-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, Bk+iXDis8mE5H/bMmh4qGXwpFS9PebT7il5TgW/w9IdKkL/OwltqOWHn3NmkMiFx YyQyklWdAUiw7NoGsz3NCQ== 0001047469-04-027863.txt : 20040902 0001047469-04-027863.hdr.sgml : 20040902 20040902140448 ACCESSION NUMBER: 0001047469-04-027863 CONFORMED SUBMISSION TYPE: N-CSRS PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20040630 FILED AS OF DATE: 20040902 DATE AS OF CHANGE: 20040902 EFFECTIVENESS DATE: 20040902 FILER: COMPANY DATA: COMPANY CONFORMED NAME: JP MORGAN FLEMING SERIES TRUST CENTRAL INDEX KEY: 0001212767 IRS NUMBER: 331038059 STATE OF INCORPORATION: MA FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: N-CSRS SEC ACT: 1940 Act SEC FILE NUMBER: 811-21276 FILM NUMBER: 041013344 BUSINESS ADDRESS: STREET 1: C/O J.P. MORGAN FUND DISTRIBUTORS, INC. STREET 2: 522 FIFTH AVE CITY: NEW YORK STATE: NY ZIP: 10036 BUSINESS PHONE: 212-837-1968 MAIL ADDRESS: STREET 1: C/O J.P. MORGAN FUND DISTRIBUTORS, INC. STREET 2: 522 FIFTH AVE CITY: NEW YORK STATE: NY ZIP: 10036 N-CSRS 1 a2142709zn-csrs.txt N-CSRS ------------------------------ OMB APPROVAL ------------------------------ OMB Number: 3235-0570 Expires: November 30, 2005 Estimated average burden hours per response........5.0 ------------------------------ UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM N-CSR CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES Investment Company Act file number 811-21276 ---------------------------------------------- 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, 2004 ------------------ Date of reporting period: December 31, 2003 through June 30, 2004 ----------------------------------------- Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles. A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget ("OMB") control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. Section 3507. ITEM 1. REPORTS TO STOCKHOLDERS. Include a copy of the report transmitted to stockholders pursuant to Rule 30e-1 under the Act (17 CFR 270.30e-1). [GRAPHIC] SEMI-ANNUAL REPORT JUNE 30, 2004 JPMORGAN FUNDS 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 42
HIGHLIGHTS - - Favorable economic data and corporate profitability - - Inflation concerns emerge - - Small and mid 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 AUGUST 2, 2004 DEAR SHAREHOLDER: We are pleased to present this semi-annual report for the JPMorgan Multi-Manager Funds. Inside, you'll find information detailing the performance of the Funds for the six months ended June 30, 2004, along with a report from the Portfolio Manager. EQUITIES EDGE HIGHER DESPITE RATE CONCERNS Favorable economic data and gains in corporate profitability overcame investor concerns about higher interest rates in the first half of 2004, pushing U.S. equity prices gradually higher. In the early months of the year, the positive picture of low inflation, combined with robust economic growth and accelerating corporate earnings, supported equities. But by April, the picture was becoming less rosy. A sudden improvement in job creation, combined with higher-than-expected inflation, provoked a rise in bond yields and caused investor concerns over whether the Federal Reserve would be able to raise rates without choking off recovery. Furthermore, there was a marked increase in the level of violence in Iraq. On June 30, the last day of the half-year, the Federal Reserve confirmed that rates were on a rising trend, lifting them by 25 basis points. Even so, equities finished the half-year higher than they started it, with the optimists drawing confidence from the sharp improvement in job growth and stellar gains in corporate profits. SMALL AND MID CAP OUTPERFORMANCE Once again, equity market returns were far from uniform. Broadly speaking, large capitalization stocks made modest gains, with the broad-based S&P 500 Index up 3.4% for the period. Both mid and small capitalization stocks performed far more robustly. The S&P Small Cap 600 Index rose 10.1% while the S&P Mid Cap 400 Index appreciated 6.1%. This is in line with a historical pattern of superior performance from small caps when the U.S. economy is emerging from periods of sluggish business activity. Additionally, toward the end of the period, higher quality stocks started to lead the market, in contrast to 2003 when they lagged. OUTLOOK A critical test has begun, as the U.S. economy attempts to make the transition from recovery to a sustainable, non-inflationary expansion. It is understandable that equities faltered as long-term interest rates moved higher, and as the Federal Reserve started to tighten. Barring a geopolitical catastrophe, however, we expect that the economy will cool but still grow at a solid pace; that 1 corporate profits will continue to be supported by tight control over business costs; and that investors will, at some point in the not-so-distant future, again come to view equities as good value. IMPORTANT MERGER NEWS As you may know, J.P. Morgan Chase & Co. and Bank One Corp. merged in July 2004, as approved by both firms' shareholders. The combined company is called JPMorgan Chase & Co. The merger is compelling both strategically and financially. The new combined organization has top-tier positions in both wholesale and retail financial services, an extensive client base and greater scale. And, we have an extraordinarily talented team that shares common values and a strong client orientation. As always, all of us at JPMorgan Fleming Asset Management would like to thank you for your investment. Should you have any questions, please feel free to contact the JPMorgan Funds Service Center at 1-800-348-4782. Sincerely, /s/ George C.W. Gatch George C.W. Gatch President JPMorgan Funds 2 JPMORGAN MULTI-MANAGER SMALL CAP GROWTH FUND As of June 30, 2004 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 by 4.0% during the six months ended June 30, 2004. This compares with appreciation of 5.7% in the Russell 2000 Growth Index, the Fund's benchmark. Q: WHY DID THE FUND PERFORM THIS WAY? A: The Fund delivered strong absolute returns in the half-year, outperforming its peer group as represented by the Lipper Small-Cap Growth Index, which rose 3.4%, but trailing its Russell 2000 Growth Index benchmark. From an underlying manager perspective, the underperformance was caused by our holding with UBS Global Asset Management, which trailed the benchmark due to weak stock selection, primarily in the Healthcare, Produce Durable and Technology sectors. The other two managers, State Street Research & Management and J & W Seligman, both outperformed the Index. Taken across the three managers, stock selection in the Energy sector made the greatest relative contribution to performance. Arch Coal benefited from rising coal prices, while W-H Energy, which provides drilling and equipment services, increased its earnings estimates to reflect increased drilling activity resulting from higher oil and natural gas prices. Stock selection was weak in the Consumer Discretionary, Healthcare and Technology sectors. Within Consumer Discretionary, Alliance Gaming fell after warning it would miss earnings estimates due to lower revenue and a delay in deployment of new lottery games. Corinthian Colleges, a post-secondary education service provider, fell on news of a Department of Education finding of non-compliance with federal loan obligations at one of its campuses. In Technology, Foundry Networks, a maker of computer networking products, fell after revealing first quarter earnings and sales below analysts' estimates. ON Semiconductor, a leading analog and mixed signal semiconductor manufacturer, declined in anticipation of stock sales by a venture capital company. In Healthcare, Odyssey Healthcare, a provider of hospice services, declined with concern that it has exceeded its Medicare reimbursement rates and due to margin pressures from rising labor and pharmaceutical costs. Q: HOW WAS THE FUND MANAGED? A: The Fund's holdings remain evenly balanced between the three underlying managers. State Street Research & Management concentrates its portfolios on 40 to 60 high growth stocks. UBS Global Asset Management selects 80 to 100 stocks exhibiting earnings and revenue growth in the top 60% of the small cap universe. J&W Seligman and Co. constructs portfolios of 90 to 125 securities exhibiting at least 15% earnings or revenue growth. The Fund's sector weightings tend to be generally in line with the Index, although there are currently some differences. On aggregate, the managers are overweight the Consumer Staples, Energy and Healthcare sectors. They are underweight the Consumer Discretionary, Technology and Producer Durable sectors. (UNAUDITED) 3 [CHART] PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS Technology 30.0% Consumer Goods & Services 17.7% Health Services & Systems 13.7% Industrial Products & Services 8.4% Pharmaceuticals 8.1% Finance & Insurance 7.2% Energy 6.0% Short-Term Investments 3.5% Telecommunications 2.7% Finance 1.5% REITs 1.2%
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO 1. CORINTHIAN COLLEGE INC. (1.7%) 2. LAUREATE EDUCATION, INC. (1.4%) 3. I SHARES TRUST - RUSSELL 2000 INDEX FUND (1.3%) 4. PEDIATRIX MEDICAL, INC. (1.3%) 5. UNITED SURGICAL PARTNERS INTERNATIONAL, INC. (1.2%) 6. INAMED CORP. (1.1%) 7. NEKTAR THERAPEUTICS (1.1%) 8. CHICO'S FAS, INC. (1.1%) 9. UCBH HOLDINGS, INC. (1.0%) 10. ARCH COAL, INC. (1.0%)
TOP 10 EQUITY HOLDINGS COMPRISED 12.2% ($31,315 IN THOUSANDS) OF THE PORTFOLIO'S MARKET VALUE OF INVESTMENTS. AS OF JUNE 30, 2004, THE FUND HELD 247 EQUITY HOLDINGS. PORTFOLIO HOLDINGS ARE SUBJECT TO CHANGE AT ANY TIME. AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2004
SINCE INCEPTION 1 YEAR (2/28/03) - -------------------------------------------------------------------------------- Multi-Manager Small Cap Growth Fund 25.41% 37.96%
4 [CHART] LIFE OF FUND PERFORMANCE (2/28/03 TO 6/30/04)
JPMORGAN MULTI-MANAGER RUSSELL 2000 LIPPER SMALL-CAP SMALL CAP GROWTH GROWTH INDEX GROWTH 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 $ 1,492,627 11/30/2003 $ 1,495,896 $ 1,561,727 $ 1,532,331 12/31/2003 $ 1,477,796 $ 1,568,754 $ 1,534,476 1/31/2004 $ 1,537,351 $ 1,651,114 $ 1,606,289 2/28/2004 $ 1,549,957 $ 1,648,637 $ 1,600,185 3/31/2004 $ 1,564,527 $ 1,656,386 $ 1,589,144 4/30/2004 $ 1,492,402 $ 1,573,235 $ 1,511,435 5/31/2004 $ 1,502,849 $ 1,604,543 $ 1,543,024 6/30/2004 $ 1,536,333 $ 1,657,974 $ 1,587,000
SOURCE: LIPPER, INC. THE QUOTED PERFORMANCE IS PAST PERFORMANCE AND NOT A GUARANTEE OF FUTURE RESULTS. INVESTMENT RETURNS WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES WHEN REDEEMED MAY BE WORTH MORE OR LESS THAN ORIGINAL COST. PLEASE NOTE, CURRENT PERFORMANCE MAY BE HIGHER OR LOWER THAN THE PERFORMANCE DATA SHOWN. INVESTORS SHOULD CAREFULLY READ THE FUND'S PROSPECTUS WHICH INCLUDES INFORMATION ON THE FUND'S INVESTMENT OBJECTIVES, RISK, AS WELL AS CHARGES AND EXPENSES ALONG WITH OTHER INFORMATION. INVESTORS SHOULD REVIEW THE INFORMATION IN THE PROSPECTUS CAREFULLY BEFORE INVESTING. FOR UP TO DATE MONTH-END PERFORMANCE INFORMATION, OR TO RECEIVE A FUND'S PROSPECTUS PLEASE CALL 800 348-4782. PLEASE READ CAREFULLY BEFORE INVESTING OR SENDING MONEY. 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 June 30, 2004. The performance of the Fund assumes reinvestment of all dividends and capital gains and does not include a sales charge. The performance of the indices does not include a sales charge and has been adjusted to reflect reinvestment of all dividends and capital gains of the securities included in the benchmark. The Russell 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. 5 JPMORGAN MULTI-MANAGER SMALL CAP VALUE FUND As of June 30, 2004 Q: HOW DID THE FUND PERFORM? A: JPMorgan Multi-Manager Small Cap Value Fund, which seeks long-term capital appreciation by investing in equity securities of small capitalization companies, rose by 7.2% during the six months ended June 30, 2004. This compares with appreciation of 7.8% in the Russell 2000 Value Index, the Fund's benchmark. Q: WHY DID THE FUND PERFORM THIS WAY? A: The Fund delivered strong absolute returns in the half-year, trailing its Russell 2000 Value Index benchmark by a small margin. From an underlying manager perspective, the underperformance was caused by our holding with ICM Asset Management, our small to mid cap value manager, trailed the Russell 2000 Value Index due to weak stock selection, primarily in the Consumer Discretionary and Consumer Staples sector. The other two managers, JPMorgan Investment Management and Earnest Partners, respectively outperformed and matched the index. Taken across the three managers, stock selection in the Healthcare, Technology and Producer Durables sectors made the greatest contributions to performance. In Healthcare, Pediatrix Medical Group, a provider of physician management services to hospital-based neonatal intensive care units, appreciated significantly after reporting higher earnings and revenue compared with the same period in the prior year. In Technology, Flir Systems, a maker of thermal imaging and broadcast camera systems, and Paxar Corp., a manufacturer of electronic bar code printers and hand-held labeling devices for retailers, also reported substantially better earnings and revenues. And, in Producer Durables, Stewart & Stevenson, a maker of industrial equipment for oil and gas distributors, was another beneficiary of higher reported earnings. The weakest performances occurred in the Consumer Discretionary and Consumer Staples sectors. In Consumer Discretionary, Teletech Holdings, an operator of customer call centers, declined after announcing a net loss for 2003 partly related to a restructuring designed to improve profitability. In Consumer Staples, American Italian Pasta, the largest maker of dry pasta in North America, declined as the popularity of low-carbohydrate diets reduced sales. Q: HOW WAS THE FUND MANAGED? A: The Fund's holdings remain evenly balanced between the three underlying managers. Earnest Partners is a fundamental, bottom-up manager that selects a concentrated portfolio of stocks. ICM Asset Management is a fundamental manager that builds a portfolio from securities that tend to be out of favor. And JPMorgan Investment Management combines fundamental research with a quantitative approach to build its portfolio. On aggregate, the managers are overweight the Consumer Discretionary, Healthcare and Producer Durables sectors. They are underweight the Financials, Materials and Technology sectors. 6 [CHART] PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS Consumer Goods & Services 22.4% Industrial Products & Services 16.6% Finance & Insurance 13.7% Technology 10.5% Health Services & Systems 8.1% Short-Term Investments 6.1% Energy 5.4% REITs 4.6% Utilities 4.2% Pharmaceuticals 4.1% Finance 2.8% Telecommunications 1.5%
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO 1. iSARES RUSSELL 2000 VALUE INDEX FUND (2.8%) 2. PEDIATRIX MEDICAL GROUP, INC. (1.4%) 3. FLIR SYSTEMS, INC. (1.2%) 4. COOPER COMPANIES, INC. (1.2%) 5. CHESAPEAKE ENERGY CORP. (1.1%) 6. RUSSELL CORP. (1.0%) 7. PHILADELPHIA CONSOLIDATED HOLDING CORP. (1.0%) 8. OFFICE DEPOT, INC. (1.0%) 9. THE SPORTS AUTHORITY, INC. (1.0%) 10. AMERICAN TOWER CORP., CLASS A (1.0%)
TOP 10 EQUITY HOLDINGS COMPRISED 12.7% ($37,003 IN THOUSANDS) OF THE PORTFOLIO'S MARKET VALUE OF INVESTMENTS. AS OF JUNE 30, 2004, THE FUND HELD 653 EQUITY HOLDINGS. PORTFOLIO HOLDINGS ARE SUBJECT TO CHANGE AT ANY TIME. AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2004
SINCE INCEPTION 1 YEAR (2/28/03) - -------------------------------------------------------------------------------- Multi-Manager Small Cap Value Fund 38.70% 48.41%
7 [CHART] LIFE OF FUND PERFORMANCE (2/28/03 TO 6/30/04)
JPMORGAN MULTI-MANAGER RUSSELL 2000 LIPPER SMALL-CAP SMALL CAP VALUE VALUE INDEX VALUE 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 $ 1,197,744 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 $ 1,580,182 $ 1,554,864 $ 1,569,757 1/31/2004 $ 1,625,060 $ 1,608,662 $ 1,616,692 2/28/2004 $ 1,652,686 $ 1,639,870 $ 1,650,158 3/31/2004 $ 1,670,039 $ 1,662,500 $ 1,663,194 4/30/2004 $ 1,608,748 $ 1,576,549 $ 1,602,654 5/31/2004 $ 1,624,032 $ 1,595,625 $ 1,613,552 6/30/2004 $ 1,693,527 $ 1,676,683 $ 1,690,518
SOURCE: LIPPER, INC. THE QUOTED PERFORMANCE IS PAST PERFORMANCE AND NOT A GUARANTEE OF FUTURE RESULTS. INVESTMENT RETURNS WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES WHEN REDEEMED MAY BE WORTH MORE OR LESS THAN ORIGINAL COST. PLEASE NOTE, CURRENT PERFORMANCE MAY BE HIGHER OR LOWER THAN THE PERFORMANCE DATA SHOWN. INVESTORS SHOULD CAREFULLY READ THE FUND'S PROSPECTUS WHICH INCLUDES INFORMATION ON THE FUND'S INVESTMENT OBJECTIVES, RISK, AS WELL AS CHARGES AND EXPENSES ALONG WITH OTHER INFORMATION. INVESTORS SHOULD REVIEW THE INFORMATION IN THE PROSPECTUS CAREFULLY BEFORE INVESTING. FOR UP TO DATE MONTH-END PERFORMANCE INFORMATION, OR TO RECEIVE A FUND'S PROSPECTUS PLEASE CALL 800 348-4782. PLEASE READ CAREFULLY BEFORE INVESTING OR SENDING MONEY. 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 June 30, 2004. The performance of the Fund assumes reinvestment of all dividends and capital gains and does not include a sales charge. The performance of the indices does not include a sales charge and has been adjusted to reflect reinvestment of all dividends and capital gains of the securities included in the benchmark. The Russell 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. 8 JPMORGAN MULTI-MANAGER SMALL CAP GROWTH FUND Portfolio of Investments As of June 30, 2004 (Amounts in thousands)
SHARES ISSUER VALUE - ---------------------------------------------------------------------------------------------------- Long-Term Investments -- 96.5% COMMON STOCKS -- 95.0% Advertising -- 0.2% 10 Lamar Advertising Co. * $ 454 Aerospace -- 0.6% 24 Engineered Support Systems, Inc. 1,410 Airlines -- 0.1% 32 Pinnacle Airlines Corp. * 363 Apparel -- 0.6% 13 Reebok International LTD 486 46 The Warnaco Group, Inc. * 968 --------- 1,454 Automotive -- 0.4% 30 American Axle & Manufacturing Holdings, Inc. 1,084 Banking -- 3.8% 61 Commercial Capital Bancorp, Inc. * 1,051 59 East-West Bancorp, Inc. 1,810 11 Harbor Florida Bancshares, Inc. 300 39 Investors Financial Services Corp. 1,678 0^^ New York Community Bancorp, Inc. 0^^ 35 Southwest Bancorp of Texas, Inc. 1,540 66 UCBH Holdings, Inc. 2,609 15 Wintrust Financial Corp. 766 --------- 9,754 Biotechnology -- 4.1% 154 Abgenix, Inc. * 1,799 12 Affymetrix, Inc. * 399 38 Corgentech, Inc. 619 65 ICOS Corp. * 1,940 56 Incyte Genomics, Inc. * 431 46 Maxygen, Inc. * 490 141 Nektar Therapeutics * 2,812 17 Pharmaceutical Product Development, Inc. * 540 48 Protein Design Labs, Inc. * 911 28 Telik, Inc. * 661 --------- 10,602 Broadcasting/Cable -- 0.1% 11 Salem Communications Corp., Class A * 285 Business Services -- 4.8% 23 Chemed Corp. 1,094 13 ChoicePoint, Inc. * 596 89 Cognizant Technology Solutions Corp. * 2,262 61 DiamondCluster International, Inc., Class A * 532 74 Digital River, Inc. * 2,415 41 Fair Isaac Corp. 1,375 18 Hewitt Associates, Inc., Class A * 483 20 Korn/Ferry International * 391
See notes to financial statements. 9
SHARES ISSUER VALUE - ---------------------------------------------------------------------------------------------------- Long-Term Investments -- Continued Business Services -- Continued 26 Labor Ready, Inc. * $ 395 35 Resources Connection, Inc. * 1,368 21 Robert Half International, Inc. 630 14 The Corporate Executive Board Co. 807 --------- 12,348 Computer Networks -- 1.6% 55 Avocent Corp. * 2,011 108 Brocade Communications Systems, Inc. * 648 15 Factset Research Systems, Inc. 690 47 Foundry Networks, Inc. * 661 --------- 4,010 Computer Software -- 6.9% 6 Blackboard, Inc. * 124 36 CACI International, Inc., Class A * 1,448 35 Cerner Corp. * 1,569 15 Cognos, Inc. (Canada) * 549 26 DSP Group, Inc. * 706 139 Embarcadero Technologies, Inc. * 1,715 152 Epicor Software Corp. * 2,136 35 FileNet Corp. * 1,117 26 Hyperion Solutions Corp. * 1,140 51 Informatica Corp. * 392 28 Jack Henry & Associates, Inc. 569 47 Magma Design Automation, Inc. * 894 97 Quest Software, Inc. * 1,251 65 Retek, Inc. * 402 48 RSA Security, Inc. * 985 47 Secure Computing Corp. * 546 163 SkillSoft PLC, ADR * 1,242 28 THQ, Inc. * 637 35 Verisity LTD * 208 --------- 17,630 Computers/Computer Hardware -- 0.8% 16 Advanced Digital Information Corp. * 158 59 Dot Hill Systems Corp. * 659 34 Radisys Corp. * 626 7 Zebra Technologies Corp., Class A * 642 --------- 2,085 Construction -- 1.3% 45 Dycom Industries, Inc. * 1,260 17 EMCOR Group, Inc. * 726 21 Hovnanian Enterprises, Inc., Class A * 732 2 NVR, Inc. * 726 --------- 3,444 Construction Materials -- 0.5% 35 Trex Co., Inc. * 1,321 Consumer Products -- 0.4% 39 Wolverine World Wide, Inc. 1,026
See notes to financial statements. 10
SHARES ISSUER VALUE - ---------------------------------------------------------------------------------------------------- Long-Term Investments -- Continued Consumer Services -- 4.3% 41 Career Education Corp. * $ 1,872 180 Corinthian Colleges, Inc. * 4,447 18 Corrections Corp of America * 729 10 iPayment Holdings, Inc. * 402 91 Laureate Education, Inc. * 3,472 --------- 10,922 Distribution -- 0.2% 10 Hughes Supply, Inc. 615 Electronics/Electrical Equipment -- 3.0% 31 Ametek, Inc. 962 46 Benchmark Electronics, Inc. * 1,350 31 Fisher Scientific International * 1,802 115 GrafTech International LTD * 1,199 19 Photon Dynamics, Inc. * 663 60 Symbol Technologies, Inc. 891 66 TTM Technologies, Inc. * 776 --------- 7,643 Engineering Services -- 0.3% 26 Chicago Bridge & Iron Co., N.Y. Registered Shares 716 (The Netherlands) Entertainment/Leisure -- 2.3% 29 Alliance Gaming Corp. * 490 47 Boyd Gaming Corp. 1,237 142 Pinnacle Entertainment, Inc. * 1,787 49 Station Casinos, Inc. 2,356 --------- 5,870 Environmental Services -- 0.2% 36 Tetra Tech, Inc. * 594 Financial Services -- 2.7% 32 Affiliated Managers Group, Inc. * 1,595 25 BankUnited Financial Corp., Class A * 640 72 CapitalSource, Inc. * 1,751 13 Eaton Vance Corp. 503 13 Jefferies Group, Inc. 392 67 Nelnet, Inc. * 1,193 20 The First Marblehead Corp. * 817 --------- 6,891 Food/Beverage Products -- 1.4% 26 Constellation Brands, Inc., Class A * 951 35 Cott Corp. (Canada) * 1,125 24 Hain Celestial Group, Inc. * 433 22 Performance Food Group Co. * 594 11 The J.M. Smucker Co. 524 --------- 3,627 Health Care/Health Care Services -- 13.7% 21 Accredo Health, Inc. * 835 22 Advanced Neuromodulation Systems, Inc. * 731
See notes to financial statements. 11
SHARES ISSUER VALUE - ---------------------------------------------------------------------------------------------------- Long-Term Investments -- Continued Health Care/Health Care Services -- Continued 38 AMERIGROUP Corp. * $ 1,879 29 Amsurg Corp. * 717 40 Animas Corp. * 740 17 Arrow International, Inc. 502 44 Arthrocare Corp. * 1,268 49 Community Health Systems, Inc. * 1,309 13 Cooper Companies, Inc. 850 16 Covance, Inc. * 621 74 Cutera, Inc. 1,006 27 Cytyc Corp. * 685 13 Henry Schein, Inc. * 832 47 Inamed Corp. * 2,935 22 Inveresk Research Group, Inc. * 663 4 Kinetic Concepts, Inc. * 220 30 LabOne, Inc. * 950 45 Merit Medical Systems, Inc. * 712 17 Molina Healthcare, Inc. * 641 50 Odyssey Healthcare, Inc. * 941 19 Patterson Dental Co. * 1,484 47 Pediatrix Medical Group, Inc. * 3,265 84 Psychiatric Solutions, Inc. * 2,099 8 ResMed, Inc. * 403 124 Select Medical Corp. 1,659 81 United Surgical Partners International, Inc. * 3,189 45 VCA Antech, Inc. * 1,999 14 VISX, Inc. * 385 8 Wellcare Health Plans, Inc. * 138 25 WellChoice, Inc. * 1,033 --------- 34,691 Hotels/Other Lodging -- 0.2% 9 Mandalay Resort Group 611 Insurance -- 0.7% 43 Bristol West Holdings, Inc. 777 12 Hilb, Rogal & Hamilton Co. 417 14 RLI Corp. 500 --------- 1,694 Internet Services/Software -- 2.5% 86 Agile Software Corp. * 750 22 Ask Jeeves, Inc. * 845 121 Autobytel, Inc. * 1,101 66 DoubleClick, Inc. * 511 150 eCollege.com, Inc. * 2,394 205 Loudeye Corp. 323 20 Monster Worldwide, Inc. * 518 --------- 6,442 Machinery & Engineering Equipment -- 1.2% 40 Cognex Corp. 1,531 26 Graco, Inc. 807 16 York International Corp. 637 --------- 2,975
See notes to financial statements. 12
SHARES ISSUER VALUE - ---------------------------------------------------------------------------------------------------- Long-Term Investments -- Continued Manufacturing -- 1.0% 12 Clarcor, Inc. $ 549 17 ESCO Technologies, Inc. * 881 39 JLG Industries, Inc. 540 21 Lincoln Electric Holdings, Inc. 716 --------- 2,686 Metals/Mining -- 1.0% 68 Arch Coal, Inc. 2,492 Multi-Media -- 1.5% 94 Citadel Broadcasting Corp. * 1,367 21 Cox Radio, Inc., Class A * 368 90 Cumulus Media, Inc., Class A * 1,505 15 Entercom Communications Corp. * 544 --------- 3,784 Office/Business Equipment -- 0.2% 21 Herman Miller, Inc. 595 Oil & Gas -- 5.7% 52 CAL Dive International, Inc. * 1,561 9 Evergreen Resources, Inc. * 382 23 Grant Prideco, Inc. * 428 23 National-Oilwell, Inc. * 711 222 Newpark Resources, Inc. * 1,376 64 Patina Oil & Gas Corp. 1,907 42 Patterson-UTI Energy, Inc. 1,403 36 Quicksilver Resources, Inc. * 2,444 85 Rowan Companies, Inc. * 2,066 46 Tetra Technologies, Inc. * 1,222 50 W-H Energy Services, Inc. * 982 --------- 14,482 Pharmaceuticals -- 4.0% 16 Amylin Pharmaceuticals, Inc. * 372 55 Dyax Corp. * 646 51 First Horizon Pharmaceutical Corp. * 956 45 Isis Pharmaceuticals, Inc. * 259 82 Medicines Co. * 2,486 14 Medicis Pharmaceutical Corp., Class A 545 17 MGI Pharma, Inc. * 462 27 Nabi Biopharmaceuticals * 381 17 Neurocrine Biosciences, Inc. * 861 22 NPS Pharmaceuticals, Inc. * 466 28 Onyx Pharmaceuticals, Inc. * 1,190 36 Penwest Pharmaceuticals Co. * 455 16 Taro Pharmaceutical Industries LTD (Israel) * 705 28 Zymogenetics, Inc. * 533 --------- 10,317 Pipelines -- 0.3% 22 Western Gas Resources, Inc. 726
See notes to financial statements. 13
SHARES ISSUER VALUE - ---------------------------------------------------------------------------------------------------- Long-Term Investments -- Continued Real Estate Investment Trust -- 1.2% 36 American Financial Realty Trust $ 516 13 Government Properties Trust, Inc. 131 34 Highland Hospitality Corp. 346 21 The Mills Corp. 976 47 Ventas, Inc. 1,099 --------- 3,068 Restaurants/Food Services -- 1.5% 9 Applebee's International, Inc. 214 67 CKE Restaurants, Inc. * 897 9 P.F. Chang's China Bistro, Inc. * 358 21 Panera Bread Co., Class A * 761 20 Rare Hospitality International, Inc. * 498 42 Ruby Tuesday, Inc. 1,144 --------- 3,872 Retailing -- 4.5% 17 Advanced Auto Parts, Inc. * 756 53 Aeropostale, Inc. * 1,415 20 AnnTaylor Stores Corp. * 583 9 Cabela's, Inc., Class A * 251 61 Chico's FAS, Inc. * 2,732 28 Electronics Boutique Holdings Corp. * 732 22 Guitar Center, Inc. * 992 18 Hot Topic, Inc. * 367 12 Michaels Stores, Inc. 679 31 Pep Boys-Manny, Moe & Jack 785 38 PETCO Animal Supplies, Inc. * 1,221 6 Tractor Supply Co. * 268 7 Whole Foods Market, Inc. 689 --------- 11,470 Semi-Conductors -- 8.4% 31 Actel Corp. * 574 25 Artisan Components, Inc. * 637 22 ATMI, Inc. * 595 130 August Technology Corp. * 1,634 18 Cree, Inc. * 428 40 Exar Corp. * 592 69 Helix Technology Corp. 1,477 75 Integrated Silicon Solutions, Inc. * 913 44 International Rectifier Corp. * 1,807 31 Intersil Corp., Class A 681 88 Lam Research Corp. * 2,367 34 Micrel, Inc. * 409 77 Microsemi Corp. * 1,093 87 MKS Instruments, Inc. * 1,995 184 ON Semiconductor Corp. * 921 50 Power Integrations, Inc. * 1,239 25 Rudolph Technologies, Inc. * 460 47 Sigmatel, Inc. * 1,360 5 Sirf Technology Holdings, Inc. 67 16 Standard Microsystems Corp. * 382
See notes to financial statements. 14
SHARES ISSUER VALUE - ---------------------------------------------------------------------------------------------------- Long-Term Investments -- Continued Semi-Conductors -- Continued 30 Varian Semiconductor Equipment Associates, Inc. * $ 1,161 33 Zoran Corp. * 612 --------- 21,404 Shipping/Transportation -- 0.6% 31 UTI Worldwide, Inc. (Virgin Islands) 1,619 Steel -- 0.5% 44 Steel Dynamics, Inc. * 1,268 Telecommunications -- 2.7% 163 Aeroflex, Inc. * 2,336 104 Arris Group, Inc. * 619 4 Atheros Communications, Inc. * 39 101 Carrier Access Corp. * 1,198 55 Tekelec * 991 61 Western Wireless Corp., Class A * 1,766 --------- 6,949 Telecommunications Equipment -- 2.0% 37 Anaren, Inc. * 605 53 Andrew Corp. * 1,067 28 C-COR.net Corp. * 289 47 Comverse Technology, Inc. * 928 71 Powerwave Technologies, Inc. * 548 282 Remec, Inc. * 1,780 --------- 5,217 Transportation -- 1.0% 27 JB Hunt Transport Services, Inc. 1,025 16 Landstar System, Inc. * 851 25 Old Dominion Freight Line * 730 --------- 2,606 --------------------------------------------------------------------------------------- Total Common Stocks 243,116 (Cost $209,649) --------------------------------------------------------------------------------------- INVESTMENT COMPANIES -- 1.5% 28 Apollo Investment Corp. * 390 29 I Shares Trust - Russell 2000 Index Fund 3,362 --------------------------------------------------------------------------------------- Total Investment Companies (Cost $3,718) 3,752 - ---------------------------------------------------------------------------------------------------- Total Long-Term Investments 246,868 (Cost $213,367) - ---------------------------------------------------------------------------------------------------- Short-Term Investment -- 3.5% MONEY MARKET FUND -- 3.5% 9,048 JPMorgan Prime Money Market Fund (a) 9,048 (Cost $9,048) - ---------------------------------------------------------------------------------------------------- Total Investments -- 100.0% $ 255,916 (Cost $222,415) - ----------------------------------------------------------------------------------------------------
See notes to financial statements. 15 JPMORGAN MULTI-MANAGER SMALL CAP VALUE FUND Portfolio of Investments As of June 30, 2004 (Amounts in thousands)
SHARES ISSUER VALUE - ---------------------------------------------------------------------------------------------------- Long-Term Investments -- 93.9% COMMON STOCKS -- 91.1% Advertising -- 0.1% 9 aQuantive, Inc. * $ 93 5 Catalina Marketing Corp. * 95 3 R.H. Donnelley Corp. * 144 --------- 332 Aerospace -- 1.3% 5 AAR Corp. * 61 14 Aviall, Inc. * 266 6 Curtiss-Wright Corp. 326 0^^ Ducommun, Inc. * 6 8 Esterline Technologies Corp. * 248 36 Goodrich Corp. 1,151 4 HEICO Corp. 78 11 Kaman Corp., Class A 147 32 Moog, Inc., Class A * 1,179 7 Orbital Sciences Corp. * 93 3 Triumph Group, Inc. * 105 --------- 3,660 Agricultural Production/Services -- 0.0^% 8 Standard Commercial Corp. 135 Airlines -- 0.3% 3 Alaska Air Group, Inc. * 79 15 Continental Airlines, Inc., Class B * 165 17 ExpressJet Holdings, Inc. * 211 14 Northwest Airlines Corp. * 157 15 SkyWest, Inc. 252 --------- 864 Apparel -- 2.0% 8 Kellwood Co. 353 4 Kenneth Cole Productions, Inc., Class A 141 88 Phillips-Van Heusen Corp. 1,684 6 Quiksilver, Inc. * 131 170 Russell Corp. 3,056 18 Tommy Hilfiger Corp. (Hong Kong) * 269 5 Vans, Inc. * 105 --------- 5,739 Appliances & Household Durables -- 0.1% 5 Applica, Inc. * 46 0^^ Furniture Brands International, Inc. 10 25 Jacuzzi Brands, Inc. * 199 --------- 255 Automotive -- 1.2% 8 Aftermarket Technology Corp. * 134 3 American Axle & Manufacturing Holdings, Inc. 120 2 Bandag, Inc. 80 3 Keystone Automotive Industries, Inc. * 78 8 Lithia Motors, Inc., Class A 201 9 Oshkosh Truck Corp. 539 2 Sonic Automotive, Inc. 40
See notes to financial statements. 16
SHARES ISSUER VALUE - ---------------------------------------------------------------------------------------------------- Long-Term Investments -- Continued Automotive -- Continued 3 Superior Industries International, Inc. $ 110 23 Tenneco Automotive, Inc. * 300 19 Tower Automotive, Inc. * 67 36 Visteon Corp. 425 35 Winnebago Industries, Inc. 1,290 --------- 3,384 Banking -- 4.9% 3 ABC Bancorp 55 4 Amcore Financial, Inc. 115 2 AmericanWest Bancorp * 38 24 Astoria Financial Corp. 885 1 Bancfirst Corp. 30 1 Bank of the Ozarks, Inc. 14 21 BankAtlantic Bancorp, Inc., Class A 384 2 Banner Corp. 46 1 Capital Corp of the West 31 3 Capitol Bancorp LTD 86 8 Chemical Financial Corp. 310 1 City Holding Co. 41 3 Columbia Banking Systems, Inc. 77 9 Commerce Bancorp, Inc. 479 1 Commercial Capital Bancorp, Inc. * 15 63 Commercial Federal Corp. 1,696 11 Community Bank System, Inc. 260 3 Community Trust Bancorp, Inc. 92 13 Corus Bankshares, Inc. 526 9 Cullen/Frost Bankers, Inc. 380 7 Dime Community Bancshares 128 0^^ Financial Institutions, Inc. 2 0^^ First Citizens BancShares, Inc., Class A 12 2 First Financial Holdings, Inc. 55 5 First Niagara Financial Group, Inc. 60 1 First Oak Brook Bancshares, Inc. 27 5 First Republic Bank 233 4 FirstFed Financial Corp. * 166 8 Flagstar Bancorp, Inc. 161 29 Gold Banc Corp., Inc. 445 1 Great Southern Bancorp, Inc. 18 10 Greater Bay Bancorp 292 17 Hanmi Financial Corp. 513 5 Hibernia Corp., Class A 122 17 Hudson River Bancorp 283 9 IBERIABANK Corp. 550 10 Independent Bank Corp. - Massachusetts 281 10 Independent Bank Corp. - Michigan 259 3 IndyMac Bancorp, Inc. 92 0^^ International Bancshares Corp. 14 12 Irwin Financial Corp. 309 0^^ Lakeland Financial Corp. 3 7 MAF Bancorp, Inc. 303 0^^ MainSource Financial Group, Inc. 10
See notes to financial statements. 17
SHARES ISSUER VALUE - ---------------------------------------------------------------------------------------------------- Long-Term Investments -- Continued Banking -- Continued 1 MB Financial, Inc. $ 22 4 Mercantile Bank Corp. 145 8 Mid-State Bancshares 190 0^^ Nara Bancorp, Inc. 7 15 NetBank, Inc. 158 0^^ Old Second Bancorp, Inc. 5 7 Oriental Financial Group, Inc. (Puerto Rico) 176 0^^ Peoples Bancorp, Inc. 11 6 Provident Bankshares Corp. 176 14 R&G Financial Corp. (Puerto Rico), Class B 448 26 Republic Bancorp, Inc. - Michigan 357 1 Republic Bancorp, Inc.- Kentucky, Class A 21 0^^ Royal Bancshares of Pennsylvania, Class A 8 0^^ SCBT Financial Corp. 12 4 Second Bancorp, Inc. 125 3 Silicon Valley Bancshares * 131 3 Simmons First National Corp., Class A 89 2 Southside Bancshares, Inc. 52 0^^ Southwest Bancorp, Inc. 4 4 State Financial Services Corp., Class A 119 6 Sterling Financial Corp. - Pennsylvania 148 15 Sterling Financial Corp. - Washington * 479 3 Summit Bancshares, Inc. 99 2 Sun Bancorp, Inc. * 33 4 Taylor Capital Group, Inc. 85 14 The Colonial BancGroup, Inc. 247 6 TierOne Corp. 127 3 TriCo Bancshares 47 4 Umpqua Holdings Corp. 88 8 United Bankshares, Inc. 267 13 W Holding Co., Inc. (Puerto Rico) 222 18 West Coast Bancorp 386 1 Western Sierra Bancorp * 37 1 Wintrust Financial Corp. 35 --------- 14,454 Biotechnology -- 2.7% 5 Abgenix, Inc. * 55 76 Albany Molecular Research, Inc. * 978 0^^ Alexion Pharmaceuticals, Inc. * 6 6 Applera Corp. - Celera Genomics Group * 68 3 Bio-Rad Laboratories, Inc., Class A * 171 80 Cambrex Corp. 2,030 3 Cell Genesys, Inc. * 27 14 Cytogen Corp. * 227 8 Cytokinetics, Inc. * 116 61 Genelabs Technologies * 140 10 Human Genome Sciences, Inc. * 112 81 Pharmaceutical Product Development, Inc. * 2,560 66 Serologicals Corp. * 1,321 7 Telik, Inc. * 159 --------- 7,970
See notes to financial statements. 18
SHARES ISSUER VALUE - ---------------------------------------------------------------------------------------------------- Long-Term Investments -- Continued Broadcasting/Cable -- 0.6% 40 Charter Communications, Inc., Class A * $ 156 12 Mediacom Communications Corp., Class A * 92 0^^ Pulitzer, Inc. 20 132 Sinclair Broadcast Group, Inc., Class A 1,356 --------- 1,624 Business Services -- 2.3% 109 Administaff, Inc. * 1,813 1 Banta Corp. 49 16 Century Business Services, Inc. * 70 0^^ Charles River Associates, Inc. * 12 3 Clark, Inc. * 50 0^^ Consolidated Graphics, Inc. * 18 162 Convergys Corp. * 2,501 4 Cornell Companies, Inc. * 60 9 Dollar Thrifty Automotive Group, Inc. * 255 19 Gartner, Inc., Class A * 251 3 Harris Interactive, Inc. * 17 2 infoUSA, Inc. * 16 34 Kelly Services, Inc., Class A 1,025 1 MAXIMUS, Inc., * 39 7 Metris Companies, Inc. * 58 2 NCO Group, Inc. * 45 4 Parexel International Corp. * 81 4 PDI, Inc. * 106 19 Spherion Corp. * 193 14 TeleTech Holdings, Inc. * 122 7 Tyler Technologies, Inc. * 66 0^^ Volt Information Sciences, Inc. * 13 --------- 6,860 Chemicals -- 2.9% 17 Cabot Corp. 680 31 Crompton Corp. 197 7 Cytec Industries, Inc. 323 27 Engelhard Corp. 871 9 FMC Corp. * 371 13 Georgia Gulf Corp. 466 10 HB Fuller Co. 281 14 Hercules, Inc. * 171 0^^ Kronos Worldwide, Inc. 6 3 Millennium Chemicals, Inc. * 52 4 Minerals Technologies, Inc. 226 7 NewMarket Corp. * 159 13 NL Industries, Inc. 194 9 Octel Corp. (United Kingdom) 248 2 OM Group, Inc. * 63 28 Polyone Corp. * 210 185 RPM International, Inc. 2,816 6 Valhi, Inc. 64 19 Valspar Corp. 972 17 W.R. Grace & Co. * 107
See notes to financial statements. 19
SHARES ISSUER VALUE - ---------------------------------------------------------------------------------------------------- Long-Term Investments -- Continued Chemicals -- Continued 12 Wellman, Inc. $ 100 --------- 8,577 Computer Networks -- 0.1% 5 Anixter International, Inc. 163 3 Black Box Corp. 156 4 SafeNet, Inc. * 115 --------- 434 Computer Software -- 1.1% 8 Aspen Technology, Inc. * 57 2 CACI International, Inc., Class A * 77 13 Ciber, Inc. * 107 32 CompuCom Systems, Inc. * 144 5 Computer Programs & Systems, Inc. 92 5 DSP Group, Inc. * 128 4 E.piphany, Inc. * 20 39 Global Payments, Inc. 1,732 0^^ Hyperion Solutions Corp. * 4 2 Intergraph Corp. * 44 0^^ Magma Design Automation, Inc. * 8 8 ManTech International Corp., Class A * 152 5 Manugistics Group, Inc. * 17 4 NetIQ Corp. * 58 31 Parametric Technology Corp. * 153 10 Per-Se Technologies, Inc. * 141 8 Perot Systems Corp., Class A * 100 5 Progress Software Corp. * 111 9 Secure Computing Corp. * 101 --------- 3,246 Computers/Computer Hardware -- 0.5% 13 Agilysys, Inc. 175 10 Electronics for Imaging, Inc. * 271 22 Gateway, Inc. * 101 8 Hutchinson Technology, Inc. * 197 8 Imagistics International, Inc. * 287 3 Komag, Inc. * 36 9 Maxtor Corp. * 62 4 PalmOne, Inc. * 122 22 Quantum Corp. * 69 4 Radisys Corp. * 71 45 Silicon Graphics, Inc. * 99 7 Sykes Enterprises, Inc. * 50 --------- 1,540 Construction -- 2.2% 1 Beazer Homes USA, Inc. 80 1 Dominion Homes, Inc. * 32 4 Dycom Industries, Inc. * 120 1 EMCOR Group, Inc. * 53 71 Hovnanian Enterprises, Inc., Class A * 2,451 5 Levitt Corp., Class A * 131 23 Meritage Corp. * 1,576
See notes to financial statements. 20
SHARES ISSUER VALUE - ---------------------------------------------------------------------------------------------------- Long-Term Investments -- Continued Construction -- Continued 32 Standard-Pacific Corp. $ 1,592 13 WCI Communities, Inc. * 290 --------- 6,325 Construction Materials -- 0.5% 7 AMCOL International Corp. 140 3 Ameron International Corp. 92 0^^ Eagle Materials, Inc. 21 6 Genlyte Group, Inc. * 359 7 LSI Industries, Inc. 78 1 NCI Building Systems, Inc. * 42 6 Texas Industries, Inc. 226 11 Universal Forest Products, Inc. 362 12 USG Corp. * 204 --------- 1,524 Consumer Products -- 2.6% 4 American Greetings Corp., Class A * 90 62 Chattem, Inc. * 1,799 0^^ CSS Industries, Inc. 5 4 Elizabeth Arden, Inc. * 78 31 Harman International Industries, Inc. 2,821 8 Kimball International, Class B 119 14 Revlon, Inc., Class A * 41 22 The Scotts Co., Class A * 1,412 5 Toro Co. 329 2 Tupperware Corp. 47 17 Universal Corp. 851 --------- 7,592 Consumer Services -- 1.7% 6 Alderwoods Group, Inc. (Canada) * 74 3 Arbitron, Inc. * 121 0^^ MemberWorks, Inc. * 12 27 Regis Corp. 1,202 13 Rent-Way, Inc. * 113 67 Stewart Enterprises, Inc., Class A * 541 7 The GEO Group, Inc. * 151 158 United Rentals, Inc. * 2,829 --------- 5,043 Distribution -- 0.5% 4 Building Material Holding Corp. 81 53 Watsco, Inc. 1,480 1 WESCO International, Inc. * 20 --------- 1,581 Electronics/Electrical Equipment -- 5.1% 4 Analogic Corp. 178 4 Bel Fuse, Inc., Class B 154 7 Benchmark Electronics, Inc. * 217 6 Checkpoint Systems, Inc. * 100 81 Coherent, Inc. * 2,404 11 CTS Corp. 135 6 Encore Wire Corp. * 152
See notes to financial statements. 21
SHARES ISSUER VALUE - ---------------------------------------------------------------------------------------------------- Long-Term Investments -- Continued Electronics/Electrical Equipment -- Continued 64 Flir Systems, Inc. * $ 3,498 8 Integrated Electrical Services, Inc. * 65 3 MTS Systems Corp. 80 106 Paxar Corp. * 2,063 45 PerkinElmer, Inc. 899 9 Rayovac Corp. * 247 52 Sanmina-SCI Corp. * 474 8 Stoneridge, Inc. * 134 132 Symbol Technologies, Inc. 1,939 5 Sypris Solutions, Inc. 86 1 Trimble Navigation LTD * 25 3 TTM Technologies, Inc. * 38 99 Vishay Intertechnology, Inc. * 1,832 6 Watts Water Technologies, Inc., Class A 148 --------- 14,868 Engineering Services -- 0.2% 10 McDermott International, Inc. * 104 8 URS Corp. * 222 9 Washington Group International, Inc. * 315 --------- 641 Entertainment/Leisure -- 1.1% 14 AMC Entertainment, Inc. * 218 5 Ameristar Casinos, Inc. 151 3 Arctic Cat, Inc. 80 4 Argosy Gaming Co. * 143 13 Aztar Corp. * 366 1 Bally Total Fitness Holding Corp. * 4 4 Boyd Gaming Corp. 104 19 Callaway Golf Co. 215 4 Isle of Capri Casinos, Inc. * 63 7 K2, Inc. * 110 6 Navigant International, Inc. * 100 10 Six Flags, Inc. * 70 56 WMS Industries, Inc. * 1,653 --------- 3,277 Environmental Services -- 0.2% 1 BHA Group Holdings, Inc. 23 5 Mine Safety Appliances Co. 152 12 Republic Services, Inc. 355 9 Tetra Tech, Inc. * 144 --------- 674 Financial Services -- 4.3% 44 Accredited Home Lenders Holding Co. * 1,241 8 Advanta Corp., Class B 179 3 American Capital Strategies LTD 81 89 AmeriCredit Corp. * 1,742 96 BankUnited Financial Corp., Class A * 2,482 8 CompuCredit Corp. * 140 36 Eaton Vance Corp. 1,376 1 eSpeed, Inc., Class A * 11
See notes to financial statements. 22
SHARES ISSUER VALUE - ---------------------------------------------------------------------------------------------------- Long-Term Investments -- Continued Financial Services -- Continued 0^^ ITLA Capital Corp. * $ 12 60 Jefferies Group, Inc. 1,846 26 Knight Trading Group, Inc., Class A * 264 5 LaBranche & Co., Inc. 45 4 New Century Financial Corp. 166 8 Ocwen Financial Corp. * 101 71 Raymond James Financial, Inc. 1,874 21 Safeguard Scientifics, Inc. * 49 4 Student Loan Corp. 601 14 World Acceptance Corp. * 260 3 WSFS Financial Corp. 161 --------- 12,631 Food/Beverage Products -- 0.9% 63 American Italian Pasta Co., Class A 1,913 25 Chiquita Brands International, Inc. * 525 1 Corn Products International, Inc. 23 1 Flowers Foods, Inc. 30 0^^ J & J Snack Foods Corp. * 12 3 Ralcorp Holdings, Inc. * 116 0^^ Sensient Technologies Corp. 9 0^^ The J.M. Smucker Co. 15 --------- 2,643 Health Care/Health Care Services -- 8.1% 55 Accredo Health, Inc. * 2,144 279 Beverly Enterprises, Inc. * 2,398 8 CONMED Corp. * 208 55 Cooper Companies, Inc. 3,481 72 Covance, Inc. * 2,766 12 Cross Country Healthcare, Inc. * 219 4 CTI Molecular Imaging, Inc. * 54 9 Gentiva Health Services * 138 109 Health Management Associates, Inc., Class A 2,447 0^^ Invacare Corp. 4 7 Inveresk Research Group, Inc. * 204 14 Kindred Healthcare, Inc. * 374 6 Kyphon, Inc. * 161 8 Lincare Holdings, Inc. * 263 28 Manor Care, Inc. 910 16 Mariner Health Care, Inc. * 441 56 NDCHealth Corp. 1,297 22 Omnicare, Inc. 946 41 Orthovita, Inc. * 211 9 Palatin Technologies, Inc. * 39 57 Pediatrix Medical Group, Inc. * 3,959 4 Province Healthcare Co. * 60 10 PSS World Medical, Inc. * 115 0^^ Sierra Health Services, Inc. * 18 12 Sola International, Inc. * 214 4 Steris Corp. * 92 0^^ SurModics, Inc. * 5
See notes to financial statements. 23
SHARES ISSUER VALUE - ---------------------------------------------------------------------------------------------------- Long-Term Investments -- Continued Health Care/Health Care Services -- Continued 7 US Oncology, Inc. * $ 99 --------- 23,267 Hotels/Other Lodging -- 0.6% 90 Hilton Hotels Corp. 1,681 5 La Quinta Corp. * 40 --------- 1,721 Industrial Components -- 0.2% 26 Lennox International, Inc. 467 Insurance -- 4.4% 14 Allmerica Financial Corp. * 477 53 American Financial Group, Inc. 1,632 10 AmerUs Group Co. 393 9 Argonaut Group, Inc. * 170 0^^ Baldwin & Lyons, Inc., Class B 9 38 Commerce Group, Inc. 1,886 19 Delphi Financial Group, Inc., Class A 846 4 Direct General Corp. 132 1 FBL Financial Group, Inc., Class A 34 8 LandAmerica Financial Group, Inc. 323 0^^ Nationwide Financial Services, Class A 11 2 NYMAGIC, Inc. 45 50 Philadelphia Consolidated Holding Corp. * 2,980 38 PMA Capital Corp., Class A 338 1 ProAssurance Corp. * 20 21 Protective Life Corp. 820 3 RLI Corp. 117 29 SAFECO Corp. 1,285 1 Safety Insurance Group, Inc. 24 7 Selective Insurance Group 271 3 State Auto Financial Corp. 104 13 Stewart Information Services Corp. 449 2 The Midland Co. 65 0^^ The Navigators Group, Inc. * 9 4 The Phoenix Companies, Inc. 53 7 UICI * 162 0^^ United Fire & Casualty Co. 17 5 Universal American Financial Corp. * 57 4 Zenith National Insurance Corp. 204 --------- 12,933 Internet Services/Software -- 0.6% 3 AsiaInfo Holdings, Inc. (China) * 13 23 EarthLink, Inc. * 234 27 Homestore, Inc. * 107 93 Internet Security Systems, Inc. * 1,424 0^^ ProQuest Co. * 11 6 United Online, Inc. * 106 --------- 1,895 Leasing -- 0.1% 9 GATX Corp. 253 8 Interpool, Inc. 128 --------- 381
See notes to financial statements. 24
SHARES ISSUER VALUE - ---------------------------------------------------------------------------------------------------- Long-Term Investments -- Continued Machinery & Engineering Equipment -- 2.0% 100 AGCO Corp. * $ 2,037 22 Applied Industrial Technologies, Inc. 660 11 Cascade Corp. 328 4 Flowserve Corp. * 100 0^^ Kadant, Inc. * 9 5 Milacron, Inc. * 21 1 NACCO Industries, Inc., Class A 95 4 Regal-Beloit Corp. 93 8 Sauer-Danfoss, Inc. 128 97 Stewart & Stevenson Services, Inc. 1,733 3 Tecumseh Products Co., Class A 136 0^^ Thomas Industries, Inc. 13 11 UNOVA, Inc. * 231 5 York International Corp. 197 --------- 5,781 Manufacturing -- 3.1% 1 Actuant Corp., Class A * 23 8 Acuity Brands, Inc. 216 8 Albany International Corp., Class A 252 4 AO Smith Corp. 130 11 Barnes Group, Inc. 319 4 CIRCOR International, Inc. 88 3 ESCO Technologies, Inc. * 176 0^^ Gardner Denver, Inc. * 3 7 Griffon Corp. * 145 38 Harsco Corp. 1,777 25 JLG Industries, Inc. 353 48 Joy Global, Inc. 1,446 9 NN, Inc. 119 1 Penn Engineering & Manufacturing Corp. 15 8 Quanex Corp. 390 27 Terex Corp. * 916 92 Timken Co. 2,449 10 Walter Industries, Inc. 129 --------- 8,946 Metals/Mining -- 0.9% 6 Commercial Metals Co. 178 216 The Shaw Group, Inc. * 2,192 11 Valmont Industries, Inc. 256 --------- 2,626 Multi-Media -- 0.5% 1 4Kids Entertainment, Inc. * 17 9 Insight Communications Co., Inc. * 86 4 Journal Register Co. * 80 14 Lodgenet Entertainment Corp. * 229 33 Scholastic Corp. * 995 9 World Wrestling Entertainment, Inc. 117 --------- 1,524 Office/Business Equipment -- 0.1% 0^^ Global Imaging Systems, Inc. * 4
See notes to financial statements. 25
SHARES ISSUER VALUE - ---------------------------------------------------------------------------------------------------- Long-Term Investments -- Continued Office/Business Equipment -- Continued 7 United Stationers, Inc. * $ 258 --------- 262 Oil & Gas -- 5.4% 4 Black Hills Corp. 123 2 CAL Dive International, Inc. * 45 217 Chesapeake Energy Corp. 3,195 7 Cimarex Energy Co. * 203 8 Comstock Resources, Inc. * 163 19 Denbury Resources, Inc. * 394 8 Energen Corp. 389 5 Hanover Compressor Co. * 54 5 Houston Exploration Co. * 249 41 Kerr-McGee Corp. 2,183 24 Magnum Hunter Resources, Inc. * 252 5 NUI Corp. 69 3 Oceaneering International, Inc. * 113 12 Oil States International, Inc. * 185 62 ONEOK, Inc. 1,355 8 RPC, Inc. 122 22 Southern Union Co. * 471 17 Southwest Gas Corp. 413 31 Southwestern Energy Co. * 897 8 Stone Energy Corp. * 365 130 Superior Energy Services, Inc. * 1,306 52 Swift Energy Co. * 1,149 18 Tesoro Petroleum Corp. * 500 39 Universal Compression Holding, Inc. * 1,181 8 Veritas DGC, Inc. * 190 15 Vintage Petroleum, Inc. 255 0^^ World Fuel Services Corp. 18 --------- 15,839 Packaging -- 1.0% 7 Chesapeake Corp. 197 55 Crown Holdings, Inc. * 548 5 Greif, Inc., Class A 207 59 Pactiv Corp. * 1,467 4 Rock-Tenn Co., Class A 71 10 Silgan Holdings, Inc. 387 --------- 2,877 Paper/Forest Products -- 0.2% 9 Schweitzer-Mauduit International, Inc. 285 13 Wausau-Mosinee Paper Corp. 218 --------- 503 Pharmaceuticals -- 1.4% 7 Adolor Corp. * 94 3 Alpharma, Inc., Class A 68 7 AtheroGenics, Inc. * 135 134 AVANIR Pharmaceuticals, Class A * 224 8 Barr Laboratories, Inc. * 278 4 Cubist Pharmaceuticals, Inc. * 47
See notes to financial statements. 26
SHARES ISSUER VALUE - ---------------------------------------------------------------------------------------------------- Long-Term Investments -- Continued Pharmaceuticals -- Continued 26 Cypress Bioscience, Inc. * $ 353 8 Discovery Laboratories, Inc. * 79 4 KV Pharmaceutical Co., Class A * 102 57 KV Pharmaceutical Co., Class B * 1,450 81 Nabi Biopharmaceuticals * 1,154 4 Rigel Pharmaceuticals, Inc. * 58 3 United Therapeutics Corp. * 69 --------- 4,111 Printing & Publishing -- 0.3% 12 Bowne & Co., Inc. 190 21 John H. Harland Co. 608 --------- 798 Real Estate -- 0.1% 8 Jones Lang LaSalle, Inc. * 220 Real Estate Investment Trust -- 4.5% 3 Alexandria Real Estate Equities, Inc. 193 20 American Financial Realty Trust 283 23 American Home Mortgage Investment Corp. 594 39 Anthracite Capital, Inc. 468 13 Bedford Property Investors, Inc. 371 13 Capital Automotive Real Estate Investment Trust 390 40 CarrAmerica Realty Corp. 1,201 22 Entertainment Properties Trust 798 28 Equity Inns, Inc. 257 4 Gables Residential Trust 122 18 Glenborough Realty Trust, Inc. 334 11 Government Properties Trust, Inc. 118 11 Highwoods Properties, Inc. 263 20 IMPAC Mortgage Holdings, Inc. 457 24 InnKeepers USA Trust 252 8 LaSalle Hotel Properties 195 31 Lexington Corporate Properties Trust 625 13 LTC Properties, Inc. 219 34 Meristar Hospitality Corp. * 229 11 MFA Mortgage Investments, Inc. 98 21 Mid-America Apartment Communities, Inc. 788 19 National Health Investors, Inc. 506 4 NovaStar Financial, Inc. 148 5 Parkway Properties, Inc. 209 13 Pennsylvania Real Estate Investment Trust 445 18 RAIT Investment Trust 434 9 Saul Centers, Inc. 292 19 Senior Housing Properties Trust 324 24 SL Green Realty Corp. 1,124 8 Sun Communities, Inc. 316 4 Tanger Factory Outlet Centers, Inc. 152 5 Taubman Centers, Inc. 124 1 Urstadt Biddle Properties, Inc., Class A 13 35 Ventas, Inc. 811
See notes to financial statements. 27
SHARES ISSUER VALUE - ---------------------------------------------------------------------------------------------------- Long-Term Investments -- Continued Real Estate Investment Trust -- Continued 7 Winston Hotels, Inc. $ 67 --------- 13,220 Restaurants/Food Services -- 1.2% 13 Brinker International, Inc. * 433 41 CEC Entertainment, Inc. * 1,206 9 Jack in the Box, Inc. * 255 16 Landry's Restaurants, Inc. 490 3 Papa John's International, Inc. * 80 1 Ryan's Restaurant Group, Inc. * 8 48 Sonic Corp. * 1,091 --------- 3,563 Retailing -- 7.2% 8 Aaron Rents, Inc. 260 75 Abercrombie & Fitch Co., Class A 2,899 15 Aeropostale, Inc. * 408 15 Asbury Automotive Group, Inc. * 227 160 Big Lots, Inc. * 2,313 0^^ Bob Evans Farms 3 5 Brown Shoe Co., Inc. 192 4 Casey's General Stores, Inc. 77 20 Cash America International, Inc. 451 1 Charlotte Russe Holding, Inc. * 15 43 Charming Shoppes, Inc. * 381 1 Cole National Corp. * 14 96 CSK Auto Corp. * 1,639 10 Dillards, Inc., Class A 230 6 Dress Barn, Inc. * 108 3 GameStop Corp. * 47 4 Genesco, Inc. * 102 3 Goody's Family Clothing, Inc. 30 5 Great Atlantic & Pacific Tea Co., Inc. * 41 11 Hollywood Entertainment Corp. * 152 4 Insight Enterprises, Inc. * 76 5 Jo-Ann Stores, Inc. * 158 0^^ Linens 'N Things, Inc. * 3 102 Men's Wearhouse, Inc. * 2,689 0^^ Movado Group, Inc. 7 38 Movie Gallery, Inc. 739 1 Nash-Finch Co. 35 9 Nu Skin Enterprises, Inc., Class A 228 164 Office Depot, Inc. * 2,932 8 Pathmark Stores, Inc. * 59 11 Payless ShoeSource, Inc. * 164 9 Pep Boys-Manny, Moe & Jack 236 0^^ School Specialty, Inc. * 11 17 ShopKo Stores, Inc. * 233 5 Smart & Final, Inc. * 65 4 Stage Stores, Inc. * 162 9 Systemax, Inc. * 62 2 The Children's Place Retail Stores, Inc. * 42
See notes to financial statements. 28
SHARES ISSUER VALUE - ---------------------------------------------------------------------------------------------------- Long-Term Investments -- Continued Retailing -- Continued 4 The J. Jill Group, Inc. * $ 87 2 The Pantry, Inc. * 35 81 The Sports Authority, Inc. * 2,917 3 United Auto Group, Inc. 80 35 Winn-Dixie Stores, Inc. 249 4 Zale Corp. * 117 --------- 20,975 Semi-Conductors -- 0.4% 0^^ Actel Corp. * 7 15 Axcelis Technologies, Inc. * 190 17 Cirrus Logic, Inc. * 100 2 Cohu, Inc. 30 1 Dupont Photomasks, Inc. * 10 8 ESS Technology, Inc. * 88 3 Exar Corp. * 48 6 Integrated Silicon Solutions, Inc. * 71 12 Lattice Semiconductor Corp. * 85 2 MKS Instruments, Inc. * 50 12 ON Semiconductor Corp. * 62 3 Photronics, Inc. * 63 6 Silicon Storage Technology, Inc. * 62 11 Skyworks Solutions, Inc. * 92 3 Standard Microsystems Corp. * 75 10 Vitesse Semiconductor Corp. * 46 --------- 1,079 Shipping/Transportation -- 0.9% 142 Swift Transportation Co., Inc. * 2,547 3 USF Corp. 116 --------- 2,663 Steel -- 0.4% 3 Carpenter Technology Corp. 112 11 Reliance Steel & Aluminum Co. 456 10 Ryerson Tull, Inc. 160 1 Schnitzer Steel Industries, Inc., Class A 31 16 Steel Dynamics, Inc. * 461 --------- 1,220 Telecommunications -- 1.5% 191 American Tower Corp., Class A * 2,908 5 Arris Group, Inc. * 31 47 Cincinnati Bell, Inc. * 210 0^^ Commonwealth Telephone Enterprises, Inc. * 18 15 CT Communications, Inc. 232 8 General Communication, Inc., Class A * 64 3 Hypercom Corp. * 28 14 MasTec, Inc. * 75 23 MRV Communications, Inc. * 62 3 North Pittsburgh Systems, Inc. 66 45 PTEK Holdings, Inc. * 518 8 Talk America Holdings, Inc. * 61 13 Time Warner Telecom, Inc., Class A * 53 --------- 4,326
See notes to financial statements. 29
SHARES ISSUER VALUE - ---------------------------------------------------------------------------------------------------- Long-Term Investments -- Continued Telecommunications Equipment -- 0.4% 45 Andrew Corp. * $ 899 4 C-COR.net Corp. * 44 50 Corvis Corp. * 70 5 Ditech Communications Corp. * 117 4 Remec, Inc. * 24 11 Sycamore Networks, Inc. * 47 11 Terayon Communications Systems, Inc. * 25 --------- 1,226 Textiles -- 0.2% 14 Angelica Corp. 349 5 UniFirst Corp. 140 --------- 489 Tire & Rubber -- 0.2% 22 Cooper Tire & Rubber Co. 513 Tools/Equipment -- 0.4% 39 Snap-On, Inc. 1,302 Toys & Games -- 0.1% 3 JAKKS Pacific, Inc. * 58 5 RC2 Corp. * 192 5 Steinway Musical Instruments, Inc. * 158 --------- 408 Transportation -- 0.6% 5 Covenant Transport, Inc., Class A * 82 12 Genesee & Wyoming, Inc., Class A * 294 5 Offshore Logistics, Inc. * 132 6 Overseas Shipholding Group, Inc. 269 15 RailAmerica, Inc. * 213 10 SCS Transportation, Inc. * 267 3 The Greenbrier Companies, Inc. * 55 4 US Xpress Enterprises, Inc. * 57 13 Werner Enterprises, Inc. 265 --------- 1,634 Utilities -- 4.2% 5 Allegheny Energy, Inc. * 80 0^^ American States Water Co. 9 4 Atmos Energy Corp. 102 10 Avista Corp. 179 0^^ California Water Service Group 11 5 CH Energy Group, Inc. 223 8 Cleco Corp. 137 46 CMS Energy Corp. * 420 18 El Paso Electric Co. * 272 55 Idacorp, Inc. 1,474 19 New Jersey Resources Corp. 782 6 Northwest Natural Gas Co. 192 86 PNM Resources, Inc. 1,781 131 Puget Energy, Inc. 2,872 56 Sierra Pacific Resources * 435
See notes to financial statements. 30
SHARES ISSUER VALUE - ---------------------------------------------------------------------------------------------------- Long-Term Investments -- Continued Utilities -- Continued 9 South Jersey Industries, Inc. $ 378 3 UIL Holdings Corp. 161 22 UniSource Energy Corp. 539 62 Vectren Corp. 1,552 17 WPS Resources Corp. 804 --------- 12,403 Waste Management -- 0.5% 104 Allied Waste Industries, Inc. * 1,375 --------------------------------------------------------------------------------------- Total Common Stocks 266,420 (Cost $209,495) --------------------------------------------------------------------------------------- INVESTMENT COMPANIES -- 2.8% 47 iShares Russell 2000 Value Index Fund 8,077 16 Technology Investment Capital Corp. 215 --------------------------------------------------------------------------------------- Total Investment Companies 8,292 (Cost $7,580) - ---------------------------------------------------------------------------------------------------- Total Long-Term Investments 274,712 (Cost $217,075) - ---------------------------------------------------------------------------------------------------- Short-Term Investments -- 6.1% - ---------------------------------------------------------------------------------------------------- PRINCIPAL AMOUNT U.S. TREASURY SECURITY -- 0.1% $ 405 U.S. Treasury Notes & Bonds, 2.125%, 10/31/04 @ 406 (Cost $406) SHARES MONEY MARKET FUND -- 6.0% 17,448 JPMorgan Prime Money Market Fund (a) 17,448 (Cost $17,448) - ---------------------------------------------------------------------------------------------------- Total Short-Term Investments 17,854 (Cost $17,854) - ---------------------------------------------------------------------------------------------------- Total Investments -- 100.0% $ 292,566 (Cost $234,929) - ----------------------------------------------------------------------------------------------------
Future Contracts (Amounts in thousands, except number of contracts)
NOTIONAL UNREALIZED NUMBER VALUE AT APPRECIATION OF EXPIRATION 6/30/04 (DEPRECIATION) CONTRACTS DESCRIPTION DATE (USD) (USD) - ---------------------------------------------------------------------------------------------------- LONG FUTURES OUTSTANDING 15 Russell 2000 September, 2004 $ 4,443 $ 178
See notes to financial statements. 31 JPMORGAN FUNDS Portfolio of Investments Abbreviations: * -- Non-income producing security. ^ -- Amount rounds to less than 0.1%. ^^ -- Amount rounds to less than one thousand. @ -- Security is fully or partially segregated with the custodian as collateral for futures or with brokers as initial margin for futures contracts. (a) -- Affiliated. Money market fund registered under the Investment Company Act of 1940, as amended, and advised by 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 June 30, 2004 (Amounts in thousands, except per share amounts)
MULTI-MANAGER MULTI-MANAGER SMALL CAP SMALL CAP GROWTH FUND VALUE FUND - -------------------------------------------------------------------------------------------- ASSETS: Investments in non-affiliates, at value $ 246,868 $ 275,118 Investments in affiliates, at value 9,048 17,448 - -------------------------------------------------------------------------------------------- Total investment securities, at value 255,916 292,566 - -------------------------------------------------------------------------------------------- Cash -- 1 Receivables: Investment securities sold 1,416 538 Fund shares sold 217 181 Interest and dividends 36 221 Variation margin -- 32 - -------------------------------------------------------------------------------------------- Total Assets 257,585 293,539 - -------------------------------------------------------------------------------------------- LIABILITIES: Payables: Investment securities purchased 3,564 5,483 Fund shares redeemed 304 330 Accrued liabilities: Investment advisory fees 170 192 Administration fees 21 30 Shareholder servicing fees 50 56 Custodian fees 51 62 Trustees' fees 1 2 Other 18 18 - -------------------------------------------------------------------------------------------- Total Liabilities 4,179 6,173 - -------------------------------------------------------------------------------------------- NET ASSETS: Paid in capital 208,007 215,687 Accumulated net investment income (loss) (1,242) (366) Accumulated net realized gain (loss) on investments and futures 13,140 14,230 Net unrealized appreciation (depreciation) of investments and futures 33,501 57,815 - -------------------------------------------------------------------------------------------- Total Net Assets $ 253,406 $ 287,366 - -------------------------------------------------------------------------------------------- Shares of beneficial interest outstanding ($0.001 par value; unlimited number of shares authorized): 17,229 17,331 Net Asset Value, redemption and offering price per share $ 14.71 $ 16.58 - -------------------------------------------------------------------------------------------- Cost of investments $ 222,415 $ 234,929 ============================================================================================
See notes to financial statements. 33 Statement of Operations For the six months ended June 30, 2004 (Amounts in thousands)
MULTI-MANAGER MULTI-MANAGER SMALL CAP SMALL CAP GROWTH FUND VALUE FUND - -------------------------------------------------------------------------------------------- INVESTMENT INCOME: Interest $ -- $ 1 Dividend 330 1,279 Dividend income from affiliated investments* 41 65 - ---------------------------------------------------------------------------------------------- Total investment income 371 1,345 - ---------------------------------------------------------------------------------------------- EXPENSES: Investment advisory fees 986 1,064 Administration fees 174 188 Shareholder servicing fees 290 313 Custodian fees 71 66 Registration fees 17 17 Printing and postage 9 9 Professional fees 45 46 Transfer agent fees 34 29 Trustees' fees 15 16 Other 23 26 - ---------------------------------------------------------------------------------------------- Total expenses 1,664 1,774 - ---------------------------------------------------------------------------------------------- Less amounts waived 40 21 - ---------------------------------------------------------------------------------------------- Net expenses 1,624 1,753 - ---------------------------------------------------------------------------------------------- Net investment income (loss) (1,253) (408) - ---------------------------------------------------------------------------------------------- REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS: Net realized gain (loss) on transactions from: Investments 10,418 12,045 Futures -- 85 Change in net unrealized appreciation (depreciation) of: Investments (1,118) 5,523 Futures -- 99 - ---------------------------------------------------------------------------------------------- Net realized and unrealized gain (loss) on investments and futures 9,300 17,752 - ---------------------------------------------------------------------------------------------- Net increase (decrease) in net assets from operations $ 8,047 $ 17,344 - ---------------------------------------------------------------------------------------------- * Includes reimbursements of investment advisory, administration and shareholder servicing fees: $ 7 $ 11 ==============================================================================================
See notes to financial statements. 34 Statement of Changes in Net Assets For the periods indicated (Amounts in thousands)
MULTI-MANAGER MULTI-MANAGER SMALL CAP SMALL CAP GROWTH FUND VALUE FUND --------------------------------------------------- 1/1/04 2/28/03* 1/1/04 2/28/03* THROUGH THROUGH THROUGH THROUGH 6/30/04 12/31/03 6/30/04 12/31/03 - ------------------------------------------------------------------------------------------------------------------------------ INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: Net investment income (loss) $ (1,253) $ (1,122) $ (408) $ (225) Net realized gain (loss) on investments and futures 10,418 12,023 12,130 6,618 Change in net unrealized appreciation/depreciation of investments and futures (1,118) 34,619 5,622 52,193 - ------------------------------------------------------------------------------------------------------------------------------ Increase (decrease) in net assets from operations 8,047 45,520 17,344 58,586 - ------------------------------------------------------------------------------------------------------------------------------ DISTRIBUTIONS TO SHAREHOLDERS FROM: Net realized gain on investment transactions -- (8,168) -- (4,251) - ------------------------------------------------------------------------------------------------------------------------------ Total distributions to shareholders -- (8,168) -- (4,251) - ------------------------------------------------------------------------------------------------------------------------------ INCREASE (DECREASE) FROM CAPITAL SHARE TRANSACTIONS: Proceeds from shares issued 82,841 184,870 91,782 181,483 Dividends reinvested -- 3,507 -- 1,857 Cost of shares redeemed (38,132) (25,079) (37,179) (22,328) - ------------------------------------------------------------------------------------------------------------------------------ Increase (decrease) from capital share transactions 44,709 163,298 54,603 161,012 - ------------------------------------------------------------------------------------------------------------------------------ Voluntary Contribution from Advisor -- -- -- 72 - ------------------------------------------------------------------------------------------------------------------------------ Total increase (decrease) in net assets 52,756 200,650 71,947 215,419 - ------------------------------------------------------------------------------------------------------------------------------ NET ASSETS: Beginning of period 200,650 -- 215,419 -- - ------------------------------------------------------------------------------------------------------------------------------ End of period $ 253,406 $ 200,650 $ 287,366 $ 215,419 - ------------------------------------------------------------------------------------------------------------------------------ Accumulated undistributed (overdistributed) net investment income (loss) $ (1,242) $ 11 $ (366) $ 42 - ------------------------------------------------------------------------------------------------------------------------------ SHARE TRANSACTIONS: Issued 5,659 15,810 5,737 15,432 Reinvested -- 258 -- 124 Redeemed (2,613) (1,885) (2,327) (1,635) - ------------------------------------------------------------------------------------------------------------------------------ Change in shares 3,046 14,183 3,410 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, as amended, (the "1940 Act"), 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 Systems equity securities quoted by the Nasdaq Stock Market, Inc. shall generally be the Nasdaq Official Closing Price. Securities for which sale prices are not available and other over-the-counter securities are valued at the mean between the bid and asked quotations. Fixed income securities, other than convertible bonds, with a maturity of 61 days or more held by the Funds will be valued each day based on readily available market quotations received from independent or affiliated commercial pricing services. Such pricing services will generally provide bidside quotations. Convertible bonds are valued at the last sale price on the primary exchange on which the bond is principally traded. All short-term securities with a remaining maturity of sixty days or less are valued using the amortized cost method, which approximates market value. When valuations are not readily available, securities are valued at fair value as determined in accordance with procedures adopted by the Trustees. It is possible that the estimated values may differ significantly from the values that would have been used had a ready market for the investments existed, and such differences could have been material. Trading in securities on most foreign exchanges and over-the counter markets is normally completed before the close of the domestic market and may also take place on days when the domestic market is closed. In accordance with procedures adopted by the Trustees, each of the Funds applies fair value pricing on a daily basis for all 36 non-U.S. and non-Canadian equity securities held in its portfolio by utilizing the quotations of an independent pricing service, unless the Fund's advisor, J.P. Morgan Investment Management Inc. ("JPMIM" or the "Advisor"), determines that use of another valuation methodology is appropriate. The pricing service uses statistical analyses and quantitative models to adjust local market prices using factors such as subsequent movements and changes in the prices of indices, securities, and exchange rates in other markets, in determining fair value as of the time a Fund calculates its net asset value. B. FUTURES CONTRACTS -- When a Fund enters into a futures contract, it makes an initial margin deposit in a segregated account, either in cash or liquid securities. Thereafter, the futures contract is marked to market and the Fund makes (or receives) additional cash payments daily to (or from) the broker. Changes in the value of the contract are recorded as unrealized appreciation (depreciation) until the contract is closed or settled, at which time a realized gain or loss is recognized. Index futures contracts are used to control the asset mix of the portfolios in the most efficient manner. 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 June 30, 2004, MMSCVF had outstanding future contracts as listed on the Fund's Portfolio of Investments. C. RESTRICTED AND ILLIQUID SECURITIES -- The Funds may invest in securities that are subject to legal or contractual restrictions on resale or are illiquid. Restricted securities generally may be resold in transactions exempt from registration. A security may be considered illiquid if it lacks a readily available market or if its valuation has not changed for a certain period of time. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at the current valuation may be difficult. 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 Funds first learn of the dividend. 37 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 Funds' 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. H. OTHER EXPENSES -- Other expenses in the Statement of Operations include fees related to line of credit, insurance, pricing and reporting services. 3. FEES AND OTHER TRANSACTIONS WITH AFFILIATES A. INVESTMENT ADVISORY FEE -- Pursuant to the Investment Advisory Agreement, J.P. Morgan Investment Management, Inc. ("JPMIM" or the "Advisor"), acts as the investment advisor to the Funds. 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 subadvisors to the MMSCGF. The allocation of the assets of MMSCGF was 34%, 33% and 33%, respectively. EARNEST Partners, LLC and ICM Asset Management have been engaged by the Advisor to serve as the subadvisors to the MMSCVF. The allocation of the assets of MMSCVF was 34%, 33% and the remaining 33% was 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. 38 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. JPMCB waived fees as outlined in Note 3.F. D. CUSTODIAN AND ACCOUNTING FEES -- JPMCB provides portfolio custody and accounting services for the Funds. Compensation for such services is presented in the Statement of Operations as custodian fees. The custodian fees may be reduced by credits earned by each Fund, based on the uninvested cash balances held by the custodian. Such earning credits are presented separately in the Statement of Operations. E. ADMINISTRATION FEES -- Pursuant to the Administration Agreement, JPMCB (the "Administrator") provides certain administration services to the Funds. In consideration of these services, the Administrator receives a fee computed daily and paid monthly at an annual rate equal to 0.15% of the 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) exceed 1.40% of the average daily net assets of MMSCGF and MMSCVF. The contractual expense limitation agreements were in effect for the six months ended June 30, 2004. The expense limitation percentages on the Funds are due to expire on April 30, 2005. The Administrator waived fees as outlined in Note 3.F. 39 F. WAIVERS AND REIMBURSEMENTS -- For the six months ended June 30, 2004, the Funds' vendors waived fees for each of the Funds as follows (amounts in thousands). Neither the Funds' service providers nor the Administrator expect the Funds to repay any such expenses in future years.
CONTRACTUAL WAIVERS ------------------------------------------ SHAREHOLDER CONTRACTUAL FUND ADMINISTRATION SERVICING TOTAL REIMBURSEMENTS - ----------------------------------------------------------------------------------- MMSCGF $ 13 $ 27 $ 40 $ -- MMSCVF 3 18 21 -- - ----------------------------------------------------------------------------------- Total 16 45 61 --
G. OTHER -- Certain officers of the Trust are officers of J.P. Morgan Chase & Co. or of BISYS or their subsidiaries. During the period, the Funds may have purchased securities from an underwriting syndicate in which the principal underwriter or members of the syndicate were affiliated with the Advisors. The funds may use related party broker/dealers. For the six months ended June 30, 2004, MMSCGF and MMSCVF incurred $7 and $1, respectively, as brokerage commissions with broker/dealers affiliated with JPMCB. The SEC has granted an exemptive order permitting each Fund to engage in principal transactions with J.P. Morgan Securities Inc., an affiliated broker, involving taxable money market instruments subject to certain conditions. 4. INVESTMENT TRANSACTIONS For the six months ended June 30, 2004, 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 $ 174,066 $ 133,373 MMSCVF 98,395 48,429
5. FEDERAL INCOME TAX MATTERS For Federal income tax purposes, the cost and unrealized appreciation (depreciation) in value of the investment securities at June 30, 2004, are as follows (amounts in thousands):
GROSS GROSS NET UNREALIZED UNREALIZED UNREALIZED APPRECIATION FUND AGGREGATE COST APPRECIATION DEPRECIATION (DEPRECIATION) - ----------------------------------------------------------------------------------- MMSCGF $ 222,415 $ 41,448 $ (7,947) $ 33,501 MMSCVF 234,929 60,280 (2,643) 57,637
40 6. BANK BORROWINGS Effective April 15, 2004, pursuant to a Line of Credit Agreement, the Funds may borrow money for temporary or emergency purposes. The Funds have entered into the agreement, enabling it to participate with other JPMorgan Funds in a line of credit with JPMCB, as administrative agent, and with a syndicate of banks, which permits borrowings up to $250 million, collectively. Interest is charged to the Funds based on their borrowings at an annual rate equal to the sum of Federal Funds Rate plus 0.50%. The Funds also pay a commitment fee of 0.09% per annum on the average daily amount of the available commitment, which is allocated on a pro-rata basis to the Funds. The commitment fee is included in Other expenses on the Statement of Operations. This agreement will expire on April 14, 2005. The Funds had no borrowings outstanding at June 30, 2004, nor at anytime during the period then ended. 7. 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 larger than intended. 8. CORPORATE EVENT On May 25, 2004, J.P. Morgan Chase & Co. and Bank One Corp. announced that, at separate meetings, their respective shareholders had approved the merger of the two companies. The companies completed the merger of their holding companies on July 1, 2004. Effective July 20, 2004, the name of the holding company changed to JPMorgan Chase & Co. 41 JPMORGAN FUNDS Financial Highlights
MULTI-MANAGER MULTI-MANAGER SMALL CAP SMALL CAP GROWTH FUND VALUE FUND ---------------------- ---------------------- 1/1/04 2/28/03* 1/1/04 2/28/03* THROUGH THROUGH THROUGH THROUGH PER SHARE OPERATING PERFORMANCE: 6/30/04 12/31/03 6/30/04 12/31/03 - ------------------------------------------------------------------------------------------------------------------------------ Net asset value, beginning of period $ 14.15 $ 10.00 $ 15.47 $ 10.00 - ------------------------------------------------------------------------------------------------------------------------------ Income from investment operations: Net investment income (loss) (0.07)@ (0.11)@ (0.02)@ (0.02)@ Net gains or losses on securities (both realized and unrealized) 0.63 4.86 1.13 5.81 ---------- ---------- ---------- ---------- Total from investment operations 0.56 4.75 1.11 5.79 ---------- ---------- ---------- ---------- Less distributions: Distributions from capital gains -- 0.60 -- 0.32 ---------- ---------- ---------- ---------- Total distributions -- 0.60 -- 0.32 ---------- ---------- ---------- ---------- Net asset value, end of period $ 14.71 $ 14.15 $ 16.58 $ 15.47 - ------------------------------------------------------------------------------------------------------------------------------ TOTAL RETURN (b) 3.96% 47.78% 7.18% 58.01% ============================================================================================================================== RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (millions) $ 253 $ 201 $ 287 $ 215 - ------------------------------------------------------------------------------------------------------------------------------ RATIOS TO AVERAGE NET ASSETS: # Net expenses 1.40% 1.40% 1.40% 1.40% - ------------------------------------------------------------------------------------------------------------------------------ Net investment income (loss) (1.08%) (1.02%) (0.33%) (0.21%) - ------------------------------------------------------------------------------------------------------------------------------ Expenses without waivers and earnings credits 1.43% 1.56% 1.42% 1.58% - ------------------------------------------------------------------------------------------------------------------------------ Net investment income (loss) without waivers and earnings credit (1.11%) (1.18%) (0.35%) (0.39%) - ------------------------------------------------------------------------------------------------------------------------------ PORTFOLIO TURNOVER RATE (b) 56% 138% 20% 34% - ------------------------------------------------------------------------------------------------------------------------------
* Commencement of operations. @ 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. 42 JPMORGAN FUNDS Report of Independent Registered Public Accounting Firm 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 June 30, 2004, the results of each of their operations for the six months then ended and the changes in each of their net assets and the financial highlights for each of the periods presented, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Funds' management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States), 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 audits, which included confirmation of securities at June 30, 2004 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion. PricewaterhouseCoopers LLP New York, New York August 16, 2004 43 THIS PAGE IS INTENTIONALLY LEFT BLANK THIS PAGE IS INTENTIONALLY LEFT BLANK THIS PAGE IS INTENTIONALLY LEFT BLANK THIS PAGE IS INTENTIONALLY LEFT BLANK 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 Intrepid European Fund Fleming International Equity Fund Fleming International Growth Fund Fleming International Opportunities Fund Fleming International Value Fund Fleming Japan Fund SPECIALTY FUNDS Global 50 Fund Global Healthcare Fund Market Neutral Fund TAX AWARE FUNDS Fleming Tax Aware International Opportunities Fund Tax Aware Disciplined Equity Fund Tax Aware Enhanced Income Fund Tax Aware Large Cap Growth Fund Tax Aware Large Cap Value Fund Tax Aware Short-Intermediate Income Fund Tax Aware U.S. Equity Fund INCOME FUNDS Bond Fund Bond Fund II Enhanced Income Fund Fleming Emerging Markets Debt Fund Global Strategic Income Fund Short Term Bond Fund Short Term Bond Fund II Strategic Income Fund U.S. Treasury Income Fund TAX FREE FUNDS California Bond Fund Intermediate Tax Free Income Fund New Jersey Tax Free Income Fund New York Intermediate Tax Free Income Fund Tax Free Income Fund MONEY MARKET FUNDS 100% U.S. Treasury Securities Money Market Fund California Tax Free Money Market Fund Federal Money Market Fund Liquid Assets Money Market Fund New York Tax Free Money Market Fund Prime Money Market Fund Tax Free Money Market Fund Treasury Plus Money Market Fund U.S. Government Money Market Fund UNDISCOVERED MANAGERS FUNDS Behavioral Growth Fund Behavioral Value Fund REIT Fund Small Cap Growth Fund Funds may be registered under separate registrants. SEMI-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. INVESTORS SHOULD CAREFULLY READ THE FUNDS' PROSPECTUS WHICH INCLUDES INFORMATION ON THE FUNDS' INVESTMENT OBJECTIVES, RISK, AS WELL AS CHARGES AND EXPENSES ALONG WITH OTHER INFORMATION. INVESTORS SHOULD REVIEW THE INFORMATION IN THE PROSPECTUS CAREFULLY BEFORE INVESTING. FOR UP TO DATE MONTH-END PERFORMANCE INFORMATION, OR TO RECEIVE A FUND'S PROSPECTUS PLEASE CALL 800 348-4782. PLEASE READ CAREFULLY BEFORE INVESTING OR SENDING MONEY. A list of portfolio holdings is available thirty days after month end upon request. Please contact your JPMorgan Fleming representative or call 1-800-348-4782 to obtain further information. A copy of proxy policies and procedures are available without charge upon request by calling 1-800-348-4782 and on the Commission's website at http://www.sec.gov. JPMorgan Funds Fulfillment Center 6112 W.73rd Street Bedford Park, IL 60638 (C) J.P. Morgan Chase & Co., 2004 All Rights Reserved. August 2004 SAN-MULTI-604 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. NOT APPLICABLE - ONLY FOR ANNUAL REPORTS. ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT. (a) (1) Disclose that the registrant's board of directors has determined that the registrant either: (i) Has at least one audit committee financial expert serving on its audit committee; or (ii) Does not have an audit committee financial expert serving on its audit committee. (2) If the registrant provides the disclosure required by paragraph (a)(1)(i) of this Item, it must disclose the name of the audit committee financial expert and whether that person is "independent." In order to be considered "independent" for purposes of this Item, a member of an audit committee may not, other than in his or her capacity as a member of the audit committee, the board of directors, or any other board committee: (i) Accept directly or indirectly any consulting, advisory, or other compensatory fee from the issuer; or (ii) Be an "interested person" of the investment company as defined in Section 2(a)(19) of the Act (15 U.S.C. 80a-2(a)(19)). (3) If the registrant provides the disclosure required by paragraph (a)(1)(ii) of this Item, it must explain why it does not have an audit committee financial expert. NOT APPLICABLE - ONLY FOR ANNUAL REPORTS. ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES. (a) Disclose, under the caption AUDIT FEES, the aggregate fees billed for each of the last two fiscal years for professional services rendered by the principal accountant for the audit of the registrant's annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for those fiscal years. (b) Disclose, under the caption AUDIT-RELATED FEES, the aggregate fees billed in each of the last two fiscal years for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant's financial statements and are not reported under paragraph (a) of this Item. Registrants shall describe the nature of the services comprising the fees disclosed under this category. (c) Disclose, under the caption TAX FEES, the aggregate fees billed in each of the last two fiscal years for professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning. Registrants shall describe the nature of the services comprising the fees disclosed under this category. (d) Disclose, under the caption ALL OTHER FEES, the aggregate fees billed in each of the last two fiscal years for products and services provided by the principal accountant, other than the services reported in paragraphs (a) through (c) of this Item. Registrants shall describe the nature of the services comprising the fees disclosed under this category. (e) (1) Disclose the audit committee's pre-approval policies and procedures described in paragraph (c)(7) of Rule 2-01 of Regulation S-X. (2) Disclose the percentage of services described in each of paragraphs (b) through (d) of this Item that were approved by the audit committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X. (f) If greater than 50 percent, disclose the percentage of hours expended on the principal accountant's engagement to audit the registrant's financial statements for the most recent fiscal year that were attributed to work performed by persons other than the principal accountant's full-time, permanent employees. 2 (g) Disclose the aggregate non-audit fees billed by the registrant's accountant for services rendered to the registrant, and rendered to the registrant's investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant for each of the last two fiscal years of the registrant. (h) Disclose whether the registrant's audit committee of the board of directors has considered whether the provision of nonaudit services that were rendered to the registrant's investment adviser (not including any subadviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant's independence. NOT APPLICABLE - ONLY FOR ANNUAL REPORTS. ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS. (a) If the registrant is a listed issuer as defined in Rule 10A-3 under the Exchange Act (17CFR 240.10A-3), state whether or not the registrant has a separately-designated standing audit committee established in accordance with Section 3(a)(58)(A) of the Exchange Act (15 U.S.C. 78c(a)(58)(A)). If the registrant has such a committee, however designated, identify each committee member. If the entire board of directors is acting as the registrant's audit committee as specified in Section 3(a)(58)(B) of the Exchange Act (15 U.S.C. 78c(a)(58)(B)), so state. (b) If applicable, provide the disclosure required by Rule 10A-3(d) under the Exchange Act (17CFR 240.10A-3(d)) regarding an exemption from the listing standards for all audit committees. NOT APPLICABLE. ITEM 6. SCHEDULE OF INVESTMENTS. File Schedule I - Investments in securities of unaffiliated issuers as of the close of the reporting period as set forth in Section 210.12-12 of Regulation S-X, unless the schedule is included as part of the report to shareholders filed under Item 1 of this Form. NOT APPLICABLE. ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. A closed-end management investment company that is filing an annual report on this Form N-CSR must, unless it invests exclusively in non-voting securities, describe the policies and procedures that it uses to determine how to vote proxies relating to portfolio securities, including the procedures that the company uses when a vote presents a conflict between the interests of its shareholders, on the one hand, and those of the company's investment adviser; principal underwriter; or any affiliated person (as defined in Section 2(a)(3) of the Investment Company Act of 1940 (15 U.S.C. 80a-2(a)(3)) and the rules thereunder) of the company, its investment adviser, or its principal underwriter, on the other. Include any policies and procedures of the company's investment adviser, or any other third party, that the company uses, or that are used on the company's behalf, to determine how to vote proxies relating to portfolio securities. NOT APPLICABLE. ITEM 8. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS. (a) If the registrant is a closed-end management investment company, provide the information specified in paragraph (b) of this Item with respect to any purchase made by or on behalf of the registrant or any "affiliated purchaser," as defined in Rule 10b-18(a)(3) under the Exchange Act (17 CFR 240.10b-18(a)(3)), of shares or other units of any class of the registrant's equity securities that is registered by the registrant pursuant to Section 12 of the Exchange Act (15 U.S.C. 781). NOT APPLICABLE. 3 ITEM 9. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS. Describe any material changes to the procedures by which shareholders may recommend nominees to the registrant's board of directors, where those changes were implemented after the registrant last provided disclosure in response to the requirements of Item 7(d)(2)(ii)(G) of Schedule 14A (17 CFR 240.14a-101), or this Item. NOT APPLICABLE. ITEM 10. CONTROLS AND PROCEDURES. (a) Disclose the conclusions of the registrant's principal executive and principal financial officers, or persons performing similar functions, regarding the effectiveness of the registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Act (17 CFR 270.30a-3(c))) as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Exchange Act (17 CFR 240.13a-15(b) or 240.15d-15(b)). THE REGISTRANT'S PRINCIPAL EXECUTIVE AND PRINCIPAL FINANCIAL OFFICERS HAVE CONCLUDED, BASED ON THEIR EVALUATION OF THE REGISTRANT'S DISCLOSURE CONTROLS AND PROCEDURES AS OF A DATE WITHIN 90 DAYS OF THE FILING DATE OF THIS REPORT, THAT THE REGISTRANT'S DISCLOSURE CONTROLS AND PROCEDURES ARE REASONABLY DESIGNED TO ENSURE THAT INFORMATION REQUIRED TO BE DISCLOSED BY THE REGISTRANT ON FORM N-CSR IS RECORDED, PROCESSED, SUMMARIZED AND REPORTED WITHIN THE REQUIRED TIME PERIODS AND THAT INFORMATION REQUIRED TO BE DISCLOSED BY THE REGISTRANT IN THE REPORTS THAT IT FILES OR SUBMITS ON FORM N-CSR IS ACCUMULATED AND COMMUNICATED TO THE REGISTRANT'S MANAGEMENT, INCLUDING ITS PRINCIPAL EXECUTIVE AND PRINCIPAL FINANCIAL OFFICERS, AS APPROPRIATE TO ALLOW TIMELY DECISIONS REGARDING REQUIRED DISCLOSURE. (b) Disclose any change in the registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the Act (17 CFR 270.30a-3(d)) that occurred during the registrant's last fiscal half-year (the registrant's second fiscal half-year in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting. THERE WERE NO CHANGES IN THE REGISTRANT'S INTERNAL CONTROL OVER FINANCIAL REPORTING THAT OCCURRED DURING THE REGISTRANT'S MOST RECENT FISCAL HALF-YEAR (THE REGISTRANT'S SECOND FISCAL HALF-YEAR IN THE CASE OF AN ANNUAL REPORT) THAT HAVE MATERIALLY AFFECTED, OR ARE REASONABLY LIKELY TO MATERIALLY AFFECT, THE REGISTRANT'S INTERNAL CONTROL OVER FINANCIAL REPORTING. ITEM 11. EXHIBITS. (a) File the exhibits listed below as part of this Form. Letter or number the exhibits in the sequence indicated. (a)(1) Any code of ethics, or amendment thereto, that is the subject of the disclosure required by Item 2, to the extent that the registrant intends to satisfy the Item 2 requirements through filing of an exhibit. NOT APPLICABLE. (a)(2) A separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the Act (17 CFR 270.30a-2). CERTIFICATIONS PURSUANT TO RULE 30a-2(a) UNDER THE INVESTMENT COMPANY ACT OF 1940 ARE ATTACHED HERETO. (a)(3) Any written solicitation to purchase securities under Rule 23c-1 under the Act (17 CFR 270.23c-1) sent or given during the period covered by the report by or on behalf of the registrant to 10 or more persons. NOT APPLICABLE. (b) A separate or combined certification for each principal executive officer and principal officer of the registrant as required by Rule 30a-2(b) under the Act of 1940. CERTIFICATIONS PURSUANT TO RULE 30a-2(b) UNDER THE INVESTMENT COMPANY ACT OF 1940 ARE ATTACHED HERETO. 4 SIGNATURES [See General Instruction F] Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized. (Registrant) J.P. Morgan Fleming Series Trust -------------------------------------------------------- By (Signature and Title)* /s/ Stephanie J. Dorsey ------------------------------------------------------- Stephanie J. Dorsey, Treasurer Date August 24, 2004 --------------------------------------------------------------------------- Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated. By (Signature and Title)* /s/ Stephanie J. Dorsey ------------------------------------------------------- Stephanie J. Dorsey, Treasurer Date August 24, 2004 --------------------------------------------------------------------------- By (Signature and Title)* /s/ George C.W. Gatch ------------------------------------------------------- George C.W. Gatch, President Date August 24, 2004 --------------------------------------------------------------------------- * Print the name and title of each signing officer under his or her signature. 5 CERTIFICATION PURSUANT TO RULE 30a-2(a) UNDER THE INVESTMENT COMPANY ACT OF 1940 I, George C.W. Gatch, certify that: 1. I have reviewed this report on Form N-CSR of the JPMorgan Multi-Manager Small Cap Growth Fund and JPMorgan Multi-Manager Small Cap Value Fund (the "Funds"), each a series of J.P. Morgan Fleming Series Trust (the "Registrant"); 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the financial statements, and other information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the Funds as of, and for, the periods presented in this report; 4. The Registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) for the Funds and have: a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the Funds, including their consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; b) Evaluated the effectiveness of the Funds' disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and c) Disclosed in this report any change in the Funds' internal control over financial reporting that occurred during the Funds' most recent fiscal half-year (the Funds' second fiscal half-year in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the Funds' internal control over financial reporting; and 5. The Registrant's other certifying officer(s) and I have disclosed to the Registrant's auditors and the audit committee of the Registrant's board of directors (or persons performing the equivalent functions): a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the Funds' ability to record, process, summarize, and report financial information; and b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the Funds' internal control over financial reporting. /s/ George C.W. Gatch - ---------------------- George C.W. Gatch President August 24, 2004 - ---------------------- Date CERTIFICATION PURSUANT TO RULE 30a-2(a) UNDER THE INVESTMENT COMPANY ACT OF 1940 I, Stephanie J. Dorsey, certify that: 1. I have reviewed this report on Form N-CSR of the JPMorgan Multi-Manager Small Cap Growth Fund and JPMorgan Multi-Manager Small Cap Value Fund (the "Funds"), each a series of J.P. Morgan Fleming Series Trust (the "Registrant"); 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the financial statements, and other information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the Funds as of, and for, the periods presented in this report; 4. The Registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) for the Funds and have: a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the Funds, including their consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; b) Evaluated the effectiveness of the Funds' disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and c) Disclosed in this report any change in the Funds' internal control over financial reporting that occurred during the Funds' most recent fiscal half-year (the Funds' second fiscal half-year in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the Funds' internal control over financial reporting; and 5. The Registrant's other certifying officer(s) and I have disclosed to the Registrant's auditors and the audit committee of the Registrant's board of directors (or persons performing the equivalent functions): a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the Funds' ability to record, process, summarize, and report financial information; and b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the Funds' internal control over financial reporting. /s/ Stephanie J. Dorsey - ------------------------ Stephanie J. Dorsey Treasurer August 24, 2004 - ------------------------ Date CERTIFICATION PURSUANT TO RULE 30a-2(b) UNDER THE INVESTMENT COMPANY ACT OF 1940 This certification is provided pursuant to Rule 30a-2(b) under the Investment Company Act of 1940, and accompanies the report on Form N-CSR furnished to the Securities and Exchange Commission on the date hereof of the JPMorgan Multi-Manager Small Cap Growth Fund and JPMorgan Multi-Manager Small Cap Value Fund (the "Funds"), each a series of J.P. Morgan Fleming Series Trust. I, George C.W. Gatch, certify that: 1. The Form N-CSR fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934, as applicable; and 2. The information contained in the Form N-CSR fairly presents, in all material respects, the financial condition and results of the operations of the Funds. /s/ George C.W. Gatch - ---------------------- George C.W. Gatch President August 24, 2004 - ---------------------- Date This certificate is furnished pursuant to the requirements of Form N-CSR and shall not be deemed "filed" for purposes of Section 18 of the Securities Exchange Act of 1934, or otherwise subject to the liability of that section, and shall not be deemed to be incorporated by reference into any filing under the Securities Act of 1933 or the Securities Exchange Act of 1934. CERTIFICATION PURSUANT TO RULE 30a-2(b) UNDER THE INVESTMENT COMPANY ACT OF 1940 This certification is provided pursuant to Rule 30a-2(b) under the Investment Company Act of 1940, and accompanies the report on Form N-CSR furnished to the Securities and Exchange Commission on the date hereof of the JPMorgan Multi-Manager Small Cap Growth Fund and JPMorgan Multi-Manager Small Cap Value Fund (the "Funds"), each a series of J.P. Morgan Fleming Series Trust. I, Stephanie J. Dorsey, certify that: 1. The Form N-CSR fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934, as applicable; and 2. The information contained in the Form N-CSR fairly presents, in all material respects, the financial condition and results of the operations of the Funds. /s/ Stephanie J. Dorsey - ------------------------ Stephanie J. Dorsey Treasurer August 24, 2004 - ------------------------ Date This certificate is furnished pursuant to the requirements of Form N-CSR and shall not be deemed "filed" for purposes of Section 18 of the Securities Exchange Act of 1934, or otherwise subject to the liability of that section, and shall not be deemed to be incorporated by reference into any filing under the Securities Act of 1933 or the Securities Exchange Act of 1934. -----END PRIVACY-ENHANCED MESSAGE-----