N-CSR 1 a2129984zn-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 811-21276 --------------------------------------------- J.P. Morgan Fleming Series Trust ------------------------------------------------------------------------------- (Exact name of registrant as specified in charter) 522 Fifth Avenue, New York, NY 10036 ------------------------------------------------------------------------------- (Address of principal executive offices) (Zip code) BISYS Fund Services, 3435 Stelzer Road, Columbus, OH 43219 ------------------------------------------------------------------------------- (Name and address of agent for service) Registrant's telephone number, including area code: 1-800-348-4782 ---------------------------- Date of fiscal year end: December 31, 2003 -------------------------------------------------------- Date of reporting period: February 28, 2003 Through December 31, 2003 ------------------------------------------------------- Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles. A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget ("OMB") control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. Section 3507. ITEM 1. REPORTS TO STOCKHOLDERS. Include a copy of the report transmitted to stockholders pursuant to Rule 30e-1 under the Act (17 CFR 270.30e-1). ANNUAL REPORT DECEMBER 31, 2003 JPMORGAN FUNDS [GRAPHIC] MULTI-MANAGER FUNDS MULTI-MANAGER SMALL CAP GROWTH FUND MULTI-MANAGER SMALL CAP VALUE FUND [JPMORGAN FLEMING ASSET MANAGEMENT LOGO] CONTENTS President's Letter 1 Fund Information: Multi-Manager Small Cap Growth Fund 3 Multi-Manager Small Cap Value Fund 6 Portfolio of Investments 9 Financial Statements 33 Notes to Financial Statements 36 Financial Highlights 43
HIGHLIGHTS - Military action and revival in corporate profits drive market recovery - Economic growth surprisingly strong - Technology stocks and small caps outperform - Positive backdrop for equities 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 MULTI-MANAGER FUNDS PRESIDENT'S LETTER FEBRUARY 17, 2004 DEAR SHAREHOLDER: We are pleased to present this annual report for the JPMorgan Multi-Manager Funds. Inside, you'll find information detailing the performance of the Funds for the year ended December 31st, 2003, along with a report from the Portfolio Manager. PROFIT RISES END THREE-YEAR BEAR MARKET While the market declined throughout most of the first quarter of 2003 due to geo-political and economic uncertainty, by mid-March it began a rally that would continue until the end of the year. The rally began as coalition forces prepared to take military action in Iraq, and acquired momentum in the following months. Utterances by the U.S. Federal Reserve confirming its determination to avoid deflation and to nurture growth (leading ultimately to a 1/4-point rate cut in late June) fuelled the rally. In addition, Congress approved the Bush administration's $350 billion package of tax cuts in an attempt to boost consumer demand. By the fourth-quarter, there was a clear trend of recovering economic growth, with third-quarter GDP growth reported at a surprisingly buoyant +7.2%. Better-than-expected corporate profits, low interest rates, and positive economic data -- including evidence of manufacturing growth and business spending -- all helped to sustain the rally. DIVERGENT PERFORMANCES The market's rise was far from uniform, however. While the broad-based S&P 500 Index rose +28.7% during the year, the greatest gains were among the technology and small cap stocks that surged on a wave of market liquidity. The technology-laden NASDAQ climbed +50.8% and the Russell 2000 Index of small stocks +47.3%. What the indices do not show is that the strongest risers of all were the low quality, non-earning stocks that investors had chosen not to own in the bear market. For fund managers, this was a year when great gains were made for investors, although it could sometimes be difficult to outperform benchmark indices. Fund managers prefer to invest in the higher quality stocks, with sustainable earnings growth, which tend to outperform over time. OUTLOOK As we enter 2004, investors who stayed invested through the trough of the bear market have good reason to feel vindicated. The question now is whether equities will continue their upward path. Our view is that they will, although we do not anticipate gains of the same magnitude as 2003. From an economic perspective, there is a hint of a "Goldilocks" economy (not too hot, not too 1 cold, but just right), with a healthy combination of strong earnings growth and low inflation. Furthermore, election years have historically seen substantial rises in equity prices, with small company stocks outperforming. In this case, 2003's enormous fiscal and monetary stimulus has primed the economy. IMPORTANT MERGER NEWS As you may know, JPMorgan Chase and Bank One have agreed to combine forces by mid-2004, subject to approval of the Firms' shareholders and certain regulatory agencies. The merger is compelling both strategically and financially. The new JPMorgan Chase will have top-tier positions in both wholesale and retail financial services, an extensive client base and greater scale. And we will have an extraordinarily talented team that shares common values and a strong client orientation. This all adds up to enhanced shareholder value and an even greater ability to compete. All of us at JPMorgan Fleming Asset Management would like to thank you for your investment. Should you have any questions, please 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 MULTI-MANAGER SMALL CAP GROWTH FUND As of December 31, 2003 Q. HOW DID THE FUND PERFORM? A. JPMorgan Multi-Manager Small Cap Growth Fund, which seeks to provide long-term capital growth by investing in equity securities of small capitalization companies, rose 47.8% during the year ended December 31, 2003. This compares with an appreciation of 56.9% for the Russell 2000 Growth Index, the Fund's benchmark. Q. WHY DID THE FUND PERFORM THIS WAY? A. The Fund delivered strong absolute performance in 2003, although it trailed the Russell 2000 Growth Index benchmark. This was a year when low quality, non-earning, micro-cap stocks led the market. By contrast, our managers were on balance exposed to the higher quality names that may deliver outperformance over the longer term, but were less favorable in this liquidity-driven rally. Of the three managers in our Fund, State Street Research & Management delivered the strongest performance. State Street is the most "aggressive" of our managers in so far as it is prepared to buy some of the faster growing companies, which have correspondingly high valuations. Our other two managers -- J&W Seligman and UBS Global Asset Management -- did not perform as well. Most particularly, the liquidity-driven conditions did not suit J&W Seligman's conservative investment style. In terms of stocks, poor stock selection within the Healthcare and Consumer Discretionary sectors detracted from performance. Within Healthcare, biotechnology company, CV Therapeutics, underperformed following the news that its heart drug, REXNA, had failed to win approval from the Food & Drug Administration (FDA). Fellow biotechnology company, Priority Healthcare, also trailed the sector following the reduction of its earnings estimates in the second quarter due to declining sales. Within Consumer Discretionary, Priceline.com detracted from performance after missing revenue and earnings estimates. There was, however, strong performance from a number of stocks. In the Financial sector, New York Community Bancorp rose significantly after its merger with Roslyn Savings Bank, which will make it the third largest thrift bank in the United States. In Software & Services, Cognizant Technology appreciated significantly following the outsourcing of information technology services to India, where costs are substantially cheaper than in the United States. Q. HOW WAS THE FUND MANAGED? A. During the year, we made no changes to the underlying managers in the Fund, although we did modify the manager allocations. We increased our weighting in State Street Research & Management from approximately 20% to 35% in response to market conditions that favored its more 'aggressive' style of small stock investing. We funded this through reducing our allocation to J&W Seligman, the most conservative manager, which currently manages 30% of the Fund. Our third manager, UBS Global Asset Management, comprises approximately 35% of the Fund. (UNAUDITED) 3 [CHART] PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS Technology 32.6% Consumer Goods & Services 19.5% Health Services & Systems 11.3% Industrial Products & Services 9.2% Finance & Insurance 9.0% Pharmaceuticals 6.3% Energy 4.9% Short-Term Investments 3.7% Telecommunications 2.1% REITs 1.4%
TOP TEN EQUITY HOLDING OF THE PORTFOLIO 1. ALLIANCE GAMING CORP. (1.5%) 2. CAREER EDUCATION CORP. (1.4%) 3. UCBH HOLDINGS, INC. (1.2%) 4. RESPIRONICS, INC. (1.1%) 5. AVOCENT CORP. (1.1%) 6. INVESTORS FINANCIAL SERVICES CORP. (1.1%) 7. ESCO TECHNOLOGIES, INC. (1.1%) 8. CHICO'S FAS, INC. (1.1%) 9. PEDIATRIX MEDICAL GROUP, INC. (1.1%) 10. CYPRESS SEMICONDUCTOR CORP. (0.9%)
TOP 10 EQUITY HOLDINGS COMPRISED 11.6% OF THE PORTFOLIO'S MARKET VALUE OF INVESTMENTS ($23,590 IN THOUSANDS). AS OF DECEMBER 31, 2003, THE FUND HELD 240 EQUITY HOLDINGS. PORTFOLIO HOLDINGS ARE SUBJECT TO CHANGE AT ANY TIME. AVERAGE ANNUAL TOTAL RETURNS
SINCE INCEPTION (2/28/03) -------------------------------------------------------------- Multi-Manager Small Cap Growth Fund 47.78%
(UNAUDITED) 4 [CHART]
JPMORGAN MULTI-MANAGER SMALL CAP GROWTH FUND (SELECT SHARES) RUSSELL 2000 GROWTH INDEX LIPPER SMALL-CAP GROWTH FUNDS INDEX 2/28/2003 $ 1,000,000 $ 1,000,000 $ 1,000,000 3/31/2003 $ 1,015,000 $ 1,015,100 $ 1,020,600 4/30/2003 $ 1,104,016 $ 1,111,128 $ 1,104,902 5/31/2003 $ 1,194,986 $ 1,236,353 $ 1,217,602 6/30/2003 $ 1,224,981 $ 1,260,214 $ 1,258,878 7/31/2003 $ 1,282,922 $ 1,355,486 $ 1,332,523 8/31/2003 $ 1,354,894 $ 1,428,276 $ 1,403,146 9/30/2003 $ 1,309,912 $ 1,392,141 $ 1,368,629 10/31/2003 $ 1,436,842 $ 1,512,422 $ 1,492,764 11/30/2003 $ 1,495,896 $ 1,561,727 $ 1,532,471 12/31/2003 $ 1,477,846 $ 1,568,754 $ 1,534,616
Source: Lipper Analytical Services, Inc. Past performance is no guarantee of future results. Investment returns and principal value will fluctuate so that an investor's shares, when redeemed, may be worth more or less than the original cost. The Fund commenced operations on 2/28/03. The graph illustrates comparative performance for $1,000,000 invested in Shares of the JPMorgan Multi-Manager Small Cap Growth Fund, Russell 2000 Growth Index, and Lipper Small-Cap Growth Funds Index from February 28, 2003 to December 31, 2003. The performance of the Fund assumes reinvestment of all dividends and capital gains and does not include a sales charge. The performance of the indices does not include a sales charge and has been adjusted to reflect reinvestment of all dividends and capital gains of the securities included in the benchmark. The Russell 2000 Growth Index measures the performance of those Russell 2000 companies with higher price-to-book ratios and higher forecasted growth rates. The Lipper Small-Cap Growth Funds Index represents the total returns of the funds in the indicated category, as defined by Lipper, Inc. Investors cannot invest directly in an index. Shares have a $1,000,000 minimum initial deposit and carry no sales charge. Certain fees and expenses of the Fund are currently being waived and reimbursed as described in the prospectus. Had the expenses not been subsidized or waived, returns would have been lower. Also, all performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares. (UNAUDITED) 5 JPMORGAN MULTI-MANAGER SMALL CAP VALUE FUND As of December 31, 2003 Q. HOW DID THE FUND PERFORM? A. JPMorgan Multi-Manager Small Cap Value Fund, which seeks to provide long-term capital appreciation by investing in equity securities of small capitalization companies, returned 58.0% during the year ended December 31, 2003. This compares with an appreciation of 55.5% for the Russell 2000 Value Index, the Fund's benchmark. Q. HOW DID THE FUND OUTPERFORM ITS BENCHMARK? A. The Fund delivered an exceptionally strong absolute performance in 2003, and outperformed its Russell 2000 Value Index benchmark. It outperformed in all but one of the 10 months since its inception in March 2003. For the most part, the Fund outpaced the index in rising markets, but it also depreciated by less in September, the one month when the index fell. Not only did the Fund outperform on an aggregate basis, but all three of the underlying managers outperformed individually. ICM Asset Management achieved the largest gain, as it typically buys the "deep value" stocks that swiftly recovered from extremely low valuations during the year. Earnest Partners also did well, but its risk controls -- which have served it well in falling markets -- limited outperformance of the benchmark. Finally, JPMorgan Investment Management's enhanced index style outperformed due to its exposure to micro cap stocks. JPMorgan Investment Management's portfolio holds 550 securities, which means it held a number of micro cap stocks that appreciated substantially during the 12 months. On aggregate, stock selection was strong across the Consumer Discretionary, Financial Services and Producer Durables sectors. Stocks in these sectors that benefited from robust consumer spending included: homebuilder Hovnanian Enterprises, upmarket stereo manufacturer Harman International, and car finance company Americredit Corp. The greatest detractors from performance were in the Healthcare sector. Cerner Corp's stock price fell after a reduction in third quarter profits, and following the announcement that it had failed to win a large contract to supply information technology systems to the UK's National Health Service. Pharmaceutical Products fell on news that earnings would not meet analysts' estimates. Q. HOW WAS THE FUND MANAGED? A. There were no changes to our manager weightings during the year. We maintained an equal weighting between the three managers -- Earnest Partners, ICM Asset Management and JPMorgan Investment Management -- with each managing approximately 33% of the Fund. Prior to the Fund's inception, we selected these three managers both for their suitability for the market conditions we anticipated would be prevalent during the year, and for their complementary investment styles. However, we monitor market conditions continually, and will make changes if necessary. (UNAUDITED) 6 [CHART] PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS Consumer Goods & Services 19.9% Industrial Products & Services 18.5% Finance & Insurance 17.1% Technology 12.5% Health Services & Systems 7.5% Energy 5.0% Short-Term Investments 4.9% REITs 4.4% Utilities 4.4% Pharmaceuticals 4.4% Telecommunications 1.4%
TOP TEN EQUITY HOLDING OF THE PORTFOLIO 1. HOVNANIAN ENTERPRISES, INC., CLASS A (1.2%) 2. iSARES RUSSELL 2000 VALUE INDEX FUND (1.2%) 3. FRED'S, INC. (1.2%) 4. PEDIATRIX MEDICAL GROUP, INC. (1.2%) 5. THE COLONIAL BANCGROUP, INC. (1.1%) 6. HARMAN INTERNATIONAL INDUSTRIES, INC. (1.1%) 7. PAXAR CORP. (1.0%) 8. RPM INTERNATIONAL, INC. (1.0%) 9. OFFICE DEPOT, INC. (1.0%) 10. COOPER COMPANIES, INC. (1.0%)
TOP 10 EQUITY HOLDINGS COMPRISED 11.0% OF THE PORTFOLIO'S MARKET VALUE OF INVESTMENTS ($23,887 IN THOUSANDS). AS OF DECEMBER 31, 2003, THE FUND HELD 657 EQUITY HOLDINGS. PORTFOLIO HOLDINGS ARE SUBJECT TO CHANGE AT ANY TIME. AVERAGE ANNUAL TOTAL RETURNS
SINCE INCEPTION (2/28/03) ------------------------------------------------------ Multi-Manager Small Cap Value Fund 58.01%
(UNAUDITED) 7 [CHART]
JPMORGAN MULTI-MANAGER SMALL CAP VALUE FUND (SELECT SHARES) RUSSELL 2000 VALUE INDEX LIPPER SMALL-CAP VALUE FUNDS INDEX 2/28/2003 $ 1,000,000 $ 1,000,000 $ 1,000,000 3/31/2003 $ 1,005,000 $ 1,010,700 $ 1,002,600 4/30/2003 $ 1,084,998 $ 1,106,717 $ 1,092,433 5/31/2003 $ 1,199,031 $ 1,219,712 $ 1,197,743 6/30/2003 $ 1,220,974 $ 1,240,325 $ 1,231,400 7/31/2003 $ 1,278,970 $ 1,302,218 $ 1,294,448 8/31/2003 $ 1,347,011 $ 1,351,702 $ 1,358,135 9/30/2003 $ 1,332,059 $ 1,336,157 $ 1,347,813 10/31/2003 $ 1,459,004 $ 1,445,054 $ 1,450,920 11/30/2003 $ 1,519,991 $ 1,500,544 $ 1,505,040 12/31/2003 $ 1,580,149 $ 1,554,864 $ 1,569,757
Source: Lipper Analytical Services, Inc. Past performance is no guarantee of future results. Investment returns and principal value will fluctuate so that an investor's shares, when redeemed, may be worth more or less than the original cost. The Fund commenced operations on 2/28/03. The graph illustrates comparative performance for $1,000,000 invested in Shares of the JPMorgan Multi-Manager Small Cap Value Fund, Russell 2000 Value Index, and Lipper Small-Cap Value Funds Index from February 28, 2003 to December 31, 2003. The performance of the Fund assumes reinvestment of all dividends and capital gains and does not include a sales charge. The performance of the indices does not include a sales charge and has been adjusted to reflect reinvestment of all dividends and capital gains of the securities included in the benchmark. The Russell 2000 Value Index measures the performance of those Russell 2000 companies with lower price-to-book ratios and lower forecasted growth values. The Lipper Small-Cap Value Funds Index represents the total returns of the funds in the indicated category, as defined by Lipper, Inc. Investors cannot invest directly in an index. Shares have a $1,000,000 minimum initial deposit and carry no sales charge. Certain fees and expenses of the Fund are currently being waived and reimbursed as described in the prospectus. Had the expenses not been subsidized or waived, returns would have been lower. Also, all performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares. (UNAUDITED) 8 JPMORGAN MULTI-MANAGER SMALL CAP GROWTH FUND Portfolio of Investments As of December 31, 2003 (Amounts in thousands)
SHARES ISSUER VALUE ---------------------------------------------------------------------------------------------------------------- Long-Term Investments -- 96.3% COMMON STOCKS -- 96.3% Advertising -- 0.2% 10 Lamar Advertising Co. * $ 391 Aerospace -- 0.6% 21 Engineered Support Systems, Inc. 1,178 Airlines -- 0.2% 34 Pinnacle Airlines Corp. * 468 Apparel -- 0.7% 15 Coach, Inc. * 549 12 Polo Ralph Lauren Corp. 334 35 The Warnaco Group, Inc. * 553 -------------- 1,436 Automotive -- 0.5% 27 American Axle & Manufacturing Holdings, Inc. * 1,071 Banking -- 5.1% 8 Doral Financial Corp. (Puerto Rico) 264 29 East-West Bancorp, Inc. 1,557 16 First Niagara Financial Group, Inc. 236 2 Franklin Bank Corp. * 46 15 Harbor Florida Bancshares, Inc. 446 57 Investors Financial Services Corp. 2,206 29 New York Community Bancorp, Inc. 1,113 9 Southwest Bancorp of Texas, Inc. 338 93 Texas Capital Bancshares, Inc. * 1,348 64 UCBH Holdings, Inc. 2,489 10 Wintrust Financial Corp. 435 -------------- 10,478 Biotechnology -- 1.1% 11 Affymetrix, Inc. * 261 28 Maxygen, Inc. * 293 61 Telik, Inc. * 1,404 43 Xoma LTD * 284 -------------- 2,242 Broadcasting/Cable -- 0.6% 76 Entravision Communications Corp., Class A * 849 11 Salem Communications Corp., Class A * 285 -------------- 1,134 Business Services -- 4.9% 11 ChoicePoint, Inc. * 402 40 Cognizant Technology Solutions Corp. * 1,802 67 Digital River, Inc. * 1,474 24 Fair Isaac Corp. 1,200 19 Hewitt Associates, Inc., Class A * 579 40 Kroll, Inc. * 1,027 32 Resources Connection, Inc. * 882 21 Robert Half International, Inc. * 494 59 Sylvan Learning Systems, Inc. * 1,710 10 The Corporate Executive Board Co. * 462 -------------- 10,032
See notes to financial statements. 9
SHARES ISSUER VALUE ----------------------------------------------------------------------------------------------------------------- Long-Term Investments -- Continued Chemicals -- 0.6% 22 Airgas, Inc. $ 471 22 Albemarle Corp. 656 -------------- 1,127 Computer Networks -- 2.2% 61 Avocent Corp. * 2,235 171 Enterasys Networks, Inc. * 640 13 Factset Research Systems, Inc. 485 42 Foundry Networks, Inc. * 1,138 -------------- 4,498 Computer Software -- 6.3% 47 Borland Software Corp. * 457 37 CACI International, Inc., Class A * 1,820 2 Callidus Software, Inc. * 27 38 Cerner Corp. * 1,422 14 Cognos, Inc. (Canada) * 428 29 FileNET Corp. * 780 20 Hyperion Solutions Corp. * 597 16 IDX Systems Corp. * 416 47 Informatica Corp. * 488 18 Jack Henry & Associates, Inc. 366 41 Magma Design Automation, Inc. * 962 17 Manhattan Associates, Inc. * 479 1 Open Solutions, Inc. * 23 40 Packeteer, Inc. * 673 78 Quest Software, Inc. * 1,104 66 Retek, Inc. * 610 42 RSA Security, Inc., * 592 42 Secure Computing Corp. * 749 24 THQ, Inc. * 411 40 Verisity LTD * 515 -------------- 12,919 Computers/Computer Hardware -- 1.7% 75 Advanced Digital Information Corp. * 1,048 52 Dot Hill Systems Corp. * 794 76 Mobility Electronics, Inc. * 683 30 RadiSys Corp. * 504 7 Zebra Technologies Corp., Class A * 489 -------------- 3,518 Construction -- 1.5% 40 Dycom Industries, Inc. * 1,070 14 EMCOR Group, Inc. * 628 9 Hovnanian Enterprises, Inc., Class A * 818 1 NVR, Inc. * 606 -------------- 3,122 Consumer Products -- 1.9% 24 Harman International Industries, Inc. 1,806 60 Moore Wallace, Inc. (Canada) * 1,131 12 Tempur-Pedic International, Inc. * 184 36 Wolverine World Wide, Inc. 734 -------------- 3,855
See notes to financial statements. 10
SHARES ISSUER VALUE ----------------------------------------------------------------------------------------------------------------- Long-Term Investments -- Continued Consumer Services -- 2.8% 72 Career Education Corp. * $ 2,901 29 Corinthian Colleges, Inc. * 1,609 11 Corrections Corp of America * 316 22 The Advisory Board Co. * 775 5 Universal Technical Institute, Inc. * 153 -------------- 5,754 Electronics/Electrical Equipment -- 3.4% 14 Ametek, Inc. 688 41 Benchmark Electronics, Inc. * 1,431 24 DSP Group, Inc. * 596 13 Electro Scientific Industries, Inc. * 306 35 Fisher Scientific International * 1,436 69 GrafTech International LTD * 928 37 Symbol Technologies, Inc. 628 58 TTM Technologies, Inc. * 974 -------------- 6,987 Engineering Services -- 0.5% 18 Chicago Bridge & Iron Co., N.Y. Registered Shares (The Netherlands) 533 10 Jacobs Engineering Group, Inc. * 466 -------------- 999 Entertainment/Leisure -- 2.9% 124 Alliance Gaming Corp. * 3,056 86 Boyd Gaming Corp. 1,381 19 Macrovision Corp. * 428 36 Station Casinos, Inc. 1,102 -------------- 5,967 Environmental Services -- 0.4% 32 Tetra Tech, Inc. * 803 Financial Services -- 3.2% 18 Affiliated Managers Group, Inc. * 1,256 28 BankUnited Financial Corp., Class A * 717 67 CapitalSource, Inc. * 1,460 8 Eaton Vance Corp. 301 13 Jefferies Group, Inc. 439 61 Knight Trading Group, Inc. * 893 44 Nelnet, Inc., Class A * 974 19 The First Marblehead Corp. * 409 -------------- 6,449 Food/Beverage Products -- 1.8% 23 Constellation Brands, Inc., Class A * 748 31 Cott Corp. (Canada) * 863 18 Hain Celestial Group, Inc. * 425 25 Krispy Kreme Doughnuts, Inc. * 908 20 Performance Food Group Co. * 720 -------------- 3,664 Health Care/Health Care Services -- 11.3% 21 Accredo Health, Inc. * 662 28 Advanced Neuromodulation Systems, Inc. * 1,301 24 Amedisys, Inc. * 363
See notes to financial statements. 11
SHARES ISSUER VALUE ----------------------------------------------------------------------------------------------------------------- Long-Term Investments -- Continued Health Care/Health Care Services -- Continued 37 Amedisys, Inc., # * $ 488 20 AMERIGROUP Corp. * 836 50 Caremark Rx, Inc. * 1,276 37 Community Health Systems, Inc. * 978 14 Cooper Companies, Inc. 662 21 Coventry Health Care, Inc. * 1,347 16 Dade Behring Holdings, Inc. * 561 12 Edwards Lifesciences Corp. * 368 12 Henry Schein, Inc. * 839 24 Inamed Corp. * 1,163 25 Merit Medical Systems, Inc. * 563 44 Odyssey Healthcare, Inc. * 1,285 17 Patterson Dental Co. * 1,110 39 Pediatrix Medical Group, Inc. * 2,145 7 ResMed, Inc. * 287 51 Respironics, Inc. * 2,280 103 Select Medical Corp. 1,682 32 United Surgical Partners International, Inc. * 1,081 40 VCA Antech, Inc. * 1,227 22 ZOLL Medical Corp. * 793 -------------- 23,297 Insurance -- 0.7% 12 Axis Capital Holdings LTD (Bermuda) 340 10 Hilb, Rogal & Hamilton Co. 327 14 Hub International LTD (Canada) 231 12 RLI Corp. 450 -------------- 1,348 Internet Services/Software -- 1.9% 79 Agile Software Corp. * 782 42 Ask Jeeves, Inc. * 766 109 Autobytel, Inc. * 988 35 DoubleClick, Inc. * 355 41 ECOLLEGE.COM 764 12 Monster Worldwide, Inc. * 260 -------------- 3,915 Machinery & Engineering Equipment -- 1.1% 35 Cognex Corp. 1,000 20 Graco, Inc. 809 20 UNOVA, Inc. * 468 -------------- 2,277 Manufacturing -- 2.0% 25 AO Smith Corp. 876 11 Clarcor, Inc. 485 50 Esco Technologies, Inc. * 2,198 34 JLG Industries, Inc. 516 -------------- 4,075 Metals/Mining -- 0.2% 29 Allegheny Technologies, Inc. 383 Multi-Media -- 1.6% 29 Cox Radio, Inc., Class A * 734 81 Cumulus Media, Inc., Class A * 1,779 13 Entercom Communications Corp. * 714 -------------- 3,227
See notes to financial statements. 12
SHARES ISSUER VALUE ----------------------------------------------------------------------------------------------------------------- Long-Term Investments -- Continued Oil & Gas -- 4.9% 11 Evergreen Resources, Inc. * $ 345 97 Grant Prideco, Inc. * 1,266 33 Key Energy Services, Inc. * 340 49 Maverick Tube Corp. * 937 10 Newfield Exploration Co. * 446 23 Patina Oil & Gas Corp. 1,112 47 Patterson-UTI Energy, Inc. * 1,554 26 Quicksilver Resources, Inc. * 833 44 Tetra Technologies, Inc. * 1,069 78 W-H Energy Services, Inc. * 1,259 28 XTO Energy, Inc. 783 -------------- 9,944 Pharmaceuticals -- 5.2% 68 Alkermes, Inc. * 913 14 Amylin Pharmaceuticals, Inc. * 318 13 CV Therapeutics, Inc. * 188 11 Gen-Probe, Inc. * 397 39 Isis Pharmaceuticals, Inc. * 255 36 Ligand Pharmaceuticals, Inc., Class B * 533 64 Medicines Co. * 1,887 10 Medicis Pharmaceutical Corp., Class A 704 15 Neurocrine Biosciences, Inc. * 802 20 NPS Pharmaceuticals, Inc. * 609 31 Penwest Pharmaceuticals Co. * 529 44 Pharmion Corp. * 668 14 POZEN, Inc. * 145 12 SICOR, Inc. * 337 14 Taro Pharmaceutical Industries LTD (Israel) * 922 13 United Therapeutics Corp. * 305 40 Vicuron Pharmaceuticals, Inc. * 741 23 Zymogenetics, Inc. * 356 -------------- 10,609 Real Estate -- 0.1% 11 Jones Lang LaSalle, Inc. * 224 Real Estate Investment Trust -- 1.3% 32 American Financial Realty Trust 537 30 Highland Hospitality Corp. * 327 19 The Mills Corp. 814 42 Ventas, Inc. 920 -------------- 2,598 Restaurants/Food Services -- 1.2% 12 P.F. Chang's China Bistro, Inc. * 611 19 Panera Bread Co., Class A * 743 2 Rare Hospitality International, Inc. * 39 37 Ruby Tuesday, Inc. 1,054 -------------- 2,447 Retailing -- 4.9% 48 99 Cents Only Stores * 1,294 13 Advanced Auto Parts, Inc. * 1,087
See notes to financial statements. 13
SHARES ISSUER VALUE ----------------------------------------------------------------------------------------------------------------- Long-Term Investments -- Continued Retailing -- Continued 20 AnnTaylor Stores Corp. * $ 769 59 Chico's FAS, Inc. * 2,193 24 Electronics Boutique Holdings Corp. * 552 16 Hot Topic, Inc. * 486 11 Michaels Stores, Inc. 496 50 Pep Boys-Manny, Moe & Jack 1,139 34 PETCO Animal Supplies, Inc. * 1,020 4 Whole Foods Market, Inc. * 302 21 Williams-Sonoma, Inc. * 721 -------------- 10,059 Semi-Conductors -- 11.4% 29 Actel Corp. * 690 21 Artisan Components, Inc. * 439 79 Asyst Technologies, Inc. * 1,362 87 August Technology Corp. * 1,612 156 Axcelis Technologies, Inc. * 1,599 51 Brooks Automation, Inc. * 1,240 16 Cree, Inc. * 285 6 Cymer, Inc. * 278 88 Cypress Semiconductor Corp. * 1,887 24 Entegris, Inc. * 308 36 Exar Corp. * 617 75 Helix Technology Corp. 1,541 70 Integrated Silicon Solutions, Inc. * 1,094 103 KEMET Corp. * 1,416 104 Kulicke & Soffa Industries, Inc. * 1,497 56 Lam Research Corp. * 1,795 45 Micrel, Inc. * 708 56 O2Micro International LTD (Cayman Islands) * 1,246 25 Pericom Semiconductor Corp. * 267 28 Power Integrations, Inc. * 940 22 Rudolph Technologies, Inc. * 542 91 Silicon Storage Technology, Inc. * 998 14 Standard Microsystems Corp. * 362 23 Ultratech, Inc. * 673 -------------- 23,396 Shipping/Transportation -- 0.6% 33 UTI Worldwide, Inc. (Virgin Islands) 1,260 Steel -- 0.2% 10 International Steel Group, Inc. * 397 Telecommunications -- 2.1% 101 Aeroflex, Inc. * 1,176 85 Arris Group, Inc. * 617 40 Ixia * 462 59 SpectraLink Corp. 1,129 50 Tekelec * 781 2 Western Wireless Corp., Class A * 29 -------------- 4,194
See notes to financial statements. 14
SHARES ISSUER VALUE ----------------------------------------------------------------------------------------------------------------- Long-Term Investments -- Continued Telecommunications Equipment -- 0.8% 75 Andrew Corp. * $ 865 40 Comverse Technology, Inc. * 703 -------------- 1,568 Toys & Games -- 0.2% 18 Leapfrog Enterprises, Inc. * 472 Transportation -- 1.5% 16 JB Hunt Transport Services, Inc. * 442 15 Old Dominion Freight Line * 519 9 Overnite Corp. * 193 20 Pacer International, Inc. * 405 32 Quality Distribution, Inc. * 620 41 Sirva, Inc. * 795 -------------- 2,974 ----------------------------------------------------------------------------------------------------------------- Total Common Stocks 196,756 (Cost $162,137) ----------------------------------------------------------------------------------------------------------------- Short-Term Investment -- 3.7% MONEY MARKET FUND -- 3.7% 7,482 JPMorgan Prime Money Market Fund (a) 7,482 (Cost $7,482) ----------------------------------------------------------------------------------------------------------------- Total Investments -- 100.0% $ 204,238 (Cost $169,619) -----------------------------------------------------------------------------------------------------------------
See notes to financial statements. 15 JPMORGAN MULTI-MANAGER SMALL CAP VALUE FUND Portfolio of Investments As of December 31, 2003 (Amounts in thousands)
SHARES ISSUER VALUE ---------------------------------------------------------------------------------------------------------------- Long-Term Investments -- 95.1% COMMON STOCKS -- 93.8% Advertising -- 0.1% 8 Aquantive, Inc. * $ 79 3 R.H. Donnelley Corp. * 104 -------------- 183 Aerospace -- 2.1% 5 AAR Corp. * 67 11 Aviall, Inc. * 174 5 Curtiss-Wright Corp. 221 0^^ Ducommun, Inc. * 7 7 Esterline Technologies Corp. * 181 5 GenCorp., Inc. 52 36 Goodrich Corp. 1,056 4 HEICO Corp. 66 8 Kaman Corp., Class A 107 17 Moog, Inc., Class A * 850 75 Titan Corp. * 1,640 3 Triumph Group, Inc. * 95 -------------- 4,516 Agricultural Production/Services -- 0.1% 14 DIMON, Inc. 97 6 Standard Commercial Corp. 114 -------------- 211 Airlines -- 0.4% 3 Alaska Air Group, Inc. * 71 18 AMR Corp. * 237 14 Continental Airlines, Inc., Class B * 234 5 ExpressJet Holdings, Inc. * 72 24 Northwest Airlines Corp. * 297 -------------- 911 Apparel -- 1.4% 7 Kellwood Co. 271 0^^ Kenneth Cole Productions, Inc., Class A 9 71 Phillips-Van Heusen 1,255 5 Quiksilver, Inc. * 82 56 Russell Corp. 987 3 Steven Madden LTD * 51 18 Tommy Hilfiger Corp. (Hong Kong) * 262 12 Vans, Inc. * 139 -------------- 3,056 Appliances & Household Durables -- 0.1% 4 Applica, Inc. 32 0^^ Furniture Brands International, Inc. 12 12 Jacuzzi Brands, Inc. * 85 -------------- 129 Automotive -- 1.2% 3 American Axle & Manufacturing Holdings, Inc. * 105 3 BorgWarner, Inc. 221 7 Dura Automotive Systems, Inc., Class A * 93 6 Keystone Automotive Industries, Inc. * 139
See notes to financial statements. 16
SHARES ISSUER VALUE ----------------------------------------------------------------------------------------------------------------- Long-Term Investments -- Continued Automotive -- Continued 5 Lithia Motors, Inc., Class A $ 131 8 Oshkosh Truck Corp. 398 2 Sonic Automotive, Inc. 37 3 Superior Industries International, Inc. 113 10 Tenneco Automotive, Inc. * 68 15 Tower Automotive, Inc. * 101 17 Visteon Corp. 174 14 Winnebago Industries, Inc. 957 -------------- 2,537 Banking -- 7.1% 3 Amcore Financial, Inc. 84 3 Anchor Bancorp Wisconsin, Inc. 70 24 Astoria Financial Corp. 900 1 Bancfirst Corp. 29 1 Bank of the Ozarks, Inc. 14 17 BankAtlantic Bancorp, Inc., Class A 325 1 Banner Corp. 20 1 Capital Corp of the West * 32 3 Capitol Bancorp LTD 74 0^^ Century Bancorp, Inc., Class A 4 4 Chemical Financial Corp. 142 1 City Holding Co. 46 3 Columbia Banking Systems, Inc. 56 9 Commerce Bancorp, Inc. 458 53 Commercial Federal Corp. 1,425 8 Community Bank System, Inc. 407 2 Community Trust BanCorp, Inc. 69 8 Corus Bankshares, Inc. 259 7 Cullen/Frost Bankers, Inc. 280 4 Dime Community Bancshares 120 0^^ Financial Institutions, Inc. 3 0^^ First Citizens Banc Corp. 3 0^^ First Citizens BancShares, Inc., Class A 12 1 First Defiance Financial Corp. 24 0^^ First National Corp. 12 4 First Niagara Financial Group, Inc. 61 1 First Oak Brook Bancshares, Inc. 27 5 First Republic Bank 161 1 First United Corp. 19 1 Firstfed America Bancorp 31 3 FirstFed Financial Corp. * 144 7 Flagstar BanCorp, Inc. 139 18 Fremont General Corp. 303 24 Gold Banc Corp., Inc. 330 0^^ Great Southern Bancorp, Inc. 14 8 Greater Bay Bancorp 239 1 Hanmi Financial Corp. 20 0^^ Hawthorne Financial Corp. * 13 1 Heritage Commerce Corp. * 16 5 Hibernia Corp., Class A 118 7 Hudson River Bancorp 265 8 Iberiabank Corp. 454
See notes to financial statements. 17
SHARES ISSUER VALUE ----------------------------------------------------------------------------------------------------------------- Long-Term Investments -- Continued Banking -- Continued 3 Independent Bank Corp. -- Massachusetts $ 95 8 Independent Bank Corp. -- Michigan 241 11 IndyMac Bancorp, Inc. 328 10 Irwin Financial Corp. 301 0^^ Lakeland Financial Corp. 4 9 Local Financial Corp. * 185 3 MAF Bancorp, Inc. 130 0^^ MainSource Financial Group, Inc. @ 10 1 MB Financial, Inc. 22 3 Mercantile Bank Corp. 113 7 Mid-State Bancshares 168 0^^ Nara Bancorp, Inc. 5 9 NetBank, Inc. 119 1 Oak Hill Financial, Inc. 22 0^^ Old Second Bancorp, Inc. 5 0^^ Peoples Bancorp, Inc. 12 5 Provident Bankshares Corp. 150 8 R & G Financial Corp. (Puerto Rico), Class B 299 14 Republic Bancorp, Inc. 188 1 Republic Bancorp, Inc., Class A 20 0^^ Royal Bancshares of Pennsylvania, Class A 8 3 Second Bancorp, Inc. 90 3 Silicon Valley Bancshares * 94 3 Simmons First National Corp., Class A 75 1 Southside Bancshares, Inc. 23 0^^ Southwest Bancorp, Inc. 4 72 Sovereign Bancorp, Inc. 1,698 3 State Financial Services Corp., Class A 88 11 Sterling Financial Corp. 383 3 Summit Bancshares, Inc. 75 1 Sun Bancorp, Inc. * 37 3 Taylor Capital Group, Inc. 85 134 The Colonial BancGroup, Inc. 2,324 15 The South Financial Group, Inc. 415 4 Umpqua Holdings Corp. 73 11 W Holding Co., Inc. (Puerto Rico) 196 15 West Coast Bancorp 314 1 Wintrust Financial Corp. 32 -------------- 15,653 Biotechnology -- 3.1% 4 Abgenix, Inc. * 49 103 Albany Molecular Research, Inc. * 1,550 0^^ Alexion Pharmaceuticals, Inc. * 5 5 Applera Corp. -- Celera Genomics Group * 70 63 Cambrex Corp. 1,590 14 Cytogen Corp. * 157 15 Encysive Pharmaceuticals, Inc. * 131 57 Genelabs Technologies * 159 65 Pharmaceutical Product Development, Inc. * 1,755 7 Regeneration Technologies, Inc. * 77 53 Serologicals Corp. * 993 6 Telik, Inc. * 128 -------------- 6,664
See notes to financial statements. 18
SHARES ISSUER VALUE ----------------------------------------------------------------------------------------------------------------- Long-Term Investments -- Continued Broadcasting/Cable -- 0.9% 32 Charter Communications, Inc., Class A * $ 129 0^^ Pulitzer, Inc. 22 121 Sinclair Broadcast Group, Inc., Class A * 1,802 -------------- 1,953 Business Services -- 3.0% 119 Administaff, Inc. * 2,059 1 Banta Corp. 45 13 Century Business Services, Inc. * 59 0^^ Charles River Associates, Inc. * 13 0^^ Consolidated Graphics, Inc. * 13 85 Convergys Corp. * 1,477 4 Cornell Companies, Inc. * 49 8 Dollar Thrifty Automotive Group, Inc. * 200 16 Gartner, Inc., Class A * 176 9 Harris Interactive, Inc. * 76 4 infoUSA, Inc. * 29 28 Kelly Services, Inc., Class A 793 6 Metris Companies, Inc. * 25 1 NCO Group, Inc. * 32 3 Parexel International Corp. * 55 15 Spherion Corp. * 151 100 Teletech Holdings, Inc. * 1,131 6 Tyler Technologies, Inc. * 54 0^^ Volt Information Sciences, Inc. * 9 -------------- 6,446 Chemicals -- 3.4% 17 Cabot Corp. 532 16 Crompton Corp. 118 27 Engelhard Corp. 807 6 Ethyl Corp. * 131 3 FMC Corp. * 99 10 Georgia Gulf Corp. 300 4 HB Fuller Co. 116 12 Hercules, Inc. * 144 150 IMC Global, Inc. 1,489 16 Millennium Chemicals, Inc. 205 0^^ Minerals Technologies, Inc. 18 11 NL Industries, Inc. 129 6 Octel Corp. (United Kingdom) 118 10 Omnova Solutions, Inc. * 50 133 RPM International, Inc. 2,181 17 Valspar Corp. 855 10 Wellman, Inc. 103 -------------- 7,395 Computer Networks -- 0.1% 4 Anixter International, Inc. * 104 3 Black Box Corp. 119 -------------- 223 Computer Software -- 2.2% 6 Aspen Technology, Inc. * 65 0^^ Avid Technology, Inc. * 19
See notes to financial statements. 19
SHARES ISSUER VALUE ----------------------------------------------------------------------------------------------------------------- Long-Term Investments -- Continued Computer Software -- Continued 2 CACI International, Inc., Class A * $ 83 10 Ciber, Inc. * 89 26 CompuCom Systems, Inc. * 135 4 Computer Programs & Systems, Inc. 76 3 E.piphany, Inc. * 25 31 Global Payments, Inc. 1,464 0^^ Hyperion Solutions Corp. * 3 7 InterCept Group, Inc. * 75 0^^ Magma Design Automation, Inc. * 9 7 ManTech International Corp., Class A * 165 13 Manugistics Group, Inc. * 84 151 MSC. Software Corp. * 1,424 4 NetIQ Corp. * 49 1 PalmSource, Inc. * 18 8 Per-Se Technologies, Inc. * 121 9 Rainbow Technologies, Inc. * 105 0^^ SeaChange International, Inc. * 5 4 Sybase, Inc. * 91 35 Systems & Computer Technology Corp. * 579 3 Tier Technologies, Inc., Class B * 28 -------------- 4,712 Computers/Computer Hardware -- 0.6% 10 Agilysys, Inc. 116 8 Electronics for Imaging, Inc. * 208 19 Gateway, Inc. * 87 7 Hutchinson Technology, Inc. * 200 4 iGate Corp. * 27 7 Imagistics International, Inc. * 248 8 Maxtor Corp. * 87 3 PalmOne, Inc. * 33 19 Quantum Corp. * 58 3 RadiSys Corp. * 52 37 Silicon Graphics, Inc. * 51 16 Sykes Enterprises, Inc. * 137 -------------- 1,304 Construction -- 2.2% 1 Beazer Homes USA, Inc. 78 21 D.R. Horton, Inc. 908 1 Dominion Homes, Inc. * 42 4 Dycom Industries, Inc. * 97 1 EMCOR Group, Inc. * 53 31 Hovnanian Enterprises, Inc., Class A * 2,716 3 Meritage Corp. * 179 11 Standard-Pacific Corp. 529 11 WCI Communities, Inc. * 221 -------------- 4,823 Construction Materials -- 0.7% 6 AMCOL International Corp. 122 7 Ameron International Corp. 225 0^^ Centex Construction Products, Inc. 18 5 Genlyte Group, Inc. * 280 24 Louisiana-Pacific Corp. * 420 4 LSI Industries, Inc. 53 9 Universal Forest Products, Inc. 299
See notes to financial statements. 20
SHARES ISSUER VALUE ----------------------------------------------------------------------------------------------------------------- Long-Term Investments -- Continued Construction Materials -- Continued 9 USG Corp. * $ 156 -------------- 1,573 Consumer Products -- 2.5% 3 Alberto-Culver Co., Class B 196 3 American Greetings Corp., Class A * 70 50 Chattem, Inc. * 899 0^^ CSS Industries, Inc. 5 0^^ Department 56, Inc. * 5 31 Harman International Industries, Inc. 2,293 7 Kimball International, Class B 104 18 The Scotts Co., Class A * 1,059 4 Toro Co. 181 14 Universal Corp. 605 3 WD-40 Co. 92 -------------- 5,509 Consumer Services -- 1.5% 11 Alderwoods Group, Inc. * 104 3 Arbitron, Inc. * 108 0^^ MemberWorks, Inc. * 11 27 Regis Corp. 1,065 4 Right Management Consultants, Inc. * 73 55 Stewart Enterprises, Inc., Class A * 310 0^^ The Standard Register Co. 5 75 United Rentals, Inc. * 1,445 6 Wackenhut Corrections Corp. * 137 -------------- 3,258 Distribution -- 0.7% 1 Advanced Marketing Services, Inc. 15 4 Building Material Holding Corp. 56 9 Hughes Supply, Inc. 461 43 Watsco, Inc. 971 1 WESCO International, Inc. * 9 -------------- 1,512 Electronics/Electrical Equipment -- 4.9% 2 Bel Fuse, Inc., Class B 72 6 Benchmark Electronics, Inc. * 211 5 Checkpoint Systems, Inc. * 85 81 Coherent, Inc. * 1,916 4 CTS Corp. 47 4 DSP Group, Inc. * 97 5 Encore Wire Corp. * 81 51 Flir Systems, Inc. * 1,876 6 Integrated Electrical Services, Inc. * 59 1 InVision Technologies, Inc. * 17 7 Methode Electronics, Class A 87 7 MTS Systems Corp. 127 166 Paxar Corp. * 2,222 46 PerkinElmer, Inc. 779 4 ROFIN-SINAR Technologies, Inc. * 135 52 Sanmina-SCI Corp. * 657 5 Stoneridge, Inc. * 72 46 Symbol Technologies, Inc. 769
See notes to financial statements. 21
SHARES ISSUER VALUE ----------------------------------------------------------------------------------------------------------------- Long-Term Investments -- Continued Electronics/Electrical Equipment -- Continued 4 Sypris Solutions, Inc. $ 64 1 Trimble Navigation LTD * 22 51 Vishay Intertechnology, Inc. * 1,163 5 Watts Industries, Inc., Class A 102 3 Zygo Corp. * 45 -------------- 10,705 Engineering Services -- 0.3% 15 McDermott International, Inc. * 180 7 URS Corp. * 165 7 Washington Group International, Inc. * 248 -------------- 593 Entertainment/Leisure -- 1.1% 4 AMC Entertainment, Inc. * 61 4 Ameristar Casinos, Inc. * 93 2 Arctic Cat, Inc. 54 3 Argosy Gaming Co. * 81 11 Aztar Corp. * 243 5 Bally Total Fitness Holding Corp. * 32 3 Boyd Gaming Corp. 52 16 Callaway Golf Co. 271 3 Isle of Capri Casinos, Inc. * 62 6 K2, Inc. * 87 5 Navigant International, Inc. * 68 18 Six Flags, Inc. * 138 45 WMS Industries, Inc. * 1,170 -------------- 2,412 Environmental Services -- 0.3% 1 Mine Safety Appliances Co. 103 12 Republic Services, Inc. 316 7 Tetra Tech, Inc. * 181 -------------- 600 Financial Services -- 4.4% 4 Accredited Home Lenders Holding Co. * 122 5 American Capital Strategies LTD 137 89 AmeriCredit Corp. * 1,421 78 BankUnited Financial Corp., Class A * 2,002 7 CompuCredit Corp. * 140 2 Credit Acceptance Corp. * 29 36 Eaton Vance Corp. 1,319 1 eSpeed, Inc., Class A * 14 0^^ ITLA Capital Corp. * 15 48 Jefferies Group, Inc. 1,595 3 Knight Trading Group, Inc. * 50 3 New Century Financial Corp. 113 7 Ocwen Financial Corp. * 58 38 Raymond James Financial, Inc. 1,440 17 Safeguard Scientifics, Inc. * 70 4 Student Loan Corp. 642 0^^ Troy Financial Corp. 4 0^^ WestCorp 11 12 World Acceptance Corp. * 229 3 WSFS Financial Corp. 117 -------------- 9,528
See notes to financial statements. 22
SHARES ISSUER VALUE ----------------------------------------------------------------------------------------------------------------- Long-Term Investments -- Continued Food/Beverage Products -- 0.4% 19 Chiquita Brands International, Inc. * $ 429 1 Corn Products International, Inc. 17 1 Flowers Foods, Inc. 30 0^^ J & J Snack Foods Corp. * 11 7 Pathmark Stores, Inc. * 49 10 Pilgrim's Pride Corp. 160 4 Ralcorp Holdings, Inc. * 122 0^^ Sensient Technologies Corp. 8 -------------- 826 Health Care/Health Care Services -- 7.5% 55 Accredo Health, Inc. * 1,740 11 Beverly Enterprises, Inc. * 90 4 CONMED Corp. * 95 45 Cooper Companies, Inc. 2,097 62 Covance, Inc. * 1,651 105 Cross Country Healthcare, Inc. * 1,569 3 CTI Molecular Imaging, Inc. * 52 2 Cyberonics, Inc. * 64 2 Genesis HealthCare Corp. * 39 70 Health Management Associates, Inc., Class A 1,690 0^^ Invacare Corp. 4 8 Inveresk Research Group, Inc. * 195 5 Kindred Healthcare, Inc. * 281 8 Lincare Holdings, Inc. * 240 28 Manor Care, Inc. 963 19 Mariner Health Care, Inc. * 421 49 NDCHealth Corp. 1,243 27 Omnicare, Inc. 1,084 49 Orthovita, Inc. * 158 46 Pediatrix Medical Group, Inc. * 2,530 4 PSS World Medical, Inc. * 43 0^^ Sierra Health Services * 11 10 Sola International, Inc. * 192 0^^ SurModics, Inc. * 5 6 US Oncology, Inc. * 60 -------------- 16,517 Hotels/Other Lodging -- 1.0% 3 Choice Hotels International, Inc. * 95 110 Hilton Hotels Corp. 1,883 48 La Quinta Corp. * 306 -------------- 2,284 Industrial Components -- 0.1% 13 Lennox International, Inc. 209 Insurance -- 4.2% 19 Allmerica Financial Corp. * 575 53 American Financial Group, Inc. 1,413 8 AmerUs Group Co. 273 8 Argonaut Group, Inc. * 120 0^^ Baldwin & Lyons, Inc., Class B 10 31 Commerce Group, Inc. 1,217 16 Delphi Financial Group, Inc., Class A 583
See notes to financial statements. 23
SHARES ISSUER VALUE ----------------------------------------------------------------------------------------------------------------- Long-Term Investments -- Continued Insurance -- Continued 1 Direct General Corp. $ 26 5 FBL Financial Group, Inc., Class A 116 7 LandAmerica Financial Group, Inc. 355 0^^ Nationwide Financial Services, Class A 10 40 Philadelphia Consolidated Holding Co. * 1,949 9 PMA Capital Corp., Class A 46 1 ProAssurance Corp. * 19 21 Protective Life Corp. 717 4 RLI Corp. 150 21 SAFECO Corp. 818 3 Selective Insurance Group 81 3 State Auto Financial Corp. 63 12 Stewart Information Services Corp. 466 0^^ The Navigators Group, Inc. * 9 4 The Phoenix Companies, Inc. 43 0^^ United Fire & Casualty Co. 12 4 Universal American Financial Corp. * 44 1 Zenith National Insurance Corp. 23 -------------- 9,138 Internet Services/Software -- 0.2% 5 AsiaInfo Holdings, Inc. (China) * 32 16 EarthLink, Inc. * 155 22 Homestore, Inc. * 103 2 Interland, Inc. * 15 0^^ Internet Security Systems, Inc. * 6 2 Openwave Systems, Inc. * 19 0^^ ProQuest Co. * 12 5 United Online, Inc. * 84 10 Vignette Corp. * 22 -------------- 448 Leasing -- 0.1% 6 GATX Corp. 156 6 Interpool, Inc. 92 -------------- 248 Machinery & Engineering Equipment -- 1.9% 100 AGCO Corp. * 2,015 18 Applied Industrial Technologies, Inc. 429 9 Cascade Corp. 194 3 Flowserve Corp. * 69 5 Global Power Equipment Group, Inc. * 31 0^^ Kadant, Inc. * 9 7 Milacron, Inc. 29 1 NACCO Industries, Inc., Class A 89 4 Regal-Beloit Corp. 77 7 Sauer-Danfoss, Inc. 113 49 Stewart & Stevenson Services, Inc. 684 3 Tecumseh Products Co., Class A 126 0^^ Thomas Industries, Inc. 14 11 UNOVA, Inc. * 252 -------------- 4,131 Manufacturing -- 3.8% 1 Actuant Corp., Class A * 22 7 Acuity Brands, Inc. 168
See notes to financial statements. 24
SHARES ISSUER VALUE ----------------------------------------------------------------------------------------------------------------- Long-Term Investments -- Continued Manufacturing -- Continued 12 Albany International Corp., Class A $ 400 3 AO Smith Corp. 119 9 Barnes Group, Inc. 294 4 Briggs & Stratton Corp. 249 3 Esco Technologies, Inc. * 113 0^^ Gardner Denver, Inc. * 2 5 Griffon Corp. * 109 16 Harsco Corp. 708 21 JLG Industries, Inc. 317 56 Joy Global, Inc. 1,467 1 Lydall, Inc. * 12 8 NN, Inc. 97 7 Quanex Corp. 300 65 Terex Corp. * 1,844 92 Timken Co. 1,855 12 Walter Industries, Inc. 160 3 Wilson Greatbatch Technologies, Inc. * 123 -------------- 8,359 Metals/Mining -- 1.6% 43 Arch Coal, Inc. 1,345 10 Massey Energy Co. 214 2 Precision Castparts Corp. 95 4 RTI International Metals, Inc. * 66 101 The Shaw Group, Inc. * 1,381 2 USEC, Inc. 20 18 Valmont Industries, Inc. 419 -------------- 3,540 Multi-Media -- 0.6% 1 4Kids Entertainment, Inc. * 18 8 Insight Communications Co., Inc. * 78 3 Journal Register Co. * 68 10 Lodgenet Entertainment Corp. * 188 27 Scholastic Corp. * 910 -------------- 1,262 Office/Business Equipment -- 0.1% 0^^ Global Imaging Systems, Inc. * 3 5 United Stationers, Inc. * 221 -------------- 224 Oil & Gas -- 5.0% 3 Black Hills Corp. 95 8 CAL Dive International, Inc. * 186 86 Chesapeake Energy Corp. 1,169 6 Cimarex Energy Co. * 149 7 Comstock Resources, Inc. * 133 16 Denbury Resources, Inc. * 217 7 Energen Corp. 295 9 Hanover Compressor Co. * 100 4 Houston Exploration Co. * 146 4 KCS Energy, Inc. * 46 10 Magnum Hunter Resources, Inc. * 94 14 Meridian Resource Corp. * 83 3 Nuevo Energy Co. * 80
See notes to financial statements. 25
SHARES ISSUER VALUE ----------------------------------------------------------------------------------------------------------------- Long-Term Investments -- Continued Oil & Gas -- Continued 4 NUI Corp. $ 63 3 Oceaneering International, Inc. * 73 7 Oil States International, Inc. * 103 50 ONEOK, Inc. 1,097 1 Plains Exploration & Production Co. * 13 23 Range Resources Corp. * 219 18 Southern Union Co. * 339 7 Southwest Gas Corp. 153 26 Southwestern Energy Co. * 617 7 Stone Energy Corp. * 276 81 Superior Energy Services, Inc. * 762 42 Swift Energy Co. * 709 15 Tesoro Petroleum Corp. * 219 49 Universal Compression Holding, Inc. * 1,283 7 Veritas DGC, Inc. * 71 13 Vintage Petroleum, Inc. 150 46 Westport Resources Corp. * 1,384 0^^ World Fuel Services Corp. 14 21 XTO Energy, Inc. 596 -------------- 10,934 Packaging -- 1.2% 6 Chesapeake Corp. 159 54 Crown Holdings, Inc. * 485 4 Greif, Inc., Class A 146 59 Pactiv Corp. * 1,404 3 Rock-Tenn Co., Class A 57 8 Silgan Holdings, Inc. * 341 -------------- 2,592 Paper/Forest Products -- 0.1% 8 Schweitzer-Mauduit International, Inc. 229 Pharmaceuticals -- 1.3% 12 Adolor Corp. * 238 3 Alpharma, Inc., Class A 52 10 AtheroGenics, Inc. * 148 6 Barr Laboratories, Inc. * 423 5 Cubist Pharmaceuticals, Inc. * 56 7 Cypress Bioscience, Inc. * 111 2 Esperion Therapeutics, Inc. * 69 46 KV Pharmaceutical Co., Class B * 1,196 10 Ligand Pharmaceuticals, Inc., Class B * 153 5 NBTY, Inc. * 137 9 NeighborCare, Inc. * 176 -------------- 2,759 Printing & Publishing -- 0.2% 19 John H. Harland Co. 524 Real Estate -- 0.0% ^ 5 Jones Lang LaSalle, Inc. * 93 Real Estate Investment Trust -- 4.4% 14 Alexandria Real Estate Equities, Inc. 810
See notes to financial statements. 26
SHARES ISSUER VALUE ----------------------------------------------------------------------------------------------------------------- Long-Term Investments -- Continued Real Estate Investment Trust -- Continued 11 American Home Mortgage Investment Corp. $ 252 32 Anthracite Capital, Inc. 354 10 Bedford Property Investors, Inc. 298 9 Boykin Lodging Co. 80 3 Capital Automotive Real Estate Investment Trust 106 5 CarrAmerica Realty Corp. 155 26 Entertainment Properties Trust 884 33 Equity Inns, Inc. 301 3 Gables Residential Trust 101 3 Glenborough Realty Trust, Inc. 54 9 Highwoods Properties, Inc. 236 17 IMPAC Mortgage Holdings, Inc. 300 20 InnKeepers USA Trust 169 5 Kilroy Realty Corp. 151 7 LaSalle Hotel Properties 121 26 Lexington Corporate Properties Trust 521 11 LTC Properties, Inc. 161 10 Meristar Hospitality Corp. * 67 9 MFA Mortgage Investments, Inc. 85 6 Mid-America Apartment Communities, Inc. 208 15 National Health Investors, Inc. 381 3 NovaStar Financial, Inc. 137 4 Parkway Properties, Inc. 162 9 Pennsylvania Real Estate Investment Trust 338 1 Post Properties, Inc. 22 4 Prentiss Properties Trust 119 14 RAIT Investment Trust 366 0^^ Saul Centers, Inc. 9 16 Senior Housing Properties Trust 276 20 SL Green Realty Corp. 804 7 Sun Communities, Inc. 267 5 Taubman Centers, Inc. 99 3 The Macerich Co. 147 2 The Mills Corp. 66 16 United Dominion Realty Trust, Inc. 298 1 Urstadt Biddle Properties, Inc., Class A 13 29 Ventas, Inc. 627 6 Winston Hotels, Inc. 58 -------------- 9,603 Restaurants/Food Services -- 1.2% 13 Brinker International, Inc. * 421 22 CEC Entertainment, Inc. * 1,053 3 Jack in the Box, Inc. * 70 13 Landry's Restaurants, Inc. 342 0^^ Papa John's International, Inc. * 13 1 Ryan's Family Steak Houses, Inc. * 8 26 Sonic Corp. * 790 -------------- 2,697 Retailing -- 5.1% 12 7-Eleven, Inc. * 194 6 Aaron Rents, Inc. 128 1 Aeropostale, Inc. * 25
See notes to financial statements. 27
SHARES ISSUER VALUE ----------------------------------------------------------------------------------------------------------------- Long-Term Investments -- Continued Retailing -- Continued 6 Alloy, Inc. * $ 31 6 American Eagle Outfitters, Inc. * 98 5 AnnTaylor Stores Corp. * 176 12 Asbury Automotive Group, Inc. * 219 9 BJ's Wholesale Club, Inc. * 197 0^^ BOB Evans Farms 3 4 Brown Shoe Co., Inc. 148 15 Burlington Coat Factory Warehouse Corp. 320 11 Casey's General Stores, Inc. 194 16 Cash America International, Inc. 341 1 Charlotte Russe Holding, Inc. * 10 21 Charming Shoppes, Inc. * 112 1 Cole National Corp. * 12 71 CSK Auto Corp. * 1,333 9 Dillards, Inc., Class A 142 5 Dress Barn, Inc. * 78 9 Footstar, Inc. * 34 86 Fred's, Inc. 2,661 3 Friedman's, Inc., Class A 21 4 Genesco, Inc. * 54 9 Goody's Family Clothing, Inc. 87 4 Great Atlantic & Pacific Tea Co., Inc. * 36 9 Hollywood Entertainment Corp. * 129 5 Jo-Ann Stores, Inc. * 94 0^^ Linens 'N Things, Inc. * 3 5 MarineMax, Inc. * 99 4 Men's Wearhouse, Inc. * 98 0^^ Movado Group, Inc. 6 31 Movie Gallery, Inc. * 572 1 Nash-Finch Co. 31 7 Nu Skin Enterprises, Inc., Class A 126 130 Office Depot, Inc. * 2,172 9 Payless ShoeSource, Inc. * 122 8 Pep Boys-Manny, Moe & Jack 176 8 REX Stores Corp. * 113 0^^ School Specialty, Inc. * 10 13 Shopko Stores, Inc. * 204 5 Smart & Final, Inc. * 46 1 Stage Stores, Inc. * 28 7 Systemax, Inc. * 49 13 The Bombay Co., Inc. * 106 1 The Sports Authority, Inc. * 40 5 United Auto Group, Inc. 150 -------------- 11,028 Semi-Conductors -- 0.9% 0^^ Actel Corp. * 10 3 Ceva, Inc. * 26 10 Cirrus Logic, Inc. * 73 3 Cohu, Inc. 65 1 Dupont Photomasks, Inc. * 12 3 Exar Corp. * 44 43 Fairchild Semiconductor International, Inc. * 1,085
See notes to financial statements. 28
SHARES ISSUER VALUE ----------------------------------------------------------------------------------------------------------------- Long-Term Investments -- Continued Semi-Conductors -- Continued 11 GlobespanVirata, Inc. * $ 62 10 Lattice Semiconductor Corp. * 97 3 Photronics, Inc. * 52 5 Silicon Storage Technology, Inc. * 55 6 Skyworks Solutions, Inc. * 51 3 Standard Microsystems Corp. * 63 8 Transmeta Corp. * 28 12 Vitesse Semiconductor Corp. * 72 4 Zoran Corp. * 70 -------------- 1,865 Shipping/Transportation -- 0.0% ^ 3 USF Corp. 89 Steel -- 0.3% 3 Carpenter Technology Corp. 77 4 Reliance Steel & Aluminum Co. 130 7 Ryerson Tull, Inc. 82 1 Schnitzer Steel Industries, Inc., Class A 36 13 Steel Dynamics, Inc. * 313 -------------- 638 Telecommunications -- 1.4% 8 Aether Systems, Inc. * 38 191 American Tower Corp., Class A * 2,071 4 Arris Group, Inc. * 32 39 Cincinnati Bell, Inc. * 199 0^^ Commonwealth Telephone Enterprises, Inc. * 15 7 General Communication, Inc., Class A * 57 3 Hypercom Corp. * 13 19 MRV Communications, Inc. * 72 2 Network Equipment Technologies, Inc. * 22 3 North Pittsburgh Systems, Inc. 49 37 PTEK Holdings, Inc. * 322 5 Raindance Communications, Inc. * 13 7 Talk America Holdings, Inc. * 75 10 Time Warner Telecom, Inc., Class A * 103 -------------- 3,081 Telecommunications Equipment -- 0.6% 79 Andrew Corp. * 910 4 C-COR.net Corp. * 43 41 Corvis Corp. * 70 4 Ditech Communications Corp. * 80 6 New Focus, Inc. * 30 7 Remec, Inc. * 55 15 Sycamore Networks, Inc. * 80 9 Terayon Communications Systems, Inc. * 41 -------------- 1,309 Textiles -- 0.2% 11 Angelica Corp. 251 4 UniFirst Corp. 95 -------------- 346
See notes to financial statements. 29
SHARES ISSUER VALUE ----------------------------------------------------------------------------------------------------------------- Long-Term Investments -- Continued Tools/Equipment -- 0.2% 15 Snap-On, Inc. $ 480 Toys & Games -- 0.1% 5 RC2 Corp. * 93 4 Steinway Musical Instruments, Inc. * 94 -------------- 187 Transportation -- 0.6% 4 Covenant Transport, Inc., Class A * 74 7 Genesee & Wyoming, Inc., Class A * 214 2 Greenbrier Co., Inc. * 37 4 Offshore Logistics, Inc. * 96 12 RailAmerica, Inc. * 139 8 SCS Transportation, Inc. * 148 3 US Xpress Enterprises, Inc., Class A * 34 10 Werner Enterprises, Inc. 198 11 Yellow Roadway Corp. * 394 -------------- 1,334 Utilities -- 4.4% 4 Allegheny Energy, Inc. * 56 0^^ American States Water Co. 10 3 Atmos Energy Corp. 80 8 Avista Corp. 147 0^^ California Water Service Group 11 4 CH Energy Group, Inc. 188 38 CMS Energy Corp. * 324 55 Idacorp, Inc. 1,633 46 PNM Resources, Inc. 1,301 61 Puget Energy, Inc. 1,459 47 Sierra Pacific Resources * 343 3 UIL Holdings Corp. 117 18 UniSource Energy Corp. 439 62 Vectren Corp. 1,525 14 Westar Energy, Inc. 292 35 WPS Resources Corp. 1,622 -------------- 9,547 Waste Management -- 0.7% 104 Allied Waste Industries, Inc. * 1,448 ------------------------------------------------------------------------------------------------- Total Common Stocks 204,375 (Cost $152,751) ------------------------------------------------------------------------------------------------- INVESTMENT COMPANIES -- 1.3% 1 Gladstone Capital Corp. 20 17 iShares Russell 2000 Value Index Fund @ 2,691 9 Technology Investment Capital Corp. 143 ------------------------------------------------------------------------------------------------- Total Investment Companies 2,854 (Cost $2,364) ----------------------------------------------------------------------------------------------------------------- Total Long-Term Investments 207,229 (Cost $155,115) -----------------------------------------------------------------------------------------------------------------
See notes to financial statements. 30
PRINCIPAL AMOUNT ISSUER VALUE ----------------------------------------------------------------------------------------------------------------- Short-Term Investments -- 4.9% U.S. TREASURY SECURITY -- 0.1% $ 185 U.S. Treasury Note, 2.13%, 10/31/04 @ $ 186 (Cost $186) ----------------------------------------------------------------------------------------------------------------- SHARES MONEY MARKET FUND -- 4.8% 10,429 JPMorgan Prime Money Market Fund (a) 10,429 (Cost $10,429) ----------------------------------------------------------------------------------------------------------------- Total Short-Term Investments 10,615 (Cost $10,615) ----------------------------------------------------------------------------------------------------------------- Total Investments -- 100.0% $ 217,844 (Cost $165,730) -----------------------------------------------------------------------------------------------------------------
Futures Contracts (Amounts in thousands, except number of contracts)
NOTIONAL UNREALIZED NUMBER VALUE AT APPRECIATION OF EXPIRATION 12/31/03 (DEPRECIATION) CONTRACTS DESCRIPTION DATE (USD) (USD) ---------------------------------------------------------------------------------------- LONG FUTURES OUTSTANDING 6 Russell 2000 March, 2004 $ 2 $ 79
See notes to financial statements. 31 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 a 144A or private placement security and can only be sold to qualified institutional buyers. @ -- Security is fully or partially segregated with the custodian or with the brokers for futures contracts. (a) -- Affiliated. Money market fund registered under the Investment Company Act of 1940, as amended and advised by J.P. Morgan Investment Management, Inc. USD -- United States Dollar. See notes to financial statements. 32 JPMORGAN FUNDS Statement of Assets and Liabilities As of December 31, 2003 (Amounts in thousands, except per share amounts)
MULTI-MANAGER MULTI-MANAGER SMALL CAP SMALL CAP GROWTH FUND VALUE FUND -------------------------------------------------------------------------------------- ASSETS: Investment securities, at value $ 204,238 $ 217,844 Cash 5 20 Receivables: Investment securities sold 2,277 856 Fund shares sold 215 212 Interest and dividends 34 143 -------------------------------------------------------------------------------------- Total Assets 206,769 219,075 -------------------------------------------------------------------------------------- LIABILITIES: Payables: Investment securities purchased 5,537 2,956 Fund shares redeemed 272 354 Variation Margin -- 20 Accrued liabilities: Investment advisory fees 142 149 Administration fees 25 26 Shareholder servicing fees 33 37 Custodian fees 41 43 Trustees' fees 1 1 Other 68 70 -------------------------------------------------------------------------------------- Total Liabilities 6,119 3,656 -------------------------------------------------------------------------------------- NET ASSETS: Paid in capital 163,298 161,084 Accumulated net investment income (loss) 11 42 Accumulated net realized gain (loss) on investments and futures 2,722 2,100 Net unrealized appreciation (depreciation) of investments and futures 34,619 52,193 -------------------------------------------------------------------------------------- Total Net Assets $ 200,650 $ 215,419 -------------------------------------------------------------------------------------- Shares of beneficial interest outstanding ($0.001 par value; unlimited number of shares authorized): 14,183 13,921 Net Asset Value, redemption and offering price per share $ 14.15 $ 15.47 -------------------------------------------------------------------------------------- Cost of investments $ 169,619 $ 165,730 ======================================================================================
See notes to financial statements. 33 JPMORGAN FUNDS Statement of Operations For the period ended December 31, 2003 (Amounts in thousands)
MULTI-MANAGER MULTI-MANAGER SMALL CAP SMALL CAP GROWTH FUND VALUE FUND ------------------------------- 2/28/03 (a) 2/28/03 (a) THROUGH THROUGH 12/31/03 12/31/03 -------------------------------------------------------------------------------------- INVESTMENT INCOME: Interest $ -- $ 1 Dividend 361 1,232 Dividend income from affiliated investments* 56 71 -------------------------------------------------------------------------------------- Total investment income 417 1,304 -------------------------------------------------------------------------------------- EXPENSES: Investment advisory fees 934 929 Administration fees 165 164 Shareholder servicing fees 275 273 Custodian fees 174 196 Registration fees 26 25 Printing and postage 10 10 Professional fees 79 80 Transfer agent fees 40 38 Trustees' fees 17 16 Other 8 9 -------------------------------------------------------------------------------------- Total expenses 1,728 1,740 -------------------------------------------------------------------------------------- Less amounts waived 187 209 Less earnings credits 2 2 -------------------------------------------------------------------------------------- Net expenses 1,539 1,529 -------------------------------------------------------------------------------------- Net investment income (1,122) (225) -------------------------------------------------------------------------------------- REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS: Net realized gain (loss) on transactions from: Investments 12,023 6,266 Futures -- 352 Change in net unrealized appreciation (depreciation) of: Investments 34,619 52,114 Futures -- 79 -------------------------------------------------------------------------------------- Net realized and unrealized gain (loss) on investments and futures 46,642 58,811 -------------------------------------------------------------------------------------- Net increase (decrease) in net assets from operations $ 45,520 $ 58,586 -------------------------------------------------------------------------------------- * Includes reimbursements of investment advisory, administration and shareholder servicing fees : $ 9 $ 11 --------------------------------------------------------------------------------------
(a) Commenced operations on 2/28/03. See notes to financial statements. 34 JPMORGAN FUNDS Statement of Changes in Net Assets For the periods indicated (Amounts in thousands)
MULTI-MANAGER MULTI-MANAGER SMALL CAP GROWTH FUND SMALL CAP VALUE FUND ------------------------------------------------- 2/28/03* 2/28/03* THROUGH THROUGH 12/31/03 12/31/03 ------------------------------------------------------------------------------------------------------------------------------- INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: Net investment loss $ (1,122) $ (225) Net realized gain (loss) on investments and futures 12,023 6,618 Change in net unrealized appreciation/depreciation of investments and futures 34,619 52,193 ------------------------------------------------------------------------------------------------------------------------------- Increase (decrease) in net assets from operations 45,520 58,586 ------------------------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net realized gain on investment transactions (8,168) (4,251) ------------------------------------------------------------------------------------------------------------------------------- INCREASE (DECREASE) FROM CAPITAL SHARE TRANSACTIONS Proceeds from shares issued 184,870 181,483 Dividends reinvested 3,507 1,857 Cost of shares redeemed (25,079) (22,328) ------------------------------------------------------------------------------------------------------------------------------- INCREASE (DECREASE) FROM CAPITAL SHARE TRANSACTIONS 163,298 161,012 ------------------------------------------------------------------------------------------------------------------------------- Voluntary Contribution from Advisor -- 72 ------------------------------------------------------------------------------------------------------------------------------- Total increase (decrease) in net assets 200,650 215,419 NET ASSETS: Beginning of period -- -- ------------------------------------------------------------------------------------------------------------------------------- End of period $ 200,650 $ 215,419 ------------------------------------------------------------------------------------------------------------------------------- ACCUMULATED NET INVESTMENT INCOME (LOSS) $ 11 $ 42 ------------------------------------------------------------------------------------------------------------------------------- SHARE TRANSACTIONS: Issued 15,810 15,432 Reinvested 258 124 Redeemed (1,885) (1,635) ------------------------------------------------------------------------------------------------------------------------------- Change in shares 14,183 13,921 -------------------------------------------------------------------------------------------------------------------------------
* Commencement of operations. See notes to financial statements. 35 JPMORGAN FUNDS Notes to Financial Statements 1. ORGANIZATION J.P. Morgan Fleming Series Trust (the "Trust") was organized on December 24, 2002 as a Massachusetts business trust, and is registered under the Investment Company Act of 1940 (the "1940 Act"), as amended, as an open-end management investment company. The following are two separate portfolios of the Trust (collectively, the "Funds"): FUND JPMorgan Multi-Manager Small Cap Growth Fund ("MMSCGF") JPMorgan Multi-Manager Small Cap Value Fund ("MMSCVF") The Funds commenced operations on February 28, 2003. The Funds are non-diversified, as defined in the 1940 Act. 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 System equity securities quoted by the Nasdaq Stock Market, Inc. shall generally be the Nasdaq Official Closing Price. Securities for which sale prices are not available and other over-the-counter securities are valued at the mean between the bid and asked quotations. Fixed income securities, (other than convertible bonds), with a maturity of 61 days or more held by Funds will be valued each day based on readily available market quotations received from independent or affiliated commercial pricing services. Such pricing services will generally provide bidside quotations. Convertible bonds are valued at the last sale price on the primary exchange on which the bond is principally traded. When valuations are not readily available, securities are valued at fair value as determined in accordance with procedures adopted by the Trustees. It is reasonably possible that the estimated values may differ significantly from the values that would have been used had a ready market for the investments existed, and such differences could have been material. Short-term investments with 60 days or less to maturity at time of purchase are valued at amortized cost, which approximates market value. 36 Trading in securities on most foreign exchanges and over-the counter markets is normally completed before the close of the domestic market and may also take place on days when the domestic market is closed. In accordance with procedures adopted by the Trustees, the Funds apply fair value pricing on a daily basis for all non-U.S. and non-Canadian equity securities held in their portfolios by utilizing the quotations of an independent pricing service, unless the Funds' advisor, J.P. Morgan Investment Management, Inc. ("JPMIM" or the "Advisor"), determines that use of another valuation methodology is appropriate. The pricing service uses statistical 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. Index futures contracts are used to control the asset mix of the portfolios in the most efficient manner. Short index futures contracts are used for hedging purposes, i.e. to reduce the exposure to equities. Long index futures contracts are used to gain exposure to equities, when it is anticipated that this will be more efficient than buying stocks directly. Use of long futures contracts subjects the Fund to risk of loss in excess of amounts shown on the Statement of Assets and Liabilities up to the notional value of the futures contract. Use of short futures contracts subject the Fund to unlimited risk of loss. The Funds may enter into futures contracts only on exchanges or boards of trade. The exchange or board of trade acts as the counterparty to each futures transaction; therefore, the Fund's credit risk is limited to failure of the exchange or board of trade. As of December 31, 2003, MMSCVF had outstanding futures contracts as listed on the Fund's Portfolio of Investments. C. RESTRICTED AND ILLIQUID SECURITIES -- Each Fund may invest in securities that are subject to legal or contractual restrictions on resale or are illiquid. Restricted securities generally may be resold in transactions exempt from registration. A security may be considered illiquid if it lacks a readily available market or if its valuation has not changed for a certain period of time. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at the current valuation may be difficult. 37 D. SECURITY TRANSACTIONS AND INVESTMENT INCOME -- Investment transactions are accounted for on the trade date (the date the order to buy or sell is executed). Securities gains and losses are calculated on the identified cost basis. Interest income is determined on the basis of coupon interest accrued using the interest method adjusted for amortization of premiums and accretion of discounts. Dividend income less foreign taxes withheld (if any) is recorded on the ex-dividend date or when the Fund first learns of the dividend. E. ALLOCATION OF INCOME AND EXPENSES -- Expenses directly attributable to a Fund are charged to that Fund; other expenses are allocated proportionately among each of the Funds within the Trust in relation to the net assets of each Fund or on another reasonable basis. F. FEDERAL INCOME TAXES -- Each Fund is treated as a separate taxable entity for Federal income tax purposes. The Fund's policy is to comply with the provisions of the Internal Revenue Code applicable to regulated investment companies and to distribute to shareholders all of their distributable net investment income and net realized gain on investments. In addition, the Funds intend to make distributions as required to avoid excise taxes. Accordingly, no provision for Federal income or excise tax is necessary. G. DISTRIBUTIONS TO SHAREHOLDERS -- Dividends and distributions paid to shareholders are recorded on the ex-dividend date. The amount of dividends and distributions from net investment income and net realized capital gains is determined in accordance with Federal income tax regulations, which may differ from accounting principles generally accepted in the United States of America. To the extent these "book/tax" differences are permanent in nature, (i.e., that they result from other than timing of recognition -- "temporary differences"), such amounts are reclassified within the capital accounts based on their Federal tax-basis treatment. The following amounts were reclassified within the capital accounts (amounts in thousands):
ACCUMULATED ACCUMULATED UNDISTRIBUTED NET REALIZED PAID-IN (OVERDISTRIBUTED) GAIN (LOSS) FUND CAPITAL NET INVESTMENT INCOME ON INVESTMENTS -------------------------------------------------------------------- MMSCGF $ -- $ 1,133 $ (1,133) MMSCVF -- 267 (267)
The reclassification for the MMSCGF and MMSCVF relate primarily to the character for tax purposes of current year net operating losses and distributions from investments in Real Estate Investment Trusts. 38 3. FEES AND OTHER TRANSACTIONS WITH AFFILIATES A. INVESTMENT ADVISORY FEE -- Pursuant to the Investment Advisory Agreement, J.P. Morgan Investment Management, Inc. ("JPMIM" or the "Advisor"), acts as the investment advisor to the Funds. Prior to October 1, 2003, JPMIM was a wholly owned subsidiary of J.P. Morgan Chase & Co. On October 1, 2003, JPMIM became a wholly owned subsidiary of J.P. Morgan Fleming Asset Management Holdings Inc, which is a wholly owned subsidiary of J.P. Morgan Chase & Co. The investment advisory services and personnel providing investment advice have not changed as a result of the ownership change. The ownership change did not constitute an assignment under the 1940 Act or the Investment Advisers Act of 1940. The Advisor allocates portions of the Funds' assets to the subadvisors and is responsible for monitoring and coordinating the overall management of the Funds and for such services is paid a fee. The fee is accrued daily and paid monthly at an annual rate of 0.85% of each Fund's average daily net assets. State Street Research and Management Company, J. & W. Seligman & Co Inc. and UBS Global Asset Management (New York) Inc. have been engaged by the Advisor to serve as the initial subadvisors to the MMSCGF. The allocation of the assets of MMSCGF at December 31, 2003 was 31%, 33% and 36%, respectively. EARNEST Partners, LLC and ICM Asset Management have been engaged by the Advisor to serve as the initial subadvisors to the MMSCVF. The allocation of the assets of MMSCVF at December 31, 2003 was 33%, 33% and the remaining 34% has been allocated to the Advisor. Each subadvisor is paid monthly by the Advisor at an annual rate of 0.55% of the average daily net assets of each of the Funds allocated to the subadvisor. These fees are paid by the Advisor and are not expenses of the Funds. The Funds may invest in one or more of the affiliated JPMorgan Money Market Funds. The Advisor has agreed to reimburse its advisory fee from the Funds in an amount sufficient to offset any doubling up of investment advisory, administration and shareholder servicing fees related to each Fund's investment in an affiliated money market fund. B. DISTRIBUTION FEE -- Pursuant to a Distribution Agreement, J.P. Morgan Fund Distributors, Inc. ("JPMFD" or "Distributor"), a wholly-owned subsidiary of The BISYS Group, Inc., serves as the Trust's exclusive underwriter and promotes and arranges for the sale of each Fund's shares. JPMFD receives no compensation in its capacity as the Funds' underwriter. C. SHAREHOLDER SERVICING FEE -- The Trust has entered into Shareholder Servicing Agreements on behalf of the Funds with JPMorgan Chase Bank ("JPMCB") under which JPMCB provides account administration and personal account maintenance services to the shareholders. For these services JPMCB will receive a fee from each Fund that is computed daily and paid monthly at an annual rate of 0.25% of the average daily net assets of each Fund. 39 JPMCB waived fees as outlined in Note 3.F. D. CUSTODIAN AND ACCOUNTING FEES -- JPMCB provides portfolio accounting and custody services for the Funds. Compensation for such services is presented in the Statement of Operations as custodian fees. The custodian fees may be reduced by credits earned by each Fund, based on the uninvested cash balances held by the custodian. Such earning credits are presented separately in the Statement of Operations. E. ADMINISTRATION FEES -- Pursuant to an agreement approved on January 21, 2003, JPMCB (the "Administrator") provides certain administration services to the Funds. In consideration of these services, the Administrator receives a fee computed daily and paid monthly at an annual rate equal to 0.15% of the average daily net assets of each Fund. BISYS Funds Services, L.P. ("BISYS") serves as the Funds' sub-administrator. For its services as sub-administrator, BISYS receives a portion of the fees payable to JPMCB as Administrator. The Administrator has contractually agreed to reimburse the Funds to the extent that total operating expenses (excluding interest, taxes and extraordinary items) do exceed 1.40% of the average daily net assets of MMSCGF and MMSCVF. The expense limitation percentage on the Funds is due to expire on April 30, 2004. The Administrator waived fees as outlined in Note 3.F. F. WAIVERS AND REIMBURSEMENTS -- For the period ended December 31, 2003, the Funds' vendors waived fees for each of the Funds as follows (amounts in thousands):
CONTRACTUAL WAIVERS --------------------------------------- SHAREHOLDER CONTRACTUAL FUND ADMINISTRATION SERVICING TOTAL REIMBURSEMENTS ---------------------------------------------------------------------- MMSCGF $ 15 $ 172 $ 187 $ -- MMSCVF 31 178 209 -- ---------------------------------------------------------------------- Total 46 350 396 --
G. OTHER-- Certain officers of the Trust are officers of J.P. Morgan Chase & Co. or of BISYS or their subsidiaries. During the period, certain of the Funds may have purchased securities from an underwriting syndicate in which the principal underwriter or members of the syndicate were affiliated with the Advisor. The funds may use related party broker/dealers. For the period ended December 31, 2003, MMSCGF and MMSCVF incurred $13 and $3, respectively, as brokerage commissions with broker/dealers affiliated with JPMCB. 40 The SEC has granted an exemptive order permitting each Portfolio to engage in principal transactions with J.P. Morgan Securities Inc., an affiliated broker, involving taxable money market instruments subject to certain conditions. 4. INVESTMENT TRANSACTIONS For the period ended December 31, 2003, purchases and sales of investments (excluding short-term investments) were as follows (amounts in thousands):
PURCHASES SALES (EXCLUDING U.S. (EXCLUDING U.S. FUND GOVERNMENT) GOVERNMENT) ---------------------------------------------------- MMSCGF $ 320,138 $ 170,024 MMSCVF 189,419 40,444
5. FEDERAL INCOME TAX MATTERS For Federal income tax purposes, the cost and unrealized appreciation (depreciation) in value of the investment securities at December 31, 2003, are as follows (amounts in thousands):
GROSS GROSS NET UNREALIZED UNREALIZED UNREALIZED APPRECIATION/ FUND AGGREGATE COST APPRECIATION DEPRECIATION (DEPRECIATION) --------------------------------------------------------------------------------- MMSCGF $ 170,420 $ 36,144 $ (2,326) $ 33,818 MMSCVF 165,748 52,608 (513) 52,095
The tax character of distributions paid during the period ended December 31, 2003 are as follows (amounts in thousands)
YEAR ORDINARY LONG-TERM TOTAL ENDED INCOME CAPITAL GAIN DISTRIBUTIONS -------------------------------------------------------- MMSCGF $ 8,168 $ -- $ 8,168 MMSCVF 4,098 153 4,251
41 At December 31, 2003, the components of net assets (excluding paid in capital) on a tax basis are as follows (amounts in thousands):
MMSCGF MMSCVF -------------------------------------------------------------------------------------- Current distributable ordinary income $ 3,532 $ 2,120 Plus/Less: cumulative timing differences -- -- -------------- -------------- Undistributed ordinary income or (overdistribution of ordinary income) 3,532 2,120 ============== ============== Current distributable long-term capital gain or (tax basis capital loss carryover) $ 2 $ 120 Plus/Less: cumulative timing differences -- -- -------------- -------------- Undistributed long-term gains/ accumulated capital loss 2 120 ============== ============== Unrealized appreciation (depreciation) $ 33,818 $ 52,095 ============== ==============
For the MMSCGF the difference between book basis and tax basis unrealized appreciation/(depreciation) is primarily attributed to wash sales and basis adjustments in REITS. For MMSCVF, the difference between book basis and tax basis unrealized appreciation/(depreciation) is primarily attributed to wash sales, basis adjustment in REITS and mark to market of futures. 6. CONCENTRATIONS AND INDEMNIFICATIONS From time to time, the Funds may have a concentration of several shareholders which may be a related party, holding a significant percentage of shares outstanding. Investment activities of these shareholders could have a material impact on the Funds. In the normal course of business the Funds enter into contracts that contain a variety of representations which provide general indemnifications. Each Fund's maximum exposure under these arrangements is unknown as this would involve future claims that may be made against each Fund that have not yet occurred. However, based on experience, the Funds expect the risk of loss to be remote. Because each Subadvisor makes investment decisions independently, it is possible that the stock selection process of the investment managers may not complement one another. As a result, the Fund's exposure to a given stock, industry or market capitalization could unintentionally be smaller or larger than intended. 7. SUBSEQUENT EVENT On January 14, 2004, J. P. Morgan Chase and Co. and Bank One Corp. announced they have entered into an agreement and plan of merger. The merger is subject to the approval of the shareholders of both institutions as well as U.S. federal and state and foreign regulatory authorities. Completion of the transaction is expected to occur in mid-2004. 42 JPMORGAN FUNDS Financial Highlights
MULTI-MANAGER MULTI-MANAGER SMALL CAP SMALL CAP GROWTH FUND VALUE FUND ------------- ------------- 2/28/03* 2/28/03* THROUGH THROUGH PER SHARE OPERATING PERFORMANCE: 12/31/03 12/31/03 ---------------------------------------------------------------------------------------------------------- Net asset value, beginning of period $ 10.00 $ 10.00 ---------------------------------------------------------------------------------------------------------- Income from investment operations: Net investment income (loss) (0.11)@ (0.02)@ Net gains or losses on securities (both realized and unrealized) 4.86 5.81 ------------- ------------- Total from investment operations 4.75 5.79 ------------- ------------- Less distributions: Distributions from capital gains 0.60 0.32 ------------- ------------- Net asset value, end of period $ 14.15 $ 15.47 ---------------------------------------------------------------------------------------------------------- TOTAL RETURN (b) 47.78% 58.01% ========================================================================================================== RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (millions) $ 201 $ 215 ---------------------------------------------------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS: # Net expenses 1.40% 1.40% ---------------------------------------------------------------------------------------------------------- Net investment income (loss) (1.02%) (0.21%) ---------------------------------------------------------------------------------------------------------- Expenses without waivers and earnings credits 1.56% 1.58% ---------------------------------------------------------------------------------------------------------- Net investment income (loss) without waivers and earnings credits (1.18%) (0.39%) ---------------------------------------------------------------------------------------------------------- PORTFOLIO TURNOVER RATE (b) 138% 34% ----------------------------------------------------------------------------------------------------------
* Commencement of offering of class of shares. @ Calculated based upon average shares outstanding. (b) Not annualized for periods less than one year. # Short periods have been annualized. See notes to financial statements. 43 JPMORGAN FUNDS Report of Independent Auditors To the Trustees of J.P. Morgan Fleming Series Trust and Shareholders of JPMorgan Multi-Manager Small Cap Growth Fund and JPMorgan Multi-Manager Small Cap Value Fund In our opinion, the accompanying statements of assets and liabilities, including the portfolios of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of JPMorgan Multi-Manager Small Cap Growth Fund and JPMorgan Multi-Manager Small Cap Value Fund (two portfolios of J.P. Morgan Fleming Series Trust and hereafter referred to as the "Funds") at December 31, 2003, and the results of each of their operations, the changes in each of their net assets and the financial highlights for the period February 28, 2003 (commencement of operations) through December 31, 2003, 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 audit. We conducted our audit of these financial statements in accordance with auditing standards generally accepted in the United States of America, which 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 audit, which included confirmation of securities at December 31, 2003 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion. PricewaterhouseCoopers LLP New York, New York February 24, 2004 See notes to financial statements. 44 JPMORGAN FUNDS Trustee and Officer Information (unaudited) The following tables contain basic information regarding the Trustees and Officers, respectively that oversee operations of the Trust.
POSITIONS NUMBER OF PORT- OTHER HELD WITH PRINCIPAL FOLIOS IN JP MORGAN DIRECTORSHIPS NAME, CONTACT JP MORGAN TERM OF OFFICE OCCUPATIONS FUND COMPLEX HELD OUTSIDE ADDRESS AND FUND AND LENGTH OF DURING PAST OVERSEEN BY JP MORGAN FUND YEAR OF BIRTH COMPLEX TIME SERVED 5 YEARS TRUSTEE COMPLEX ------------------------------------------------------------------------------------------------------------------------------------ Cheryl Ballenger; Trustee 2 years Mathematics Teacher, 7 None 522 Fifth Avenue, Round Lake High School; New York, NY 10036; formerly Executive Vice 1956 President and Chief Financial Officer, Galileo International, Inc. John R. Rettberg; Trustee 8 years Retired; formerly 7 Director of Enalasys, 522 Fifth Avenue, Corporate Vice President Corp., Pepperdine New York, NY 10036; and Treasurer, Northrop University, and VLPS 1937 Grumman Corporation Lighting Services, Inc. John F. Ruffle; Trustee 8 years Retired; formerly 7 Trustee, the John Hopkins 522 Fifth Avenue, Director and Vice University and Director New York, NY 10036; Chairman, J.P. Morgan of American Shared 1937 Chase & Co. Hospital Services Kenneth Whipple, Jr.; Trustee 8 years Chairman and CEO, CMS 7 Director of CMS Energy 522 Fifth Avenue, Energy; formerly Corporation, Consumers New York, NY 10036; Executive Vice President, Energy Company and AB 1934 Ford Motor Company; Volvo President, Ford Financial Services Group; Chairman & CEO, Ford Motor Credit Company
45
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 ------------------------------------------------------------------------------------------------------------------------------------ George Gatch; President Since 2003 Managing Director, J.P. Morgan Investment Management 522 Fifth Avenue, Inc. (JPMIM); Head of J.P. Morgan Fleming's U.S. Mutual Funds and New York, NY 10036; Financial Intermediaries Business ("FFI"); he has held 1962 numerous positions throughout the firm in business management, marketing and sales. Patricia A. Maleski; Treasurer Since 2003 Vice President, JPMIM.; Head of FFI and U.S. Institutional Funds 522 Fifth Avenue, Administration and Board Liaison. Prior to joining J.P. Morgan New York, NY 10036; Chase in 2001, she was the Vice President of Finance for the 1960 Pierpont Group, Inc., a service provider to the board of trustees of the heritage JPMorgan Funds. Sharon J. Weinberg; Secretary Since 2003 Managing Director, JPMIM; since joining J.P. Morgan Chase in 522 Fifth Avenue, 1996, she has held numerous positions throughout the asset New York, NY 10036; management business in mutual funds marketing, legal and 1959 product development. Stephen M. Ungerman; Vice President and Since 2003 Vice President, JPMIM; Business Head for Vehicle Services Group 522 Fifth Avenue, Assistant Treasurer within Fund Administration; prior to joining J.P. Morgan Chase New York, NY 10036; in 2000, he held a number of senior management positions in 1953 Prudential Insurance Co. of America's asset management business, including Associate General Counsel, Tax Director and Co-head of Fund Administration Department; Mr. Ungerman was also the Assistant Treasurer of all mutual funds managed by Prudential. Judy R. Bartlett; Vice President and Since 2003 Vice President and Assistant General Counsel, JPMIM, since 522 Fifth Avenue, Assistant Secretary September 2000; from August 1998 through August 2000, she was an New York, NY 10036; attorney at New York Life Insurance Company where she served 1965 as Assistant Secretary for the Mainstay Funds. Joseph J. Bertini; Vice President and Since 2003 Vice President and Assistant General Counsel, JPMIM. 522 Fifth Avenue, Assistant Secretary New York, NY 10036; 1965 Wayne H. Chan; Vice President and Since 2003 Vice President and Assistant General Counsel, JPMIM, since 522 Fifth Avenue, Assistant Secretary September 2002; Mr.Chan was an associate at the law firm of New York, NY 10036; Shearman and Sterling LLP from May 2001 through September 1965 2002; Swidler Berlin Shereff Friedman LLP from June 1999 through May 2001 and Whitman Breed Abbott & Morgan LLP from September 1997 through May 1999. Thomas J. Smith Vice President and Since 2003 Managing Director, Head of Compliance for J.P. Morgan Chase & 522 Fifth Avenue, Assistant Secretary Co.'s asset management business in the Americas. New York, NY 10036; 1955 Paul M. DeRusso Assistant Treasurer Since 2003 Vice President, JPMIM; Manger of the Budgeting and Expense Group 522 Fifth Avenue, of Funds Administration Group. New York, NY 10036; 1954
46
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 ------------------------------------------------------------------------------------------------------------------------------------ Lai Ming Fung Assistant Treasurer Since 2003 Associate, JPMIM; Budgeting Analyst for the Budgeting and 522 Fifth Avenue, Expense Group of Funds Administration Group. New York, NY 10036; 1974 Mary D. Squires Assistant Treasurer Since 2003 Vice President, JPMIM; Ms. Squires has held numerous financial 522 Fifth Avenue, and operations positions supporting the J.P. Morgan Chase New York, NY 10036; organization complex. 1955 Michael Ciotola Assistant Treasurer Since 2003 Director of Financial Services of BISYS Fund Services, Inc. 3435 Stelzer Rd. since January 2003; held various positions within BISYS since Columbus, OH 43219 1998. 1968 Arthur A. Jensen Assistant Treasurer Since 2003 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 Insurance 1966 Company. Martin R. Dean Assistant Treasurer Since 2003 Vice President of Regulatory Services of BISYS Fund Services, 3435 Stelzer Rd. Inc. Columbus, OH 43219 1963 Alaina Metz Assistant Secretary Since 2003 Chief Administrative Officer of BISYS Fund Services, Inc.; 3435 Stelzer Rd. formerly, Supervisor of the Blue Sky Department of Alliance Columbus, OH 43219 Capital Management, L.P. 1967 Ryan M. Louvar; Assistant Secretary Since 2003 Counsel of Legal Services, BISYS Fund Services, Inc. since 60 State Street, 2000; formerly Attorney at Hill, Farrer & Burrill LLP from Suite 1300 Boston, 1999 to 2000 and Knapp Peterson Clarke, PC from 1997 to 1999. MA 02109; 1972 Lisa Hurley Assistant Secretary Since 2003 Executive Vice President and General Counsel of BISYS Fund 60 State Street, Services, Inc. Suite 1300 Boston, MA 02109 1955
Additional information concerning the Trustees is contained in the Statement of Additional Information and is available without charge by calling 1-800-348-4782. 47 TAX LETTER (UNAUDITED) JPMORGAN MULTI-MANAGER SMALL CAP GROWTH FUND ("MMSCGF") JPMORGAN MULTI-MANAGER SMALL CAP VALUE FUND ("MMSCVF") Certain tax information for the JPMorgan Funds is required to be provided to shareholders based upon the Funds' income and distributions for the taxable year ended December 31, 2003. The information and distributions reported in this letter may differ from the information and taxable distributions reported to the shareholders for the calendar year ending December 31, 2003. The information necessary to complete your income tax returns for the calendar year ending December 31, 2003 will be received under separate cover. The following represents the percentage of ordinary income distributions eligible for the dividends received deduction and the dollar amount of long-term capital gains distributed by the Funds for the fiscal year ended December 31, 2003.
DIVIDENDS RECEIVED LONG-TERM CAPITAL FUND DEDUCTION GAINS DISTRIBUTION -------------------------------------------------------------------------------- MMSCGF 2.80% $ -- MMSCVF 19.17% 153,064
For the fiscal year ended December 31, 2003, certain dividends paid by the Funds may be subject to a maximum tax rate of 15% as provided for by the Jobs and Growth Tax Relief Reconciliation Act of 2003. The Funds intend to designate the maximum amount allowable as taxed at a maximum rate of 15%. Complete information will be reported in conjunction with your 2003 Form 1099-DIV. For the fiscal year ended December 31, 2003, the following represents the percentage of ordinary income distributions treated as qualified dividends:
QUALIFIED FUND DIVIDENDS -------------------------------------------------------------------------------- MMSCGF 3.33% MMSCVF 20.54%
48 THIS PAGE IS INTENTIONALLY LEFT BLANK 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 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 TAXFREE FUNDS CALIFORNIA BOND FUND INTERMEDIATE TAX FREE INCOME FUND NEW JERSEY TAX FREE INCOME FUND NEW YORK INTERMEDIATE TAX FREE INCOME FUND TAX FREE INCOME FUND MONEY MARKET FUNDS 100% U.S. TREASURY SECURITIES MONEY MARKET FUND CALIFORNIA TAX FREE MONEY MARKET FUND FEDERAL MONEY MARKET FUND LIQUID ASSETS MONEY MARKET FUND NEW YORK TAX FREE MONEY MARKET FUND PRIME MONEY MARKET FUND TAX FREE MONEY MARKET FUND TREASURY PLUS MONEY MARKET FUND U.S. GOVERNMENT MONEY MARKET FUND ANNUAL REPORT 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. TO OBTAIN A PROSPECTUS FOR ANY OF THE JPMORGAN FUNDS, CALL 1-800-348-4782. THE PROSPECTUS CONTAINS MORE COMPLETE INFORMATION, INCLUDING CHARGES AND EXPENSES. PLEASE READ IT CAREFULLY BEFORE YOU INVEST OR SEND MONEY. A LIST OF PORTFOLIO HOLDINGS IS AVAILABLE FIFTEEN DAYS AFTER MONTH-END UPON REQUEST. PLEASE CONTACT YOUR JPMORGAN FLEMING REPRESENTATIVE OR CALL 1-800-766-7722 TO OBTAIN FURTHER INFORMATION. JPMORGAN FUNDS FULFILLMENT CENTER 600 NORTH BEDFORD STREET EAST BRIDGEWATER, MA 02333 (C) J.P. MORGAN CHASE & CO., 2004 ALL RIGHTS RESERVED. FEBRUARY 2004 AN-MULTI-1203 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 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 DIRECTORS HAS DETERMINED THAT THE REGISTRANT HAS AT LEAST ONE AUDIT COMMITTEE FINANCIAL EXPERT SERVING ON ITS AUDIT COMMITTEE. (2) If the registrant provides the disclosure required by paragraph (a)(1)(i) of this Item, it must disclose the name of the audit committee financial expert and whether that person is "independent." In order to be considered "independent" for purposes of this Item, a member of an audit committee may not, other than in his or her capacity as a member of the audit committee, the board of directors, or any other board committee: (i) Accept directly or indirectly any consulting, advisory, or other compensatory fee from the issuer; or (ii) Be an "interested person" of the investment company as defined in Section 2(a)(19) of the Act (15 U.S.C. 80a- 2(a)(19)). THE AUDIT COMMITTEE FINANCIAL EXPERTS ARE CHERYL BALLENGER, JOHN R. RETTBERG, JOHN F. RUFFLE AND KENNETH WHIPPLE, JR. EACH TRUSTEE IS A "NON-INTERESTED" TRUSTEE AND IS ALSO "INDEPENDENT" AS DEFINED BY THE SECURITIES AND EXCHANGE COMMISSION FOR PURPOSES OF AUDIT COMMITTEE FINANCIAL EXPERT DETERMINATIONS. (3) If the registrant provides the disclosure required by paragraph (a)(1)(ii) of this Item, it must explain why it does not have an audit committee financial expert. NOT APPLICABLE. ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES. (a) AUDIT FEES. The aggregate fees billed for each of the last two fiscal years (the "Reporting Periods") for professional services rendered by the Registrant's principal accountant (the "Auditor") for the audit of the Registrant's annual financial statements, or services that are normally provided by the Auditor in connection with the statutory and regulatory filings or engagements for the Reporting Periods, were $14,000 in 2002 and $131,065 in 2003. (b) AUDIT-RELATED FEES. There were no audit-related fees for 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 none in 2002 and $16,200 in 2003. 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 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. John F. Ruffle, a Trustee of the Registrant, has been designated as the primary member of the Audit Committee authorized to provide pre-approval to the Auditor for audit and non-audit services in accordance with the applicable pre-approval policies and procedures. (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 Reporting Periods 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. ITEMS 6. [RESERVED] ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. A closed-end management investment company that is filing an annual report on this Form N-CSR must, unless it invests exclusively in non-voting securities, describe the policies and procedures that it uses to determine how to vote proxies relating to portfolio securities, including the procedures that the company uses when a vote presents a conflict between the interests of its shareholders, on the one hand, and those of the company's investment adviser; principal underwriter; or any affiliated person (as defined in Section 2(a)(3) of the Investment Company Act of 1940 (15 U.S.C. 80a-2(a)(3)) and the rules thereunder) of the company, its investment adviser, or its principal underwriter, on the other. Include any policies and procedures of the company's investment adviser, or any other third party, that the company uses, or that are used on the company's behalf, to determine how to vote proxies relating to portfolio securities. NOT APPLICABLE. ITEM 8. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS. (a) If the registrant is a closed-end management investment company, provide the information specified in paragraph (b) of this Item with respect to any purchase made by or on behalf of the registrant or any "affiliated purchaser," as defined in Rule 10b-18(a)(3) under the Exchange Act (17 CFR 240.10b-18(a)(3)), of shares or other units of any class of the registrant's equity securities that is registered by the registrant pursuant to Section 12 of the Exchange Act (15 U.S.C. 781). NOT APPLICABLE. ITEM 9. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS. Describe any material changes to the procedures by which shareholders may recommend nominees to the registrant's board of directors, where those changes were implemented after the registrant last provided disclosure in response to the requirements of Item 7(d)(2)(ii)(G) of Schedule 14A (17 CFR 240.14a-101), or this Item. NOT APPLICABLE. ITEM 10. CONTROLS AND PROCEDURES. (a) Disclose the conclusions of the registrant's principal executive and principal financial officers, or persons performing similar functions, regarding the effectiveness of the registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Act (17 CFR 270.30a-3(c))) as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Exchange Act (17 CFR 240.13a-15(b) or 240.15d-15(b)). THE REGISTRANT'S PRINCIPAL EXECUTIVE AND PRINCIPAL FINANCIAL OFFICERS HAVE CONCLUDED, BASED ON THEIR EVALUATION OF THE REGISTRANT'S DISCLOSURE CONTROLS AND PROCEDURES AS OF A DATE WITHIN 90 DAYS OF THE FILING DATE OF THIS REPORT, THAT THE REGISTRANT'S DISCLOSURE CONTROLS AND PROCEDURES ARE REASONABLY DESIGNED TO ENSURE THAT INFORMATION REQUIRED TO BE DISCLOSED BY THE REGISTRANT ON FORM N-CSR IS RECORDED, PROCESSED, SUMMARIZED AND REPORTED WITHIN THE REQUIRED TIME PERIODS AND THAT INFORMATION REQUIRED TO BE DISCLOSED BY THE REGISTRANT IN THE REPORTS THAT IT FILES OR SUBMITS ON FORM N-CSR IS ACCUMULATED AND COMMUNICATED TO THE REGISTRANT'S MANAGEMENT, INCLUDING ITS PRINCIPAL EXECUTIVE AND PRINCIPAL FINANCIAL OFFICERS, AS APPROPRIATE TO ALLOW TIMELY DECISIONS REGARDING REQUIRED DISCLOSURE. (b) Disclose any change in the registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the Act (17 CFR 270.30a-3(d)) that occurred during the registrant's last fiscal half-year (the registrant's second fiscal half-year in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting. THERE WERE NO CHANGES IN THE REGISTRANT'S INTERNAL CONTROL OVER FINANCIAL REPORTING THAT OCCURRED DURING THE REGISTRANT'S MOST RECENT FISCAL HALF-YEAR (THE REGISTRANT'S SECOND FISCAL HALF-YEAR IN THE CASE OF AN ANNUAL REPORT) THAT HAVE MATERIALLY AFFECTED, OR ARE REASONABLY LIKELY TO MATERIALLY AFFECT, THE REGISTRANT'S INTERNAL CONTROL OVER FINANCIAL REPORTING. ITEM 11. EXHIBITS. (a) File the exhibits listed below as part of this Form. Letter or number the exhibits in the sequence indicated. (a)(1) Any code of ethics, or amendment thereto, that is the subject of the disclosure required by Item 2, to the extent that the registrant intends to satisfy the Item 2 requirements through filing of an exhibit. NOT APPLICABLE - 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 under the Act (17 CFR 270.30a-2). CERTIFICATIONS PURSUANT TO SECTION 302 OF THE SARBANES-OXLEY ACT OF 2002 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 SECTION 906 OF THE SARBANES-OXLEY ACT OF 2002 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 Fleming Series Trust -------------------------------------------------------------------- By (Signature and Title)* /s/ Patricia A. Maleski ------------------------------------------------------- Patricia A. Maleski, Treasurer Date March 5, 2004 ---------------------------------------------------------------------------- Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated. By (Signature and Title)* /s/ Patricia A. Maleski ------------------------------------------------------- Patricia A. Maleski, Treasurer Date March 5, 2004 ---------------------------------------------------------------------------- By (Signature and Title)* /s/ George C.W. Gatch ------------------------------------------------------- George C.W. Gatch, President Date March 5, 2004 ---------------------------------------------------------------------------- * Print the name and title of each signing officer under his or her signature. ________________________________________________________________________________