCI Europe Index rose 21.89%, while the MSCI Japan Index rose 9.04% and the MSCI Asia ex Japan Index appreciated 9.40%. MID-YEAR "SOFT PATCH" But the rally was far from linear. Come the second quarter, many markets faltered as rising U.S. interest rates and surging oil prices caused fears that growth would be choked off. It soon became evident that the U.S. economy was indeed experiencing a "soft patch". Additionally, growth in Japan and Continental Europe disappointed -- particularly as domestic demand failed to pick up to the degree many had hoped for. This caused some setbacks in equity prices during the mid to late summer. OUTLOOK We believe the U.S. economy is beginning to emerge from its mid-summer period of weakness, and that the global economy is moving towards a broadly based expansion. Even if economic growth does not accelerate strongly, we are optimistic that the expansion is sustainable, and that stocks are likely to outperform bonds in the period ahead. One reason for our optimism is that inflation remains under control, which gives long-term interest rates the ability to come down further if the global economy weakens slightly, providing additional support to economic activity and equity prices. IMPORTANT FUND FAMILY UPDATE Shareholders of JPMorgan Funds and One Group Funds have received a variety of documents, some regarding the proposed integration of the two fund complexes. The integration generally will be effective on February 18, 2005; however, some of the changes will require shareholder approval at meetings on January 20, 2005, before they can be implemented. As a shareholder, your input in these decisions is important, so we would greatly appreciate your response. As always, we would like to thank you for your investment. Should you have any questions, please feel free to contact the JPMorgan Funds Service Center at 1-800-348-4782. Sincerely, /s/ George C.W. Gatch George C.W. Gatch President JPMorgan Funds 2 JPMORGAN FLEMING TAX AWARE INTERNATIONAL OPPORTUNITIES FUND AS OF OCTOBER 31, 2004 (Unaudited) FUND FACTS Fund Inception 4/30/01 Fiscal Year End OCTOBER 31 Net Assets as of 10/31/2004 (In Millions) $143.6 Primary Benchmark MSCI EAFE USD NET Q: HOW DID THE FUND PERFORM? A: JPMorgan Fleming Tax Aware International Opportunities Fund, which seeks high after-tax total return by investing in equity securities of foreign companies in developed and, to a lesser extent, emerging markets, rose by 14.4% (Institutional shares) during the year ended October 31, 2004. This compares with a rally of 18.8% in the MSCI EAFE Index (in US dollars). Q: WHY DID THE FUND PERFORM THIS WAY? A: While economic recovery became increasingly established during the year, there was an unexpected mid-summer deceleration in economic growth. This impacted the Fund, which held many economically sensitive stocks in anticipation of steady recovery. Continental Europe is a good example of this theme. The Fund was underweight the region, which has less sensitivity to the economic cycle than Japan and non-Japan Asia. And, within Europe, it held many of the stocks most leveraged to economic growth, such as Cap Gemini, the French technology company, and Ciba Specialty Chemicals, the Swiss chemicals company. Both the underweight allocation to Continental Europe, and stock selection, detracted from performance. In non-Japan Asia, where corporate earnings are sensitive to economic activity in the United States and China, the Fund was overweight. The summer dip in global growth, and Chinese actions to curb inflationary forces, caused earnings expectations and stock valuations to fall back across the region. Cathay Pacific, the Hong Kong airline, was one holding that performed poorly, due to declining China-related passenger loads and rising oil prices. Another large holding, Reliance Industries, the Indian conglomerate, fell following India's election of a new government that was not perceived to be business friendly. From a stock perspective, a number of holdings stood out. In Japan, two financial sector stocks -- Aiful and UFJ Holdings -- added to performance as the sector's prospects improved. In Continental Europe, Adecco, the Swiss human resources solutions company, detracted from performance after announcing the delayed publication of 2003 results. In emerging Europe, Yukos, the Russian oil stock, fell after the Russian tax authorities charged that it owed $3.5 billion in back taxes. Q: HOW WAS THE FUND MANAGED? A: The Fund was overweight emerging markets, which offer leveraged exposure to global growth, and underweight Continental Europe, where growth appeared less robust. Stock selection caused the Fund to be overweight the Technology sector, but underweight Utilities. At the October 31, 2004, year-end, the Fund continued to be overweight emerging markets, while underweight Continental Europe and Japan. 3 [CHART] PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS United Kingdom 26.2% Japan 18.9% France 13.4% Switzerland 8.6% Germany 5.4% The Netherlands 5.3% Hong Kong 4.6% South Korea 2.7% India 2.1% Spain 2.0% Singapore 1.7% Sweden 1.6% Taiwan 1.6% Australia 1.5% Brazil 1.3% Ireland 1.3% Other 1.8%
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO 1. Royal Bank of Scotland Group PLC (United Kingdom) 4.1% 2. Vodafone Group PLC (United Kingdom) 3.8% 3. Total SA (France) 3.6% 4. HSBC Holdings PLC (United Kingdom) 3.6% 5. Tesco PLC (United Kingdom) 2.3% 6. BNP Paribas (France) 2.2% 7. Koninklijke KPN NV (The Netherlands) 2.1% 8. Reliance Industries LTD (India) 2.1% 9. Reckitt Benckiser PLC (United Kingdom) 2.1% 10. Nippon Telegraph & Telephone Corp. (Japan) 2.0%
Top 10 equity holdings comprised 27.9% of the Portfolio's market value of investments ($38,973 in thousands). As of October 31, 2004, the Fund held 85 equity holdings. Portfolio holdings are subject to change at any time. 4 ANNUAL REPORT OCTOBER 31 2004 (Unaudited) AVERAGE ANNUAL TOTAL RETURNS AS OF OCTOBER 31, 2004
SINCE INCEPTION 1 YEAR 3 YEARS (4/30/01) ------------------------------- CLASS A SHARES Without Sales Charge 13.74% 7.46% 0.68% With Sales Charge* 7.16% 5.35% (1.01%) ------------------------------- INSTITUTIONAL SHARES 14.44% 8.27% 1.45%
* Sales Charge for Class A Shares is 5.75%. [CHART] LIFE OF FUND PERFORMANCE (4/30/01 TO 10/31/04)
JPMORGAN FLEMING TAX AWARE INTERNATIONAL OPPORTUNITIES FUND (INSTITUTONAL SHARES) MSCI EAFE USD NET LIPPER INTERNATIONAL 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 $ 3,037,866 $ 3,033,723 $ 3,131,705 5/31/2004 $ 3,037,866 $ 3,044,038 $ 3,129,826 6/30/2004 $ 3,093,763 $ 3,110,702 $ 3,192,736 7/31/2004 $ 2,965,681 $ 3,009,605 $ 3,088,333 8/31/2004 $ 3,013,132 $ 3,022,847 $ 3,104,701 9/30/2004 $ 3,089,665 $ 3,101,743 $ 3,187,286 10/31/2004 $ 3,155,550 $ 3,207,513 $ 3,288,323
SOURCE: LIPPER, INC. THE QUOTED PERFORMANCE IS PAST PERFORMANCE AND NOT INDICATIVE OF FUTURE RESULTS. INVESTMENT RETURNS 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 the Lipper International Funds Index from April 30, 2001 to October 31, 2004. The performance of the Fund assumes reinvestment of all dividends and capital gains and does not include a sales charge. The performance of the indices does not include a sales charge and has been adjusted to reflect reinvestment of all dividends and capital gains of the securities included in the benchmark. The 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. 5 JPMORGAN TAX AWARE DISCIPLINED EQUITY FUND AS OF OCTOBER 31, 2004 (Unaudited) FUND FACTS Fund Inception 1/30/97 Fiscal Year End OCTOBER 31 Net Assets as of 10/31/2004 (In Millions) $201.5 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 total return from a portfolio of selected equity securities, returned 10.4% for the year ended October 31, 2004. This compares to the 9.4% appreciation from the S&P 500 Index, the Fund's benchmark. The Fund participated in the market's advance and outperformed its benchmark in the period, which 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. Along with the uncertainty of the Fed's stance, came the uncertainty of the geopolitical situation and the election here at home, the rising price of oil, and slowing company fundamentals. Collectively, these factors restricted the market's upside. Q: HOW DID THE FUND OUTPERFORM ITS BENCHMARK? A: The portfolio's financial holdings were large contributors to relative performance, as these companies advanced due to an improved economic outlook and increased merger activity. Shares of Greenpoint Financial rose after North Fork Bancorporation announced a $6.3 billion acquisition of the company. United States Steel Corp. was another bright spot over the year. The company benefited from increased demand as well as a surge in steel prices. In contrast, stock selection in the portfolio's Energy and Consumer Staples sectors 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 expectations. 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. 6 (Unaudited) [CHART] PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS Consumer Goods & Services 22.3% Finance & Insurance 19.8% Technology 16.7% Industrial Products & Services 14.3% Pharmaceuticals 9.2% Energy 7.4% Telecommuncations 3.6% Health Services & Systems 3.2% Utilities 2.9% REITs 0.4% Short-Term Investments 0.2%
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO 1. General Electric Co. 3.7% 2. Citigroup, Inc. 3.2% 3. Microsoft Corp. 3.1% 4. Pfizer, Inc. 2.2% 5. Exxon Mobil Corp. 2.1% 6. Johnson & Johnson 2.0% 7. Procter & Gamble Co. 1.9% 8. The Coca-Cola Co. 1.8% 9. Bank of America Corp. 1.7% 10. Wal-Mart Stores, Inc. 1.7%
Top 10 equity holdings comprised 23.4% of the Portfolio's market value of investment ($47,075 in thousands). As of October 31, 2004 the Fund held 204 equity holdings. Portfolio holdings are subject to change at any time. 7 AVERAGE ANNUAL TOTAL RETURNS AS OF OCTOBER 31, 2004
SINCE INCEPTION 1 YEAR 3 YEARS 5 YEARS (1/30/97) -------------------------------------------------- INSTITUTIONAL SHARES 10.40% 3.42% (2.43%) 6.61%
[CHART] LIFE OF FUND PERFORMANCE (1/30/97 TO 10/31/04)
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 $ 4,765,314 $ 4,711,133 $ 4,393,970 5/31/2004 $ 4,835,840 $ 4,775,676 $ 4,438,789 6/30/2004 $ 4,925,787 $ 4,868,324 $ 4,518,243 7/31/2004 $ 4,778,013 $ 4,707,182 $ 4,358,297 8/31/2004 $ 4,806,681 $ 4,726,011 $ 4,360,912 9/30/2004 $ 4,863,400 $ 4,777,052 $ 4,411,062 10/31/2004 $ 4,925,427 $ 4,850,141 $ 4,470,612
SOURCE: LIPPER, INC. THE QUOTED PERFORMANCE IS PAST PERFORMANCE AND NOT INDICATIVE OF FUTURE RESULTS. INVESTMENT RETURNS 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 the Lipper Large-Cap Core Funds Index from January 30, 1997 to October 31, 2004. The performance of the Fund assumes reinvestment of all dividends and capital gains and does not include a sales charge. The performance of the indices reflects an initial investment at the end of the month following the Fund's inception. The performance of the indices does not include a sales charge and has been adjusted to reflect reinvestment of all dividends and capital gains of the securities included in the benchmark. The S&P 500 Index is 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. 8 JPMORGAN TAX AWARE ENHANCED INCOME FUND AS OF OCTOBER 31, 2004 (Unaudited) FUND FACTS Fund Inception 4/16/99 Fiscal Year End OCTOBER 31 Net Assets as of 10/31/2004 (In Millions) $1,122.0 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 consistent with principal preservation, returned 0.9% (Institutional Shares) for the year ended October 31, 2004. This compares to the 1.2% 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's performance was hurt by its sensitivity to the rapid increase in interest rates. Our duration positioning, which was longer than the benchmark, detracted as investors considered the strengthening economy, and as interest rates rose. Contrary to our expectations, the March employment report showed strong job growth as well as higher estimates for January and February. A positive for performance was our tactical allocation to municipal securities as these issues outperformed Treasuries. The Fund also benefited from our allocation to general obligation California credits. At the beginning of the period, California issues suffered in response to budget and gubernatorial uncertainties. However, they rallied strongly after the election, action on the budget, and an improving regional economy. Q: HOW WAS THE FUND MANAGED? A: Municipals performed well for most of the period. Over the last year, the ratio (the difference in prices) between two-year municipal and taxable securities was volatile -- reaching a high of 83% and a low of 67%, for an average of 76%. Municipalities issued fewer bonds because of rising rates and an increase in revenues over the same period last year. We began the period with an 84% allocation to municipals, whittling it down to 76% as yields fell, and investing the proceeds in corporate bonds and asset-backed securities. We increased our position when yields rose, and ended the period at 85%. We maintained an extended duration position (making the portfolio more sensitive to changes in interest rates) because we believed that economic growth was spurred by tax cuts and mortgage refinancing and would not translate into job creation. [CHART] PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS State and Municipal Obligations 81.7% Money Market Fund 10.3% Asset Backed Securities 3.3% Corporate Notes and Bonds 3.2% Residential Mortgage Backed Securities 1.1% Other (Less than 1%) 0.4%
9 AVERAGE ANNUAL TOTAL RETURNS AS OF OCTOBER 31, 2004
SINCE INCEPTION 1 YEAR 3 YEARS 5 YEARS (4/16/99) ---------------------------------------------------------- CLASS A SHARES Without Sales Charge 0.47% 1.03% 2.55% 2.57% With Sales Charge* (1.00%) 0.54% 2.25% 2.29% ---------------------------------------------------------- INSTITUTIONAL SHARES 0.88% 1.54% 2.94% 2.94% ---------------------------------------------------------- SELECT SHARES 0.63% 1.28% 2.71% 2.70%
* Sales Charge for Class A Shares is 1.50%. [CHART] LIFE OF FUND PERFORMANCE (4/16/99 TO 10/31/04)
JPMORGAN TAX AWARE ENHANCED MERRIL LYNCH 3-MONTH LIPPER SHORT-INTERMEDIATE INCOME FUND (INSTITUTIONAL SHARES) US T-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 $ 3,503,627 $ 3,550,840 $ 3,945,638 5/31/2004 $ 3,497,670 $ 3,554,036 $ 3,930,644 6/30/2004 $ 3,502,217 $ 3,556,524 $ 3,940,471 7/31/2004 $ 3,507,121 $ 3,560,791 $ 3,966,872 8/31/2004 $ 3,512,031 $ 3,565,064 $ 4,017,251 9/30/2004 $ 3,516,947 $ 3,569,699 $ 4,022,072 10/31/2004 $ 3,522,741 $ 3,574,340 $ 4,043,791
SOURCE: LIPPER, INC. THE QUOTED PERFORMANCE IS PAST PERFORMANCE AND NOT INDICATIVE OF FUTURE RESULTS. INVESTMENT RETURNS 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 October 31, 2004. The performance of the Fund assumes reinvestment of all dividends and capital gains and does not include a sales charge. The performance of the indices reflects an initial investment at the end of the month following the Fund's inception. The performance of the indices does not include a sales charge and has been adjusted to reflect reinvestment of all dividends and capital gains of the securities included in the benchmark. The 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. 10 JPMORGAN TAX AWARE LARGE CAP GROWTH FUND AS OF OCTOBER 31, 2004 (Unaudited) FUND FACTS Fund Inception 1/1/97 Fiscal Year End OCTOBER 31 Net Assets as of 10/31/2004 (In Millions) $199.0 Primary Benchmark RUSSELL 1000(R) GROWTH INDEX Q: HOW DID THE FUND PERFORM? A: JPMorgan Tax Aware Large Cap Growth Fund, which seeks long-term capital growth while minimizing taxable capital gain distributions from a portfolio of large cap equity securities, returned -0.2% for the year ended October 31, 2004, which compares with the 3.4% return of the Russell 1000(R) Growth Index over the same period. Q: WHY DID THE FUND PERFORM THIS WAY? A: The Fund lagged the Russell 1000 Growth Index as solid stock picking within the Software & Services, Network Technology and Industrial Cyclicals sectors was offset by difficulties within the Pharmaceutical/Medical Technology, Health Services & Systems and Consumer Cyclicals sectors. In Pharmaceuticals, Forest Labs declined after announcing a disappointment in clinical studies for its Alzheimer's treatment. We continue to believe that the company can be successful with its existing drug pipeline. Omnicare, a provider of pharmacy services to long-term care institutions, fell on disappointing earnings and declining margins. We eliminated this position owing to our reduced expectations for the company's growth rate and future profitability. Apollo Group, which offers higher education to working adults through numerous campuses and learning facilities, lagged the consumer cyclicals sector on concerns of a slowdown in enrollment growth, which occurred amidst a buyback of its on-line tracking stock. Apollo Group remains one of the largest overweights in the Fund based on our thesis of continued strong enrollment growth and improving margins in 2005. At the stock level, an overweight position in Sepracor spurred results as the company received an approval from the Federal Drug Administration for its new insomnia drug, Estorra. Altera outperformed its Semiconductor peers by nearly 30% for the year as the company's programmable logic technology continued to take share within the industry. Yahoo's stock rose by more than 65% over the last 12 months as operating momentum at the company remained strong on the back of significant growth in both sponsored search and display advertising. A position in Google also added value as the stock was purchased on the IPO market and has continued to garner investor support. Juniper leapt nearly 48% as the company continued to take share within the Network Technology space. Q: HOW WAS THE FUND MANAGED? A: The Fund continued to be managed with a focus on companies with strong business models, high returns on capital and free cash flow, leadership positions in their industries, and quality earnings and/or cash flow growth above 12%. 11 [CHART] PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS Technology 32.7% Consumer Goods & Services 25.8% Pharmaceuticals 15.2% Finance & Insurance 7.7% Industrial Products & Services 6.3% Health Services & Systems 5.9% Telecommunications 2.7% Energy 2.5% Short-Term Investments 1.2%
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO 1. Microsoft Corp. 4.0% 2. Johnson & Johnson 3.7% 3. Pfizer, Inc. 3.7% 4. Cisco Systems, Inc. 2.9% 5. Home Depot, Inc. 2.9% 6. Procter & Gamble Co. 2.7% 7. Dell, Inc. 2.3% 8. Wal-Mart Stores, Inc. 2.2% 9. The Coca-Cola Co. 2.2% 10. Intel Corp. 2.1%
Top 10 equity holdings comprised 28.7% of the Portfolio's market value of investments ($57,317 in thousands). As of October 31, 2004 the Fund held 99 equity holdings. Portfolio holdings are subject to change at any time. 12 (Unaudited) AVERAGE ANNUAL TOTAL RETURNS AS OF OCTOBER 31, 2004
1 YEAR 3 YEARS 5 YEARS 10 YEARS ---------------------------------------------------------------- SELECT SHARES (0.21%) (3.06%) (9.65%) 7.60%
[CHART] TEN-YEAR FUND PERFORMANCE (10/31/94 TO 10/31/04)
JPMORGAN TAX AWARE RUSSELL 1000 LIPPER LARGE CAP GROWTH LARGE CAP GROWTH FUND GROWTH INDEX FUNDS INDEX 10/31/94 $ 1,000,000 $ 1,000,000 $ 1,000,000 11/30/94 $ 978,100 $ 968,000 $ 963,100 12/31/94 $ 1,002,063 $ 984,262 $ 970,612 1/31/95 $ 1,025,412 $ 1,005,227 $ 978,183 2/28/95 $ 1,071,965 $ 1,047,346 $ 1,011,832 3/31/95 $ 1,100,265 $ 1,077,929 $ 1,040,568 4/30/95 $ 1,116,439 $ 1,101,535 $ 1,068,976 5/31/95 $ 1,146,360 $ 1,139,979 $ 1,104,359 6/30/95 $ 1,182,241 $ 1,183,982 $ 1,160,792 7/31/95 $ 1,215,816 $ 1,233,236 $ 1,223,939 8/31/95 $ 1,230,892 $ 1,234,592 $ 1,230,793 9/30/95 $ 1,273,604 $ 1,291,507 $ 1,276,455 10/31/95 $ 1,261,760 $ 1,292,411 $ 1,269,180 11/30/95 $ 1,331,535 $ 1,342,686 $ 1,309,159 12/31/95 $ 1,334,731 $ 1,350,339 $ 1,309,682 1/31/96 $ 1,358,089 $ 1,395,576 $ 1,348,187 2/29/96 $ 1,378,324 $ 1,421,115 $ 1,378,521 3/31/96 $ 1,386,594 $ 1,422,962 $ 1,379,211 4/30/96 $ 1,401,569 $ 1,460,386 $ 1,412,036 5/31/96 $ 1,418,388 $ 1,511,353 $ 1,453,691 6/30/96 $ 1,422,501 $ 1,513,469 $ 1,440,608 7/31/96 $ 1,332,742 $ 1,424,780 $ 1,363,535 8/31/96 $ 1,363,261 $ 1,461,539 $ 1,404,441 9/30/96 $ 1,439,331 $ 1,567,939 $ 1,502,190 10/31/96 $ 1,452,285 $ 1,577,347 $ 1,520,968 11/30/96 $ 1,571,663 $ 1,695,806 $ 1,619,374 12/31/96 $ 1,527,657 $ 1,662,568 $ 1,579,214 1/31/97 $ 1,564,473 $ 1,779,114 $ 1,679,336 2/28/97 $ 1,547,264 $ 1,767,016 $ 1,655,154 3/31/97 $ 1,491,872 $ 1,671,420 $ 1,570,410 4/30/97 $ 1,593,916 $ 1,782,403 $ 1,656,625 5/31/97 $ 1,714,257 $ 1,911,092 $ 1,769,110 6/30/97 $ 1,798,427 $ 1,987,536 $ 1,843,236 7/31/97 $ 1,977,730 $ 2,163,234 $ 2,019,449 8/31/97 $ 1,873,108 $ 2,036,685 $ 1,909,389 9/30/97 $ 1,965,639 $ 2,136,890 $ 2,014,787 10/31/97 $ 1,914,336 $ 2,057,825 $ 1,944,874 11/30/97 $ 1,984,018 $ 2,145,283 $ 1,988,050 12/31/97 $ 2,029,650 $ 2,169,310 $ 2,015,088 1/31/98 $ 2,059,080 $ 2,234,172 $ 2,050,755 2/28/98 $ 2,232,867 $ 2,402,182 $ 2,207,433 3/31/98 $ 2,327,987 $ 2,498,029 $ 2,310,078 4/30/98 $ 2,398,292 $ 2,532,502 $ 2,348,888 5/31/98 $ 2,329,701 $ 2,460,579 $ 2,296,272 6/30/98 $ 2,470,182 $ 2,611,412 $ 2,427,619 7/31/98 $ 2,443,998 $ 2,594,177 $ 2,426,405 8/31/98 $ 2,097,195 $ 2,204,791 $ 2,030,173 9/30/98 $ 2,269,584 $ 2,374,119 $ 2,177,767 10/31/98 $ 2,471,804 $ 2,564,998 $ 2,318,233 11/30/98 $ 2,623,078 $ 2,760,194 $ 2,477,496 12/31/98 $ 2,858,893 $ 3,009,164 $ 2,750,020 1/31/99 $ 3,063,304 $ 3,185,802 $ 2,928,496 2/28/99 $ 2,957,620 $ 3,040,210 $ 2,808,135 3/31/99 $ 3,146,020 $ 3,200,430 $ 2,967,637 4/30/99 $ 3,191,638 $ 3,204,590 $ 2,977,727 5/31/99 $ 3,090,782 $ 3,106,209 $ 2,879,165 6/30/99 $ 3,321,354 $ 3,323,644 $ 3,079,266 7/31/99 $ 3,258,581 $ 3,217,952 $ 2,982,578 8/31/99 $ 3,308,763 $ 3,270,405 $ 2,983,174 9/30/99 $ 3,285,601 $ 3,201,726 $ 2,953,044 10/31/99 $ 3,455,467 $ 3,443,456 $ 3,179,542 11/30/99 $ 3,590,921 $ 3,629,059 $ 3,336,612 12/31/99 $ 3,926,313 $ 4,006,481 $ 3,707,309 1/31/2000 $ 3,728,427 $ 3,818,577 $ 3,558,646 2/29/2000 $ 3,946,167 $ 4,005,305 $ 3,745,831 3/31/2000 $ 4,167,942 $ 4,292,085 $ 4,008,788 4/30/2000 $ 3,953,293 $ 4,087,782 $ 3,698,508 5/31/2000 $ 3,620,030 $ 3,881,758 $ 3,485,474 6/30/2000 $ 3,955,969 $ 4,175,995 $ 3,715,864 7/31/2000 $ 3,839,664 $ 4,001,856 $ 3,640,432 8/31/2000 $ 4,118,807 $ 4,364,024 $ 3,955,329 9/30/2000 $ 3,604,368 $ 3,951,187 $ 3,653,538 10/31/2000 $ 3,424,150 $ 3,764,296 $ 3,460,266 11/30/2000 $ 3,019,073 $ 3,209,439 $ 2,995,898 12/31/2000 $ 2,955,974 $ 3,108,021 $ 2,977,323 1/31/2001 $ 3,104,069 $ 3,322,785 $ 3,063,963 2/28/2001 $ 2,679,122 $ 2,758,576 $ 2,589,662 3/31/2001 $ 2,428,356 $ 2,458,443 $ 2,320,596 4/30/2001 $ 2,716,359 $ 2,769,436 $ 2,569,828 5/31/2001 $ 2,681,046 $ 2,728,725 $ 2,550,297 6/30/2001 $ 2,643,243 $ 2,665,419 $ 2,476,849 7/31/2001 $ 2,601,216 $ 2,598,783 $ 2,388,178 8/31/2001 $ 2,410,807 $ 2,386,203 $ 2,206,676 9/30/2001 $ 2,166,351 $ 2,148,060 $ 1,984,684 10/31/2001 $ 2,283,984 $ 2,260,833 $ 2,067,049 11/30/2001 $ 2,431,529 $ 2,478,099 $ 2,256,391 12/31/2001 $ 2,437,122 $ 2,473,391 $ 2,266,770 1/31/2002 $ 2,414,944 $ 2,429,612 $ 2,215,541 2/28/2002 $ 2,345,877 $ 2,328,783 $ 2,123,818 3/31/2002 $ 2,388,571 $ 2,409,359 $ 2,209,195 4/30/2002 $ 2,171,211 $ 2,212,755 $ 2,062,063 5/31/2002 $ 2,135,386 $ 2,159,206 $ 2,024,533 6/30/2002 $ 1,936,796 $ 1,959,480 $ 1,859,736 7/31/2002 $ 1,846,347 $ 1,851,708 $ 1,719,698 8/31/2002 $ 1,863,888 $ 1,857,263 $ 1,729,156 9/30/2002 $ 1,659,605 $ 1,664,665 $ 1,561,601 10/31/2002 $ 1,831,707 $ 1,817,315 $ 1,681,844 11/30/2002 $ 1,925,856 $ 1,915,995 $ 1,751,473 12/31/2002 $ 1,778,336 $ 1,783,600 $ 1,629,395 1/31/2003 $ 1,730,498 $ 1,740,258 $ 1,591,756 2/28/2003 $ 1,726,345 $ 1,732,253 $ 1,574,724 3/31/2003 $ 1,770,540 $ 1,764,473 $ 1,604,329 4/30/2003 $ 1,898,727 $ 1,894,868 $ 1,721,766 5/31/2003 $ 1,966,321 $ 1,989,422 $ 1,806,132 6/30/2003 $ 1,976,153 $ 2,016,876 $ 1,821,123 7/31/2003 $ 2,012,712 $ 2,067,096 $ 1,873,936 8/31/2003 $ 2,029,619 $ 2,118,567 $ 1,920,035 9/30/2003 $ 2,003,437 $ 2,095,898 $ 1,879,138 10/31/2003 $ 2,085,177 $ 2,213,687 $ 1,993,202 11/30/2003 $ 2,089,347 $ 2,236,931 $ 2,012,137 12/31/2003 $ 2,156,206 $ 2,314,329 $ 2,068,879 1/31/2004 $ 2,167,418 $ 2,361,541 $ 2,108,602 2/29/2004 $ 2,180,206 $ 2,376,655 $ 2,117,669 3/31/2004 $ 2,158,404 $ 2,332,687 $ 2,093,951 4/30/2004 $ 2,116,099 $ 2,305,628 $ 2,047,046 5/31/2004 $ 2,166,886 $ 2,348,512 $ 2,084,098 6/30/2004 $ 2,195,055 $ 2,377,869 $ 2,113,901 7/31/2004 $ 2,039,865 $ 2,243,519 $ 1,988,969 8/31/2004 $ 2,027,218 $ 2,232,526 $ 1,974,847 9/30/2004 $ 2,048,301 $ 2,253,735 $ 2,021,059 10/31/2004 $ 2,080,053 $ 2,288,893 $ 2,045,514
SOURCE: LIPPER, INC. THE QUOTED PERFORMANCE IS PAST PERFORMANCE AND NOT INDICATIVE OF FUTURE RESULTS. INVESTMENT RETURNS 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(R) Growth Index, and Lipper Large Cap Growth Funds Index from October 31, 1994 to October 31, 2004. The performance of the Fund assumes reinvestment of all dividends and capital gains and does not include a sales charge. The performance of the indices does not include a sales charge and has been adjusted to reflect reinvestment of all dividends and capital gains of the securities included in the benchmark. The Russell 1000(R) 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. 13 JPMORGAN TAX AWARE LARGE CAP VALUE FUND AS OF OCTOBER 31, 2004 (Unaudited) FUND FACTS Fund Inception 1/1/97 Fiscal Year End OCTOBER 31 Net Assets as of 10/31/2004 (In Millions) $538.8 Primary Benchmark RUSSELL 1000(R) 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 from a portfolio of large cap equity securities, had a return of 15.1% during the year ended October 31, 2004. This compares to the 15.5% return from the Fund's benchmark, the Russell 1000(R) Value Index. Q: WHY DID THE FUND PERFORM THIS WAY? A: The Fund participated in the markets' rally and performed in line with its benchmark in the period, which 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. Surging energy prices, the Fed's uncertain stance, geopolitical tension, slowing company fundamentals, and the uncertainty surrounding the U.S. presidential election restricted the market's upside. The Industrial sector was the largest contributor, as the portfolio's holdings benefited from an improved economic outlook and lower interest rates. Amongst the top contributors in the sector was 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 Utilities sector, and stock selection in Financials 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 their full value. The Fund takes a traditional, disciplined approach to value investing -- uncovering financially strong stocks that are 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. 14 (Unaudited) [CHART] PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS Finance & Insurance 28.3% Consumer Goods & Services 20.7% Industrial Products & Services 17.4% Energy 10.9% Utilities 4.5% Telecommunications 4.4% Technology 4.1% Pharmaceuticals 4.1% Short-Term Investments 3.2% Health Services & Systems 1.4% REITs 1.0%
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO 1. General Electric Co. 4.8% 2. Citigroup, Inc. 4.5% 3. Exxon Mobil Corp. 4.4% 4. Bank of America Corp. 3.1% 5. Verizon Communications, Inc. 2.8% 6. ConocoPhillips 2.5% 7. Goldman Sachs Group, Inc. 2.5% 8. Tyco International LTD (Bermuda) 2.4% 9. AMBAC Financial Group, Inc. 2.3% 10. Raytheon Co. 2.1%
Top 10 equity holdings comprised 31.4% of the Portfolio's market value of investments ($171,491 in thousands). As of October 31, 2004 the Fund held 59 equity holdings. Portfolio holdings are subject to change at any time. 15 AVERAGE ANNUAL TOTAL RETURNS AS OF OCTOBER 31, 2004
1 YEAR 3 YEARS 5 YEARS 10 YEARS ------------------------------------------------------------- SELECT SHARES 15.12% 6.22% 0.03% 8.49%
[CHART] TEN-YEAR FUND PERFORMANCE (10/31/94 TO 10/31/04)
JPMORGAN TAX AWARE LARGE CAP VALUE FUND (SELECT SHARES) RUSSELL 1000 VALUE INDEX LIPPER LARGE CAP VALUE INDEX 10/31/94 $ 1,000,000 $ 1,000,000 $ 1,000,000 11/30/94 $ 956,600 $ 959,600 $ 962,600 12/31/94 $ 964,061 $ 970,635 $ 970,012 1/31/95 $ 967,339 $ 1,000,531 $ 987,375 2/28/95 $ 1,015,610 $ 1,040,052 $ 1,019,169 3/31/95 $ 1,047,601 $ 1,062,829 $ 1,043,221 4/30/95 $ 1,074,734 $ 1,096,414 $ 1,068,258 5/31/95 $ 1,116,864 $ 1,142,574 $ 1,101,054 6/30/95 $ 1,150,593 $ 1,157,998 $ 1,115,698 7/31/95 $ 1,203,520 $ 1,198,297 $ 1,146,268 8/31/95 $ 1,212,306 $ 1,215,193 $ 1,160,367 9/30/95 $ 1,231,582 $ 1,259,183 $ 1,196,455 10/31/95 $ 1,208,428 $ 1,246,717 $ 1,179,465 11/30/95 $ 1,262,445 $ 1,309,925 $ 1,229,120 12/31/95 $ 1,278,225 $ 1,342,804 $ 1,259,480 1/31/96 $ 1,321,813 $ 1,384,700 $ 1,288,322 2/28/96 $ 1,340,318 $ 1,395,224 $ 1,297,727 3/31/96 $ 1,366,186 $ 1,418,942 $ 1,314,078 4/30/96 $ 1,371,514 $ 1,424,334 $ 1,326,167 5/31/96 $ 1,389,344 $ 1,442,138 $ 1,345,795 6/30/96 $ 1,396,985 $ 1,443,292 $ 1,347,813 7/31/96 $ 1,352,841 $ 1,388,736 $ 1,303,740 8/31/96 $ 1,387,067 $ 1,428,454 $ 1,333,204 9/30/96 $ 1,441,024 $ 1,485,306 $ 1,382,266 10/31/96 $ 1,482,382 $ 1,542,787 $ 1,414,888 11/30/96 $ 1,575,327 $ 1,654,639 $ 1,495,678 12/31/96 $ 1,565,718 $ 1,633,460 $ 1,486,106 1/31/97 $ 1,650,423 $ 1,712,683 $ 1,540,497 2/28/97 $ 1,669,898 $ 1,737,859 $ 1,561,756 3/31/97 $ 1,614,290 $ 1,675,296 $ 1,511,155 4/30/97 $ 1,667,723 $ 1,745,659 $ 1,556,187 5/31/97 $ 1,758,781 $ 1,843,241 $ 1,645,824 6/30/97 $ 1,836,343 $ 1,922,316 $ 1,708,036 7/31/97 $ 1,933,486 $ 2,066,874 $ 1,810,860 8/31/97 $ 1,866,587 $ 1,993,294 $ 1,752,912 9/30/97 $ 1,980,076 $ 2,113,689 $ 1,841,785 10/31/97 $ 1,937,900 $ 2,054,717 $ 1,787,821 11/30/97 $ 2,003,014 $ 2,145,535 $ 1,847,176 12/31/97 $ 2,055,292 $ 2,208,185 $ 1,889,846 1/31/98 $ 2,047,688 $ 2,176,829 $ 1,889,090 2/28/98 $ 2,114,852 $ 2,323,329 $ 1,991,101 3/31/98 $ 2,226,304 $ 2,465,517 $ 2,081,298 4/30/98 $ 2,203,151 $ 2,482,036 $ 2,080,257 5/31/98 $ 2,182,001 $ 2,445,302 $ 2,054,670 6/30/98 $ 2,189,201 $ 2,476,602 $ 2,071,313 7/31/98 $ 2,119,147 $ 2,433,013 $ 2,017,873 8/31/98 $ 1,839,843 $ 2,070,981 $ 1,774,517 9/30/98 $ 1,967,712 $ 2,189,855 $ 1,865,728 10/31/98 $ 2,085,382 $ 2,359,569 $ 1,975,992 11/30/98 $ 2,163,583 $ 2,469,525 $ 2,059,577 12/31/98 $ 2,299,240 $ 2,553,489 $ 2,112,302 1/31/99 $ 2,316,254 $ 2,573,917 $ 2,109,556 2/28/99 $ 2,248,388 $ 2,537,625 $ 2,070,529 3/31/99 $ 2,267,050 $ 2,590,153 $ 2,114,217 4/30/99 $ 2,402,166 $ 2,832,074 $ 2,264,327 5/31/99 $ 2,353,162 $ 2,800,921 $ 2,232,626 6/30/99 $ 2,430,346 $ 2,882,148 $ 2,302,954 7/31/99 $ 2,358,164 $ 2,797,701 $ 2,244,689 8/31/99 $ 2,274,685 $ 2,693,906 $ 2,192,388 9/30/99 $ 2,218,273 $ 2,599,619 $ 2,114,777 10/31/99 $ 2,255,762 $ 2,749,357 $ 2,186,045 11/30/99 $ 2,282,831 $ 2,727,912 $ 2,173,803 12/31/99 $ 2,357,936 $ 2,741,006 $ 2,200,758 1/31/2000 $ 2,297,337 $ 2,651,650 $ 2,117,350 2/28/2000 $ 2,238,296 $ 2,454,632 $ 1,998,143 3/31/2000 $ 2,445,114 $ 2,754,097 $ 2,182,971 4/30/2000 $ 2,415,284 $ 2,722,150 $ 2,166,381 5/31/2000 $ 2,373,258 $ 2,750,732 $ 2,199,093 6/30/2000 $ 2,420,011 $ 2,625,024 $ 2,151,812 7/31/2000 $ 2,382,985 $ 2,657,836 $ 2,164,293 8/31/2000 $ 2,511,904 $ 2,805,612 $ 2,291,121 9/30/2000 $ 2,390,077 $ 2,831,424 $ 2,286,080 10/31/2000 $ 2,398,681 $ 2,901,077 $ 2,334,088 11/30/2000 $ 2,272,511 $ 2,793,447 $ 2,251,928 12/31/2000 $ 2,303,417 $ 2,933,399 $ 2,364,749 1/31/2001 $ 2,300,883 $ 2,944,839 $ 2,384,377 2/28/2001 $ 2,141,432 $ 2,862,972 $ 2,304,739 3/31/2001 $ 2,024,081 $ 2,761,909 $ 2,220,385 4/30/2001 $ 2,172,042 $ 2,897,243 $ 2,335,623 5/31/2001 $ 2,177,689 $ 2,962,431 $ 2,376,263 6/30/2001 $ 2,099,292 $ 2,896,665 $ 2,317,332 7/31/2001 $ 2,106,220 $ 2,890,582 $ 2,314,783 8/31/2001 $ 1,979,004 $ 2,774,670 $ 2,238,395 9/30/2001 $ 1,858,285 $ 2,579,333 $ 2,084,169 10/31/2001 $ 1,884,487 $ 2,557,151 $ 2,094,799 11/30/2001 $ 2,004,152 $ 2,705,721 $ 2,202,890 12/31/2001 $ 2,020,185 $ 2,769,576 $ 2,241,661 1/31/2002 $ 1,994,528 $ 2,748,250 $ 2,219,693 2/28/2002 $ 1,993,132 $ 2,752,648 $ 2,223,022 3/31/2002 $ 2,073,655 $ 2,882,848 $ 2,307,275 4/30/2002 $ 1,967,898 $ 2,783,966 $ 2,228,597 5/31/2002 $ 1,984,429 $ 2,797,886 $ 2,230,603 6/30/2002 $ 1,855,838 $ 2,637,287 $ 2,090,744 7/31/2002 $ 1,715,722 $ 2,392,020 $ 1,922,857 8/31/2002 $ 1,741,801 $ 2,410,199 $ 1,937,086 9/30/2002 $ 1,548,113 $ 2,142,185 $ 1,735,436 10/31/2002 $ 1,658,184 $ 2,300,921 $ 1,840,603 11/30/2002 $ 1,737,279 $ 2,445,879 $ 1,946,254 12/31/2002 $ 1,677,169 $ 2,339,728 $ 1,873,464 1/31/2003 $ 1,613,940 $ 2,283,106 $ 1,821,381 2/28/2003 $ 1,568,265 $ 2,222,147 $ 1,776,393 3/31/2003 $ 1,567,481 $ 2,225,925 $ 1,778,880 4/30/2003 $ 1,691,312 $ 2,421,806 $ 1,915,142 5/31/2003 $ 1,793,129 $ 2,578,255 $ 2,030,051 6/30/2003 $ 1,819,847 $ 2,610,483 $ 2,051,367 7/31/2003 $ 1,842,049 $ 2,649,379 $ 2,074,342 8/31/2003 $ 1,868,206 $ 2,690,710 $ 2,105,250 9/30/2003 $ 1,840,743 $ 2,664,341 $ 2,091,144 10/31/2003 $ 1,962,048 $ 2,827,398 $ 2,195,283 11/30/2003 $ 1,991,675 $ 2,865,851 $ 2,222,724 12/31/2003 $ 2,116,753 $ 3,042,387 $ 2,357,644 1/31/2004 $ 2,148,080 $ 3,095,933 $ 2,394,187 2/29/2004 $ 2,200,064 $ 3,162,186 $ 2,439,437 3/31/2004 $ 2,173,443 $ 3,134,359 $ 2,411,872 4/30/2004 $ 2,119,107 $ 3,057,881 $ 2,371,352 5/31/2004 $ 2,141,782 $ 3,089,071 $ 2,386,529 6/30/2004 $ 2,203,893 $ 3,161,973 $ 2,441,181 7/31/2004 $ 2,171,055 $ 3,117,389 $ 2,389,427 8/31/2004 $ 2,187,121 $ 3,161,656 $ 2,413,800 9/30/2004 $ 2,239,393 $ 3,210,662 $ 2,448,558 10/31/2004 $ 2,259,402 $ 3,263,959 $ 2,475,493
SOURCE: LIPPER, INC. THE QUOTED PERFORMANCE IS PAST PERFORMANCE AND NOT INDICATIVE OF FUTURE RESULTS. INVESTMENT RETURNS 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(R) Value Index and Lipper Large Cap Value Index from October 31, 1994 to October 31, 2004. The performance of the Fund assumes reinvestment of all dividends and capital gains and does not include a sales charge. The performance of the indices does not include a sales charge and has been adjusted to reflect reinvestment of all dividends and capital gains of the securities included in the benchmark. The Russell 1000 Value Index measures the performance of the Russell 1000 companies with lower price-to-book ratios and lower forecasted growth values. The Lipper Large Cap Value 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. 16 JPMORGAN TAX AWARE SHORT-INTERMEDIATE INCOME FUND AS OF OCTOBER 31, 2004 (Unaudited) FUND FACTS Fund Inception 12/20/02 Fiscal Year End OCTOBER 31 Net Assets as of 10/31/2004 (In Millions) $706.7 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 2.0% (Institutional shares) for the year ended October 31, 2004. This compares to the 2.2% return from the Fund's benchmark index, the Lehman 1-5 Year Municipal Bond Index. Q: WHY DID THE FUND PERFORM THIS WAY? A: Our allocation to the taxable sectors was a drag on performance at a time when municipal securities outperformed taxable issues. Our decision to trade duration also hindered performance, especially during the second quarter, as investors started pricing in a strengthening economy. Contributing positively were our allocations across the yield curve. As the yield curve flattened over the period, we were able to take advantage of positions we acquired when the curve was steeper. The Fund's performance also was helped by our allocations along the credit spectrum as credit fundamentals improved and spreads compressed. Q: HOW WAS THE FUND MANAGED? A: Low seasonal supply at the beginning of 2004 was met with strong demand from both retail and institutional buyers. However, in the second half of March, an avalanche of supply overwhelmed demand. We tactically traded our allocation to municipals, averaging about 90% throughout the period. Municipal issuance was roughly 10% lower this year than last because of fiscal improvements at the state and local level and because of a reduction in financing activity. Demand from retail investors and from property and casualty companies remained strong. As a result, municipals performed well for most of the period. Over the last year, the ratio (the difference in prices) between three-year AAA general obligation municipal and taxable securities was volatile -- reaching a high of 86% and a low of 71%, for an average of 76%. [CHART] PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS State and Municipal Obligations 85.0% Corporate Notes and Bonds 7.7% Residential Mortgage Backed Securities 3.4% Commercial Mortgage Backed Securities 2.7% Other (Less than 1%) 1.2%
17 AVERAGE ANNUAL TOTAL RETURNS AS OF OCTOBER 31, 2004
SINCE INCEPTION 1 YEAR (12/20/02) ------------------------------- INSTITUTIONAL SHARES 2.02% 2.38% ------------------------------- SELECT SHARES 1.86% 2.23%
[CHART] LIFE OF FUND PERFORMANCE (12/20/02 TO 10/31/04)
JPMORGAN TAX AWARE SHORT-INTERMEDIATE LIPPER SHORT-INTERMEDIATE INCOME FUND (INSTITUTIONAL SHARES) LEHMAN 1-5 YEAR MUNI BOND INDEX MUNI DEBT FUNDS INDEX 12/20/2002 $ 3,000,000 $ 3,000,000 $ 3,000,000 12/31/2002 $ 3,016,200 $ 3,000,000 $ 3,000,000 1/31/2003 $ 3,011,374 $ 3,008,010 $ 3,000,300 2/28/2003 $ 3,028,539 $ 3,026,509 $ 3,026,703 3/31/2003 $ 3,031,265 $ 3,023,180 $ 3,019,741 4/30/2003 $ 3,045,815 $ 3,031,040 $ 3,033,028 5/31/2003 $ 3,079,014 $ 3,054,682 $ 3,077,310 6/30/2003 $ 3,072,856 $ 3,051,933 $ 3,072,694 7/31/2003 $ 3,021,232 $ 3,024,771 $ 3,020,151 8/31/2003 $ 3,036,338 $ 3,038,080 $ 3,031,326 9/30/2003 $ 3,087,652 $ 3,080,917 $ 3,089,224 10/31/2003 $ 3,072,832 $ 3,067,977 $ 3,080,883 11/30/2003 $ 3,079,285 $ 3,072,272 $ 3,098,444 12/31/2003 $ 3,085,751 $ 3,079,031 $ 3,110,838 1/31/2004 $ 3,098,403 $ 3,089,500 $ 3,123,592 2/29/2004 $ 3,125,669 $ 3,113,907 $ 3,153,891 3/31/2004 $ 3,112,541 $ 3,107,056 $ 3,142,537 4/30/2004 $ 3,071,455 $ 3,075,986 $ 3,095,714 5/31/2004 $ 3,058,862 $ 3,064,912 $ 3,084,879 6/30/2004 $ 3,061,921 $ 3,070,736 $ 3,090,431 7/31/2004 $ 3,087,335 $ 3,091,617 $ 3,113,610 8/31/2004 $ 3,119,443 $ 3,123,460 $ 3,151,907 9/30/2004 $ 3,123,499 $ 3,126,271 $ 3,159,156 10/31/2004 $ 3,134,370 $ 3,134,712 $ 3,171,161
SOURCE: LIPPER, INC. THE QUOTED PERFORMANCE IS PAST PERFORMANCE AND NOT INDICATIVE OF FUTURE RESULTS. INVESTMENT RETURNS 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 Income Fund, Lehman 1-5 Year Municipal Bond Index, and Lipper Short-Intermediate Municipal Debt Funds Index from December 20, 2002 to October 31, 2004. The performance of the Fund assumes reinvestment of all dividends and capital gains and does not include a sales charge. The performance of the indices reflects an initial investment at the end of the month following the Fund's inception. The performance of the indices does not include a sales charge and has been adjusted to reflect reinvestment of all dividends and capital gains of the securities included in the benchmark. The 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. 18 JPMORGAN TAX AWARE U.S. EQUITY FUND AS OF OCTOBER 31, 2004 (Unaudited) FUND FACTS Fund Inception 12/18/96 Fiscal Year End OCTOBER 31 Net Assets as of 10/31/2004 (In Millions) $1,008.3 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 total return from a portfolio of selected equity securities, rose 9.5% (Select Shares) in the year ended October 31, 2004. This compares to an increase of 9.4% by the S&P 500 Index, the Fund's benchmark. Q: WHY DID THE FUND PERFORM THIS WAY? A: The 12-month period 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. Along with the uncertainty of the Fed's stance, came the uncertainty of the geopolitical situation and the election here at home, the rising price of oil, and slowing company fundamentals. Collectively, these factors restricted the market's upside. The Fund participated in the market's advance and performed inline with its benchmark. Stock selection was strongest in the industrial sector where the portfolio manager added value against the benchmark. Among the top contributors in the sector was previously battered Tyco International. Tyco continues to be a top contributor in our portfolio and has benefited from corporate restructuring, new management, and increased economic activity. ChevronTexaco was the top performer of the portfolio. The company advanced due to the rising cost of oil, and the discovery of deepwater oil in the Gulf of Mexico. Despite the strong return generated by the Fund, some sectors did lag their benchmark peer group in the period. In particular, stock selection in Consumer Discretionary and Telecommunications detracted from the Fund's relative return. Q: HOW WAS THE FUND MANAGED? A: The Fund seeks capital appreciation while minimizing capital gains distributions. The portfolio combines active investment management with tax-efficient investing. Volatility is managed by keeping sector allocation in line with the S&P 500. 19 [CHART] PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS Consumer Goods & Services 22.2% Finance & Insurance 19.6% Technology 17.3% Industrial Products & Services 13.6% Pharmaceuticals 10.2% Energy 8.1% Health Services & Systems 3.5% Telecommunications 2.0% Short-Term Investments 1.9% Utilities 1.6%
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO 1. General Electric Co. 4.6% 2. Microsoft Corp. 3.8% 3. Citigroup, Inc. 3.6% 4. Tyco International LTD (Bermuda) 3.5% 5. Freddie Mac 3.2% 6. Bank of America Corp. 3.2% 7. Johnson & Johnson 2.9% 8. Pfizer, Inc. 2.9% 9. ChevronTexaco Corp. 2.8% 10. Altria Group, Inc. 2.5%
Top 10 equity holdings comprised 33.0% of the Portfolio's market value of investments ($333,560 in thousands). As of October 31, 2004 the Fund held 60 equity holdings. Portfolio holdings are subject to change at any time. 20 (Unaudited) AVERAGE ANNUAL TOTAL RETURNS AS OF OCTOBER 31, 2004
SINCE INCEPTION 1 YEAR 3 YEARS 5 YEARS (12/18/96) ----------------------------------------------------------- CLASS A SHARES Without Sales Charge 9.15% 1.82% (2.38%) 6.86% With Sales Charge* 2.87% (0.17%) (3.53%) 6.06% ----------------------------------------------------------- CLASS B SHARES Without CDSC 8.62% 1.31% (2.82%) 6.55% With CDSC** 3.62% 0.33% (3.21%) 6.55% ----------------------------------------------------------- CLASS C SHARES Without CDSC 8.66% 1.31% (2.84%) 6.54% With CDSC*** 7.66% 1.31% (2.84%) 6.54% ----------------------------------------------------------- INSTITUTIONAL SHARES 9.50% 2.24% (2.24%) 6.96% ----------------------------------------------------------- SELECT SHARES 9.46% 2.08% (2.27%) 6.94%
* 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 10/31/04)
JPMORGAN TAX AWARE U.S. EQUITY FUND (SELECT SHARES) S&P 500 INDEX LIPPER LARGE-CAP CORE FUNDS INDEX 12/18/96 $ 1,000,000 $ 1,000,000 $ 1,000,000 12/31/96 $ 1,011,100 $ 1,000,000 $ 1,000,000 1/31/97 $ 1,082,180 $ 1,062,500 $ 1,054,700 2/28/97 $ 1,085,210 $ 1,070,788 $ 1,053,434 3/31/97 $ 1,042,128 $ 1,026,778 $ 1,008,347 4/30/97 $ 1,090,170 $ 1,088,077 $ 1,064,210 5/31/97 $ 1,157,215 $ 1,154,341 $ 1,128,807 6/30/97 $ 1,202,231 $ 1,206,055 $ 1,177,798 7/31/97 $ 1,321,372 $ 1,302,057 $ 1,270,844 8/31/97 $ 1,257,285 $ 1,229,142 $ 1,206,158 9/30/97 $ 1,311,349 $ 1,296,499 $ 1,268,275 10/31/97 $ 1,258,239 $ 1,253,196 $ 1,229,212 11/30/97 $ 1,304,290 $ 1,311,219 $ 1,269,407 12/31/97 $ 1,317,464 $ 1,333,772 $ 1,292,510 1/31/98 $ 1,338,543 $ 1,348,577 $ 1,305,306 2/28/98 $ 1,427,021 $ 1,445,809 $ 1,397,852 3/31/98 $ 1,495,375 $ 1,519,834 $ 1,467,046 4/30/98 $ 1,527,526 $ 1,535,185 $ 1,481,863 5/31/98 $ 1,505,377 $ 1,508,780 $ 1,456,523 6/30/98 $ 1,558,667 $ 1,570,036 $ 1,525,708 7/31/98 $ 1,544,483 $ 1,553,394 $ 1,513,350 8/31/98 $ 1,326,865 $ 1,328,773 $ 1,286,802 9/30/98 $ 1,420,542 $ 1,413,947 $ 1,350,756 10/31/98 $ 1,532,339 $ 1,528,901 $ 1,452,062 11/30/98 $ 1,641,288 $ 1,621,553 $ 1,538,460 12/31/98 $ 1,727,784 $ 1,714,954 $ 1,640,614 1/31/99 $ 1,783,419 $ 1,786,639 $ 1,698,035 2/28/99 $ 1,720,821 $ 1,731,075 $ 1,645,566 3/31/99 $ 1,801,699 $ 1,800,318 $ 1,711,718 4/30/99 $ 1,889,622 $ 1,869,990 $ 1,757,592 5/31/99 $ 1,842,004 $ 1,825,858 $ 1,711,015 6/30/99 $ 1,949,208 $ 1,927,193 $ 1,806,490 7/31/99 $ 1,884,495 $ 1,867,065 $ 1,753,560 8/31/99 $ 1,858,112 $ 1,857,730 $ 1,735,674 9/30/99 $ 1,801,439 $ 1,806,828 $ 1,688,637 10/31/99 $ 1,900,699 $ 1,921,200 $ 1,792,150 11/30/99 $ 1,952,398 $ 1,960,200 $ 1,836,058 12/31/99 $ 2,044,160 $ 2,075,656 $ 1,958,156 1/31/2000 $ 2,007,570 $ 1,971,458 $ 1,879,046 2/29/2000 $ 1,997,331 $ 1,934,198 $ 1,878,483 3/31/2000 $ 2,180,287 $ 2,123,362 $ 2,041,723 4/30/2000 $ 2,055,356 $ 2,059,449 $ 1,974,959 5/31/2000 $ 1,992,257 $ 2,017,230 $ 1,924,597 6/30/2000 $ 2,045,052 $ 2,066,854 $ 1,995,037 7/31/2000 $ 2,055,277 $ 2,034,611 $ 1,963,915 8/31/2000 $ 2,174,483 $ 2,160,960 $ 2,099,425 9/30/2000 $ 2,086,851 $ 2,046,862 $ 1,987,735 10/31/2000 $ 2,089,982 $ 2,038,265 $ 1,964,678 11/30/2000 $ 1,935,114 $ 1,877,650 $ 1,791,786 12/31/2000 $ 1,938,791 $ 1,886,850 $ 1,813,646 1/31/2001 $ 2,005,097 $ 1,953,833 $ 1,864,972 2/28/2001 $ 1,813,210 $ 1,775,644 $ 1,691,343 3/31/2001 $ 1,686,647 $ 1,663,068 $ 1,587,495 4/30/2001 $ 1,818,375 $ 1,792,288 $ 1,708,144 5/31/2001 $ 1,833,649 $ 1,804,297 $ 1,717,710 6/30/2001 $ 1,788,725 $ 1,760,452 $ 1,672,019 7/31/2001 $ 1,777,456 $ 1,743,200 $ 1,647,775 8/31/2001 $ 1,676,318 $ 1,634,075 $ 1,550,721 9/30/2001 $ 1,559,814 $ 1,502,206 $ 1,433,021 10/31/2001 $ 1,593,506 $ 1,530,898 $ 1,466,840 11/30/2001 $ 1,717,162 $ 1,648,318 $ 1,562,918 12/31/2001 $ 1,731,930 $ 1,662,823 $ 1,580,579 1/31/2002 $ 1,674,430 $ 1,638,546 $ 1,555,606 2/28/2002 $ 1,634,411 $ 1,606,922 $ 1,529,472 3/31/2002 $ 1,701,258 $ 1,667,342 $ 1,581,474 4/30/2002 $ 1,578,087 $ 1,566,301 $ 1,498,763 5/31/2002 $ 1,576,036 $ 1,554,710 $ 1,487,822 6/30/2002 $ 1,466,186 $ 1,444,015 $ 1,385,013 7/31/2002 $ 1,358,275 $ 1,331,382 $ 1,282,107 8/31/2002 $ 1,374,710 $ 1,340,169 $ 1,292,620 9/30/2002 $ 1,222,255 $ 1,194,493 $ 1,167,107 10/31/2002 $ 1,327,368 $ 1,299,608 $ 1,257,791 11/30/2002 $ 1,399,445 $ 1,376,155 $ 1,314,014 12/31/2002 $ 1,322,335 $ 1,295,375 $ 1,244,766 1/31/2003 $ 1,282,004 $ 1,261,436 $ 1,212,153 2/28/2003 $ 1,264,441 $ 1,242,514 $ 1,196,031 3/31/2003 $ 1,272,154 $ 1,254,567 $ 1,206,078 4/30/2003 $ 1,374,689 $ 1,357,943 $ 1,294,966 5/31/2003 $ 1,432,701 $ 1,429,506 $ 1,357,772 6/30/2003 $ 1,444,306 $ 1,447,804 $ 1,371,214 7/31/2003 $ 1,465,104 $ 1,473,285 $ 1,392,879 8/31/2003 $ 1,485,908 $ 1,502,015 $ 1,419,761 9/30/2003 $ 1,467,335 $ 1,486,093 $ 1,401,446 10/31/2003 $ 1,548,331 $ 1,570,206 $ 1,469,977 11/30/2003 $ 1,562,886 $ 1,584,024 $ 1,482,325 12/31/2003 $ 1,649,939 $ 1,667,027 $ 1,553,625 1/31/2004 $ 1,670,728 $ 1,697,533 $ 1,575,531 2/29/2004 $ 1,693,617 $ 1,721,129 $ 1,594,122 3/31/2004 $ 1,668,382 $ 1,695,140 $ 1,569,094 4/30/2004 $ 1,644,357 $ 1,668,526 $ 1,544,773 5/31/2004 $ 1,657,841 $ 1,691,385 $ 1,560,530 6/30/2004 $ 1,698,790 $ 1,724,198 $ 1,588,464 7/31/2004 $ 1,653,772 $ 1,667,127 $ 1,532,232 8/31/2004 $ 1,662,206 $ 1,673,796 $ 1,533,151 9/30/2004 $ 1,680,158 $ 1,691,873 $ 1,550,783 10/31/2004 $ 1,695,450 $ 1,717,758 $ 1,571,718
SOURCE: LIPPER, INC. THE QUOTED PERFORMANCE IS PAST PERFORMANCE AND NOT INDICATIVE OF FUTURE RESULTS. INVESTMENT RETURNS 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 October 31, 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. 21 JPMORGAN FLEMING TAX AWARE INTERNATIONAL OPPORTUNITIES FUND PORTFOLIO OF INVESTMENTS AS OF OCTOBER 31, 2004 (Amounts in thousands)
SHARES ISSUER VALUE - ----------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- 97.0% COMMON STOCKS -- 97.0% AUSTRALIA -- 1.4% 264 News Corp., LTD ++ $ 2,066 338 Southern Pacific Petroleum NL* + 0 ------------------------------------------------------------------------- 2,066 ------------------------------------------------------------------------- BRAZIL -- 1.3% 57 Petroleo Brasileiro SA, ADR + 1,867 FRANCE -- 13.0% 98 AXA (f) + 2,109 46 BNP Paribas (f) + 3,143 41 Peugeot SA (f) + 2,513 19 Sanofi-Aventis (f) + 1,415 4 Technip SA (f) + 642 82 Thomson SA (f) + 1,870 24 Total SA (f) + 5,051 64 Veolia Environnement (f) + 1,931 ------------------------------------------------------------------------- 18,674 ------------------------------------------------------------------------- GERMANY -- 5.2% 18 BASF AG (f) + 1,139 73 Bayer AG (f) + 2,065 88 Bayerische Hypo-und Vereinsbank AG* (f) + 1,722 10 E.ON AG (f) 850 27 Schering AG (f) + 1,741 ------------------------------------------------------------------------- 7,517 ------------------------------------------------------------------------- HONG KONG -- 4.5% 873 Cathay Pacific Airways LTD (f) + 1,513 1 Hutchison Telecommunications International LTD* (f) 1 85 Hutchison Whampoa LTD (f) + 653 276 Sun Hung Kai Properties LTD (f) + 2,554 516 Wharf Holdings LTD (f) + 1,700 ------------------------------------------------------------------------- 6,421 ------------------------------------------------------------------------- INDIA -- 2.1% 120 Reliance Industries LTD, GDR, # + 2,973 INDONESIA -- 0.4% 29 Telekomunikasi Indonesia TBK PT, ADR + 552 IRELAND -- 1.2% 74 CRH PLC (f) + $ 1,765 ITALY -- 0.4% 23 ENI-Ente Nazionale Idrocarburi SPA (f) + 522 JAPAN -- 18.4% 18 Canon, Inc. (f) + 873 343 Daiwa Securities Group, Inc. (f) + 2,101 275 Fujitsu LTD (f) + 1,632 17 Honda Motor Co., LTD (f) + 839 451 Itochu Corp.* (f) + 1,932 0^^ Japan Tobacco, Inc. (f) + 1,167 57 JFE Holdings, Inc. (f) + 1,537 165 Kubota Corp. (f) + 751 8 Kyocera Corp. (f) + 593 203 Mitsui Chemicals, Inc. (f) + 990 7 NEC Electronics Corp. (f) + 356 16 Nintendo Co., LTD (f) + 1,788 1 Nippon Telegraph & Telephone Corp. (f) + 2,822 50 Ricoh Co., LTD (f) + 932 9 Rohm Co., LTD (f) + 921 47 Sony Corp. (f) + 1,633 42 Suzuki Motor Corp. (f) + 746 43 Tokyo Electric Power Co. + 970 36 Toyota Motor Corp. (f) + 1,378 1 UFJ Holdings, Inc.* (f) + 2,420 ------------------------------------------------------------------------- 26,381 ------------------------------------------------------------------------- NORWAY -- 0.7% 65 Statoil ASA (f) + 948 SINGAPORE -- 1.6% 123 DBS Group Holdings LTD (f) + 1,154 823 Singapore Telecommunications LTD (f) + 1,197 ------------------------------------------------------------------------- 2,351 ------------------------------------------------------------------------- SOUTH KOREA -- 2.7% 57 Kookmin Bank, ADR* + 1,926 43 POSCO, ADR + 1,596 2 Samsung Electronics Co., LTD, GDR, # + 317 ------------------------------------------------------------------------- 3,839 -------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 22 ANNUAL REPORT OCTOBER 31 2004
SHARES ISSUER VALUE - ----------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED SPAIN -- 1.9% 61 Iberdrola SA (f) + $ 1,327 57 Industria de Diseno Textil, SA (f) + 1,451 ------------------------------------------------------------------------- 2,778 ------------------------------------------------------------------------- SWEDEN -- 1.6% 38 Atlas Copco AB, Class A (f) + 1,567 19 SKF AB, Ser. B (f) + 718 ------------------------------------------------------------------------- 2,285 ------------------------------------------------------------------------- SWITZERLAND -- 8.4% 408 ABB LTD* (f) + 2,352 98 Compagnie Financiere Richemont AG, Class A (f) + 2,780 25 Roche Holding AG + 2,509 13 Synthes, Inc.* (f) + 1,345 30 UBS AG (f) + 2,200 6 Zurich Financial Services AG* (f) + 888 ------------------------------------------------------------------------- 12,074 ------------------------------------------------------------------------- TAIWAN -- 1.5% 47 Hon Hai Precision Industry Co., GDR + 356 532 United Microelectronics Corp., ADR* + 1,860 ------------------------------------------------------------------------- 2,216 ------------------------------------------------------------------------- THE NETHERLANDS -- 5.1% 100 ING Groep NV (f) + 2,667 372 Koninklijke KPN NV + 2,976 52 Koninklijke Philips Electronics NV (f) + 1,244 37 Koninklijke Wessanen NV (f) + 479 ------------------------------------------------------------------------- 7,366 ------------------------------------------------------------------------- UNITED KINGDOM -- 25.6% 62 AstraZeneca PLC (f) + 2,520 118 BBA Group PLC (f) + 571 200 BP PLC (f) + 1,938 35 British American Tobacco PLC (f) + 524 115 British Sky Broadcasting PLC (f) + 1,069 238 Cadbury Schweppes PLC + 1,980 181 Centrica PLC (f) + 799 306 HSBC Holdings PLC (f) + 4,941 38 Imperial Tobacco Group PLC (f) + 896 130 Intercontinental Hotels Group PLC (f) + 1,588 131 Rank Group PLC (f) + $ 688 104 Reckitt Benckiser PLC (f) + 2,851 195 Royal Bank of Scotland Group PLC (f) + 5,726 60 SABMiller PLC (f) + 867 153 Scottish Power PLC (f) + 1,233 600 Tesco PLC (f) + 3,159 2,077 Vodafone Group PLC (f) + 5,331 ------------------------------------------------------------------------- 36,681 ------------------------------------------------------------------------- Total Common Stocks 139,276 (Cost $117,650) -------------------------------------------------------------------------
PRINCIPAL AMOUNT - ----------------------------------------------------------------------------------- SHORT-TERM INVESTMENT -- 0.3% U.S. TREASURY SECURITY -- 0.3% $ 470 U.S. Treasury Bill, 1.63%, 12/16/04 @ 469 (Cost $469) ------------------------------------------------------------------------- TOTAL INVESTMENTS -- 97.3% $ 139,745 (COST $118,119) OTHER ASSETS IN EXCESS OF LIABILITIES -- 2.7% 3,831 ------------------------------------------------------------------------- NET ASSETS -- 100.0% $ 143,576 -------------------------------------------------------------------------
Percentages indicated are based on net assets of $143,576. SEE NOTES TO FINANCIAL STATEMENTS. 23 The following represents the allocations by industry for common stocks and other investments based on net assets:
INDUSTRY PERCENTAGE - --------------------------------------------------------------------------------- Banking 16.2% Telecommunications 9.0 Oil & Gas 7.2 Electronics/Electrical Equipment 6.7 Pharmaceuticals 5.7 Retailing 5.1 Chemicals 5.0 Utilities 5.0 Insurance 3.9 Automotive 3.8 Consumer Products 3.8 Real Estate 3.0 Food/Beverage Products 2.3 Steel 2.2 Machinery & Engineering Equipment 1.6 Financial Services 1.5 Multi-Media 1.4 Distribution 1.3 Office/Business Equipment 1.3 Toys & Games 1.2 Construction Materials 1.2 Computers/Computer Hardware 1.1 Hotels/Other Lodging 1.1 Airlines 1.1 Other (less than 1%) 5.6 - --------------------------------------------------------------------------------- Total 97.3% - ---------------------------------------------------------------------------------
FUTURES CONTRACTS (Amounts in thousands, except number of contracts) - ------------------------------------------------------------------------------------------------------- NOTIONAL UNREALIZED NUMBER OF VALUE AT APPRECIATION/ CONTRACTS DESCRIPTION EXPIRATION DATE 10/31/04 (USD) (DEPRECIATION)(USD) - ------------------------------------------------------------------------------------------------------- LONG FUTURES OUTSTANDING 25 DJ Euro Stoxx December, 2004 $ 896 $ 14 5 FTSE 100 Index December, 2004 425 ( - )^ 4 Topix Index December, 2004 407 (10)
SEE NOTES TO FINANCIAL STATEMENTS. 24 FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS
- --------------------------------------------------------------------------------------------------------------- NET UNREALIZED SETTLEMENT SETTLEMENT VALUE AT APPRECIATION CONTRACTS TO BUY DATE VALUE (USD) 10/31/04 (USD) (DEPRECIATION) (USD) - --------------------------------------------------------------------------------------------------------------- 6,496 AUD 11/8/04 $ 4,638 $ 4,850 $ 212 4,400 CHF 11/8/04 3,528 3,663 135 15,172 EUR 11/8/04 18,619 19,300 681 570 EUR for 78,116 JPY 11/8/04 736~ 725~ (11) 980 GBP 11/8/04 1,752 1,795 43 710,271 JPY 11/8/04 6,465 6,691 226 78,903 JPY for 580 EUR 11/8/04 737~ 743~ 6 4,901 SEK 11/8/04 648 689 41 1,160 SGD 11/8/04 679 697 18 - -------------------------------------------------------------------------------------------------------------- $ 37,802 $ 39,153 $ 1,351 - --------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------------------------------------- NET UNREALIZED SETTLEMENT SETTLEMENT VALUE AT APPRECIATION CONTRACTS TO SELL DATE VALUE (USD) 10/31/04 (USD) (DEPRECIATION) (USD) - --------------------------------------------------------------------------------------------------------------- 963 AUD 11/8/04 $ 710 $ 719 $ (9) 7,633 CHF 11/8/04 6,099 6,354 (255) 7,728 EUR 11/8/04 9,436 9,830 (394) 620 EUR 2/7/05 790 789 1 2,780 GBP 11/8/04 5,045 5,091 (46) 36,516 HKD 11/8/04 4,692 4,693 (1) 425,149 JPY 11/8/04 3,858 4,005 (147) 4,917 NOK 11/8/04 723 769 (46) 6,068 SEK 11/8/04 808 853 (45) 4,090 SGD 11/8/04 2,378 2,457 (79) - --------------------------------------------------------------------------------------------------------------- $ 34,539 $ 35,560 $(1,021) - ---------------------------------------------------------------------------------------------------------------
~ For cross-currency exchange contracts, the settlement value is the market value at 10/31/04 of the currency being sold, and the value at 10/31/04 is the market value at 10/31/04 of the currency being purchased. SEE NOTES TO FINANCIAL STATEMENTS. 25 JPMORGAN TAX AWARE DISCIPLINED EQUITY FUND PORTFOLIO OF INVESTMENTS AS OF OCTOBER 31, 2004 (Amounts in thousands)
SHARES ISSUER VALUE - ----------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- 99.8% COMMON STOCKS -- 99.8% AEROSPACE -- 2.3% 2 General Dynamics Corp. $ 174 17 Lockheed Martin Corp. 937 16 Northrop Grumman Corp. 828 20 Raytheon Co. 732 20 United Technologies Corp. 1,882 ------------------------------------------------------------------------- 4,553 ------------------------------------------------------------------------- APPAREL -- 1.1% 22 Jones Apparel Group, Inc. 788 19 Nike, Inc., Class B 1,512 ------------------------------------------------------------------------- 2,300 ------------------------------------------------------------------------- AUTOMOTIVE -- 1.3% 51 Ford Motor Co. 663 21 General Motors Corp. 795 5 Harley-Davidson, Inc. 284 9 Johnson Controls, Inc. 510 6 Lear Corp. 334 ------------------------------------------------------------------------- 2,586 ------------------------------------------------------------------------- BANKING -- 6.8% 76 Bank of America Corp. 3,422 10 Compass Bancshares, Inc. 463 12 KeyCorp 400 29 Mellon Financial Corp. 846 8 National City Corp. 296 29 North Fork Bancorporation, Inc. 1,269 4 PNC Financial Services Group, Inc. 194 11 SunTrust Banks, Inc. 786 49 The Bank of New York Co., Inc. 1,581 9 U.S. Bancorp 268 42 Wachovia Corp. 2,047 37 Wells Fargo & Co. 2,216 ------------------------------------------------------------------------- 13,788 ------------------------------------------------------------------------- BIOTECHNOLOGY -- 1.5% 37 Amgen, Inc.* 2,085 5 Biogen Idec, Inc.* 291 11 Gilead Sciences, Inc.* 381 8 Medimmune, Inc.* 227 ------------------------------------------------------------------------- 2,984 ------------------------------------------------------------------------- BUSINESS SERVICES -- 0.9% 13 Cendant Corp. $ 274 7 Computer Sciences Corp.* 332 23 First Data Corp. 954 13 SunGard Data Systems, Inc.* 339 ------------------------------------------------------------------------- 1,899 ------------------------------------------------------------------------- CHEMICALS -- 1.4% 8 Air Products & Chemicals, Inc. 436 6 Eastman Chemical Co. 261 5 PPG Industries, Inc. 319 14 Praxair, Inc. 582 9 Rohm & Haas Co. 365 20 The Dow Chemical Co. 876 ------------------------------------------------------------------------- 2,839 ------------------------------------------------------------------------- COMPUTER NETWORKS -- 1.4% 138 Cisco Systems, Inc.* 2,652 10 Juniper Networks, Inc.* 263 ------------------------------------------------------------------------- 2,915 ------------------------------------------------------------------------- COMPUTER SOFTWARE -- 4.3% 2 Adobe Systems, Inc. 90 2 Electronic Arts, Inc.* 81 225 Microsoft Corp. 6,303 151 Oracle Corp.* 1,913 8 VERITAS Software Corp.* 179 ------------------------------------------------------------------------- 8,566 ------------------------------------------------------------------------- COMPUTERS/COMPUTER HARDWARE -- 4.2% 73 Dell, Inc.* 2,564 17 EMC Corp.* 216 58 Hewlett-Packard Co. 1,080 35 International Business Machines Corp. 3,115 3 Lexmark International, Inc., Class A* 274 19 NCR Corp.* 1,093 40 Sun Microsystems, Inc.* 179 ------------------------------------------------------------------------- 8,521 ------------------------------------------------------------------------- CONSTRUCTION -- 0.8% 16 Centex Corp. 846 5 D.R. Horton, Inc. 144 3 KB Home 247
SEE NOTES TO FINANCIAL STATEMENTS. 26
SHARES ISSUER VALUE - ----------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED CONSTRUCTION -- CONTINUED 4 Lennar Corp., Class A $ 189 4 Pulte Homes, Inc. 192 ------------------------------------------------------------------------- 1,618 ------------------------------------------------------------------------- CONSUMER PRODUCTS -- 4.0% 61 Altria Group, Inc. 2,950 3 Fortune Brands, Inc. 186 73 Procter & Gamble Co. 3,731 29 The Gillette Co. 1,184 ------------------------------------------------------------------------- 8,051 ------------------------------------------------------------------------- DIVERSIFIED -- 4.8% 219 General Electric Co. 7,476 68 Tyco International LTD (Bermuda) 2,118 ------------------------------------------------------------------------- 9,594 ------------------------------------------------------------------------- ENTERTAINMENT/LEISURE -- 0.4% 18 Carnival Corp. 890 FINANCIAL SERVICES -- 8.8% 8 Capital One Financial Corp. 577 17 CIT Group, Inc. 695 144 Citigroup, Inc. 6,393 35 Countrywide Financial Corp. 1,123 14 Fannie Mae 978 16 Freddie Mac 1,056 11 Goldman Sachs Group, Inc. 1,102 33 MBNA Corp. 836 54 Morgan Stanley 2,766 50 The Charles Schwab Corp. 458 43 Washington Mutual, Inc. 1,648 ------------------------------------------------------------------------- 17,632 ------------------------------------------------------------------------- FOOD/BEVERAGE PRODUCTS -- 3.4% 16 Anheuser-Busch Companies, Inc. 799 2 H.J. Heinz Co. 73 37 PepsiCo, Inc. 1,832 12 Sysco Corp. 390 92 The Coca-Cola Co. 3,729 ------------------------------------------------------------------------- 6,823 ------------------------------------------------------------------------- HEALTH CARE/HEALTH CARE SERVICES -- 3.2% 9 Aetna, Inc. $ 815 15 Anthem, Inc.* 1,214 6 Biomet, Inc. 261 23 Boston Scientific Corp.* 805 10 CIGNA Corp. 622 24 Guidant Corp. 1,600 14 HCA, Inc. 511 4 Stryker Corp. 168 2 UnitedHealth Group, Inc. 146 4 WellPoint Health Networks, Inc.* 400 ------------------------------------------------------------------------- 6,542 ------------------------------------------------------------------------- HOTELS/OTHER LODGING -- 0.3% 10 Hilton Hotels Corp. 205 8 Starwood Hotels & Resorts Worldwide, Inc. 396 ------------------------------------------------------------------------- 601 ------------------------------------------------------------------------- INDUSTRIAL COMPONENTS -- 0.1% 5 SPX Corp. 199 INSURANCE -- 4.3% 25 AMBAC Financial Group, Inc. 1,976 22 American International Group, Inc. 1,310 14 Genworth Financial, Inc., Class A 336 19 Hartford Financial Services Group, Inc. 1,088 8 Marsh & McLennan Companies, Inc. 210 8 MBIA, Inc. 487 9 Metlife, Inc. 360 4 Protective Life Corp. 145 33 The Allstate Corp. 1,581 2 The Progressive Corp. 187 17 The St. Paul Travelers Companies, Inc. 586 6 Torchmark Corp. 312 ------------------------------------------------------------------------- 8,578 ------------------------------------------------------------------------- INTERNET SERVICES/SOFTWARE -- 1.1% 15 eBay, Inc.* 1,474 18 Yahoo!, Inc.* 666 ------------------------------------------------------------------------- 2,140 -------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 27
SHARES ISSUER VALUE - ----------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED MACHINERY & ENGINEERING EQUIPMENT -- 1.2% 12 Caterpillar, Inc. $ 998 14 Deere & Co. 855 9 Ingersoll-Rand Co., LTD (Bermuda), Class A 606 ------------------------------------------------------------------------- 2,459 ------------------------------------------------------------------------- MANUFACTURING -- 0.9% 8 3M Co. 645 10 Eaton Corp. 620 6 Illinois Tool Works, Inc. 544 ------------------------------------------------------------------------- 1,809 ------------------------------------------------------------------------- METALS/MINING -- 0.7% 44 Alcoa, Inc. 1,424 MULTI-MEDIA -- 3.9% 18 Fox Entertainment Group, Inc., Class A* 533 13 Gannett Co., Inc. 1,091 7 The E.W. Scripps Co., Class A 344 54 The Walt Disney Co. 1,364 82 Time Warner, Inc.* 1,367 9 Tribune Co. 406 76 Viacom, Inc., Class B 2,765 ------------------------------------------------------------------------- 7,870 ------------------------------------------------------------------------- OIL & GAS -- 7.3% 12 Anadarko Petroleum Corp. 796 14 Baker Hughes, Inc. 604 59 ChevronTexaco Corp. 3,104 30 ConocoPhillips 2,519 8 Cooper Cameron Corp.* 377 15 Devon Energy Corp. 1,143 84 Exxon Mobil Corp. 4,156 15 GlobalSantaFe Corp. 448 20 Rowan Companies, Inc.* 500 25 Unocal Corp. 1,048 ------------------------------------------------------------------------- 14,695 ------------------------------------------------------------------------- PAPER/FOREST PRODUCTS -- 0.4% 8 Bowater, Inc. 298 3 Georgia-Pacific Corp. 98 6 Temple-Inland, Inc. 349 ------------------------------------------------------------------------- 745 ------------------------------------------------------------------------- PHARMACEUTICALS -- 7.8% 15 Bristol-Myers Squibb Co. $ 342 29 Eli Lilly & Co. 1,599 20 Forest Laboratories, Inc.* 909 3 Hospira, Inc.* 82 69 Johnson & Johnson 4,010 3 Medicis Pharmaceutical Corp., Class A 126 37 Merck & Co., Inc. 1,172 3 OSI Pharmaceuticals, Inc.* 214 154 Pfizer, Inc. 4,463 49 Schering-Plough Corp. 887 11 Sepracor, Inc.* 524 3 Watson Pharmaceuticals, Inc.* 76 29 Wyeth 1,133 ------------------------------------------------------------------------- 15,537 ------------------------------------------------------------------------- PIPELINES -- 0.1% 32 Dynegy, Inc., Class A* 159 REAL ESTATE INVESTMENT TRUST -- 0.4% 8 CarrAmerica Realty Corp. 264 13 Equity Office Properties Trust 357 6 ProLogis 234 ------------------------------------------------------------------------- 855 ------------------------------------------------------------------------- RESTAURANTS/FOOD SERVICES -- 1.0% 42 McDonald's Corp. 1,230 6 Wendy's International, Inc. 216 13 Yum! Brands, Inc. 579 ------------------------------------------------------------------------- 2,025 ------------------------------------------------------------------------- RETAILING -- 6.4% 12 Abercrombie & Fitch Co., Class A 483 11 Bed Bath & Beyond, Inc.* 432 4 Costco Wholesale Corp. 201 11 CVS Corp. 482 4 Family Dollar Stores, Inc. 130 6 Federated Department Stores, Inc. 298 67 Home Depot, Inc. 2,744 16 Kohl's Corp.* 829 33 Lowe's Companies, Inc. 1,839 9 Staples, Inc. 262 22 Target Corp. 1,083
SEE NOTES TO FINANCIAL STATEMENTS. 28
SHARES ISSUER VALUE - ----------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED RETAILING -- CONTINUED 15 The Gap, Inc. $ 303 12 The TJX Companies, Inc. 281 63 Wal-Mart Stores, Inc. 3,392 4 Walgreen Co. 154 ------------------------------------------------------------------------- 12,913 ------------------------------------------------------------------------- SEMI-CONDUCTORS -- 3.2% 40 Altera Corp.* 913 27 Analog Devices, Inc. 1,090 122 Intel Corp. 2,711 8 Intersil Corp., Class A 122 1 Linear Technology Corp. 34 7 Novellus Systems, Inc.* 169 4 QLogic Corp.* 140 15 Texas Instruments, Inc. 367 32 Xilinx, Inc. 972 ------------------------------------------------------------------------- 6,518 ------------------------------------------------------------------------- SHIPPING/TRANSPORTATION -- 1.2% 8 CSX Corp. 278 6 FedEx Corp. 515 18 Norfolk Southern Corp. 604 3 Union Pacific Corp. 195 11 United Parcel Service, Inc., Class B 880 ------------------------------------------------------------------------- 2,472 ------------------------------------------------------------------------- STEEL -- 0.5% 29 United States Steel Corp. 1,065 TELECOMMUNICATIONS -- 3.6% 28 BellSouth Corp. 752 36 Nextel Communications, Inc., Class A* 943 69 SBC Communications, Inc. 1,740 21 Sprint Corp. -- FON Group 439 30 Tellabs, Inc.* 241 78 Verizon Communications, Inc. 3,069 ------------------------------------------------------------------------- 7,184 ------------------------------------------------------------------------- TELECOMMUNICATIONS EQUIPMENT -- 1.5% 85 Corning, Inc.* $ 976 44 Motorola, Inc. 754 30 QUALCOMM, Inc. 1,265 ------------------------------------------------------------------------- 2,995 ------------------------------------------------------------------------- TOYS & GAMES -- 0.4% 15 Hasbro, Inc. 265 30 Mattel, Inc. 532 ------------------------------------------------------------------------- 797 ------------------------------------------------------------------------- UTILITIES -- 2.9% 8 Constellation Energy Group, Inc. 309 16 Dominion Resources, Inc. 1,003 4 Edison International 113 15 Entergy Corp. 993 8 FPL Group, Inc. 537 24 PG&E Corp.* 783 36 Pinnacle West Capital Corp. 1,518 1 PPL Corp. 68 31 XCEL Energy, Inc. 533 ------------------------------------------------------------------------- 5,857 ------------------------------------------------------------------------- Total Common Stocks 200,998 (Cost $176,843) ------------------------------------------------------------------------- SHORT-TERM INVESTMENT -- 0.2% MONEY MARKET FUND -- 0.2% 432 JPMorgan Prime Money Market Fund (a) (Cost $432) 432 ------------------------------------------------------------------------- TOTAL INVESTMENTS -- 100.0% $ 201,430 (COST $177,275) OTHER ASSETS IN EXCESS OF LIABILITIES -- 0.0% ^ 90 ------------------------------------------------------------------------- NET ASSETS -- 100.0% $ 201,520 -------------------------------------------------------------------------
Percentages indicated are based on net assets of $201,520. SEE NOTES TO FINANCIAL STATEMENTS. 29 JPMORGAN TAX AWARE ENHANCED INCOME FUND PORTFOLIO OF INVESTMENTS AS OF OCTOBER 31, 2004 (Amounts in thousands)
SHARES ISSUER VALUE - ----------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- 45.6% PREFERRED STOCK -- 0.4% 5 Zurich RegCaPS Funding Trust IV, 0.00%, FRN, # (Cost $4,391) $ 4,610
PRINCIPAL AMOUNT - ----------------------------------------------------------------------------------- STATE AND MUNICIPAL OBLIGATIONS -- 37.4% ARIZONA -- 0.4% $ 4,000 Northern Arizona Capital Facilities Finance Corp., Northern Arizona University Project, Student Housing, Ser. A, Rev., Adj., 4.00%, 08/01/33 4,000 ARKANSAS -- 0.4% 4,000 Fayetteville, Arkansas, Sales & Use Tax, Capital Improvement, Special Assessment, 4.00%, 12/01/07 4,213 CALIFORNIA -- 6.6% 13,170 California Pollution Control Financing Authority, Ser. B, Rev., Adj., 2.00%, 03/01/08 13,050 2,000 California Pollution Control Financing Authority, Ser. D, Rev., Adj., 2.00%, 02/28/08 1,982 15,000 California State, Economic Recovery, Ser. A, GO, 5.00%, 07/01/06 15,751 3,000 California State, Ser. D-4, GO, Adj., 1.98%, 05/01/33 2,996 10,000 California Statewide Communities Development Authority, Kaiser Permanente, Ser. C, Adj., Rev., 3.70%, 11/01/29 10,094 6,555 California Statewide Communities Development Authority, Kaiser Permanente, Ser. F, Rev., Adj., 2.30%, 04/01/33 6,539 15,300 Sacramento County Sanitation District, Ser. A, Rev., 5.88%, 12/01/27 16,068 9,000 Santa Clara County Financing Authority, Measure B, Transportation Improvement Program, Rev., 4.00%, 08/01/05 9,147 ---------------------------------------------------------------------- 75,627 ---------------------------------------------------------------------- COLORADO -- 0.8% $ 8,625 Regional Transportation District, Transit Vehicles, COP, Ser. A, Adj., AMBAC, 2.30%, 12/01/22 $ 8,634 MASSACHUSETTS -- 1.0% 10,000 Massachusetts State, CONS, Ser. D, GO, (p), 5.25%, 11/01/06 10,741 MICHIGAN -- 1.1% 2,555 Michigan State Hospital Finance Authority, Trinity Health, Ser. A, Rev., 5.50%, 12/01/04 2,562 10,000 Michigan Strategic Fund, Dow Chemical Project, Rev., Adj., 3.80%, 06/01/14 10,181 ---------------------------------------------------------------------- 12,743 ---------------------------------------------------------------------- MINNESOTA -- 0.4% 4,000 Minnesota Housing Finance Agency, Residential Housing, Ser. K-1, Rev., 2.25%, 07/01/17 3,951 MULTIPLE STATES -- 7.2% 1,320 MBIA Capital Corp., FLOATS, Ser. PL-10, Rev., Adj., MBIA, 1.86%, 01/14/16 1,320 40,425 Puttable Floating Option Tax-Exempt Receipts, FLOATS, Ser. PPT-12, 1.91%, 07/01/24 40,425 29,691 Puttable Floating Option Tax-Exempt Receipts, FLOATS, Ser. PPT-34, 1.89%, 12/01/29 29,691 9,350 Puttable Floating Option Tax-Exempt Receipts, FLOATS, Ser. PPT-38, Mode A, Adj., 1.89%, 12/01/18 9,350 ---------------------------------------------------------------------- 80,786 ---------------------------------------------------------------------- NEW JERSEY -- 2.2% 6,580 New Jersey Economic Development Authority, Cigarette Tax, Rev., 5.00%, 06/15/07 6,989
SEE NOTES TO FINANCIAL STATEMENTS. 30
PRINCIPAL AMOUNT ISSUER VALUE - ----------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED NEW JERSEY -- CONTINUED $ 1,350 New Jersey Economic Development Authority, North Jersey Port District, Rev., AMBAC, 7.13%, 02/15/08 $ 1,494 15,000 New Jersey Transportation Trust Fund Authority, Transportation System, Ser. A, Rev., MBIA, 5.00%, 12/15/07 15,947 ---------------------------------------------------------------------- 24,430 ---------------------------------------------------------------------- NEW YORK -- 6.4% 5,000 Long Island Power Authority, Electric Systems, Ser. A, Rev., 4.50%, 06/01/05 5,071 12,750 Long Island Power Authority, Electric Systems, Ser. B, Rev., 5.00%, 06/01/05 12,966 15,000 New York City Municipal Water Finance Authority, Water & Sewer System, Ser. B, Rev., (p), FSA, 5.88%, 06/15/06 16,020 10,000 New York City, New York, Ser. C, GO, 5.00%, 08/01/05 10,226 15,350 New York City, New York, Ser. G, GO, 5.00%, 08/01/06 16,059 5,000 New York State Dormitory Authority, Fourth Generation, City University System, Ser. A, Rev., CONS, 5.00%, 07/01/06 5,241 3,925 New York State Dormitory Authority, Mount Sinai School of Medicine, Rev., MBIA, 5.00%, 07/01/06 4,116 3,750 New York State Environmental Facilities Corp., Solid Waste Disposal, Waste Management Project, Ser. A, Rev., Adj., 2.90%, 05/01/12 3,747 ---------------------------------------------------------------------- 73,446 ---------------------------------------------------------------------- NORTH CAROLINA -- 2.0% 15,000 Guilford County, GO, 4.00%, 10/01/22 15,766 6,280 North Carolina Eastern Municipal Power Agency, Power System, Ser. B, Rev., 6.00%, 01/01/05 6,316 ---------------------------------------------------------------------- 22,082 ---------------------------------------------------------------------- OHIO -- 0.2% $ 2,500 Ohio State Air Quality Development Authority, Pollution Control, Ohio Edison Project, Ser. C, Rev., Adj., 5.80%, 06/01/16 $ 2,507 PENNSYLVANIA -- 1.3% 2,720 Lehigh County, Ser. C, GO, (p), 5.65%, 05/15/06 2,874 4,455 Lehigh County, Ser. C, GO, (p), 5.70%, 05/15/06 4,711 6,745 Pennsylvania State, Second Ser., GO, FGIC, 5.00%, 07/01/08 7,376 ---------------------------------------------------------------------- 14,961 ---------------------------------------------------------------------- PUERTO RICO -- 0.3% 2,660 Puerto Rico Highway & Transportation Authority, Ser. AA, Rev., 5.00%, 07/01/07 2,844 RHODE ISLAND -- 0.2% 2,500 Rhode Island Housing & Mortgage Finance Corp., Hometown Opportunity Notes, Ser. 41-C, Rev., 3.38%, 11/01/05 2,524 SOUTH CAROLINA -- 0.6% 6,000 South Carolina Transportation Infrastructure Bank, Ser. A, Rev., MBIA, 5.00%, 10/01/10 6,570 TEXAS -- 2.4% 9,040 Brazos River Authority, PCR, Utilities Electric Co., Ser. B, Rev., Adj., 5.05%, 06/01/30 9,284 10,000 Gulf Coast Waste Disposal Authority, PCR, Amoco Oil Project, Rev., Adj., 1.98%, 10/01/17 9,993 2,000 Lewisville, Texas, Combination Contract, Special Assessment, Castle Hills No. 3 Project, Rev., (p), 4.13%, 11/01/06 2,083
SEE NOTES TO FINANCIAL STATEMENTS. 31
PRINCIPAL AMOUNT ISSUER VALUE - ----------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED TEXAS -- CONTINUED $ 4,975 Matagorda County Navigation District No. 1, PCR, Central Power & Light Co., Ser. A, Rev., Adj, 4.55%, 11/01/29 $ 5,169 ---------------------------------------------------------------------- 26,529 ---------------------------------------------------------------------- VIRGINIA -- 1.7% 8,000 Louisa IDA, Solid Waste & Sewer Disposal, Electric & Power Co. Project, Ser. A, Rev., Adj., 2.30%, 03/01/31 7,893 10,000 Virginia Public School Authority, School Financing -- 1997, Ser. D, Rev., 5.00%, 02/01/08 10,859 ---------------------------------------------------------------------- 18,752 ---------------------------------------------------------------------- WEST VIRGINIA -- 0.1% 800 Morgantown, West Virginia, Sewer Systems, Rev., (p), 7.25%, 06/01/05 825 WISCONSIN -- 2.1% 6,250 Wisconsin Health & Educational Facilities Authority, Ser. 1999A, Rev., Adj., 4.45%, 05/01/29, # (i) 6,372 3,755 Wisconsin State Health & Educational Facilities Authority, Hospital Charity Obligation Group, Ser. D, Rev., Adj., (p), 4.90%, 11/01/05 3,868 3,075 Wisconsin State Health & Educational Facilities Authority, Ministry Health Care, Inc., Rev., 3.40%, 05/15/07 3,080 5,680 Wisconsin State Health & Educational Facilities Authority, Ministry Health Care, Inc., Ser. B, Rev., 3.50%, 05/15/07 5,750 5,000 Wisconsin State Health & Educational Facilities, Adj., 1.86%, 12/31/50, # (i) 5,000 ---------------------------------------------------------------------- 24,070 ---------------------------------------------------------------------- Total State and Municipal Obligations 420,235 (Cost $419,818) ---------------------------------------------------------------------- CORPORATE NOTES & BONDS -- 3.3% FINANCIAL SERVICES -- 3.3% Counts Trusts, $ 8,250 2.49%, 08/15/07, Ser. 2002-10, FRN, # $ 8,318 8,250 2.54%, 08/15/07, Ser. 2002-11, FRN, # 8,333 9,200 Sigma Finance, Inc., 2.36%, 09/15/06, MTN, FRN, # 9,200 11,100 Special Purpose Accounts Receivable Cooperative Corp. (SPARCS), 2.12%, 11/21/07, Ser. 2004-4, FRN, # 11,094 ---------------------------------------------------------------------- Total Corporate Notes & Bonds 36,945 (Cost $36,800) ---------------------------------------------------------------------- RESIDENTIAL MORTGAGE BACKED SECURITIES -- 1.2% COLLATERALIZED MORTGAGE OBLIGATIONS -- 1.2% 4,343 Federal National Mortgage Association, 2.43%, 06/25/32, Ser. 2002-36, Class FS, FRN 4,378 910 Government National Mortgage Association, 2.31%, 12/20/30, Ser. 2000-38, Class F, FRN 912 7,756 Indymac Index Mortgage Loan Trust, 2.37%, 09/25/34, Ser. 2004-AR7, Class A1, FRN 7,756 ---------------------------------------------------------------------- Total Residential Mortgage Backed Securities 13,046 (Cost $13,010) ---------------------------------------------------------------------- ASSET BACKED SECURITIES -- 3.3% 2,155 CARSS Finance LP (Cayman Islands), 2.82%, 01/15/11, Ser. 2004-A, Class B2, FRN, # 2,155 28,050 Capital One Multi-Asset Execution Trust, 3.12%, 12/15/10, Ser. 2003-A, FRN, # 28,997 6,200 Countrywide Asset-Backed Certificates, 2.43%, 02/25/34, Ser. 2004-BC1, Class M1, FRN 6,200 ---------------------------------------------------------------------- Total Asset Backed Securities 37,352 (Cost $37,220) ---------------------------------------------------------------------- Total Long-Term Investments 512,188 (Cost $511,239) ----------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 32
PRINCIPAL AMOUNT ISSUER VALUE - ----------------------------------------------------------------------------------- SHORT-TERM INVESTMENTS -- 56.4% STATE AND MUNICIPAL OBLIGATIONS -- 45.9% ALABAMA -- 2.1% $ 13,800 Alabama Higher Education Loan Corp., Ser. A, Rev., FRDO, MBIA, 1.78%, 11/23/04 $ 13,800 10,000 Jefferson County, Sewer, Ser. C-8, Rev., FRDO, FGIC, 1.65%, 11/18/04 10,000 ---------------------------------------------------------------------- 23,800 ---------------------------------------------------------------------- ARIZONA -- 2.0% 15,800 Arizona Educational Loan Marketing Corp., RAMS, Sub Ser. B, Rev., FRDO, 1.80%, 11/18/04 15,800 6,575 Scottsdale IDA, Hospital, Scottsdale Healthcare, Ser. A, Rev., FRDO, AMBAC, 1.64%, 11/19/04 6,575 ---------------------------------------------------------------------- 22,375 ---------------------------------------------------------------------- CALIFORNIA -- 3.1% 14,900 California State, Ser. D-1, GO, FRDO, 1.95%, 02/10/05 14,878 1,000 Chela Financial USA, Inc., California Student Loan, ACES, Senior Ser. C-4, Rev., FRDO, 1.98%, 11/23/04 1,000 12,850 Chela Financial USA, Inc., California Student Loan, Senior Ser. A-2, Rev., FRDO, 1.68%, 11/12/04 12,850 5,500 Student Education Loan Marketing Corp., Sub Ser. IV-C-1, Rev., FRDO, 1.85%, 11/26/04 5,500 ---------------------------------------------------------------------- 34,228 ---------------------------------------------------------------------- COLORADO -- 0.7% 2,850 Arapahoe County, Capital Improvement, Federal Highway, Ser. E-470, Rev., (p), 0.00%, 08/31/05 1,364 350 Colorado Housing & Finance Authority, Multi-Family Housing, Class 1-B1, Rev., FRDO, 1.84%, 11/03/04 350 800 Colorado Housing & Finance Authority, Ser. AA-3, Class I, Rev., FRDO, 1.75%, 11/03/04 800 $ 5,400 Colorado Student Obligation Bond Authority, Student Loan, Ser. VII-A1, Rev., FRDO, 1.78%, 11/26/04 $ 5,400 ---------------------------------------------------------------------- 7,914 ---------------------------------------------------------------------- CONNECTICUT -- 0.9% 10,000 Connecticut State, Economic Recovery, Ser. A, GO, FRDO, FSA, 1.55%, 11/04/04 10,000 DISTRICT OF COLUMBIA -- 7.2% 33,650 District of Columbia, Georgetown University, Ser. C, Rev., FRDO, MBIA, 1.70%, 11/26/04 33,650 14,975 District of Columbia, Ser. A-1, GO, FRDO, MBIA, 1.60%, 11/18/04 14,975 3,075 District of Columbia, Ser. A-2, GO, FRDO, MBIA, 1.90%, 04/07/05 3,075 18,200 District of Columbia, Ser. B-2, GO, FRDO, MBIA, 1.58%, 11/16/04 18,200 11,500 District of Columbia, Tranche 2, Ser. A, Rev., Adj., FSA, 1.20%, 11/02/04 11,500 ---------------------------------------------------------------------- 81,400 ---------------------------------------------------------------------- FLORIDA -- 2.6% 16,335 Florida Educational Loan Marketing Corp., RAMS, Ser. D-2, Rev., FRDO, 1.87%, 11/26/04 16,335 12,560 Miami-Dade County School Board, COP, Ser. B, FRDO, AMBAC, 1.67%, 11/19/04 12,560 ---------------------------------------------------------------------- 28,895 ---------------------------------------------------------------------- GEORGIA -- 0.3% 2,900 Fulton County Development Authority, Lovett School Project, Rev., FRDO, 1.77%, 11/03/04 2,900 ILLINOIS -- 0.5% 4,300 Galesburg, Illinois, Knox College Project, Rev., FRDO, 1.85%, 11/04/04 4,300
SEE NOTES TO FINANCIAL STATEMENTS. 33
PRINCIPAL AMOUNT ISSUER VALUE - ----------------------------------------------------------------------------------- SHORT-TERM INVESTMENTS -- CONTINUED ILLINOIS -- CONTINUED $ 1,700 Illinois Health Facilities Authority, Lifelink Corp. Obligation Group, Ser. B, Rev., (p), 8.00%, 02/15/05 $ 1,729 ---------------------------------------------------------------------- 6,029 ---------------------------------------------------------------------- KENTUCKY -- 1.0% 1,000 Ashland, Kentucky, PCR, 7&7 -- Ashland Oil, Inc. Project, Rev., FRDO, 1.71%, 11/04/04 1,000 10,000 Kenton County Airport Board, Special Facilities, Airis Cincinnatti LLC, Ser. A, Rev., FRDO, 1.86%, 11/04/04 10,000 ---------------------------------------------------------------------- 11,000 ---------------------------------------------------------------------- MAINE -- 0.1% 1,500 Maine Veterans Homes, Rev., (p), 7.75%, 10/01/05 1,609 MARYLAND -- 3.0% 33,500 Baltimore, Maryland, Public Improvement, Ser. A, GO, CONS, FRDO, FSA, 1.65%, 11/24/04 33,500 MASSACHUSETTS -- 4.5% 18,700 Massachusetts Development Finance Agency, Babson College, Ser. A, Rev., FRDO, MBIA, 1.75%, 11/18/04 18,700 31,650 Massachusetts Health & Educational Facilities Authority, Northeastern University, Ser. N, Rev., FRDO, MBIA, 1.71%, 11/18/04 31,650 ---------------------------------------------------------------------- 50,350 ---------------------------------------------------------------------- MICHIGAN -- 0.5% 5,600 Central Michigan University, Ser. B, Rev., FRDO, FGIC, 1.70%, 11/23/04 5,600 MISSISSIPPI -- 1.7% 10,000 Mississippi Higher Education Assistance Corp., Student Loan, Ser. B, Rev., FRDO, 1.78%, 11/23/04 10,000 $ 9,050 Mississippi State, Nissan Project, Ser. C, GO, FRDO, FGIC, 1.60%, 11/17/04 $ 9,050 ---------------------------------------------------------------------- 19,050 ---------------------------------------------------------------------- MISSOURI -- 2.8% 21,900 Missouri State Health & Educational Facilities Authority, Ascension Health, Ser. C-1, Rev., FRDO, 1.70%, 11/17/04 21,900 10,000 Missouri State Health & Educational Facilities Authority, Mercy Health Systems, Ser. B, Rev., FRDO, AMBAC, 1.65%, 11/10/04 10,000 ---------------------------------------------------------------------- 31,900 ---------------------------------------------------------------------- MONTANA -- 1.7% 7,900 Montana Higher Education Student Assistance Corp., Student Loan, Senior Ser. A, Rev., FRDO, 1.70%, 11/18/04 7,900 11,600 Montana Higher Education Student Assistance Corp., Student Loan, Senior Ser. A, Rev., FRDO, 1.75%, 11/19/04 11,600 ---------------------------------------------------------------------- 19,500 ---------------------------------------------------------------------- NEW YORK -- 2.1% 13,425 New York City IDA, Special Facilities, FLOATS, Ser. 921, Rev., FRDO, 1.96%, 11/04/04 13,425 1 New York State Environmental Facilities Corp., Clean Water & Drinking, FLOATS, Ser. 731, Rev., FRDO, 1.78%, 11/04/04 1 10,600 New York State Energy Research & Development Authority, Consolidated Edison Co., Sub Ser. A-2, Rev., FRDO, AMBAC, 1.55%, 11/17/04 10,600 ---------------------------------------------------------------------- 24,026 ----------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 34
PRINCIPAL AMOUNT ISSUER VALUE - ----------------------------------------------------------------------------------- SHORT-TERM INVESTMENTS -- CONTINUED NORTH CAROLINA -- 2.0% $ 5,000 Wake County Industrial Facilities & Pollution Control Financing Authority, Carolina Power & Light, Ser. A, Rev., FRDO, AMBAC, 1.50%, 11/17/04 $ 5,000 17,475 Wake County Industrial Facilities & Pollution Control Financing Authority, Ser. G, Rev., FRDO, AMBAC, 1.55%, 11/26/04 17,475 ---------------------------------------------------------------------- 22,475 ---------------------------------------------------------------------- NORTH DAKOTA -- 0.2% 2,000 Underwood, North Dakota, PCR, Cooperative Power Association Project, Ser. A, Rev., FRDO, 1.67%, 11/03/04 2,000 OHIO -- 1.6% 17,400 Student Loan Funding Corp., Cincinnati, Ohio, Senior Ser. A-7, Rev., FRDO, 1.70%, 11/12/04 17,400 OREGON -- 0.2% 1,700 Portland, Oregon, Sewer Systems, Second Lien, Ser. B-1, Rev., FRDO, MBIA, 1.60%, 11/26/04 1,700 PENNSYLVANIA -- 0.2% 2,000 ABN AMRO Munitops Certificate Trust, Ser. 1999-16, Class V, FRDO, MBIA, 1.79%, 11/03/04 2,000 RHODE ISLAND -- 0.5% 5,500 Rhode Island Student Loan Authority, ACES, Ser. 1, Rev., FRDO, AMBAC, 1.70%, 11/17/04 5,500 SOUTH CAROLINA -- 1.1% 8,200 Greenville Hospital Systems, Ser. C, Rev., FRDO, AMBAC, 1.58%, 11/19/04 8,200 4,500 South Carolina State Education Assistance Authority, Rev., FRDO, 1.77%, 11/19/04 4,500 ---------------------------------------------------------------------- 12,700 ---------------------------------------------------------------------- TENNESSEE -- 0.5% $ 5,125 Blount County Public Building Authority, Local Government Public Improvement, Ser. C-1-A, Rev., FRDO, 1.80%, 11/26/04 $ 5,125 TEXAS -- 1.6% 7,500 Brazos Higher Education Authority, ACES, Senior Lien, Ser. A-3, Rev., FRDO, 1.75%, 11/18/04 7,500 10,200 South Texas Higher Education Authority, Ser. A-1, Rev., FRDO, MBIA, 1.76%, 11/19/04 10,200 ---------------------------------------------------------------------- 17,700 ---------------------------------------------------------------------- WASHINGTON -- 0.7% 7,995 Washington State, Ser. 96-A, GO, (p), FGIC, 5.75%, 07/01/05 8,203 WYOMING -- 0.5% 5,800 Wyoming Student Loan Corp., ACES, Ser. B, Rev., FRDO, 1.76%, 11/17/04 5,800 ---------------------------------------------------------------------- Total State and Municipal Obligations 514,679 (Cost $514,856) ---------------------------------------------------------------------- U.S. TREASURY SECURITY -- 0.0% ^ 400 U.S. Treasury Bill, 1.82%, 01/13/05, @ + 399 (Cost $399)
SHARES - ----------------------------------------------------------------------------------- MONEY MARKET FUND -- 10.5% 117,497 JPMorgan Tax Free Money Market Fund (a) 117,497 (Cost $117,497) ---------------------------------------------------------------------- Total Short-Term Investments 632,575 (Cost $632,752) ---------------------------------------------------------------------- TOTAL INVESTMENTS -- 102.0% $ 1,144,763 (COST $1,143,991) LIABILITIES IN EXCESS OF OTHER ASSETS -- (2.0)% (22,745) ---------------------------------------------------------------------- NET ASSETS -- 100.0% $ 1,122,018 ----------------------------------------------------------------------
Percentages indicated are based on net assets of $1,122,018. SEE NOTES TO FINANCIAL STATEMENTS. 35 FUTURES CONTRACTS (Amounts in thousands, except number of contracts)
NOTIONAL UNREALIZED NUMBER OF VALUE AT APPRECIATION CONTRACTS DESCRIPTION EXPIRATION DATE 10/31/04 (USD) (DEPRECIATION) (USD) - ------------------------------------------------------------------------------------------------------------------- SHORT FUTURES OUTSTANDING (530) 5 Year Treasury Notes December, 2004 $ (59,029) $ 60
SWAP CONTRACTS
UNDERLYING UNREALIZED NOTIONAL APPRECIATION DESCRIPTIONS EXPIRATION DATE VALUE (DEPRECIATION) - ------------------------------------------------------------------------------------------------------------------- Swap -- rate lock with Citibank N.A., on 6M USD -- BMA rate Swap less 3.256%, the Fund pays positive, receives negative. 05/01/09 $ 40,000 $ (1,306)
SEE NOTES TO FINANCIAL STATEMENTS. 36 JPMORGAN TAX AWARE LARGE CAP GROWTH FUND PORTFOLIO OF INVESTMENTS AS OF OCTOBER 31, 2004 (Amounts in thousands)
SHARES ISSUER VALUE - ----------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- 99.2% COMMON STOCKS -- 99.2% ADVERTISING -- 1.0% 17 Getty Images, Inc.* $ 1,017 25 Lamar Advertising Co., Class A* 1,036 ------------------------------------------------------------------------- 2,053 ------------------------------------------------------------------------- AEROSPACE -- 1.0% 13 General Dynamics Corp. 1,317 13 Lockheed Martin Corp. 689 ------------------------------------------------------------------------- 2,006 ------------------------------------------------------------------------- BIOTECHNOLOGY -- 2.8% 20 Amgen, Inc.* 1,147 27 Biogen Idec, Inc.* 1,570 33 Genentech, Inc.* 1,498 45 Medimmune, Inc.* 1,268 ------------------------------------------------------------------------- 5,483 ------------------------------------------------------------------------- BROADCASTING/CABLE -- 0.6% 38 EchoStar Communications Corp., Class A* 1,211 BUSINESS SERVICES -- 6.6% 65 Accenture LTD (Bermuda), Class A* 1,562 46 Affiliated Computer Services, Inc., Class A* 2,503 46 Apollo Group, Inc., Class A* 3,042 45 Automatic Data Processing, Inc. 1,970 27 ChoicePoint, Inc.* 1,128 25 Cintas Corp. 1,066 23 Robert Half International, Inc. 597 47 SunGard Data Systems, Inc.* 1,240 ------------------------------------------------------------------------- 13,108 ------------------------------------------------------------------------- CHEMICALS -- 0.6% 31 Praxair, Inc. 1,287 COMPUTER NETWORKS -- 3.7% 298 Cisco Systems, Inc.* 5,729 59 Juniper Networks, Inc.* 1,567 ------------------------------------------------------------------------- 7,296 ------------------------------------------------------------------------- COMPUTER SOFTWARE -- 6.2% 24 Intuit, Inc.* 1,070 285 Microsoft Corp. 7,975 118 Oracle Corp.* 1,494 40 Red Hat, Inc.* $ 511 31 SAP AG (Germany), ADR 1,309 ------------------------------------------------------------------------- 12,359 ------------------------------------------------------------------------- COMPUTERS/COMPUTER HARDWARE -- 3.0% 130 Dell, Inc.* 4,543 10 Research In Motion LTD (Canada)* 847 12 Zebra Technologies Corp., Class A* 631 ------------------------------------------------------------------------- 6,021 ------------------------------------------------------------------------- CONSUMER PRODUCTS -- 3.8% 107 Procter & Gamble Co. 5,451 51 The Gillette Co. 2,132 ------------------------------------------------------------------------- 7,583 ------------------------------------------------------------------------- CONSUMER SERVICES -- 0.6% 48 Education Management Corp.* 1,279 DIVERSIFIED -- 2.8% 92 General Electric Co. 3,126 78 Tyco International LTD (Bermuda) 2,414 ------------------------------------------------------------------------- 5,540 ------------------------------------------------------------------------- ELECTRONICS/ELECTRICAL EQUIPMENT -- 1.5% 70 PerkinElmer, Inc. 1,438 100 Symbol Technologies, Inc. 1,466 ------------------------------------------------------------------------- 2,904 ------------------------------------------------------------------------- ENTERTAINMENT/LEISURE -- 1.2% 34 Carnival Corp. 1,714 21 International Game Technology 697 ------------------------------------------------------------------------- 2,411 ------------------------------------------------------------------------- FINANCIAL SERVICES -- 5.4% 9 Chicago Mercantile Exchange 1,666 12 Countrywide Financial Corp. 383 45 Freddie Mac 2,977 14 Legg Mason, Inc. 914 45 Morgan Stanley 2,279 179 The Charles Schwab Corp. 1,639 17 The First Marblehead Corp.* 895 ------------------------------------------------------------------------- 10,753 -------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 37
SHARES ISSUER VALUE - ----------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED FOOD/BEVERAGE PRODUCTS -- 4.4% 49 PepsiCo, Inc. $ 2,415 61 Sysco Corp. 1,965 108 The Coca-Cola Co. 4,395 ------------------------------------------------------------------------- 8,775 ------------------------------------------------------------------------- HEALTH CARE/HEALTH CARE SERVICES -- 5.9% 54 Baxter International, Inc. 1,661 46 Boston Scientific Corp.* 1,627 35 Cytyc Corp.* 903 41 Guidant Corp. 2,738 51 Laboratory Corp. of America Holdings* 2,350 33 UnitedHealth Group, Inc. 2,396 ------------------------------------------------------------------------- 11,675 ------------------------------------------------------------------------- INSURANCE -- 2.3% 16 AMBAC Financial Group, Inc. 1,210 48 American International Group, Inc. 2,914 15 Willis Group Holdings LTD (United Kingdom) 543 ------------------------------------------------------------------------- 4,667 ------------------------------------------------------------------------- INTERNET SERVICES/SOFTWARE -- 3.7% 24 eBay, Inc.* 2,372 4 Google, Inc., Class A* 749 41 VeriSign, Inc.* 1,087 85 Yahoo!, Inc.* 3,058 ------------------------------------------------------------------------- 7,266 ------------------------------------------------------------------------- MULTI-MEDIA -- 2.2% 212 Liberty Media Corp., Class A* 1,892 16 The E.W. Scripps Co., Class A 778 45 Viacom, Inc., Class B 1,638 ------------------------------------------------------------------------- 4,308 ------------------------------------------------------------------------- OFFICE/BUSINESS EQUIPMENT -- 0.5% 70 Xerox Corp.* 1,031 OIL & GAS -- 2.6% 29 Anadarko Petroleum Corp. 1,936 21 Schlumberger LTD 1,290 32 Smith International, Inc.* 1,859 ------------------------------------------------------------------------- 5,085 ------------------------------------------------------------------------- PHARMACEUTICALS -- 12.5% 46 Eli Lilly & Co. $ 2,509 37 Forest Laboratories, Inc.* 1,646 14 ImClone Systems, Inc.* 604 128 Johnson & Johnson 7,450 35 Merck & Co., Inc. 1,096 16 OSI Pharmaceuticals, Inc.* 1,040 254 Pfizer, Inc. 7,362 99 Schering-Plough Corp. 1,798 30 Sepracor, Inc.* 1,382 ------------------------------------------------------------------------- 24,887 ------------------------------------------------------------------------- RESTAURANTS/FOOD SERVICES -- 0.5% 20 P.F. Chang's China Bistro, Inc.* 1,022 RETAILING -- 11.5% 36 CDW Corp. 2,239 29 CVS Corp. 1,243 139 Home Depot, Inc. 5,705 41 IAC/InterActiveCorp* 891 55 MSC Industrial Direct Co., Class A 1,864 67 Staples, Inc. 1,978 63 Target Corp. 3,146 68 The Gap, Inc. 1,351 82 Wal-Mart Stores, Inc. 4,438 ------------------------------------------------------------------------- 22,855 ------------------------------------------------------------------------- SEMI-CONDUCTORS -- 5.3% 77 Altera Corp.* 1,746 48 Analog Devices, Inc. 1,932 68 Applied Materials, Inc.* 1,093 192 Intel Corp. 4,269 40 Linear Technology Corp. 1,527 ------------------------------------------------------------------------- 10,567 ------------------------------------------------------------------------- SHIPPING/TRANSPORTATION -- 0.9% 24 United Parcel Service, Inc., Class B 1,861 STEEL -- 0.5% 25 United States Steel Corp. 903
SEE NOTES TO FINANCIAL STATEMENTS. 38 ANNUAL REPORT OCTOBER 31 2004
SHARES ISSUER VALUE - ----------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED TELECOMMUNICATIONS -- 2.7% 147 Crown Castle International Corp.* $ 2,247 73 Nextel Communications, Inc., Class A* 1,936 57 Sprint Corp. -- FON Group 1,203 ------------------------------------------------------------------------- 5,386 ------------------------------------------------------------------------- TELECOMMUNICATIONS EQUIPMENT -- 2.9% 116 Corning, Inc.* 1,330 106 Motorola, Inc. 1,824 63 QUALCOMM, Inc. 2,652 ------------------------------------------------------------------------- 5,806 ------------------------------------------------------------------------- Total Common Stocks 197,388 (Cost $178,537) ------------------------------------------------------------------------- SHORT-TERM INVESTMENT -- 1.2% MONEY MARKET FUND -- 1.2% 2,451 JPMorgan Prime Money Market Fund (a) $ 2,451 (Cost $2,451) ------------------------------------------------------------------------- TOTAL INVESTMENTS -- 100.4% $ 199,839 (COST $180,988) LIABILITIES IN EXCESS OF OTHER ASSETS -- (0.4)% (867) ------------------------------------------------------------------------- NET ASSETS -- 100.0% $ 198,972 -------------------------------------------------------------------------
Percentages indicated are based on net assets of $198,972. SEE NOTES TO FINANCIAL STATEMENTS. 39 JPMORGAN TAX AWARE LARGE CAP VALUE FUND PORTFOLIO OF INVESTMENTS AS OF OCTOBER 31, 2004 (Amounts in thousands)
SHARES ISSUER VALUE - ----------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- 98.3% COMMON STOCKS -- 98.3% AEROSPACE -- 2.1% 314 Raytheon Co. $ 11,458 APPAREL -- 1.5% 236 Jones Apparel Group, Inc. 8,338 AUTOMOTIVE -- 1.9% 176 Johnson Controls, Inc. 10,105 BANKING -- 9.1% 382 Bank of America Corp. 17,092 204 North Fork Bancorporation, Inc. 8,979 241 The Bank of New York Co., Inc. 7,836 245 U.S. Bancorp 7,009 133 Wells Fargo & Co. 7,955 ------------------------------------------------------------------------- 48,871 ------------------------------------------------------------------------- BUSINESS SERVICES -- 2.1% 459 Accenture LTD (Bermuda), Class A* 11,103 CHEMICALS -- 2.0% 251 Praxair, Inc. 10,601 COMPUTER SOFTWARE -- 0.6% 149 VERITAS Software Corp.* 3,267 COMPUTERS/COMPUTER HARDWARE -- 1.5% 435 Hewlett-Packard Co. 8,125 CONSTRUCTION MATERIALS -- 2.6% 309 American Standard Companies, Inc.* 11,285 60 Lafarge North America, Inc. 2,916 ------------------------------------------------------------------------- 14,201 ------------------------------------------------------------------------- CONSUMER PRODUCTS -- 1.7% 188 Altria Group, Inc. 9,111 DIVERSIFIED -- 7.4% 777 General Electric Co. 26,525 424 Tyco International LTD (Bermuda) 13,211 ------------------------------------------------------------------------- 39,736 ------------------------------------------------------------------------- FINANCIAL SERVICES -- 12.5% 199 CIT Group, Inc. $ 8,048 549 Citigroup, Inc. 24,351 133 Freddie Mac 8,831 137 Goldman Sachs Group, Inc. 13,498 154 Merrill Lynch & Co., Inc. 8,318 126 Washington Mutual, Inc. 4,881 ------------------------------------------------------------------------- 67,927 ------------------------------------------------------------------------- FOOD/BEVERAGE PRODUCTS -- 2.5% 235 Kraft Foods, Inc., Class A 7,815 133 The Coca-Cola Co. 5,387 ------------------------------------------------------------------------- 13,202 ------------------------------------------------------------------------- HEALTH CARE/HEALTH CARE SERVICES -- 1.4% 71 Boston Scientific Corp.* 2,499 138 HCA, Inc. 5,051 ------------------------------------------------------------------------- 7,550 ------------------------------------------------------------------------- INSURANCE -- 7.0% 160 AMBAC Financial Group, Inc. 12,506 238 RenaissanceRe Holdings LTD (Bermuda) 11,143 141 Torchmark Corp. 7,638 183 Willis Group Holdings LTD (United Kingdom) 6,593 ------------------------------------------------------------------------- 37,880 ------------------------------------------------------------------------- MANUFACTURING -- 1.9% 177 Honeywell International, Inc. 5,951 182 Timken Co. 4,363 ------------------------------------------------------------------------- 10,314 ------------------------------------------------------------------------- METALS/MINING -- 1.7% 278 Alcoa, Inc. 9,038 MULTI-MEDIA -- 4.8% 177 Comcast Corp., Special Class A* 5,128 133 Gannett Co., Inc. 11,057 261 Viacom, Inc., Class B 9,517 ------------------------------------------------------------------------- 25,702 -------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 40
SHARES ISSUER VALUE - ----------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED OIL & GAS -- 11.0% 211 ChevronTexaco Corp. $ 11,211 161 ConocoPhillips 13,565 81 Devon Energy Corp. 5,955 485 Exxon Mobil Corp. 23,887 168 GlobalSantaFe Corp. 4,959 ------------------------------------------------------------------------- 59,577 ------------------------------------------------------------------------- PACKAGING -- 1.0% 310 Smurfit-Stone Container Corp.* 5,373 PHARMACEUTICALS -- 4.2% 126 GlaxoSmithKline PLC (United Kingdom), ADR 5,334 148 Johnson & Johnson 8,629 95 Pfizer, Inc. 2,750 145 Wyeth 5,740 ------------------------------------------------------------------------- 22,453 ------------------------------------------------------------------------- REAL ESTATE INVESTMENT TRUST -- 1.1% 170 Archstone-Smith Trust 5,687 RESTAURANTS/FOOD SERVICES -- 1.7% 318 McDonald's Corp. 9,261 RETAILING -- 4.9% 67 AutoZone, Inc.* 5,465 166 CVS Corp. 7,206 287 Safeway, Inc.* 5,242 343 The TJX Companies, Inc. 8,218 ------------------------------------------------------------------------- 26,131 ------------------------------------------------------------------------- TELECOMMUNICATIONS -- 4.4% 333 SBC Communications, Inc. $ 8,419 394 Verizon Communications, Inc. 15,398 ------------------------------------------------------------------------- 23,817 ------------------------------------------------------------------------- TEXTILES -- 1.1% 70 Mohawk Industries, Inc.* 5,939 UTILITIES -- 4.6% 92 Entergy Corp. 6,000 116 FPL Group, Inc. 7,992 209 PPL Corp. 10,858 ------------------------------------------------------------------------- 24,850 ------------------------------------------------------------------------- Total Common Stocks 529,617 (Cost $479,915) SHORT-TERM INVESTMENT -- 3.2% MONEY MARKET FUND -- 3.2% 17,260 JPMorgan Prime Money Market Fund (a) 17,260 (Cost $17,260) TOTAL INVESTMENTS -- 101.5% $ 546,877 (COST $497,175) LIABILITIES IN EXCESS OF OTHER ASSETS -- (1.5)% (8,124) ------------------------------------------------------------------------- NET ASSETS -- 100.0% $ 538,753 -------------------------------------------------------------------------
Percentages indicated are based on net assets of $538,753. SEE NOTES TO FINANCIAL STATEMENTS. 41 JPMORGAN TAX AWARE SHORT-INTERMEDIATE INCOME FUND PORTFOLIO OF INVESTMENTS AS OF OCTOBER 31, 2004 (Amounts in thousands)
SHARES ISSUER VALUE - ----------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- 97.2% PREFERRED STOCKS -- 0.5% FINANCIAL SERVICES -- 0.5% 3 Pinto Totta International Finance, 7.77%, FRN, # $ 3,808 (Cost $3,903) PRINCIPAL AMOUNT - ----------------------------------------------------------------------------------- U.S. TREASURY SECURITY -- 0.1% UNITED STATES -- 0.1% $ 400 U.S. Treasury Notes & Bonds, 2.00%, 08/31/05 @ 399 (Cost $401) STATE AND MUNICIPAL OBLIGATIONS -- 82.5% ARIZONA -- 1.5% 1,500 Maricopa County Pollution Control Corp., PCR, Southern California Edison Co., Ser. A, Rev., Adj., 2.90%, 06/01/35 1,477 1,000 Maricopa County School District No. 6-Washington Elementary, Ser. B, GO, 7.10%, 07/01/06 1,080 7,300 Maricopa County Unified School District No. 97-Deer Valley, GO, FGIC, 5.00%, 07/01/10 8,086 ------------------------------------------------------------------------- 10,643 ------------------------------------------------------------------------- CALIFORNIA -- 7.3% 5,000 California Pollution Control Financing Authority, Ser. D, Rev., Adj., 2.00%, 02/28/08 4,955 7,000 California State Department of Water Resources, Power Supply, Ser. A, Rev., MBIA, 5.25%, 05/01/10 7,840 5,000 California State, Economic Recovery, Ser. B, GO, Adj., 5.00%, 07/01/23 5,365 10,000 California State, Economic Recovery, Ser. B, GO, Adj., 5.00%, 07/01/23 10,902 1,000 California State, GO, 7.00%, 08/01/07 1,123 3,500 California Statewide Communities Development Authority, Kaiser Permanente, Ser. F, Rev., Adj., 2.30%, 04/01/33 3,492 $ 5,000 California Statewide Communities Development Authority, Kaiser Permanente, Ser. G, Rev., Adj., 2.30%, 04/01/34 $ 4,988 1,000 Central Valley School District Financing Authority, Ser. A, Rev., MBIA, 6.20%, 02/01/10 1,163 6,365 Los Angeles Unified School District, Election 2004, Ser. A, GO, MBIA, 5.00%, 07/01/07 6,856 3,500 Sacramento County Sanitation District, Ser. A, Rev., 5.88%, 12/01/27 3,676 1,000 Santa Clara County Financing Authority, Measure B, Transportation Improvement Program, Rev., 4.00%, 08/01/05 1,016 ------------------------------------------------------------------------- 51,376 ------------------------------------------------------------------------- COLORADO -- 1.6% 5,000 Colorado Department of Transportation, RAN, AMBAC, 5.75%, 06/15/07 5,481 2,500 Colorado Health Facilities Authority, Evangelical Lutheran, Ser. B, Rev, Adj, 3.75%, 06/01/34 2,519 3,040 Regional Transportation District, Transit Vehicles, COP, Ser. A, Adj., AMBAC, 2.30%, 12/01/22 3,043 ------------------------------------------------------------------------- 11,043 ------------------------------------------------------------------------- CONNECTICUT -- 0.8% 2,000 Connecticut Resource Recovery Authority, American Ref-Fuel Co., Ser. A, Rev., MBIA, 5.50%, 11/15/05 2,067 3,500 Connecticut State Development Authority, PCR, Ser. A, Rev., Adj., AMBAC, 3.35%, 05/01/31 3,546 ------------------------------------------------------------------------- 5,613 ------------------------------------------------------------------------- FLORIDA -- 2.4% 1,000 Escambia County Health Facilities Authority, Ascension Health Credit, Ser. A, Rev., 5.00%, 11/15/06 1,057
SEE NOTES TO FINANCIAL STATEMENTS. 42 PRINCIPAL AMOUNT ISSUER VALUE - ----------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED FLORIDA -- CONTINUED $ 1,855 Escambia County Health Facilities Authority, Ascension Health Credit, Ser. A-1, Rev., (p), AMBAC, 5.75%, 11/15/09 $ 2,128 4,400 Florida State Turnpike Authority, Department of Transportation, Ser. A, Rev., FSA, 5.25%, 07/01/08 4,843 8,200 Reedy Creek Improvement District, Florida Utilities, Ser. 2, Rev., MBIA, 5.25%, 10/01/11 9,257 ------------------------------------------------------------------------- 17,285 ------------------------------------------------------------------------- GEORGIA -- 2.9% 1,680 Fulco Hospital Authority, Health Systems, Catholic Health East, Ser. A, Rev., RAC, MBIA, 5.50%, 11/15/08 1,877 7,000 Georgia State Road & Tollway Authority, Governors Transportation Choices, Rev., 5.00%, 03/01/08 7,616 10,195 Private Colleges & Universities Authority, Emory University, Ser. A, Rev., 5.00%, 09/01/09 11,256 ------------------------------------------------------------------------- 20,749 ------------------------------------------------------------------------- ILLINOIS -- 2.5% 2,625 Chicago, Illinois, Tax Increment, Pilsen Redevelopment, Ser. A, Tax Allocation, AMBAC, 4.35%, 06/01/13 2,665 1,015 Grundy County School District No. 54 Morris, Ser. A, GO, AMBAC, 5.50%, 12/01/08 1,137 4,000 Illinois Development Finance Authority, Gas Supply, Peoples Gas Light & Coke, Ser. B, Rev., Adj., AMBAC, 3.05%, 02/01/33 4,064 2,500 Illinois Development Finance Authority, PCR, Illinois Power Company Project, Ser. A, Rev., (p), 7.38%, 07/01/06 2,761 1,350 Illinois Health Facilities Authority, University of Chicago Hospital System, Rev., MBIA, 5.00%, 08/15/07 1,450 5,500 Illinois State, GO, FGIC, 5.13%, 12/01/10 5,809 ------------------------------------------------------------------------- 17,886 ------------------------------------------------------------------------- INDIANA -- 0.7% $ 3,300 Indiana Transportation Finance Authority, Airport Facilities Lease, Ser. A, Rev., AMBAC, 6.00%, 11/01/06 $ 3,546 1,010 St. Joseph County Hospital Authority, Health System, Ser. A, Rev., MBIA, 5.50%, 08/15/08 1,116 ------------------------------------------------------------------------- 4,662 ------------------------------------------------------------------------- IOWA -- 0.3% 1,895 Iowa Finance Authority, Hospital Facility, Health System, Ser. A, Rev., MBIA, 5.25%, 07/01/07 2,025 KENTUCKY -- 0.1% 825 Owensboro, Kentucky, Electric Light & Power, Rev., (p), 6.85%, 01/01/08 888 MARYLAND -- 7.3% 2,000 Maryland State Health & Higher Educational Facilities Authority, Johns Hopkins Hospital, Ser. A, Rev., 4.50%, 08/01/05 2,037 11,525 Maryland State, State and Local Facilities, Second Series, GO, 5.00%, 08/01/07 12,444 4,000 Northeast Waste Disposal Authority, Resource Recovery Revenue, Solid Waste, Montgomery County Resource Recovery Project, Ser. A, Rev., 6.00%, 07/01/07 4,300 5,410 Northeast Waste Disposal Authority, Resource Recovery Revenue, Solid Waste, Rev., AMBAC, 5.25%, 04/01/09 5,877 12,440 University System of Maryland, Auxiliary Facilities & Tuition, Ser. A, Rev., 5.00%, 04/01/08 13,530 11,905 Washington Suburban Sanitation District, General Construction, GO, 5.00%, 06/01/11 13,323 ------------------------------------------------------------------------- 51,511 ------------------------------------------------------------------------- MASSACHUSETTS -- 1.3% 5,000 Massachusetts State, CONS, Ser. B, GO, (p), 6.00%, 06/01/10 5,796 3,365 Massachusetts State, CONS, Ser. D, GO, (p), 5.25%, 11/01/06 3,614 ------------------------------------------------------------------------- 9,410 -------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 43
PRINCIPAL AMOUNT ISSUER VALUE - ----------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED MICHIGAN -- 1.1% $ 1,000 Michigan Higher Education Student Loan Authority, Student Loan, Ser. XVII-I, Rev., AMBAC, 3.30%, 03/01/09 $ 1,007 1,000 Michigan State Hospital Finance Authority, Ascension Health Credit, Ser. A, Rev., (p), MBIA, 5.75%, 11/15/09 1,152 3,000 Michigan State Hospital Finance Authority, Ascension Health Credit, Ser. B, Rev., Adj., 5.38%, 11/15/33 3,263 1,000 Michigan State, GO, 5.25%, 12/01/10 1,125 1,000 Michigan Strategic Fund, Dow Chemical Project, Rev., Adj., 4.60%, 06/01/14 1,060 ------------------------------------------------------------------------- 7,607 ------------------------------------------------------------------------- MINNESOTA -- 0.1% 1,000 Minnesota Housing Finance Agency, Residential Housing, Ser. K-1, Rev., 2.25%, 07/01/17 988 MISSISSIPPI -- 0.3% 2,300 Mississippi Business Finance Corp., Solid Waste Disposal, Waste Management, Inc. Project, Rev., Adj., 2.30%, 03/01/27 2,279 NEW JERSEY -- 9.5% 2,550 New Jersey Economic Development Authority, Cigarette Tax, Rev., 5.00%, 06/15/07 2,708 3,000 New Jersey Economic Development Authority, Cigarette Tax, Rev., FGIC, 5.00%, 06/15/09 3,279 3,000 New Jersey Economic Development Authority, Cigarette Tax, Rev., FSA, 5.00%, 06/15/09 3,279 12,150 New Jersey Economic Development Authority, School Facilities Construction, Ser. G, Rev., 5.00%, 09/01/09 13,333 $ 5,000 New Jersey Transportation Trust Fund Authority, Transportation System, Ser. A, Rev., MBIA, 5.00%, 12/15/07 $ 5,316 10,000 New Jersey Transportation Trust Fund Authority, Transportation System, Ser. B, Rev., (p), MBIA, 6.00%, 12/15/11 11,881 12,690 New Jersey Transportation Trust Fund Authority, Transportation System, Ser. B, Rev., (p), MBIA, 6.00%, 12/15/11 15,076 10,000 New Jersey Transportation Trust Fund Authority, Transportation System, Ser. B, Rev., FGIC, 5.25%, 12/15/11 11,303 ------------------------------------------------------------------------- 66,175 ------------------------------------------------------------------------- NEW MEXICO -- 0.1% 340 New Mexico State Highway Commission, Common Tax, Sub Lien, Ser. B, Rev., 5.00%, 06/15/06 357 660 New Mexico State Highway Commission, Common Tax, Sub Lien, Ser. B, Rev., (p), 5.00%, 06/15/06 693 ------------------------------------------------------------------------- 1,050 ------------------------------------------------------------------------- NEW YORK -- 8.7% 3,000 Dutchess County IDA, IBM Project, Rev., Adj., 5.45%, 12/01/29 3,324 1,400 Long Island Power Authority, Electric Systems, Ser. 8, Sub Ser. 8-F, Rev., Adj., MBIA, 5.00%, 04/01/11 1,467 1,280 Long Island Power Authority, Electric Systems, Ser. B, Rev., 5.00%, 06/01/05 1,302 3,500 Long Island Power Authority, Electric Systems, Ser. B, Rev., 5.00%, 06/01/06 3,650 2,500 Municipal Assistance Corp. for the City of New York, Ser. G, Rev., 6.00%, 07/01/06 2,667 1,300 Municipal Assistance Corp. for the City of New York, Ser. O, Rev., 5.25%, 07/01/08 1,433
SEE NOTES TO FINANCIAL STATEMENTS. 44
PRINCIPAL AMOUNT ISSUER VALUE - ----------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED NEW YORK -- CONTINUED $ 2,000 New York City Health & Hospital Corp., Health Systems, Ser. A, Rev., AMBAC, 5.00%, 02/15/09 $ 2,192 3,720 New York City Municipal Water Finance Authority, Water & Sewer System, Ser. B, Rev., (p), FSA, 5.88%, 06/15/06 3,973 5,000 New York City Municipal Water Finance Authority, Water & Sewer System, Ser. B, Rev., MBIA, 5.80%, 06/15/29 5,496 800 New York City, New York, Ser. B, GO, 5.10%, 08/01/08 863 5,000 New York City, New York, Ser. D, GO, MBIA, 6.20%, 02/01/07 5,441 1,400 New York City, New York, Ser. F, GO, 5.70%, 08/01/06 1,481 3,000 New York City, New York, Ser. G, GO, 5.00%, 08/01/07 3,217 5,000 New York City, New York, Ser. G, GO, MBIA, 5.00%, 08/01/10 5,404 1,800 New York Convention Center Operating Corp., Yale Building Acquisition Project, COP, 5.25%, 06/01/08 1,873 1,000 New York State Dormitory Authority, City University System, Ser. E, Rev, 5.75%, 07/01/06 1,060 2,530 New York State Dormitory Authority, Department of Health, Ser. 2, Rev., 5.00%, 07/01/09 2,767 2,940 New York State Dormitory Authority, Department of Health, Ser. 2, Rev., 5.00%, 07/01/10 3,229 6,480 New York State Dormitory Authority, Hospital, Ser. A, Rev., FSA, 5.00%, 02/15/10 7,137 1,310 New York State Dormitory Authority, State Department of Health, Rev., 5.25%, 07/01/08 1,432 1,835 Triborough Bridge & Tunnel Authority, General Purpose, Ser. SR, Rev., (p), 5.00%, 01/01/07 1,894 ------------------------------------------------------------------------- 61,302 ------------------------------------------------------------------------- NORTH CAROLINA -- 4.7% $ 2,500 Guilford County, GO, 4.00%, 10/01/22 $ 2,628 500 North Carolina Municipal Power Agency No. 1, Catawba, Taxable, Ser. B, Rev., 3.26%, 01/01/05 500 11,720 North Carolina State, GO, 5.00%, 03/01/09 12,910 5,380 North Carolina State, Ser. A, GO, 5.00%, 06/01/10 5,980 10,010 North Carolina State, Ser. A, GO, (p), 5.00%, 04/01/08 11,115 ------------------------------------------------------------------------- 33,133 ------------------------------------------------------------------------- OHIO -- 2.9% 3,500 Gateway Economic Development Corporation, Greater Cleveland Excise Tax, Senior Lien, FSA, 5.13%, 09/01/05 3,590 1,500 Ohio State Air Quality Development Authority, Ohio Edison Project, Ser. A, Rev., Adj., AMBAC, 3.25%, 02/01/15 1,517 500 Ohio State Air Quality Development Authority, Pollution Control, Ohio Edison Project, Ser. C, Rev., Adj., 5.80%, 06/01/16 501 13,415 Ohio State Building Authority, State Facilities, Administration Builing Fund Project, Ser. B, Rev., MBIA, 5.00%, 10/01/12 15,033 ------------------------------------------------------------------------- 20,641 ------------------------------------------------------------------------- OREGON -- 1.6% 5,410 Multnomah County, GO, AMBAC, 5.00%, 08/01/10 6,009 5,000 Salem-Keizer School District No. 24J, School Board Guaranty, GO, (p), 5.00%, 06/01/09 5,517 ------------------------------------------------------------------------- 11,526 ------------------------------------------------------------------------- PENNSYLVANIA -- 1.7% 10,000 Pennsylvania State, Second Ser., GO, FGIC, 5.00%, 07/01/09 11,039
SEE NOTES TO FINANCIAL STATEMENTS. 45
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 $ 1,054 ------------------------------------------------------------------------- 12,093 ------------------------------------------------------------------------- PUERTO RICO -- 0.5% 3,000 Puerto Rico Highway & Transportation Authority, Ser. AA, Rev., 5.00%, 07/01/07 3,208 SOUTH CAROLINA -- 0.6% 2,000 South Carolina State, Capital Improvement, Ser. A, GO, 5.00%, 01/01/09 2,201 2,000 South Carolina Transportation Infrastructure Bank, Ser. A, Rev., MBIA, 5.00%, 10/01/10 2,190 ------------------------------------------------------------------------- 4,391 ------------------------------------------------------------------------- TEXAS -- 6.2% 1,925 Brazos River Authority, PCR, Utilities Electric Co., Ser. B, Rev., Adj., 5.05%, 06/01/30 1,977 2,500 Brazos River Harbor Navigation District, Brazoria County Environmental, Dow Chemical Co. Project, Ser. A-3, Rev., Adj., 4.95%, 05/15/33 2,631 10,000 Harris County, Toll Road, Ser. B-2, Rev., Adj. FGIC, 5.00%, 08/15/21 10,942 10,000 Houston, Texas, Water & Sewer System, Junior Lien, Ser. B, Rev., (p), FGIC, 5.25%, 12/01/10 11,307 10,000 Houston, Texas, Water & Sewer System, Junior Lien, Ser. D, Rev., (p), FGIC, 5.00%, 12/01/07 11,035 2,475 Matagorda County Navigation District No. 1, PCR, Central Power & Light Co., Ser. A, Rev., Adj, 4.55%, 11/01/29 2,572 3,000 Travis County Health Facilities Development Corp., Ascension Health Credit, Ser. A, Rev., MBIA, 5.75%, 11/15/07 3,267 ------------------------------------------------------------------------- 43,731 ------------------------------------------------------------------------- VIRGINIA -- 9.0% $ 2,000 Big Stone Gap Redevelopment & Housing Authority, Correctional Facilities Lease, Rev., 5.00%, 09/01/07 $ 2,154 5,000 Fairfax County, Public Improvement, Ser. A, GO, 5.00%, 04/01/07 5,360 7,120 Loudoun County, Public Improvement, Ser. A, GO, 5.00%, 05/01/08 7,782 2,000 Louisa IDA, Solid Waste & Sewer Disposal, Electric & Power Co. Project, Ser. A, Rev., Adj., 2.30%, 03/01/31 1,973 2,610 Peninsula Ports Authority, Dominion Terminal Association Project, Rev., Adj., 3.30%, 10/01/33 2,643 7,950 Richmond, Virginia, Ser. B, GO, FSA, 5.00%, 07/15/10 8,824 5,280 Virginia Beach, Virginia, Public Improvement, Ser. B, GO, 5.00%, 05/01/11 5,873 3,505 Virginia Beach, Virginia, Public Improvement, Ser. B, GO, 5.00%, 05/01/12 3,921 3,000 Virginia Beach, Virginia, Public Improvement, Ser. B, GO, 5.00%, 05/01/13 3,362 8,500 Virginia Commonwealth Transportation Board, Federal Highway Reimbursement Notes, Rev., 5.00%, 10/01/11 9,493 10,560 Virginia Public Building Authority, Public Facilities, Ser. B, Rev., 5.00%, 08/01/08 11,573 ------------------------------------------------------------------------- 62,958 ------------------------------------------------------------------------- WASHINGTON -- 3.8% 5,000 Clark County Public Utility District No. 1, Generating Systems, Rev., FGIC, (p), 6.00%, 01/01/07 5,410 1,070 Conservation & Renewable Energy System, Conservation Project, Rev., 5.00%, 10/01/06 1,129 1,175 Conservation & Renewable Energy System, Conservation Project, Rev., 5.00%, 10/01/07 1,266
SEE NOTES TO FINANCIAL STATEMENTS. 46
PRINCIPAL AMOUNT ISSUER VALUE - ----------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED WASHINGTON -- CONTINUED $ 3,170 Port of Seattle, Ser. B, GO, FSA, 5.00%, 11/01/09 $ 3,473 11,100 Port of Seattle, Ser. C, GO, FSA, 5.25%, 11/01/11 12,370 2,000 Snohomish County Public Utility District No. 1, Electric, Rev., 5.00%, 12/01/05 2,063 1,310 Tacoma, Washington, Conservation System Project, Rev., 5.00%, 12/01/07 1,417 ------------------------------------------------------------------------- 27,128 ------------------------------------------------------------------------- WISCONSIN -- 3.0% 2,500 Wisconsin State Health & Educational Facilities Authority, Ministry Health Care, Inc., Ser. B, Rev., 3.50%, 05/15/07 2,531 17,205 Wisconsin State, Petroleum Inspection Fee, Ser. 1, Rev., FSA, 5.00%, 07/01/10 18,980 ------------------------------------------------------------------------- 21,511 ------------------------------------------------------------------------- Total State and Municipal Obligations 582,812 (Cost $579,885) ------------------------------------------------------------------------- CORPORATE NOTES & BONDS -- 7.6% AGRICULTURAL PRODUCTION/SERVICES -- 0.2% 1,350 National Agricultural Cooperative Federation (South Korea), 5.75% to 06/09, thereafter FRN, 06/18/14 1,412 BANKING -- 1.0% 1,800 Bacob Bank SC (Belgium), 7.25%, to 09/07; thereafter FRN, 12/31/49, 1,962 KorAm Bank (South Korea), 2,650 4.68% to 06/08; thereafter FRN, 06/18/13, Ser. E, MTN 2,707 2,200 6.95%, 12/06/11 2,354 ------------------------------------------------------------------------- 7,023 ------------------------------------------------------------------------- COMPUTERS/COMPUTER HARDWARE -- 0.1% 750 Hewlett-Packard Co., 3.63%, 03/15/08 755 CONSUMER PRODUCTS -- 0.7% $ 2,650 Diageo Finance BV (The Netherlands), 3.00%, 12/15/06 $ 2,650 2,200 Deluxe Corp., 3.50%, 10/01/07, # 2,181 ------------------------------------------------------------------------- 4,831 ------------------------------------------------------------------------- FINANCIAL SERVICES -- 2.6% 3,550 BNP U.S. Funding LLC, 7.74% to 12/07; thereafter FRN, 12/31/49, # 3,982 5,350 Capital One Financial Corp., 8.75%, 02/01/07 5,964 1,400 MBNA America Bank N.A., 4.63%, 08/03/09 1,437 1,300 Mizuho JGB Investment LLC, 9.87% to 06/08; thereafter FRN, 12/31/49, # 1,527 4,950 Natexis AMBS Co., LLC, 8.44% to 06/08; thereafter FRN, 12/31/49, # 5,687 ------------------------------------------------------------------------- 18,597 ------------------------------------------------------------------------- INSURANCE -- 0.5% 3,400 Prudential Financial, Inc., 4.10%, 11/15/06 3,462 METALS/MINING -- 0.7% 4,400 BHP Finance USA LTD (Australia) (Yankee), 6.69%, 03/01/06 4,606 PHARMACEUTICALS -- 0.1% 750 Hospira, Inc., 4.95%, 06/15/09 769 TELECOMMUNICATIONS -- 1.4% 1,750 France Telecom (France), 7.95%, 03/01/06 1,862 1,950 Deutsche Telekom International Finance BV (The Netherlands), 8.25%, 06/15/05 2,017 Telecom Italia Capital SA (Luxembourg) 1,600 4.00%, 11/15/08 1,611 1,350 4.00%, 01/15/10, # 1,337 2,825 Sprint Capital Corp., 6.00%, 01/15/07 2,987 ------------------------------------------------------------------------- 9,814 -------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 47
PRINCIPAL AMOUNT ISSUER VALUE - ----------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED UTILITIES -- 0.3% $ 1,400 FPL Group Capital, Inc., 1.88%, 03/30/05 $ 1,397 800 Public Service Co. of Colorado, 4.38%, 10/01/08 820 ------------------------------------------------------------------------- 2,217 ------------------------------------------------------------------------- Total Corporate Notes & Bonds 53,486 (Cost $53,747) ------------------------------------------------------------------------- RESIDENTIAL MORTGAGE BACKED SECURITIES -- 3.3% COLLATERALIZED MORTGAGE OBLIGATIONS -- 3.3% Structured Adjustable Rate Mortgage Loan Trust, 6,350 4.73%, 07/25/34, Ser. 2004-8, Class 5A2, FRN 6,415 7,789 5.02%, 06/25/34, Ser. 2004-6, Class 5A1, FRN 7,868 Wells Fargo Mortgage Backed Securities Trust, 4,950 3.54%, 09/25/34, Ser. 2004-S, Class A3, FRN 4,953 4,200 4.82%, 07/25/34, Ser. 2004-L, Class A2, FRN 4,247 ------------------------------------------------------------------------- Total Residential Mortgage Backed Securities 23,483 (Cost $23,469) ------------------------------------------------------------------------- COMMERCIAL MORTGAGE BACKED SECURITIES -- 2.7% 3,250 Credit Suisse First Boston Mortgage Securities Corp., 4.30%, 07/15/36, Ser. 2004-C3, Class A3 3,308 LB-UBS Commercial Mortgage Trust, 9,150 3.25%, 03/15/29, Ser. 2004-C2, Class A2 8,984 6,850 3.48%, 07/15/27, Ser. 2003-C5, Class A2 6,816 ------------------------------------------------------------------------- Total Commercial Mortgage Backed Securities 19,108 (Cost $19,190) ------------------------------------------------------------------------- ASSET BACKED SECURITIES -- 0.1% $ 800 Capital One Auto Finance Trust, 3.18%, 09/15/10, Ser. 2003-B, Class A4 (Cost $800) $ 799 ------------------------------------------------------------------------- PARTICIPATORY NOTE -- 0.4% DIVERSIFIED -- 0.4% 2,600 Tyco International Group SA Participation Certificate Trust, 4.44%, 06/15/07, # (Cost $2,600) 2,667 ------------------------------------------------------------------------- Total Long-Term Investments 686,562 (Cost $683,995) ------------------------------------------------------------------------- SHORT-TERM INVESTMENTS -- 1.1% - ----------------------------------------------------------------------------------- U.S. TREASURY SECURITY -- 0.0% ^ 200 U.S. Treasury Bill, 1.74%, 01/13/05, (Cost $199) @ 199 STATE AND MUNICIPAL SECURITIES -- 1.1% CALIFORNIA -- 0.7% 5,625 California State, Ser. D-1, GO, FRDO, 1.95%, 02/10/05 5,617 OKLAHOMA -- 0.4% 2,500 Oklahoma Development Finance Authority, ConocoPhillips Co. Project, Rev., FRDO, 1.35%, 12/01/04 2,499 ------------------------------------------------------------------------- Total State and Municipal Securities 8,116 (Cost $8,125) ------------------------------------------------------------------------- Total Short-Term Investments 8,315 (Cost $8,324) ------------------------------------------------------------------------- TOTAL INVESTMENTS -- 98.3% $ 694,877 (COST $692,319) OTHER ASSETS IN EXCESS OF LIABILITIES -- 1.7% 11,778 ------------------------------------------------------------------------- NET ASSETS -- 100.0% $ 706,655 -------------------------------------------------------------------------
Percentages indicated are based on net assets of $706,655. SEE NOTES TO FINANCIAL STATEMENTS. 48 FUTURES CONTRACTS (Amounts in thousands, except number of contracts)
NOTIONAL UNREALIZED NUMBER OF EXPIRATION VALUE AT APPRECIATION CONTRACTS DESCRIPTION DATE 10/31/04 (USD) (DEPRECIATION) (USD) - ---------------------------------------------------------------------------------------------------------------------- LONG FUTURES OUTSTANDING 74 10 Year Canadian Bond December, 2004 $ 6,743 $ 44 160 Euro-SHATZ December, 2004 21,625 94 74 Euro-BOBL December, 2004 10,574 99 33 Eurodollar December, 2004 8,058 --^^ 19 Eurodollar December, 2005 4,603 4 SHORT FUTURES OUTSTANDING (83) Euro-BUND December, 2004 (12,347) (162) (21) 10 Year Japanese Bond December, 2004 (27,320) (337) (221) 2 Year Treasury Note December, 2004 (46,800) (112) (340) 5 Year Treasury Note December, 2004 (37,868) (390) (63) 10 Year Treasury Note December, 2004 (7,154) (33) (52) Eurodollar December, 2006 (12,516) (5)
SWAP CONTRACTS
UNDERLYING UNREALIZED EXPIRATION NOTIONAL APPRECIATION DESCRIPTIONS DATE VALUE (DEPRECIATION) - ---------------------------------------------------------------------------------------------------------------------- Swap -- price lock with Lehman Brothers Special Financing on U.S. Treasury Note, 3.25%, 08/15/08, price less 100.08, JPMorgan pays positive, receives negative. 11/18/04 $ 28,100 $ (165)
SEE NOTES TO FINANCIAL STATEMENTS. 49 JPMORGAN TAX AWARE U.S. EQUITY FUND PORTFOLIO OF INVESTMENTS AS OF OCTOBER 31, 2004 (Amounts in thousands)
SHARES ISSUER VALUE - ----------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- 98.4% COMMON STOCKS -- 98.4% AEROSPACE -- 1.7% 395 Raytheon Co. $ 14,409 34 United Technologies Corp. 3,156 ------------------------------------------------------------------------- 17,565 ------------------------------------------------------------------------- AUTOMOTIVE -- 0.2% 35 Johnson Controls, Inc. 2,007 BANKING -- 3.2% 723 Bank of America Corp. 32,388 BIOTECHNOLOGY -- 1.3% 237 Amgen, Inc.* 13,479 BUSINESS SERVICES -- 2.0% 835 Accenture LTD (Bermuda), Class A* 20,215 CHEMICALS -- 2.0% 486 Praxair, Inc. 20,509 COMPUTER NETWORKS -- 2.1% 1,097 Cisco Systems, Inc.* 21,079 COMPUTER SOFTWARE -- 4.8% 1,363 Microsoft Corp. 38,138 827 Oracle Corp.* 10,467 ------------------------------------------------------------------------- 48,605 ------------------------------------------------------------------------- COMPUTERS/COMPUTER HARDWARE -- 5.3% 1,011 Hewlett-Packard Co. 18,856 165 International Business Machines Corp. 14,842 236 Lexmark International, Inc., Class A* 19,573 ------------------------------------------------------------------------- 53,271 ------------------------------------------------------------------------- CONSTRUCTION MATERIALS -- 0.2% 53 American Standard Companies, Inc.* 1,935 CONSUMER PRODUCTS -- 3.1% 528 Altria Group, Inc. 25,594 116 Procter & Gamble Co. 5,955 ------------------------------------------------------------------------- 31,549 ------------------------------------------------------------------------- DIVERSIFIED -- 8.2% 1,357 General Electric Co. $ 46,296 1,156 Tyco International LTD (Bermuda) 36,003 ------------------------------------------------------------------------- 82,299 ------------------------------------------------------------------------- FINANCIAL SERVICES -- 12.0% 319 American Express Co. 16,903 818 Citigroup, Inc. 36,274 493 Freddie Mac 32,801 424 Morgan Stanley 21,667 314 Washington Mutual, Inc. 12,170 ------------------------------------------------------------------------- 119,815 ------------------------------------------------------------------------- FOOD/BEVERAGE PRODUCTS -- 4.0% 624 Kraft Foods, Inc., Class A 20,772 489 The Coca-Cola Co. 19,869 ------------------------------------------------------------------------- 40,641 ------------------------------------------------------------------------- HEALTH CARE/HEALTH CARE SERVICES -- 3.5% 278 Boston Scientific Corp.* 9,813 243 Guidant Corp. 16,156 260 HCA, Inc. 9,557 ------------------------------------------------------------------------- 35,526 ------------------------------------------------------------------------- INSURANCE -- 4.6% 250 AMBAC Financial Group, Inc. 19,497 197 RenaissanceRe Holdings LTD (Bermuda) 9,224 262 The Allstate Corp. 12,585 138 Willis Group Holdings LTD (United Kingdom) 4,961 ------------------------------------------------------------------------- 46,267 ------------------------------------------------------------------------- MANUFACTURING -- 0.5% 83 Cooper Industries LTD, Class A 5,291 METALS/MINING -- 1.0% 305 Alcoa, Inc. 9,925 MULTI-MEDIA -- 5.6% 525 Comcast Corp., Special Class A* 15,237 150 Gannett Co., Inc. 12,401 240 The E.W. Scripps Co., Class A 11,453 464 Viacom, Inc., Class B 16,936 ------------------------------------------------------------------------- 56,027 -------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 50
SHARES ISSUER VALUE - ----------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED OIL & GAS -- 7.0% 525 ChevronTexaco Corp. $ 27,838 240 ConocoPhillips 20,192 267 Exxon Mobil Corp. 13,166 326 GlobalSantaFe Corp. 9,602 ------------------------------------------------------------------------- 70,798 ------------------------------------------------------------------------- PHARMACEUTICALS -- 8.9% 175 Eli Lilly & Co. 9,605 502 Johnson & Johnson 29,308 999 Pfizer, Inc. 28,920 191 Sepracor, Inc.* 8,750 323 Wyeth 12,798 ------------------------------------------------------------------------- 89,381 ------------------------------------------------------------------------- PIPELINES -- 1.1% 1,213 El Paso Corp. 10,840 RESTAURANTS/FOOD SERVICES -- 1.1% 381 McDonald's Corp. 11,100 RETAILING -- 7.1% 504 CVS Corp. 21,883 271 Home Depot, Inc. 11,119 581 Safeway, Inc.* 10,597 414 The TJX Companies, Inc. 9,918 337 Wal-Mart Stores, Inc. 18,144 ------------------------------------------------------------------------- 71,661 ------------------------------------------------------------------------- SEMI-CONDUCTORS -- 3.1% 636 Altera Corp.* $ 14,447 368 Analog Devices, Inc. 14,796 105 Intel Corp. 2,326 ------------------------------------------------------------------------- 31,569 ------------------------------------------------------------------------- TELECOMMUNICATIONS -- 2.0% 520 Verizon Communications, Inc. 20,325 TEXTILES -- 1.2% 137 Mohawk Industries, Inc.* 11,656 UTILITIES -- 1.6% 384 Pinnacle West Capital Corp. 16,353 ------------------------------------------------------------------------- Total Common Stocks 992,076 (Cost $937,271) ------------------------------------------------------------------------- SHORT-TERM INVESTMENT -- 1.9% - ----------------------------------------------------------------------------------- MONEY MARKET FUND -- 1.9% 19,309 JPMorgan Prime Money Market Fund (a) 19,309 (Cost $19,309) ------------------------------------------------------------------------- TOTAL INVESTMENTS -- 100.3% $ 1,011,385 (COST $956,580) LIABILITIES IN EXCESS OF OTHER ASSETS -- (0.3)% (3,076) ------------------------------------------------------------------------- NET ASSETS -- 100.0% $ 1,008,309 -------------------------------------------------------------------------
Percentages indicated are based on net assets of $1,008,309. SEE NOTES TO FINANCIAL STATEMENTS. 51 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 segregated with the custodian for forward foreign currency contracts. # -- 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, based on net assets, that are fair valued (amounts in thousands):
FUND MARKET VALUE PERCENTAGE ---- ------------ ---------- JPMorgan Fleming Tax Aware International Opportunities Fund $ 117,328 81.72%
(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 October 31, 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 October 31, 2004. FRN -- Floating Rate Note. The interset rate shown is the rate in effect at October 31, 2004. FSA -- Financial Securities Association. 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. RAMS -- Reverse Annuity Mortgage Security. RAN -- Revenue Anticipation Note. Rev. -- Revenue Bond. Ser. -- Series. AUD -- Australian Dollar. CHF -- Swiss Franc. EUR -- Euro. GBP -- Great Britain Pound. HKD -- Hong Kong Dollar. JPY -- Japanese Yen. NOK -- Norwegian Krone. SEK -- Swedish Krona. SGD -- Singapore Dollar. USD -- United States Dollar. SEE NOTES TO FINANCIAL STATEMENTS. 52 THIS PAGE IS INTENTIONALLY LEFT BLANK 53 JPMORGAN FUNDS STATEMENT OF ASSETS AND LIABILITIES AS OF OCTOBER 31, 2004 (Amounts in thousands, except per share amounts)
FLEMING TAX AWARE TAX AWARE TAX AWARE TAX AWARE INTERNATIONAL DISCIPLINED ENHANCED LARGE CAP OPPORTUNITIES FUND EQUITY FUND INCOME FUND GROWTH FUND ------------------ ----------- ----------- ----------- ASSETS Investments in non-affiliates, at value $ 139,745 $ 200,998 $ 1,027,266 $ 197,388 Investments in affiliates, at value -- 432 117,497 2,451 - -------------------------------------------------------------------------------------------------------------------------- Total investment securities, at value 139,745 201,430 1,144,763 199,839 - -------------------------------------------------------------------------------------------------------------------------- Cash 3,167 1 3,574 9 Foreign currency, at value 265 -- -- -- Receivables: Investment securities sold 2,785 -- 110,727 1,386 Fund shares sold 137 1 1,325 6 Interest and dividends 307 270 6,227 66 Foreign tax reclaims 78 -- -- -- Unrealized appreciation on forward foreign currency exchange contracts 1,363 -- -- -- Expense reimbursements 3 -- -- -- - -------------------------------------------------------------------------------------------------------------------------- Total Assets 147,850 201,702 1,266,616 201,306 - -------------------------------------------------------------------------------------------------------------------------- LIABILITIES Payables: Dividends -- -- 814 -- Investment securities purchased 3,026 -- 20,191 1,877 Fund shares redeemed 10 52 121,618 255 Variation margin 5 -- 116 -- Unrealized depreciation on forward foreign currency exchange contracts 1,033 -- -- -- Unrealized depreciation on open swap contracts -- -- 1,306 -- Accrued liabilities: Investment advisory fees 102 59 318 68 Administration fees --^ 22 -- 26 Shareholder servicing fees 1 -- 91 39 Distribution fees 1 -- 3 -- Custodian fees 35 4 44 8 Trustee's fees - deferred compensation plan 1 1 6 27 Other 60 44 91 34 - -------------------------------------------------------------------------------------------------------------------------- Total Liabilities 4,274 182 144,598 2,334 - -------------------------------------------------------------------------------------------------------------------------- NET ASSETS $ 143,576 $ 201,520 $ 1,122,018 $ 198,972 - --------------------------------------------------------------------------------------------------------------------------
^ Amount rounds to less than one thousand. SEE NOTES TO FINANCIAL STATEMENTS. 54
FLEMING TAX AWARE TAX AWARE TAX AWARE TAX AWARE INTERNATIONAL DISCIPLINED ENHANCED LARGE CAP OPPORTUNITIES FUND EQUITY FUND INCOME FUND GROWTH FUND ------------------ ----------- ----------- ----------- NET ASSETS Paid in capital 161,412 298,667 1,146,514 313,803 Accumulated undistributed (overdistributed) net investment income 2,348 173 (514) (29) Accumulated net realized gain (loss) on investments, futures, swaps and foreign exchange transactions (42,157) (121,475) (23,508) (133,653) Net unrealized appreciation (depreciation) of investments, futures, swaps and foreign exchange translations 21,973 24,155 (474) 18,851 - -------------------------------------------------------------------------------------------------------------------------- Total Net Assets $ 143,576 $ 201,520 $ 1,122,018 $ 198,972 - -------------------------------------------------------------------------------------------------------------------------- Class A $ 5,294 $ -- $ 15,684 $ -- Institutional $ 138,282 $ 201,520 $ 744,157 $ -- Select $ -- $ -- $ 362,177 $ 198,972 - -------------------------------------------------------------------------------------------------------------------------- Total $ 143,576 $ 201,520 $ 1,122,018 $ 198,972 - -------------------------------------------------------------------------------------------------------------------------- Shares of beneficial interest outstanding ($0.001 par value; unlimited number of shares authorized): Class A 352 -- 1,570 -- Institutional 9,054 13,174 74,594 -- Select Shares -- -- 36,265 13,495 Net Asset Value: Class A (and redemption price) $ 15.02 $ -- $ 9.99 $ -- Institutional (and redemption price) $ 15.27 $ 15.30 $ 9.98 $ -- Select Shares (and redemption price) $ -- $ -- $ 9.99 $ 14.74 Class A Maximum Public Offering Price Per Share (net asset value per share/ 94.25%, 98.50%) $ 15.94 $ -- $ 10.14 $ -- Cost of investments $ 118,119 $ 177,275 $ 1,143,991 $ 180,988 - -------------------------------------------------------------------------------------------------------------------------- Cost of foreign currency $ 265 $ -- $ -- $ -- - --------------------------------------------------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 55
TAX AWARE TAX AWARE SHORT - TAX AWARE LARGE CAP INTERMEDIATE U.S. EQUITY VALUE FUND INCOME FUND FUND ----------- ----------- ----------- ASSETS Investments in non-affiliates, at value $ 529,617 $ 694,877 $ 992,076 Investments in affiliates, at value 17,260 -- 19,309 - -------------------------------------------------------------------------------------------------------------------------- Total Investment securities, at value 546,877 694,877 1,011,385 - -------------------------------------------------------------------------------------------------------------------------- Cash -- 7,894 106 Receivables: Investment securities sold 4,811 -- 7,999 Fund shares sold 243 2,027 1,038 Interest and dividends 867 9,146 1,239 Expense reimbursements -- -- 2 - -------------------------------------------------------------------------------------------------------------------------- Total Assets 552,798 713,944 1,021,769 - -------------------------------------------------------------------------------------------------------------------------- LIABILITIES Payables: Dividends 478 1,278 -- Investment securities purchased 13,073 5,325 12,516 Fund shares redeemed 61 175 208 Variation margin -- 24 -- Unrealized depreciation on open swap contracts -- 165 -- Accrued liabilities: Investment advisory fees 176 148 377 Administration fees 66 63 78 Shareholder servicing fees 110 45 190 Distribution fees -- -- 3 Custodian fees 7 22 32 Trustee's fees - deferred compensation plan 35 3 10 Other 39 41 46 - -------------------------------------------------------------------------------------------------------------------------- Total Liabilities 14,045 7,289 13,460 - -------------------------------------------------------------------------------------------------------------------------- NET ASSETS $ 538,753 $ 706,655 $ 1,008,309 - --------------------------------------------------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 56
TAX AWARE TAX AWARE SHORT - TAX AWARE LARGE CAP INTERMEDIATE U.S. EQUITY VALUE FUND INCOME FUND FUND --------------- --------------- --------------- NET ASSETS Paid in capital 521,075 712,208 1,025,136 Accumulated undistributed (overdistributed) net investment income (512) 311 583 Accumulated net realized gain (loss) on investments, futures, written options, swaps and foreign exchange transactions (31,512) (7,459) (72,215) Net unrealized appreciation (depreciation) of investments, futures, written options, swaps and foreign exchange translations 49,702 1,595 54,805 - -------------------------------------------------------------------------------------------------------------------------- Total Net Assets $ 538,753 $ 706,655 $ 1,008,309 - -------------------------------------------------------------------------------------------------------------------------- Class A $ -- $ -- $ 5,130 Class B $ -- $ -- $ 2,814 Class C $ -- $ -- $ 479 Institutional $ -- $ 349,338 $ 120,379 Select $ 538,753 $ 357,317 $ 879,507 - -------------------------------------------------------------------------------------------------------------------------- Total $ 538,753 $ 706,655 $ 1,008,309 - -------------------------------------------------------------------------------------------------------------------------- Shares of beneficial interest outstanding ($0.001 par value; unlimited number of of shares authorized): Class A -- -- 317 Class B -- -- 176 Class C -- -- 30 Institutional -- 34,941 10,538 Select 25,425 35,741 54,364 Net Asset Value: Class A (and redemption price) $ -- $ -- $ 16.16 Class B* $ -- $ -- $ 16.00 Class C* $ -- $ -- $ 15.97 Institutional (and redemption price) $ -- $ 10.00 $ 11.42 Select (and redemption price) $ 21.19 $ 10.00 $ 16.18 Class A Maximum Public Offering Price Per Share (net asset value per share/94.25%) $ -- $ -- $ 17.15 Cost of investments $ 497,175 $ 692,319 $ 956,580 - -------------------------------------------------------------------------------------------------------------------------- Cost of foreign currency $ -- $ -- $ -- - --------------------------------------------------------------------------------------------------------------------------
* Redemption price may be reduced by contingent deferred sales charge. SEE NOTES TO FINANCIAL STATEMENTS. 57 STATEMENT OF OPERATIONS FOR THE YEAR ENDED OCTOBER 31, 2004 (Amounts in thousands)
FLEMING TAX AWARE TAX AWARE TAX AWARE TAX AWARE INTERNATIONAL DISCIPLINED ENHANCED LARGE CAP OPPORTUNITIES FUND EQUITY FUND INCOME FUND GROWTH FUND ------------------ ----------- ----------- ----------- INVESTMENT INCOME Interest $ 31 $ -- $ 37,573 $ -- Dividend 3,582 3,261 -- 2,259 Dividend income from affiliated investments* -- 10 734 28 Foreign taxes withheld (263) --^ -- -- - -------------------------------------------------------------------------------------------------------------------------- Total investment income 3,350 3,271 38,307 2,287 - -------------------------------------------------------------------------------------------------------------------------- EXPENSES Investment advisory fees 1,234 680 5,330 995 Administration fees 218 291 3,198 373 Shareholder servicing fees 154 194 2,818 622 Distribution fees 14 -- 50 -- Custodian fees 192 30 237 40 Interest expense 3 --^ 1 2 Printing and postage 7 6 65 9 Professional fees 70 55 99 51 Registration fees 35 22 41 20 Transfer agent fees 46 41 110 22 Trustees' fees 2 3 32 4 Other 15 11 70 15 - -------------------------------------------------------------------------------------------------------------------------- Total expenses 1,990 1,333 12,051 2,153 - -------------------------------------------------------------------------------------------------------------------------- Less amounts waived 470 265 5,516 37 Less earnings credits --^ --^ 10 --^ Less expense reimbursements 26 -- -- -- - -------------------------------------------------------------------------------------------------------------------------- Net expenses 1,494 1,068 6,525 2,116 - -------------------------------------------------------------------------------------------------------------------------- Net investment income (loss) 1,856 2,203 31,782 171 - --------------------------------------------------------------------------------------------------------------------------
^ Amount rounds to less than one thousand. SEE NOTES TO FINANCIAL STATEMENTS. 58
FLEMING TAX AWARE TAX AWARE TAX AWARE TAX AWARE INTERNATIONAL DISCIPLINED ENHANCED LARGE CAP OPPORTUNITIES FUND EQUITY FUND INCOME FUND GROWTH FUND ------------------ ----------- ----------- ----------- REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS Net realized gain (loss) on transactions from: Investments 17,991 10,074 (4,452) (4,727) Futures 109 -- (7,563) -- Written options -- -- 834 -- Swaps -- -- (794) -- Foreign exchange contracts 582 -- -- -- Change in net unrealized appreciation (depreciation) of: Investments (256) 6,480 (5,928) 4,735 Futures 4 -- 3,926 -- Swaps -- -- (1,386) -- Foreign currency translations (89) -- -- -- Net realized and unrealized gain (loss) on investments, futures, foreign exchange transactions, and swaps 18,341 16,554 (15,363) 8 - -------------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in net assets from operations $ 20,197 $ 18,757 $ 16,419 $ 179 - -------------------------------------------------------------------------------------------------------------------------- * Includes reimbursements of investment advisory, administration and shareholder servicing fees : $ -- $ 1 $ 121 $ 4 - --------------------------------------------------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 59
TAX AWARE TAX AWARE SHORT - TAX AWARE LARGE CAP INTERMEDIATE U.S. EQUITY VALUE FUND INCOME FUND FUND --------------- --------------- --------------- INVESTMENT INCOME Interest $ -- $ 18,700 $ -- Dividend 8,461 132 14,826 Dividend income from affiliated investments* 67 176 184 Foreign taxes withheld -- (17) -- - -------------------------------------------------------------------------------------------------------------------------- Total investment income 8,528 18,991 15,010 - -------------------------------------------------------------------------------------------------------------------------- EXPENSES Investment advisory fees 1,667 1,637 4,036 Administration fees 625 982 1,345 Shareholder servicing fees 1,042 1,103 2,070 Distribution fees -- -- 38 Custodian fees 50 93 142 Interest expense --^ 1 -- Printing and postage 14 20 37 Professional fees 64 66 77 Registration fees 23 19 64 Transfer agent fees 25 53 144 Trustees' fees 6 10 13 Other 20 14 34 - -------------------------------------------------------------------------------------------------------------------------- Total expenses 3,536 3,998 8,000 - -------------------------------------------------------------------------------------------------------------------------- Less amounts waived 10 973 559 Less earnings credits --^ 5 1 Less expense reimbursements -- -- 28 - -------------------------------------------------------------------------------------------------------------------------- Net expenses 3,526 3,020 7,412 - -------------------------------------------------------------------------------------------------------------------------- Net investment income (loss) 5,002 15,971 7,598 - --------------------------------------------------------------------------------------------------------------------------
^ Amount rounds to less than one thousand. SEE NOTES TO FINANCIAL STATEMENTS. 60
TAX AWARE TAX AWARE SHORT - TAX AWARE LARGE CAP INTERMEDIATE U.S. EQUITY VALUE FUND INCOME FUND FUND --------------- --------------- --------------- REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS Net realized gain (loss) on transactions from: Investments 5,327 (1,010) 15,867 Futures -- (4,037) -- Written Options -- 169 -- Swaps -- 253 -- Foreign exchange contracts -- (9) -- Change in net unrealized appreciation/(depreciation) of: Investments 46,421 (926) 50,667 Futures -- 780 -- Written Options -- (12) -- Swaps -- (257) -- Foreign exchange translations -- --^ -- Net realized and unrealized gain (loss) on investments, futures, foreign exchange transactions, written options and swaps 51,748 (5,049) 66,534 - -------------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in net assets from operations $ 56,750 $ 10,922 $ 74,132 - -------------------------------------------------------------------------------------------------------------------------- * Includes reimbursements of investment advisory, administration and shareholder servicing fees : $ 9 $ 27 $ 27 - --------------------------------------------------------------------------------------------------------------------------
^ Amount rounds to less than one thousand. SEE NOTES TO FINANCIAL STATEMENTS. 61 STATEMENT OF CHANGES IN NET ASSETS FOR THE PERIODS INDICATED (Amounts in thousands)
FLEMING TAX AWARE TAX AWARE INTERNATIONAL OPPORTUNITIES DISCIPLINED EQUITY FUND FUND --------------------------------- --------------------------------- YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED 10/31/04 10/31/03 10/31/04 10/31/03 --------------- --------------- --------------- --------------- INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS Net investment income $ 1,856 $ 1,716 $ 2,203 $ 2,255 Net realized gain (loss) on investments, futures and foreign exchange contracts 18,682 (17,935) 10,074 (10,786) Change in net unrealized appreciation (depreciation) of investments, futures and foreign currency translations (341) 43,977 6,480 44,281 - -------------------------------------------------------------------------------------------------------------------------- Increase (decrease) in net assets from operations 20,197 27,758 18,757 35,750 - -------------------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS TO SHAREHOLDERS FROM Net investment income (2,773) (1,586) (2,268) (2,258) - -------------------------------------------------------------------------------------------------------------------------- CAPITAL SHARE TRANSACTIONS Increase (decrease) (14,526) (41,696) 4,418 (46,875) - -------------------------------------------------------------------------------------------------------------------------- NET ASSETS Total increase (decrease) in net assets 2,898 (15,524) 20,907 (13,383) - -------------------------------------------------------------------------------------------------------------------------- Beginning of period 140,678 156,202 180,613 193,996 - -------------------------------------------------------------------------------------------------------------------------- End of period $ 143,576 $ 140,678 $ 201,520 $ 180,613 - -------------------------------------------------------------------------------------------------------------------------- Accumulated undistributed (overdistributed) net investment income $ 2,348 $ 1,911 $ 173 $ 245 - --------------------------------------------------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 62
TAX AWARE TAX AWARE ENHANCED INCOME FUND LARGE CAP GROWTH FUND --------------------------------- --------------------------------- YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED 10/31/04 10/31/03 10/31/04 10/31/03 --------------- --------------- --------------- --------------- INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS Net investment income $ 31,782 $ 41,724 $ 171 $ 916 Net realized gain (loss) on investments, futures, and swaps (11,975) (11,422) (4,727) (29,956) Change in net unrealized appreciation (depreciation) of investments, futures and swaps (3,388) 2,497 4,735 63,299 - -------------------------------------------------------------------------------------------------------------------------- Increase (decrease) in net assets from operations 16,419 32,799 179 34,259 - -------------------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS TO SHAREHOLDERS FROM Net investment income (32,127) (42,180) (229) (734) - -------------------------------------------------------------------------------------------------------------------------- Return of capital -- -- (123) -- - -------------------------------------------------------------------------------------------------------------------------- Total distributions to shareholders (32,127) (42,180) (352) (734) - -------------------------------------------------------------------------------------------------------------------------- CAPITAL SHARE TRANSACTIONS Increase (decrease) (1,396,573) 575,943 (69,056) (21,850) - -------------------------------------------------------------------------------------------------------------------------- NET ASSETS Total increase (decrease) in net assets (1,412,281) 566,562 (69,229) 11,675 - -------------------------------------------------------------------------------------------------------------------------- Beginning of period 2,534,299 1,967,737 268,201 256,526 - -------------------------------------------------------------------------------------------------------------------------- End of period $ 1,122,018 $ 2,534,299 $ 198,972 $ 268,201 - -------------------------------------------------------------------------------------------------------------------------- Accumulated undistributed (overdistributed) net investment income $ (514) $ (169) $ (29) $ 29 - --------------------------------------------------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 63
TAX AWARE TAX AWARE SHORT - INTERMEDIATE LARGE CAP VALUE FUND INCOME FUND --------------------------------- --------------------------------- YEAR YEAR YEAR 12/20/02* ENDED ENDED ENDED THROUGH 10/31/04 10/31/03 10/31/04 10/31/03 --------------- --------------- --------------- --------------- INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS Net investment income (loss) $ 5,002 $ 5,146 $ 15,971 $ 6,111 Net realized gain (loss) on investments, futures, written options and swaps 5,327 (9,355) (4,634) (2,827) Change in net unrealized appreciation (depreciation) of investments, futures, swaps and foreign currency translations 46,421 60,789 (415) 2,010 - -------------------------------------------------------------------------------------------------------------------------- Increase (decrease) in net assets from operations 56,750 56,580 10,922 5,294 - -------------------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS TO SHAREHOLDERS FROM Net investment income (5,476) (5,208) (15,872) (5,897) - -------------------------------------------------------------------------------------------------------------------------- CAPITAL SHARE TRANSACTIONS Increase (decrease) 138,783 (30,019) 174,276 537,932 - -------------------------------------------------------------------------------------------------------------------------- NET ASSETS Total increase (decrease) in net assets 190,057 21,353 169,326 537,329 - -------------------------------------------------------------------------------------------------------------------------- Beginning of period 348,696 327,343 537,329 -- - -------------------------------------------------------------------------------------------------------------------------- End of period $ 538,753 $ 348,696 $ 706,655 $ 537,329 - -------------------------------------------------------------------------------------------------------------------------- Accumulated undistributed (overdistributed) net investment income $ (512) $ (163) $ 311 $ 214 - --------------------------------------------------------------------------------------------------------------------------
* Commencement of operations. SEE NOTES TO FINANCIAL STATEMENTS. 64
TAX AWARE U.S. EQUITY FUND --------------------------------- YEAR ENDED YEAR ENDED 10/31/04 10/31/03 --------------- --------------- INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS Net investment income (loss) $ 7,598 $ 4,628 Net realized gain (loss) on investments 15,867 (10,218) Change in net unrealized appreciation/depreciation of investments 50,667 100,650 - -------------------------------------------------------------------------------------------------------------------------- Increase (decrease) in net assets from operations 74,132 95,060 - -------------------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS TO SHAREHOLDERS FROM Net investment income (7,839) (4,092) - -------------------------------------------------------------------------------------------------------------------------- CAPITAL SHARE TRANSACTIONS Increase (decrease) 199,077 415,771 - -------------------------------------------------------------------------------------------------------------------------- NET ASSETS Total increase (decrease) in net assets 265,370 506,739 - -------------------------------------------------------------------------------------------------------------------------- Beginning of period 742,939 236,200 - -------------------------------------------------------------------------------------------------------------------------- End of period $ 1,008,309 $ 742,939 - -------------------------------------------------------------------------------------------------------------------------- Accumulated undistributed (overdistributed) net investment income $ 583 $ 824 - --------------------------------------------------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 65 JPMORGAN FUNDS NOTES TO FINANCIAL STATEMENTS 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 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 Trusts were organized on the following dates:
TRUST DATE JPMST August 15, 1996 MFG May 11, 1987 MFSG October 1, 1996 JPMIF November 4, 1992
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. 66 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 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. During the fiscal year ended October 31, 2004, TADE Institutional Class relieved securities of the fund (Redemption in-kind) in exchange for the redemption of shares. Cash and securities were transferred for redemptions at a market value of (in thousands) $6,389, which resulted in a realized gain of (in thousands) $2,518 to the Fund for federal income tax purposes. A detailed breakout of Redemption in-kind and Subscription in-kind is outlined in Note 13. 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
67 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 quoted by the Nasdaq Stock Market, Inc. shall generally be the Nasdaq Official Closing Price. Securities for which sale prices are not available and other over-the-counter securities are valued at the mean between the bid and asked quotations. Fixed income securities, other than convertible bonds, with a maturity of 61 days or more held by the Funds will be valued each day based on readily available market quotations received from independent or affiliated commercial pricing services. Such pricing services will generally provide bidside quotations. Convertible bonds are valued at the last sale price on the primary exchange on which the bond is principally traded. All short-term securities with a remaining maturity of 60 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, JP 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 trade. The exchange or board of trade acts as the counterparty to each 68 futures transaction; therefore, the Funds' credit risk is limited to failure of the exchange or board of trade. As of October 31, 2004, the Funds held open 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 year. Accordingly, such realized foreign currency gains (losses) are included in the reported net realized gains (losses) on investment transactions. Reported realized foreign currency gains or losses arise from disposition of foreign currency, currency gains or losses realized between the trade and settlement dates on securities transactions, and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on each 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 year 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 Fund's 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, each 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 October 31, 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. 69 As of October 31, 2004 the Funds had no written options contracts outstanding. Transactions in options written for TAEI and TASI during the year ended October 31, 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 expired or terminated in closing purchase transactions 166,837 (834) 285,630 (1,343) Options outstanding at October 31, 2004 -- $ -- -- $ --
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 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 October 31, 2004, the Funds had outstanding swap agreements as listed on the Funds' Portfolio of Investments. Swap transactions present risk of loss in excess of the related amounts included in the Statement of Assets and Liabilities. 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 securities), in which the Funds sell mortgage securities for delivery in the current month and simultaneously contract to repurchase similar, but not identical, securities at an agreed-upon price on a fixed date. The Funds account for such dollar rolls as purchases and sales and receive compensation as consideration for entering into the commitment to repurchase. The Funds must maintain liquid securities having a value not less than the repurchase price (including accrued interest) for such dollar rolls. The market value of the securities that a Fund is required to purchase may decline below the agreed upon repurchase price of those securities. 70 The Funds had no TBA Dollar Rolls outstanding as of October 31, 2004, In a "fee" roll, the compensation is recorded as deferred income and amortized to income over the roll period. The counterparty receives all principal and interest payments, including prepayments, made in respect of a security subject to such a contract while it is the holder. Mortgage dollar rolls may be renewed with a new purchase and repurchase price and a cash settlement made on settlement date without physical delivery of the securities subject to the contract. The Funds engage in dollar rolls for the purpose of enhancing their yields, principally by earning a negotiated fee. The Funds had no Fee-based Dollar Rolls outstanding as of October 31, 2004. 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 they invest. 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 71 extent these "book/tax" differences are permanent in nature (i.e., that they result from other than timing of recognition -- "temporary differences"), such amounts are reclassified within the capital accounts based on their Federal tax-basis treatment. The following amounts were reclassified within the capital accounts (amounts in thousands):
ACCUMULATED ACCUMULATED UNDISTRIBUTED/ NET REALIZED (OVERDISTRIBUTED) GAIN (LOSS) FUND PAID-IN-CAPITAL NET INVESTMENT INCOME ON INVESTMENTS - ---- --------------------- --------------------- --------------------- FTAIO $ -- $ 1,354 $ (1,354) TADE 2,363 (7) (2,356) TAEI -- -- -- TALCG (123) 123 -- TALCV (125) 125 -- TASI -- (1,862) 1,862 TAUSE -- -- --
For FTAIO, the reclassifications primarily relate to the character for tax purposes of foreign currency gains and losses, and the sale of Passive Foreign Investment Company ("PFIC"). For TADE the reclassifications primarily relate to the character for tax purposes of redemptions-in-kind and sales of investments in Real Estate Investment Trust ("REIT"). For TALCG, the reclassifications primarily relate to the character for tax purposes of returns of capital. For TALCV, the reclassifications primarily relate to the character for tax purposes of overdistributions. For TASI, the reclassifications primarily relate to the character for tax purposes of foreign currency gains and losses and foreign bond futures. O. OTHER EXPENSES -- Other expenses in the Statement of Operations include fees related to line of credit, insurance, and pricing and reporting services. 72 4. FEES AND OTHER TRANSACTIONS WITH AFFILIATES A. INVESTMENT ADVISORY FEE -- Pursuant to the Investment Advisory Agreement, JP Morgan Investment Management, Inc. ("JPMIM") acts as investment advisor to the Funds. JPMIM, a wholly owned subsidiary of JPMorgan Fleming Asset Management Holdings, Inc., which is a wholly owned subsidiary of JPMorgan Chase & Co ("JPMorgan"), is the advisor for 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 FUND ADVISORY FEE (%) - ---- ---------------- 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 (%):
FUND CLASS A CLASS B CLASS C - ---- ------- ------- ------- FTAIO 0.25 n/a n/a TAEI 0.25 n/a n/a TAUSE 0.25 0.75 0.75
73 In addition, JPMFD is entitled to receive the contingent deferred sales charge ("CDSC") from redemptions of Class B and C shares. On August 19, 2004, the Board of Trustees approved management's proposal to enter into a Distribution Agreement with One Group Dealer Services, Inc., an indirect wholly-owned subsidiary of JPMorgan Chase & Co. The foregoing change in the service provider is expected to occur effective February 19, 2005. 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 FUND CLASS A CLASS B CLASS C CLASS CLASS - ---- ------- ------- ------- ------------- ------ 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
On August 19, 2004, the Board of Trustees approved management's proposal to replace JPMCB with One Group Dealer Services, Inc. as Shareholder Servicing Agent. The foregoing change in the service provider is expected to occur effective February 19, 2005. 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 74 these services, the Administrator receives a fee computed daily and paid monthly at the annual rate equal to 0.15% of the first $25 billion of the average daily net assets of all non-money market funds in the JPMorgan Fund Complex and 0.075% of the average daily net assets in excess of $25 billion. BISYS Fund Services, L.P. ("BISYS") serves as the Funds' sub-administrator. For its services as sub-administrator, BISYS receives a portion of the fees payable to JPMCB as Administrator. The Administrator, the Advisor and the Distributor have contractually agreed to reimburse the Funds to the extent that total operating expenses (excluding interest, taxes, extraordinary expenses and expenses related to the deferred compensation plan) exceed the percentages of their respective average daily net assets as shown in the table below (%):
INSTITUTIONAL SELECT FUND CLASS A CLASS B CLASS C CLASS CLASS - ---- ------- ------- ------- ------------- ------ 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 year ended October 31, 2004. The expense limitation percentages in the table above are due to expire as follows:
INSTITUTIONAL SELECT FUND CLASS A CLASS B CLASS C CLASS CLASS - ---- ------- ------- ------- -------------- ------ FTAIO 2/28/06 n/a n/a 2/28/06 n/a TADE n/a n/a n/a 2/28/06 n/a TAEI 2/28/06 n/a n/a 2/28/06 2/28/06 TALCG n/a n/a n/a n/a 2/28/06 TALCV n/a n/a n/a n/a 2/28/06 TASI n/a n/a n/a 2/28/06 2/28/06 TAUSE 2/28/06 2/28/06 2/28/06 2/28/06 2/28/06
75 On August 19, 2004, the Board of Trustees approved management's proposal to enter into an Administration Agreement with One Group Administrative Services, Inc., (OGA) an indirect wholly-owned subsidiary of JPMorgan Chase & Co. The foregoing change in the service provider is expected to occur effective February 19, 2005. The Administrative fees charged to the Funds will be subject to the same fee structure as those paid to the current Administrator. JPMCB will begin to provide sub-administrative services to the Funds in 2005. For such services, JPMCB will receive a portion of the fees payable to OGA as Administrator. The Administrator waived fees and/or reimbursed expenses as outlined in Note 4.F. F. WAIVERS AND REIMBURSEMENTS -- For the year ended October 31, 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.
CONTRACTUAL WAIVERS ----------------------------------------------------------------- INVESTMENT SHAREHOLDER CONTRACTUAL FUND ADVISORY ADMINISTRATION SERVICING TOTAL REIMBURSEMENTS - ---- -------------- -------------- -------------- -------------- --------------- FTAIO $ 114 $ 212 $ 138 $ 464 $ 26 TADE -- 71 194 265 -- TAEI 718 3,198 1,600 5,516 -- TALCG -- -- 37 37 -- TALCV 10 -- -- 10 -- TASI -- 353 620 973 -- TAUSE -- 508 51 559 28 Total $ 842 $ 4,342 $ 2,640 $ 7,824 $ 54 VOLUNTARY WAIVERS ---------------------------------------------------------- INVESTMENT SHAREHOLDER FUND ADVISORY ADMINISTRATION SERVICING DISTRUBTION TOTAL - ---- ---------- -------------- ----------- ----------- -------- FTAIO $ -- $ 6 $ -- $ -- $ 6
G. OTHER -- Certain officers of the Trusts are officers of JPMorgan Chase & Co. or of BISYS or their subsidiaries. During the period, certain Funds may have purchased securities from an underwriting syndicate in which the principal underwriter or members of the syndicate were affiliated with the Advisors. The Funds may use related-party broker/dealers. For the year ended October 31, 2004, FTAIO, TALCV and TAUSE incurred approximately (in thousands) $1, $56 and $270 respectively, in brokerage commissions with broker/dealers affiliated with JPMorgan. The SEC has granted an exemptive order permitting each Fund to engage in principal transactions with JP Morgan Securities Inc., an affiliated broker, involving taxable money market instruments subject to certain conditions. 76 5. CLASS SPECIFIC EXPENSES The Funds' class specific expenses for the year ended October 31, 2004, are as follows (amounts in thousands):
SHAREHOLDER FUND SERVICING DISTRIBUTION TRANSFER AGENT - ---- -------------- -------------- -------------- FTAIO Class A $ 14 $ 14 $ 14 Institutional 140 -- 32 - ------------------------------------------------------------------------------------------- Total $ 154 $ 14 $ 46 TADE Institutional $ 194 $ -- $ 41 TAEI Class A $ 50 $ 50 $ 22 Institutional 1,674 -- 50 Select 1,094 -- 38 - ------------------------------------------------------------------------------------------- Total $ 2,818 $ 50 $ 110 TALCG Select $ 622 $ -- $ 22 TALCV Select $ 1,042 $ -- $ 25 TASI Institutional $ 356 $ -- $ 28 Select 747 -- 25 - ------------------------------------------------------------------------------------------- Total $ 1,103 $ -- $ 53 TAUSE Class A $ 13 $ 13 $ 30 Class B 7 22 18 Class C 1 3 3 Institutional 115 -- 18 Select 1,934 -- 75 - ------------------------------------------------------------------------------------------- Total $ 2,070 $ 38 $ 144 - -------------------------------------------------------------------------------------------
77 6. CLASS SPECIFIC DISTRIBUTIONS The Funds' class specific distributions from net investment income and realized gain on investment transactions for the year ended October 31, 2004, and the year ended October 31, 2003 are as follows (amounts in thousands):
YEAR ENDED 10/31/04 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 $ 2,268 $ -- $ 2,258 $ -- TAEI Class A $ 212 $ -- $ 307 $ -- Institutional 26,154 -- 35,853 -- Select 5,761 -- 6,020 -- - -------------------------------------------------------------------------------------------------------- Total $ 32,127 $ -- $ 42,180 $ -- - -------------------------------------------------------------------------------------------------------- TALCG Select $ 352* $ -- $ 734 $ -- TALCV Select $ 5,476 $ -- $ 5,208 $ -- TASI Institutional $ 8,833 $ -- $ 3,989 $ -- Select 7,039 -- 1,908 -- - -------------------------------------------------------------------------------------------------------- Total $ 15,872 $ -- $ 5,897 $ -- - -------------------------------------------------------------------------------------------------------- TAUSE Class A $ 30 $ -- $ 22 $ -- Class B 4 -- 5 -- Class C 1 -- 1 -- Institutional 1,561 -- 988 -- Select 6,243 -- 3,076 -- - -------------------------------------------------------------------------------------------------------- Total $ 7,839 $ -- $ 4,092 $ -- - --------------------------------------------------------------------------------------------------------
^ Amount rounds to less than one thousand. * TALCG includes return of capital distributions in the amount (in thousands) of $123. 78 7. INVESTMENT TRANSACTIONS For the year ended October 31, 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. FUND GOVERNMENT) GOVERNMENT) GOVERNMENT GOVERNMENT - ---- ---------------- --------------- --------------- --------------- FTAIO $ 132,653 $ 147,948 $ -- $ -- TADE 64,613 60,135 -- -- TAEI 1,636,359 3,058,150 -- 35,672 TALCG 316,111 384,272 -- -- TALCV 293,242 162,725 -- -- TASI 1,121,978 950,540 236,644 278,384 TAUSE 724,014 519,046 -- --
8. FEDERAL INCOME TAX MATTERS For Federal income tax purposes, the cost and unrealized appreciation (depreciation) in value of the investment securities at October 31, 2004, are as follows (amounts in thousands):
GROSS GROSS NET UNREALIZED AGGREGATE UNREALIZED UNREALIZED APPRECIATION FUND COST APPRECIATION DEPRECIATION (DEPRECIATION) - ---- ---------------- --------------- --------------- --------------- FTAIO $ 119,454 $ 21,640 $ (1,349) $ 20,291 TADE 178,294 31,043 (7,907) 23,136 TAEI 1,143,991 1,703 (931) 772 TALCG 193,131 15,185 (8,477) 6,708 TALCV 497,686 63,119 (13,928) 49,191 TASI 692,338 4,571 (2,032) 2,539 TAUSE 956,778 79,575 (24,968) 54,607
79 The tax character of distributions paid during the years ended October 31, 2004, and October 31, 2003, respectively were as follows (amounts in thousands):
ORDINARY TAX EXEMPT LONG-TERM RETURN OF TOTAL FUND INCOME INCOME CAPITAL GAIN CAPITAL DISTRIBUTIONS - ---- ------------- ------------- ------------- ------------- ------------- YEAR ENDED 10/31/04 FTAIO $ 2,773 $ -- $ -- $ -- $ 2,773 TADE 2,268 -- -- -- 2,268 TAEI 9,896 22,231 -- -- 32,127 TALCG 229 -- -- 123 352 TALCV 5,476 -- -- -- 5,476 TASI 2,708 13,164 -- -- 15,872 TAUSE 7,839 -- -- -- 7,839 ORDINARY TAX EXEMPT LONG-TERM RETURN OF TOTAL FUND INCOME INCOME CAPITAL GAIN CAPITAL DISTRIBUTIONS - ---- ------------- ------------- ------------- ------------- ------------- YEAR ENDED 10/31/04 FTAIO $ 1,586 $ -- $ -- $ -- $ 1,586 TADE 2,258 -- -- -- 2,258 TAEI 17,259 24,921 -- -- 42,180 TALCG 734 -- -- -- 734 TALCV 5,208 -- -- -- 5,208 TASI @ 1,442 4,455 -- -- 5,897 TAUSE 4,092 -- -- -- 4,092
@ For the period 12/20/02 to 10/31/03. 80 At October 31, 2004, the components of net assets (excluding paid in capital) on a tax basis were as follows (amounts in thousands):
FTAIO TADE TAEI ---------- ---------- ---------- Current distributable ordinary income $ 2,654 $ 171 $ 262 Current distributable tax-exempt income -- -- 45 Plus/Less: cumulative timing differences (--)^ (--)^ (820) Undistributed ordinary income or (overdistribution of ordinary income) $ 2,654 $ 171 $ (513) Current distributable long-term capital gain or (tax basis capital loss carryover) $ (40,762) $ (120,454) $ (23,448) Plus/Less: cumulative timing differences -- -- -- Undistributed long-term gains/ accumulated capital loss $ (40,762) $ (120,454) $ (23,448) Unrealized appreciation (depreciation) $ 20,272 $ 23,136 $ (535) TALCG TALCV TASI ---------- ---------- ---------- Current distributable ordinary income $ -- $ -- $ 232 Current distributable tax-exempt income -- -- 1,360 Plus/Less: cumulative timing differences (27) (512) (1,281) Undistributed ordinary income or (overdistribution of ordinary income) $ (27) $ (512) $ 311 Current distributable long-term capital gain or (tax basis capital loss carryover) $ (121,512) $ (31,001) $ (7,975) Plus/Less: cumulative timing differences -- -- -- Undistributed long-term gains/ accumulated capital loss $ (121,512) $ (31,001) $ (7,975) Unrealized appreciation (depreciation) $ 6,708 $ 49,191 $ 2,111
^ Amount rounds to less than one thousand. 81
TAUSE ----------- Current distributable ordinary income $ 593 Plus/Less: cumulative timing differences (10) Undistributed ordinary income or (overdistribution of ordinary income) $ 583 Current distributable long-term capital gain or (tax basis capital loss carryover) $ (72,017) Plus/Less: cumulative timing differences -- Undistributed long-term gains/ accumulated capital loss $ (72,017) Unrealized appreciation (depreciation) $ 54,607
For TALCG, TALCV and TAUSE, the difference between book and tax basis unrealized appreciation/(depreciation) is primarily attributed to wash sale loss deferrals. For FTAIO, the difference between book and tax basis unrealized appreciation/(depreciation) is due to wash sale loss deferrals, the mark to market of forward currency exchange contracts and investments in PFIC. For TAEI, the difference between book and tax basis unrealized appreciation/(depreciation) is primarily attributed to the mark to market of futures contracts. For TASI, the difference between book and tax basis unrealized appreciation/(depreciation) is primarily attributed to wash sales loss deferrals and the mark to market of futures contracts. For TADE, the difference between book and tax basis unrealized appreciation/(depreciation) is primarily attributed to wash sales loss deferrals and REIT basis adjustments. For FTAIO, TADE, TALCG and TAUSE, the cumulative timing difference account primarily consists of deferred compensation. For TAEI, TALCV, and TASI, the cumulative timing difference account primarily consists of deferred compensation and dividends payable. 82 At October 31, 2004, the following Funds have capital loss carryovers, which will be available to offset capital gains. To the extent that any net capital loss carryovers are used to offset future capital gains, it is probable that the gains so offset will not be distributed to shareholders (amounts in thousands):
EXPIRATION FUND AMOUNT DATE - ---- ----------------- ---------------- FTAIO $ (23,569) October 31, 2010 (17,193) October 31, 2011 - -------------------------------------------------------------------------------------------------------- Total (40,762) - -------------------------------------------------------------------------------------------------------- TADE $ (17,204) October 31, 2008 (36,384) October 31, 2009 (50,933) October 31, 2010 (15,933) October 31, 2011 - -------------------------------------------------------------------------------------------------------- Total (120,454) - -------------------------------------------------------------------------------------------------------- TAEI $ (1,458) October 31, 2010 (6,200) October 31, 2011 (15,790) October 31, 2012 - -------------------------------------------------------------------------------------------------------- Total (23,448) - -------------------------------------------------------------------------------------------------------- TALCG $ (50,267) October 31, 2009 (37,056) October 31, 2010 (30,037) October 31, 2011 (4,152) October 31, 2012 - -------------------------------------------------------------------------------------------------------- Total (121,512) - -------------------------------------------------------------------------------------------------------- TALCV $ (21,646) October 31, 2010 (9,355) October 31, 2011 - -------------------------------------------------------------------------------------------------------- Total (31,001) - -------------------------------------------------------------------------------------------------------- TASI $ (4,405) October 31, 2011 (3,570) October 31, 2012 - -------------------------------------------------------------------------------------------------------- Total (7,975) - --------------------------------------------------------------------------------------------------------
83
EXPIRATION FUND AMOUNT DATE - ---- ------------------ ---------------- TAUSE* $ (6,399) October 31, 2007 (6,281) October 31, 2008 (21,016) October 31, 2009 (28,103) October 31, 2010 (10,218) October 31, 2011 - --------------------------------------------------------------------------------------------------------- Total (72,017) - ---------------------------------------------------------------------------------------------------------
* The TAUSE capital loss carryover includes $26,024 (amount in thousands) of losses acquired from JPMorgan Select Large Cap Equity Fund. Utilization of these losses will be subject to an annual limitation as prescribed by the Internal Revenue Code. During the year ended October 31, 2004, FTAIO, TADE, TALCV and TAUSE utilized capital loss carryovers of $16,747, $7,488, $5,815 and $16,016, respectively (amounts in thousands). 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 has been extended to April 14, 2005. The Funds had no borrowings outstanding at October 31, 2004 nor at anytime during the year then ended. 10. CONCENTRATIONS AND INDEMNIFICATIONS FTAIO may have elements of risk not typically associated with investments in the United States of America due to concentrated investments in a limited number of countries or regions, which may vary throughout the year. Such concentrations may subject FTAIO to additional risks resulting from political or economic conditions in such countries or regions and the possible imposition of adverse governmental laws or currency exchange restrictions could cause the securities and their markets to be less liquid and their prices more volatile than those of comparable U.S. securities. The ability of the issuers of debt, asset-backed and mortgage-backed securities, along with counterparties to swap and option agreements, to meet their obligations may be affected by the economic and political developments in a specific industry or region. The value of asset-backed and mortgage-backed securities can be significantly affected by changes in interest rates or rapid principal payments including prepayments. As to illiquid investments, a Fund is subject to the risk that should the Fund decide to sell them when a ready buyer is not available at a price the Fund deems representative of their fair value, the value of the Fund's net assets could be adversely affected. As of October 31, 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. 84 As of October 31, 2004 FTAIO invested 26.2% 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 completed the merger of their holding companies on July 1, 2004. Effective July 20, 2004, the name of the holding company changed to JPMorgan Chase & Co. Effective November 15, 2004, the bank name is JPMorgan Chase Bank, National Association. 12. SUBSEQUENT EVENT On November 11, 2004, The Board of Directors approved the following: 1. For Class A Shares, the maximum front-end sales charge was reduced from 5.75% to 5.25% for shares purchased on or after November 15, 2004 of the Tax Aware International Opportunities Fund. 2. For shares of the Tax Aware International Opportunities Fund purchased on or after February 19, 2005, shareholders will pay a 2% redemption fee if they exchange or redeem shares of this Fund within 60 days of the date of purchase. As described in the Fund's prospectus, this fee may be in addition to any applicable contingent deferred sales charge. The redemption fees will be paid to the respective Funds to offset the impact of fluctuations in asset levels and cash flow caused by short-term shareholder trading in these Funds. 85 Capital share tranactions were as follows for the periods presented (Amounts in thousands):
FLEMING TAX AWARE INTERNATIONAL OPPORTUNITIES FUND ------------------------------------ YEAR ENDED YEAR ENDED OCTOBER 31, 2004 OCTOBER 31, 2003 ---------------- ---------------- CLASS A SHARES AMOUNT Shares sold $ 392 $ 3,769 Shares issued in reinvestment of distributions 25 22 Shares redeemed (2,146) (5,998) - ---------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (1,729) $ (2,207) - ---------------------------------------------------------------------------------------------------- SHARES Shares sold 26 358 Shares issued in reinvestment of distributions 2 2 Shares redeemed (145) (546) - ---------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding (117) (186) - ---------------------------------------------------------------------------------------------------- CLASS B* 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) ------------------------------------ YEAR ENDED YEAR ENDED OCTOBER 31, 2004 OCTOBER 31, 2003 ---------------- ---------------- CLASS C* 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 AMOUNT Shares sold $ 26,988 $ 27,732 Shares issued in reinvestment of distributions 473 336 Shares redeemed (40,258) (67,484) - ---------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (12,797) $ (39,416) - ---------------------------------------------------------------------------------------------------- SHARES Shares sold 1,868 2,472 Shares issued in reinvestment of distributions 34 30 Shares redeemed (2,734) (6,140) - ---------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding (832) (3,638) - ----------------------------------------------------------------------------------------------------
^ Amount rounds to less than one thousand. * Class ceased operations as of September 12, 2003. 87
TAX AWARE DISCIPLINED EQUITY FUND ------------------------------------ YEAR ENDED YEAR ENDED OCTOBER 31, 2004 OCTOBER 31, 2003 ---------------- ---------------- INSTITUTIONAL AMOUNT Shares sold $ 44,535 $ 34,911 Subscription in-kind -- 21,173 Shares issued in reinvestment of distributions 1,660 1,703 Shares redeemed (35,388) (81,796) Redemption in-kind (6,389) (22,866) - ---------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ 4,418 $ (46,875) - ---------------------------------------------------------------------------------------------------- SHARES Shares sold 2,963 2,855 Subscription in-kind -- 1,812 Shares issued in reinvestment of distributions 110 140 Shares redeemed (2,353) (6,791) Redemption in-kind (432) (1,647) - ---------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding 288 (3,631) - ----------------------------------------------------------------------------------------------------
88
TAX AWARE ENHANCED INCOME FUND ------------------------------------ YEAR ENDED YEAR ENDED OCTOBER 31, 2004 OCTOBER 31, 2003 ---------------- ---------------- CLASS A AMOUNT Shares sold $ 17,062 $ 26,951 Shares issued in reinvestment of distributions 184 263 Shares redeemed (23,733) (23,564) - ---------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (6,487) $ 3,650 - ---------------------------------------------------------------------------------------------------- SHARES Shares sold 1,702 2,668 Shares issued in reinvestment of distributions 18 26 Shares redeemed (2,370) (2,333) - ---------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding (650) 361 - ---------------------------------------------------------------------------------------------------- INSTITUTIONAL AMOUNT Shares sold $ 764,339 $ 1,652,863 Shares issued in reinvestment of distributions 19,955 30,174 Shares redeemed (2,095,973) (1,278,324) - ---------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (1,311,679) $ 404,713 - ---------------------------------------------------------------------------------------------------- SHARES Shares sold 76,296 163,883 Shares issued in reinvestment of distributions 1,993 2,994 Shares redeemed (209,584) (126,874) - ---------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding (131,295) 40,003 - ---------------------------------------------------------------------------------------------------- SELECT AMOUNT Shares sold $ 184,937 $ 417,915 Shares issued in reinvestment of distributions 1,865 3,056 Shares redeemed (265,209) (253,391) - ---------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (78,407) $ 167,580 - ---------------------------------------------------------------------------------------------------- SHARES Shares sold 18,418 41,364 Shares issued in reinvestment of distributions 186 303 Shares redeemed (26,468) (25,111) - ---------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding (7,864) 16,556 - ----------------------------------------------------------------------------------------------------
89
TAX AWARE LARGE CAP GROWTH FUND TAX AWARE LARGE CAP VALUE FUND ----------------------------------- ----------------------------------- YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED OCTOBER 31, 2004 OCTOBER 31, 2003 OCTOBER 31, 2004 OCTOBER 31, 2003 ---------------- ---------------- ---------------- ---------------- SELECT AMOUNT Shares sold $ 22,915 $ 35,341 $ 220,279 $ 55,219 Shares issued in reinvestment of distributions 7 15 228 121 Shares redeemed (91,978) (57,206) (81,724) (85,359) - ------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (69,056) $ (21,850) $ 138,783 $ (30,019) - ------------------------------------------------------------------------------------------------------------------- SHARES Shares sold 1,535 2,626 10,750 3,339 Shares issued in reinvestment of distributions --^ 1 11 7 Shares redeemed (6,168) (4,180) (4,029) (5,101) - ------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding (4,633) (1,553) 6,732 (1,755) - -------------------------------------------------------------------------------------------------------------------
^ Amount rounds to less than one thousand. 90
TAX AWARE SHORT-INTERMEDIATE INCOME FUND ------------------------------------ YEAR ENDED PERIOD ENDED OCTOBER 31, 2004 OCTOBER 31, 2003* ---------------- ---------------- INSTITUTIONAL AMOUNT Shares sold $ 195,778 $ 374,926 Shares issued in reinvestment of distributions 3,205 1,400 Shares redeemed (182,856) (39,517) - ---------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ 16,127 $ 336,809 - ---------------------------------------------------------------------------------------------------- SHARES Shares sold 19,505 37,278 Shares issued in reinvestment of distributions 321 139 Shares redeemed (18,371) (3,931) - ---------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding 1,455 33,486 - ---------------------------------------------------------------------------------------------------- SELECT AMOUNT Shares sold $ 209,358 $ 216,722 Shares issued in reinvestment of distributions 771 322 Shares redeemed (51,980) (15,921) - ---------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ 158,149 $ 201,123 - ---------------------------------------------------------------------------------------------------- SHARES Shares sold 20,885 21,556 Shares issued in reinvestment of distributions 77 32 Shares redeemed (5,230) (1,579) - ---------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding 15,732 20,009 - ----------------------------------------------------------------------------------------------------
* From commencement of offering on December 20, 2002. 91
TAX AWARE U.S. EQUITY FUND ------------------------------------ YEAR ENDED YEAR ENDED OCTOBER 31, 2004 OCTOBER 31, 2003 ---------------- ---------------- CLASS A AMOUNT Shares sold $ 1,499 $ 759 Shares issued in reinvestment of distributions 28 19 Shares redeemed (1,553) (1,365) - ---------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (26) $ (587) - ---------------------------------------------------------------------------------------------------- SHARES Shares sold 95 57 Shares issued in reinvestment of distributions 2 1 Shares redeemed (97) (105) - ---------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding --^ (47) - ---------------------------------------------------------------------------------------------------- CLASS B AMOUNT Shares sold $ 133 $ 708 Shares issued in reinvestment of distributions 4 5 Shares redeemed (415) (1,093) - ---------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (278) $ (380) - ---------------------------------------------------------------------------------------------------- SHARES Shares sold 8 54 Shares issued in reinvestment of distributions --^ --^ Shares redeemed (26) (81) - ---------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding (18) (27) - ----------------------------------------------------------------------------------------------------
^ Amount rounds to less than one thousand. 92
TAX AWARE U.S. EQUITY FUND (CONTINUED) -------------------------------------- YEAR ENDED YEAR ENDED OCTOBER 31, 2004 OCTOBER 31, 2003 ---------------- ---------------- CLASS C AMOUNT Shares sold $ 82 $ 162 Shares issued in reinvestment of distributions --^ --^ Shares redeemed (2) (105) - ---------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ 80 $ 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 AMOUNT Shares sold $ 27,738 $ 72,814 Shares issued in reinvestment of distributions 1,217 700 Shares redeemed (22,288) (20,456) - ---------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ 6,667 $ 53,058 - ---------------------------------------------------------------------------------------------------- SHARES Shares sold 2,474 7,469 Shares issued in reinvestment of distributions 107 72 Shares redeemed (1,977) (2,100) - ---------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding 604 5,441 - ----------------------------------------------------------------------------------------------------
^ Amount rounds to less than one thousand. 93
TAX AWARE U.S. EQUITY FUND (CONTINUED) -------------------------------------- YEAR ENDED YEAR ENDED OCTOBER 31, 2004 OCTOBER 31, 2003 ---------------- ---------------- SELECT AMOUNT Shares sold $ 310,508 $ 211,352 Shares issued in connection with Fund Reorganization (Note 2) -- 241,297 Shares issued in reinvestment of distributions 1,323 1,080 Shares redeemed (119,197) (90,106) - ---------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ 192,634 $ 363,623 - ---------------------------------------------------------------------------------------------------- SHARES Shares sold 19,498 15,611 Shares issued in connection with Fund Reorganization (Note 2) -- 18,573 Shares issued in reinvestment of distributions 82 80 Shares redeemed (7,489) (6,534) - ---------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding 12,091 27,730 - ----------------------------------------------------------------------------------------------------
94 THIS PAGE IS INTENTIONALLY LEFT BLANK 95 JPMORGAN FUNDS FINANCIAL HIGHLIGHTS 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 Year Ended 10/31/04 $ 13.36 0.08^ 1.74 1.82 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 Year Ended 10/31/04 $ 10.05 0.11 (0.06) 0.05 0.11 -- 0.11 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 Year Ended 10/31/04 $ 14.89 0.08^ 1.28 1.36 0.09 -- 0.09 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. 96 ANNUAL REPORT OCTOBER 31 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 Year Ended 10/31/04 $ 15.02 13.74% $ 5 1.69% 0.58% 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 Year Ended 10/31/04 $ 9.99 0.47% $ 16 0.75% 1.04% 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 Year Ended 10/31/04 $ 16.16 9.15% $ 5 1.10% 0.57% 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 Year Ended 10/31/04 1.97% 0.30% 93% 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 Year Ended 10/31/04 1.03% 0.76% 95% 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 Year Ended 10/31/04 1.74% (0.07%) 59% 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. # Short periods have been annualized. + Due to the size of net assets and fixed expenses, ratios may appear disproportionate with other classes. SEE NOTES TO FINANCIAL STATEMENTS. 97 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 Year Ended 10/31/04 $ 14.75 0.01^ 1.26 1.27 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 (1) Total return figures do not include the effect of any front-end or deferred sales load. SEE NOTES TO FINANCIAL STATEMENTS. 98
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 Year Ended 10/31/04 $ 16.00 8.62% $ 3 1.60% 0.07% 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 Year Ended 10/31/04 2.24% (0.57%) 59% 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. # Short periods have been annualized. + Due to the size of net assets and fixed expenses, ratios may appear disproportionate with other classes. SEE NOTES TO FINANCIAL STATEMENTS. 99 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 Year Ended 10/31/04 $ 14.72 0.02^ 1.25 1.27 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 (1) Total return figures do not include the effect of any front-end or deferred sales load. (b) Not annualized for periods less than one year. 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 Year Ended 10/31/04 $ 15.97 8.66% $ --@ 1.60% 0.07% 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 Year Ended 10/31/04 2.24% (0.57%) 59% 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%
@ Amount rounds to less than one million. ^^ Amount rounds to less than .005%. # Short periods have been annualized. + Due to the size of net assets and fixed expenses, ratios may appear disproportionate with other classes. SEE NOTES TO FINANCIAL STATEMENTS. 101 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 Year Ended 10/31/04 $ 13.60 0.19^ 1.75 1.94 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 Year Ended 10/31/04 $ 14.02 0.16 1.29 1.45 0.17 -- 0.17 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 TAX AWARE ENHANCED INCOME FUND Year Ended 10/31/04 $ 10.05 0.15 (0.06) 0.09 0.16 -- 0.16 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 TAX AWARE SHORT-INTERMEDIATE INCOME FUND Year Ended 10/31/04 $ 10.05 0.26 (0.06) 0.20 0.25 -- 0.25 12/20/02* Through 10/31/03 $ 10.00 0.20^ 0.04 0.24 0.19 -- 0.19
* 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. 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 (b) (MILLIONS) EXPENSES (LOSS) ---------- ---------- ----------- -------- ---------- FLEMING TAX AWARE INTERNATIONAL OPPORTUNITIES FUND Year Ended 10/31/04 $ 15.27 14.44% $ 139 1.00% 1.31% 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 Year Ended 10/31/04 $ 15.30 10.40% $ 202 0.55% 1.14% 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% TAX AWARE ENHANCED INCOME FUND Year Ended 10/31/04 $ 9.98 0.88% $ 744 0.25% 1.55% 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% TAX AWARE SHORT-INTERMEDIATE INCOME FUND Year Ended 10/31/04 $ 10.00 2.02% $ 350 0.40% 2.49% 12/20/02* Through 10/31/03 $ 10.05 2.41% $ 336 0.35% 2.34% 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 Year Ended 10/31/04 1.34% 0.97% 93% 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 Year Ended 10/31/04 0.69% 1.00% 31% 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% TAX AWARE ENHANCED INCOME FUND Year Ended 10/31/04 0.53% 1.27% 95% 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% TAX AWARE SHORT-INTERMEDIATE INCOME FUND Year Ended 10/31/04 0.55% 2.34% 185% 12/20/02* Through 10/31/03 0.57% 2.12% 274%
(b) Not annualized for periods less than one year. # Short periods have been annualized. 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 --------- ---------- ------------ ---------- ---------- ------------- ------------- TAX AWARE U.S EQUITY FUND Year Ended 10/31/04 $ 10.57 0.11^ 0.90 1.01 0.15 -- 0.15 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. 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) ---------- ---------- ----------- -------- ---------- TAX AWARE U.S EQUITY FUND Year Ended 10/31/04 $ 11.42 9.50% $ 120 0.70% 0.97% 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 U.S EQUITY FUND Year Ended 10/31/04 0.76% 0.91% 59% 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%
(b) Not annualized for periods less than one year. @ Amount rounds to less than one million. # Short periods have been annualized. SEE NOTES TO FINANCIAL STATEMENTS. 105 FINANCIAL HIGHLIGHTS (CONTINUED) 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 RETURN BEGINNING INCOME REALIZED AND INVESTMENT INVESTMENT FROM CAPITAL OF TOTAL OF PERIOD (LOSS) UNREALIZED) OPERATIONS INCOME GAINS CAPITAL DISTRIBUTIONS --------- ---------- ------------ ---------- ---------- ------------- ------- ------------- TAX AWARE ENHANCED INCOME FUND Year Ended 10/31/04 $ 10.06 0.13 (0.07) 0.06 0.13 -- -- 0.13 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 TAX AWARE LARGE CAP GROWTH FUND@ Year Ended 10/31/04 $ 14.79 0.01 (0.04) (0.03) 0.01 -- 0.01 0.02 Year Ended 10/31/03 $ 13.03 0.05 1.75 1.80 0.04 -- -- 0.04 01/01/02 Through 10/31/02 ** $ 17.39 0.04 (4.36) (4.32) 0.04 -- -- 0.04 11/01/01 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 TAX AWARE LARGE CAP VALUE FUND@@ Year Ended 10/31/04 $ 18.65 0.25 2.56 2.81 0.27 -- -- 0.27 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 TAX AWARE SHORT-INTERMEDIATE INCOME FUND Year Ended 10/31/04 $ 10.05 0.23 (0.05) 0.18 0.23 -- -- 0.23 12/20/02* Through 10/31/03 $ 10.00 0.19^ 0.04 0.23 0.18 -- -- 0.18
@ Formerly JPMorgan Select Equity 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). ^ Calculated based on average shares outstanding * Commencement of offering of class of shares. 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 ENHANCED INCOME FUND Year Ended 10/31/04 $ 9.99 0.63% $ 362 0.50% 1.30% 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% TAX AWARE LARGE CAP GROWTH FUND@ Year Ended 10/31/04 $ 14.74 (0.21%) $ 199 0.85% 0.07% Year Ended 10/31/03 $ 14.79 13.84% $ 268 0.85% 0.35% 01/01/02 Through 10/31/02 ** $ 13.03 (24.84%) $ 257 0.68% 0.34% 11/01/01 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% TAX AWARE LARGE CAP VALUE FUND@@ Year Ended 10/31/04 $ 21.19 15.12% $ 539 0.85% 1.20% 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% TAX AWARE SHORT-INTERMEDIATE INCOME FUND Year Ended 10/31/04 $ 10.00 1.86% $ 357 0.55% 2.38% 12/20/02* Through 10/31/03 $ 10.05 2.28% $ 201 0.50% 2.22% 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 Year Ended 10/31/04 0.68% 1.12% 95% 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% TAX AWARE LARGE CAP GROWTH FUND@ Year Ended 10/31/04 0.87% 0.05% 129% Year Ended 10/31/03 0.87% 0.33% 35% 01/01/02 Through 10/31/02 ** 0.85% 0.17% 46% 11/01/01 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% TAX AWARE LARGE CAP VALUE FUND@@ Year Ended 10/31/04 0.85% 1.20% 39% 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% TAX AWARE SHORT-INTERMEDIATE INCOME FUND Year Ended 10/31/04 0.69% 2.24% 185% 12/20/02* Through 10/31/03 0.72% 2.00% 274%
(b) Not annualized for periods less than one year. @@ Formerly JPMorgan Select Equity Income Fund. ** 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. # Short periods have been annualized. SEE NOTES TO FINANCIAL STATEMENTS. 107
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 Year Ended 10/31/04 $ 14.90 0.13^ 1.28 1.41 0.13 -- 0.13 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
^ Calculated based on average shares outstanding 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 (MILLIONS) EXPENSES (LOSS) ---------- ---------- ----------- -------- ---------- TAX AWARE U.S. EQUITY FUND Year Ended 10/31/04 $ 16.18 9.46% $ 880 0.84% 0.83% 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% 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 -------------------- -------------------- ---------- TAX AWARE U.S. EQUITY FUND Year Ended 10/31/04 0.90% 0.77% 59% 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%
SEE NOTES TO FINANCIAL STATEMENTS. 109 REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM To the Trustees and Shareholders of J.P. Morgan Series Trust, J.P. Morgan Mutual Fund Group, J.P. Morgan Mutual Fund Select Group and J.P. Morgan Institutional Funds In our opinion, the accompanying statements of assets and liabilities, including the portfolios of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of JPMorgan Fleming Tax Aware International Opportunities Fund, JPMorgan Tax Aware Disciplined Equity Fund, JPMorgan Tax Aware Enhanced Income Fund, JPMorgan Tax Aware Large Cap Growth Fund, JPMorgan Tax Aware Large Cap Value Fund, JPMorgan Tax Aware Short-Intermediate Income Fund and JPMorgan Tax Aware U.S. Equity Fund (hereafter referred to collectively as the "Funds") at October 31, 2004, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period then ended and the financial highlights for each of the periods presented, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Funds' management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at October 31, 2004 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion. PricewaterhouseCoopers LLP New York, New York December 20, 2004 110 SCHEDULE OF SHAREHOLDER EXPENSES Hypothetical $1,000 Investment at Beginning of Period October 31, 2004 (Unaudited) As a shareholder of the Funds, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments and redemption fees: and (2) ongoing costs, including investment advisory, administration fees, distribution fees and other Fund expenses. The examples below are intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other mutual funds. The examples assume that you had a $1,000 investment in the Class at the beginning of the reporting period, May 1, 2004, and continued to hold your shares at the end of the reporting period, October 31, 2004. ACTUAL EXPENSES For each Class of each Fund in the table below, the first line provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line of each Class under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES The second line of each Class in the table below provides information about hypothetical account values and hypothetical expenses based on the Class' actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class' actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Class of the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as sales charges (loads) or redemption fees. Therefore, the second line for each Class in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher. The examples also assume all dividends and distributions have been reinvested. 111
EXPENSES PAID BEGINNING ENDING DURING PERIOD ACCOUNT VALUE, ACCOUNT VALUE, MAY 1 TO ANNUALIZED MAY 1, 2004 OCTOBER 31, 2004 OCTOBER 31, 2004* EXPENSE RATIO -------------- ---------------- ----------------- ------------- FLEMING TAX AWARE INTERNATIONAL OPPORTUNITIES FUND CLASS A Actual period return $ 1,000 $ 1,036 $ 9.21 1.80% Hypothetical $ 1,000 $ 1,016 $ 9.12 1.80% INSTITUTIONAL Actual period return $ 1,000 $ 1,039 $ 5.12 1.00% Hypothetical $ 1,000 $ 1,020 $ 5.08 1.00% TAX AWARE DISCIPLINED EQUITY FUND INSTITUTIONAL Actual period return $ 1,000 $ 1,033 $ 2.81 0.55% Hypothetical $ 1,000 $ 1,022 $ 2.80 0.55% TAX AWARE ENHANCED INCOME FUND CLASS A Actual period return $ 1,000 $ 1,003 $ 3.78 0.75% Hypothetical $ 1,000 $ 1,021 $ 3.81 0.75% INSTITUTIONAL Actual period return $ 1,000 $ 1,005 $ 1.26 0.25% Hypothetical $ 1,000 $ 1,024 $ 1.27 0.25% SELECT Actual period return $ 1,000 $ 1,004 $ 2.52 0.50% Hypothetical $ 1,000 $ 1,022 $ 2.54 0.50% TAX AWARE LARGE CAP GROWTH FUND SELECT Actual period return $ 1,000 $ 983 $ 4.24 0.85% Hypothetical $ 1,000 $ 1,021 $ 4.32 0.85% TAX AWARE LARGE CAP VALUE SELECT Actual period return $ 1,000 $ 1,066 $ 4.41 0.85% Hypothetical $ 1,000 $ 1,021 $ 4.32 0.85%
112
EXPENSES PAID BEGINNING ENDING DURING PERIOD ACCOUNT VALUE, ACCOUNT VALUE, MAY 1 TO ANNUALIZED MAY 1, 2004 OCTOBER 31, 2004 OCTOBER 31, 2004* EXPENSE RATIO -------------- ---------------- ----------------- ------------- TAX AWARE SHORT-INTERMEDIATE INCOME FUND INSTITUTIONAL Actual period return $ 1,000 $ 1,021 $ 2.03 0.40% Hypothetical $ 1,000 $ 1,023 $ 2.03 0.40% SELECT Actual period return $ 1,000 $ 1,020 $ 2.79 0.55% Hypothetical $ 1,000 $ 1,022 $ 2.80 0.55% TAX AWARE U.S. EQUITY FUND CLASS A Actual period return $ 1,000 $ 1,030 $ 5.61 1.10% Hypothetical $ 1,000 $ 1,019 $ 5.58 1.10% CLASS B Actual period return $ 1,000 $ 1,027 $ 8.15 1.60% Hypothetical $ 1,000 $ 1,017 $ 8.11 1.60% CLASS C Actual period return $ 1,000 $ 1,027 $ 8.15 1.60% Hypothetical $ 1,000 $ 1,017 $ 8.11 1.60% INSTITUTIONAL Actual period return $ 1,000 $ 1,031 $ 3.57 0.70% Hypothetical $ 1,000 $ 1,021 $ 3.56 0.70% SELECT Actual period return $ 1,000 $ 1,031 $ 4.29 0.84% Hypothetical $ 1,000 $ 1,021 $ 4.27 0.84%
* Expenses are equal to the Class' annualized expense ratio in the table above, multiplied by the average account value over the period, multiplied by 184/366 (to reflect the one-half year period). 113 The following tables contain basic information regarding the Trustees and Officers, respectively, that oversee operations of the Trusts and other investment companies within the JPMorgan Funds complex.
NUMBER OF PORTFOLIOS IN JPMORGAN FUND OTHER DIRECTORSHIPS NAME, CONTACT POSITIONS TERM OF OFFICE PRINCIPAL COMPLEX(1) HELD OUTSIDE ADDRESS AND HELD WITH AND LENGTH OF TIME OCCUPATIONS DURING OVERSEEN BY JPMORGAN FUND YEAR OF BIRTH EACH JPMORGAN TRUST SERVED PAST 5 YEARS TRUSTEE COMPLEX - ---------------------------------------------------------------------------------------------------------------------------------- NON-INTERESTED TRUSTEE(S) - ---------------------------------------------------------------------------------------------------------------------------------- William J. Armstrong; Trustee Trustee of Funds that Retired; Vice President 70 None 522 Fifth Avenue, are series of JPMIF and and Treasurer of New York, NY 10036; JPMST since 2001, Funds Ingersoll-Rand Company 1941 that are aseries of MFG (manufacturer of since 1987 and Funds industrial equipment) that are a series of (1972-2000) MFSG since 1996. Roland R. Eppley, Jr.; Trustee Trustee of Funds that Retired 70 Director, Janel 522 Fifth Avenue, are series of JPMIF and Hydro, Inc. New York, NY 10036; JPMST since 2001, Funds (Automotive) 1932 that are aseries of MFG (1993-Present) since 1987 and Funds that are a series of MFSG since 1996. Ann Maynard Gray; Trustee Since 2001 Vice President of 70 Director of Duke 522 Fifth Avenue, Capital Cities/ABC, Energy Corporation New York, NY 10036; Inc. (communications) (1997-Present); 1945**+ (1986-1998) Director of Elan Corporation, Plc (pharmaceuticals) (2001-Present); Director of The Phoenix Companies (wealth management services) (2002-Present) Matthew Healey; Trustee Trustee of Funds that Retired; Chief 70 None 522 Fifth Avenue, are a series of JPMIF Executive Officer of New York, NY 10036; since 1992 and Funds certain J.P. Morgan 1937+ that are a series of Fund Trusts (1982-2001) JPMST, MSFG and MFG since 2001.
114
NUMBER OF PORTFOLIOS IN JPMORGAN FUND OTHER DIRECTORSHIPS NAME, CONTACT POSITIONS TERM OF OFFICE PRINCIPAL COMPLEX(1) HELD OUTSIDE ADDRESS AND HELD WITH AND LENGTH OF TIME OCCUPATIONS DURING OVERSEEN BY JPMORGAN FUND YEAR OF BIRTH EACH JPMORGAN TRUST SERVED PAST 5 YEARS TRUSTEE COMPLEX - ---------------------------------------------------------------------------------------------------------------------------------- NON-INTERESTED TRUSTEE(S) (CONTINUED) Fergus Reid, III; Trustee and Trustee of Funds that Chairman of Lumelite 70 Trustee of Morgan 522 Fifth Avenue, Chairman of are series of JPMST and Corporation (plastics Stanley Funds (209 New York, NY 10036; the Board of JPMIF since 2001, Funds manufacturing) portfolios) (1995- 1932 Trustees that are a series of (2003-Present) Chairman Present) MFSG since 1996 and and CEO of Lumelite Funds that are a series Corporation (1985-2002) of MFG since 1987. James J. Schonbachler; Trustee Since 2001 Retired; Managing 70 None 522 Fifth Avenue, Director of Bankers New York, NY 10036; Trust Company, 1943 (financial services) (1968-1998) Robert J. Higgins; Trustee Since 2002 Retired; Director of 70 Director of Providian 522 Fifth Avenue, Administration of the Financial Corp. New York, NY 10036; State of Rhode Island (banking) 1945 (2003-Present); (2002-Present) President - Consumer Banking and Investment Services Fleet Boston Financial (1971-2002) Dr. Matthew Goldstein; Trustee Since 2003 Chancellor of the City 70 Trustee of Bronx- 522 Fifth Avenue, University of New York, Lebanon Hospital New York, NY 10036; since September 1, Center 1941 1999; President, (1992-Present); Adelphi University (New Director of New Plan York) (1998-1999). Excel Realty Trust, Inc. (real estate investment trust) (2000-Present); Director of Lincoln Center Institute for the Arts in Education (1999-Present).
115
NUMBER OF PORTFOLIOS IN JPMORGAN FUND OTHER DIRECTORSHIPS NAME, CONTACT POSITIONS TERM OF OFFICE PRINCIPAL COMPLEX(1) HELD OUTSIDE ADDRESS AND HELD WITH AND LENGTH OF TIME OCCUPATIONS DURING OVERSEEN BY JPMORGAN FUND YEAR OF BIRTH EACH JPMORGAN TRUST SERVED PAST 5 YEARS TRUSTEE COMPLEX - ---------------------------------------------------------------------------------------------------------------------------------- NON-INTERESTED TRUSTEE(S) (CONTINUED) William G. Morton, Jr.; Trustee Since 2003 Retired; Chairman 70 Director of Radio 522 Fifth Avenue, Emeritus (2001-2002), Shack Corporation New York, NY 10036; and Chairman and Chief (electronics) 1937 Executive Officer, (1987-Present); Boston Stock Exchange Director of The (1985-2001). Griswold Company (securities brokerage) (2002-2004); Director of The National Football Foundation and College Hall of Fame (1994-Present); Trustee of the Berklee College of Music (1998-Present); Trustee of the Stratton Mountain School (2001-Present). INTERESTED TRUSTEE(S) Leonard M. Spalding* Trustee Trustee of Funds that Retired; Chief 70 None 522 Fifth Avenue, are series of JPMST and Executive Officer of New York, NY 10036; JPMIF since 2001, Funds Chase Mutual Funds 1935 that are a series of (investment company) MFSG since 1996 and (1989-1998); President Funds that are a series and Chief Executive of MFG since 1998. Officer of Vista Capital Management (investment management) (1990-1998); Chief Investment Executive of Chase Manhattan Private Bank (investment management) (1990-1995)
* Mr. Spalding is deemed to be an "interested person" due to his ownership of equity securities of J.P. Morgan Chase & Co. ** Dana Maynard Gray, the daughter of Ann Maynard Gray, became employed with JPMorgan Securities, Inc., as an Associate Analyst, on May 3, 2004. (1) A Fund Complex means two or more investment companies that hold themselves out to investors as related companies for purposes of investment and investment services or have a common investment advisor or have an investment advisor that is an affiliated person of the investment advisor of any of the other investment companies. The JPMorgan Fund Complex for which the Trustees serve includes 13 investment companies. + Resigned effective November 26, 2004. 116
POSITIONS HELD TERM OF OFFICE NAME, CONTACT ADDRESS WITH EACH AND LENGTH OF PRINCIPAL OCCUPATIONS AND YEAR OF BIRTH JPMORGAN TRUST TIME SERVED DURING PAST 5 YEARS - ------------------------------------------------------------------------------------------------------------------------------------ OFFICERS George Gatch; President Since 2001 Managing Director, JPMIM, CEO and President of the J.P. 522 Fifth Avenue, Morgan and One Group Funds. An employee since 1986, Mr. Gatch New York, NY 10036; leads the firm's U.S. mutual fund and financial intermediary 1962 business. He was previously president and CEO of DKB Morgan, a Japanese mutual fund company, which was a joint venture between J.P. Morgan and Dal-lchi Kangyo Bank. Prior to working in Japan, Mr. Gatch established JPMIM's sub-advisory and institutional mutual funds business. He has also held numerous positions throughout the firm in business management, marketing, and sales. Robert L. Young; Senior Vice President Since 2004 Chief Operating Officer, JPMorgan Funds (August 2004 to 522 Fifth Avenue, present) and One Group Mutual Funds from November 2001 New York, NY 10036; until present. From October 1999 to present, Vice President 1963 and Treasurer, One Group Administrative Services, Inc., and Vice President and Treasurer, One Group Dealer Services, Inc. Patricia A. Maleski; Vice President and Chief Since 2003 Vice President, JPMIM; previously, Treasurer, JPMorgan 522 Fifth Avenue, Administrative Officer Funds and Head of Funds Administration and Board Liaison. New York, NY 10036; Prior to joining J.P. Morgan Chase & Co. in 2001, Ms. Maleski 1960 was the Vice President of Finance for the Pierpont Group, Inc., a service provider to the Board of Directors/Trustees of the JPMorgan Funds. Wayne H. Chan; Secretary Since 2003 Vice President and Assistant General Counsel, JPMIM, since 522 Fifth Avenue, September 2002; Mr. Chan was an associate at the law firm New York, NY 10036; of Shearman and Sterling LLP from May 2001 through 1965 September 2002; Swidler Berlin Shereff Friedman LLP from June 1999 through May 2001 and Whitman Breed Abbott & Morgan LLP from September 1997 through May 1999. Stephanie J. Dorsey Treasurer Since 2004 Director of Mutual Fund Administration, One Group 522 Fifth Avenue, Administrative Services, since January 2004; Ms. Dorsey New York, NY 10036; worked for Bank One Corporation from January 2003 to 1969 January 2004; Prior to joining Bank One Corporation, she held various positions at PricewaterhouseCoopers LLP from September 1992 through December 2002. Elizabeth A. Davin Assistant Secretary (2004) From September 2004 to present, Senior Counsel, 522 Fifth Avenue, JPMorgan Chase & Co.; prior to that Ms. Davin was New York, NY 10036; Assistant General Counsel and then Associate General 1964 Counsel and Vice President, Gartmore Global Investments, Inc. from July 1999 to August 2004. Stephen M. Benham Assistant Secretary (2004) Vice President and Assistant General Counsel, JPMIM 522 Fifth Avenue, since 2004; Vice President (Legal Advisory) of Merrill New York, NY 10036; Lynch Investment Managers, L.P., from 2000 to 2004; 1959 attorney associated with Kirkpatrick & Lockhart LLP from 1997 to 2000. Jessica K. Ditullio Assistant Secretary Since 2004 From August 1990 to present, she held various attorney 522 Fifth Avenue, positions for Bank One Corporation (now known as New York, NY 10036; JPMorgan Chase & Co.) 1962
117
POSITIONS HELD TERM OF OFFICE NAME, CONTACT ADDRESS WITH EACH AND LENGTH OF PRINCIPAL OCCUPATIONS AND YEAR OF BIRTH JPMORGAN TRUST TIME SERVED DURING PAST 5 YEARS - ------------------------------------------------------------------------------------------------------------------------------------ OFFICERS (CONTINUED) Nancy E. Fields Assistant Secretary Since 2004 From October 1999 to present, Director, Mutual Fund 522 Fifth Avenue, Administration, One Group Administrative Services, Inc. and New York, NY 10036; Senior Project Manager, Mutual Funds, One Group Dealer 1949 Services, Inc. From July 1999 to October 1999, Project Manager, One Group, Banc One Investment Advisors Corporation. Avery P. Maher Assistant Secretary Since 2004 Vice President and Assistant General Counsel, JPMIM since 522 Fifth Avenue, 2004; Second Vice President and Assistant Secretary of New York, NY 10036; John Hancock Advisers, LLC, from July 1992 through 1945 Septemebr 2004. Alaina Metz Assistant Secretary Since 2001 From June 1995 to present, Vice President 3435 Stelzer Rd. Columbus, OH 43219 1967 Martin R. Dean Assistant Treasurer Since 2001 Vice President of Regulatory Services of BISYS Fund 3435 Stelzer Rd. Services, Inc. Columbus, OH 43219 1963 Arthur A. Jensen Assistant Treasurer Since 2001 Vice President of Financial Services of BISYS Fund Services, 3435 Stelzer Rd. Inc. since June 2001; formerly Section Manager of Northern Columbus, OH 43219 Trust Company and Accounting Supervisor at Allstate 1966 Insurance Company. Christopher D. Walsh Assistant Treasurer Since 2004 Vice President, JPMIM; Mr. Walsh manages all aspects of 522 Fifth Avenue, institutional and retail mutual fund administration and New York, NY 10036; vendor relationships within the mutual funds, 1965 commingled/ERISA funds, 3(c)(7) funds, hedge funds and LLC products. Prior to joining JPMorgan in 2000, he was a director from 1996 to 2000 of Mutual Fund Administration at Prudential Investments. Paul M. DeRusso Assistant Treasurer Since 2001 Vice President, JPMIM; Manager of the Budgeting and 522 Fifth Avenue, Expense Group of Funds Administration Group. New York, NY 10036; 1954 Mary D. Squires Assistant Treasurer Since 2001 Vice President, JPMIM; Ms. Squires has held numerous 522 Fifth Avenue, financial and operations positions supporting the New York, NY 10036; J.P. Morgan Chase organization complex. 1955 Stephen M. Ungerman Chief Compliance Officer Since 2004 Vice President, JPMIM; previously, head of Fund 522 Fifth Avenue, Administration - Pooled Vehicles; prior to joining J.P. New York, NY 10036; Morgan Chase in 2000, he held a number of positions in 1953 Prudential Financial's asset management business, including Associate General Counsel, Tax Director and Co-head of Fund Administration Department. Mr. Ungerman also served as Assistant Treasurer for all mutual funds managed by Prudential.
Additional information concerning the Trustees is contained in the Statement of Additional Information and is available without charge by calling 1-800-348-4782. 118 TAX LETTER (UNAUDITED) JPMORGAN FLEMING TAX AWARE INTERNATIONAL OPPORTUNITIES FUND ("FTAIO") JPMORGAN TAX AWARE DISCIPLINED EQUITY FUND ("TADE") JPMORGAN TAX AWARE ENHANCED INCOME FUND ("TAEI") JPMORGAN TAX AWARE LARGE CAP GROWTH FUND ("TALCG") JPMORGAN TAX AWARE LARGE CAP VALUE FUND ("TALCV") JPMORGAN TAX AWARE SHORT-INTERMEDIATE INCOME FUND ("TASI") JPMORGAN TAX AWARE U.S. EQUITY FUND ("TAUSE") Certain tax information regarding the JPMorgan Tax Aware Funds is required to be provided to shareholders based upon the Funds' income and distributions for the taxable year ended October 31, 2004. The information and distributions reported in this letter may differ from the information and distributions taxable to the shareholders for the calendar year ending December 31, 2004. The information necessary to complete your income tax returns for the calendar year ending December 31, 2004 will be received under separate cover. FOR THE FISCAL YEAR ENDED OCTOBER 31, 2004: The dividends paid from net investment income are 69.20% and 82.94% exempt from federal income tax for TAEI and TASI, respectively. The following schedule represents the percentage of distribution eligible for the dividends received deductions.
DIVIDENDS RECEIVED DEDUCTION FUND --------- FTAIO 0% TADE 100% TAEI 0% TALCG 100% TALCV 100% TASI 4.53% TAUSE 100%
For the fiscal year ended October 31, 2004, the following represents the percentage of ordinary income distributions as qualified dividends:
PERCENTAGE OF DISTRIBUTIONS FUND ------------- FTAIO 100% TADE 100% TALCG 100% TALCV 100% TAUSE 100%
119 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. 120 [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. INVESTORS SHOULD CAREFULLY READ THE FUNDS' PROSPECTUS WHICH INCLUDES INFORMATION ON THE FUNDS' 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'S PROSPECTUS PLEASE CALL 800 348-4782. PLEASE READ CAREFULLY BEFORE INVESTING OR SENDING MONEY. No sooner than 30 days after the end of each month, the Fund will make available upon request a complete uncertified schedule of its portfolio holdings as of the last day of that month. Not later than 60 days after the end of each fiscal quarter, the Fund will make available a complete schedule of its portfolio holdings as of the last day of that quarter, as filed in a certified filing with the SEC. In addition to providing hard copies upon request, the Fund will post these quarterly schedules on the Fund's website at www.jpmorganfunds.com and on the SEC's website at www.sec.gov. Shareholders may request portfolio holdings schedules at no charge by calling 1-800-480-4111. A description of the Fund's policies and procedures with respect to the disclosure of the Fund's portfolio holdings is available in the Statement of Additional Information. A copy of proxy policies and procedures are available without charge upon request by calling 1-800-348-4782 and on the Commission's website at www.sec.gov. The Trustees have delegated the authority to vote proxies for securities owned by the Fund to JPMIM. A copy of the Fund's voting record for the 12-month period ended June 30, 2004 is available on the SEC's website at www.sec.gov or at the Fund's website at www.jpmorgan.com. The Fund's proxy voting record will include, among other things, a brief description of the matter voted on for each portfolio security, and will state how each vote was cast, for example, for or against the proposal. JPMorgan Funds Fulfillment Center PRSRT STD 6112 W. 73rd Street U.S. POSTAGE Bedford Park, IL 60638 PAID PERMIT 2891 KANSAS CITY, MO (C) J.P. Morgan Chase & Co., 2004 AN-TA-1004 All rights reserved. December 2004. ITEM 2. CODE OF ETHICS. Disclose whether, as of the end of the period covered by the report, the registrant has adopted a code of ethics that applies to the registrant's principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party. If the registrant has not adopted such a code of ethics, explain why it has not done so. THE REGISTRANT HAS ADOPTED A CODE OF ETHICS THAT APPLIES TO THE REGISTRANT'S PRINCIPAL EXECUTIVE OFFICER, PRINCIPAL FINANCIAL OFFICER, PRINCIPAL ACCOUNTING OFFICER OR CONTROLLER, OR PERSONS PERFORMING SIMILAR FUNCTIONS. THE REGISTRANT WILL PROVIDE TO ANY PERSON WITHOUT CHARGE, UPON REQUEST, A COPY OF THE CODE OF ETHICS. A REQUEST MAY BE MADE BY CALLING 1-800-348-4782. ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT. (a) (1) Disclose that the registrant's board of directors has determined that the registrant either: (i) Has at least one audit committee financial expert serving on its audit committee; or (ii) Does not have an audit committee financial expert serving on its audit committee. THE REGISTRANT'S BOARD OF TRUSTEES HAS DETERMINED THAT THE REGISTRANT HAS AT LEAST ONE AUDIT COMMITTEE FINANCIAL EXPERT SERVING ON ITS AUDIT COMMITTEE. (2) If the registrant provides the disclosure required by paragraph (a)(1)(i) of this Item, it must disclose the name of the audit committee financial expert and whether that person is "independent." In order to be considered "independent" for purposes of this Item, a member of an audit committee may not, other than in his or her capacity as a member of the audit committee, the board of directors, or any other board committee: (i) Accept directly or indirectly any consulting, advisory, or other compensatory fee from the issuer; or (ii) Be an "interested person" of the investment company as defined in Section 2(a)(19) of the Act (15 U.S.C. 80a-2(a)(19)). THE AUDIT COMMITTEE FINANCIAL EXPERT IS WILLIAM ARMSTRONG. HE IS A "NON-INTERESTED" TRUSTEE AND IS ALSO "INDEPENDENT" AS DEFINED BY THE SECURITIES AND EXCHANGE COMMISSION FOR PURPOSES OF AUDIT COMMITTEE FINANCIAL EXPERT DETERMINATIONS. (3) If the registrant provides the disclosure required by paragraph (a)(1)(ii) of this Item, it must explain why it does not have an audit committee financial expert. NOT APPLICABLE. ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES. (a) AUDIT FEES. The aggregate fees billed for each of the last two fiscal years (the "Reporting Periods") for professional services rendered by the Registrant's principal accountant (the "Auditor") for the audit of the Registrant's annual financial statements, or services that are normally provided by the Auditor in connection with the statutory and regulatory filings or engagements for the Reporting Periods, were $143,744 in 2003 and $146,700 in 2004. (b) AUDIT-RELATED FEES. There were no audit-related fees billed to the Registrant during the Reporting Periods. The aggregate fees billed in the Reporting Periods for assurance and related services by the Auditor to the Registrant's investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by or under common control with the investment adviser that provides ongoing services to the Registrant ("Service Affiliates"), that were reasonably related to the performance of the annual audit of the Service Affiliates, which required pre-approval by the Audit Committee were $8,277,000 from May 6, 2003 to December 31, 2003 (prior to May 6, 2003 services provided by the Auditor were not required to be pre-approved). (c) TAX FEES. The aggregate fees billed to the Registrant in the Reporting Periods for professional services rendered by the Auditor for tax compliance, tax advice and tax planning ("Tax Services") were $19,200 in 2003 and $19,800 in 2004. These services consisted of review or preparation of U.S. federal, state, local and excise tax returns. There were no fees billed for Tax Services by the Auditor to Service Affiliates which required pre-approval by the Audit Committee for the period May 6, 2003 through December 31, 2003. (d) ALL OTHER FEES. There were no other fees billed in the Reporting Periods for products and services provided by the Auditor to the Registrant, or services provided to Service Affiliates which were required to be pre-approved on or after May 6, 2003 until December 31, 2003, other than the services reported above. (e) AUDIT COMMITTEE PRE-APPROVAL POLICIES AND PROCEDURES. In addition to pre-approving any services to be provided by the Auditor to the Registrant, the Audit Committee considers and approves any non-audit services to be provided to the Service Affiliates by the Auditor (if the engagement relates directly to the operations and financial reporting of the Registrant) and the fees to be charged for such non-audit services. Pre-approval considerations include whether the proposed services are compatible with maintaining the Auditor's independence. The Chairman of the Audit Committee has been given the authority to pre-approve permissible non-audit services. (g) NON-AUDIT FEES. The aggregate non-audit fees billed by the Auditor for services rendered to the Registrant, and rendered to Service Affiliates, for the last two calendar year ends were $46.4 million in 2002 and $28.3 million in 2003. (h) AUDITOR INDEPENDENCE. The Registrant's Audit Committee has considered whether the provision of non-audit services that were rendered to Service Affiliates that were not pre-approved (not requiring pre-approval) is compatible with maintaining the Auditor's independence. All services provided by the Auditor to the Registrant or to Service Affiliates that were required to be pre-approved were pre-approved as required. ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS. (a) If the registrant is a listed issuer as defined in Rule 10A-3 under the Exchange Act (17CFR 240.10A-3), state whether or not the registrant has a separately-designated standing audit committee established in accordance with Section 3(a)(58)(A) of the Exchange Act (15 U.S.C. 78c(a)(58)(A)). If the registrant has such a committee, however designated, identify each committee member. If the entire board of directors is acting as the registrant's audit committee as specified in Section 3(a)(58)(B) of the Exchange Act (15 U.S.C. 78c(a)(58)(B)), so state. (b) If applicable, provide the disclosure required by Rule 10A-3(d) under the Exchange Act (17CFR 240.10A-3(d)) regarding an exemption from the listing standards for all audit committees. NOT APPLICABLE. ITEM 6. SCHEDULE OF INVESTMENTS. File Schedule I - Investments in securities of unaffiliated issuers as of the close of the reporting period as set forth in Section 210.12-12 of Regulation S-X, unless the schedule is included as part of the report to shareholders filed under Item 1 of this Form. INCLUDED IN ITEM 1. ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. A closed-end management investment company that is filing an annual report on this Form N-CSR must, unless it invests exclusively in non-voting securities, describe the policies and procedures that it uses to determine how to vote proxies relating to portfolio securities, including the procedures that the company uses when a vote presents a conflict between the interests of its shareholders, on the one hand, and those of the company's investment adviser; principal underwriter; or any affiliated person (as defined in Section 2(a)(3) of the Investment Company Act of 1940 (15 U.S.C. 80a-2(a)(3)) and the rules thereunder) of the company, its investment adviser, or its principal underwriter, on the other. Include any policies and procedures of the company's investment adviser, or any other third party, that the company uses, or that are used on the company's behalf, to determine how to vote proxies relating to portfolio securities. 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 second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting. THERE WERE NO CHANGES IN THE REGISTRANT'S INTERNAL CONTROL OVER FINANCIAL REPORTING THAT OCCURRED DURING THE REGISTRANT'S SECOND FISCAL QUARTER OF THE PERIOD COVERED BY THIS REPORT THAT HAVE MATERIALLY AFFECTED, OR ARE REASONABLY LIKELY TO MATERIALLY AFFECT, THE REGISTRANT'S INTERNAL CONTROL OVER FINANCIAL REPORTING. ITEM 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 - SEE ITEM 2 ABOVE. (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/ Stephanie J. Dorsey ------------------------------------------------------ Stephanie J. Dorsey, Treasurer Date December 20, 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/ Stephanie J. Dorsey ------------------------------------------------------ Stephanie J. Dorsey, Treasurer Date December 20, 2004 --------------------------------------------------------------------------- By (Signature and Title)* /s/ George C.W. Gatch ------------------------------------------------------ George C.W. Gatch, President Date December 20, 2004 --------------------------------------------------------------------------- * Print the name and title of each signing officer under his or her signature. EX-99.CERT 2 a2149164zex-99_cert.txt EX 99.CERT Exhibit 99.CERT CERTIFICATION PURSUANT TO RULE 30a-2(a) UNDER THE INVESTMENT COMPANY ACT OF 1940 I, George C.W. Gatch, certify that: 1. I have reviewed this report on Form N-CSR of the JPMorgan Fleming International Equity Fund, JPMorgan Tax Aware Large Cap Growth Fund and JPMorgan Tax Aware Large Cap Value Fund (the "Funds"), each a series of J.P. Morgan Mutual Fund Select Group (the "Registrant"); 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the financial statements and other information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the Funds as of, and for, the periods presented in this report; 4. The Registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) for the Funds and have: a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the Funds, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; b) Evaluated the effectiveness of the Funds' disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and c) Disclosed in this report any change in the Funds' internal control over financial reporting that occurred during the Funds' second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Funds' internal control over financial reporting; and 5. The Registrant's other certifying officer(s) and I have disclosed to the Registrant's auditors and the audit committee of the Registrant's board of directors (or persons performing the equivalent functions): a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the Funds' ability to record, process, summarize, and report financial information; and b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the Funds' internal control over financial reporting. /s/ George C.W. Gatch - --------------------------- George C.W. Gatch President December 20, 2004 - --------------------------- Date CERTIFICATION PURSUANT TO RULE 30a-2(a) UNDER THE INVESTMENT COMPANY ACT OF 1940 I, Stephanie J. Dorsey, certify that: 1. I have reviewed this report on Form N-CSR of the JPMorgan Fleming International Equity Fund, JPMorgan Tax Aware Large Cap Growth Fund and JPMorgan Tax Aware Large Cap Value Fund (the "Funds"), each a series of J.P. Morgan Mutual Fund Select Group (the "Registrant"); 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the financial statements and other information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the Funds as of, and for, the periods presented in this report; 4. The Registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) for the Funds and have: a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the Funds, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; b) Evaluated the effectiveness of the Funds' disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and c) Disclosed in this report any change in the Funds' internal control over financial reporting that occurred during the Funds' second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Funds' internal control over financial reporting; and 5. The Registrant's other certifying officer(s) and I have disclosed to the Registrant's auditors and the audit committee of the Registrant's board of directors (or persons performing the equivalent functions): a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the Funds' ability to record, process, summarize, and report financial information; and b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the Funds' internal control over financial reporting. /s/ Stephanie J. Dorsey - --------------------------- Stephanie J. Dorsey Treasurer December 20, 2004 - --------------------------- Date EX-99.906CERT 3 a2149164zex-99_906cert.txt EX 99.906CERT Exhibit 99.906CERT CERTIFICATION PURSUANT TO RULE 30a-2(b) UNDER THE INVESTMENT COMPANY ACT OF 1940 This certification is provided pursuant to to Rule 30a-2(b) under the Investment Company Act of 1940, and accompanies the report on Form N-CSR furnished to the Securities and Exchange Commission on the date hereof of the JPMorgan Fleming International Equity Fund, JPMorgan Tax Aware Large Cap Growth Fund and JPMorgan Tax Aware Large Cap Value Fund (the "Funds"), each a series of J.P. Morgan Mutual Fund Select Group. I, George C.W. Gatch, certify that: 1. The Form N-CSR fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934, as applicable; and 2. The information contained in the Form N-CSR fairly presents, in all material respects, the financial condition and results of the Funds. /s/ George C.W. Gatch - --------------------------- George C.W. Gatch President December 20, 2004 - --------------------------- Date This certificate is furnished pursuant to the requirements of Form N-CSR and shall not be deemed "filed" for purposes of Section 18 of the Securities Exchange Act of 1934, or otherwise subject to the liability of that section, and shall not be deemed to be incorporated by reference into any filing under the Securities Act of 1933 or the Exchange Act of 1934. CERTIFICATION PURSUANT TO RULE 30a-2(b) UNDER THE INVESTMENT COMPANY ACT OF 1940 This certification is provided pursuant to to Rule 30a-2(b) under the Investment Company Act of 1940, and accompanies the report on Form N-CSR furnished to the Securities and Exchange Commission on the date hereof of the JPMorgan Fleming International Equity Fund, JPMorgan Tax Aware Large Cap Growth Fund and JPMorgan Tax Aware Large Cap Value Fund (the "Funds"), each a series of J.P. Morgan Mutual Fund Select Group. I, Stephanie J. Dorsey, certify that: 1. The Form N-CSR fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934, as applicable; and 2. The information contained in the Form N-CSR fairly presents, in all material respects, the financial condition and results of the operations of the Funds. /s/ Stephanie J. Dorsey - --------------------------- Stephanie J. Dorsey Treasurer December 20, 2004 - --------------------------- Date This certificate is furnished pursuant to the requirements of Form N-CSR and shall not be deemed "filed" for purposes of Section 18 of the Securities Exchange Act of 1934, or otherwise subject to the liability of that section, and shall not be deemed to be incorporated by reference into any filing under the Securities Act of 1933 or the Exchange Act of 1934. -----END PRIVACY-ENHANCED MESSAGE-----